-----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, CgOEBpVlQlXdxMOxNhbJrkjxSHV9SFbGZ7x3IHYiycWhCsIQvxo6f4RXORLK6vIR vMbrPH5WpG6W5qlmXmlsfw== 0001047469-03-042431.txt : 20031231 0001047469-03-042431.hdr.sgml : 20031231 20031231155309 ACCESSION NUMBER: 0001047469-03-042431 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20031031 FILED AS OF DATE: 20031231 EFFECTIVENESS DATE: 20031231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN INSTITUTIONAL FUNDS CENTRAL INDEX KEY: 0000894088 IRS NUMBER: 043194271 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07342 FILM NUMBER: 031080648 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 11TH FLOOR CITY: NY STATE: NY ZIP: 10036 BUSINESS PHONE: 6175570700 MAIL ADDRESS: STREET 1: 522 FIFTH AVENUE STREET 2: 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: JPM INSTITUTIONAL FUNDS DATE OF NAME CHANGE: 19930328 N-CSR 1 a2125662zn-csr.txt N-CSR ----------------------------- OMB APPROVAL ----------------------------- OMB Number: 3235-0570 Expires: November 30, 2005 Estimated average burden hours per response....... 5.0 ----------------------------- UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM N-CSR CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT INVESTMENT COMPANIES Investment Company Act file number 811-07342 --------------------------------------------- J.P. Morgan Institutional Funds - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: October 31, 2003 -------------------------- Date of reporting period: November 1, 2002 through October 31, 2003 --------------------------------------------- Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). JPMORGAN FUNDS ANNUAL REPORT OCTOBER 31 2003 INTERNATIONAL EQUITY FUNDS FLEMING EUROPEAN FUND FLEMING JAPAN FUND FLEMING INTERNATIONAL GROWTH FUND FLEMING INTERNATIONAL VALUE FUND FLEMING INTERNATIONAL OPPORTUNITIES FUND FLEMING EMERGING MARKETS EQUITY FUND FLEMING ASIA EQUITY FUND FLEMING INTERNATIONAL EQUITY FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has been working with affluent investors for over a hundred years. This experience provides us with a keen understanding of the unique needs of the affluent investor's portfolio. The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the foundation from which our investment products have been built. We have investment professionals based in 44 countries across the globe. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our market place. JPMorgan Fleming Asset Management is dedicated to working as an EXPERIENCED PARTNER with your financial advisor to help provide you with the WEALTH SOLUTIONS your portfolio needs. CONTENTS President's Letter 1 Fund Commentaries: 3 Fleming European Fund 3 Fleming Japan Fund 6 Fleming International Growth Fund 9 Fleming International Value Fund 12 Fleming International Opportunities Fund 15 Fleming Emerging Markets Equity Fund 18 Fleming Asia Equity Fund 21 Fleming International Equity Fund 24 Portfolio of Investments 27 Financial Statements 52 Notes to Financial Statements 64 Financial Highlights 92
HIGHLIGHTS - - "Baghdad bounce" revives U.S. and international markets - - Economies strengthen in U.S. and Asia - - Bond markets weaken - - Foreign equities likely to outperform Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMorgan International Equity Funds PRESIDENT'S LETTER NOVEMBER 24, 2003 [PHOTO OF GEORGE C. W. GATCH] DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan International Equity Funds. Inside, you'll find information detailing the performance of the Funds for the year ended October 31, 2003, along with a report from the Portfolio Manager. "BAGHDAD BOUNCE" TRIGGERS A LIQUIDITY-DRIVEN RALLY Despite the uncertainty of the first few months of 2003, global equity markets found direction once it became clear that Coalition Forces would cross the border into Iraq in mid-March. Prior to that, wrangling in the United Nations regarding the legitimacy of war dogged market sentiment. However, the combination of action, followed by war, led to a relief rally -- the "Baghdad Bounce." Momentum occurred due to remarks by the U.S. Federal Reserve Board confirming its determination to avoid deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in late June), Congress's approval of a $350 billion package of tax cuts by the Bush administration in an attempt to boost consumer demand, and the easy monetary stance adopted by the Bank of England and European Central Bank. By October, there was a clear trend of recovering global growth. Indeed, economic data was improving across the developed world. By October 31, the S&P 500 Index of blue-chip U.S. stocks had risen 20.8% over the previous 12 months, and the MSCI EAFE Index of international stocks was up 27.0%. Fixed income markets suffered, with bond yields rising as fears that the United States and Europe were headed for Japan-style deflation subsided. Earlier in 2003, there had been a significant rally in bond prices, both as the likelihood of deflation had seemed to increase, and as some of the liquidity unleashed by the swift end to the official war made its way to the bond markets. [SIDENOTE] "Despite the uncertainty of the first few months of 2003, global equity markets found direction..." OUTLOOK While risks remain to the continued improvement of the global economic picture, we are cautiously optimistic about the profit picture in the U.S. and Asia. If economic activity continues to improve, we would expect stocks to rise at a modest pace, and to maintain a performance edge over bonds. While non-U.S. equities continue to be more attractive than U.S. shares on a valuation basis, we continue to anticipate that foreign shares will outperform. We particularly favor shares in emerging markets, which we view as most strongly positioned to the improving global economy. The portfolio management team and all of us here at JPMorgan Fleming Asset Management thank you for your continued business and anticipate serving your investment needs for many years to come. Should you have any questions, please feel free to contact your financial advisor or the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C. W. Gatch George C. W. Gatch President JPMorgan Funds 2 JPMorgan Fleming European Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 11/02/1995 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $ 69.1 Primary Benchmark MSCI EUROPE INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming European Fund comfortably outperformed its benchmark with a total return of 28.9% (Class A Shares, without sales charges) for the year ended October 31, 2003. This compares to a total return of 24.7% for the MSCI Europe Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: While the review period ended with many European stock markets close to highs for the year, earlier in 2003 things had been very different, with markets touching multi-year lows in March on the eve of war in Iraq. The Fund, however, performed well through both the difficult market conditions early, and the strong market rally that has characterized the last six months. Early in the review period, the Fund benefited from its concentration on cheap stocks with high dividend yields. In particular, stock selection in the oil and gas sector boosted performance as strong oil prices began to filter through into earnings upgrades. The markets began to pick up in late March and experienced a strong rally through the rest of the review period. The Fund fully participated in this rally, thanks to its focus on attractively valued stocks demonstrating strong earnings potential. We were able to identify opportunities across almost all sectors, styles and market cap ranges, so that relative performance gained from a broad range of holdings. At the beginning of the second quarter, for example, we raised our exposure to telecom operators, which were receiving strong earnings upgrades as they reduced debt and focused more on their core businesses. We also increased exposure to financials as concerns over bad debt subsided, reducing the risk of holding banking stocks, while rising stock markets relieved the pressure on insurance company solvency ratios. Among the market's best performers were economically sensitive stocks, which we took full advantage of through our exposure to the building materials, chemicals and transport sectors in particular. Finally, the Fund's performance was boosted by currency returns, with the euro appreciating against the U.S. dollar during the period. Q: HOW WAS THE FUND MANAGED? A: The Fund's performance during the review period was driven by our bottom-up investment approach, which focuses on stocks with the best value and growth (momentum) characteristics. During the review period, the fund benefited from its exposure to both styles, which helped the fund to maintain high levels of performance despite volatile market conditions. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 23.1% The Netherlands 12.2% France 10.0% Norway 9.3% Germany 9.0% Switzerland 9.0% Belgium 5.3% Sweden 4.5% Italy 4.3% Spain 3.0% Finland 2.8% Austria 2.6% Denmark 2.6% Greece 1.4% Ireland 0.3% Luxembourg 0.3% Liechtenstein 0.3%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.ENI-Ente Nazionale Idrocarburi SPA (Italy) 2.8% 2.Aker Kvaerner ASA (Norway) 2.8% 3.Veolia Environnement (France) 2.7% 4.United Utilities PLC (United Kingdom) 2.5% 5.Deutsche Post AG (Germany) 1.9% 6.Repsol YPF SA (Spain) 1.9% 7.Total SA (France) 1.9% 8.Fortum OYJ (Finland) 1.9% 9.HMV Group PLC (United Kingdom) 1.8% 10.Royal Nedlloyd NV (The Netherlands) 1.7%
Top 10 equity holdings comprised 21.9% of the Portfolio's market value of investments ($15,574,107). As of October 31, 2003, the Fund held 131 equity holdings. Portfolio holdings are subject to change at any time. 4 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/2/95) ----------------------------------------------- CLASS A SHARES Without Sales Charge 28.94% 1.95% 6.17% 12.02% With Sales Charge* 21.50% (0.04%) 4.92% 11.20% ----------------------------------------------- CLASS B SHARES Without CDSC 28.13% 1.22% 5.40% 11.22% With CDSC** 23.13% 0.31% 5.07% 11.22% ----------------------------------------------- CLASS C SHARES Without CDSC 28.09% 1.20% 5.38% 11.21% With CDSC*** 27.09% 1.20% 5.38% 11.21% ----------------------------------------------- INSTITUTIONAL SHARES 29.83% 2.44% 6.48% 12.23% ----------------------------------------------- SELECT SHARES 29.14% 2.08% 6.25% 12.08%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. [CHART] LIFE OF FUND PERFORMANCE (11/02/95 TO 10/31/03)
JPMORGAN FLEMING EUROPEAN FUND (CLASS A SHARES) MSCI EUROPE INDEX LIPPER EUROPEAN FUNDS INDEX Nov-95 $ 9,425 $ 10,000 $ 10,000 Nov-95 $ 9,444 $ 10,000 $ 10,000 Dec-95 $ 9,598 $ 10,317 $ 10,210 Jan-96 $ 9,664 $ 10,384 $ 10,287 Feb-96 $ 10,013 $ 10,573 $ 10,633 Mar-96 $ 10,333 $ 10,700 $ 10,887 Apr-96 $ 10,532 $ 10,777 $ 11,097 May-96 $ 10,701 $ 10,860 $ 11,378 Jun-96 $ 11,099 $ 10,979 $ 11,483 Jul-96 $ 10,720 $ 10,842 $ 11,175 Aug-96 $ 10,966 $ 11,164 $ 11,540 Sep-96 $ 11,223 $ 11,399 $ 11,686 Oct-96 $ 11,385 $ 11,663 $ 11,930 Nov-96 $ 11,936 $ 12,254 $ 12,433 Dec-96 $ 12,296 $ 12,492 $ 12,711 Jan-97 $ 12,451 $ 12,526 $ 12,843 Feb-97 $ 12,730 $ 12,691 $ 13,036 Mar-97 $ 12,988 $ 13,101 $ 13,341 Apr-97 $ 12,905 $ 13,036 $ 13,172 May-97 $ 13,060 $ 13,592 $ 13,693 Jun-97 $ 13,836 $ 14,272 $ 14,338 Jul-97 $ 14,363 $ 14,941 $ 14,758 Aug-97 $ 13,732 $ 14,088 $ 14,035 Sep-97 $ 14,788 $ 15,455 $ 15,298 Oct-97 $ 14,592 $ 14,694 $ 14,659 Nov-97 $ 14,541 $ 14,921 $ 14,769 Dec-97 $ 14,924 $ 15,465 $ 15,113 Jan-98 $ 15,760 $ 16,108 $ 15,676 Feb-98 $ 17,182 $ 17,368 $ 16,968 Mar-98 $ 18,580 $ 18,605 $ 18,253 Apr-98 $ 19,142 $ 18,966 $ 18,672 May-98 $ 19,643 $ 19,351 $ 19,141 Jun-98 $ 19,824 $ 19,564 $ 19,197 Jul-98 $ 20,603 $ 19,951 $ 19,563 Aug-98 $ 17,179 $ 17,441 $ 16,738 Sep-98 $ 16,461 $ 16,743 $ 15,801 Oct-98 $ 17,323 $ 18,083 $ 16,906 Nov-98 $ 18,257 $ 19,045 $ 17,869 Dec-98 $ 19,128 $ 19,877 $ 18,702 Jan-99 $ 20,145 $ 19,750 $ 19,035 Feb-99 $ 18,981 $ 19,248 $ 18,479 Mar-99 $ 18,945 $ 19,458 $ 18,531 Apr-99 $ 19,587 $ 20,038 $ 19,061 May-99 $ 18,569 $ 19,076 $ 18,369 Jun-99 $ 18,932 $ 19,399 $ 18,835 Jul-99 $ 19,271 $ 19,579 $ 19,152 Aug-99 $ 19,478 $ 19,779 $ 19,307 Sep-99 $ 19,515 $ 19,626 $ 19,096 Oct-99 $ 20,024 $ 20,349 $ 19,744 Nov-99 $ 22,727 $ 20,898 $ 21,116 Dec-99 $ 26,025 $ 23,040 $ 23,844 Jan-00 $ 25,715 $ 21,400 $ 23,076 Feb-00 $ 28,207 $ 22,515 $ 26,256 Mar-00 $ 27,615 $ 23,057 $ 26,275 Apr-00 $ 25,999 $ 22,040 $ 24,851 May-00 $ 25,050 $ 21,860 $ 24,349 Jun-00 $ 25,396 $ 22,330 $ 24,926 Jul-00 $ 24,865 $ 21,972 $ 24,734 Aug-00 $ 24,656 $ 21,713 $ 24,828 Sep-00 $ 23,423 $ 20,697 $ 23,547 Oct-00 $ 22,053 $ 20,540 $ 22,831 Nov-00 $ 20,869 $ 19,745 $ 21,609 Dec-00 $ 22,194 $ 21,105 $ 23,232 Jan-01 $ 22,125 $ 21,116 $ 23,163 Feb-01 $ 20,893 $ 19,262 $ 21,210 Mar-01 $ 18,906 $ 17,825 $ 19,348 Apr-01 $ 19,838 $ 19,092 $ 20,629 May-01 $ 19,413 $ 18,160 $ 19,834 Jun-01 $ 18,454 $ 17,474 $ 19,027 Jul-01 $ 18,139 $ 17,518 $ 18,835 Aug-01 $ 18,632 $ 17,062 $ 18,351 Sep-01 $ 17,181 $ 15,359 $ 16,292 Oct-01 $ 17,756 $ 15,848 $ 16,862 Nov-01 $ 19,386 $ 16,483 $ 17,592 Dec-01 $ 19,454 $ 16,905 $ 17,967 Jan-02 $ 18,838 $ 16,021 $ 17,180 Feb-02 $ 19,331 $ 16,018 $ 17,192 Mar-02 $ 20,249 $ 16,886 $ 18,052 Apr-02 $ 20,824 $ 16,758 $ 18,003 May-02 $ 21,399 $ 16,706 $ 18,014 Jun-02 $ 21,070 $ 16,126 $ 17,531 Jul-02 $ 19,713 $ 14,331 $ 15,699 Aug-02 $ 19,315 $ 14,328 $ 15,594 Sep-02 $ 17,918 $ 12,443 $ 13,662 Oct-02 $ 18,125 $ 13,646 $ 14,708 Nov-02 $ 19,481 $ 14,316 $ 15,404 Dec-02 $ 17,976 $ 13,796 $ 14,835 Jan-03 $ 17,576 $ 13,144 $ 14,187 Feb-03 $ 17,121 $ 12,715 $ 13,645 Mar-03 $ 17,288 $ 12,526 $ 13,479 Apr-03 $ 18,986 $ 14,216 $ 15,173 May-03 $ 20,392 $ 15,138 $ 16,290 Jun-03 $ 20,282 $ 15,284 $ 16,420 Jul-03 $ 21,110 $ 15,594 $ 16,734 Aug-03 $ 21,469 $ 15,564 $ 16,861 Sep-03 $ 22,020 $ 15,880 $ 17,237 Oct-03 $ 23,369 $ 16,942 $ 18,326
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 11/2/95. Returns for the Institutional and Select Shares prior to 9/10/01 (offering date of the Institutional and Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Institutional and Select Shares. Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class B Shares. Returns for the Class C Shares prior to 11/1/98 (offering date of the Class C Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class C Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming European Fund, MSCI Europe Index, and Lipper European Funds Index from November 2, 1995 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Europe Index is a replica (or model) of the performance of the European markets. The Lipper European Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 5 JPMorgan Fleming Japan Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 11/02/1995 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $4.0 Primary Benchmark MSCI JAPAN INDEX
Q. HOW DID THE FUND PERFORM? A. JPMorgan Fleming Japan Fund, which seeks long-term capital appreciation through investing in Japanese equities, rose by 50.8% (Class A Shares, without sales charge) for the year ended October 31, 2003. This compares with a rally of 32.9% in the MSCI Japan Index (in U.S. dollars). Q. WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A. The Fund significantly outperformed its benchmark for the year ended October 31, 2003. It both protected capital in the first few months when the Japanese equity market fell, and outpaced the surge in stock prices that began in April as investors sensed an economic recovery. This outperformance was due to some successful strategic calls, such as investing in small- and mid-sized companies, buying sectors set to benefit from economic recovery, and reducing exposure to defensive blue chips. China-related names and fast-growing service-sector companies were also favored by the manager. Some of the most spectacular gains were achieved by small- and mid-sized companies. At the beginning of the year, many were trading on low valuations and generating strong earnings growth. A significant amount of the Portfolio was switched into these companies. For example, Backs Group, which supplies sales outsourcing services, was the Portfolio's single biggest contributor, rallying about 1,442% (in Dollar terms) over the 12 months. Other notable performers among mid-cap names included Isuzu Motors, the truck manufacturer, and Kawai Musical Instruments. The Fund benefited from an overweight position in the capital goods and materials sectors -- both of which are leveraged to economic recovery and demand from China. Stock selection in these sectors was also good. Pacific Metals, a nickel refiner that is in the Materials sector, also performed well. Advantest, a manufacturer of semiconductor production equipment, rallied substantially as worldwide semiconductor sales increased. Being underweight blue chips proved a wise decision. Not only were their earnings lackluster, but also these stocks were over-owned by Japanese pension funds, who were heavy net sellers of equities due to a government regulation change, and these names thus underperformed. From a negative perspective, the Fund was underweight in the banking sector, which rallied in the summer as economic recovery appeared likely to reduce their non-performing loans. Q. HOW WAS THE FUND MANAGED? A. The Fund was able to take significant views during the year, using bottom-up information from more than 1,000 company visits done by the team. While the Portfolio management team remains convinced that Japan's high-quality blue chips will outperform over the long term, much of the Portfolio was switched into small/mid-sized companies to match the short-term mood of the market. Investors' perceptions of Japan's economic prospects changed dramatically in the early summer, and the market took off quickly, with rapid rotation through sectors. The Fund correctly called this change in sentiment and the Portfolio was correctly adjusted accordingly. The Fund was able to trade actively as share price volatility was high during the year, with both individual investors and speculative traders back in the market once again. It also traded its Portfolio holdings actively because of significant shareholder purchases and sales activity. By mid-September some profits were taken as the market had become seriously overbought in the short-term. 6 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 25.9% Industrial Products & Services 23.9% Technology 15.9% Finance & Insurance 13.2% REITs 11.6% Telecommunications 7.4% Pharmaceuticals 2.1%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.Usen Corp. (Japan) 4.3% 2.Tokyo Buhin Kogyo Co., LTD (Japan) 3.9% 3.Okinawa Cellular Telephone Co. (Japan) 3.3% 4.Tact Home Co., LTD (Japan) 2.5% 5.Arnest One Corp. (Japan) 2.3% 6.Softbank Corp. (Japan) 2.2% 7.Yusen Air & Sea Service Co. (Japan) 2.1% 8.Alfresa Holdings Corp. (Japan) 2.1% 9.Mitsubishi Tokyo Financial Group, Inc. (Japan) 2.1% 10.Glory LTD (Japan) 2.1%
Top 10 equity holdings comprised 26.9% of the Portfolio's market value of investments ($999,245). As of October 31, 2003, the Fund held 95 equity holdings. Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/2/95) ----------------------------------------------- CLASS A SHARES Without Sales Charge 50.79% (6.30%) 0.83% (4.00%) With Sales Charge* 42.13% (8.15%) (0.36%) (4.71%) ----------------------------------------------- CLASS B SHARES Without CDSC 49.65% (7.09%) 0.13% (4.69%) With CDSC** 44.65% (8.03%) (0.27%) (4.69%)
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. LIFE OF FUND PERFORMANCE (11/2/95 TO 10/31/03) [CHART]
JPMORGAN FLEMING JAPAN FUND TOKYO STOCK EXCHANGE (TOPIX) LIPPER JAPAN EQUITY FUNDS (CLASS A SHARES) MSCI JAPAN INDEX 1ST SECTION INDEX AVERAGE Nov-95 $ 9,425 $ 10,000 $ 10,000 $ 10,000 Nov-95 $ 9,425 $ 10,000 $ 10,000 $ 10,000 Dec-95 $ 9,679 $ 10,511 $ 10,479 $ 10,000 Jan-96 $ 9,802 $ 10,373 $ 10,338 $ 10,444 Feb-96 $ 9,604 $ 10,189 $ 10,168 $ 10,459 Mar-96 $ 10,038 $ 10,548 $ 10,544 $ 10,243 Apr-96 $ 10,518 $ 11,149 $ 11,246 $ 10,618 May-96 $ 10,057 $ 10,574 $ 10,697 $ 11,294 Jun-96 $ 10,179 $ 10,630 $ 10,744 $ 10,888 Jul-96 $ 9,699 $ 10,154 $ 10,216 $ 11,064 Aug-96 $ 9,190 $ 9,700 $ 9,782 $ 10,576 Sep-96 $ 9,473 $ 10,036 $ 10,086 $ 10,173 Oct-96 $ 8,879 $ 9,363 $ 9,409 $ 10,372 Nov-96 $ 8,973 $ 9,541 $ 9,479 $ 9,784 Dec-96 $ 8,605 $ 8,882 $ 8,749 $ 9,873 Jan-97 $ 8,470 $ 7,916 $ 7,806 $ 9,426 Feb-97 $ 8,768 $ 8,101 $ 7,957 $ 8,916 Mar-97 $ 8,633 $ 7,834 $ 7,696 $ 9,068 Apr-97 $ 8,951 $ 8,119 $ 7,880 $ 8,906 May-97 $ 9,779 $ 9,015 $ 8,853 $ 9,257 Jun-97 $ 10,260 $ 9,688 $ 9,423 $ 10,384 Jul-97 $ 10,789 $ 9,393 $ 9,050 $ 10,865 Aug-97 $ 9,573 $ 8,579 $ 8,239 $ 11,054 Sep-97 $ 9,718 $ 8,449 $ 8,006 $ 9,835 Oct-97 $ 9,187 $ 7,662 $ 7,392 $ 9,777 Nov-97 $ 9,033 $ 7,191 $ 6,831 $ 9,121 Dec-97 $ 8,745 $ 6,780 $ 6,293 $ 8,677 Jan-98 $ 8,643 $ 7,385 $ 6,961 $ 8,224 Feb-98 $ 8,368 $ 7,423 $ 7,016 $ 8,858 Mar-98 $ 8,205 $ 6,918 $ 6,572 $ 8,782 Apr-98 $ 8,094 $ 6,891 $ 6,481 $ 8,397 May-98 $ 8,185 $ 6,512 $ 6,172 $ 8,456 Jun-98 $ 8,114 $ 6,603 $ 6,209 $ 8,248 Jul-98 $ 8,022 $ 6,516 $ 6,122 $ 8,253 Aug-98 $ 7,279 $ 5,773 $ 5,489 $ 8,423 Sep-98 $ 7,086 $ 5,615 $ 5,390 $ 7,752 Oct-98 $ 6,526 $ 6,557 $ 6,248 $ 7,495 Nov-98 $ 6,821 $ 6,857 $ 6,541 $ 7,983 Dec-98 $ 7,025 $ 7,122 $ 6,777 $ 8,586 Jan-99 $ 6,913 $ 7,174 $ 6,807 $ 8,869 Feb-99 $ 6,689 $ 7,017 $ 6,641 $ 8,942 Mar-99 $ 7,616 $ 7,990 $ 7,562 $ 8,896 Apr-99 $ 7,921 $ 8,323 $ 7,917 $ 10,153 May-99 $ 7,575 $ 7,854 $ 7,527 $ 10,718 Jun-99 $ 8,206 $ 8,598 $ 8,270 $ 10,384 Jul-99 $ 8,929 $ 9,456 $ 9,108 $ 11,994 Aug-99 $ 9,132 $ 9,389 $ 9,393 $ 13,284 Sep-99 $ 9,631 $ 9,959 $ 10,030 $ 13,985 Oct-99 $ 10,018 $ 10,387 $ 10,621 $ 14,800 Nov-99 $ 10,537 $ 10,832 $ 11,386 $ 15,395 Dec-99 $ 11,260 $ 11,505 $ 11,928 $ 16,881 Jan-00 $ 10,476 $ 11,007 $ 11,311 $ 18,235 Feb-00 $ 10,394 $ 10,722 $ 11,094 $ 17,336 Mar-00 $ 10,934 $ 11,606 $ 11,830 $ 17,641 Apr-00 $ 10,089 $ 10,733 $ 10,852 $ 18,592 May-00 $ 9,193 $ 10,187 $ 10,060 $ 16,866 Jun-00 $ 9,682 $ 10,887 $ 10,704 $ 15,601 Jul-00 $ 8,460 $ 9,633 $ 9,436 $ 16,625 Aug-00 $ 9,152 $ 10,256 $ 10,086 $ 14,568 Sep-00 $ 8,979 $ 9,746 $ 9,711 $ 15,747 Oct-00 $ 8,266 $ 9,181 $ 9,017 $ 14,900 Nov-00 $ 8,083 $ 8,800 $ 8,777 $ 13,593 Dec-00 $ 7,442 $ 8,265 $ 8,022 $ 13,021 Jan-01 $ 7,422 $ 8,167 $ 7,980 $ 11,879 Feb-01 $ 6,800 $ 7,799 $ 7,556 $ 11,795 Mar-01 $ 6,739 $ 7,567 $ 7,306 $ 10,899 Apr-01 $ 7,146 $ 8,081 $ 7,929 $ 10,745 May-01 $ 7,238 $ 8,062 $ 7,908 $ 11,616 Jun-01 $ 6,759 $ 7,581 $ 7,481 $ 11,489 Jul-01 $ 6,240 $ 7,017 $ 6,835 $ 10,867 Aug-01 $ 5,976 $ 6,841 $ 6,652 $ 9,894 Sep-01 $ 5,375 $ 6,202 $ 6,184 $ 9,407 Oct-01 $ 5,385 $ 6,189 $ 6,229 $ 8,559 Nov-01 $ 5,599 $ 6,257 $ 6,140 $ 8,792 Dec-01 $ 5,253 $ 5,834 $ 5,668 $ 8,822 Jan-02 $ 4,937 $ 5,377 $ 5,229 $ 8,309 Feb-02 $ 5,212 $ 5,601 $ 5,454 $ 7,658 Mar-02 $ 5,569 $ 5,922 $ 5,787 $ 7,941 Apr-02 $ 5,752 $ 6,266 $ 6,096 $ 8,488 May-02 $ 6,017 $ 6,657 $ 6,529 $ 8,810 Jun-02 $ 5,701 $ 6,310 $ 6,186 $ 9,307 Jul-02 $ 5,212 $ 5,871 $ 5,831 $ 8,795 Aug-02 $ 5,080 $ 5,809 $ 5,749 $ 8,174 Sep-02 $ 4,764 $ 5,549 $ 5,496 $ 8,039 Oct-02 $ 4,510 $ 5,163 $ 5,113 $ 7,614 Nov-02 $ 4,754 $ 5,372 $ 5,294 $ 7,098 Dec-02 $ 4,622 $ 5,234 $ 5,165 $ 7,347 Jan-03 $ 4,531 $ 5,022 $ 4,976 $ 7,123 Feb-03 $ 4,541 $ 5,051 $ 5,035 $ 6,835 Mar-03 $ 4,195 $ 4,822 $ 4,863 $ 6,883 Apr-03 $ 4,225 $ 4,784 $ 4,888 $ 6,565 May-03 $ 4,541 $ 5,016 $ 5,126 $ 6,576 Jun-03 $ 5,091 $ 5,386 $ 5,509 $ 6,903 Jul-03 $ 5,264 $ 5,605 $ 5,706 $ 7,407 Aug-03 $ 5,865 $ 6,196 $ 6,289 $ 7,739 Sep-03 $ 6,028 $ 6,563 $ 6,702 $ 8,518 Oct-03 $ 6,800 $ 6,864 $ 6,974 $ 8,975
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 11/2/95. Returns for the Class B Shares prior to 11/3/95 (offering date of the Class B Shares) are calculated using the historical expenses of the Class A Shares, which are lower than the expenses of the Class B Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming Japan Fund, MSCI Japan Index, Tokyo Stock Exchange (TOPIX) 1st Section Index and Lipper Japan Equity Funds Average from November 2, 1995 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Japan Index is a replica (or model) of the performance of the Japan Equity Markets. The Tokyo Stock Exchange (TOPIX) 1st Section Index, also known as the Tokyo Price Index, is an unmanaged capitalization-weighted index of all companies listed on the First Section of the Tokyo Stock Exchange. The Lipper Japan Equity Funds Average describes the average total returns for all of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 8 JPMorgan Fleming International Growth Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 12/29/2000 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $4.0 Primary Benchmark MSCI EAFE GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Growth Fund, which seeks long-term capital appreciation from investing in a portfolio of international growth stocks, rose by 24.8% (A Shares, no sales charge) in the year ended October 31, 2003. This compares with an increase of 21.3% in the MSCI EAFE Growth Index. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund outperformed its MSCI EAFE Growth Index benchmark, demonstrating exceptionally strong performance as the markets rallied from mid-March onward in anticipation of economic recovery later in the year. Many of the stocks that performed well for the portfolio benefited particularly from increased confidence in financial markets. The most direct beneficiaries were European financial stocks such as BNP Paribas, Deutsche Bank, and Dexia. The stock prices of these companies bounced with improved perceptions about the quality of their loan books, growing optimism about capital markets activity, and in sympathy with stronger equity prices. Another financial stock that made a significant positive impact was Brazilian bank Unibanco, which rallied in line with the Brazilian equity market. The Fund also benefited from being overweight the Information Technology sector, where we found a large number of companies demonstrating high earnings growth. Holdings such as Dassault Systemes, Samsung Electronics, and Taiwan Semiconductor Manufacturing Co. performed well. Dassault Systemes was helped by its leadership in Product Lifecycle Management software, while Samsung Electronics and Taiwan Semiconductor Manufacturing Co. gained from increasing demand for PCs, flat-screen panels and other electronic goods. Otherwise, performance was boosted by an eclectic group of growth stocks. Compagnie de Saint-Gobain, the French industrials group, was a strong performer both as its results demonstrated strong cash flow, and as investors anticipated increased profits from a revival in economic growth. Vodafone Group, the U.K. cellular phone company, also did well as European telecom stocks recovered from low valuations. Not all holdings outperformed the benchmark, however. The Materials sector detracted from performance, mainly because the Fund was underweight. Not holding BHP Billiton, the global mining group, also hurt performance. Q: HOW WAS THE FUND MANAGED? A: Proprietary fundamental research at both the local and global sector levels continued to drive stock selection. While the Fund was broadly diversified across a range of countries and sectors, it was underweight in Japan and overweight in the rest of Asia. This was because we have found more attractive growth stocks outside Japan. From a style perspective, growth stocks have trailed value in the past year. 9 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 30.0% Japan 19.3% France 12.7% Germany 8.2% The Netherlands 7.6% South Korea 5.7% Switzerland 4.1% Spain 3.3% Finland 1.8% Italy 1.7% Ireland 1.5% Australia 1.0% Hong Kong 1.0% Taiwan 0.7% Brazil 0.7% Russia 0.7%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.Vodafone Group PLC (United Kingdom) 4.3% 2.Total SA (France) 4.2% 3.GlaxoSmithKline PLC (United Kingdom) 3.9% 4.Aventis SA (France) 3.4% 5.Royal Bank of Scotland Group PLC (United Kingdom) 3.3% 6.Nestle SA (Switzerland) 2.9% 7.BG Group PLC (United Kingdom) 2.8% 8.Barclays PLC (United Kingdom) 2.6% 9.Tesco PLC (United Kingdom) 2.6% 10.Canon, Inc. (Japan) 2.4%
Top 10 equity holdings comprised 32.4% of the Portfolio's market value of investments ($1,285,676). As of October 31, 2003, the Fund held 59 equity holdings. Portfolio holdings are subject to change at any time. 10 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR (12/29/00) ----------------------- CLASS A SHARES Without Sales Charge 24.80% (8.33%) With Sales Charge* 17.65% (10.22%) ----------------------- CLASS B SHARES Without CDSC 24.19% (8.80%) With CDSC** 19.19% (9.77%)
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period and 3% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (12/29/00 TO 10/31/03)
JPMORGAN FLEMING INTERNATIONAL GROWTH FUND (CLASS A SHARES) MSCI EAFE GROWTH INDEX LIPPER INTERNATIONAL FUNDS INDEX Dec-00 $ 9,425 $ 10,000 $ 10,000 Dec-00 $ 9,425 $ 10,000 $ 10,000 Jan-01 $ 9,595 $ 9,972 $ 10,059 Feb-01 $ 8,624 $ 8,960 $ 9,353 Mar-01 $ 7,907 $ 8,340 $ 8,695 Apr-01 $ 8,633 $ 8,911 $ 9,224 May-01 $ 8,275 $ 8,552 $ 9,001 Jun-01 $ 7,845 $ 8,136 $ 8,747 Jul-01 $ 7,543 $ 7,939 $ 8,520 Aug-01 $ 7,307 $ 7,577 $ 8,348 Sep-01 $ 6,429 $ 6,860 $ 7,438 Oct-01 $ 6,816 $ 7,133 $ 7,640 Nov-01 $ 7,316 $ 7,500 $ 7,925 Dec-01 $ 7,533 $ 7,543 $ 8,066 Jan-02 $ 7,137 $ 7,136 $ 7,740 Feb-02 $ 7,156 $ 7,233 $ 7,848 Mar-02 $ 7,543 $ 7,508 $ 8,264 Apr-02 $ 7,524 $ 7,548 $ 8,321 May-02 $ 7,439 $ 7,563 $ 8,440 Jun-02 $ 7,203 $ 7,368 $ 8,107 Jul-02 $ 6,438 $ 6,583 $ 7,298 Aug-02 $ 6,428 $ 6,532 $ 7,304 Sep-02 $ 5,494 $ 5,964 $ 6,517 Oct-02 $ 5,900 $ 6,301 $ 6,855 Nov-02 $ 6,325 $ 6,486 $ 7,180 Dec-02 $ 6,013 $ 6,335 $ 6,950 Jan-03 $ 5,654 $ 6,022 $ 6,696 Feb-03 $ 5,531 $ 5,892 $ 6,497 Mar-03 $ 5,418 $ 5,830 $ 6,338 Apr-03 $ 6,079 $ 6,335 $ 6,966 May-03 $ 6,522 $ 6,662 $ 7,413 Jun-03 $ 6,636 $ 6,778 $ 7,588 Jul-03 $ 6,692 $ 6,867 $ 7,800 Aug-03 $ 6,834 $ 6,993 $ 8,026 Sep-03 $ 7,013 $ 7,229 $ 8,187 Oct-03 $ 7,364 $ 7,645 $ 8,675
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 12/29/00. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming International Growth Fund, MSCI EAFE Growth Index and Lipper International Funds Index from December 29, 2000 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE Growth Index is a market capitalization-weighted index representing all 20 developed markets that make up that index. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 11 JPMorgan Fleming International Value Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 11/4/1993 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $43.2 Primary Benchmark CITIGROUP PMI VALUE EPAC INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Value Fund, which seeks long-term capital appreciation through investing in foreign equities, rose by 27.2% (Institutional Shares) in the year ended October 31, 2003. This compares with an increase of 27.0% in the Citigroup PMI Value EPAC Index (formerly known as the SSB PMI Value EPAC Index). Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund achieved strong gains in the year ended October 31, 2003, outperforming the Citigroup PMI Value EPAC Index benchmark. While the Fund participated in the global stock market rally, relative to the benchmark, the performance of its holdings was mixed. Stock selection added value in a number of areas, particularly in Japan. Unforeseen difficulties in just a few holdings hindered performance. From a positive perspective, Reliance Industries, an Indian conglomerate with a large bulk chemicals business, was the portfolio's best performer. As demand for raw materials increased, Reliance was able to lift its prices at a time when sales were also growing. A number of Indian companies are currently performing well, as they benefit from their low cost base. The greatest detractor from performance was Bayer, the German chemical and pharmaceutical company. The stock price fell heavily early in the year, as fears mounted about the financial impact of lawsuits relating to the damaging side effects of its cholesterol lowering drug Baycol. As evidence mounted of harmful side effects, which led to several fatalities, Baycol was withdrawn from the market. In Japan, JFE Holdings, the steel and engineering company, contributed to performance as it achieved greater-than-expected post-merger synergies, and benefited from a sharp increase in steel demand from China. Financial stocks also did well, as the local economy recovered from several years of malaise, and the Japanese stock market rallied. Holdings such as Mitsui Sumitomo Insurance and Mitsubishi Tokyo Financial Group performed exceptionally well. Other than Bayer, a major detractor from performance was Australia & New Zealand Banking Group, which suffered as investors switched out of local stocks and into international stocks such as the Australian mining companies. Q: HOW WAS THE FUND MANAGED? A: Expectations of increased business activity within a number of cyclical sectors caused our analysts to raise earnings forecasts for stocks in these areas. As a result, we lifted our exposure to several cyclical stocks. The Fund continues to use a global network of research analysts to find attractive foreign value stocks. It seeks to minimize risk through stock selection, and country and sector diversification. 12 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Japan 18.0% United Kingdom 15.5% France 12.7% The Netherlands 10.7% Switzerland 9.3% Germany 7.2% Italy 4.2% Singapore 3.3% Brazil 2.7% Spain 2.3% Australia 2.3% India 2.1% South Korea 2.0% Ireland 1.9% Thailand 1.5% Mexico 1.3% Hong Kong 1.2% Russia 0.9% United States 0.7% Greece 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.BNP Paribas (France) 3.4% 2.Royal Bank of Scotland Group PLC (United Kingdom) 3.3% 3.AXA (France) 3.0% 4.Total SA (France) 2.8% 5.ABN AMRO Holding NV (The Netherlands) 2.8% 6.Credit Suisse Group (Switzerland) 2.8% 7.Koninklijke Philips Electronics NV (The Netherlands) 2.5% 8.Sony Corp. (Japan) 2.5% 9.Fujitsu LTD (Japan) 2.5% 10.Unilever PLC (United Kingdom) 2.3%
Top 10 equity holdings comprised 27.9% of the Portfolio's market value of investments ($11,946,356). As of October 31, 2003, the Fund held 58 equity holdings. Portfolio holdings are subject to change at any time. 13 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ----------------------------------------------- CLASS A SHARES Without Sales Charge 26.71% (7.36%) (1.34%) 1.60% With Sales Charge* 19.36% (9.16%) (2.49%) 1.00% ----------------------------------------------- CLASS B SHARES Without CDSC 25.97% (7.64%) (1.52%) 1.51% With CDSC** 20.97% (8.58%) (1.86%) 1.51% ----------------------------------------------- INSTITUTIONAL SHARES 27.23% (6.78%) (0.85%) 1.97% ----------------------------------------------- SELECT SHARES 26.89% (7.19%) (1.23%) 1.65%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the ten year period. [CHART] TEN-YEAR PERFORMANCE (10/31/93 TO 10/31/03)
JPMORGAN FLEMING INTERNATIONAL VALUE FUND (INSTITUTIONAL SHARES) CITIGROUP PMI VALUE EPAC INDEX LIPPER INTERNATIONAL FUNDS INDEX Oct-93 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-93 $ 3,547,729 $ 2,761,500 $ 2,880,900 Dec-93 $ 3,641,744 $ 2,950,110 $ 3,169,854 Jan-94 $ 3,478,594 $ 3,209,130 $ 3,367,336 Feb-94 $ 3,143,953 $ 3,192,764 $ 3,286,183 Mar-94 $ 3,119,430 $ 3,080,378 $ 3,135,676 Apr-94 $ 2,751,962 $ 3,214,067 $ 3,218,772 May-94 $ 2,866,168 $ 3,210,531 $ 3,213,943 Jun-94 $ 2,992,853 $ 3,271,210 $ 3,163,163 Jul-94 $ 2,871,642 $ 3,308,175 $ 3,260,589 Aug-94 $ 2,791,236 $ 3,378,308 $ 3,373,405 Sep-94 $ 2,702,196 $ 3,281,689 $ 3,286,371 Oct-94 $ 2,613,293 $ 3,408,034 $ 3,345,197 Nov-94 $ 2,888,473 $ 3,231,498 $ 3,188,976 Dec-94 $ 3,049,361 $ 3,249,917 $ 3,146,563 Jan-95 $ 3,167,981 $ 3,130,970 $ 2,990,494 Feb-95 $ 3,239,894 $ 3,103,731 $ 2,989,596 Mar-95 $ 3,358,475 $ 3,311,060 $ 3,068,223 Apr-95 $ 3,413,554 $ 3,434,231 $ 3,181,133 May-95 $ 3,645,621 $ 3,406,071 $ 3,212,308 Jun-95 $ 3,017,496 $ 3,341,355 $ 3,224,515 Jul-95 $ 3,210,918 $ 3,564,558 $ 3,401,864 Aug-95 $ 3,151,516 $ 3,414,846 $ 3,344,372 Sep-95 $ 3,178,303 $ 3,495,437 $ 3,400,223 Oct-95 $ 3,106,792 $ 3,394,069 $ 3,329,498 Nov-95 $ 3,178,248 $ 3,508,789 $ 3,364,125 Dec-95 $ 3,321,905 $ 3,655,807 $ 3,461,685 Jan-96 $ 3,361,768 $ 3,648,130 $ 3,543,381 Feb-96 $ 3,349,665 $ 3,658,709 $ 3,558,617 Mar-96 $ 3,426,038 $ 3,746,884 $ 3,614,132 Apr-96 $ 3,536,013 $ 3,863,787 $ 3,731,952 May-96 $ 3,493,228 $ 3,813,171 $ 3,727,847 Jun-96 $ 3,533,050 $ 3,841,389 $ 3,761,771 Jul-96 $ 3,413,633 $ 3,739,976 $ 3,634,999 Aug-96 $ 3,425,922 $ 3,774,384 $ 3,682,254 Sep-96 $ 3,517,737 $ 3,874,782 $ 3,764,736 Oct-96 $ 3,496,279 $ 3,857,733 $ 3,749,677 Nov-96 $ 3,621,795 $ 4,014,743 $ 3,925,912 Dec-96 $ 3,603,686 $ 3,970,983 $ 3,960,853 Jan-97 $ 3,520,801 $ 3,798,642 $ 3,966,002 Feb-97 $ 3,558,826 $ 3,863,979 $ 4,037,787 Mar-97 $ 3,590,500 $ 3,892,572 $ 4,059,187 Apr-97 $ 3,603,066 $ 3,895,686 $ 4,077,047 May-97 $ 3,803,757 $ 4,186,694 $ 4,306,993 Jun-97 $ 3,969,221 $ 4,423,661 $ 4,513,728 Jul-97 $ 4,010,501 $ 4,477,187 $ 4,658,619 Aug-97 $ 3,720,942 $ 4,207,213 $ 4,322,733 Sep-97 $ 3,908,850 $ 4,437,768 $ 4,600,252 Oct-97 $ 3,625,458 $ 4,136,000 $ 4,251,093 Nov-97 $ 3,600,080 $ 4,065,274 $ 4,215,384 Dec-97 $ 3,655,881 $ 4,087,226 $ 4,248,264 Jan-98 $ 3,788,224 $ 4,280,552 $ 4,351,072 Feb-98 $ 3,995,440 $ 4,540,382 $ 4,627,365 Mar-98 $ 4,117,701 $ 4,737,888 $ 4,878,631 Apr-98 $ 4,182,349 $ 4,764,894 $ 4,953,762 May-98 $ 4,185,694 $ 4,772,518 $ 4,963,669 Jun-98 $ 4,212,901 $ 4,805,449 $ 4,920,485 Jul-98 $ 4,223,012 $ 4,847,737 $ 4,995,769 Aug-98 $ 3,652,906 $ 4,173,416 $ 4,276,878 Sep-98 $ 3,456,014 $ 4,010,236 $ 4,143,867 Oct-98 $ 3,805,763 $ 4,460,184 $ 4,448,441 Nov-98 $ 3,992,626 $ 4,688,992 $ 4,671,308 Dec-98 $ 4,154,726 $ 4,775,269 $ 4,786,222 Jan-99 $ 4,151,403 $ 4,724,174 $ 4,815,418 Feb-99 $ 4,046,372 $ 4,665,594 $ 4,691,662 Mar-99 $ 4,224,817 $ 4,927,334 $ 4,847,894 Apr-99 $ 4,399,725 $ 5,231,843 $ 5,073,806 May-99 $ 4,196,897 $ 4,949,324 $ 4,885,060 Jun-99 $ 4,396,250 $ 5,109,682 $ 5,116,612 Jul-99 $ 4,532,973 $ 5,276,768 $ 5,230,713 Aug-99 $ 4,553,825 $ 5,335,340 $ 5,272,035 Sep-99 $ 4,571,129 $ 5,356,682 $ 5,288,906 Oct-99 $ 4,746,204 $ 5,533,988 $ 5,473,488 Nov-99 $ 4,952,664 $ 5,571,619 $ 5,874,695 Dec-99 $ 5,410,290 $ 5,889,758 $ 6,596,695 Jan-00 $ 5,113,265 $ 5,372,638 $ 6,210,789 Feb-00 $ 5,362,281 $ 5,313,001 $ 6,620,701 Mar-00 $ 5,453,976 $ 5,697,663 $ 6,637,914 Apr-00 $ 5,127,828 $ 5,503,372 $ 6,217,071 May-00 $ 4,951,943 $ 5,501,721 $ 6,046,101 Jun-00 $ 5,135,165 $ 5,749,299 $ 6,326,036 Jul-00 $ 4,951,840 $ 5,531,400 $ 6,121,072 Aug-00 $ 4,951,840 $ 5,646,454 $ 6,224,518 Sep-00 $ 4,691,373 $ 5,449,392 $ 5,861,629 Oct-00 $ 4,500,903 $ 5,378,005 $ 5,662,333 Nov-00 $ 4,288,461 $ 5,231,186 $ 5,423,383 Dec-00 $ 4,449,707 $ 5,490,653 $ 5,625,675 Jan-01 $ 4,437,693 $ 5,474,730 $ 5,658,867 Feb-01 $ 4,088,003 $ 5,209,205 $ 5,261,614 Mar-01 $ 3,802,660 $ 4,874,253 $ 4,891,723 Apr-01 $ 4,076,071 $ 5,207,652 $ 5,189,139 May-01 $ 3,959,496 $ 5,081,106 $ 5,063,562 Jun-01 $ 3,770,628 $ 4,952,046 $ 4,920,770 Jul-01 $ 3,662,034 $ 4,827,750 $ 4,792,830 Aug-01 $ 3,609,666 $ 4,780,438 $ 4,696,494 Sep-01 $ 3,263,860 $ 4,288,053 $ 4,184,576 Oct-01 $ 3,328,158 $ 4,363,951 $ 4,297,978 Nov-01 $ 3,448,638 $ 4,472,177 $ 4,458,293 Dec-01 $ 3,474,158 $ 4,494,091 $ 4,537,650 Jan-02 $ 3,318,863 $ 4,290,059 $ 4,354,329 Feb-02 $ 3,278,041 $ 4,341,969 $ 4,415,290 Mar-02 $ 3,482,263 $ 4,589,461 $ 4,648,859 Apr-02 $ 3,547,729 $ 4,663,352 $ 4,681,401 May-02 $ 3,641,744 $ 4,792,526 $ 4,748,345 Jun-02 $ 3,478,594 $ 4,603,701 $ 4,560,785 Jul-02 $ 3,143,953 $ 4,171,413 $ 4,105,619 Aug-02 $ 3,119,430 $ 4,182,676 $ 4,108,903 Sep-02 $ 2,751,962 $ 3,720,072 $ 3,666,374 Oct-02 $ 2,866,168 $ 3,872,223 $ 3,856,659 Nov-02 $ 2,992,853 $ 4,054,605 $ 4,039,079 Dec-02 $ 2,871,642 $ 3,907,017 $ 3,909,829 Jan-03 $ 2,791,236 $ 3,758,941 $ 3,766,729 Feb-03 $ 2,702,196 $ 3,675,117 $ 3,655,234 Mar-03 $ 2,613,293 $ 3,583,239 $ 3,565,681 Apr-03 $ 2,888,473 $ 3,936,905 $ 3,918,683 May-03 $ 3,049,361 $ 4,178,237 $ 4,170,262 Jun-03 $ 3,167,981 $ 4,310,269 $ 4,268,681 Jul-03 $ 3,239,894 $ 4,469,318 $ 4,388,204 Aug-03 $ 3,358,475 $ 4,579,710 $ 4,515,023 Sep-03 $ 3,413,554 $ 4,707,484 $ 4,605,775 Oct-03 $ 3,645,621 $ 5,042,186 $ 4,880,279
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 10/4/93. Returns for the Institutional Shares prior to 10/4/93 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan International Equity Fund, which are higher than the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan International Equity Fund, which were lower than the expenses of the Select Share. Returns for the Class A and B Shares prior to 9/28/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A and B Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming International Value Fund, Citigroup PMI Value EPAC Index, and Lipper International Funds Index from October 31, 1993 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Citigroup PMI Value EPAC Index consists of stocks in the Euro Pacific region of the Primary Market Index (The Primary Market Index are stocks that fall in the top 80% of each country's cumulative available capital) that have a value style. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 14 JPMorgan Fleming International Opportunities Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 2/26/1997 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $176.9 Primary Benchmark MSCI EAFE INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Opportunities Fund, which seeks long-term capital appreciation through investing in foreign equities, rose by 24.0% (Institutional Shares) in the year ended October 31, 2003. This compares with an increase of 27.0% in the MSCI EAFE Index (in U.S. dollars). Please note that the Fund's benchmark was changed to the MSCI EAFE Index on February 28, 2003, from the MSCI All Country World Free (ex-U.S.) Index. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The Fund achieved strong gains in the year ended October 31, 2003, although it trailed the MSCI EAFE Index benchmark. Relative to the benchmark, the performance of its holdings was mixed. Unforeseen difficulties in just a few U.K. and Dutch holdings led to some underperformance. At the same time, stock selection added value in a number of areas, particularly in cyclical stocks in Japan. The greatest disappointment was Corus, the Anglo-Dutch steel manufacturer. The company's Dutch Supervisory Board stopped the sale of its aluminum business, preventing it from paying down debt and focusing on its carbon steel business. U.K. electrical retailer Dixons Group fell back sharply early in 2003 following poor Christmas sales and the announcement of a monopolies inquiry into its sale of extended warranties, from which it makes significant profits. In India, a number of low-cost manufacturers performed exceptionally well. Reliance Industries, a conglomerate with a large bulk chemicals business, was the portfolio's best performer. As demand for raw materials increased, Reliance was able to lift its prices at a time when sales were also growing. Ranbaxy Laboratories, a pharmaceutical company, was another major contributor. Ranbaxy can manufacture pharmaceuticals for a fraction of what it costs in developed countries, and is gaining momentum by producing generic versions of blockbuster drugs. In Japan, JFE Holdings, the steel and engineering company, performed well as it achieved greater-than-expected post-merger synergies, and benefited from a sharp increase in steel demand from China. Another area of relative strength was the Energy sector, where being overweight the Russian oil stock, LUKOIL, and underweight the major European stocks, BP and Shell, proved to be a profitable strategy. LUKOIL stock was trading on a considerably cheaper valuation than BP and Shell, and appreciated more with buoyant oil prices. Q: HOW WAS THE FUND MANAGED? A: Expectations of increased business activity within Japan and a number of cyclical sectors caused our analysts to raise earnings forecasts for stocks in these areas. As a result, we lifted our exposure to several cyclical stocks and reduced the underweight position in Japan. Examples of companies where we increased weightings are JFE Holdings and Minebea Co., the Japanese ball bearing manufacturer. 15 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 24.2% Japan 18.8% France 9.7% Switzerland 8.9% The Netherlands 6.1% Germany 4.5% Finland 4.4% Hong Kong 3.8% Australia 2.8% South Korea 2.3% India 2.3% Italy 2.1% Spain 2.0% Sweden 1.5% Brazil 1.3% Taiwan 1.1% Mexico 1.0% Singapore 0.7% United States 0.7% Belgium 0.5% Russia 0.5% Denmark 0.3% Thailand 0.3% Greece 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.Nokia OYJ (Finland) 3.1% 2.Vodafone Group PLC (United Kingdom) 3.0% 3.Total SA (France) 2.6% 4.HSBC Holdings PLC (United Kingdom) 2.6% 5.Royal Bank of Scotland Group PLC (United Kingdom) 2.5% 6.BNP Paribas (France) 2.4% 7.Honda Motor Co., LTD (Japan) 2.3% 8.Reliance Industries LTD (India), GDR, 2.3% 9.Unilever PLC (United Kingdom) 2.2% 10.GlaxoSmithKline PLC (United Kingdom) 2.1%
Top 10 equity holdings comprised 25.1% of the Portfolio's market value of investments ($43,493,594). As of October 31, 2003, the Fund held 98 equity holdings. Portfolio holdings are subject to change at any time. 16 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (2/26/97) ----------------------------------------------- CLASS A SHARES Without Sales Charge 22.70% (7.79%) 0.44% (0.14%) With Sales Charge* 15.60% (9.59%) (0.76%) (1.02%) ----------------------------------------------- CLASS B SHARES Without CDSC 22.18% (8.10%) 0.23% (0.29%) With CDSC** 17.18% (9.00%) (0.14%) (0.29%) ----------------------------------------------- INSTITUTIONAL SHARES 24.02% (6.92%) 1.03% 0.38% ----------------------------------------------- SELECT SHARES 23.77% (7.29%) 0.76% 0.10%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. LIFE OF FUND PERFORMANCE (2/26/97 TO 10/31/03) [CHART]
JPMORGAN FLEMING INTERNATIONAL MSCI ALL COUNTRY WORLD OPPORTUNITIES FUND (INSTITUTIONAL SHARES) INDEX FREE (EX-U.S.) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX Feb-97 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Feb-97 $ 2,988,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Mar-97 $ 3,002,940 $ 2,993,700 $ 3,010,800 $ 3,015,900 Apr-97 $ 3,023,961 $ 3,019,146 $ 3,026,757 $ 3,029,170 May-97 $ 3,140,988 $ 3,205,428 $ 3,223,799 $ 3,200,015 Jun-97 $ 3,284,845 $ 3,382,367 $ 3,401,430 $ 3,353,616 Jul-97 $ 3,374,850 $ 3,450,691 $ 3,456,534 $ 3,461,267 Aug-97 $ 3,137,935 $ 3,179,122 $ 3,198,331 $ 3,211,710 Sep-97 $ 3,314,915 $ 3,351,112 $ 3,377,437 $ 3,417,901 Oct-97 $ 3,008,948 $ 3,065,598 $ 3,117,712 $ 3,158,483 Nov-97 $ 2,981,868 $ 3,027,278 $ 3,085,912 $ 3,131,951 Dec-97 $ 3,052,240 $ 3,062,091 $ 3,112,759 $ 3,156,381 Jan-98 $ 3,091,614 $ 3,153,648 $ 3,255,012 $ 3,232,765 Feb-98 $ 3,263,817 $ 3,363,996 $ 3,463,984 $ 3,438,046 Mar-98 $ 3,408,730 $ 3,480,390 $ 3,570,675 $ 3,624,731 Apr-98 $ 3,444,863 $ 3,505,449 $ 3,598,883 $ 3,680,552 May-98 $ 3,351,162 $ 3,441,650 $ 3,581,248 $ 3,687,913 Jun-98 $ 3,299,890 $ 3,428,916 $ 3,608,466 $ 3,655,829 Jul-98 $ 3,312,099 $ 3,461,491 $ 3,644,911 $ 3,711,763 Aug-98 $ 2,722,877 $ 2,973,420 $ 3,193,307 $ 3,177,640 Sep-98 $ 2,595,718 $ 2,910,681 $ 3,095,272 $ 3,078,816 Oct-98 $ 2,922,779 $ 3,215,430 $ 3,417,800 $ 3,305,108 Nov-98 $ 3,062,195 $ 3,388,098 $ 3,592,791 $ 3,470,694 Dec-98 $ 3,169,066 $ 3,504,988 $ 3,734,347 $ 3,556,073 Jan-99 $ 3,196,954 $ 3,501,132 $ 3,723,144 $ 3,577,766 Feb-99 $ 3,100,406 $ 3,422,707 $ 3,634,533 $ 3,485,817 Mar-99 $ 3,293,251 $ 3,588,023 $ 3,786,093 $ 3,601,895 Apr-99 $ 3,461,207 $ 3,767,425 $ 3,939,430 $ 3,769,743 May-99 $ 3,361,524 $ 3,590,356 $ 3,736,549 $ 3,629,508 Jun-99 $ 3,557,501 $ 3,755,512 $ 3,882,275 $ 3,801,547 Jul-99 $ 3,674,899 $ 3,843,767 $ 3,997,578 $ 3,886,322 Aug-99 $ 3,712,382 $ 3,857,220 $ 4,012,369 $ 3,917,024 Sep-99 $ 3,749,878 $ 3,883,449 $ 4,052,894 $ 3,929,558 Oct-99 $ 3,849,999 $ 4,027,913 $ 4,204,878 $ 4,066,700 Nov-99 $ 4,037,494 $ 4,189,030 $ 4,350,787 $ 4,364,789 Dec-99 $ 4,432,765 $ 4,588,663 $ 4,741,488 $ 4,901,221 Jan-00 $ 4,157,047 $ 4,339,499 $ 4,440,403 $ 4,614,500 Feb-00 $ 4,293,398 $ 4,456,665 $ 4,559,850 $ 4,919,057 Mar-00 $ 4,325,169 $ 4,624,236 $ 4,736,772 $ 4,931,846 Apr-00 $ 4,134,862 $ 4,366,203 $ 4,487,618 $ 4,619,167 May-00 $ 4,071,598 $ 4,254,429 $ 4,378,120 $ 4,492,140 Jun-00 $ 4,267,849 $ 4,435,667 $ 4,549,305 $ 4,700,126 Jul-00 $ 4,141,094 $ 4,260,458 $ 4,358,689 $ 4,547,842 Aug-00 $ 4,210,665 $ 4,313,288 $ 4,396,609 $ 4,624,701 Sep-00 $ 3,985,394 $ 4,073,901 $ 4,182,494 $ 4,355,081 Oct-00 $ 3,814,022 $ 3,944,351 $ 4,083,788 $ 4,207,008 Nov-00 $ 3,611,116 $ 3,767,249 $ 3,930,646 $ 4,029,472 Dec-00 $ 3,713,672 $ 3,896,089 $ 4,070,183 $ 4,179,772 Jan-01 $ 3,726,670 $ 3,954,530 $ 4,068,148 $ 4,204,432 Feb-01 $ 3,441,580 $ 3,641,332 $ 3,763,037 $ 3,909,281 Mar-01 $ 3,169,695 $ 3,383,889 $ 3,512,043 $ 3,634,459 Apr-01 $ 3,402,667 $ 3,613,994 $ 3,756,130 $ 3,855,434 May-01 $ 3,383,272 $ 3,514,248 $ 3,623,538 $ 3,762,132 Jun-01 $ 3,273,316 $ 3,379,301 $ 3,475,336 $ 3,656,040 Jul-01 $ 3,129,617 $ 3,304,280 $ 3,412,084 $ 3,560,983 Aug-01 $ 3,113,343 $ 3,222,334 $ 3,325,759 $ 3,489,407 Sep-01 $ 2,742,855 $ 2,880,444 $ 2,988,859 $ 3,109,062 Oct-01 $ 2,807,861 $ 2,961,097 $ 3,065,374 $ 3,193,317 Nov-01 $ 2,957,239 $ 3,096,419 $ 3,178,486 $ 3,312,428 Dec-01 $ 3,005,738 $ 3,136,363 $ 3,197,240 $ 3,371,389 Jan-02 $ 2,851,243 $ 3,002,126 $ 3,027,466 $ 3,235,185 Feb-02 $ 2,851,243 $ 3,023,742 $ 3,048,658 $ 3,280,478 Mar-02 $ 3,008,917 $ 3,187,931 $ 3,213,591 $ 3,454,015 Apr-02 $ 3,045,024 $ 3,208,652 $ 3,234,800 $ 3,478,193 May-02 $ 3,097,703 $ 3,243,627 $ 3,275,882 $ 3,527,931 Jun-02 $ 2,933,524 $ 3,103,502 $ 3,145,502 $ 3,388,578 Jul-02 $ 2,641,052 $ 2,800,911 $ 2,835,041 $ 3,050,398 Aug-02 $ 2,670,632 $ 2,801,191 $ 2,828,521 $ 3,052,838 Sep-02 $ 2,348,821 $ 2,504,265 $ 2,524,738 $ 2,724,048 Oct-02 $ 2,480,120 $ 2,638,493 $ 2,660,316 $ 2,865,426 Nov-02 $ 2,611,566 $ 2,765,405 $ 2,781,094 $ 3,000,960 Dec-02 $ 2,487,778 $ 2,676,082 $ 2,687,650 $ 2,904,930 Jan-03 $ 2,364,882 $ 2,582,152 $ 2,575,575 $ 2,798,609 Feb-03 $ 2,305,050 $ 2,529,734 $ 2,516,594 $ 2,715,770 Mar-03 $ 2,235,207 $ 2,480,657 $ 2,467,269 $ 2,649,234 Apr-03 $ 2,457,834 $ 2,719,792 $ 2,709,061 $ 2,911,508 May-03 $ 2,610,711 $ 2,893,043 $ 2,873,230 $ 3,098,427 Jun-03 $ 2,670,496 $ 2,973,180 $ 2,942,762 $ 3,171,550 Jul-03 $ 2,740,196 $ 3,052,267 $ 3,013,977 $ 3,260,353 Aug-03 $ 2,813,360 $ 3,143,225 $ 3,086,614 $ 3,354,577 Sep-03 $ 2,889,883 $ 3,231,235 $ 3,181,682 $ 3,422,004 Oct-03 $ 3,076,993 $ 3,440,619 $ 3,379,900 $ 3,625,956
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 2/26/97. Returns for the Institutional Shares prior to 9/10/01 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan Institutional International Opportunities Fund, which are higher than the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan International Opportunities Fund, which are similar to the expenses of the Select Shares. Returns for the Class A and B Shares prior to 9/10/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the J.P. Morgan International Opportunities Fund, which are lower than the expenses of the Class A and B Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming International Opportunities Fund, MSCI EAFE Index, MSCI All Country World Index Free (ex-U.S.), and Lipper International Funds Index from February 26, 1997 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the performance of the worlds equity markets, excluding the U.S. and Canada. The MSCI All Country World Index Free (ex-U.S.) is an unmanaged index that measures developed and emerging foreign stock market performance. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 17 JPMorgan Fleming Emerging Markets Equity Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 11/15/1993 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $81.5 Primary Benchmark MSCI EMERGING MARKETS EQUITY FREE INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Emerging Markets Equity Fund rose 45.5% (Institutional Shares) in the year ended October 31, 2003. This compares with an appreciation of 48.7% from the MSCI Emerging Markets Free Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM THIS WAY? A: As the tentative recovery in global economic growth drove the strongest rally for several years in emerging market stocks, the value of this Fund rose with the stock markets in which it invests. It trailed its benchmark, the MSCI Emerging Markets Free Index, by what was a relatively small amount in the context of the rise. Early in 2003, geopolitical concerns and the outbreak of SARS buffeted Asian markets, but then during the second half they staged a remarkably strong rebound. Korea lagged the region, and our overweight in the country detracted from performance. In the first calendar quarter of 2003, uncertainties regarding an investigation of accounting at the Chaebol business empires, the durability of the consumer credit boom, and heightened tension with North Korea, hurt the performance of Korean stocks. Stock selection within Taiwan made up some of the lost ground, with good performance from holdings such as Taiwan Semiconductor Manufacturing Co. and Taishin Financial. In Latin America, the Fund outperformed in Brazil where the new Lula administration made critical progress with Social Security and fiscal reforms. Additionally, the central bank was able to engineer a more stimulative monetary environment by cutting interest rates. The Fund was overweight Brazil and benefited from holding stocks such as Banco Itau and Petroleo Brasileiro. The corresponding underweight position in Mexico has also been beneficial to the portfolio, as the country's performance has lagged that of the remainder of the region as well as the overall index. Russia drove solid performance in the emerging markets region. Both stock selection and being overweight for much of the year drove performance. Stock selection in the telecom and energy sectors was beneficial, with holdings such as Vimpel Com and Gazprom contributing significantly. Q: HOW WAS THE FUND MANAGED? A: There were a few significant shifts in country allocation during the year. We have recently increased our overweight position in Brazil. It has become the largest country overweight in the portfolio, as we have become increasingly impressed by the progress of the political stability and fiscal reforms that are so important to the country's finances. During the summer, we removed our overweight in Russian equities, as we believed that stocks were fully valued following a significant rally. We are closely watching the situation at Yukos Oil, but do not currently believe it has wider implications. 18 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS South Korea 22.4% South Africa 14.0% Brazil 12.4% Taiwan 11.2% China 8.6% Russia 5.0% Mexico 4.8% Malaysia 3.9% India 3.4% Israel 2.5% Poland 1.9% Indonesia 1.6% Turkey 1.5% Czech Republic 1.1% Chile 1.0% Philippines 0.9% Luxembourg 0.8% Egypt 0.8% Argentina 0.7% Venezuela 0.6% Hungary 0.5% Croatia 0.4% Thailand 0.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.Samsung Electronics Co., LTD (South Korea) 9.0% 2.Anglo American PLC (South Africa) 4.2% 3.Kookmin Bank (South Korea) 3.8% 4.Petroleo Brasileiro SA (Brazil), Class A, ADR 2.7% 5.Sappi LTD (South Africa) 2.7% 6.Taiwan Semiconductor Manufacturing Co., LTD (Taiwan) 2.6% 7.Impala Platinum Holdings LTD (South Africa) 2.6% 8.SK Telecom Co., LTD (South Korea), ADR 2.3% 9.China Mobile LTD (Hong Kong) 1.9% 10.LUKOIL (Russia), ADR 1.7%
Top 10 equity holdings comprised 33.5% of the Portfolio's market value of investments ($26,165,782). As of October 31, 2003, the Fund held 99 equity holdings. Portfolio holdings are subject to change at any time. 19 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/15/93) ----------------------------------------------- CLASS A SHARES Without Sales Charge 44.65% 4.36% 6.99% (0.94%) With Sales Charge* 36.28% 2.30% 5.74% (1.53%) ----------------------------------------------- CLASS B SHARES Without CDSC 43.99% 4.10% 6.83% (1.01%) With CDSC** 38.99% 3.17% 6.52% (1.01%) ----------------------------------------------- INSTITUTIONAL SHARES 45.49% 4.91% 7.54% (0.60%) ----------------------------------------------- SELECT SHARES 44.84% 4.54% 7.11% (0.89%)
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (11/15/93 TO 10/31/03)
JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND MSCI EMERGING MARKETS LIPPER EMERGING MARKET EQUITY FUNDS (INSTITUTIONAL SHARES) EQUITY FREE INDEX AVERAGE Nov-93 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-93 $ 3,062,700 $ 3,000,000 $ 3,000,000 Dec-93 $ 3,519,961 $ 3,495,900 $ 3,416,700 Jan-94 $ 3,752,983 $ 3,559,525 $ 3,576,602 Feb-94 $ 3,669,291 $ 3,496,166 $ 3,485,398 Mar-94 $ 3,358,502 $ 3,179,763 $ 3,216,325 Apr-94 $ 3,257,075 $ 3,116,168 $ 3,110,508 May-94 $ 3,319,937 $ 3,222,740 $ 3,174,896 Jun-94 $ 3,239,262 $ 3,133,793 $ 3,058,060 Jul-94 $ 3,397,662 $ 3,328,715 $ 3,239,708 Aug-94 $ 3,711,267 $ 3,741,808 $ 3,549,101 Sep-94 $ 3,791,801 $ 3,784,465 $ 3,585,301 Oct-94 $ 3,726,203 $ 3,716,345 $ 3,507,500 Nov-94 $ 3,582,744 $ 3,523,095 $ 3,354,573 Dec-94 $ 3,267,104 $ 3,240,190 $ 3,116,063 Jan-95 $ 2,868,844 $ 2,895,434 $ 2,821,907 Feb-95 $ 2,792,820 $ 2,821,311 $ 2,780,143 Mar-95 $ 2,853,703 $ 2,839,367 $ 2,807,388 Apr-95 $ 2,951,015 $ 2,966,855 $ 2,922,210 May-95 $ 3,072,597 $ 3,124,691 $ 3,070,951 Jun-95 $ 3,087,652 $ 3,134,065 $ 3,075,557 Jul-95 $ 3,212,393 $ 3,204,269 $ 3,195,504 Aug-95 $ 3,124,374 $ 3,128,648 $ 3,134,789 Sep-95 $ 3,094,067 $ 3,113,943 $ 3,138,238 Oct-95 $ 2,951,121 $ 2,994,679 $ 3,000,783 Nov-95 $ 2,862,883 $ 2,941,374 $ 2,953,670 Dec-95 $ 2,950,773 $ 3,071,971 $ 3,052,028 Jan-96 $ 3,177,393 $ 3,290,388 $ 3,322,743 Feb-96 $ 3,162,141 $ 3,238,071 $ 3,301,809 Mar-96 $ 3,201,984 $ 3,263,328 $ 3,322,611 Apr-96 $ 3,306,049 $ 3,393,861 $ 3,475,783 May-96 $ 3,330,514 $ 3,378,589 $ 3,527,920 Jun-96 $ 3,339,839 $ 3,399,536 $ 3,553,321 Jul-96 $ 3,180,529 $ 3,167,347 $ 3,345,096 Aug-96 $ 3,251,136 $ 3,248,432 $ 3,444,780 Sep-96 $ 3,235,856 $ 3,276,693 $ 3,468,549 Oct-96 $ 3,146,870 $ 3,189,205 $ 3,381,835 Nov-96 $ 3,183,688 $ 3,242,784 $ 3,465,705 Dec-96 $ 3,211,705 $ 3,257,376 $ 3,528,088 Jan-97 $ 3,471,211 $ 3,479,529 $ 3,813,510 Feb-97 $ 3,567,016 $ 3,628,453 $ 3,950,796 Mar-97 $ 3,557,742 $ 3,533,025 $ 3,863,484 Apr-97 $ 3,539,242 $ 3,539,384 $ 3,899,414 May-97 $ 3,665,946 $ 3,640,611 $ 4,077,227 Jun-97 $ 3,851,443 $ 3,835,384 $ 4,313,706 Jul-97 $ 3,978,156 $ 3,892,531 $ 4,460,804 Aug-97 $ 3,564,030 $ 3,397,012 $ 4,065,130 Sep-97 $ 3,700,176 $ 3,491,109 $ 4,229,768 Oct-97 $ 3,047,835 $ 2,918,218 $ 3,569,078 Nov-97 $ 2,961,276 $ 2,811,703 $ 3,430,241 Dec-97 $ 2,963,941 $ 2,879,465 $ 3,486,840 Jan-98 $ 2,744,906 $ 2,653,715 $ 3,240,669 Feb-98 $ 2,917,561 $ 2,930,763 $ 3,539,459 Mar-98 $ 3,057,020 $ 3,057,958 $ 3,672,897 Apr-98 $ 3,083,616 $ 3,024,626 $ 3,696,403 May-98 $ 2,638,959 $ 2,610,252 $ 3,219,567 Jun-98 $ 2,336,798 $ 2,336,437 $ 2,918,860 Jul-98 $ 2,418,119 $ 2,410,502 $ 3,010,804 Aug-98 $ 1,729,680 $ 1,713,626 $ 2,161,155 Sep-98 $ 1,792,813 $ 1,822,270 $ 2,221,451 Oct-98 $ 1,965,820 $ 2,014,155 $ 2,422,270 Nov-98 $ 2,072,171 $ 2,181,732 $ 2,579,476 Dec-98 $ 2,064,918 $ 2,150,097 $ 2,539,236 Jan-99 $ 2,010,198 $ 2,115,481 $ 2,478,040 Feb-99 $ 1,973,813 $ 2,136,001 $ 2,465,898 Mar-99 $ 2,199,618 $ 2,417,526 $ 2,741,092 Apr-99 $ 2,512,843 $ 2,716,574 $ 3,124,023 May-99 $ 2,480,176 $ 2,700,818 $ 3,094,969 Jun-99 $ 2,720,505 $ 3,007,360 $ 3,464,509 Jul-99 $ 2,665,823 $ 2,925,560 $ 3,381,707 Aug-99 $ 2,676,753 $ 2,952,183 $ 3,343,155 Sep-99 $ 2,614,920 $ 2,852,399 $ 3,221,464 Oct-99 $ 2,629,564 $ 2,913,155 $ 3,336,471 Nov-99 $ 2,859,124 $ 3,174,465 $ 3,701,147 Dec-99 $ 3,291,996 $ 3,578,257 $ 4,368,464 Jan-00 $ 3,244,262 $ 3,599,727 $ 4,329,584 Feb-00 $ 3,222,201 $ 3,647,243 $ 4,517,921 Mar-00 $ 3,214,790 $ 3,665,114 $ 4,563,101 Apr-00 $ 2,961,786 $ 3,317,662 $ 4,063,897 May-00 $ 2,855,458 $ 3,180,642 $ 3,829,817 Jun-00 $ 3,013,079 $ 3,292,601 $ 4,023,606 Jul-00 $ 2,870,259 $ 3,123,361 $ 3,840,934 Aug-00 $ 2,910,443 $ 3,138,666 $ 3,920,057 Sep-00 $ 2,657,525 $ 2,864,660 $ 3,523,739 Oct-00 $ 2,448,644 $ 2,656,972 $ 3,265,802 Nov-00 $ 2,206,718 $ 2,424,753 $ 2,954,571 Dec-00 $ 2,296,752 $ 2,483,189 $ 3,059,754 Jan-01 $ 2,604,976 $ 2,825,125 $ 3,424,782 Feb-01 $ 2,421,586 $ 2,603,917 $ 3,162,101 Mar-01 $ 2,190,324 $ 2,348,213 $ 2,869,607 Apr-01 $ 2,285,822 $ 2,464,214 $ 3,034,896 May-01 $ 2,355,540 $ 2,493,538 $ 3,125,640 Jun-01 $ 2,304,189 $ 2,442,421 $ 3,066,878 Jul-01 $ 2,135,523 $ 2,288,060 $ 2,865,997 Aug-01 $ 2,109,896 $ 2,265,408 $ 2,808,391 Sep-01 $ 1,794,256 $ 1,914,723 $ 2,411,846 Oct-01 $ 1,885,942 $ 2,033,627 $ 2,558,486 Nov-01 $ 2,080,383 $ 2,245,938 $ 2,816,893 Dec-01 $ 2,202,293 $ 2,424,265 $ 2,994,076 Jan-02 $ 2,298,534 $ 2,506,448 $ 3,111,144 Feb-02 $ 2,342,895 $ 2,547,554 $ 3,177,412 Mar-02 $ 2,446,451 $ 2,700,916 $ 3,357,889 Apr-02 $ 2,472,384 $ 2,718,472 $ 3,391,132 May-02 $ 2,439,006 $ 2,675,249 $ 3,360,272 Jun-02 $ 2,242,910 $ 2,474,605 $ 3,112,284 Jul-02 $ 2,035,665 $ 2,286,288 $ 2,881,664 Aug-02 $ 2,061,518 $ 2,321,496 $ 2,903,565 Sep-02 $ 1,858,046 $ 2,071,007 $ 2,620,467 Oct-02 $ 1,943,145 $ 2,205,415 $ 2,742,581 Nov-02 $ 2,072,753 $ 2,357,148 $ 2,914,266 Dec-02 $ 2,007,668 $ 2,278,891 $ 2,840,535 Jan-03 $ 2,007,668 $ 2,268,863 $ 2,816,959 Feb-03 $ 1,944,427 $ 2,207,604 $ 2,756,113 Mar-03 $ 1,854,983 $ 2,144,908 $ 2,665,988 Apr-03 $ 2,026,384 $ 2,336,020 $ 2,913,658 May-03 $ 2,186,468 $ 2,503,746 $ 3,129,560 Jun-03 $ 2,301,913 $ 2,646,459 $ 3,276,649 Jul-03 $ 2,462,127 $ 2,812,128 $ 3,442,776 Aug-03 $ 2,614,778 $ 3,000,821 $ 3,676,540 Sep-03 $ 2,618,439 $ 3,022,727 $ 3,737,571 Oct-03 $ 2,826,858 $ 3,279,961 $ 4,035,081
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 11/15/93. Returns for the Institutional Shares prior to 9/10/01 (offering date of the Institutional Shares) are calculated using the historical expenses of the J.P. Morgan Institutional Emerging Markets Equity Fund, which are similar to the expenses of the Institutional Shares. Returns for the Select Shares prior to 9/10/01 (offering date of the Select Shares) are calculated using the historical expenses of the J.P. Morgan Emerging Markets Equity Fund, which are similar to the expenses of the Select Shares. Returns for the Class A and B Shares prior to 9/28/01 (offering date of the Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A and B Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming Emerging Markets Equity Fund, MSCI Emerging Markets Equity Free Index and Lipper Emerging Markets Equity Funds Average from November 15, 1993 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI Emerging Markets Equity Free Index is a replica (or model) of the world's emerging market equity markets. The Lipper Emerging Market Equity Funds Average describes the average total returns for all the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 20 JPMorgan Fleming Asia Equity Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 11/1/2001 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $ 38.6 Primary Benchmark MSCI ALL COUNTRY FAR EAST FREE INDEX (EX-JAPAN)
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Asia Equity Fund, which seeks total return from long-term capital growth, rose by 29.6% (Class A Shares, without sales charge) in the year ended October 31, 2003. This compares with an increase of 36.8% in the MSCI All Country Far East Free ex. Japan Index (in U.S. dollars). Q: WHY DID THE FUND PERFORM IN THIS WAY? A: In a 12-month period that was dominated by the recent surge in Asian share prices, the Fund made substantial gains. Stocks with low-quality investment fundamentals such as high debt, high valuations, and sales with high sensitivity to economic activity led the rally. By contrast, the Fund has tended to overweight higher quality companies, with more sustainable long-term growth prospects. As a result, the Fund trailed its MSCI All Country Far East Free ex. Japan Index benchmark. The leadership of lower quality stocks was particularly pronounced in markets like Taiwan. While the Fund was underweight selected electronics companies that outperformed, some of our higher quality technology stocks underperformed. For example, Acer Inc., the Taiwanese laptop computer manufacturer, performed exceptionally well. Meanwhile, higher quality holdings such as Sindo Ricoh Co., the office equipment company, detracted from performance. We achieved strong relative performance from investing in companies poised to benefit from China's boom and the related increase in intra-regional growth. Within China, soaring levels of investment for new factories, and strong demand from Chinese consumers for cars and houses, is creating a voracious appetite for raw materials from across the region. Two shipping stocks, Thoresen Thai Agencies and Neptune Orient, were among the best performers. In China, PetroChina Co. and Jiangxi Copper Industry Co., gained from soaring demand for raw materials. Another stock that did well was Techtronic Industries Co., a Hong Kong-based manufacturer of low-cost drills and drill bits, which it sells to leading U.S. retailers such as Wal-Mart. With the market appreciating as rapidly as this, our relatively small cash holding also acted as a drag on performance. Q: HOW WAS THE FUND MANAGED? A: For much of the period the Fund was invested in the quality stocks we believe most likely to gain from cyclical global recovery and strong growth in China. We were successful in holding shipping stocks and Chinese commodity producers. We were also correct to be overweight in Information Technology, but held the wrong stocks. The Fund was underweight in defensive sectors such as Financials, Telecommunications, Consumer Staples and Utilities. 21 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS South Korea 24.8% Taiwan 19.1% Hong Kong 18.3% China 9.1% Malaysia 8.7% Thailand 7.7% Singapore 6.5% Indonesia 5.8%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.Samsung Electronics Co., LTD (South Korea) 9.3% 2.Thoresen Thai Agencies PLC (Thailand), NVDR 3.4% 3.Kookmin Bank (South Korea) 3.0% 4.United Microelectronics Corp. (Taiwan) 2.9% 5.Taiwan Semiconductor Manufacturing Co., LTD (Taiwan) 2.7% 6.Hon Hai Precision Industry Co., LTD (Taiwan) 2.6% 7.Bank of East Asia LTD (Hong Kong) 2.5% 8.China Telecom Corp., LTD (China), Class H 2.3% 9.Bangkok Bank PCL (Thailand) 2.2% 10.Hutchison Whampoa LTD (Hong Kong) 2.1%
Top 10 equity holdings comprised 33.0% of the Portfolio's market value of investments ($11,947,496). As of October 31, 2003, the Fund held 66 equity holdings. Portfolio holdings are subject to change at any time. 22 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR (11/1/01) ----------------------- CLASS A SHARES Without Sales Charge 29.58% 8.76% With Sales Charge* 22.09% 5.57% ----------------------- INSTITUTIONAL SHARES 30.12% 9.07% ----------------------- SELECT SHARES 29.83% 8.95%
* Sales Charge for Class A Shares is 5.75%. [CHART] LIFE OF FUND PERFORMANCE (11/1/01 TO 10/31/03)
JPMORGAN FLEMING ASIA EQUITY FUND MSCI ALL COUNTRY FAR EAST FREE LIPPER PACIFIC REGION FUNDS (CLASS A SHARES) INDEX (EX-JAPAN) INDEX (EX-JAPAN) Nov-01 $ 9,425 $ 10,000 $ 10,000 Nov-01 $ 9,689 $ 10,000 $ 10,000 Dec-01 $ 9,921 $ 10,906 $ 10,661 Jan-02 $ 9,878 $ 11,354 $ 11,083 Feb-02 $ 10,003 $ 11,386 $ 11,208 Mar-02 $ 10,455 $ 12,218 $ 11,954 Apr-02 $ 10,399 $ 12,393 $ 12,039 May-02 $ 10,543 $ 12,153 $ 11,980 Jun-02 $ 9,966 $ 11,500 $ 11,378 Jul-02 $ 9,382 $ 11,081 $ 10,869 Aug-02 $ 9,174 $ 10,838 $ 10,607 Sep-02 $ 8,319 $ 9,605 $ 9,442 Oct-02 $ 8,602 $ 10,119 $ 9,697 Nov-02 $ 8,891 $ 10,630 $ 10,329 Dec-02 $ 8,338 $ 9,900 $ 9,736 Jan-03 $ 8,451 $ 10,017 $ 9,806 Feb-03 $ 7,986 $ 9,578 $ 9,404 Mar-03 $ 7,583 $ 9,141 $ 8,966 Apr-03 $ 7,765 $ 9,476 $ 9,435 May-03 $ 8,468 $ 10,297 $ 10,278 Jun-03 $ 9,009 $ 10,898 $ 10,913 Jul-03 $ 9,693 $ 11,837 $ 11,697 Aug-03 $ 10,316 $ 12,706 $ 12,524 Sep-03 $ 10,277 $ 12,765 $ 12,683 Oct-03 $ 11,450 $ 13,846 $ 13,707
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 11/1/01. Class A Shares were introduced on 11/1/01. Returns for the Institutional and Select Shares prior to 6/28/02 (offering date of the Institutional and Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Institutional and Select Shares. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Fleming Asia Equity Fund, MSCI All Country Far East Free Index (ex-Japan) and Lipper Pacific Region Funds Index (ex-Japan) from November 1, 2001 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI All Country Far East Free Index (ex-Japan) is a free float-adjusted market capitalization index that is designed to measure equity market performance in the Far East, excluding Japan. The Lipper Pacific Region Funds Index (ex-Japan) represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.75% sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 23 JPMorgan Fleming International Equity Fund AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/1997 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $ 823.8 Primary Benchmark MSCI EAFE INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming International Equity Fund, which seeks long-term capital growth from investing in a portfolio of international equities, rose by 20.9% (Select Shares) in the year ended October 31, 2003. This compares with an increase of 27.0% in the MSCI EAFE Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: During the global stock market rally that followed the March 2003 invasion of Iraq, the Fund made substantial gains across a range of sectors. Relative to the MSCI EAFE Index benchmark, however, it suffered from the market's preference during the period for low-quality companies with such characteristics as low returns on equity, expensive valuations, and high debt levels -- particularly during the third quarter. By contrast, we tend to invest in high-quality companies, a style which has served us well over long periods of time. For an example of how low-quality stocks dominated the rally, one need look no further than the Information Technology sector. Among European cellular phone manufacturers, Nokia, which has robust cash flow, was outperformed by rival Ericsson, which is emerging from a financial restructuring. The Fund was overweight Nokia, and did not own Ericsson. Although the Fund was overweight the sector, which was the correct decision, stock selection caused us to underperform. Another area where the Fund trailed the benchmark was Japan, where the blue-chip exporters were hurt by the rise in the Japanese yen against the U.S. dollar, presenting them with the choice of accepting lower profits or raising their US dollar prices and damaging competitiveness. In the Consumer Discretionary sector, we were overweight Fuji Photo Film Co., Honda Motor Co., Nintendo Co., and Sony Corp., all of which detracted from performance. From a positive perspective, our preference for high-quality companies helped performance in the European Financials and Industrials sectors. In Financials the Fund was overweight Deutsche Bank, Dexia and Nordea. In Industrials it was overweight Compagnie de Saint-Gobain and Deutsche Post. The Fund also benefited from not owning Lloyds TSB Group, the U.K. retail bank which is struggling to grow earnings. Q: HOW WAS THE FUND MANAGED? A: In spite of the momentum-driven equity market's preference for low-quality stocks during the 2003 rally, we have maintained the philosophy of buying high-quality companies that has served us so well over time. As cyclical stocks have become increasingly expensive, we have increased our holdings in companies with high free cash flows and inexpensive valuations in sectors such as Energy, Healthcare and Consumer Staples. 24 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 26.2% Japan 20.6% France 12.4% Switzerland 7.8% Germany 6.8% The Netherlands 6.5% Italy 4.4% South Korea 2.8% Spain 2.4% Australia 2.3% Finland 2.0% Belgium 1.9% Sweden 1.2% Hong Kong 1.1% Ireland 0.9% Brazil 0.4% Russia 0.3%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1.Total SA (France) 4.0% 2.ENI-Ente Nazionale Idrocarburi SPA (Italy) 3.5% 3.Vodafone Group PLC (United Kingdom) 3.4% 4.GlaxoSmithKline PLC (United Kingdom) 2.9% 5.Canon, Inc. (Japan) 2.1% 6.Novartis AG (Switzerland) 2.1% 7.Nokia OYJ (Finland) 2.0% 8.Tesco PLC (United Kingdom) 1.9% 9.Barclays PLC (United Kingdom) 1.9% 10.Nestle SA (Switzerland) 1.9%
Top 10 equity holdings comprised 25.7% of the Portfolio's market value of investments ($204,171,268). As of October 31, 2003, the Fund held 91 equity holdings. Portfolio holdings are subject to change at any time. 25 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ----------------------------------------------- CLASS A SHARES Without Sales Charge 20.41% (4.62%) 1.83% 3.34% With Sales Charge* 13.51% (6.48%) 0.63% 2.73% ----------------------------------------------- CLASS B SHARES Without CDSC 19.84% (4.88%) 1.66% 3.26% With CDSC** 14.84% (5.68%) 1.35% 3.26% ----------------------------------------------- CLASS C SHARES Without CDSC 19.83% (4.88%) 1.66% 3.25% With CDSC*** 18.83% (4.88%) 1.66% 3.25% ----------------------------------------------- SELECT SHARES 20.90% (4.38%) 1.98% 3.42%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the five year period and 0% CDSC for the period since inception. [CHART] TEN-YEAR PERFORMANCE (10/31/93 TO 10/31/03)
JPMORGAN FLEMING INTERNATIONAL EQUITY FUND (SELECT SHARES) MSCI EAFE INDEX LIPPER INTERNATIONAL FUNDS INDEX Oct-93 $ 1,000,000 $ 1,000,000 $ 1,000,000 Nov-93 $ 937,800 $ 912,600 $ 960,300 Dec-93 $ 999,976 $ 978,490 $ 1,056,618 Jan-94 $ 1,056,975 $ 1,061,172 $ 1,122,445 Feb-94 $ 1,024,103 $ 1,058,201 $ 1,095,394 Mar-94 $ 988,976 $ 1,012,592 $ 1,045,225 Apr-94 $ 996,295 $ 1,055,526 $ 1,072,924 May-94 $ 989,320 $ 1,049,510 $ 1,071,314 Jun-94 $ 983,681 $ 1,064,308 $ 1,054,388 Jul-94 $ 1,002,371 $ 1,074,525 $ 1,086,863 Aug-94 $ 1,023,421 $ 1,099,991 $ 1,124,468 Sep-94 $ 978,288 $ 1,065,342 $ 1,095,457 Oct-94 $ 983,864 $ 1,100,818 $ 1,115,066 Nov-94 $ 950,610 $ 1,047,868 $ 1,062,992 Dec-94 $ 958,025 $ 1,054,470 $ 1,048,854 Jan-95 $ 934,361 $ 1,013,978 $ 996,831 Feb-95 $ 913,432 $ 1,011,038 $ 996,532 Mar-95 $ 940,013 $ 1,074,126 $ 1,022,741 Apr-95 $ 960,035 $ 1,114,514 $ 1,060,378 May-95 $ 939,778 $ 1,101,251 $ 1,070,769 Jun-95 $ 921,171 $ 1,081,979 $ 1,074,838 Jul-95 $ 969,716 $ 1,149,386 $ 1,133,955 Aug-95 $ 992,214 $ 1,105,595 $ 1,114,791 Sep-95 $ 1,010,570 $ 1,127,154 $ 1,133,408 Oct-95 $ 999,049 $ 1,096,833 $ 1,109,833 Nov-95 $ 1,015,733 $ 1,127,325 $ 1,121,375 Dec-95 $ 1,052,909 $ 1,172,756 $ 1,153,895 Jan-96 $ 1,088,919 $ 1,177,565 $ 1,181,127 Feb-96 $ 1,081,514 $ 1,181,569 $ 1,186,206 Mar-96 $ 1,104,983 $ 1,206,618 $ 1,204,711 Apr-96 $ 1,150,066 $ 1,241,730 $ 1,243,984 May-96 $ 1,135,575 $ 1,218,883 $ 1,242,616 Jun-96 $ 1,151,473 $ 1,225,708 $ 1,253,924 Jul-96 $ 1,102,075 $ 1,189,918 $ 1,211,666 Aug-96 $ 1,095,573 $ 1,192,535 $ 1,227,418 Sep-96 $ 1,136,547 $ 1,224,257 $ 1,254,912 Oct-96 $ 1,111,770 $ 1,211,769 $ 1,249,892 Nov-96 $ 1,161,689 $ 1,259,998 $ 1,308,637 Dec-96 $ 1,162,851 $ 1,243,744 $ 1,320,284 Jan-97 $ 1,155,060 $ 1,200,213 $ 1,322,001 Feb-97 $ 1,184,976 $ 1,219,896 $ 1,345,929 Mar-97 $ 1,184,976 $ 1,224,288 $ 1,353,062 Apr-97 $ 1,188,057 $ 1,230,777 $ 1,359,016 May-97 $ 1,235,579 $ 1,310,900 $ 1,435,664 Jun-97 $ 1,288,956 $ 1,383,131 $ 1,504,576 Jul-97 $ 1,341,287 $ 1,405,538 $ 1,552,873 Aug-97 $ 1,224,193 $ 1,300,544 $ 1,440,911 Sep-97 $ 1,295,686 $ 1,373,374 $ 1,533,417 Oct-97 $ 1,210,948 $ 1,267,762 $ 1,417,031 Nov-97 $ 1,200,413 $ 1,254,831 $ 1,405,128 Dec-97 $ 1,222,140 $ 1,265,748 $ 1,416,088 Jan-98 $ 1,264,426 $ 1,323,592 $ 1,450,357 Feb-98 $ 1,345,729 $ 1,408,567 $ 1,542,455 Mar-98 $ 1,421,090 $ 1,451,951 $ 1,626,210 Apr-98 $ 1,455,054 $ 1,463,421 $ 1,651,254 May-98 $ 1,473,096 $ 1,456,251 $ 1,654,556 Jun-98 $ 1,448,938 $ 1,467,318 $ 1,640,162 Jul-98 $ 1,494,289 $ 1,482,138 $ 1,665,256 Aug-98 $ 1,256,697 $ 1,298,501 $ 1,425,626 Sep-98 $ 1,199,643 $ 1,258,637 $ 1,381,289 Oct-98 $ 1,269,103 $ 1,389,787 $ 1,482,814 Nov-98 $ 1,326,212 $ 1,460,944 $ 1,557,103 Dec-98 $ 1,387,749 $ 1,518,505 $ 1,595,407 Jan-99 $ 1,428,965 $ 1,513,950 $ 1,605,139 Feb-99 $ 1,364,090 $ 1,477,918 $ 1,563,887 Mar-99 $ 1,402,557 $ 1,539,547 $ 1,615,965 Apr-99 $ 1,459,220 $ 1,601,899 $ 1,691,269 May-99 $ 1,389,178 $ 1,519,401 $ 1,628,353 Jun-99 $ 1,436,688 $ 1,578,658 $ 1,705,537 Jul-99 $ 1,473,467 $ 1,625,544 $ 1,743,571 Aug-99 $ 1,499,547 $ 1,631,558 $ 1,757,345 Sep-99 $ 1,519,191 $ 1,648,037 $ 1,762,969 Oct-99 $ 1,558,994 $ 1,709,838 $ 1,824,496 Nov-99 $ 1,706,319 $ 1,769,170 $ 1,958,232 Dec-99 $ 1,931,383 $ 1,928,041 $ 2,198,898 Jan-00 $ 1,862,046 $ 1,805,610 $ 2,070,263 Feb-00 $ 1,999,651 $ 1,854,181 $ 2,206,900 Mar-00 $ 2,010,249 $ 1,926,124 $ 2,212,638 Apr-00 $ 1,872,949 $ 1,824,810 $ 2,072,357 May-00 $ 1,789,603 $ 1,780,284 $ 2,015,367 Jun-00 $ 1,838,996 $ 1,849,893 $ 2,108,679 Jul-00 $ 1,745,391 $ 1,772,383 $ 2,040,357 Aug-00 $ 1,761,449 $ 1,787,803 $ 2,074,839 Sep-00 $ 1,648,892 $ 1,700,737 $ 1,953,876 Oct-00 $ 1,601,404 $ 1,660,599 $ 1,887,444 Nov-00 $ 1,559,928 $ 1,598,327 $ 1,807,794 Dec-00 $ 1,611,249 $ 1,655,067 $ 1,875,225 Jan-01 $ 1,609,477 $ 1,654,240 $ 1,886,289 Feb-01 $ 1,482,650 $ 1,530,172 $ 1,753,871 Mar-01 $ 1,398,732 $ 1,428,109 $ 1,630,574 Apr-01 $ 1,491,748 $ 1,527,363 $ 1,729,713 May-01 $ 1,446,995 $ 1,473,447 $ 1,687,854 Jun-01 $ 1,386,800 $ 1,413,183 $ 1,640,257 Jul-01 $ 1,354,904 $ 1,387,463 $ 1,597,610 Aug-01 $ 1,322,386 $ 1,352,360 $ 1,565,498 Sep-01 $ 1,212,628 $ 1,215,366 $ 1,394,859 Oct-01 $ 1,255,313 $ 1,246,480 $ 1,432,659 Nov-01 $ 1,307,408 $ 1,292,475 $ 1,486,098 Dec-01 $ 1,337,479 $ 1,300,100 $ 1,512,550 Jan-02 $ 1,277,693 $ 1,231,065 $ 1,451,443 Feb-02 $ 1,292,515 $ 1,239,682 $ 1,471,763 Mar-02 $ 1,364,120 $ 1,306,749 $ 1,549,620 Apr-02 $ 1,390,857 $ 1,315,374 $ 1,560,467 May-02 $ 1,399,202 $ 1,332,079 $ 1,582,782 Jun-02 $ 1,362,403 $ 1,279,062 $ 1,520,262 Jul-02 $ 1,224,528 $ 1,152,819 $ 1,368,540 Aug-02 $ 1,235,793 $ 1,150,167 $ 1,369,634 Sep-02 $ 1,093,801 $ 1,026,639 $ 1,222,125 Oct-02 $ 1,158,116 $ 1,081,770 $ 1,285,553 Nov-02 $ 1,211,737 $ 1,130,882 $ 1,346,360 Dec-02 $ 1,173,204 $ 1,092,885 $ 1,303,276 Jan-03 $ 1,106,214 $ 1,047,311 $ 1,255,576 Feb-03 $ 1,076,346 $ 1,023,328 $ 1,218,411 Mar-03 $ 1,052,128 $ 1,003,271 $ 1,188,560 Apr-03 $ 1,166,074 $ 1,101,591 $ 1,306,228 May-03 $ 1,243,967 $ 1,168,348 $ 1,390,087 Jun-03 $ 1,264,990 $ 1,196,622 $ 1,422,894 Jul-03 $ 1,278,273 $ 1,225,580 $ 1,462,735 Aug-03 $ 1,305,372 $ 1,255,116 $ 1,505,008 Sep-03 $ 1,334,351 $ 1,293,774 $ 1,535,258 Oct-03 $ 1,399,253 $ 1,374,376 $ 1,626,760
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/1/97. Returns for the Select Shares prior to 1/1/97 (offering date of the Select Shares) are calculated using performance of a predecessor account and the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. Returns for the Class A and B Shares prior to 2/28/02 (offering date of the Class A and B Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A and B Shares. Returns for Class C Shares prior to 1/31/03 (offering date of the Class C Shares) are calculated using the historical expenses of the Class B Shares, which are similar to the expenses of the Class C Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Fleming International Equity Fund, MSCI EAFE Index, and Lipper International Funds Index from October 31, 1993 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the world's equity markets, excluding the U.S. and Canada. The Lipper International Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 26 JPMorgan Fleming European Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 100.0% AUSTRIA -- 2.6% 17,594 Bank Austria Creditanstalt AG* $ 766,575 6,262 Erste Bank Der Oesterreichischen Sparkassen AG 692,356 2,789 OMV AG 356,641 ----------------------------------------------------------------- 1,815,572 ----------------------------------------------------------------- BELGIUM -- 5.3% 23,294 Delhaize Group (l) 1,106,181 41,619 Dexia 655,574 11,571 KBC Bancassurance Holding 490,835 19,067 Melexis NV 209,018 4,047 Mobistar SA* 203,239 17,065 NV Umicore SA 1,038,517 527 Van De Velde NV 56,454 ----------------------------------------------------------------- 3,759,818 ----------------------------------------------------------------- DENMARK -- 2.6% 126 AP Moller-Maersk AS 989,155 10,064 Danske Bank AS 203,025 4,225 ISS AS 201,519 12,364 NKT Holding AS 210,754 8,580 Thrane & Thrane AS 236,822 ----------------------------------------------------------------- 1,841,275 ----------------------------------------------------------------- FINLAND -- 2.8% 144,443 Fortum OYJ 1,331,558 13,804 Kesko OYJ, B Shares 214,710 3,955 Kone OYJ, B Shares 206,665 9,881 Pohjola Group PLC, D Shares 222,725 261 YIT-Yhtyma OYJ 8,010 ----------------------------------------------------------------- 1,983,668 ----------------------------------------------------------------- FRANCE -- 10.0% 6,466 Autoroutes du Sud de la France 199,192 6,436 BNP Paribas 338,178 7,529 Cie Generale D'Optique Essilor International SA 362,175 4,855 Eramet 179,758 1,773 Imerys SA 340,082 4,135 Neopost SA 205,303 17,204 Renault SA 1,137,973 6,897 Sagem SA 703,956 4,693 Societe Generale $ 348,612 8,575 Total SA 1,332,772 86,746 Veolia Environnement 1,936,159 ----------------------------------------------------------------- 7,084,160 ----------------------------------------------------------------- GERMANY -- 9.0% 33,354 Bayerische Hypo-und Vereinsbank AG* 728,172 10,034 Continental AG 341,769 45,250 Deutsche Lufthansa AG 704,877 70,074 Deutsche Post AG 1,356,317 16,939 HeidelbergCement AG* 722,086 976 Hypo Real Estate Holding* 16,849 47,231 Infineon Technologies AG* 697,303 59,288 Norddeutsche Affinerie AG 647,177 29,719 Software AG* 687,507 8,718 Techem AG* 153,033 18,681 TUI AG (l) 326,834 ----------------------------------------------------------------- 6,381,924 ----------------------------------------------------------------- GREECE -- 1.4% 46,000 National Bank of Greece SA 962,543 IRELAND -- 0.3% 2,020 Depfa Bank PLC 226,605 ITALY -- 4.3% 52,666 Banca Fideuram SPA 330,609 126,508 ENI-Ente Nazionale Idrocarburi SPA 2,008,905 18,469 Fondiaria-SAI SPA (l) 320,548 253,209 Pirelli & Co., SPA 196,334 30,224 Tiscali SPA* 200,973 ----------------------------------------------------------------- 3,057,369 ----------------------------------------------------------------- LIECHTENSTEIN -- 0.3% 1,693 Verwaltungs & Privat-Bank AG 221,871 LUXEMBOURG -- 0.3% 4,434 RTL Group SA 246,643 NORWAY -- 9.3% 121,731 Aker Kvaerner ASA* 1,988,099 120,820 DnB Holding ASA 705,576
SEE NOTES TO FINANCIAL STATEMENTS. 27
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NORWAY -- CONTINUED 27,481 Eltek ASA* $ 190,407 6,233 Norsk Hydro ASA 350,780 39,340 Orkla ASA 824,677 96,400 Smedvig ASA, A Shares 667,925 69,790 Statoil ASA 656,250 197,114 Tandberg Television ASA* 741,403 94,026 Telenor ASA 511,874 ----------------------------------------------------------------- 6,636,991 ----------------------------------------------------------------- SPAIN -- 3.0% 16,809 Cortefiel SA 123,495 24,138 Metrovacesa SA (l) 686,354 77,736 Repsol YPF SA 1,355,515 ----------------------------------------------------------------- 2,165,364 ----------------------------------------------------------------- SWEDEN -- 4.5% 43,059 ForeningsSparbanken AB 717,572 7,898 Lindex AB 230,839 71,053 Skandinaviska Enskilda Banken AB, Class A 856,185 54,237 Song Networks Holding AB* 354,588 19,533 Svenska Handelsbanken, Class A 344,294 24,078 Swedish Match AB 195,998 32,248 Trelleborg AB 471,266 ----------------------------------------------------------------- 3,170,742 ----------------------------------------------------------------- SWITZERLAND -- 9.0% 4,171 Charles Voegele Holding AG* 247,539 37,890 Compagnie Financiere Richemont AG, 852,657 Class A 9,752 Credit Suisse Group 343,604 757 Forbo Holding AG* 209,750 1,195 Julius Baer Holding AG 387,490 3,321 Komax Holding AG* 211,394 2,492 Leica Geosystems AG* 354,574 23,941 Micronas Semiconductor Holding AG* 995,040 3,690 Rieter Holding AG 757,149 8,714 Saurer AG 371,961 917 SGS Societe Generale Surveillance Holdings SA 517,780 951 Sulzer AG 226,115 6,024 Tecan Group AG 216,536 7,972 Unilabs SA $ 153,130 25,394 Vontobel Holding AG 556,240 6,400,959 ----------------------------------------------------------------- THE NETHERLANDS -- 12.2% 33,722 ABN AMRO Holding NV 707,589 46,304 ASML Holding NV* 803,653 29,212 Corio NV 974,277 14,797 Exact Holding NV* 361,230 24,960 KLM-Koninklijke Luchtvaart MIJ NV (l) 404,191 44,814 Koninklijke BAM Groep NV 1,140,381 26,166 Koninklijke Philips Electronics NV 705,388 47,623 Koninklijke Wessanen NV 465,036 24,067 Nutreco Holding NV 643,487 37,317 Royal Nedlloyd NV 1,202,949 15,405 Scala Business Solutions NV* 36,175 4,228 Sligro Food Group NV 113,046 2,040 Stork NV 36,047 32,274 TPG NV 695,965 33,270 Unit 4 Agresso NV* 350,406 ----------------------------------------------------------------- 8,639,820 ----------------------------------------------------------------- UNITED KINGDOM -- 23.1% 116,654 Avis Europe PLC 219,732 111,269 BAE Systems PLC 345,538 38,644 Barclays PLC 325,919 40,797 Barratt Developments PLC 339,231 107,863 Big Food Group PLC 206,834 91,730 BP PLC 636,657 62,512 British American Tobacco PLC 755,822 161,130 Cable & Wireless PLC 372,549 353,116 Cookson Group PLC* 209,728 679,728 Dimension Data Holdings PLC* 380,645 96,669 DS Smith PLC 270,802 328,384 FKI PLC 643,628 72,177 Gallaher Group PLC 722,640 58,480 George Wimpey PLC 324,508 468,783 HMV Group PLC 1,248,943 110,631 Imperial Chemical Industries PLC 363,739 141,246 JJB Sports PLC 680,715 38,265 Marconi Corp., PLC* 354,540 191,677 McBride PLC 357,794
SEE NOTES TO FINANCIAL STATEMENTS. 28
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UNITED KINGDOM -- CONTINUED 191,173 Mowlem PLC $ 634,226 41,223 Persimmon PLC 324,935 345,098 Pilkington PLC 509,486 20,953 RAC PLC 191,649 476,460 Royal & Sun Alliance Insurance Group 709,488 99,441 Shell Transport & Trading Co., PLC 620,989 229,935 SSL International PLC 1,151,060 192,678 Taylor Woodrow PLC 732,405 4,800 TI Automotive LTD, Class A (d) (f)* 0 97,455 Uniq PLC 355,561 226,699 United Utilities PLC 1,812,892 55,098 Whitbread PLC 702,177 ----------------------------------------------------------------- 16,504,832 ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 71,100,156 (COST $65,530,069) ----------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 1,076,338 Merrill Lynch Premier Fund 1,076,338 1,076,338 Reserve Primary Fund 1,076,338 ----------------------------------------------------------------- $ 2,152,676 -----------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - ------------------------------------------------------------------------------ Oil & Gas 15.4% Banking 14.9 Transportation 6.0 Retailing 5.7 Utilities 5.3 Food/Beverage Products 4.4 Construction 4.3 Telecommunications 4.2 Semi-Conductors 3.8 Manufacturing 3.7 Electronics/Electrical Equipment 3.0 Health Care/Health Care Services 2.6 Metals/Mining 2.6 Computer Software 2.5 Automotive 2.4 Real Estate 2.3 Construction Materials 1.8 Insurance 1.8 Consumer Products 1.6 Airlines 1.6 Machinery & Engineering Equipment 1.4 Agricultural Production/Services 1.3 Diversified 1.2 Business Services 1.0 Other (below 1%) 5.2 - ------------------------------------------------------------------------------ 100.0% - ------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMorgan Fleming Japan Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 100.0% AUTOMOTIVE -- 8.4% 500 F.C.C. Co., LTD $ 16,328 1,800 Honda Motor Co., LTD 71,060 8,000 Kayaba Industry Co., LTD 31,437 4,500 Nissan Motor Co., LTD 50,430 48,000 Tokyo Buhin Kogyo Co., LTD* 143,648 ----------------------------------------------------------------- 312,903 ----------------------------------------------------------------- BANKING -- 3.3% 11 Mitsubishi Tokyo Financial Group, Inc. 79,046 10 UFJ Holdings, Inc. 42,753 ----------------------------------------------------------------- 121,799 ----------------------------------------------------------------- BUSINESS SERVICES -- 1.6% 13 Fullcast Co., LTD 41,034 6 Fullcast Co., LTD (W/I)* 16,646 ----------------------------------------------------------------- 57,680 ----------------------------------------------------------------- CHEMICALS -- 2.2% 3,000 Kansai Paint Co., LTD 12,007 600 Nitto Denko Corp. 31,491 4,000 Zeon Corp. 36,386 ----------------------------------------------------------------- 79,884 ----------------------------------------------------------------- COMPUTER SOFTWARE -- 0.7% 500 Fuji Soft Abc, Inc. 15,145 300 Hitachi Software Engineering Co., LTD 9,333 ----------------------------------------------------------------- 24,478 ----------------------------------------------------------------- CONSTRUCTION MATERIALS -- 0.5% 3,000 Sanwa Shutter Corp. 17,110 CONSUMER PRODUCTS -- 1.1% 644 Noritz Corp. 8,787 700 Uni-Charm Corp. 32,665 ----------------------------------------------------------------- 41,452 ----------------------------------------------------------------- CONSUMER SERVICES -- 0.3% 600 Meiko Network Japan Co., LTD 11,298 DISTRIBUTION -- 3.6% 4,000 Mitsubishi Corp. $ 41,516 2,000 Mitsui & Co., LTD 14,554 300 Ohashi Technica, Inc. 8,050 3,200 Paltek Corp. 33,765 5,000 Sumitomo Corp. 34,702 ----------------------------------------------------------------- 132,587 ----------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 9.3% 500 Advantest Corp. 37,249 2,000 Dainippon Screen Manufacturing Co., LTD* 14,281 500 Geomatec Co., LTD 12,826 1,100 Hosiden Corp. 15,209 1,400 Koha Co., LTD 55,650 1,000 Meiko Electronics Co. 31,382 9,000 Nissin Electric Co., LTD* 25,952 1,400 Omron Corp. 30,691 4,000 Osaki Electric Co., LTD 20,776 3,000 Sharp Corp. 47,237 200 SMC Corp. 24,069 400 Sumida Corp. 12,480 2,000 Sumitomo Electric Industries LTD 17,192 ----------------------------------------------------------------- 344,994 ----------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 2.9% 1,400 Daiichikosho Co., LTD 74,499 700 Mars Engineering Corp. 31,964 ----------------------------------------------------------------- 106,463 ----------------------------------------------------------------- FINANCIAL SERVICES -- 8.9% 430 Acom Co., LTD 19,244 400 Aeon Credit Service Co., LTD 18,520 1,000 Hitachi Capital Corp. 13,417 400 Jafco Co., LTD 34,202 16 Mizuho Financial Group, Inc.* 39,150 14,000 Nikko Cordial Corp. 75,518 200 ORIX Corp. 16,828 7,000 Shinko Securities Co., LTD* 23,177 10 Sumitomo Mitsui Financial Group, Inc. 50,302 15,000 Tokai Tokyo Securities Co., LTD* 40,797 ----------------------------------------------------------------- 331,155 -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED INSURANCE -- 1.0% 3 Millea Holdings, Inc. $ 35,748 INTERNET SERVICES/SOFTWARE -- 4.1% 2,900 Matsui Securities Co., LTD 69,641 1,600 Softbank Corp. 82,231 ----------------------------------------------------------------- 151,872 ----------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 3.8% 6,000 Iseki & Co., LTD* 14,627 9,000 Kawasaki Heavy Industries LTD 11,379 3,000 Rorze Corp.* 29,472 8,000 Sumitomo Heavy Industries LTD* 17,683 1,300 Takeuchi Manufacturing Co., LTD 43,754 2,000 Tsubakimoto Chain Co. 6,622 10,000 Yuken Kogyo Co., LTD* 18,647 ----------------------------------------------------------------- 142,184 ----------------------------------------------------------------- MANUFACTURING -- 4.1% 2,500 Glory LTD 78,456 1,000 Tamron Co., LTD 55,942 2,000 Toto LTD 16,646 ----------------------------------------------------------------- 151,044 ----------------------------------------------------------------- METALS/MINING -- 3.3% 16,000 Nippon Light Metal Co., LTD 41,188 13,000 Pacific Metals Co., LTD* 61,964 3,000 Sumitomo Metal Mining Co., LTD 20,576 ----------------------------------------------------------------- 123,728 ----------------------------------------------------------------- MULTI-MEDIA -- 4.5% 2 Fuji Television Network, Inc. 10,643 110 Usen Corp.* 158,093 ----------------------------------------------------------------- 168,736 ----------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 1.3% 1,000 Canon, Inc. 48,392 PHARMACEUTICALS -- 2.1% 2,000 Alfresa Holdings Corp.* 79,320 PHOTOGRAPHIC EQUIPMENT -- 0.5% 1,500 Konica Minolta Holdings, Inc. $ 19,716 PRINTING & PUBLISHING -- 0.3% 1,100 Toppan Forms Co., LTD 12,027 REAL ESTATE -- 11.6% 4,100 Arnest One Corp. 83,167 8 ES-Con Japan LTD 63,310 4,500 First Juken Co., LTD 73,680 2,000 Nihon Eslead Corp. 38,295 2,000 Sumitomo Realty & Development Co., LTD 18,556 17 Tact Home Co., LTD* 92,473 6,000 The Japan General Estate Co., LTD 61,182 ----------------------------------------------------------------- 430,663 ----------------------------------------------------------------- RETAILING -- 2.9% 6 Quin Land Co., LTD 71,497 1,600 VT Holdings Co., LTD 17,421 600 Yamada Denki Co., LTD 19,102 ----------------------------------------------------------------- 108,020 ----------------------------------------------------------------- SEMI-CONDUCTORS -- 0.8% 21 UMC Japan* 28,653 SHIPPING/TRANSPORTATION -- 2.1% 3,000 Yusen Air & Sea Service Co. 79,411 STEEL -- 1.1% 1,000 JFE Holdings, Inc. 25,561 11,000 Kobe Steel LTD* 14,108 ----------------------------------------------------------------- 39,669 ----------------------------------------------------------------- TELECOMMUNICATIONS -- 7.4% 14 KDDI Corp. 76,027 19 Okinawa Cellular Telephone Co. 123,400 4,000 Uniden Corp. 76,045 ----------------------------------------------------------------- 275,472 -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 31
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TIRE & RUBBER -- 0.5% 4,000 Sumitomo Rubber Industries, LTD $ 19,393 200 The Yokohama Rubber Co., LTD 555 ----------------------------------------------------------------- 19,948 ----------------------------------------------------------------- TOOLS/EQUIPMENT -- 1.6% 2,100 THK Co., LTD 42,598 3,000 Toyoda Machine Works LTD 15,773 ----------------------------------------------------------------- 58,371 ----------------------------------------------------------------- TOYS & GAMES -- 0.8% 400 Nintendo Co., LTD $ 30,891 TRANSPORTATION -- 3.4% 10,000 Mitsui O.S.K. Lines LTD 40,660 46,000 Shinwa Kaiun Kaisha LTD* 71,971 3,000 Tokyu Corp. 14,872 ----------------------------------------------------------------- 127,503 ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 3,713,171 (COST $3,404,929) -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32 JPMorgan Fleming International Growth Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.00% COMMON STOCKS -- 98.9% AUSTRALIA -- 1.0% 4,600 News Corp., LTD $ 40,916 BRAZIL -- 0.7% 600 Companhia Vale Do Rio Doce, ADR 27,450 FINLAND -- 1.8% 4,170 Nokia OYJ 70,839 FRANCE -- 12.7% 2,530 Aventis SA 133,997 1,510 BNP Paribas 79,360 880 Cie de Saint-Gobain 37,133 2,020 Dassault Systemes SA 85,730 1,070 Total SA 166,341 ----------------------------------------------------------------- 502,561 ----------------------------------------------------------------- GERMANY -- 7.1% 1,250 Altana AG 78,791 1,290 Bayerische Motoren Werke AG 51,673 1,000 Deutsche Boerse AG 55,603 2,000 Schering AG 93,415 ----------------------------------------------------------------- 279,482 ----------------------------------------------------------------- HONG KONG (CHINA) -- 1.0% 24,000 Li & Fung LTD 40,319 IRELAND -- 1.5% 4,700 Bank of Ireland 58,420 ITALY -- 1.7% 4,180 ENI-Ente Nazionale Idrocarburi SPA 66,392 JAPAN -- 19.3% 2,000 Canon, Inc. 96,776 2,700 Chugai Pharmaceutical Co., LTD 38,457 3,000 Fuji Photo Film Co., LTD 88,408 1,000 Honda Motor Co., LTD 39,474 600 Hoya Corp. 54,300 2,000 Kao Corp. 41,111 500 Nidec Corp. 48,433 14,000 Nikko Cordial Corp. 75,510 900 Nintendo Co., LTD $ 69,498 1,500 Secom Co., LTD 58,666 1,000 Seiko Epson Corp. 36,018 3,000 Sharp Corp. 47,233 900 Shin-Etsu Chemical Co., LTD 33,480 610 Takefuji Corp. 36,119 ----------------------------------------------------------------- 763,483 ----------------------------------------------------------------- RUSSIA -- 0.7% 606 YUKOS, ADR 27,391 SOUTH KOREA -- 5.7% 2,050 Kookmin Bank, ADR 75,338 420 Samsung Electronics Co., LTD, GDR 84,000 30 Samsung Electronics Co., LTD, GDR, # 5,957 3,100 SK Telecom Co., LTD, ADR* 60,760 ----------------------------------------------------------------- 226,055 ----------------------------------------------------------------- SPAIN -- 3.3% 2,650 Altadis SA 64,276 1,250 Banco Popular Espanol 65,012 ----------------------------------------------------------------- 129,288 ----------------------------------------------------------------- SWITZERLAND -- 4.1% 520 Nestle SA 114,526 1,300 Novartis AG 49,569 ----------------------------------------------------------------- 164,095 ----------------------------------------------------------------- TAIWAN -- 0.7% 2,632 Taiwan Semiconductor Manufacturing Co., LTD, ADR* 29,110 THE NETHERLANDS -- 7.6% 1,900 ABN AMRO Holding NV 39,877 1,600 Heineken NV 57,114 3,250 Koninklijke Philips Electronics NV 87,633 5,200 Reed Elsevier NV 57,924 4,170 Wolters Kluwer NV 58,621 ----------------------------------------------------------------- 301,169 -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 33
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UNITED KINGDOM -- 30.0% 12,320 Barclays PLC $ 103,892 23,990 BG Group PLC 109,395 3,600 British Sky Broadcasting PLC* 39,093 15,500 Centrica PLC 48,523 14,810 Compass Group PLC 85,375 7,300 GlaxoSmithKline PLC 156,316 10,387 Kingfisher PLC 49,788 8,820 LogicaCMG PLC 45,944 2,800 Reckitt Benckiser PLC 58,911 2,100 Rio Tinto PLC 50,918 4,880 Royal Bank of Scotland Group PLC 130,742 2,500 Standard Chartered PLC 39,980 25,900 Tesco PLC 103,822 80,900 Vodafone Group PLC 169,868 ----------------------------------------------------------------- 1,192,567 ----------------------------------------------------------------- Total Common Stocks 3,919,537 (Cost $3,699,666) ----------------------------------------------------------------- PREFERRED STOCK -- 1.1% GERMANY -- 1.1% 90 Porsche AG 44,216 (Cost $34,729) ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 3,963,753 (COST $3,734,395) -----------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - ------------------------------------------------------------------------------ Banking 15.0% Pharmaceuticals 13.9 Oil & Gas 9.3 Food/Beverage Products 9.1 Telecommunications 7.6 Electronics/Electrical Equipment 7.0 Consumer Products 5.2 Financial Services 4.2 Automotive 3.4 Semi-Conductors 3.0 Multi-Media 2.5 Office/Business Equipment 2.4 Photographic Equipment 2.2 Computer Software 2.2 Metals/Mining 2.0 Toys & Games 1.7 Printing & Publishing 1.5 Health Care/Health Care Services 1.4 Retailing 1.3 Utilities 1.2 Computers/Computer Hardware 1.2 Broadcasting/Cable 1.0 Other (below 1%) 1.7 - ------------------------------------------------------------------------------ 100.0% - ------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.3% COMMON STOCKS -- 99.2% AUSTRALIA -- 2.3% 266,423 WMC Resources LTD* + $ 967,890 BRAZIL -- 2.7% 42,500 Cia Energetica de Minas Gerais, ADR + 622,200 24,493 Petroleo Brasileiro SA, ADR + 532,968 ----------------------------------------------------------------- 1,155,168 ----------------------------------------------------------------- FRANCE -- 12.7% 68,049 AXA + 1,289,436 27,762 BNP Paribas + 1,458,745 7,834 Total SA + 1,217,601 12,750 Valeo SA + 477,410 45,014 Veolia Environnement + 1,004,707 ----------------------------------------------------------------- 5,447,899 ----------------------------------------------------------------- GERMANY -- 7.1% 22,213 Bayerische Hypo-und Vereinsbank AG* + 484,946 10,175 Celesio AG + 423,456 18,627 MAN AG + 512,111 5,252 Muenchener Rueckversicherungs AG + 626,416 12,008 Schering AG + 564,650 25,250 TUI AG (l) + 441,762 ----------------------------------------------------------------- 3,053,341 ----------------------------------------------------------------- GREECE -- 0.2% 4,240 Public Power Corp. + 91,383 HONG KONG (CHINA) -- 1.2% 212,000 Wharf Holdings LTD + 533,706 INDIA -- 2.1% 42,234 Reliance Industries LTD, GDR, # + 906,371 IRELAND -- 1.9% 56,229 Allied Irish Banks PLC + 822,302 ITALY -- 4.2% 45,756 ENI-Ente Nazionale Idrocarburi SPA + 726,589 28,083 Riunione Adriatica di Sicurta SPA + 438,766 130,344 UniCredito Italiano SPA + 642,462 ----------------------------------------------------------------- 1,807,817 ----------------------------------------------------------------- JAPAN -- 18.0% 9,800 Aiful Corp. + $ 619,548 92,600 Asahi Breweries LTD + 773,246 99,000 Daiwa Securities Group, Inc. + 724,028 167,000 Fujitsu LTD + 1,046,646 20,900 Honda Motor Co., LTD + 825,087 27,900 JFE Holdings, Inc. + 713,140 249,000 Kubota Corp. + 896,930 24,000 Nippon Electric Glass Co., LTD + 440,988 30,200 Sony Corp. + 1,052,131 20,400 World Co., LTD + 552,981 ----------------------------------------------------------------- 7,644,725 ----------------------------------------------------------------- MEXICO -- 1.3% 31,600 Grupo Financiero BBVA Bancomer, ADR* + 536,426 RUSSIA -- 0.9% 4,967 LUKOIL, ADR + 401,334 SINGAPORE -- 3.3% 102,000 DBS Group Holdings LTD + 837,818 599,000 Singapore Telecommunications LTD + 591,792 ----------------------------------------------------------------- 1,429,610 ----------------------------------------------------------------- SOUTH KOREA -- 2.0% 4,249 Samsung Electronics Co., LTD, GDR, # + 843,697 SPAIN -- 2.3% 59,186 Iberdrola SA + 987,328 SWITZERLAND -- 9.3% 34,523 Compagnie Financiere Richemont AG, Class A + 776,887 33,431 Credit Suisse Group + 1,177,915 15,586 Holcim LTD + 655,958 7,726 UBS AG + 474,431 6,928 Zurich Financial Services AG + 887,174 ----------------------------------------------------------------- 3,972,365 ----------------------------------------------------------------- THAILAND -- 1.5% 408,000 Advanced Info Service PCL + 634,064
SEE NOTES TO FINANCIAL STATEMENTS. 35
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED THE NETHERLANDS -- 10.7% 56,723 ABN AMRO Holding NV + $ 1,190,219 122,812 Koninklijke KPN NV* + 933,704 40,145 Koninklijke Philips Electronics NV + 1,082,237 14,708 Royal Dutch Petroleum Co. + 652,629 48,872 Vedior NV + 704,486 ----------------------------------------------------------------- 4,563,275 ----------------------------------------------------------------- UNITED KINGDOM -- 15.5% 41,315 GlaxoSmithKline PLC + 884,786 48,359 HSBC Holdings PLC + 726,259 50,021 Intercontinental Hotels Group PLC + 453,915 102,580 Rank Group PLC + 487,407 53,239 Royal Bank of Scotland Group PLC + 1,426,537 121,501 Scottish Power PLC + 721,637 229,573 Tesco PLC + 920,372 170,600 TI Automotive LTD, Class A (d) (f)* + 0 117,845 Unilever PLC + 1,004,889 ----------------------------------------------------------------- 6,625,802 ----------------------------------------------------------------- Total Common Stocks 42,424,503 (Cost $34,229,843) ----------------------------------------------------------------- RIGHT -- 0.1% GERMANY -- 0.1% 5,252 Muenchener Rueckversicherungs-Gesellschaft AG, expires 11/10/03 + (Cost $0) 43,410 Total Long-Term Investments 42,467,913 (Cost $34,229,843) ----------------------------------------------------------------- PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 0.7% U.S. TREASURY SECURITY -- 0.5% $ 200,000 U.S. Treasury Bill, 0.88%, 11/20/03, @ + 199,904 (Cost $199,907) MONEY MARKET FUND -- 0.2% 102,657 JPMorgan Prime Money Market Fund (a) $ 102,657 (Cost $102,657) Total Short-Term Investments 302,561 (Cost $302,564) ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 42,770,474 (COST $34,532,407) ----------------------------------------------------------------- COLLATERAL INVESTMENTS MONEY MARKET FUNDS (c) 185,505 Merrill Lynch Premier Fund 185,505 185,505 Reserve Primary Fund 185,505 ----------------------------------------------------------------- $ 371,010 -----------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - ------------------------------------------------------------------------------ Banking 21.6% Oil & Gas 8.3 Utilities 8.0 Insurance 7.7 Food/Beverage Products 6.3 Electronics/Electrical Equipment 6.0 Telecommunications 5.0 Financial Services 4.4 Pharmaceuticals 4.4 Machinery & Engineering Equipment 3.3 Automotive 3.0 Computers/Computer Hardware 2.4 Metals/Mining 2.3 Entertainment/Leisure 2.2 Chemicals 2.1 Semi-Conductors 2.0 Retailing 1.8 Steel 1.7 Business Services 1.7 Construction Materials 1.5 Apparel 1.3 Diversified 1.2 Hotels/Other Lodging 1.1 Other (below 1%) 0.7 - ------------------------------------------------------------------------------ 100.0% - ------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36 FUTURES CONTRACTS
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 9 DJ Euro Stoxx December, 2003 $ 270,454 $ 8,522 4 FTSE 100 Index December, 2003 291,673 1,521 3 TOPIX Index December, 2003 285,578 (10,231)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------- 47,330,770 JPY for 370,000 EUR 11/21/03 $ 429,916** $ 430,756** $ 840 410,000 CHF for 185,161 GBP 11/21/03 313,821** 307,167** (6,654) 49,644,900 JPY for 270,000 GBP 11/21/03 457,611** 451,817** (5,794) 2,020,000 EUR for 259,051,158 JPY 11/21/03 2,357,616** 2,347,108** (10,508) 260,000 GBP for 47,694,400 JPY 11/21/03 434,065** 440,663** 6,598 1,852,242 AUD 11/21/03 1,191,871 1,311,918 120,047 2,185,217 CHF 11/21/03 1,630,215 1,637,139 6,924 14,114,276 DKK 11/21/03 2,117,512 2,206,112 88,600 3,919,987 EUR 11/21/03 4,420,837 4,554,769 133,932 4,412,744 GBP 11/21/03 7,019,585 7,478,970 459,385 3,313,620 HKD 11/21/03 424,801 426,865 2,064 938,535,672 JPY 11/21/03 8,249,964 8,541,583 291,619 1,326,085 NOK 11/21/03 177,445 187,364 9,919 6,508,227 SEK 11/21/03 784,900 833,613 48,713 - ---------------------------------------------------------------------------------------------------------------- $ 30,010,159 $ 31,155,844 $ 1,145,685 - ---------------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------- 440,000 AUD 11/21/03 $ 302,381 $ 311,646 $ (9,265) 3,847,504 CHF 11/21/03 2,782,775 2,882,506 (99,731) 12,023,602 EUR 11/21/03 13,476,343 13,970,641 (494,298) 2,035,000 GBP 11/21/03 3,257,658 3,449,034 (191,376) 458,537,688 JPY 11/21/03 4,062,978 4,173,137 (110,159) 1,983,354 SGD 11/21/03 1,133,410 1,139,366 (5,956) - ---------------------------------------------------------------------------------------------------------------- $ 25,015,545 $ 25,926,330 $ (910,785) - ----------------------------------------------------------------------------------------------------------------
** For cross-currency exchange contracts, the settlement value is the market value at 10/31/03 of the currency being sold and the value at 10/31/03 is the market value at 10/31/03 of the currency being bought. SEE NOTES TO FINANCIAL STATEMENTS. 37 JPMorgan Fleming International Opportunities Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.3% COMMON STOCKS -- 99.3% AUSTRALIA -- 2.8% 314,643 News Corp., LTD + $ 2,315,160 719,595 Southern Pacific Petroleum NL* + 142,965 639,783 WMC Resources LTD* + 2,324,272 ----------------------------------------------------------------- 4,782,397 ----------------------------------------------------------------- BELGIUM -- 0.5% 40,235 Interbrew SA + 942,007 BRAZIL -- 1.3% 103,297 Petroleo Brasileiro SA, ADR + 2,247,743 DENMARK -- 0.3% 23,200 Group 4 Falck AS + 520,631 FINLAND -- 4.4% 319,142 Nokia OYJ + 5,420,317 81,606 Tietoenator OYJ + 2,162,955 ----------------------------------------------------------------- 7,583,272 ----------------------------------------------------------------- FRANCE -- 9.7% 46,920 Alcatel SA* + 619,077 80,010 BNP Paribas + 4,204,101 30,639 France Telecom* + 741,559 37,795 Sanofi-Synthelabo SA + 2,339,615 11,162 Technip-Coflexip SA + 1,102,939 29,679 Total SA + 4,612,870 97,896 Veolia Environnement + 2,185,026 44,639 Vivendi Universal SA* + 937,698 ----------------------------------------------------------------- 16,742,885 ----------------------------------------------------------------- GERMANY -- 4.5% 80,445 Bayerische Hypo-und Vereinsbank AG* + 1,756,245 21,816 Bayerische Motoren Werke AG + 874,953 23,740 E.ON AG + 1,194,976 18,038 MAN AG + 495,918 41,230 Schering AG + 1,938,752 86,444 TUI AG (l) + 1,512,383 ----------------------------------------------------------------- 7,773,227 ----------------------------------------------------------------- GREECE -- 0.2% 14,400 Public Power Corp., SA + 310,358 HONG KONG (CHINA) -- 3.8% 1,210,000 Cathay Pacific Airways LTD + $ 2,313,829 220,000 Henderson Land Development Co., LTD + 923,548 1,270,000 PCCW LTD* + 907,645 950,000 Wharf Holdings LTD + 2,391,607 ----------------------------------------------------------------- 6,536,629 ----------------------------------------------------------------- INDIA -- 2.3% 183,242 Reliance Industries LTD, GDR, # + 3,932,502 ITALY -- 2.1% 65,569 ENI-Ente Nazionale Idrocarburi SPA + 1,041,213 518,716 UniCredito Italiano SPA + 2,556,736 ----------------------------------------------------------------- 3,597,949 ----------------------------------------------------------------- JAPAN -- 18.8% 38,300 Aiful Corp. + 2,421,294 91,600 Asahi Breweries LTD + 764,896 73,000 Chugai Pharmaceutical Co., LTD + 1,039,869 390,000 Daiwa Securities Group, Inc. + 2,852,232 38,000 Fujisawa Pharmaceutical Co., LTD + 784,645 513,000 Fujitsu LTD + 3,215,144 100,400 Honda Motor Co., LTD + 3,963,578 14,000 Ito-Yokado Co., LTD + 514,486 73,000 JFE Holdings, Inc. + 1,865,921 924,000 Kubota Corp. + 3,328,367 27,300 Kyocera Corp. + 1,643,935 116,000 Matsushita Electric Works LTD + 871,570 377,000 Minebea Co., LTD + 2,146,741 168,000 Mitsubishi Corp. + 1,743,649 104,000 Mitsubishi Pharma Corp. (l) + 650,857 6,400 Nintendo Co., LTD + 494,256 183 Nippon Telegraph & Telephone Corp. + 817,328 68,000 Ricoh Co., LTD + 1,289,671 66,800 Sony Corp. + 2,327,230 ----------------------------------------------------------------- 32,735,669 ----------------------------------------------------------------- MEXICO -- 1.0% 106,597 Grupo Financiero BBVA Bancomer, ADR* + 1,809,537
SEE NOTES TO FINANCIAL STATEMENTS. 38
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RUSSIA -- 0.5% 10,978 LUKOIL, ADR + $ 887,022 SINGAPORE -- 0.7% 79,000 DBS Group Holdings LTD + 648,899 637,000 Singapore Telecommunications LTD + 629,335 ----------------------------------------------------------------- 1,278,234 ----------------------------------------------------------------- SOUTH KOREA -- 2.3% 6,080 Samsung Electronics Co., LTD + 2,414,532 4,800 Samsung SDI Co., LTD + 494,804 56,584 SK Telecom Co., LTD, ADR + 1,109,046 ----------------------------------------------------------------- 4,018,382 ----------------------------------------------------------------- SPAIN -- 2.0% 34,286 Acerinox SA + 1,492,654 115,314 Iberdrola SA + 1,923,643 ----------------------------------------------------------------- 3,416,297 ----------------------------------------------------------------- SWEDEN -- 1.5% 56,562 Atlas Copco AB + 1,986,705 44,985 Securitas AB, B Shares + 553,601 ----------------------------------------------------------------- 2,540,306 ----------------------------------------------------------------- SWITZERLAND -- 8.9% 31,570 Adecco SA + 1,861,787 150,024 Compagnie Financiere Richemont AG, Class A + 3,376,059 43,073 Credit Suisse Group + 1,517,643 14,886 Lonza Group AG + 730,170 35,928 Roche Holding AG + 2,973,037 16,689 Swiss Reinsurance Co. + 1,050,444 580 Synthes-Stratec, Inc. + 532,505 34,714 UBS AG + 2,131,687 9,055 Zurich Financial Services AG + 1,159,550 ----------------------------------------------------------------- 15,332,882 ----------------------------------------------------------------- TAIWAN -- 1.1% 55,250 Compal Electronics, Inc., Regulation S, GDR + 417,138 270,339 United Microelectronics Corp., ADR* + 1,419,280 ----------------------------------------------------------------- 1,836,418 ----------------------------------------------------------------- THAILAND -- 0.3% 289,100 Advanced Info Service PCL + $ 449,284 THE NETHERLANDS -- 6.1% 60,621 ABN AMRO Holding NV + 1,272,011 225,209 Aegon NV + 2,953,149 25,494 Akzo Nobel NV + 806,116 59,398 ING Groep NV + 1,233,229 424,484 Koninklijke KPN NV* + 3,227,227 40,853 Koninklijke Philips Electronics NV+ 1,101,324 ----------------------------------------------------------------- 10,593,056 ----------------------------------------------------------------- UNITED KINGDOM -- 24.2% 62,618 AstraZeneca PLC + 2,941,279 159,073 BBA Group PLC + 701,169 45,522 British American Tobacco PLC + 550,398 45,428 Carnival PLC + 1,568,769 269,404 Centrica PLC + 843,473 342,626 Dixons Group PLC + 789,280 166,242 GlaxoSmithKline PLC + 3,560,173 508,037 Hays PLC + 1,051,783 298,507 HSBC Holdings PLC + 4,482,999 78,606 Man Group PLC + 1,932,836 164,201 Marks & Spencer Group PLC + 801,793 743,200 mmO2 PLC* + 807,154 304,072 Prudential PLC + 2,359,397 104,067 Reckitt Benckiser PLC + 2,189,806 160,301 Royal Bank of Scotland Group PLC + 4,295,258 218,684 Scottish Power PLC + 1,298,841 594,993 Tesco PLC + 2,385,364 448,433 Unilever PLC + 3,823,882 2,475,215 Vodafone Group PLC + 5,197,914 42,230 WPP Group PLC + 402,385 ----------------------------------------------------------------- 41,983,953 ----------------------------------------------------------------- Total Common Stocks 171,850,640 (Cost $136,685,952) -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 39
PRINCIPAL AMOUNT (USD) ISSUER VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 0.7% U.S. TREASURY SECURITY -- 0.3% $ 500,000 U.S. Treasury Bill, 0.94%, 11/20/03, @ + $ 499,756 (Cost $499,753) SHARES - -------------------------------------------------------------------------------- MONEY MARKET FUND -- 0.4% 653,496 JPMorgan Prime Money Market Fund (a) 653,496 (Cost $653,496) Total Short-Term Investments 1,153,252 (Cost $1,153,249) TOTAL INVESTMENTS -- 100.0% $ 173,003,892 (COST $137,839,201) ----------------------------------------------------------------- COLLATERAL INVESTMENTS MONEY MARKET FUNDS (c) 766,142 Merrill Lynch Premier Fund 766,142 766,142 Reserve Primary Fund 766,142 ----------------------------------------------------------------- $ 1,532,284 -----------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - ------------------------------------------------------------------------------ Banking 13.2% Telecommunications 11.5 Pharmaceuticals 9.4 Electronics/Electrical Equipment 6.4 Financial Services 5.2 Oil & Gas 5.2 Insurance 5.1 Food/Beverage Products 4.6 Utilities 4.5 Machinery & Engineering Equipment 3.4 Computers/Computer Hardware 3.3 Retailing 3.2 Chemicals 3.2 Automotive 2.8 Steel 1.9 Multi-Media 1.9 Entertainment/Leisure 1.8 Business Services 1.7 Consumer Products 1.6 Diversified 1.4 Metals/Mining 1.3 Airlines 1.3 Distribution 1.0 Other (below 1%) 5.1 - ------------------------------------------------------------------------------ 100.0% - ------------------------------------------------------------------------------
FUTURES CONTRACTS
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 30 DJ Euro Stoxx December, 2003 $ 901,514 $ 51,751 6 FTSE 100 Index December, 2003 437,510 10,397 4 TOPIX Index December, 2003 380,770 (4,030)
SEE NOTES TO FINANCIAL STATEMENTS. 40 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------- 5,681,825 AUD 11/20/03 $ 3,673,725 $ 4,024,782 $ 351,057 1,926,046 CHF 11/20/03 1,360,000 1,442,935 82,935 10,378,088 EUR 11/20/03 11,700,200 12,059,003 358,803 4,260,000 EUR for 545,971,070 JPY 11/20/03 4,968,714** 4,949,982** (18,732) 5,715,126 GBP 11/20/03 9,292,782 9,687,028 394,246 1,791,565,567 JPY 11/20/03 15,339,928 16,304,398 964,470 16,848,533 SEK 11/20/03 2,015,978 2,158,167 142,189 - ---------------------------------------------------------------------------------------------------------------- $ 48,351,327 $ 50,626,295 $ 2,274,968 - ---------------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------- 5,763,837 CHF 11/20/03 $ 4,250,924 $ 4,318,092 $ (67,168) 16,111,760 EUR 11/20/03 17,949,326 18,721,344 (772,018) 4,093,258 GBP 11/20/03 6,498,437 6,937,992 (439,555) 26,522,622 HKD 11/20/03 3,400,676 3,416,599 (15,923) 1,079,515,314 JPY 11/20/03 9,414,281 9,824,336 (410,055) 7,548,842 SEK 11/20/03 980,000 966,948 13,052 - ---------------------------------------------------------------------------------------------------------------- $ 42,493,644 $ 44,185,311 $ (1,691,667) - ----------------------------------------------------------------------------------------------------------------
** For cross-currency exchange contracts, the settlement value is the market value at 10/31/03 of the currency being sold and the value at 10/31/03 is the market value at 10/31/03 of the currency being bought. SEE NOTES TO FINANCIAL STATEMENTS. 41 JPMorgan Fleming Emerging Markets Equity Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 96.7% ARGENTINA -- 0.7% 45,927 Grupo Financiero Galicia SA, ADR* $ 277,399 34,375 Telecom Argentina SA, ADR* 264,344 ----------------------------------------------------------------- 541,743 ----------------------------------------------------------------- BRAZIL -- 10.8% 14,187 Brasil Telecom Participacoes SA, ADR 518,109 61,302 Cia de Bebidas das Americas, ADR 1,299,602 25,008 Cia Vale do Rio Doce, ADR 1,010,323 33,973 Empresa Brasileira de Aeronautica SA, ADR 881,599 27,455 Petroleo Brasileiro SA, ADR (Common) 645,193 98,616 Petroleo Brasileiro SA, ADR (Preferred) 2,145,883 57,110 Tele Norte Leste Participacoes SA, ADR 809,249 49,295 Uniao de Bancos Brasileiros SA, ADR 1,089,912 ----------------------------------------------------------------- 8,399,870 ----------------------------------------------------------------- CHILE -- 1.0% 29,907 Banco Santander Chile SA, ADR 710,590 3,834 Cia de Telecomunicaciones de Chile SA, ADR 58,392 ----------------------------------------------------------------- 768,982 ----------------------------------------------------------------- CHINA -- 8.6% 989,996 Beijing Capital International Airport Co., LTD, Class H 366,514 513,500 China Mobile Hong Kong LTD 1,458,037 2,186,669 China Petroleum & Chemical Corp., Class H 725,070 320,000 China Resources Enterprises 377,043 2,280,000 China Telecom Corp., LTD Class H 756,017 292,450 CNOOC LTD 551,707 658,265 Cosco Pacific LTD 894,278 706,000 Giordano International LTD 318,194 632,000 Harbin Brewery Group LTD 301,119 CHINA -- CONTINUED 559,974 Huaneng Power International, Inc., Class H $ 872,514 218,000 PICC Property & Casualty Co., LTD, Class H (1)* 50,530 ----------------------------------------------------------------- 6,671,023 ----------------------------------------------------------------- CROATIA -- 0.4% 23,049 Pliva D.D., GDR, # $ 342,888 CZECH REPUBLIC -- 1.1% 9,573 Komercni Banka AS 854,859 EGYPT -- 0.8% 28,550 Orascom Construction Industries 319,415 29,082 Orascom Telecom Holding SAE* 311,491 ----------------------------------------------------------------- 630,906 ----------------------------------------------------------------- HUNGARY -- 0.5% 3,678 Gedeon Richter LTD, ADR, # 378,233 INDIA -- 1.7% 19,743 ITC LTD 378,437 22,227 Reliance Industries LTD, GDR, # 477,007 15,004 State Bank of India LTD, GDR 450,870 ----------------------------------------------------------------- 1,306,314 ----------------------------------------------------------------- INDONESIA -- 1.6% 28,023 Telekomunikasi Indonesia TBK PT, ADR 397,927 2,300,500 Unilever Indonesia TBK PT 873,197 ----------------------------------------------------------------- 1,271,124 ----------------------------------------------------------------- ISRAEL -- 2.5% 375,560 Bank Hapoalim LTD* 791,577 439,826 Israel Chemicals LTD 576,580 9,579 Taro Pharmaceutical Industries LTD* 615,451 ----------------------------------------------------------------- 1,983,608 -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED LUXEMBOURG -- 0.8% 11,952 Quilmes Industrial SA, ADR* $ 184,061 16,563 Tenaris SA, ADR 450,514 ----------------------------------------------------------------- 634,575 ----------------------------------------------------------------- MALAYSIA -- 3.9% 43,832 British American Tobacco BHD 481,575 56,700 Genting BHD 276,039 301,900 IOI Corp., BHD 603,800 79,500 Malaysia International Shipping Corp., BHD 255,237 35,000 Nestle BHD 193,421 49,000 OYL Industries BHD 451,316 946,280 Public Bank BHD 747,063 ----------------------------------------------------------------- 3,008,451 ----------------------------------------------------------------- MEXICO -- 4.8% 40,000 America Movil SA de CV, Ser. L, ADR 952,000 14,219 Fomento Economico Mexicano SA de CV, ADR 507,903 609,848 Grupo Financiero BBVA Bancomer, Class B* 517,624 33,982 Telefonos de Mexico SA de CV, Class L, ADR 1,092,521 267,637 Wal-Mart de Mexico SA de CV, Ser. C 696,732 ----------------------------------------------------------------- 3,766,780 ----------------------------------------------------------------- PHILIPPINES -- 0.9% 1,671,404 Ayala Corp. 154,102 4,085,545 SM Prime Holdings, Inc. 531,789 ----------------------------------------------------------------- 685,891 ----------------------------------------------------------------- POLAND -- 1.9% 16,401 Bank Pekao SA, GDR, # 468,475 83,678 Telekomunikacja Polska SA 293,056 211,402 Telekomunikacja Polska SA, GDR 731,451 ----------------------------------------------------------------- 1,492,982 ----------------------------------------------------------------- RUSSIA -- 5.0% 16,585 LUKOIL, ADR $ 1,340,068 6,518 Mobile Telesystems, ADR 505,080 35,312 OAO Gazprom, Regulation S, ADR 847,488 10,800 Surgutneftegaz, ADR 255,960 8,458 Vimpel-Communications, ADR* 550,616 8,905 YUKOS, ADR 402,506 ----------------------------------------------------------------- 3,901,718 ----------------------------------------------------------------- SOUTH AFRICA -- 14.0% 159,726 Anglo American PLC 3,251,276 947,895 FirstRand LTD 1,120,427 39,563 Harmony Gold Mining Co., LTD 608,220 21,877 Impala Platinum Holdings LTD 2,010,019 164,603 Sappi LTD 2,082,664 225,211 Standard Bank Group LTD 1,091,270 701,940 Steinhoff International Holdings LTD 712,629 ----------------------------------------------------------------- 10,876,505 ----------------------------------------------------------------- SOUTH KOREA -- 22.4% 81,766 Kookmin Bank 2,984,615 26,030 Korea Electric Power Corp. 502,565 35,544 KT Corp., ADR 700,572 27,320 KT&G Corp. 526,317 14,460 Kumgang Korea Chemical Co., LTD 1,220,578 8,649 POSCO 1,008,502 17,690 Samsung Electronics Co., LTD 7,025,180 15,511 Samsung Fire & Marine Insurance Co., LTD 885,968 4,570 Shinsegae Co., LTD 917,089 93,475 SK Telecom Co., LTD, ADR 1,832,109 ----------------------------------------------------------------- 17,603,495 ----------------------------------------------------------------- TAIWAN -- 11.2% 323,700 China Motors Co., LTD 614,530 906,440 Chinatrust Financial Holding Co. 941,790 1,100,227 Far Eastern Textile Co., LTD 608,808 23,911 First Financial Holding Co., LTD, GDR, # * 320,924 118,540 Formosa Plastics Corp. 181,430 256,020 Hon Hai Precision Industry Co., LTD 1,145,402
SEE NOTES TO FINANCIAL STATEMENTS. 43
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- CONTINUED 25,000 Mediatek, Inc. $ 257,542 396,897 Nan Ya Plastic Corp. 529,196 169,000 Quanta Computer, Inc. 460,118 617,542 Synnex Technology International Corp. 908,818 643,658 Taishin Financial Holdings Co., LTD 456,576 1,032,399 Taiwan Semiconductor Manufacturing Co., LTD* 2,035,931 172,000 Tong Yang Industry 260,721 ----------------------------------------------------------------- 8,721,786 ----------------------------------------------------------------- THAILAND -- 0.0% 136 Dhana Siam Finance PCL (d) (f)* 0 TURKEY -- 1.5% 64,194,000 Turkcell Iletisim Hizmet AS* 489,138 292,196,000 Turkiye Garanti Bankasi AS* 684,680 ----------------------------------------------------------------- 1,173,818 ----------------------------------------------------------------- VENEZUELA -- 0.6% 32,455 Cia Anonima Nacional Telefonos de Venezuela, ADR 485,527 Total Common Stocks 75,501,078 (Cost $62,923,472) ----------------------------------------------------------------- PREFERRED STOCK -- 1.6% BRAZIL -- 1.6% 15,451,502 Banco Itau Holding Financeira SA 1,265,854 (Cost $786,127) WARRANTS -- 1.7% INDIA -- 1.7% 54,704 Housing Development Finance Corp., expires 01/30/04 $ 627,455 2,633 Infosys Technologies LTD, expires 05/13/04 275,464 18,045 Ranbaxy Laboratories LTD, expires 10/04/04 391,396 Total Warrants 1,294,315 (Cost $738,077) ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 78,061,247 (COST $64,447,676) -----------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - ------------------------------------------------------------------------------ Banking 16.5% Telecommunications 14.3 Electronics/Electrical Equipment 10.1 Oil & Gas 9.4 Metals/Mining 8.8 Chemicals 3.8 Financial Services 3.3 Computers/Computer Hardware 3.2 Food/Beverage Products 3.2 Consumer Products 3.1 Semi-Conductors 2.9 Paper/Forest Products 2.7 Retailing 2.5 Pharmaceuticals 1.7 Agricultural Production/Services 1.4 Telecommunications Equipment 1.4 Steel 1.3 Insurance 1.2 Real Estate 1.2 Business Services 1.1 Aerospace 1.1 Automotive 1.1 Other (below 1%) 4.7 - ------------------------------------------------------------------------------ 100.0% - ------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 44 JPMorgan Fleming Asia Equity Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 98.8% CHINA -- 9.1% 180,000 China Mobile Hong Kong LTD 511,094 1,600,000 China Petroleum & Chemical Corp., Class H 530,538 2,500,000 China Telecom Corp., LTD, Class H 828,966 286,000 Cosco Pacific LTD 388,542 1,700,000 Jiangxi Copper Co., LTD, Class H 607,479 2,000,000 Sinopec Beijing Yanhua Petrochemical Co., LTD, Class H* 432,672 ----------------------------------------------------------------- 3,299,291 ----------------------------------------------------------------- HONG KONG (CHINA) -- 18.3% 300,000 Bank of East Asia LTD 896,249 80,000 Cheung Kong Holdings LTD 667,036 750,000 China Insurance International Holdings Co., LTD 502,208 150,000 Esprit Holdings LTD 471,303 86,000 Henderson Land Development Co., LTD 361,023 100,000 Hutchison Whampoa LTD 775,848 300,000 Hysan Development Co., LTD 434,603 250,000 Li & Fung LTD 420,117 2,500,000 Skyworth Digital Holdings LTD 618,103 60,000 Sun Hung Kai Properties LTD 508,003 800,000 The Hongkong & Shanghai Hotels LTD 484,180 400,000 Wheelock & Co., LTD 479,030 ----------------------------------------------------------------- 6,617,703 ----------------------------------------------------------------- INDONESIA -- 5.8% 1,400,000 Astra International TBK PT* 716,766 1,200,000 Bank Central Asia TBK PT* 497,852 57,500 Gudang Garam TBK PT 88,993 300,000 Semen Gresik Persero TBK PT 296,593 700,000 Telekomunikasi Indonesia TBK PT 494,321 ----------------------------------------------------------------- 2,094,525 ----------------------------------------------------------------- MALAYSIA -- 8.7% 400,000 Commerce Asset Holdings BHD 463,158 250,000 Gamuda BHD 500,000 120,000 Genting BHD 584,211 89,600 Malaysia International Shipping Corp., BHD $ 287,663 146,700 Petra Perdana BHD 478,705 550,012 Public Bank BHD 434,220 142,000 Resorts World BHD 411,053 ----------------------------------------------------------------- 3,159,010 ----------------------------------------------------------------- SINGAPORE -- 6.5% 750,000 CapitaLand LTD 702,203 100,000 Keppel Corp., LTD 341,767 40,000 Singapore Press Holdings LTD 452,626 70,000 United Overseas Bank LTD 546,828 30,000 Venture Corp., LTD 325,684 ----------------------------------------------------------------- 2,369,108 ----------------------------------------------------------------- SOUTH KOREA -- 23.9% 100,000 Anam Semiconductor, Inc.* 305,872 10,340 Doosan Heavy Industries & Construction Co., LTD 55,916 20,000 Hyundai Heavy Industries* 567,807 32,470 Hyundai Merchant Marine* 260,638 30,000 Kookmin Bank 1,095,057 50,000 Korean Air Co., LTD 667,512 45,360 LG Card Co., LTD 461,840 6,000 POSCO 699,620 12,000 Samsung Electro-Mechanics Co., LTD 406,591 8,500 Samsung Electronics Co., LTD 3,375,581 6,000 Sindo Ricoh Co., LTD 339,164 50,000 STX Corp. 380,650 ----------------------------------------------------------------- 8,616,248 ----------------------------------------------------------------- TAIWAN -- 19.1% 220,760 Formosa Plastics Corp. 337,881 800,000 HannStar Display Corp.* 335,541 213,600 Hon Hai Precision Industry Co., LTD 955,620 750,000 Hung Poo Real Estate Development Corp.* 370,861 25,000 MediaTek, Inc. 257,542 105,000 Novatek Microelectronics Corp., LTD 330,684 75,000 Quanta Storage, Inc. 415,011
SEE NOTES TO FINANCIAL STATEMENTS. 45
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TAIWAN -- CONTINUED 205,700 Synnex Technology International Corp. $ 302,723 500,800 Taiwan Semiconductor Manufacturing Co., LTD* 987,597 421,000 U-Ming Marine Transport Corp. 387,853 1,139,100 United Microelectronics Corp.* 1,042,709 404,582 Walsin Technology Corp. 333,430 844,000 WUS Printed Circuit Co., LTD* 427,279 323,727 Ya Hsin Industrial Co., LTD 441,164 ----------------------------------------------------------------- 6,925,895 ----------------------------------------------------------------- THAILAND -- 7.4% 331,400 Bangkok Bank PCL* 776,686 120,000 Siam Cement PCL 679,784 1,600,000 Thoresen Thai Agencies PCL, NVDR 1,213,184 ----------------------------------------------------------------- 2,669,654 ----------------------------------------------------------------- Total Common Stocks 35,751,434 (Cost $29,449,349) ----------------------------------------------------------------- PREFERRED STOCK -- 0.9% SOUTH KOREA -- 0.9% 45,560 Daishin Securities Co., LTD 338,765 (Cost $354,136) WARRANT -- 0.3% THAILAND -- 0.3% 170,000 Thoresen Thai Agencies PCL, NVDR* (Cost $32,500) 122,509 ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 36,212,708 (COST $29,835,985) -----------------------------------------------------------------
SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - -------------------------------------------------------------------------------- Electronics/Electrical Equipment 17.3% Banking 13.0 Real Estate 9.7 Semi-Conductors 8.1 Transportation 4.8 Telecommunications Equipment 3.7 Computers/Computer Hardware 3.5 Retailing 3.3 Diversified 3.1 Hotels/Other Lodging 3.0 Engineering Services 2.7 Construction Materials 2.7 Financial Services 2.2 Chemicals 2.1 Steel 1.9 Airlines 1.8 Metals/Mining 1.7 Construction 1.6 Shipping/Transportation 1.5 Oil & Gas 1.5 Telecommunications 1.4 Insurance 1.4 Multi-Media 1.2 Machinery & Engineering Equipment 1.2 Consumer Products 1.2 Computer Software 1.1 Entertainment/Leisure 1.1 Business Services 1.1 Other (below 1%) 1.1 - -------------------------------------------------------------------------------- 100.0% - --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46 JPMorgan Fleming International Equity Fund PORTFOLIO OF INVESTMENTS AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 99.9% AUSTRALIA -- 2.3% 671,300 BHP Billiton LTD $ 5,582,497 178,800 National Australia Bank LTD 3,880,889 520,069 News Corp., LTD 4,631,151 452,478 Woodside Petroleum LTD 4,247,580 ----------------------------------------------------------------- 18,342,117 ----------------------------------------------------------------- BELGIUM -- 1.9% 604,530 Dexia 9,515,399 332,280 Fortis 5,906,118 ----------------------------------------------------------------- 15,421,517 ----------------------------------------------------------------- BRAZIL -- 0.4% 68,300 Cia Vale do Rio Doce, ADR 3,124,725 FINLAND -- 2.0% 942,756 Nokia OYJ 16,011,794 FRANCE -- 12.3% 241,218 Aventis SA (l) 12,772,872 550,354 AXA 10,428,460 230,046 BNP Paribas 12,087,698 304,212 Compagnie de Saint-Gobain 12,833,756 196,542 Dassault Systemes SA (l) 8,339,475 49,591 Imerys SA (l) 9,512,119 204,627 Total SA 31,804,223 ----------------------------------------------------------------- 97,778,603 ----------------------------------------------------------------- GERMANY -- 6.8% 123,400 BASF AG 5,666,341 356,252 Bayerische Motoren Werke AG 14,287,850 143,773 Deutsche Bank AG 9,476,563 440,044 Deutsche Post AG 8,517,278 144,450 Schering AG 6,792,451 143,201 Siemens AG 9,621,978 ----------------------------------------------------------------- 54,362,461 ----------------------------------------------------------------- HONG KONG (CHINA) -- 1.1% 762,000 Cheung Kong Holdings LTD 6,353,516 1,756,500 MTR Corp., LTD 2,386,272 ----------------------------------------------------------------- 8,739,788 ----------------------------------------------------------------- IRELAND -- 0.9% 589,390 Bank of Ireland $ 7,262,717 ITALY -- 4.4% 1,717,979 ENI-Ente Nazionale Idrocarburi SPA 27,280,920 4,374,665 Telecom Italia SPA* (l) 7,587,594 ----------------------------------------------------------------- 34,868,514 ----------------------------------------------------------------- JAPAN -- 20.6% 56,640 Acom Co., LTD (l) 2,534,851 343,000 Canon, Inc. 16,598,536 354,100 Chugai Pharmaceutical Co., LTD 5,044,077 245,000 Fuji Photo Film Co., LTD 7,220,630 41,700 Hirose Electric Co., LTD 5,124,546 306,000 Honda Motor Co., LTD 12,080,229 107,100 Hoya Corp. 9,693,410 330,000 Kao Corp. 6,784,009 468,000 Matsushita Electric Industrial Co., LTD 6,168,481 565,000 Mitsubishi Corp. 5,864,056 1,040 Mitsubishi Tokyo Financial Group, Inc. 7,473,507 1,493,000 Nikko Cordial Corp. 8,053,387 74,500 Nintendo Co., LTD 5,753,445 1,222 Nippon Telegraph & Telephone Corp. 5,457,789 632 Nippon Unipac Holding 2,977,905 2,973 NTT DoCoMo, Inc. 6,436,294 60 ORIX Corp. 5,048 183,500 Secom Co., LTD 7,177,424 357,000 Sharp Corp. 5,621,203 161,400 Shin-Etsu Chemical Co., LTD 6,004,694 133,700 Sony Corp. 4,657,943 1,198,000 Sumitomo Corp. 8,314,677 241,900 Takeda Chemical Industries LTD 8,559,522 78,610 Takefuji Corp. (l) 4,655,033 214,900 Yamanouchi Pharmaceutical Co., LTD 5,395,224 ----------------------------------------------------------------- 163,655,920 ----------------------------------------------------------------- RUSSIA -- 0.3% 58,199 YUKOS, ADR 2,630,595
SEE NOTES TO FINANCIAL STATEMENTS. 47
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SOUTH KOREA -- 2.8% 106,600 Kookmin Bank, ADR $ 3,917,550 142,170 POSCO, ADR 4,120,087 51,560 Samsung Electronics Co., LTD, GDR 10,312,000 194,430 SK Telecom Co., LTD, ADR 3,810,828 ----------------------------------------------------------------- 22,160,465 ----------------------------------------------------------------- SPAIN -- 2.4% 271,146 Altadis SA 6,575,185 238,703 Banco Popular Espanol 12,412,156 ----------------------------------------------------------------- 18,987,341 ----------------------------------------------------------------- SWEDEN -- 1.2% 1,585,566 Nordea AB 9,837,568 SWITZERLAND -- 7.8% 217,520 Holcim LTD 9,154,622 68,490 Nestle SA 15,079,238 431,310 Novartis AG 16,440,393 162,390 Roche Holding AG 13,437,747 62,719 Zurich Financial Services AG 8,031,564 ----------------------------------------------------------------- 62,143,564 ----------------------------------------------------------------- THE NETHERLANDS -- 6.5% 632,965 ABN AMRO Holding NV 13,281,507 128,763 Heineken NV 4,595,364 434,728 ING Groep NV 9,025,880 435,013 Koninklijke Philips Electronics NV 11,727,177 592,730 Reed Elsevier NV 6,601,048 485,330 Wolters Kluwer NV 6,821,092 ----------------------------------------------------------------- 52,052,068 ----------------------------------------------------------------- UNITED KINGDOM -- 26.2% 1,024,020 Allied Domecq PLC 6,850,954 694,436 Aviva PLC 5,697,701 1,800,212 Barclays PLC 15,182,768 2,873,300 BG Group PLC 13,103,894 2,008,540 Centrica PLC 6,288,510 906,715 Compass Group PLC 5,227,586 1,106,462 GKN PLC 5,182,228 1,083,836 GlaxoSmithKline PLC 23,210,999 584,285 Intercontinental Hotels Group PLC $ 5,302,082 1,586,870 Kingfisher PLC 7,607,303 1,225,066 National Grid Transco PLC 7,821,804 534,500 Reckitt Benckiser PLC 11,247,094 294,240 Rio Tinto PLC 7,135,179 458,570 Royal Bank of Scotland Group PLC 12,287,363 547,581 Schroders PLC 6,246,692 465,060 Standard Chartered PLC 7,438,087 3,814,653 Tesco PLC 15,293,180 807,406 The British Land Co., PLC 7,087,016 12,985,435 Vodafone Group PLC 27,269,215 975,560 Wolseley PLC 11,956,731 ----------------------------------------------------------------- 207,436,386 ----------------------------------------------------------------- Total Common Stocks 794,816,143 (Cost $725,778,630) ----------------------------------------------------------------- PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------- CONVERTIBLE BOND -- 0.1% FRANCE -- 0.1% $ 31,890 AXA SA, 0.00%, 12/21/04* (l) 546,069 (Cost $472,793) ----------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% $ 795,362,212 (COST $726,251,423) ----------------------------------------------------------------- SHARES COLLATERAL INVESTMENTS - -------------------------------------------------------------------------------- MONEY MARKET FUNDS (c) 1,011,032 Merrill Lynch Premier Fund 1,011,032 1,011,031 Reserve Primary Fund 1,011,031 PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 16,329,816 Lehman Brothers, Inc., 1.04% due 11/03/03, dated 10/31/03, proceeds $16,330,758, secured by U.S. Government Agency Securities 16,329,816 ----------------------------------------------------------------- $ 18,351,879 -----------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48 SUMMARY OF INVESTMENTS BY INDUSTRY, OCTOBER 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - -------------------------------------------------------------------------------- Banking 15.6% Pharmaceuticals 11.5 Oil & Gas 9.9 Telecommunications 8.4 Food/Beverage Products 5.9 Electronics/Electrical Equipment 5.1 Insurance 4.2 Automotive 4.0 Construction Materials 4.0 Financial Services 3.4 Distribution 3.3 Consumer Products 3.1 Office/Business Equipment 2.1 Metals/Mining 2.0 Utilities 1.8 Real Estate 1.7 Chemicals 1.5 Multi-Media 1.4 Transportation 1.4 Semi-Conductors 1.3 Health Care/Health Care Services 1.2 Diversified 1.2 Computer Software 1.0 Retailing 1.0 Other (below 1%) 4.0 - -------------------------------------------------------------------------------- 100.0% - --------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49 Abbreviations: * -- Non-income producing security. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. + -- All or a portion of this security is segregated with the custodian for forward foreign currency contracts. @ -- Security is fully or partially segregated with brokers as initial margin for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by JPMorgan Fleming Asset Management, Inc. (c) -- Investment of cash collateral for portfolio securities on loan. (d) -- Defaulted security. (f) -- Fair valued investment. The following are approximately the market value and percentage of the investments that are fair valued:
FUND MARKET VALUE PERCENTAGE ---------------------------------------------------------------------- Fleming European Fund $ 0 0.00% Fleming International Value Fund $ 0 0.00% Fleming Emerging Markets Equity Fund $ 50,530 0.06%
(l) -- Security, or portion of a security, has been delivered to counterparty as part of security lending transaction. (W/I) -- When Issued. ADR -- American Depositary Receipt. AUD -- Australian Dollar. CHF -- Swiss Franc. DKK -- Danish Krone. EUR -- Euro. GBP -- Great Britain Pound. GDR -- Global Depositary Receipt. HKD -- Hong Kong Dollar. JPY -- Japanese Yen. NOK -- Norwegian Krone. NVDR -- Non Voting Depositary Receipt. SEK -- Swedish Krona. Ser. -- Series. SGD -- Singapore Dollar. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 50 THIS PAGE IS INTENTIONALLY LEFT BLANK JPMorgan Funds STATEMENT OF ASSETS AND LIABILITIES AS OF OCTOBER 31, 2003
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND ASSETS Investment securities, at value $ 71,100,156 $ 3,713,171 $ 3,963,753 $ 42,770,474 Investments held as collateral for securities lending program 2,152,676 -- -- 371,010 Cash 22,306 167,993 28,568 23,142 Foreign currency, at value 52,857 -- 344 126,928 Receivables: Investment securities sold 5,437,094 354,699 42,516 895,036 Fund shares sold 136,095 303,823 -- 17,641 Interest and dividends 62,841 4,482 8,385 59,308 Foreign tax reclaim 149,132 -- 5,826 506,159 Variation margin -- -- -- 7,594 Unrealized appreciation on forward foreign currency exchange contracts -- -- -- 1,168,641 Securities lending (net) 979 6 -- 62 Expense reimbursements 13,065 34,348 12,552 3,193 - -------------------------------------------------------------------------------------------------------------------------- Total Assets 79,127,201 4,578,522 4,061,944 45,949,188 - -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Investment securities purchased 7,629,468 401,076 46,559 1,333,526 Collateral for securities lending program 2,152,676 -- -- 371,010 Fund shares redeemed 81,437 68,876 -- -- Unrealized depreciation on forward foreign currency exchange contracts -- 2,280 -- 933,741 Accrued liabilities: Investment advisory fees -- -- -- 12,160 Shareholder servicing fees 11,328 -- -- 3,161 Distribution fees 15,557 208 1,176 156 Custodian fees 71,989 29,990 6,400 29,831 Trustees' fees - deferred compensation plan 8,978 969 85 1,037 Other 74,133 43,857 45,735 61,575 - -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 10,045,566 547,256 99,955 2,746,197 - -------------------------------------------------------------------------------------------------------------------------- Net Assets $ 69,081,635 $ 4,031,266 $ 3,961,989 $ 43,202,991 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 52
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND NET ASSETS Paid in capital $ 66,857,106 $ 4,578,737 $ 4,989,192 $ 71,032,050 Accumulated undistributed (overdistributed) net investment income 39,564 (3,348) 5,593 (13,187) Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions (3,415,051) (851,792) (1,263,328) (36,387,660) Net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 5,600,016 307,669 230,532 8,571,788 - -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 69,081,635 $ 4,031,266 $ 3,961,989 $ 43,202,991 - -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Class A 1,848,777 533,430 407,012 7,064 Class B 720,170 73,630 102,422 29,417 Class C 181,391 -- -- -- Institutional 700,879 -- -- 3,060,788 Select 660,120 -- -- 1,928,355 Net Asset Value: Class A (and redemption price) $ 16.94 $ 6.68 $ 7.80 $ 8.53 Class B* $ 16.08 $ 6.36 $ 7.70 $ 8.46 Class C* $ 16.06 $ -- $ -- $ -- Institutional (and redemption price) $ 17.17 $ -- $ -- $ 8.61 Select (and redemption price) $ 17.00 $ -- $ -- $ 8.58 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 17.97 $ 7.09 $ 8.28 $ 9.05 Cost of investments $ 65,530,069 $ 3,404,929 $ 3,734,395 $ 34,532,407 - -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 52,857 $ -- $ 344 $ 126,559 - --------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 53
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND ASSETS Investment securities, at value $ 173,003,892 $ 78,061,247 $ 36,212,708 $ 795,362,212 Investments held as collateral for securities lending program 1,532,284 -- -- 18,351,879 Cash 629,239 3,121,044 1,799,669 17,008,457 Foreign currency, at value 270,020 484,274 381,247 84,471 Receivables: Investment securities sold 1,503,676 6,884 424,877 -- Fund shares sold 477,861 28,775 150,150 10,077,558 Interest and dividends 313,599 118,564 719 1,684,449 Foreign tax reclaim 719,464 981 -- 596,430 Unrealized appreciation on forward foreign currency exchange contracts 2,306,752 -- -- -- Securities lending (net) 329 -- -- 5,399 Expense reimbursements 1,724 2,727 30 1,703 - -------------------------------------------------------------------------------------------------------------------------- Total Assets 180,758,840 81,824,496 38,969,400 843,172,558 - -------------------------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Investment securities purchased 289,378 161,280 280,638 -- Collateral for securities lending program 1,532,284 -- -- 18,351,879 Fund shares redeemed 38,838 3,024 -- 139,385 Unrealized depreciation on forward foreign currency exchange contracts 1,723,451 -- -- -- Variation margin 11,455 -- -- -- Accrued liabilities: Investment advisory fees 66,953 53,397 2,122 517,563 Administration fees 10,415 -- -- 68,099 Shareholder servicing fees 8,112 2,589 5,790 67,325 Distribution fees 3,127 87 47 2,425 Custodian fees 52,210 43,091 33,166 81,871 Trustees' fees - deferred compensation plan 11,895 329 23 39,653 Other 81,897 64,049 56,660 77,740 - -------------------------------------------------------------------------------------------------------------------------- Total Liabilities 3,830,015 327,846 378,446 19,345,940 - -------------------------------------------------------------------------------------------------------------------------- Net Assets $ 176,928,825 $ 81,496,650 $ 38,590,954 $ 823,826,618 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 54
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND NET ASSETS Paid in capital $ 292,346,326 $ 186,845,233 $ 34,861,638 $ 783,456,254 Accumulated undistributed (overdistributed) net investment income 2,777,662 716,840 326,591 1,632,752 Accumulated net realized gain (loss) on investments, futures and foreign exchange transactions (154,095,422) (119,690,569) (2,973,762) (30,440,392) Net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 35,900,259 13,625,146 6,376,487 69,178,004 - -------------------------------------------------------------------------------------------------------------------------- Total Net Assets $ 176,928,825 $ 81,496,650 $ 38,590,954 $ 823,826,618 - -------------------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) Class A 1,170,263 16,508 14,692 366,848 Class B 155,395 12,797 -- 7,701 Class C -- -- -- 72,902 Institutional 14,454,714 7,726,008 778,546 -- Select 3,357,209 3,003,345 1,372,948 35,076,056 Net Asset Value: Class A (and redemption price) $ 9.10 $ 7.49 $ 17.74 $ 23.17 Class B* $ 9.03 $ 7.45 $ -- $ 23.10 Class C* $ -- $ -- $ -- $ 23.05 Institutional (and redemption price) $ 9.26 $ 7.59 $ 17.84 $ -- Select (and redemption price) $ 9.22 $ 7.53 $ 17.80 $ 23.19 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ 9.66 $ 7.95 $ 18.82 $ 24.58 Cost of investments $ 137,839,201 $ 64,447,676 $ 29,835,985 $ 726,251,423 - -------------------------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 270,612 $ 474,559 $ 381,452 $ 88,007 - --------------------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 55 STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2003
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND INVESTMENT INCOME Interest $ 5,975 $ -- $ 110 $ 3,810 Dividend 1,336,114 11,770 91,193 1,235,914 Dividend income from affiliated investments* -- -- -- 7,813 Securities lending (net) 5,269 6 -- 3,021 Foreign tax withholding (262,938) (1,625) (10,903) (745,274) - -------------------------------------------------------------------------------------------------------------------------- Total investment income 1,084,420 10,151 80,400 505,284 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 376,606 14,872 34,101 245,590 Administration fees 86,909 2,231 5,115 61,397 Shareholder servicing fees 100,566 2,429 8,525 65,657 Distribution fees 164,984 4,499 11,923 1,703 Custodian and accounting fees 363,607 135,400 75,974 135,787 Printing and postage 33,145 1,416 5,115 3,749 Professional fees 71,545 71,111 56,131 79,901 Registration fees 48,784 26,254 14,440 30,067 Transfer agent fees 185,694 29,461 35,685 80,679 Trustees' fees 660 18 39 463 Other 14,982 5,211 5,008 9,587 - -------------------------------------------------------------------------------------------------------------------------- Total expenses 1,447,482 292,902 252,056 714,580 - -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 397,627 22,860 47,741 209,964 Less expense reimbursements 59,524 242,844 132,716 41,484 - -------------------------------------------------------------------------------------------------------------------------- Net expenses 990,331 27,198 71,599 463,132 - -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 94,089 (17,047) 8,801 42,152 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56
EUROPEAN JAPAN INTERNATIONAL INTERNATIONAL FUND FUND GROWTH FUND VALUE FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments $ 11,331,727 $ 499,394 $ (250,688) $ 5,760,238 Futures -- -- -- 78,178 Foreign exchange contracts (30,113) (5,198) (3,121) (61,546) Change in net unrealized appreciation (depreciation) of: Investments 4,309,135 339,266 1,028,729 3,978,961 Futures -- -- -- (68,244) Foreign exchange translations 30,996 (611) 843 274,834 Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions 15,641,745 832,851 775,763 9,962,421 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 15,735,834 $ 815,804 $ 784,564 $ 10,004,573 - -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ -- $ -- $ -- $ 1,065 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 57 STATEMENT OF OPERATIONS FOR THE YEAR ENDED OCTOBER 31, 2003
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND INVESTMENT INCOME Interest $ 13,292 $ -- $ 978 $ 46,443 Dividend 5,449,953 1,955,295 842,105 14,320,606 Dividend income from affiliated investments* 30,710 -- -- -- Securities lending (net) 5,559 -- -- 34,025 Allocated investment income from portfolio -- -- -- -- Foreign tax withholding (1,520,858) (155,706) (104,708) (1,595,975) - -------------------------------------------------------------------------------------------------------------------------- Total investment income 3,978,656 1,799,589 738,375 12,805,099 - -------------------------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 1,206,535 682,559 284,270 5,018,938 Administration fees 301,634 102,384 42,640 752,842 Shareholder servicing fees 260,212 96,767 56,961 1,254,730 Distribution fees 36,318 617 2,965 11,945 Custodian and accounting fees 293,147 280,142 201,020 428,394 Printing and postage 18,703 15,765 7,744 63,643 Professional fees 82,805 92,282 81,183 100,277 Registration fees 35,349 41,129 46,196 79,033 Transfer agent fees 185,590 86,683 59,634 98,075 Trustees' fees 2,225 778 326 5,951 Other 11,853 18,623 5,725 22,482 - -------------------------------------------------------------------------------------------------------------------------- Total expenses 2,434,371 1,417,729 788,664 7,836,310 - -------------------------------------------------------------------------------------------------------------------------- Less amounts waived 363,458 338,663 316,455 2,269,507 Less expense reimbursements 20,270 28,205 55,346 28,025 - -------------------------------------------------------------------------------------------------------------------------- Net expenses 2,050,643 1,050,861 416,863 5,538,778 - -------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 1,928,013 748,728 321,512 7,266,321 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 58
INTERNATIONAL EMERGING MARKETS ASIA EQUITY INTERNATIONAL OPPORTUNITIES FUND EQUITY FUND FUND EQUITY FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments $ (15,106,806) $ 142,765 $ (1,715,747) $ (10,822,551) Futures 200,327 -- -- -- Foreign exchange contracts 911,854 (26,609) 5,101 77,256 Change in net unrealized appreciation (depreciation) of: Investments 51,039,934 25,070,054 8,985,137 118,831,955 Futures 107,671 -- -- -- Foreign exchange translations 522,402 11,842 (1,586) 34,511 Net realized and unrealized gain (loss) on investments, futures and foreign exchange transactions 37,675,382 25,198,052 7,272,905 108,121,171 - -------------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 39,603,395 $ 25,946,780 $ 7,594,417 $ 115,387,492 - -------------------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 4,414 $ -- $ -- $ -- - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED
EUROPEAN FUND JAPAN FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/03 10/31/02 10/31/03 10/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 94,089 $ 573,439 $ (17,047) $ (13,974) Net realized gain (loss) on investments and foreign exchange transactions 11,301,614 2,432,893 494,196 (172,025) Change in net unrealized appreciation (depreciation) of investments and foreign exchange translations 4,340,131 (795,449) 338,655 70,710 - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 15,735,834 2,210,883 815,804 (115,289) - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (374,810) -- -- -- - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (782,686) (4,654,549) 2,372,801 72,270 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 14,578,338 (2,443,666) 3,188,605 (43,019) - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 54,503,297 56,946,963 842,661 885,680 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 69,081,635 $ 54,503,297 $ 4,031,266 $ 842,661 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 39,564 $ 332,433 $ (3,348) $ (1,116) - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 60
INTERNATIONAL GROWTH FUND INTERNATIONAL VALUE FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/03 10/31/02 10/31/03 10/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 8,801 $ (8,129) $ 42,152 $ 667,940 Net realized gain (loss) on investments, futures and foreign exchange transactions (253,809) (784,862) 5,776,870 3,894,948 Change in net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 1,029,572 293,236 4,185,551 (4,820,436) - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 784,564 (499,755) 10,004,573 (257,548) - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income -- -- (1,481,498) (1,669,756) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 500 35,522 (11,203,485) (116,106,584) - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 785,064 (464,233) (2,680,410) (118,033,888) - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 3,176,925 3,641,158 45,883,401 163,917,289 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 3,961,989 $ 3,176,925 $ 43,202,991 $ 45,883,401 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 5,593 $ (87) $ (13,187) $ 1,483,173 - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 61
INTERNATIONAL OPPORTUNITIES FUND EMERGING MARKETS EQUITY FUND --------------------------------- --------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/03 10/31/02 10/31/03 10/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 1,928,013 $ 3,693,097 $ 748,728 $ 650,760 Net realized gain (loss) on investments, futures and foreign exchange transactions (13,994,625) (51,863,790) 116,156 (17,879,298) Change in net unrealized appreciation (depreciation) of investments, futures and foreign exchange translations 51,670,007 15,342,530 25,081,896 23,876,867 - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 39,603,395 (32,828,163) 25,946,780 6,648,329 - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (2,548,192) (3,881,303) (430,000) (866,869) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (116,262,855) 340,406 (10,270,234) (29,141,053) - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (79,207,652) (36,369,060) 15,246,546 (23,359,593) - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 256,136,477 292,505,537 66,250,104 89,609,697 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 176,928,825 $ 256,136,477 $ 81,496,650 $ 66,250,104 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 2,777,662 $ 2,449,380 $ 716,840 $ (2,767,184) - --------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 62
ASIA EQUITY FUND INTERNATIONAL EQUITY FUND --------------------------------- --------------------------------- YEAR ENDED 11/1/01* THROUGH YEAR ENDED YEAR ENDED 10/31/03 10/31/02 10/31/03 10/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 321,512 $ (6,042) $ 7,266,321 $ 2,088,955 Net realized gain (loss) on investments and foreign exchange transactions (1,710,646) (1,369,854) (10,745,295) (13,160,990) Change in net unrealized appreciation (depreciation) of investments and foreign exchange translations 8,983,551 (2,607,064) 118,866,466 (11,644,462) - -------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 7,594,417 (3,982,960) 115,387,492 (22,716,497) - -------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income -- -- (6,762,429) (1,161,091) - -------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 7,754,921 27,224,576 467,662,712 90,120,668 - -------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 15,349,338 23,241,616 576,287,775 66,243,080 - -------------------------------------------------------------------------------------------------------------------------- Beginning of period 23,241,616 -- 247,538,843 181,295,763 - -------------------------------------------------------------------------------------------------------------------------- End of period $ 38,590,954 $ 23,241,616 $ 823,826,618 $ 247,538,843 - -------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 326,591 $ (22) $ 1,632,752 $ 1,051,535 - --------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. SEE NOTES TO FINANCIAL STATEMENTS. 63 JPMorgan Funds NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Institutional Funds ("JPMIF") and J.P. Morgan Mutual Fund Select Group ("MFSG") (the "Trusts") were organized on May 11, 1987, November 4, 1992 and October 1, 1996, respectively, as Massachusetts business trusts, and are registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as open-end management investment companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund Select Group, respectively. The name changes were effective May 1, 2003. The following are eight separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan Fleming European Fund ("EF") Class A, Class B, Class C, Institutional and Select JPMorgan Fleming Japan Fund ("JF") Class A and Class B JPMorgan Fleming International Growth Fund ("IGF") Class A and Class B JPMorgan Fleming International Value Fund ("IVF") Class A, Class B, Institutional and Select JPMorgan Fleming International Opportunities Fund ("IOF") Class A, Class B, Institutional and Select JPMorgan Fleming Emerging Markets Equity Fund ("EMF") Class A, Class B, Institutional and Select JPMorgan Fleming Asia Equity Fund ("AEF") Class A, Institutional and Select JPMorgan Fleming International Equity Fund ("IEF") Class A, Class B, Class C and Select
Prior to January 31, 2003, IEF was formerly named Select International Equity Fund ("SIEF"). On September 12, 2003, Class B shares of AEF merged into Class A shares, and AEF Class B shares were closed. EF, JF, IGF and AEF are separate series of MFG. IVF, IOF and EMF are separate series of JPMIF. IEF is a separate series of MFSG. Class A Shares generally provide for a front-end sales charge while Class B and Class C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Class A shares after eight years. No sales charges are assessed with respect to the Institutional and Select Classes. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Class A shares, for which front-end charges have been waived, may be subject to redemption charges as described in the Funds' prospectus. 64 2. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities (other than convertible bonds) with a maturity of 61 days or more 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. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, 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 reasonably possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. For foreign securities, if activity in the local shares indicates that a current local price should be used, or the market quotation is determined to be not readily available or unreliable or material events or conditions affecting the value of a fund security has occurred since the last sale, such securities may be valued at fair value in accordance with procedures adopted by the Trustees. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Funds' net assets are calculated, such securities will be valued at fair value in accordance with procedures adopted by the Trustees. Such events may include general market movements in markets other than the exchanges on which such securities are traded (the "local market"), and the fair valuation procedures applied may include adjusting the local market price to reflect movements in indices or securities prices in other markets, based on historical relationships. In addition, the Funds have established a market trigger, such as a specified percentage rise or fall in the value of a designated benchmark index. When the market trigger is reached, the quotations of an independent pricing service will generally be applied for foreign equity securities held by the Fund. B. FUTURES CONTRACTS -- When a Fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner, allowing the Funds to adjust country exposures while incurring minimal transaction costs. Short index futures contracts are used for hedging purposes, i.e. to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. 65 Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subject the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction, therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of October 31, 2003, The Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates, or at the mean of the current bid and asked prices, of such currencies against the U.S. dollar as quoted by a major bank, on the following basis: 1. Market value of investment securities and other assets and liabilities: at the rate of exchange at the valuation date. 2. Purchases and sales of investment securities, income and expenses: at the rates of exchange prevailing on the respective dates of such transactions. Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the periods, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized and unrealized gains (losses) on investment transactions. Reported realized foreign currency gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end. D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into forward foreign currency exchange contracts (obligations to purchase or sell foreign currency in the future on a date and price fixed at the time the contracts are entered into) to manage the Fund's exposure to foreign currency exchange fluctuations. Each day the forward contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market". When the forward contract is closed, or the delivery of the currency is made or taken, each Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The Funds are subject to off-balance sheet risk to the extent of the value of the contracts for purchases of foreign currency and in an unlimited amount for sales of foreign currency. As of October 31, 2003, The Funds had outstanding forward foreign currency exchange contracts as listed on the Funds' Portfolio of Investments. E. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund may invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. 66 F. SECURITIES ON LOAN -- All of the funds except IGF have been approved by the Board of Trustees for the lending of securities, through its custodian JPMorgan Chase Bank ("JPMCB", an affiliate of the Funds) acting as lending agent to certain borrowers. By lending investment securities a Fund attempts to increase its net investment income through the receipt of interest (after rebates and fees) on collateral received in connection with the loan. The net amount of interest earned, after the rebate and fee, is included in the Statement of Operations as Securities lending (net). The loans are secured by collateral at least equal at all times to the value of the securities loaned plus accrued interest. Gain or loss on the value of the securities loaned that may occur during the term of the loan will be for the account of the Fund. The Fund also continues to receive interest or dividends on the securities loaned. The Fund has the right under the lending agreement to recover the securities from the borrower on demand. JPMCB invests the cash collateral on behalf of the Funds in accordance with investment guidelines contained in the securities lending agreement. At October 31, 2003, the market value of securities loaned and the amount of collateral received were as follows:
MARKET VALUE OF MARKET VALUE OF SECURITIES LOANED COLLATERAL RECEIVED FUND EF $ 2,082,318 $ 2,152,676 IVF 349,922 371,010 IOF 1,448,187 1,532,284 IEF 17,583,054 18,351,879
JPMCB as lending agent receives a fee equal to 0.06% of the average dollar value of the loans of U.S. securities outstanding during a given month and 0.1142% of the average dollar value of loans of non-U.S. securities outstanding during a given month from the Funds as detailed below: EF $ 1,348 JF 1 IVF 911 IOF 2,096 IEF 13,104
Risks of delay in recovery of securities or even loss of rights in the collateral may occur should the borrower of the securities fail financially. Risks may also arise to the extent that the value of the securities loaned increases above the value of the securities received. JPMCB will indemnify each Fund from any loss resulting from a borrower's failure to return a loaned security when due. G. SECURITIES TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income is recorded on the ex-dividend date or when the Funds first learn of the dividend. 67 H. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular share class are charged directly to that class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. I. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The policy of the Funds 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. J. FOREIGN TAXES -- Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. K. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition "temporary differences") such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts:
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS FUND EF $ -- $ (12,148) $ 12,148 JF (19,919) 14,815 5,104 IGF -- (3,121) 3,121 IVF 1 (57,014) 57,013 IOF (1) 948,461 (948,460) EMF (15,643,697) 3,165,296 12,478,401 AEF -- 5,101 (5,101) IEF (46) 77,325 (77,279)
68 For EF and IGF, the reclassifications primarily relate to the character for tax purposes of foreign currency gains and losses. For JF, the reclassifications primarily relate to the character for tax purposes of net operating losses, Passive Foreign Investment Company ("PFIC") sales and foreign currency gains and losses. For IVF and IOF, the reclassifications primarily relate to the character for tax purposes of PFIC sales and foreign currency gains and losses. For EMF, the reclassifications primarily relate to the character for tax purposes of foreign currency gains and losses and disposition of partnership interest. For AEF, the reclassification primarily relates to the character for tax purposes of foreign currency gains and losses. For IEF, the reclassifications primarily relate to the character for tax purposes of foreign currency gains and losses. L. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, and pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor") acts as the investment advisor to the Funds. Prior to September 1, 2003, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM"), served as the Advisor to EF, JF, IGF and IEF. On September 1, 2003, JPMFAM and Robert Fleming Inc., merged into JPMIM. Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of J.P. Morgan Chase & Co. The investment advisory services and personnel providing investment advice have not changed as a result of the merger and ownership change. Neither the merger nor the ownership change constituted an assignment under the 1940 Act or the Investment Advisers Act of 1940. The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's respective average daily net assets. The annual fee for each Fund is as follows:
INVESTMENT ADVISORY FEE (%) FUND EF 0.65% JF 1.00% IGF 1.00% IVF 0.60% IOF 0.60% EMF 1.00% AEF 1.00% IEF 1.00%
69 JPMFAM (USA), on behalf of EF, JF, IGF and IEF, had entered into an investment sub-advisory agreement with J.P. Morgan Fleming Asset Management (London) Limited ("JPMFAM (London)"). JPMIM, on behalf of AEF, has entered into an investment sub-advisory agreement with JF International Management, Inc. ("JFIMI"). For its services as sub-advisor, JPMFAM (London) and JFIMI receive a portion of the fees payable to JPMFAM (USA) and JPMIM, respectively. The Advisors waived fees as outlined in Note 3.F. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. DISTRIBUTION FEES -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributor, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Class A, B and C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C FUND EF 0.25 0.75 0.75 JF 0.25 0.75 n/a IGF 0.25 0.75 n/a IVF 0.25 0.75 n/a IOF 0.25 0.75 n/a EMF 0.25 0.75 n/a AEF 0.25 n/a n/a IEF 0.25 0.75 0.75
70 In addition, JPMFD receives any contingent deferred sales charges ("CDSC") from redemptions of Class B and Class C shares. The Distributor waived fees and reimbursed expenses as outlined in Note 3.F. C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into a Shareholder Servicing Agreement on behalf of the Funds with JPMCB under which JPMCB provides account administration and personal account maintenance service to shareholders. JPMCB may obtain the services of one or more Shareholder Servicing Agents. For these services JPMCB or the Shareholder Servicing Agent will receive a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND EF 0.25* 0.25 0.25 0.10 0.25 JF 0.25* 0.25 n/a n/a n/a IGF 0.25 0.25 n/a n/a n/a IVF 0.25 0.25 n/a 0.10 0.25 IOF 0.25 0.25 n/a 0.10 0.25 EMF 0.25 0.25 n/a 0.10 0.25 AEF 0.25* n/a n/a 0.10 0.25 IEF 0.25 0.25 0.25 n/a 0.25
* On May 1, 2003, class started accruing Shareholder Servicing Fees. In addition, JPMCB, Charles Schwab & Co. ("Schwab"), and the Trusts are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers and investment advisors and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationship between the Trusts is terminated, the Funds would be responsible for ongoing payments to Schwab with respect to pre-termination shares. The Shareholder Servicing Agents waived fees as outlined in Note 3.F. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio accounting and custody services for all of the Funds except IGF. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at an annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion. 71 BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND EF 1.75 2.50 2.50 1.00 1.50 JF 1.75 2.50 n/a n/a n/a IGF 2.00 2.50 n/a n/a n/a IVF 1.45 1.95 n/a 0.95 1.41 IOF 1.90 2.40 n/a 0.92 1.20 EMF 2.00 2.50 n/a 1.45 1.75 AEF 1.75 n/a n/a 1.35 1.50 IEF 1.50 2.00 2.00 n/a 1.25
The contractual expense limitation agreements were in effect for the year ended October 31, 2003. The expense limitation percentages in the table above are due to expire as follows:
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND EF 2/28/04 2/28/04 2/28/04 2/28/05 2/28/05 JF 2/28/04 2/28/04 n/a n/a n/a IGF 2/28/04 2/28/04 n/a n/a n/a IVF 2/28/04 2/28/04 n/a 2/28/05 2/28/05 IOF 2/28/04 2/28/04 n/a 2/28/05 2/28/05 EMF 2/28/04 2/28/04 n/a 2/28/05 2/28/05 AEF 2/28/04 n/a n/a 2/28/04 2/28/04 IEF 2/28/04 2/28/04 2/28/04 n/a 2/28/04
The Administrator waived fees and reimbursed expenses as outlined in Note 3.F. 72 F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 2003, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows:
CONTRACTUAL WAIVERS -------------------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS FUND EF $ 288,942 $ 56,606 $ 18,118 $ -- $ 363,666 $ 59,524 JF 14,872 2,231 2,429 3,328 22,860 242,844 IGF 34,101 5,115 8,525 -- 47,741 132,716 IVF 117,959 58,828 30,608 -- 207,395 41,484 IOF 43,292 159,483 160,683 -- 363,458 20,270 EMF 165,360 102,384 70,919 -- 338,663 28,205 AEF 266,526 42,640 7,289 -- 316,455 55,346 IEF 743,416 2,195 777,499 -- 1,523,110 28,025 Total $ 1,674,468 $ 429,482 $ 1,076,070 $ 3,328 $ 3,183,348 $ 608,414
VOLUNTARY WAIVERS ------------------------------------------------------------ INVESTMENT SHAREHOLDER ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL FUND EF $ 3,658 $ 30,303 $ -- $ -- $ 33,961 IVF -- 2,569 -- -- 2,569 IEF 487,385 259,012 -- -- 746,397 Total $ 491,043 $ 291,884 $ -- $ -- $ 782,927
G. OTHER -- Certain officers of the Trust(s) are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors. The Funds may use related party broker dealers. For the year ended October 31, 2003, EF, EMF and AEF incurred approximately $24,213, $307 and $23,687, respectively, as broker commissions with brokers/dealers affiliated with JPMCB. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. 73 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended October 31, 2003 are as follows:
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT EF Class A $ 36,831 $ 69,076 $ 101,692 Class B 25,345 76,034 37,190 Class C 6,625 19,874 9,722 Institutional 8,025 -- 15,498 Select 23,740 -- 21,592 - ----------------------------------------------------------------------------------------- $ 100,566 $ 164,984 $ 185,694 JF Class A $ 2,039 $ 3,328 $ 26,388 Class B 390 1,171 3,073 - ----------------------------------------------------------------------------------------- $ 2,429 $ 4,499 $ 29,461 IGF Class A $ 6,826 $ 6,826 $ 28,573 Class B 1,699 5,097 7,112 - ----------------------------------------------------------------------------------------- $ 8,525 $ 11,923 $ 35,685 IVF Class A $ 363 $ 363 $ 11,863 Class B 447 1,340 14,355 Institutional 24,447 -- 17,113 Select 40,400 -- 37,348 - ----------------------------------------------------------------------------------------- $ 65,657 $ 1,703 $ 80,679 IOF Class A $ 26,793 $ 26,793 $ 98,348 Class B 3,175 9,525 11,607 Institutional 161,671 -- 37,326 Select 68,573 -- 38,309 - ----------------------------------------------------------------------------------------- $ 260,212 $ 36,318 $ 185,590 EMF Class A $ 171 $ 171 $ 15,203 Class B 149 446 13,436 Institutional 49,247 -- 19,699 Select 47,200 -- 38,345 - ----------------------------------------------------------------------------------------- $ 96,767 $ 617 $ 86,683
74
SHAREHOLDER SERVICING DISTRIBUTION TRANSFER AGENT AEF Class A $ 368 $ 1,887 $ 17,655 Class B 359 1,078 4,938 Institutional 8,392 -- 15,769 Select 47,842 -- 21,272 - ----------------------------------------------------------------------------------------- $ 56,961 $ 2,965 $ 59,634 IEF Class A $ 8,999 $ 8,999 $ 32,844 Class B 245 735 3,834 Class C 737 2,211 1,693 Select 1,244,749 -- 59,704 - ----------------------------------------------------------------------------------------- $ 1,254,730 $ 11,945 $ 98,075
5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended October 31, 2003 and the year ended October 31, 2002 are as follows:
YEAR ENDED 10/31/03 YEAR ENDED 10/31/02 ------------------------------------ ----------------------------------- NET NET FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN EF Class A $ 182,850 $ -- $ -- $ -- Class B 62,545 -- -- -- Class C 17,829 -- -- -- Institutional 49,458 -- -- -- Select 62,128 -- -- -- - --------------------------------------------------------------------------------------------------------------- $ 374,810 $ -- $ -- $ -- IVF Class A $ 5,641 $ -- $ 484 $ -- Class B 5,748 -- 403 -- Institutional 876,423 -- 1,369,814 -- Select 593,686 -- 299,055 -- - --------------------------------------------------------------------------------------------------------------- $ 1,481,498 $ -- $ 1,669,756 $ -- - ---------------------------------------------------------------------------------------------------------------
75
YEAR ENDED 10/31/03 YEAR ENDED 10/31/02 ------------------------------------ ----------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN IOF Class A $ 117,616 $ -- $ 160,758 $ -- Class B 12,558 -- 16,272 -- Institutional 2,095,226 -- 3,350,183 -- Select 322,792 -- 354,090 -- - --------------------------------------------------------------------------------------------------------------- $ 2,548,192 $ -- $ 3,881,303 $ -- EMF Class A $ 886 $ -- $ 116 $ -- Class B 229 -- 100 -- Institutional 307,562 -- 672,780 -- Select 121,323 -- 193,873 -- - --------------------------------------------------------------------------------------------------------------- $ 430,000 $ -- $ 866,869 $ -- IEF Class A $ 37,568 $ -- $ 139 $ -- Class B 544 -- 13 -- Class C 2,626 -- -- -- Select 6,721,691 -- 1,160,939 -- - --------------------------------------------------------------------------------------------------------------- $ 6,762,429 $ -- $ 1,161,091 $ -- - ---------------------------------------------------------------------------------------------------------------
6. INVESTMENT TRANSACTIONS For the year ended October 31, 2003, purchases and sales of investments (excluding short-term investments) are as follows:
PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT FUND EF $ 407,627,438 $ 404,849,018 $ -- $ -- JF 14,202,391 12,124,531 -- -- IGF 1,320,814 1,298,193 -- -- IVF 50,995,952 62,904,190 -- -- IOF 153,345,252 261,787,823 -- -- EMF 56,665,991 67,730,603 -- -- AEF 52,759,317 46,648,720 -- -- IEF 525,503,413 76,402,568 -- --
76 7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at October 31, 2003, are as follows:
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION DEPRECIATION (DEPRECIATION) FUND EF $ 65,626,537 $ 6,216,484 $ (742,865) $ 5,473,619 JF 3,460,345 371,799 (118,973) 252,826 IGF 3,761,515 519,410 (317,172) 202,238 IVF 35,053,153 8,375,053 (657,732) 7,717,321 IOF 141,759,970 36,473,337 (5,229,415) 31,243,922 EMF 56,322,995 25,202,506 (3,464,254) 21,738,252 AEF 30,148,837 7,040,873 (977,002) 6,063,871 IEF 729,988,364 82,892,578 (17,518,730) 65,373,848
The tax character of distributions paid during the years ended October 31, 2003 and October 31, 2002 were as follows: YEAR ENDED 10/31/03
ORDINARY INCOME EF $ 374,810 IVF 1,481,498 IOF 2,548,192 EMF 430,000 IEF 6,762,429
YEAR ENDED 10/31/02
ORDINARY INCOME IVF $ 1,669,756 IOF 3,881,303 EMF 866,869 IEF 1,161,091
77 At October 31, 2003, the components of net assets (excluding paid in capital) on a tax basis are as follows:
EF JF IGF IVF Current distributable ordinary income $ 48,543 $ -- $ 8,800 $ 377,549 Plus/Less: cumulative timing differences (8,979) (969) (85) (1,037) Undistributed ordinary income or overdistribution of ordinary income 39,564 (969) 8,715 376,512 Current distributable long-term capital gain or tax basis capital loss carryover (3,318,584) (801,035) (1,239,331) (36,106,418) Plus/Less: cumulative timing differences -- -- -- -- Undistributed long-term gains/ accumulated capital loss (3,318,584) (801,035) (1,239,331) (36,106,418) Unrealized appreciation (depreciation) $ 5,503,549 $ 254,533 $ 203,413 $ 7,900,847 IOF EMF AEF IEF Current distributable ordinary income $ 4,530,220 $ 717,169 $ 326,614 $ 2,449,255 Plus/Less: cumulative timing differences (11,895) (329) (23) (39,653) Undistributed ordinary income or overdistribution of ordinary income 4,518,325 716,840 326,591 2,409,602 Current distributable long-term capital gain or tax basis capital loss carryover (151,316,092) (127,815,250) (2,660,910) (27,480,301) Plus/Less: cumulative timing differences -- -- -- -- Undistributed long-term gains/ accumulated capital loss (151,316,092) (127,815,250) (2,660,910) (27,480,301) Unrealized appreciation (depreciation) $ 31,380,266 $ 21,749,827 $ 6,063,635 $ 65,441,063
For EF and AEF, the differences between book and tax basis unrealized appreciation (depreciation) are primarily attributable to wash sales. For JF, IGF, IVF and IOF, the differences between book and tax basis unrealized appreciation (depreciation) are primarily attributable to wash sales, the mark to market of forward foreign currency exchange contracts and the mark to market of investments in PFICs. For EMF, the difference between book and tax basis unrealized appreciation (depreciation) is primarily attributable to wash sales and allocation of tax basis on prior re-organizations. For IEF, the difference between book and tax basis unrealized appreciation (depreciation) is primarily attributable to wash sales and the mark to market of investments in PFICs. For all Funds, the cumulative timing difference account primarily consists of Trustees' deferred compensation. 78 At October 31, 2003, the following Funds have capital loss carryovers which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders.
EXPIRATION AMOUNT DATE FUND EF $ (3,318,584) October 31, 2009 - -------------------------------------------------------------------------------- JF (614,113) October 31, 2009 - -------------------------------------------------------------------------------- (186,922) October 31, 2010 (801,035) - -------------------------------------------------------------------------------- IGF (234,221) October 31, 2009 - -------------------------------------------------------------------------------- (748,119) October 31, 2010 (256,991) October 31, 2011 (1,239,331) - -------------------------------------------------------------------------------- IVF (1,001,489) October 31, 2008 - -------------------------------------------------------------------------------- (35,104,929) October 31, 2009 (36,106,418)* - -------------------------------------------------------------------------------- IOF (15,005,377) October 31, 2008 - -------------------------------------------------------------------------------- (70,979,742) October 31, 2009 (49,498,306) October 31, 2010 (15,832,667) October 31, 2011 (151,316,092)** - -------------------------------------------------------------------------------- EMF (78,708,868) October 31, 2006 - -------------------------------------------------------------------------------- (28,177,633) October 31, 2007 (2,888,019) October 31, 2008 (12,743,985) October 31, 2009 (5,296,745) October 31, 2010 (127,815,250)*** - -------------------------------------------------------------------------------- AEF (1,170,748) October 31, 2010 - -------------------------------------------------------------------------------- (1,490,162) October 31, 2011 (2,660,910) - -------------------------------------------------------------------------------- IEF (6,120,236) October 31, 2009 - -------------------------------------------------------------------------------- (11,448,027) October 31, 2010 (9,912,038) October 31, 2011 (27,480,301)
* The above capital loss carryover includes $1,001,489 of losses acquired from J.P. Morgan International Equity Fund. ** The above capital loss carryover includes $5,505,014 and $9,500,363 of losses acquired from J.P. Morgan Fleming International Equity Fund and J.P. Morgan International Opportunities Fund, respectively. *** The above capital loss carryover includes $6,639,185 of losses acquired from J.P. Morgan Emerging Markets Equity Fund. Utilization of these losses will be subject to an annual limitation as prescribed by the Internal Revenue Code. During the year ended October 31, 2003, EF, JF, IVF and EMF utilized capital loss carryforwards of $11,082,352, $469,376, $5,461,667 and $6,927,248, respectively. 79 8. BANK BORROWINGS Pursuant to a Line of Credit Agreement, dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement will expire on April 15, 2004. Prior to April 17, 2003, the Funds had entered into an agreement, enabling them to participate with other JPMorgan Funds in an unsecured line of credit with a syndicate of banks, which permitted borrowings up to $400 million, collectively. Interest was charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which was allocated on a pro-rata basis to the Funds. This agreement expired on April 16, 2003. The commitment fee is included in other expenses on the Statement of Operations. The Funds had no borrowings outstanding at October 31, 2003, nor at anytime during the period then ended. 9. CONCENTRATIONS AND INDEMNIFICATIONS Investments in international markets may involve certain considerations and risks not typically associated with investments in the United States. Future economic and political developments in foreign countries could adversely affect the liquidity or value, or both, of such securities in which the Fund is invested. As of October 31, 2003, substantially all of the Funds' net assets consist of securities of issuers that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of and investment income from such securities. As of October 31, 2003, EF, IEF, IGF, and IOF invested approximately 23.1%, 26.2%, 30.0%, and 24.2%, respectively, of its respective portfolio in issuers in the United Kingdom. EMF and AEF invested 22.4% and 24.8%, respectively, of its respective portfolio in issuers in South Korea. AEF invested 20.8% of its respective portfolio in issuers in Hong Kong. IEF invested 20.6% of its respective portfolio in issuers in Japan. As of October 31, 2003, IVF invested approximately 21.6% of its net assets in securities issued by banking companies. 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. At October 31, 2003, all of the outstanding shares of IGF are owned by a related party. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 10. SUBSEQUENT EVENT As approved by the Trustees and effective November 17, 2003, the Funds will apply fair value pricing on a daily basis for all non-U.S. securities and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent or affiliated pricing service, unless JPMIM determines that use of another fair valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movements in prices of indices and securities in other markets to determine fair value as of the time a Fund calculates its net asset value. The fair value pricing will be implemented at the close of regular trading of the Fund, regardless of whether a market trigger has occurred. 80 11. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented:
EUROPEAN FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 40,276,497 $ 40,753,598 Shares issued in reinvestment of distributions 83,574 -- Shares redeemed (43,434,120) (47,411,189) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,074,049) $ (6,657,591) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,790,586 2,875,391 Shares issued in reinvestment of distributions 6,424 -- Shares redeemed (3,005,402) (3,310,622) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (208,392) (435,231) - -------------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 1,762,130 $ 4,484,346 Shares issued in reinvestment of distributions 48,442 -- Shares redeemed (2,733,317) (5,530,683) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (922,745) $ (1,046,337) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 130,394 318,418 Shares issued in reinvestment of distributions 3,900 -- Shares redeemed (207,188) (399,067) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (72,894) (80,649) - -------------------------------------------------------------------------------------------------------------------- CLASS C SHARES AMOUNT Shares sold $ 1,061,527 $ 1,023,454 Shares issued in reinvestment of distributions 6,481 -- Shares redeemed (1,309,683) (1,513,850) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (241,675) $ (490,396) - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 82,948 75,383 Shares issued in reinvestment of distributions 522 -- Shares redeemed (101,132) (110,608) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (17,662) (35,225) - --------------------------------------------------------------------------------------------------------------------
81
EUROPEAN FUND (CONTINUED) ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 INSTITUTIONAL SHARES AMOUNT Shares sold $ 11,942,862 $ 3,747,517 Shares issued in reinvestment of distributions 9,584 -- Shares redeemed (8,659,348) (2,189,224) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 3,293,098 $ 1,558,293 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 808,481 261,900 Shares issued in reinvestment of distributions 731 -- Shares redeemed (581,439) (153,807) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 227,773 108,093 - -------------------------------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 37,953,176 $ 73,084,253 Shares issued in reinvestment of distributions 53,460 -- Shares redeemed (37,843,951) (71,102,771) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 162,685 $ 1,981,482 - -------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,716,370 5,179,585 Shares issued in reinvestment of distributions 4,100 -- Shares redeemed (2,698,946) (5,008,408) - -------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 21,524 171,177 - --------------------------------------------------------------------------------------------------------------------
82
JAPAN FUND INTERNATIONAL GROWTH FUND ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 9,324,505 $ 4,559,564 $ -- $ 827,887 Shares redeemed (7,237,188) (4,477,072) -- (811,365) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 2,087,317 $ 82,492 $ -- $ 16,522 - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,871,032 891,941 -- 102,240 Shares redeemed (1,503,284) (868,232) -- (100,169) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 367,748 23,709 -- 2,071 - ---------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 2,655,629 $ 1,385,230 $ 500 $ 825,000 Shares redeemed (2,370,145) (1,395,452) -- (806,000) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 285,484 $ (10,222) $ 500 $ 19,000 - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 486,384 259,676 65 102,357 Shares redeemed (438,419) (260,212) -- (100,000) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 47,965 (536) 65 2,357 - ----------------------------------------------------------------------------------------------------------------
83
INTERNATIONAL VALUE FUND INTERNATIONAL OPPORTUNITIES FUND ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 543,162 $ 610,100 $ 36,091,421 $ 17,225,868 Shares issued in reinvestment of distributions 2,552 484 99,065 122,484 Shares redeemed (675,120) (435,537) (39,802,772) (24,594,620) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (129,406) $ 175,047 $ (3,612,286) $ (7,246,268) - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 77,455 73,440 4,597,546 2,032,356 Shares issued in reinvestment of distributions 376 58 13,244 13,670 Shares redeemed (94,026) (51,484) (5,051,145) (2,896,986) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (16,195) 22,014 (440,355) (850,960) - ---------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 50,588 $ 397,532 $ 171,083 $ 597,010 Shares issued in reinvestment of distributions 5,748 403 10,904 13,272 Shares redeemed (17,614) (214,932) (376,308) (1,956,074) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 38,722 $ 183,003 $ (194,321) $ (1,345,792) - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 6,411 49,358 21,996 68,429 Shares issued in reinvestment of distributions 850 48 1,463 1,481 Shares redeemed (2,473) (26,009) (51,002) (228,967) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4,788 23,397 (27,543) (159,057) - ----------------------------------------------------------------------------------------------------------------
84
INTERNATIONAL INTERNATIONAL VALUE FUND (CONTINUED) OPPORTUNITIES FUND (CONTINUED) ------------------------------------ ----------------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 OCTOBER 31, 2003 OCTOBER 31, 2002 INSTITUTIONAL SHARES AMOUNT Shares sold $ 45,587,834 $ 191,108,290 $ 94,487,627 $ 301,479,963 Shares issued in reinvestment of distributions 662,311 987,326 1,065,103 1,719,932 Shares redeemed (53,678,945) (305,835,898) (199,547,604) (291,711,949) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (7,428,800) $ (113,740,282) $ (103,994,874) $ 11,487,946 - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 6,408,246 23,571,460 12,124,742 34,677,307 Shares issued in reinvestment of distributions 97,113 118,669 141,073 191,957 Shares redeemed (7,521,869) (36,824,872) (25,518,152) (33,892,147) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,016,510) (13,134,743) (13,252,337) 977,117 - ---------------------------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 68,279,734 $ 102,675,904 $ 73,847,430 $ 214,045,865 Shares issued in reinvestment of distributions 527,931 257,893 248,520 257,698 Shares redeemed (72,491,666) (105,658,149) (82,557,324) (216,859,043) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,684,001) $ (2,724,352) $ (8,461,374) $ (2,555,480) - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 9,510,101 13,249,092 9,619,318 26,886,447 Shares issued in reinvestment of distributions 77,523 30,997 33,004 28,760 Shares redeemed (10,070,895) (13,440,339) (10,731,214) (26,791,379) - ---------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (483,271) (160,250) (1,078,892) 123,828 - ----------------------------------------------------------------------------------------------------------------
85
EMERGING MARKETS EQUITY FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 222,427 $ 1,329,658 Shares issued in reinvestment of distributions 886 116 Shares redeemed (172,217) (1,288,664) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 51,096 $ 41,110 - ---------------------------------------------------------------------------------------------------------------- SHARES Shares sold 36,685 207,292 Shares issued in reinvestment of distributions 161 20 Shares redeemed (29,071) (200,628) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 7,775 6,684 - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 306,190 $ 130,658 Shares issued in reinvestment of distributions 227 96 Shares redeemed (276,477) (91,611) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 29,940 $ 39,143 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 53,373 20,149 Shares issued in reinvestment of distributions 42 16 Shares redeemed (48,520) (14,312) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4,895 5,853 - -----------------------------------------------------------------------------------------------------------------
86
EMERGING MARKETS EQUITY FUND (CONTINUED) ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 INSTITUTIONAL SHARES AMOUNT Shares sold $ 41,492,898 $ 28,775,875 Shares issued in reinvestment of distributions 269,543 687,716 Shares redeemed (49,074,995) (54,065,211) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (7,312,554) $ (24,601,620) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 6,770,225 4,709,469 Shares issued in reinvestment of distributions 48,742 107,676 Shares redeemed (8,140,162) (8,864,012) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,321,195) (4,046,867) - ----------------------------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 25,679,042 $ 33,349,693 Shares issued in reinvestment of distributions 109,846 188,618 Shares redeemed (28,827,604) (38,157,997) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (3,038,716) $ (4,619,686) - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 4,451,740 5,728,695 Shares issued in reinvestment of distributions 19,972 32,353 Shares redeemed (5,039,893) (6,522,805) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (568,181) (761,757) - -----------------------------------------------------------------------------------------------------------------
87
ASIA EQUITY FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002* CLASS A SHARES AMOUNT Shares sold $ 537,655 $ 2,500,000 Shares redeemed (2,492,363) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (1,954,708) $ 2,500,000 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 32,651 166,667 Shares redeemed (184,626) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (151,975) 166,667 - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES^ AMOUNT Shares sold $ 1,689 $ 500,000 Shares redeemed (439,700) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (438,011) $ 500,000 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 134 33,333 Shares redeemed (33,467) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (33,333) 33,333 - -----------------------------------------------------------------------------------------------------------------
^ Class ceased operations as of September 12, 2003. * The Fund commenced its operations on November 1, 2001. For Institutional and Select Shares, from commencement of offering on June 28, 2002. 88
ASIA EQUITY FUND (CONTINUED) ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002* INSTITUTIONAL SHARES AMOUNT Shares sold $ 7,757,913 $ 8,594,000 Shares redeemed (2,900,715) (1,030,402) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 4,857,198 $ 7,563,598 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 524,630 542,864 Shares redeemed (217,520) (71,428) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 307,110 471,436 - ----------------------------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 12,196,112 $ 19,864,176 Shares redeemed (6,905,670) (3,203,198) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 5,290,442 $ 16,660,978 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 845,208 1,260,983 Shares redeemed (496,583) (236,660) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 348,625 1,024,323 - -----------------------------------------------------------------------------------------------------------------
* The Fund commenced its operations on November 1, 2001. For Institutional and Select Shares, from commencement of offering on June 28, 2002. 89
INTERNATIONAL EQUITY FUND -------------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2003** OCTOBER 31, 2002* CLASS A SHARES AMOUNT Shares sold $ 20,900,763 $ 100,938 Shares issued in reinvestment of distributions 25,323 139 Shares redeemed (13,862,836) (5,077) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 7,063,250 $ 96,000 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 1,016,554 4,911 Shares issued in reinvestment of distributions 1,181 7 Shares redeemed (655,562) (243) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 362,173 4,675 - ----------------------------------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 138,537 $ 24,345 Shares issued in reinvestment of distributions 531 13 Shares redeemed (7,776) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 131,292 $ 24,358 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 6,922 1,115 Shares issued in reinvestment of distributions 26 1 Shares redeemed (363) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 6,585 1,116 - -----------------------------------------------------------------------------------------------------------------
** For Class C Shares, from commencement of offering on January 31, 2003. * For Class A Shares and Class B Shares, from commencement of offering on February 28, 2002. 90
INTERNATIONAL EQUITY FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED OCTOBER 31, 2003** OCTOBER 31, 2002* CLASS C SHARES AMOUNT Shares sold $ 2,164,951 -- Shares issued in reinvestment of distributions 2,490 -- Shares redeemed (564,751) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 1,602,690 -- - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 100,275 -- Shares issued in reinvestment of distributions 117 -- Shares redeemed (27,490) -- - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 72,902 -- - ----------------------------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 559,611,045 $ 147,829,519 Shares issued in reinvestment of distributions 2,705,120 138,342 Shares redeemed (103,450,685) (57,967,551) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 458,865,480 $ 90,000,310 - ----------------------------------------------------------------------------------------------------------------- SHARES Shares sold 27,236,203 6,873,406 Shares issued in reinvestment of distributions 131,977 6,878 Shares redeemed (5,015,596) (2,707,300) - ----------------------------------------------------------------------------------------------------------------- Net increase (decrease) in fund Shares outstanding 22,352,584 4,172,984 - -----------------------------------------------------------------------------------------------------------------
** For Class C shares, from commencement of offering on January 31, 2003. * For Class A shares and Class B shares, from commencement of offering on February 28, 2002. 91 JPMorgan Funds FINANCIAL HIGHLIGHTS CLASS A SHARES
PER SHARE OPERATING PERFORMANCE: ----------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: -------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS EUROPEAN FUND(e) Year Ended 10/31/03 $ 13.23 0.02^ 3.78 3.80 0.09 -- 0.09 Year Ended 10/31/02 $ 12.96 0.14^ 0.13 0.27 -- -- -- Year Ended 10/31/01 $ 17.87 0.02^ (3.24) (3.22) -- 1.69 1.69 Year Ended 10/31/00 $ 16.52 (0.12)^ 1.83 1.71 -- 0.36 0.36 Year Ended 10/31/99 $ 14.47 (0.06)^ 2.31 2.25 0.09 0.11 0.20 JAPAN FUND(j) Year Ended 10/31/03 $ 4.43 (0.05)^ 2.30 2.25 -- -- -- Year Ended 10/31/02 $ 5.29 (0.06) (0.80) (0.86) -- -- -- Year Ended 10/31/01 $ 8.12 (0.08)^ (2.75) (2.83) -- -- -- Year Ended 10/31/00 $ 9.84 (0.15)^ (1.57) (1.72) -- -- -- Year Ended 10/31/99 $ 6.41 (0.07)^ 3.50 3.43 -- -- -- INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/03 $ 6.25 0.02 1.53 1.55 -- -- -- Year Ended 10/31/02 $ 7.22 (0.01) (0.96) (0.97) -- -- -- 12/29/00* Through 10/31/01 $ 10.00 (0.01) (2.76) (2.77) 0.01 -- 0.01 INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 6.98 0.03^ 1.77 1.80 0.25 -- 0.25 Year Ended 10/31/02 $ 8.27 0.15^ (1.32) (1.17) 0.12 -- 0.12 9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.16 0.15 -- -- --
# Short periods have been annualized. (1) Total return figures do not include the effect of any front-end load or deferred sales load. (a) Not annualized for periods less than one year. (e) Formerly Chase Vista European Fund. ^ Calculated upon average shares outstanding. (j) Formerly Chase Vista Japan Fund. SEE NOTES TO FINANCIAL STATEMENTS. 92
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN(1)(a) (000 OMITTED) EXPENSES (LOSS) EUROPEAN FUND(e) Year Ended 10/31/03 $ 16.94 28.94% $ 31,322 1.70% 0.17% Year Ended 10/31/02 $ 13.23 2.08% $ 27,208 1.65% 1.03% Year Ended 10/31/01 $ 12.96 (19.49%) $ 32,317 1.75% 0.17% Year Ended 10/31/00 $ 17.87 10.13% $ 75,801 1.74% (0.60%) Year Ended 10/31/99 $ 16.52 15.60% $ 47,759 1.74% (0.40%) JAPAN FUND(j) Year Ended 10/31/03 $ 6.68 50.79% $ 3,562 1.75% (1.02%) Year Ended 10/31/02 $ 4.43 (16.26%) $ 734 1.75% (1.26%) Year Ended 10/31/01 $ 5.29 (34.85%) $ 751 1.75% (1.22%) Year Ended 10/31/00 $ 8.12 (17.48%) $ 2,448 1.77% (1.54%) Year Ended 10/31/99 $ 9.84 53.51% $ 4,260 1.74% (0.88%) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/03 $ 7.80 24.80% $ 3,174 2.00% 0.36% Year Ended 10/31/02 $ 6.25 (13.43%) $ 2,543 2.00% (0.12%) 12/29/00* Through 10/31/01 $ 7.22 (27.68%) $ 2,922 2.00% (0.11%) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 8.53 26.71% $ 60 1.45% 0.37% Year Ended 10/31/02 $ 6.98 (14.34%) $ 163 1.45% 1.13% 9/28/01** Through 10/31/01 $ 8.27 1.85% $ 10 1.45% (0.89%) RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE(a) EUROPEAN FUND(e) Year Ended 10/31/03 2.47% (0.60%) 717% Year Ended 10/31/02 2.45% 0.23% 1,021% Year Ended 10/31/01 2.07% (0.15%) 564% Year Ended 10/31/00 1.95% (0.81%) 161% Year Ended 10/31/99 2.06% (0.72%) 149% JAPAN FUND(j) Year Ended 10/31/03 19.54%! (18.81%)! 797% Year Ended 10/31/02 22.18%! (21.69%)! 409% Year Ended 10/31/01 9.28%! (8.75%)! 196% Year Ended 10/31/00 5.49%! (5.26%)! 123% Year Ended 10/31/99 5.44%! (4.58%)! 133% INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/03 7.29% (4.93%) 38% Year Ended 10/31/02 7.20% (5.32%) 73% 12/29/00* Through 10/31/01 5.19% (3.30%) 35% INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 10.04%! (8.22%)! 132% Year Ended 10/31/02 15.97%! (13.39%)! 138% 9/28/01** Through 10/31/01 11.06%! (10.50%)! 85%
! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. (g) Formerly Chase Vista International Growth Fund. * Commencement of operations. (v) Formerly JPMorgan International Equity Fund. ** Commencement of offering of class of shares. SEE NOTES TO FINANCIAL STATEMENTS. 93 CLASS A SHARES (CONTINUED)
PER SHARE OPERATING PERFORMANCE: -------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ----------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 7.49 (--)^(b) 1.68 1.68 0.07 -- 0.07 Year Ended 10/31/02 $ 8.63 0.02 (1.09) (1.07) 0.07 -- 0.07 9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55) -- -- -- EMERGING MARKETS EQUITY FUND(M) Year Ended 10/31/03 $ 5.21 0.04^ 2.27 2.31 0.03 -- 0.03 Year Ended 10/31/02 $ 5.14 (0.06)^ 0.17 0.11 0.04 -- 0.04 9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.27 0.26 -- -- -- ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 13.69 --^(b) 4.05 4.05 -- -- -- 11/1/01* Through 10/31/02 $ 15.00 (0.02) (1.29) (1.31) -- -- -- INTERNATIONAL EQUITY FUND(I) Year Ended 10/31/03 $ 19.42 0.28^ 3.66 3.94 0.19 -- 0.19 2/28/02** Through 10/31/02 $ 21.81 0.04^ (2.37) (2.33) 0.06 -- 0.06
# Short periods have been annualized. (1) Total return figures do not include the effect of any front-end laod or deferred sales load. (a) Not annualized for periods less than one year. (o) Formerly J.P. Morgan Institutional International Opportunities Fund. ^ Calculated upon average shares outstanding. (b) Amount is less than 0.01. SEE NOTES TO FINANCIAL STATEMENTS. 94
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ----------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(a) (000 OMITED) EXPENSES (LOSS) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 9.10 22.70% $ 10,650 1.90% (0.02%) Year Ended 10/31/02 $ 7.49 (12.55%) $ 12,057 1.90% 0.20% 9/10/01** Through 10/31/01 $ 8.63 (5.99%) $ 21,237 1.90% (0.48%) EMERGING MARKETS EQUITY FUND(M) Year Ended 10/31/03 $ 7.49 44.65% $ 124 2.00% 0.59% Year Ended 10/31/02 $ 5.21 2.14% $ 46 2.00% (0.47%) 9/28/01** Through 10/31/01 $ 5.14 5.33% $ 11 2.00% (1.53%) ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 17.74 29.58% $ 261 1.75% 0.02% 11/1/01* Through 10/31/02 $ 13.69 (8.73%) $ 2,282 1.75% (0.12%) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 $ 23.17 20.41% $ 8,502 1.50% 1.28% 2/28/02** Through 10/31/02 $ 19.42 (10.70%) $ 91 1.50% 0.50% RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNING CREDITS AND EARNING CREDITS RATE(A) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 2.39% (0.51%) 79% Year Ended 10/31/02 1.98% 0.12% 121% 9/10/01** Through 10/31/01 1.90% (0.48%) 110% EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 24.54%! (21.95%)! 85% Year Ended 10/31/02 37.57%! (36.04%)! 69% 9/28/01** Through 10/31/01 12.12%! (11.65%)! 76% ASIA EQUITY FUND(p) Year Ended 10/31/03 4.83%! (3.06%)! 172% 11/1/01* Through 10/31/02 5.16%! (3.53%)! 106% INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 2.69%! 0.09%! 16% 2/28/02** Through 10/31/02 55.25%! (53.25%)! 20%
** Commencement of offering of class of shares. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. (p) Formerly JPMorgan Fleming Pacific Region Fund. * Commencement of operations. (i) Formerly Chase Vista Select International Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 95 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ----------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: -------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS EUROPEAN FUND(e) Year Ended 10/31/03 $ 12.63 (0.06)^ 3.59 3.53 0.08 -- 0.08 Year Ended 10/31/02 $ 12.48 0.05^ 0.10 0.15 -- -- -- Year Ended 10/31/01 $ 17.38 (0.09)^ (3.12) (3.21) -- 1.69 1.69 Year Ended 10/31/00 $ 16.18 (0.27)^ 1.83 1.56 -- 0.36 0.36 Year Ended 10/31/99 $ 14.24 (0.18)^ 2.26 2.08 0.03 0.11 0.14 JAPAN FUND(j) Year Ended 10/31/03 $ 4.25 (0.11)^ 2.22 2.11 -- -- -- Year Ended 10/31/02 $ 5.13 (0.12) (0.76) (0.88) -- -- -- Year Ended 10/31/01 $ 7.93 (0.13)^ (2.67) (2.80) -- -- -- Year Ended 10/31/00 $ 9.65 (0.22)^ (1.50) (1.72) -- -- -- Year Ended 10/31/99 $ 6.32 (0.13)^ 3.46 3.33 -- -- -- INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/03 $ 6.20 (0.01) 1.51 1.50 -- -- -- Year Ended 10/31/02 $ 7.19 (0.04) (0.95) (0.99) -- -- -- 12/29/00* Through 10/31/01 $ 10.00 (0.04) (2.77) (2.81) -- -- -- INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 6.96 (0.07)^ 1.82 1.75 0.25 -- 0.25 Year Ended 10/31/02 $ 8.28 (0.02)^ (1.18) (1.20) 0.12 -- 0.12 9/28/01** Through 10/31/01 $ 8.12 (0.01)^ 0.17 0.16 -- -- --
# Short periods have been annualized. (1) Total return figures do not include the effect of any front-end load or deferred sales load. (a) Not annualized for periods less than one year. (e) Formerly Chase Vista European Fund. ^ Calculated upon average shares outstanding. (j) Formerly Chase Vista Japan Fund. SEE NOTES TO FINANCIAL STATEMENTS. 96
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ----------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN(1)(a) (000 OMITTED) EXPENSES (LOSS) EUROPEAN FUND(e) Year Ended 10/31/03 $ 16.08 28.13% $ 11,583 2.35% (0.47%) Year Ended 10/31/02 $ 12.63 1.20% $ 10,017 2.39% 0.38% Year Ended 10/31/01 $ 12.48 (20.03%) $ 10,905 2.50% (0.62%) Year Ended 10/31/00 $ 17.38 9.40% $ 18,546 2.49% (1.35%) Year Ended 10/31/99 $ 16.18 14.66% $ 10,038 2.51% (1.12%) JAPAN FUND(j) Year Ended 10/31/03 $ 6.36 49.65% $ 469 2.50% (2.18%) Year Ended 10/31/02 $ 4.25 (17.15%) $ 109 2.50% (2.25%) Year Ended 10/31/01 $ 5.13 (35.31%) $ 135 2.47% (1.92%) Year Ended 10/31/00 $ 7.93 (17.82%) $ 322 2.52% (2.29%) Year Ended 10/31/99 $ 9.65 52.69% $ 1,089 2.49% (1.67%) INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/03 $ 7.70 24.19% $ 788 2.50% (0.14%) Year Ended 10/31/02 $ 6.20 (13.77%) $ 634 2.50% (0.62%) 12/29/00* Through 10/31/01 $ 7.19 (28.10%) $ 719 2.50% (0.51%) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 8.46 25.97% $ 249 1.95% (0.94%) Year Ended 10/31/02 $ 6.96 (14.72%) $ 171 1.95% (0.16%) 9/28/01** Through 10/31/01 $ 8.28 1.97% $ 10 1.95% (1.15%) RATIOS/SUPPLEMENTAL DATA: ---------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# -------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE(a) EUROPEAN FUND(e) Year Ended 10/31/03 3.09% (1.21%) 717% Year Ended 10/31/02 3.20% (0.43%) 1,021% Year Ended 10/31/01 2.82% (0.94%) 564% Year Ended 10/31/00 2.69% (1.55%) 161% Year Ended 10/31/99 2.83% (1.44%) 149% JAPAN FUND(j) Year Ended 10/31/03 20.70%! (20.38%)! 797% Year Ended 10/31/02 22.96%! (22.71%)! 409% Year Ended 10/31/01 11.24%! (10.69%)! 196% Year Ended 10/31/00 6.14%! (5.91%)! 123% Year Ended 10/31/99 6.19%! (5.37%)! 133% INTERNATIONAL GROWTH FUND(g) Year Ended 10/31/03 7.79% (5.43%) 38% Year Ended 10/31/02 7.69% (5.81%) 73% 12/29/00* Through 10/31/01 5.66% (3.67%) 35% INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 10.41%! (9.40%)! 132% Year Ended 10/31/02 15.43%! (13.64%)! 138% 9/28/01** Through 10/31/01 11.58%! (10.78%)! 85%
! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. (g) Formerly Chase Vista International Growth Fund. * Commencement of operations. (v) Formerly JPMorgan International Equity Fund. ** Commencement of offering of class of shares. SEE NOTES TO FINANCIAL STATEMENTS. 97
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 7.46 (0.04)^ 1.68 1.64 Year Ended 10/31/02 $ 8.63 (0.04) (1.08) (1.12) 9/10/01** Through 10/31/01 $ 9.18 (0.01)^ (0.54) (0.55) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 $ 5.20 --^ 2.28 2.28 Year Ended 10/31/02 $ 5.13 (0.03)^ 0.14 0.11 9/28/01** Through 10/31/01 $ 4.88 (0.01)^ 0.26 0.25 INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 $ 19.39 0.15^ 3.68 3.83 2/28/02** Through 10/31/02 $ 21.81 0.03^ (2.43) (2.40) PER SHARE OPERATING PERFORMANCE: ------------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 0.07 -- 0.07 Year Ended 10/31/02 0.05 -- 0.05 9/10/01** Through 10/31/01 -- -- -- EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 0.03 -- 0.03 Year Ended 10/31/02 0.04 -- 0.04 9/28/01** Through 10/31/01 -- -- -- INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 0.12 -- 0.12 2/28/02** Through 10/31/02 0.02 -- 0.02
# Short periods have been annualized. (1) Total return figures do not include the effect of any front-end load or deferred sales load. (a) Not annualized for periods less than one year. (o) Formerly J.P. Morgan Institutional International Opportunities Fund. ^ Calculated upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 98
PER SHARE OPERATING PERFORMANCE: ---------------------------------- LESS DISTRIBUTIONS: ---------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 9.03 22.18% Year Ended 10/31/02 $ 7.46 (13.05%) 9/10/01** Through 10/31/01 $ 8.63 (5.99%) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 $ 7.45 43.99% Year Ended 10/31/02 $ 5.20 2.04% 9/28/01** Through 10/31/01 $ 5.13 5.12% INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 $ 23.10 19.84% 2/28/02** Through 10/31/02 $ 19.39 (11.00%) RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------ RATIOS TO AVERAGE NET ASSETS:# ------------------------------- NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (000 OMITED) EXPENSES (LOSS) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 1,403 2.40% (0.58%) Year Ended 10/31/02 $ 1,365 2.40% (0.30%) 9/10/01** Through 10/31/01 $ 2,950 2.40% (0.95%) EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 $ 95 2.50% 0.03% Year Ended 10/31/02 $ 41 2.50% (0.34%) 9/28/01** Through 10/31/01 $ 11 2.50% (2.00%) INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 $ 178 2.00% 0.74% 2/28/02** Through 10/31/02 $ 22 2.00% 0.27% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNING CREDITS AND EARNING CREDITS RATE(a) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 2.89% (1.07%) 79% Year Ended 10/31/02 2.49% (0.39%) 121% 9/10/01** Through 10/31/01 2.40% (0.95%) 110% EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 25.36%! (22.83%)! 85% Year Ended 10/31/02 36.79%! (34.63%)! 69% 9/28/01** Through 10/31/01 12.62%! (12.12%)! 76% INTERNATIONAL EQUITY FUND(i) Year Ended 10/31/03 6.19%! (3.45%)! 16% 2/28/02** Through 10/31/02 74.45%! (72.18%)! 20%
** Commencement of offering of class of shares. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. (i) Formerly Chase Vista Select International Equity Fund. SEE NOTES TO FINANCIAL STATEMENTS. 99 CLASS C SHARES
PER SHARE OPERATING PERFORMANCE: --------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS EUROPEAN FUND(e) Year Ended 10/31/03 $ 12.62 (0.06)^ 3.58 3.52 Year Ended 10/31/02 $ 12.47 0.05^ 0.10 0.15 Year Ended 10/31/01 $ 17.37 (0.08)^ (3.13) (3.21) Year Ended 10/31/00 $ 16.19 (0.26)^ 1.80 1.54 11/1/98** Through 10/31/99 $ 14.24 (0.08)^ 2.17 2.09 INTERNATIONAL EQUITY FUND(i) 1/31/03** Through 10/31/03 $ 18.43 0.08^ 4.65 4.73 PER SHARE OPERATING PERFORMANCE: ------------------------------------------------- LESS DISTRIBUTIONS: ------------------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS EUROPEAN FUND(e) Year Ended 10/31/03 0.08 -- 0.08 Year Ended 10/31/02 -- -- -- Year Ended 10/31/01 -- 1.69 1.69 Year Ended 10/31/00 -- 0.36 0.36 11/1/98** Through 10/31/99 0.03 0.11 0.14 INTERNATIONAL EQUITY FUND(i) 1/31/03** Through 10/31/03 0.11 -- 0.11
# Short periods have been annualized. (1) Total return figures do not include the effect of any front-end load or deferred sales load. (a) Not annualized for periods less than one year. (e) Formerly Chase Vista European Fund. SEE NOTES TO FINANCIAL STATEMENTS. 100
PER SHARE OPERATING PERFORMANCE: --------------------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) EUROPEAN FUND(e) Year Ended 10/31/03 $ 16.06 28.09% Year Ended 10/31/02 $ 12.62 1.20% Year Ended 10/31/01 $ 12.47 (20.04%) Year Ended 10/31/00 $ 17.37 9.27% 11/1/98** Through 10/31/99 $ 16.19 14.73% INTERNATIONAL EQUITY FUND(i) 1/31/03** Through 10/31/03 $ 23.05 25.70% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------- NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (000 OMITTED) EXPENSES (LOSS) EUROPEAN FUND(e) Year Ended 10/31/03 $ 2,914 2.35% (0.42%) Year Ended 10/31/02 $ 2,512 2.39% 0.36% Year Ended 10/31/01 $ 2,922 2.50% (0.55%) Year Ended 10/31/00 $ 4,229 2.49% (1.33%) 11/1/98** Through 10/31/99 $ 1,460 2.51% (0.61%) INTERNATIONAL EQUITY FUND(i) 1/31/03** Through 10/31/03 $ 1,681 2.00% 0.48% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) PORTFOLIO WITHOUT WAIVERS, AND WITHOUT WAIVERS, AND TURNOVER REIMBURSEMENTS REIMBURSEMENTS RATE (a) EUROPEAN FUND(e) Year Ended 10/31/03 3.09% (1.16%) 717% Year Ended 10/31/02 3.20% (0.45%) 1,021% Year Ended 10/31/01 2.82% (0.87%) 564% Year Ended 10/31/00 2.67% (1.51%) 161% 11/1/98** Through 10/31/99 2.83% (0.93%) 149% INTERNATIONAL EQUITY FUND(i) 1/31/03** Through 10/31/03 2.85%! (0.37%)! 16%
^ Calculated upon average shares outstanding. ** Commencement of offering of class of shares. (i) Formerly Chase Vista Select International Equity Fund. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 101 INSTITUTIONAL CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: --------------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS EUROPEAN FUND(e) Year Ended 10/31/03 $ 13.33 0.12^ 3.82 3.94 Year Ended 10/31/02 $ 12.99 0.24^ 0.10 0.34 9/10/01** Through 10/31/01 $ 13.14 (0.05)^ (0.10) (0.15) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 7.02 0.02^ 1.82 1.84 Year Ended 10/31/02 $ 8.28 0.06^ (1.19) (1.13) Year Ended 10/31/01 $ 12.28 0.07^ (3.02) (2.95) Year Ended 10/31/00 $ 13.56 0.05 (0.66) (0.61) Year Ended 10/31/99 $ 11.21 0.19 2.51 2.70 PER SHARE OPERATING PERFORMANCE: ------------------------------------------------- LESS DISTRIBUTIONS: ------------------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS EUROPEAN FUND(e) Year Ended 10/31/03 0.10 -- 0.10 Year Ended 10/31/02 -- -- -- 9/10/01** Through 10/31/01 -- -- -- INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 0.25 -- 0.25 Year Ended 10/31/02 0.13 -- 0.13 Year Ended 10/31/01 -- 1.05 1.05 Year Ended 10/31/00 0.16 0.51 0.67 Year Ended 10/31/99 0.35 -- 0.35
# Short periods have been annualized. (a) Not annualized for periods less than one year. (e) Formerly Chase Vista European Fund. ^ Calculated upon average shares outstanding. ** Commencement of offering of class of shares. SEE NOTES TO FINANCIAL STATEMENTS. 102
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------- LESS DISTRIBUTIONS: ------------------------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (1)(a) EUROPEAN FUND(e) Year Ended 10/31/03 $ 17.17 29.83% Year Ended 10/31/02 $ 13.33 2.62% 9/10/01** Through 10/31/01 $ 12.99 (1.14%) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 8.61 27.23% Year Ended 10/31/02 $ 7.02 (13.89%) Year Ended 10/31/01 $ 8.28 (26.06%) Year Ended 10/31/00 $ 12.28 (5.16%) Year Ended 10/31/99 $ 13.56 24.70% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------ NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (000 OMITTED) EXPENSES (LOSS) EUROPEAN FUND(e) Year Ended 10/31/03 $ 12,038 1.00% 0.86% Year Ended 10/31/02 $ 6,305 1.00% 1.81% 9/10/01** Through 10/31/01 $ 4,740 1.00% (2.60%) INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 $ 26,356 0.95% 0.28% Year Ended 10/31/02 $ 28,644 0.95% 0.91% Year Ended 10/31/01 $ 142,590 0.92% 0.70% Year Ended 10/31/00 $ 432,785 0.95% 0.50% Year Ended 10/31/99 $ 471,195 0.95% 0.81% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) PORTFOLIO WITHOUT WAIVERS, AND WITHOUT WAIVERS, AND TURNOVER REIMBURSEMENTS REIMBURSEMENTS RATE (a) EUROPEAN FUND(e) Year Ended 10/31/03 2.01% (0.15%) 717% Year Ended 10/31/02 2.25% 0.56% 1,021% 9/10/01** Through 10/31/01 3.34%! (4.94%)! 564% INTERNATIONAL VALUE FUND(v) Year Ended 10/31/03 1.55% (0.32%) 132% Year Ended 10/31/02 1.16% 0.70% 138% Year Ended 10/31/01 0.93% 0.69% 85%~ Year Ended 10/31/00 0.95% 0.50% 80%~ Year Ended 10/31/99 0.95% 0.81% 70%~
! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. (v) Formerly JPMorgan International Equity Fund. ~ Prior to September 10, 2001, IVF invested all of its investable assets in The International Equity Portfolio ("IEP"). The Portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IEP. SEE NOTES TO FINANCIAL STATEMENTS. 103
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 7.55 0.08^ 1.71 1.79 Year Ended 10/31/02 $ 8.64 0.09 (1.08) (0.99) 12/1/00 Through 10/31/01*** $ 11.39 0.12^ (2.60) (2.48) Year Ended 11/30/00 $ 12.92 0.08 (1.42) (1.34) Year Ended 11/30/99 $ 10.11 0.25 2.88 3.13 Year Ended 11/30/98 $ 9.94 0.22 0.05 0.27 EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 $ 5.25 0.07^ 2.31 2.38 Year Ended 10/31/02 $ 5.14 0.04^ 0.12 0.16 Year Ended 10/31/01 $ 6.68 0.07^ (1.60) (1.53) Year Ended 10/31/00 $ 7.22 0.02 (0.50) (0.48) Year Ended 10/31/99 $ 5.91 0.14 1.68 1.82 ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 13.71 0.17^ 3.96 4.13 6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) PER SHARE OPERATING PERFORMANCE: ------------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 0.08 -- 0.08 Year Ended 10/31/02 0.10 -- 0.10 12/1/00 Through 10/31/01*** 0.11 0.16 0.27 Year Ended 11/30/00 0.19 -- 0.19 Year Ended 11/30/99 0.32 -- 0.32 Year Ended 11/30/98 0.10 -- 0.10 EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 0.04 -- 0.04 Year Ended 10/31/02 0.05 -- 0.05 Year Ended 10/31/01 0.01 -- 0.01 Year Ended 10/31/00 0.06 -- 0.06 Year Ended 10/31/99 0.51 -- 0.51 ASIA EQUITY FUND(p) Year Ended 10/31/03 -- -- -- 6/28/02** Through 10/31/02 -- -- --
# Short periods have been annualized. (a) Not annualized for periods less than one year. (o) Formerly J.P. Morgan Institutional International Opportunities Fund. ^ Calculated upon average shares outstanding. ~~ Prior to September 10, 2001, IOF invested all of its investable assets in the International Opportunities Portfolio ("IOP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IOP. *** The Fund changed its fiscal year end from November 30 to October 31. SEE NOTES TO FINANCIAL STATEMENTS. 104
PER SHARE OPERATING PERFORMANCE: -------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (a) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 9.26 24.02% Year Ended 10/31/02 $ 7.55 (11.67%) 12/1/00 Through 10/31/01*** $ 8.64 (22.24%) Year Ended 11/30/00 $ 11.39 (10.55%) Year Ended 11/30/99 $ 12.92 31.87% Year Ended 11/30/98 $ 10.11 2.69% EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 $ 7.59 45.49% Year Ended 10/31/02 $ 5.25 3.04% Year Ended 10/31/01 $ 5.14 (22.98%) Year Ended 10/31/00 $ 6.68 (6.88%) Year Ended 10/31/99 $ 7.22 33.76% ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 17.84 30.12% 6/28/02** Through 10/31/02 $ 13.71 (13.56%) RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: -------------------------------- NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (000 OMITED) EXPENSES (LOSS) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 $ 133,907 0.92% 1.10% Year Ended 10/31/02 $ 209,286 0.92% 1.21% 12/1/00 Through 10/31/01*** $ 231,048 0.94% 1.25% Year Ended 11/30/00 $ 461,016 0.91% 0.84% Year Ended 11/30/99 $ 370,268 0.94% 0.76% Year Ended 11/30/98 $ 323,918 0.99% 1.13% EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 $ 58,658 1.45% 1.18% Year Ended 10/31/02 $ 47,503 1.45% 0.83% Year Ended 10/31/01 $ 67,335 1.45% 1.07% Year Ended 10/31/00 $ 110,711 1.45% 0.46% Year Ended 10/31/99 $ 131,046 1.42% 0.99% ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 13,887 1.35% 1.16% 6/28/02** Through 10/31/02 $ 6,463 1.35% 0.08% RATIOS/SUPPLEMENTAL DATA: ----------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: ---------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) PORTFOLIO WITHOUT WAIVERS WITHOUT WAIVERS, TURNOVER AND REIMBURSEMENTS AND REIMBURSEMENTS RATE(a) INTERNATIONAL OPPORTUNITIES FUND(o) Year Ended 10/31/03 1.09% 0.93% 79% Year Ended 10/31/02 0.98% 1.15% 121% 12/1/00 Through 10/31/01*** 0.95% 1.24% 110% Year Ended 11/30/00 0.91% 0.84% 86%~~ Year Ended 11/30/99 0.95% 0.75% 80%~~ Year Ended 11/30/98 1.02% 1.10% 143%~~ EMERGING MARKETS EQUITY FUND(m) Year Ended 10/31/03 1.95% 0.68% 85% Year Ended 10/31/02 1.77% 0.51% 69% Year Ended 10/31/01 1.64% 0.88% 76% Year Ended 10/31/00 1.55% 0.36% 65%~ Year Ended 10/31/99 1.52% 0.89% 87%~ ASIA EQUITY FUND(p) Year Ended 10/31/03 2.65% (0.14%) 172% 6/28/02** Through 10/31/02 2.53% (1.10%) 106%
(m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. ~ Prior to September 10, 2001, EMF invested all of its investable assets in the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of EMP. (p) Formerly J.P. Morgan Fleming Pacific Region Fund. ** Commencement of offering of class of shares. SEE NOTES TO FINANCIAL STATEMENTS. 105 SELECT CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: ------------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS EUROPEAN FUND(e) Year Ended 10/31/03 $ 13.26 0.05^ 3.78 3.83 Year Ended 10/31/02 $ 12.97 0.14^ 0.15 0.29 9/10/01** Through 10/31/01 $ 13.14 --^ (0.17) (0.17) INTERNATIONAL VALUE FUND(v) @ Year Ended 10/31/03 $ 7.01 (0.01)^ 1.83 1.82 Year Ended 10/31/02 $ 8.28 0.07^ (1.22) (1.15) Year Ended 10/31/01 $ 16.08 0.02^ (3.39) (3.37) Year Ended 10/31/00 $ 18.70 0.27 (1.07) (0.80) Year Ended 10/31/99 $ 15.91 0.24 3.47 3.71 PER SHARE OPERATING PERFORMANCE: ------------------------------------------------ LESS DISTRIBUTIONS: ------------------------------------------------ DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS EUROPEAN FUND(e) Year Ended 10/31/03 0.09 -- 0.09 Year Ended 10/31/02 -- -- -- 9/10/01** Through 10/31/01 -- -- -- INTERNATIONAL VALUE FUND(v) @ Year Ended 10/31/03 0.25 -- 0.25 Year Ended 10/31/02 0.12 -- 0.12 Year Ended 10/31/01 1.14 3.29 4.43 Year Ended 10/31/00 0.24 1.58 1.82 Year Ended 10/31/99 0.47 0.45 0.92
# Short periods have been annualized. (a) Not annualized for periods less than one year. (e) Formerly Chase Vista European Fund. ^ Calculated upon average shares outstanding. ** Commencement of offering of class of shares. ! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 106
PER SHARE OPERATING PERFORMANCE: ------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN(A) EUROPEAN FUND(e) Year Ended 10/31/03 $ 17.00 29.14% Year Ended 10/31/02 $ 13.26 2.24% 9/10/01** Through 10/31/01 $ 12.97 (1.29%) INTERNATIONAL VALUE FUND(v) @ Year Ended 10/31/03 $ 8.58 26.89% Year Ended 10/31/02 $ 7.01 (14.09%) Year Ended 10/31/01 $ 8.28 (26.66%) Year Ended 10/31/00 $ 16.08 (5.49%) Year Ended 10/31/99 $ 18.70 24.41% RATIOS TO AVERAGE NET ASSETS: ------------------------------------------------- NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (000 OMITTED) EXPENSES (LOSS) EUROPEAN FUND(e) Year Ended 10/31/03 $ 11,225 1.47% 0.38% Year Ended 10/31/02 $ 8,461 1.50% 1.06% 9/10/01** Through 10/31/01 $ 6,063 1.50% (0.06%) INTERNATIONAL VALUE FUND(v) @ Year Ended 10/31/03 $ 16,538 1.39% (0.15%) Year Ended 10/31/02 $ 16,905 1.29% 0.85% Year Ended 10/31/01 $ 21,307 1.40% 0.20% Year Ended 10/31/00 $ 55,445 1.30% 0.15% Year Ended 10/31/99 $ 64,860 1.21% 0.55% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: ------------------------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) PORTFOLIO WITHOUT WAIVERS, AND WITHOUT WAIVERS, AND TURNOVER REIMBURSEMENTS REIMBURSEMENTS RATE(A) EUROPEAN FUND(e) Year Ended 10/31/03 2.20% (0.35%) 717% Year Ended 10/31/02 2.43% 0.13% 1,021% 9/10/01** Through 10/31/01 3.74%! (2.30%)! 564% INTERNATIONAL VALUE FUND(v) @ Year Ended 10/31/03 1.86% (0.62%) 132% Year Ended 10/31/02 1.49% 0.65% 138% Year Ended 10/31/01 1.40% 0.20% 85% Year Ended 10/31/00 1.30% 0.15% 80%~ Year Ended 10/31/99 1.21% 0.55% 70%~
(v) Formerly JPMorgan International Equity Fund. @ Prior to the open of business on September 10, 2001, the class underwent a split of shares in connection with the fund reorganization. Prior periods have been restated to reflect the split. ~ Prior to September 10, 2001, IVF invested all of its investable assets in The International Equity Portfolio ("IEP"). The Portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IEP. SEE NOTES TO FINANCIAL STATEMENTS. 107
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS INTERNATIONAL OPPORTUNITIES FUND(o)@ Year Ended 10/31/03 $ 7.53 0.05^ 1.72 1.77 0.08 -- 0.08 Year Ended 10/31/02 $ 8.64 0.08 (1.10) (1.02) 0.09 -- 0.09 12/1/00 Through 10/31/01*** $ 11.81 0.08^ (2.65) (2.57) 0.32 0.28 0.60 Year Ended 11/30/00 $ 13.41 0.14 (1.58) (1.44) 0.16 -- 0.16 Year Ended 11/30/99 $ 10.45 0.22 3.05 3.27 0.31 -- 0.31 Year Ended 11/30/98 $ 10.32 0.24 (0.01) 0.23 0.10 -- 0.10 EMERGING MARKETS EQUITY FUND(m)@ Year Ended 10/31/03 $ 5.23 0.05^ 2.28 2.33 0.03 -- 0.03 Year Ended 10/31/02 $ 5.13 0.03^ 0.12 0.15 0.05 -- 0.05 Year Ended 10/31/01 $ 6.73 0.05^ (1.61) (1.56) 0.04 -- 0.04 Year Ended 10/31/00 $ 7.28 0.02 (0.53) (0.51) 0.04 -- 0.04 Year Ended 10/31/99 $ 5.88 0.08 1.72 1.80 0.40 -- 0.40 ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 13.71 0.16^ 3.93 4.09 -- -- -- 6/28/02** Through 10/31/02 $ 15.86 -- (2.15) (2.15) -- -- -- INTERNATIONAL EQUITY FUND(i)(k) Year Ended 10/31/03 $ 19.45 0.30^ 3.72 4.02 0.28 -- 0.28 Year Ended 10/31/02 $ 21.20 0.21^ (1.84) (1.63) 0.12 -- 0.12 Year Ended 10/31/01 $ 32.00 0.39 (6.35) (5.96) 0.18 4.66 4.84 Year Ended 10/31/00 $ 33.33 0.15 1.05 1.20 0.13 2.40 2.53 Year Ended 10/31/99 $ 27.79 0.33 5.94 6.27 0.73 -- 0.73
# Short periods have been annualized. (a) Not annualized for periods less than one year. (o) Formerly J.P. Morgan Institutional International Opportunities Fund. @ Prior to the open of business on September 10, 2001, the class underwent a split of shares in connection with the fund reorganization. Prior periods have been restated to reflect this split. ^ Calculated upon average shares outstanding. ~~ Prior to September 10, 2001, IOF invested all of its investable assets in The International Opportunities Portfolio ("IOP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of IOP. SEE NOTES TO FINANCIAL STATEMENTS. 108
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA -------------------------------- ----------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN(a) (000 OMITED) EXPENSES (LOSS) AND EARNING CREDITS INTERNATIONAL OPPORTUNITIES FUND(o)@ Year Ended 10/31/03 $ 9.22 23.77% $ 30,969 1.20% 0.58% 1.37% Year Ended 10/31/02 $ 7.53 (11.98%) $ 33,428 1.20% 0.89% 1.22% 12/1/00 Through 10/31/01*** $ 8.64 (22.66%) $ 37,271 1.27% 0.85% 1.27% Year Ended 11/30/00 $ 11.81 (10.87%) $ 79,408 1.21% 0.55% 1.21% Year Ended 11/30/99 $ 13.41 32.13% $ 67,543 1.18% 0.47% 1.24% Year Ended 11/30/98 $ 10.45 2.30% $ 55,050 1.20% 0.96% 1.24% EMERGING MARKETS EQUITY FUND(m)@ Year Ended 10/31/03 $ 7.53 44.84% $ 22,620 1.75% 0.88% 2.26% Year Ended 10/31/02 $ 5.23 2.75% $ 18,660 1.75% 0.56% 2.04% Year Ended 10/31/01 $ 5.13 (23.23%) $ 22,253 1.75% 0.78% 2.11% Year Ended 10/31/00 $ 6.73 (7.12%) $ 34,204 1.75% 0.15% 1.96% Year Ended 10/31/99 $ 7.28 33.00% $ 35,786 1.75% 0.73% 1.87% ASIA EQUITY FUND(p) Year Ended 10/31/03 $ 17.80 29.83% $ 24,443 1.50% 1.17% 2.71% 6/28/02** Through 10/31/02 $ 13.71 (13.56%) $ 14,043 1.50% (0.03%) 2.58% INTERNATIONAL EQUITY FUND(i)(k) Year Ended 10/31/03 $ 23.19 20.90% $ 813,466 1.10% 1.45% 1.55% Year Ended 10/31/02 $ 19.45 (7.74%) $ 247,426 1.03% 1.03% 1.54% Year Ended 10/31/01 $ 21.20 (21.62%) $ 181,296 1.00% 0.87% 1.54% Year Ended 10/31/00 $ 32.00 2.71% $ 226,248 0.66% 0.38% 1.50% Year Ended 10/31/99 $ 33.33 22.83% $ 223,339 0.06% 1.14% 1.31% RATIOS/SUPPLEMENTAL DATA -------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------ NET INVESTMENT INCOME (LOSS) WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNING CREDITS RATE(a) INTERNATIONAL OPPORTUNITIES FUND(o)@ Year Ended 10/31/03 0.41% 79%~~ Year Ended 10/31/02 0.87% 121%~~ 12/1/00 Through 10/31/01*** 0.85% 110%~~ Year Ended 11/30/00 0.55% 86%~~ Year Ended 11/30/99 0.41% 80%~~ Year Ended 11/30/98 0.92% 143%~~ EMERGING MARKETS EQUITY FUND(m)@ Year Ended 10/31/03 0.37% 85%~ Year Ended 10/31/02 0.27% 69%~ Year Ended 10/31/01 0.42% 76%~ Year Ended 10/31/00 (0.06%) 65%~ Year Ended 10/31/99 0.61% 87%~ ASIA EQUITY FUND(p) Year Ended 10/31/03 (0.04%) 172% 6/28/02** Through 10/31/02 (1.11%) 106% INTERNATIONAL EQUITY FUND(i)(k) Year Ended 10/31/03 1.00% 16% Year Ended 10/31/02 0.52% 20% Year Ended 10/31/01 0.33% 33% Year Ended 10/31/00 (0.46%) 149% Year Ended 10/31/99 (0.11%) 141%
*** The Fund changed its fiscal year end from November 30 to October 31. (m) Formerly J.P. Morgan Institutional Emerging Markets Equity Fund. ~ Prior to September 10, 2001, EMF invested all of its investable assets in the Emerging Markets Equity Portfolio ("EMP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of EMP. (p) Formerly J.P. Morgan Fleming Pacific Region Fund. ** Commencement of offering of class of shares. (i) Formerly Chase Vista Select International Equity Fund. (k) On November 20, 1998, the Fund underwent a "6 for 1" split of shares. Prior periods have been restated to reflect this split. SEE NOTES TO FINANCIAL STATEMENTS. 109 JPMorgan Funds REPORT OF INDEPENDENT AUDITORS To the Trustees and Shareholders of J.P. Morgan Mutual Fund Group, J.P. Morgan Institutional Funds and J.P. Morgan Mutual Fund Select Group: In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Fleming European Fund, JPMorgan Fleming Japan Fund, JPMorgan Fleming International Growth Fund, JPMorgan Fleming International Value Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming Asia Equity Fund and JPMorgan Fleming International Equity Fund (formerly the JPMorgan Select International Equity Fund), (collectively hereafter referred to as the "Funds") at October 31, 2003, the results of each of their operations for the year 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 auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York December 16, 2003 110 TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Trustee of Funds that Retired; Vice 71 None 522 Fifth Avenue, are series of JPMIF President and New York, NY 10036; since 2001, Funds Treasurer 1941 that are series of Ingersoll-Rand of MFSG since 1996 Company and Funds that are (manufacturer of series of MFG industrial since 1987. equipment) (1972-2000) Roland R. Eppley, Jr.; Trustee Trustee of Funds that Retired 71 Director, Janel Hydro, 522 Fifth Avenue, are series of JPMIF Inc. (1993-Present) New York, NY 10036; since 2001, Funds 1932 that are series of MFSG since 1996 and Funds that are series of MFG since 1989. Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke Energy 522 Fifth Avenue, Capital Cities/ABC, Corporation (1997- New York, NY 10036; Inc. Present); Director of 1945 (communication) Elan Corporation, Plc (1986-1998); (pharmaceuticals)(2001- President of Present); Director of Diversified The Phoenix Companies Publishing Group (wealth management) (1991-1997) (2002-Present) Matthew Healey; Trustee and Trustee of Funds Retired; Chief 71 None 522 Fifth Avenue, President of that are series of Executive Officer of New York, NY 10036; the Board of of JPMIF since 1992 certain J.P. Morgan 1937 Trustees and Funds that Fund trusts (1982- are series of 2001) MFG since 2001 and MFSG since 2001. Fergus Reid, III; Trustee and Trustee of Funds that Chairman of 71 Trustee of 16 Morgan 522 Fifth Avenue, Chairman of are series of JPMIF Lumelite Stanley Funds (1995- New York, NY 10036; the Board of since 2001, Corporation Present) 1932 Trustees Funds that are (plastics series of MFSG manufacturing) since 1996 and (1985-Present) Funds that are series of MFG since 1987.
111
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S)(CONTINUED) James J. Schonbachler; Trustee Since 2001 Retired; Managing 71 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company, 1943 (financial services) (1968-1998); Group Head and Director of Bankers Trust, A.G., Zurich and BT Brokerage Corp. (financial services) (1995-2002) Robert J. Higgins; Trustee Since 2002 Director of 71 Director of Providian 522 Fifth Avenue, Administration of Financial Corp. New York, NY 10036; the State of Rhode (banking) (2002- 1945 Island (2003- Present) Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the 71 Trustee of the Albert 522 Fifth Avenue, City University of Einstein School New York, NY 10036; New York, since of Medicine 1941 September 1, 1999; (1998-Present); President, Adelphi Trustee of Bronx University Lebanon Hospital (New York) Center (1992-Present); (1998-1999). Director of New Plan Excel Realty Trust, Inc. (real estate investment company) (2000-Present); Director of Lincoln Center Institute for the Arts in Education (1999-Present); Director of Jewish Community Relations Counsel of New York, Inc. (2000-Present); Director of United Way of New York City (2002-Present).
112
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S)(CONTINUED) William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 71 Director of Radio Shack 522 Fifth Avenue, Emeritus Corporation New York, NY 10036; (March 2001- (electronics) (1987- 1937 October 2002), Present); Director of and Chairman and the Griswold Company Chief Executive (securities brokerage) Officer, Boston (2002-Present); Stock Director of The Exchange National Football (June 1985 - Foundation and March 2001). College Hall of Fame (1994-Present); Trustee of the Berklee College of Music (1998- Present); Trustee of the Stratton Mountain School (2001-Present). INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Trustee of Retired; Chief 71 Director of Glenview 522 Fifth Avenue, Funds that are Executive Officer Trust; Director of New York, NY 10036; series of JPMIF of Chase Mutual Pizza Magia; Trustee of 1935 since 2001, Funds Funds (investment St. Catherine College that are series company) Trust; Trustee of of MFSG since 1996 (1989-1998); Chief Bellarmine University and Funds that Investment Executive Trust; Director of are series of of Chase Manhattan Marion Washington MFG since 1998. Private Bank Airport Board Trust; (investment Director of Springfield management) Washington Economic (1990-1995) Development Board Trust.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. (1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 11 investment companies. 113
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------ OFFICERS George Gatch; President Since 2001 Managing Director, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Head of J.P. Morgan Fleming's U.S. Mutual Funds and New York, NY 10036; Financial Intermediaries Business ("FFI"); he has held 1962 numerous positions throughout the firm in business management, marketing and sales. Patricia A. Maleski; Treasurer Since 2003 Vice President, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Head of FFI and U.S. Institutional Funds Administration New York, NY 10036; and Board Liaison. Prior to joining J.P. Morgan Chase in 1960 2001, she was the Vice President of Finance for the Pierpont Group, Inc., a service provider to the board of trustees of the heritage JPMorgan Funds. Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Head of Business and Product Strategy for FFI; since New York, NY 10036; joining J.P. Morgan Chase in 1996, she has held numerous 1959 positions throughout the asset management business in mutual funds marketing, legal and product development. Stephen M. Ungerman; Vice President and Since 2001 Vice President, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Assistant Treasurer Business Head for Vehicle Services Group within New York, NY 10036; Fund Administration; prior to joining J.P. Morgan Chase 1953 in 2000, he held a number of senior management positions in Prudential Insurance Co. of America's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department; Mr. Ungerman was also the Assistant Treasurer of all mutual funds managed by Prudential. Michael Maye Vice President and Since 2003 Vice President, JPMIM; Chief Financial Officer of FFI; 522 Fifth Avenue Assistant Treasurer prior to joining J.P. Morgan Chase in 2003, he was Vice New York, NY 10036; President from 1999 to 2003 and Assistant Vice President 1965 from 1996 to 1999 of Planning & Analysis at Alliance Capital Management L.P. where he was responsible for forecasting, special projects and financial analysis. Judy R. Bartlett; Vice President and Since 2001 Vice President and Assistant General Counsel, J.P. Morgan 522 Fifth Avenue, Assistant Secretary Investment Management Inc., since September 2000; from New York, NY 10036; August 1998 through August 2000, she was an attorney at 1965 New York Life Insurance Company where she served as Assistant Secretary for the Mainstay Funds. Joseph J. Bertini; Vice President and Since 2001 Vice President and Assistant General Counsel, J.P. Morgan 522 Fifth Avenue, Assistant Secretary Investment Management Inc. New York, NY 10036; 1965 Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant General Counsel, 522 Fifth Avenue, Assistant Secretary J.P. Morgan Investment Management, Inc., since New York, NY 10036; September 2002; Mr. Chan was an associate at the law firm 1965 of Shearman and Sterling LLP from May 2001 through September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Thomas J. Smith Vice President and Since 2002 Managing Director, Head of Compliance for J.P. Morgan 522 Fifth Avenue, Assistant Secretary Chase & Co.'s asset management business in the Americas. New York, NY 10036 1955
114
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------------ OFFICERS (CONTINUED) Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Manger of the Budgeting and Expense Group of Funds New York, NY 10036 Administration Group. 1954 Lai Ming Fung Assistant Treasurer Since 2001 Associate, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Budgeting Analyst for the Budgeting and Expense Group of New York, NY 10036 Funds Administration Group. 1974 Mary D. Squires Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment Management Inc.; 522 Fifth Avenue, Ms. Squires has held numerous financial and operations New York, NY 10036 positions supporting the J.P. Morgan Chase organization 1955 complex. Nimish S. Bhatt Assistant Treasurer Since 2001 Senior Vice President of Alternative Investment Products 3435 Stelzer Rd. and Tax Services of BISYS Fund Services, Inc. since Columbus, OH 43219 January 2002; held various positions within BISYS since 1963 1996, including Senior Vice President of Fund Administration and Financial Services, Vice President and Director of International Operation, Vice President of Financial Administration and Vice President of Tax. Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS Fund Services, 3435 Stelzer Rd. Inc. since January 2003; held various positions within Columbus, OH 43219 BISYS since 1998. 1968 Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of BISYS Fund 3435 Stelzer Rd. Services, Inc. since June 2001; formerly Section Manager Columbus, OH 43219 of Northern Trust Company and Accounting Supervisor at 1966 Allstate Insurance Company. Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of BISYS Fund 3435 Stelzer Rd. Services, Inc. Columbus, OH 43219 1963 Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund Services, Inc.; 3435 Stelzer Rd. formerly, Supervisor of the Blue Sky Department of Columbus, OH 43219 Alliance Capital Management, L.P. 1967 Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund Services, Inc. since 60 State Street, 2000; formerly Attorney at Hill, Farrer & Burrill LLP from Suite 1300 1999 to 2000 and Knapp Peterson Clarke, PC from 1997 to Boston, MA 02109 1999. 1972 Lisa Hurley Assistant Secretary Since 2001 Executive Vice President and General Counsel of BISYS 60 State Street, Fund Services, Inc. Suite 1300 Boston, MA 02109 1955
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 115 TAX LETTER (UNAUDITED) JPMORGAN FLEMING EUROPEAN FUND ("EF") JPMORGAN FLEMING JAPAN FUND ("JF") JPMORGAN FLEMING INTERNATIONAL GROWTH FUND ("IGF") JPMORGAN FLEMING INTERNATIONAL VALUE FUND ("IVF") JPMORGAN FLEMING INTERNATIONAL OPPORTUNITIES FUND ("IOF") JPMORGAN FLEMING EMERGING MARKETS EQUITY FUND ("EMF") JPMORGAN FLEMING ASIA EQUITY FUND ("AEF") JPMORGAN FLEMING INTERNATIONAL EQUITY FUND ("IEF") Certain tax information regarding the JPMorgan Mutual Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended October 31, 2003. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003. The information necessary to complete your income tax returns for the calendar year ending December 31, 2003 will be received under separate cover. For the fiscal year ended October 31, 2003, the Funds intend to distribute the maximum amount of dividends that qualify for the reduced tax rate pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003. Complete information will be reported in conjunction with your 2003 Form 1099-DIV. Also, for the fiscal year ended October 31, 2003, EF, IOF, AEF and IEF intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Gross income and foreign tax expenses by country on October 31, 2003 are as follows:
FOREIGN TAX COUNTRY GROSS INCOME PASS THROUGH - ------------------------------------------------------------- FUND EF Austria $ 14,776 $ 2,216 Bermuda 976 91 Croatia 12,217 -- Denmark 4,878 735 Finland 140,885 21,133 France 100,243 85,474 Germany 120,657 18,736 Greece 34,205 -- Ireland -- -- Italy 166,931 22,825 Norway 53,416 8,017 Portugal 34,276 7,417 Spain 117,133 15,970 Sweden 58,052 11,190 Switzerland 17,310 5,305 The Netherlands 95,728 13,209 United Kingdom 393,971 50,620 $ 1,365,654 $ 262,938
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FOREIGN TAX COUNTRY GROSS INCOME PASS THROUGH - ------------------------------------------------------------- FUND IOF Australia $ 133,437 $ 2,332 Belgium 39,606 5,941 Finland 86,625 12,994 France 1,364,930 979,672 Germany 201,648 84,260 Hong Kong 172,987 -- India 81,278 1,228 Italy 273,194 40,979 Japan 302,171 30,210 Korea 239,480 32,723 Russia 116,159 -- Singapore 55,469 12,402 Spain 240,472 33,598 Sweden 65,960 9,910 Switzerland 336,196 42,121 Taiwan -- 19 Thailand 13,877 1,388 The Netherlands 257,362 38,629 United Kingdom 1,926,036 192,452 United States (706,104) -- Venezuela 279,366 -- $ 5,480,149 $ 1,520,858
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FOREIGN TAX COUNTRY GROSS INCOME PASS THROUGH - ------------------------------------------------------------- FUND AEF Bermuda $ 43,975 $ -- China 51,794 -- Hong Kong 205,105 -- India 719 -- Indonesia 20,310 3,047 Korea 184,783 29,574 Malaysia 56,785 13,394 Singapore 94,666 19,723 Taiwan 127,940 35,609 Thailand 19,160 1,916 United Kingdom 38,444 1,445 $ 843,681 $ 104,708 IEF Australia $ 161,013 $ 26,440 Belgium 515,790 77,368 Brazil 84,575 -- Finland 214,480 32,172 France 1,795,335 167,503 Germany 864,024 110,312 Hong Kong 210,737 -- Ireland 103,512 -- Italy 1,378,270 175,183 Japan 913,682 92,162 Korea 137,889 -- Russia 197,359 -- Spain 437,891 63,750 Sweden 264,550 -- Switzerland 614,456 144,967 The Netherlands 1,281,254 198,616 United Kingdom 5,146,796 507,502 $ 14,321,613 $ 1,595,975
The pass-through of the foreign tax credit will only affect those persons who are shareholders on the dividend record date in December 2003. These shareholders will receive more detailed information along with 2003 Form 1099-DIV. 118 JPMorgan Family of Funds U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity Fund Disciplined Equity Value Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund Trust Small Cap Equity Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Asia Equity Fund Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAX FREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund Funds may be registered under separate registrants. 119 THIS PAGE IS INTENTIONALLY LEFT BLANK [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the Funds. It is not authorized for distribution to prospective investors in the Funds unless preceded or accompanied by a prospectus. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. A list of portfolio holdings is available fifteen days after month-end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. JPMorgan Funds Fulfillment Center PRSRT STD 600 North Bedford Street U.S. POSTAGE East Bridgewater, MA 02333 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2003 All rights reserved. December 2003. AN-INTEQ-1003 [GRAPHIC] JPMORGAN FUNDS ANNUAL REPORT OCTOBER 31 2003 TAX AWARE FUNDS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND TAX AWARE DISCIPLINED EQUITY FUND TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND TAX AWARE LARGE CAP VALUE FUND TAX AWARE SHORT-INTERMEDIATE INCOME FUND TAX AWARE U.S. EQUITY FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMORGAN FLEMING ASSET MANAGEMENT is a premier global wealth manager that has been working with affluent investors for over a hundred years. This experience provides us with a keen understanding of the unique needs of the affluent investor's portfolio. The legacy of our experience coupled with our GLOBAL INTELLECTUAL CAPITAL is the foundation from which our investment products have been built. We have investment professionals based in 44 countries around the globe. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our market place. JPMorgan Fleming Asset Management is dedicated to working as an EXPERIENCED PARTNER with your financial advisor to help provide you with the WEALTH SOLUTIONS your portfolio needs. CONTENTS President's Letter 1 Fund Commentaries: Fleming Tax Aware International Opportunites Fund 3 Tax Aware Disciplined Equity Fund 6 Tax Aware Enhanced Income Fund 9 Tax Aware Large Cap Growth Fund 11 Tax Aware Large Cap Value Fund 14 Tax Aware Short-Intermediate Income Fund 17 Tax Aware U.S. Equity Fund 19 Portfolio of Investments 22 Financial Statements 58 Notes to Financial Statements 70 Financial Highlights 98
HIGHLIGHTS - - "Baghdad bounce" revives U.S. and international markets - - Economies strengthen in U.S. and Asia - - Bond markets weaken - - Foreign equities likely to outperform Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc. JPMORGAN TAX AWARE FUNDS PRESIDENT'S LETTER NOVEMBER 24, 2003 [PHOTO OF GEORGE C.W. GATCH] DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Tax Aware Funds. Inside, you'll find information detailing the performance of the Funds for the year ended October 31, 2003, along with a report from the Portfolio Manager. "BAGHDAD BOUNCE" TRIGGERS A LIQUIDITY-DRIVEN RALLY Despite the uncertainty of the first few months of 2003, global equity markets found direction once it became clear that Coalition Forces would cross the border into Iraq in mid-March. Prior to that, wrangling in the United Nations regarding the legitimacy of war dogged market sentiment. However, the combination of action, followed by war, led to a relief rally -- the "Baghdad Bounce." Momentum occurred due to remarks by the U.S. Federal Reserve Board, confirming its determination to avoid deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in late June), Congress's approval of a $350 billion package of tax cuts by the Bush administration in an attempt to boost consumer demand, and the easy monetary stance adopted by the Bank of England and European Central Bank. By October, there was a clear trend of recovering global growth. Indeed, economic data was improving across the developed world. By October 31, the S&P 500 Index of blue-chip U.S. stocks had risen 20.8% over the previous 12 months, and the MSCI EAFE Index of international stocks was up 27.0%. Fixed income markets suffered, with bond yields rising as fears that the United States and Europe were headed for Japan-style deflation subsided. Earlier in 2003, there had been a significant rally in bond prices, both as the likelihood of deflation had seemed to increase, and as some of the liquidity unleashed by the swift end to the official war made its way to the bond markets. [SIDENOTE] "If economic activity continues to improve, we would expect stocks to rise at a modest pace..." OUTLOOK While risks remain to the continued improvement of the global economic picture, we are cautiously optimistic about the profit picture in the U.S. and Asia. If economic activity continues to improve, we would expect stocks to rise at a modest pace, and to maintain a performance edge over bonds. While non-U.S. equities continue to be more attractive than U.S. shares on a valuation basis, we continue to anticipate that foreign shares will outperform. We particularly favor shares in emerging markets, which we view as most strongly levered to the improving global economy. The portfolio management team and all of us here at JPMorgan Fleming Asset Management thank you for your continued business and anticipate serving your investment needs for many years to come. Should you have any questions, please feel free to contact your financial advisor or the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely yours, /s/ George C. W. Gatch George C. W. Gatch President JPMorgan Funds 2 JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 4/30/2001 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $140.7 Primary Benchmark MSCI EAFE USD NET
Q: HOW DID THE FUND PERFORM? A: JPMorgan Fleming Tax Aware International Opportunities Fund, which seeks long-term capital appreciation through investing in foreign equities, rose by 24.74% (Institutional Shares) during the year ended October 31, 2003. This compares with an increase of 27.05% in the MSCI EAFE Index (in U.S. dollars). Please note that the Fund's benchmark was changed to the MSCI EAFE Index on February 28, 2003, from the MSCI All Country World Free (ex-U.S) Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund achieved strong gains for the year ended October 31, 2003, although it trailed the MSCI EAFE Index benchmark. Relative to the benchmark, the performance of its holdings was mixed. Unforeseen difficulties in just a few U.K. and Dutch holdings hindered performance. At the same time, stock selection added value in a number of areas, particularly in cyclical stocks in Japan. The greatest disappointment was Corus, the Anglo-Dutch steel manufacturer. The company's Dutch Supervisory Board stopped the sale of its aluminum business, preventing it from paying down debt and focusing on its carbon steel business. U.K. electrical retailer Dixons Group fell back sharply early in 2003 following poor Christmas sales and the announcement of a monopolies inquiry into its sale of extended warranties, from which it makes significant profits. In India, a number of low-cost manufacturers performed exceptionally well. Reliance Industries, a conglomerate with a large bulk chemicals business, was the portfolio's best performer. As demand for raw materials increased, Reliance was able to lift its prices at a time when sales were also growing. Ranbaxy Laboratories, a pharmaceutical company, was another major contributor. Ranbaxy can manufacture pharmaceuticals for a fraction of what it costs in developed countries, and is gaining momentum by producing generic versions of blockbuster drugs. In Japan, JFE Holdings, the steel and engineering company, performed well as it achieved greater-than-expected post-merger synergies, and benefited from a sharp increase in steel demand from China. Another area of relative strength was the Energy sector, where being overweight in the Russian oil stock, LUKOIL, and underweight in the major European stocks, BP and Shell, proved to be a profitable strategy. LUKOIL stock was trading on a considerably cheaper valuation than BP and Shell, and appreciated more with buoyant oil prices. Q: HOW WAS THE FUND MANAGED? A: Expectations of increased business activity within Japan and a number of cyclical sectors caused our analysts to raise earnings forecasts for stocks in these areas. As a result, we lifted our exposure to several cyclical stocks and reduced the underweight position in Japan. Examples of companies where we increased weightings are JFE Holdings and Minebea Co., the Japanese ball bearing manufacturer. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS United Kingdom 24.4% Japan 19.1% France 9.7% Switzerland 8.9% The Netherlands 6.2% Germany 4.5% Finland 4.4% Hong Kong 3.8% Australia 2.7% India 2.3% South Korea 2.3% Italy 2.1% Spain 2.0% Sweden 1.5% Brazil 1.3% Taiwan 1.1% Mexico 1.0% Other 2.7%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Nokia OYJ (Finland) 3.1% 2. Vodafone Group PLC (United Kingdom) 3.0% 3. Total SA (France) 2.7% 4. HSBC Holdings PLC (United Kingdom) 2.6% 5. Royal Bank of Scotland Group PLC (United Kingdom) 2.5% 6. BNP Paribas (France) 2.4% 7. Reliance Industries LTD (India), GDR 2.3% 8. Honda Motor Co., LTD (Japan) 2.3% 9. Unilever PLC (United Kingdom) 2.2% 10. GlaxoSmithKline PLC (United Kingdom) 2.0%
Top 10 equity holdings comprised 25.1% of the Portfolio's market value of investments ($34,362 in thousands). As of October 31, 2003, the Fund held 98 equity holdings. Portfolio holdings are subject to change at any time. 4 ANNUAL REPORT OCTOBER 31 2003 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR (4/30/01) --------------------------------------------- CLASS A SHARES Without Sales Charge 23.77% (4.10%) With Sales Charge* 16.70% (6.36%) --------------------------------------------- INSTITUTIONAL SHARES 24.74% (3.31%)
* Sales Charge for Class A Shares is 5.75%. [CHART] LIFE OF FUND PERFORMANCE (4/30/01 TO 10/31/03)
JPMORGAN FLEMING TAX AWARE INTERNATIONAL MSCI ALL COUNTRY WORLD OPPORTUNITIES FUND (INSTITUTONAL SHARES) MSCI EAFE USD NET INDEX FREE (EX-U.S.) LIPPER INTERNATIONAL FUNDS INDEX Apr-2001 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 May-2001 $ 2,937,900 $ 2,894,100 $ 2,917,200 $ 2,927,400 Jun-2001 $ 2,851,820 $ 2,775,731 $ 2,805,180 $ 2,844,847 Jul-2001 $ 2,719,780 $ 2,725,213 $ 2,742,905 $ 2,770,881 Aug-2001 $ 2,699,654 $ 2,656,265 $ 2,674,881 $ 2,715,187 Sep-2001 $ 2,401,612 $ 2,387,185 $ 2,391,076 $ 2,419,231 Oct-2001 $ 2,485,669 $ 2,448,297 $ 2,458,026 $ 2,484,792 Nov-2001 $ 2,603,738 $ 2,538,640 $ 2,570,358 $ 2,577,475 Dec-2001 $ 2,641,492 $ 2,553,618 $ 2,603,515 $ 2,623,354 Jan-2002 $ 2,511,002 $ 2,418,020 $ 2,492,085 $ 2,517,371 Feb-2002 $ 2,508,993 $ 2,434,947 $ 2,510,028 $ 2,552,614 Mar-2002 $ 2,647,490 $ 2,566,677 $ 2,646,322 $ 2,687,647 Apr-2002 $ 2,681,643 $ 2,583,617 $ 2,663,523 $ 2,706,461 May-2002 $ 2,727,767 $ 2,616,429 $ 2,692,556 $ 2,745,163 Jun-2002 $ 2,585,377 $ 2,512,295 $ 2,576,237 $ 2,636,729 Jul-2002 $ 2,324,513 $ 2,264,332 $ 2,325,054 $ 2,373,584 Aug-2002 $ 2,348,688 $ 2,259,124 $ 2,325,287 $ 2,375,482 Sep-2002 $ 2,077,884 $ 2,016,494 $ 2,078,806 $ 2,119,643 Oct-2002 $ 2,210,245 $ 2,124,780 $ 2,190,230 $ 2,229,652 Nov-2002 $ 2,330,483 $ 2,221,245 $ 2,295,580 $ 2,335,115 Dec-2002 $ 2,215,823 $ 2,146,611 $ 2,221,433 $ 2,260,391 Jan-2003 $ 2,102,373 $ 2,057,097 $ 2,143,461 $ 2,177,661 Feb-2003 $ 2,047,711 $ 2,009,990 $ 2,099,949 $ 2,113,202 Mar-2003 $ 1,980,751 $ 1,970,594 $ 2,059,210 $ 2,061,429 Apr-2003 $ 2,179,420 $ 2,163,712 $ 2,257,717 $ 2,265,510 May-2003 $ 2,317,377 $ 2,294,833 $ 2,401,534 $ 2,410,956 Jun-2003 $ 2,369,982 $ 2,350,368 $ 2,468,057 $ 2,467,855 Jul-2003 $ 2,434,919 $ 2,407,247 $ 2,533,707 $ 2,536,954 Aug-2003 $ 2,509,915 $ 2,465,261 $ 2,609,211 $ 2,610,272 Sep-2003 $ 2,578,938 $ 2,541,192 $ 2,682,269 $ 2,662,739 Oct-2003 $ 2,757,425 $ 2,699,508 $ 2,856,080 $ 2,821,438
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 4/30/01. All Shares Classes were introduced on 4/30/01. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Fleming Tax Aware International Opportunities Fund, MSCI All Country World Index Free (ex U.S.), MSCI EAFE USD Net and Lipper International Funds Index from April 30, 2001 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The MSCI EAFE (Europe, Australasia, Far East) Index is a replica (or model) of the performance of the world's equity markets, excluding the U.S. and Canada. The MSCI All Country World Index Free (ex U.S.) is an unmanaged index that measures developed and emerging foreign stock market performance. The Lipper International Funds Index represents the total returns of the funds in the category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations. 5 JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/30/1997 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $180.6 Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Disciplined Equity Fund, which seeks to provide high after tax returns from a portfolio of selected equity securities, rose 20.91% (Institutional shares) in the year ended October 31, 2003. This compares with an appreciation of 20.82% from the S&P 500 Index, the Fund's benchmark. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: Amidst a backdrop of the formal end of war activity in Iraq, substantial government tax cuts, and steadily improving corporate and economic news, the equity markets rallied strongly over the year ended October 31, 2003. The positive shift in market sentiment from the extreme risk aversion that engulfed the market last year was conducive to our long-term oriented investment approach as investors were much more focused on companies' forward-looking earnings prospects and fundamentals. That said, during this period, performance was somewhat challenged as the shift in market psychology also caused significant increases in certain stocks that our analysts already deemed to be expensive or to have extremely speculative future earnings prospects. Ultimately, the Fund kept pace with the S&P 500's run up as stock selection within the finance, capital markets and basic materials sectors contributed notably to performance. At the stock level, an overweight position in mortgage originator, Countrywide Financial (+110%), benefited performance as falling mortgage rates spurred a refinancing boom, allowing the company to generate record earnings. An overweight position in Pacific Gas and Electric Company (+125%) also positively impacted results as the California utility's restructuring gained momentum. Credit card company, Capital One Financial (+100%), was a notable contributor to performance as the company's earnings and credit quality improved and the loan portfolio grew faster than expected. On the negative side, stock picking within software & services, systems hardware and energy dragged on results. At the security level, Yahoo's stock price (+193%) benefited tremendously from the strong positive swing in investor sentiment. As such, an underweight in the name proved detrimental to performance. Of the stocks that the Fund was overweight, the greatest detractor was DTE Energy, which was impacted by adverse weather conditions, regulatory price action, and an Internal Revenue Service review of tax credits relating to synthetic fuels. An overweight in media giant, Viacom, also negatively impacted performance as a shortfall in the local advertising market was a drag on results. Q: HOW WAS THE FUND MANAGED? A: Keeping to our discipline, the Fund continued to focus on overweighting companies within each sector of the market that were deemed to be attractively priced relative to their future earnings prospects by our team of equity research analysts. Style characteristics and sector weightings were kept in line with the S&P 500 so as to minimize volatility relative to index and to ensure that stock selection was the main driver of returns. 6 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 23.5% Finance & Insurance 20.1% Technology 18.1% Industrial Products & Services 12.5% Pharmaceuticals 9.6% Energy 5.7% Health Services & Systems 3.6% Telecommuncations 3.5% Utilities 2.6% REITs 0.4% Short-Term Investments 0.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Citigroup, Inc. 3.4% 2. Microsoft Corp. 3.2% 3. General Electric Co. 3.2% 4. Pfizer, Inc. 2.5% 5. Wal-Mart Stores, Inc. 2.2% 6. The Coca-Cola Co. 2.1% 7. Cisco Systems, Inc. 2.1% 8. Procter & Gamble Co. 2.0% 9. Intel Corp. 2.0% 10. International Business Machines Corp. 1.8%
Top 10 equity holdings comprised 24.5% of the Portfolio's market value of investments ($44,305 in thousands). As of October 31, 2003 the Fund held 199 equity holdings. Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (1/30/97) --------------------------------------------------------------------- INSTITUTIONAL SHARES 20.91% (8.50%) (0.03%) 6.05%
[CHART] LIFE OF FUND PERFORMANCE (1/30/97 TO 10/31/03)
JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND (INSTITUTIONAL SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX Jan-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 Jan-1997 $ 3,009,000 $ 3,000,000 $ 3,000,000 Feb-1997 $ 3,036,081 $ 3,023,400 $ 2,996,400 Mar-1997 $ 2,900,975 $ 2,899,138 $ 2,868,154 Apr-1997 $ 3,075,034 $ 3,072,217 $ 3,027,050 May-1997 $ 3,302,894 $ 3,259,315 $ 3,210,792 Jun-1997 $ 3,458,791 $ 3,405,332 $ 3,350,140 Jul-1997 $ 3,758,668 $ 3,676,397 $ 3,614,801 Aug-1997 $ 3,569,607 $ 3,470,518 $ 3,430,808 Sep-1997 $ 3,752,728 $ 3,660,703 $ 3,607,494 Oct-1997 $ 3,623,634 $ 3,538,435 $ 3,496,384 Nov-1997 $ 3,779,450 $ 3,702,265 $ 3,610,715 Dec-1997 $ 3,844,456 $ 3,765,944 $ 3,676,430 Jan-1998 $ 3,895,972 $ 3,807,746 $ 3,712,827 Feb-1998 $ 4,179,989 $ 4,082,284 $ 3,976,066 Mar-1998 $ 4,394,422 $ 4,291,297 $ 4,172,882 Apr-1998 $ 4,463,854 $ 4,334,639 $ 4,215,028 May-1998 $ 4,421,447 $ 4,260,083 $ 4,142,951 Jun-1998 $ 4,581,946 $ 4,433,043 $ 4,339,741 Jul-1998 $ 4,539,334 $ 4,386,053 $ 4,304,589 Aug-1998 $ 3,857,526 $ 3,751,829 $ 3,660,192 Sep-1998 $ 4,120,995 $ 3,992,322 $ 3,842,104 Oct-1998 $ 4,466,334 $ 4,316,897 $ 4,130,261 Nov-1998 $ 4,794,163 $ 4,578,501 $ 4,376,012 Dec-1998 $ 5,067,430 $ 4,842,223 $ 4,666,579 Jan-1999 $ 5,235,162 $ 5,044,628 $ 4,829,909 Feb-1999 $ 5,077,060 $ 4,887,740 $ 4,680,665 Mar-1999 $ 5,281,158 $ 5,083,250 $ 4,868,828 Apr-1999 $ 5,552,082 $ 5,279,971 $ 4,999,313 May-1999 $ 5,445,482 $ 5,155,364 $ 4,866,831 Jun-1999 $ 5,753,696 $ 5,441,487 $ 5,138,400 Jul-1999 $ 5,561,522 $ 5,271,712 $ 4,987,845 Aug-1999 $ 5,494,228 $ 5,245,354 $ 4,936,969 Sep-1999 $ 5,307,974 $ 5,101,631 $ 4,803,177 Oct-1999 $ 5,570,718 $ 5,424,564 $ 5,097,612 Nov-1999 $ 5,677,676 $ 5,534,683 $ 5,222,503 Dec-1999 $ 5,949,069 $ 5,860,676 $ 5,569,800 Jan-2000 $ 5,651,021 $ 5,566,470 $ 5,344,780 Feb-2000 $ 5,528,394 $ 5,461,264 $ 5,343,176 Mar-2000 $ 6,077,916 $ 5,995,375 $ 5,807,498 Apr-2000 $ 5,844,524 $ 5,814,915 $ 5,617,593 May-2000 $ 5,734,062 $ 5,695,709 $ 5,474,345 Jun-2000 $ 5,872,253 $ 5,835,823 $ 5,674,706 Jul-2000 $ 5,780,059 $ 5,744,784 $ 5,586,180 Aug-2000 $ 6,152,873 $ 6,101,535 $ 5,971,627 Sep-2000 $ 5,838,461 $ 5,779,374 $ 5,653,936 Oct-2000 $ 5,823,281 $ 5,755,101 $ 5,588,350 Nov-2000 $ 5,372,559 $ 5,301,599 $ 5,096,576 Dec-2000 $ 5,409,630 $ 5,327,577 $ 5,158,754 Jan-2001 $ 5,647,653 $ 5,516,706 $ 5,304,746 Feb-2001 $ 5,124,681 $ 5,013,582 $ 4,810,875 Mar-2001 $ 4,799,776 $ 4,695,721 $ 4,515,487 Apr-2001 $ 5,205,357 $ 5,060,579 $ 4,858,664 May-2001 $ 5,261,054 $ 5,094,485 $ 4,885,872 Jun-2001 $ 5,140,050 $ 4,970,689 $ 4,755,908 Jul-2001 $ 5,103,042 $ 4,921,976 $ 4,686,948 Aug-2001 $ 4,792,777 $ 4,613,860 $ 4,410,886 Sep-2001 $ 4,368,137 $ 4,241,522 $ 4,076,100 Oct-2001 $ 4,452,005 $ 4,322,535 $ 4,172,296 Nov-2001 $ 4,805,494 $ 4,654,073 $ 4,445,581 Dec-2001 $ 4,842,496 $ 4,695,029 $ 4,495,816 Jan-2002 $ 4,733,540 $ 4,626,482 $ 4,424,783 Feb-2002 $ 4,636,976 $ 4,537,190 $ 4,350,446 Mar-2002 $ 4,801,589 $ 4,707,789 $ 4,498,361 Apr-2002 $ 4,492,366 $ 4,422,497 $ 4,263,097 May-2002 $ 4,451,935 $ 4,389,770 $ 4,231,976 Jun-2002 $ 4,124,273 $ 4,077,219 $ 3,939,547 Jul-2002 $ 3,801,755 $ 3,759,196 $ 3,646,839 Aug-2002 $ 3,836,351 $ 3,784,006 $ 3,676,743 Sep-2002 $ 3,409,748 $ 3,372,685 $ 3,319,731 Oct-2002 $ 3,689,348 $ 3,669,481 $ 3,577,674 Nov-2002 $ 3,906,281 $ 3,885,614 $ 3,737,596 Dec-2002 $ 3,671,514 $ 3,657,528 $ 3,540,625 Jan-2003 $ 3,573,852 $ 3,561,701 $ 3,447,860 Feb-2003 $ 3,520,244 $ 3,508,275 $ 3,402,004 Mar-2003 $ 3,557,558 $ 3,542,306 $ 3,430,581 Apr-2003 $ 3,851,769 $ 3,834,192 $ 3,683,414 May-2003 $ 4,060,534 $ 4,036,253 $ 3,862,060 Jun-2003 $ 4,104,794 $ 4,087,917 $ 3,900,294 Jul-2003 $ 4,155,694 $ 4,159,865 $ 3,961,919 Aug-2003 $ 4,231,743 $ 4,240,982 $ 4,038,384 Sep-2003 $ 4,199,582 $ 4,196,028 $ 3,986,289 Oct-2003 $ 4,461,306 $ 4,433,523 $ 4,181,219
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/30/97. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Disciplined Equity Fund, S&P 500 Index, and Lipper Large-Cap Core Funds Index from January 30, 1997 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 8 JPMORGAN TAX AWARE ENHANCED INCOME FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 4/16/99 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $2,534.3 Primary Benchmark MERRILL LYNCH 3-MONTH U.S. TREASURY BILL INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Enhanced Income Fund, which seeks to maximize after-tax income consistent with the preservation of capital, returned 1.73% (Institutional Shares) for the one-year period ended October 31, 2003. This compares to the 1.24% return of the Fund's benchmark index, the Merrill Lynch 3-Month U.S. Treasury Bill Index. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: The Fund's allocation to municipal securities ranged from 70% to 90% during the period. As the attractiveness of municipals fluctuated relative to their taxable counterparts, our decision to trade across the tax-exempt and taxable markets -- while maintaining our commitment to tax-aware investing -- was a major contributor to performance. Our allocation to corporate issues also added to performance as credit spreads narrowed. Although mortgage-backed securities were a volatile part of the portfolio, they were on balance positive. Detracting from performance was the Fund's sensitivity to changes in interest rates as well as security selection within the state of California. Q: HOW WAS THE FUND MANAGED? A: During the final months of 2002, the fixed income markets were highly volatile as investors continued to react to the falling equity market, contradictory economic data and increased geopolitical risk. In support of the economy, the Federal Reserve Board lowered the Federal Funds Rate by 1/2 percent in November 2002. The possibility of war in Iraq, terrorism, SARS and economic weakness dominated attention early in 2003. By April, however, investors started focusing on deflation, improving corporate earnings, passage of a tax package and a brighter economic outlook. In June, the Fed cut the Federal Funds Rate to 1%, its lowest level since 1958. Economic growth strengthened markedly during the third calendar quarter in response to tax cuts, the mortgage credit boom and a reversal of the effect of the war in Iraq. However, businesses seemed skeptical as they continued laying off workers and delayed capital expenditures. In 2002, municipal issuance reached a record $320 billion, as municipalities took advantage of low interest rates to refinance outstanding debt and raise new money. This torrid pace continued in 2003. In fact, issuance is expected to top last year. The heavy supply was met with strong demand from investors. The ratio between municipal and taxable securities was volatile during the period. We took advantage of the situation by increasing our allocation to mortgage-backed securities when municipals were expensive and reducing our position when municipals came under pressure. We shortened our duration position toward the end of 2002, which detracted from performance as Treasuries closed the year with a strong rally. We maintained our short position into January, recouping our losses as Treasury prices fell. For most of the second calendar quarter, we carried a long duration position in the front end of the yield curve, anticipating the Fed's June rate cut. During the third quarter, we overweighted New York City and Massachusetts obligations. 9 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3YEARS (4/16/99) -------------------------------------------------- CLASS A SHARES Without Sales Charge 1.12% 2.68% 3.03% With Sales Charge* (0.36%) 2.17% 2.70% -------------------------------------------------- INSTITUTIONAL SHARES 1.73% 3.11% 3.40% -------------------------------------------------- SELECT SHARES 1.48% 2.88% 3.17%
* Sales Charge for Class A Shares is 1.50%. [CHART] LIFE OF FUND PERFORMANCE (4/16/99 TO 10/31/03)
JPMORGAN TAX AWARE ENHANCED INCOME FUND LIPPER SHORT-INTERMEDIATE (INSTITUTIONAL SHARES) MERRIL LYNCH 3-MONTH U.S. TREASURY BILL INDEX INVESTMENT GRADE FUNDS INDEX Apr-1999 $ 3,000,000 $ 3,000,000 $ 3,000,000 Apr-1999 $ 3,003,000 $ 3,000,000 $ 3,000,000 May-1999 $ 3,011,408 $ 3,011,700 $ 2,982,300 Jun-1999 $ 3,005,386 $ 3,024,349 $ 2,983,493 Jul-1999 $ 3,015,604 $ 3,036,749 $ 2,980,211 Aug-1999 $ 3,025,857 $ 3,048,896 $ 2,983,787 Sep-1999 $ 3,036,145 $ 3,062,616 $ 3,010,641 Oct-1999 $ 3,046,771 $ 3,074,560 $ 3,016,964 Nov-1999 $ 3,056,826 $ 3,086,858 $ 3,023,299 Dec-1999 $ 3,068,136 $ 3,100,749 $ 3,018,764 Jan-2000 $ 3,063,841 $ 3,114,083 $ 3,010,614 Feb-2000 $ 3,074,564 $ 3,127,784 $ 3,032,290 Mar-2000 $ 3,101,928 $ 3,144,049 $ 3,058,065 Apr-2000 $ 3,096,344 $ 3,158,826 $ 3,054,395 May-2000 $ 3,107,801 $ 3,178,095 $ 3,060,504 Jun-2000 $ 3,134,528 $ 3,191,761 $ 3,107,329 Jul-2000 $ 3,146,752 $ 3,206,124 $ 3,127,838 Aug-2000 $ 3,159,339 $ 3,222,795 $ 3,160,680 Sep-2000 $ 3,171,977 $ 3,239,876 $ 3,189,442 Oct-2000 $ 3,185,299 $ 3,256,724 $ 3,197,735 Nov-2000 $ 3,197,722 $ 3,274,636 $ 3,234,829 Dec-2000 $ 3,226,821 $ 3,292,646 $ 3,283,675 Jan-2001 $ 3,239,406 $ 3,314,378 $ 3,331,616 Feb-2001 $ 3,250,420 $ 3,326,972 $ 3,361,268 Mar-2001 $ 3,278,373 $ 3,342,276 $ 3,384,460 Apr-2001 $ 3,273,128 $ 3,356,982 $ 3,380,399 May-2001 $ 3,300,622 $ 3,370,074 $ 3,398,653 Jun-2001 $ 3,311,184 $ 3,379,848 $ 3,411,228 Jul-2001 $ 3,321,449 $ 3,391,001 $ 3,473,312 Aug-2001 $ 3,341,045 $ 3,401,852 $ 3,501,794 Sep-2001 $ 3,353,073 $ 3,416,480 $ 3,544,165 Oct-2001 $ 3,364,809 $ 3,425,363 $ 3,589,885 Nov-2001 $ 3,365,145 $ 3,432,899 $ 3,555,422 Dec-2001 $ 3,370,866 $ 3,438,392 $ 3,540,489 Jan-2002 $ 3,387,720 $ 3,443,549 $ 3,557,130 Feb-2002 $ 3,396,867 $ 3,448,026 $ 3,583,097 Mar-2002 $ 3,396,527 $ 3,453,198 $ 3,538,666 Apr-2002 $ 3,412,831 $ 3,458,723 $ 3,582,546 May-2002 $ 3,418,974 $ 3,464,257 $ 3,610,848 Jun-2002 $ 3,421,367 $ 3,469,107 $ 3,622,042 Jul-2002 $ 3,424,446 $ 3,474,311 $ 3,646,309 Aug-2002 $ 3,426,844 $ 3,479,175 $ 3,688,242 Sep-2002 $ 3,432,327 $ 3,484,741 $ 3,737,664 Oct-2002 $ 3,431,640 $ 3,489,968 $ 3,728,320 Nov-2002 $ 3,441,249 $ 3,495,552 $ 3,728,320 Dec-2002 $ 3,447,099 $ 3,499,747 $ 3,793,193 Jan-2003 $ 3,459,853 $ 3,503,247 $ 3,795,469 Feb-2003 $ 3,465,043 $ 3,506,400 $ 3,840,255 Mar-2003 $ 3,471,280 $ 3,510,607 $ 3,844,864 Apr-2003 $ 3,477,528 $ 3,513,767 $ 3,869,855 May-2003 $ 3,483,788 $ 3,517,281 $ 3,933,321 Jun-2003 $ 3,486,226 $ 3,522,205 $ 3,931,748 Jul-2003 $ 3,474,025 $ 3,524,670 $ 3,843,283 Aug-2003 $ 3,478,888 $ 3,527,490 $ 3,852,123 Sep-2003 $ 3,493,847 $ 3,531,018 $ 3,933,403 Oct-2003 $ 3,492,029 $ 3,533,842 $ 3,903,902
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 4/16/99. Returns for the Select Shares prior to 5/6/99 (offering date of the Select Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Select Shares. Returns for the Class A Shares prior to 11/30/01 (offering date of the Class A Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Enhanced Income Fund, Merrill Lynch 3-Month U.S. Treasury Bill Index, and Lipper Short-Intermediate Investment Grade Funds Index from April 16, 1999 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Merrill Lynch 3-Month U.S. Treasury Bill Index is an unmanaged index that tracks the performance of the 3-Month U.S. Treasury Market. The Lipper Short-Intermediate Investment Grade Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 10 JPMORGAN TAX AWARE LARGE CAP GROWTH FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 1/1/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $268.2 Primary Benchmark RUSSELL 1000 GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Growth Fund, which seeks to provide long-term capital growth while minimizing capital gain distributions from a portfolio of large cap equity securities, had a total return of 13.84% during the year ended October 31, 2003. This compares to the 21.81% return from the Fund's benchmark, the Russell 1000 Growth Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: As the belief grew that a more robust economic environment was right around the corner, investors bid-up lower-quality, lower-price companies and avoided the higher-quality names causing the Fund to underperform against its benchmark. Contributing significantly to performance were investments in Goldman Sachs and Cisco Systems. In the Capital Markets sector, Goldman Sachs performed well as its equity business began to recover and its investment banking revenue remained strong. In the Network Technology sector, Cisco Systems benefited during the year as it continued to push into the consumer market and displayed early signs of a recovery in corporate technology spending. Other significant contributors to performance were Intel, Yum! Brands (a fast food restaurant group), and Linear Technology. Detracting from performance was the Fund's overweight sector positions in the Software, Consumer Staples, and Pharmaceuticals. In the Software sector, investments in Automatic Data Processing (a transaction processing company) hurt the Fund's performance as the company experienced slowing revenue growth due to the decline in interest rates and lower employment levels. The company was later eliminated from the Fund due to its diminishing growth potential. In the Consumer Staples sector, Weight Watchers detracted from performance as competition from low-carbohydrate diet programs pressured the company's attendance growth. Other detractors to the Fund's performance included American International Group, Home Depot, and General Electric. Q: HOW WAS THE FUND MANAGED? A: We continued to invest in large-capitalization, high-quality companies. As the economy started to slowly recover, we began moving the portfolio away from the more defensive companies and into companies better positioned for an economic rebound. With companies operating on very low costs, profit gains began to resurface as the economy improved. Consumer spending continued to be the main support for much of the stronger profits, however, corporations started building more confidence for stepped-up capital spending after several quarters of positive earnings. As corporate spending increased, we maintained our underweight position in the Consumer Cyclicals and increased the Fund's exposure in the Technology, Capital Markets and Industrial sectors. 11 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 33.3% Consumer Goods & Services 25.6% Pharmaceuticals 19.8% Finance & Insurance 10.9% Industrial Products & Services 8.3% Health Services & Systems 1.1% Energy 1.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Microsoft Corp. 6.6% 2. Intel Corp. 6.4% 3. Johnson & Johnson 4.4% 4. Cisco Systems, Inc. 4.2% 5. Wal-Mart Stores, Inc. 4.1% 6. General Electric Co. 4.1% 7. Pfizer, Inc. 3.6% 8. The Coca-Cola Co. 3.3% 9. Dell, Inc. 2.8% 10. Abbott Laboratories 2.7%
Top 10 equity holdings comprised 42.2% of the Portfolio's market value of investments ($111,729 in thousands). As of October 31, 2003 the Fund held 48 equity holdings. Portfolio holdings are subject to change at any time. 12 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS --------------------------------------------------------------- SELECT SHARES 13.84% (15.24%) (3.35%) 8.06%
[CHART] TEN-YEAR FUND PERFORMANCE (10/31/93 TO 10/31/03)
JPMORGAN TAX AWARE LARGE CAP GROWTH FUND RUSSELL 1000 GROWTH INDEX S&P 500/BARRA GROWTH INDEX LIPPER LARGE-CAP GROWTH FUNDS INDEX Oct-1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000 Nov-1993 $ 994,300 $ 993,400 $ 999,300 $ 979,800 Dec-1993 $ 1,018,561 $ 1,010,586 $ 1,006,295 $ 1,010,272 Jan-1994 $ 1,049,321 $ 1,033,930 $ 1,027,830 $ 1,047,046 Feb-1994 $ 1,029,594 $ 1,015,113 $ 1,009,432 $ 1,030,084 Mar-1994 $ 981,718 $ 966,083 $ 962,796 $ 979,712 Apr-1994 $ 983,191 $ 970,623 $ 967,129 $ 984,513 May-1994 $ 1,004,919 $ 985,280 $ 982,893 $ 990,420 Jun-1994 $ 982,208 $ 956,214 $ 961,957 $ 953,477 Jul-1994 $ 1,007,451 $ 988,917 $ 992,644 $ 980,842 Aug-1994 $ 1,042,309 $ 1,043,999 $ 1,045,651 $ 1,031,159 Sep-1994 $ 1,015,834 $ 1,029,697 $ 1,030,698 $ 1,006,618 Oct-1994 $ 1,041,535 $ 1,053,997 $ 1,054,713 $ 1,032,387 Nov-1994 $ 1,018,725 $ 1,020,269 $ 1,020,119 $ 994,292 Dec-1994 $ 1,043,684 $ 1,037,410 $ 1,037,767 $ 1,002,048 Jan-1995 $ 1,068,001 $ 1,059,507 $ 1,063,503 $ 1,009,864 Feb-1995 $ 1,116,489 $ 1,103,900 $ 1,104,980 $ 1,044,603 Mar-1995 $ 1,145,964 $ 1,136,134 $ 1,139,676 $ 1,074,270 Apr-1995 $ 1,162,810 $ 1,161,015 $ 1,169,308 $ 1,103,597 May-1995 $ 1,193,973 $ 1,201,535 $ 1,211,169 $ 1,140,126 Jun-1995 $ 1,231,344 $ 1,247,914 $ 1,257,557 $ 1,198,387 Jul-1995 $ 1,266,315 $ 1,299,827 $ 1,297,673 $ 1,263,579 Aug-1995 $ 1,282,017 $ 1,301,257 $ 1,293,391 $ 1,270,655 Sep-1995 $ 1,326,503 $ 1,361,245 $ 1,357,284 $ 1,317,796 Oct-1995 $ 1,314,166 $ 1,362,198 $ 1,368,142 $ 1,310,285 Nov-1995 $ 1,386,840 $ 1,415,187 $ 1,417,395 $ 1,351,559 Dec-1995 $ 1,390,168 $ 1,423,254 $ 1,433,412 $ 1,352,099 Jan-1996 $ 1,414,496 $ 1,470,933 $ 1,488,168 $ 1,391,851 Feb-1996 $ 1,435,572 $ 1,497,851 $ 1,501,711 $ 1,423,168 Mar-1996 $ 1,444,186 $ 1,499,798 $ 1,495,403 $ 1,423,879 Apr-1996 $ 1,459,783 $ 1,539,243 $ 1,524,564 $ 1,457,768 May-1996 $ 1,477,300 $ 1,592,962 $ 1,580,668 $ 1,500,772 Jun-1996 $ 1,481,584 $ 1,595,193 $ 1,600,426 $ 1,487,265 Jul-1996 $ 1,388,096 $ 1,501,714 $ 1,526,646 $ 1,407,696 Aug-1996 $ 1,419,884 $ 1,540,459 $ 1,549,241 $ 1,449,927 Sep-1996 $ 1,499,113 $ 1,652,604 $ 1,656,758 $ 1,550,842 Oct-1996 $ 1,512,605 $ 1,662,520 $ 1,692,710 $ 1,570,228 Nov-1996 $ 1,636,941 $ 1,787,375 $ 1,819,155 $ 1,671,821 Dec-1996 $ 1,591,107 $ 1,752,342 $ 1,777,133 $ 1,630,360 Jan-1997 $ 1,629,453 $ 1,875,181 $ 1,916,282 $ 1,733,725 Feb-1997 $ 1,611,529 $ 1,862,430 $ 1,932,379 $ 1,708,759 Mar-1997 $ 1,553,836 $ 1,761,673 $ 1,840,591 $ 1,621,271 Apr-1997 $ 1,660,118 $ 1,878,648 $ 1,989,127 $ 1,710,279 May-1997 $ 1,785,457 $ 2,014,286 $ 2,107,082 $ 1,826,407 Jun-1997 $ 1,873,123 $ 2,094,858 $ 2,213,911 $ 1,902,933 Jul-1997 $ 2,059,874 $ 2,280,043 $ 2,389,253 $ 2,084,853 Aug-1997 $ 1,950,906 $ 2,146,661 $ 2,230,367 $ 1,971,229 Sep-1997 $ 2,047,281 $ 2,252,276 $ 2,344,116 $ 2,080,041 Oct-1997 $ 1,993,847 $ 2,168,942 $ 2,273,558 $ 2,007,863 Nov-1997 $ 2,066,423 $ 2,261,122 $ 2,397,012 $ 2,052,438 Dec-1997 $ 2,113,951 $ 2,286,447 $ 2,426,496 $ 2,080,351 Jan-1998 $ 2,144,603 $ 2,354,811 $ 2,508,026 $ 2,117,173 Feb-1998 $ 2,325,608 $ 2,531,893 $ 2,682,334 $ 2,278,925 Mar-1998 $ 2,424,679 $ 2,632,916 $ 2,821,010 $ 2,384,895 Apr-1998 $ 2,497,904 $ 2,669,250 $ 2,844,707 $ 2,424,962 May-1998 $ 2,426,464 $ 2,593,443 $ 2,787,528 $ 2,370,643 Jun-1998 $ 2,572,780 $ 2,752,421 $ 2,986,279 $ 2,506,243 Jul-1998 $ 2,545,508 $ 2,734,255 $ 2,984,487 $ 2,504,990 Aug-1998 $ 2,184,301 $ 2,323,844 $ 2,596,205 $ 2,095,925 Sep-1998 $ 2,363,850 $ 2,502,315 $ 2,769,892 $ 2,248,299 Oct-1998 $ 2,574,469 $ 2,703,501 $ 3,002,286 $ 2,393,314 Nov-1998 $ 2,732,027 $ 2,909,237 $ 3,205,540 $ 2,557,735 Dec-1998 $ 2,977,636 $ 3,171,651 $ 3,449,482 $ 2,839,086 Jan-1999 $ 3,190,537 $ 3,357,826 $ 3,660,245 $ 3,023,343 Feb-1999 $ 3,080,463 $ 3,204,374 $ 3,516,764 $ 2,899,083 Mar-1999 $ 3,276,689 $ 3,373,244 $ 3,686,975 $ 3,063,751 Apr-1999 $ 3,324,201 $ 3,377,629 $ 3,679,970 $ 3,074,168 May-1999 $ 3,219,156 $ 3,273,936 $ 3,572,883 $ 2,972,413 Jun-1999 $ 3,459,305 $ 3,503,112 $ 3,828,701 $ 3,178,996 Jul-1999 $ 3,393,924 $ 3,391,713 $ 3,707,714 $ 3,079,175 Aug-1999 $ 3,446,191 $ 3,446,998 $ 3,759,251 $ 3,079,791 Sep-1999 $ 3,422,067 $ 3,374,611 $ 3,695,344 $ 3,048,685 Oct-1999 $ 3,598,988 $ 3,629,394 $ 3,951,062 $ 3,282,519 Nov-1999 $ 3,740,068 $ 3,825,018 $ 4,120,167 $ 3,444,676 Dec-1999 $ 4,089,391 $ 4,222,820 $ 4,425,060 $ 3,827,379 Jan-2000 $ 3,883,286 $ 4,024,770 $ 4,130,351 $ 3,673,901 Feb-2000 $ 4,110,069 $ 4,221,581 $ 4,217,088 $ 3,867,148 Mar-2000 $ 4,341,055 $ 4,523,846 $ 4,607,169 $ 4,138,622 Apr-2000 $ 4,117,491 $ 4,308,511 $ 4,379,114 $ 3,818,293 May-2000 $ 3,770,387 $ 4,091,362 $ 4,200,446 $ 3,598,359 Jun-2000 $ 4,120,278 $ 4,401,488 $ 4,539,422 $ 3,836,211 Jul-2000 $ 3,999,142 $ 4,217,946 $ 4,337,418 $ 3,758,336 Aug-2000 $ 4,289,880 $ 4,599,670 $ 4,588,554 $ 4,083,432 Sep-2000 $ 3,754,074 $ 4,164,541 $ 4,140,711 $ 3,771,866 Oct-2000 $ 3,566,370 $ 3,967,558 $ 4,033,053 $ 3,572,334 Nov-2000 $ 3,144,469 $ 3,382,740 $ 3,604,339 $ 3,092,927 Dec-2000 $ 3,078,749 $ 3,275,845 $ 3,448,271 $ 3,073,751 Jan-2001 $ 3,232,995 $ 3,502,206 $ 3,546,547 $ 3,163,197 Feb-2001 $ 2,790,398 $ 2,907,532 $ 3,129,828 $ 2,673,534 Mar-2001 $ 2,529,216 $ 2,591,192 $ 2,847,830 $ 2,395,754 Apr-2001 $ 2,829,181 $ 2,918,978 $ 3,102,426 $ 2,653,058 May-2001 $ 2,792,402 $ 2,876,069 $ 3,109,872 $ 2,632,895 Jun-2001 $ 2,753,029 $ 2,809,344 $ 3,067,578 $ 2,557,067 Jul-2001 $ 2,709,256 $ 2,739,111 $ 3,059,602 $ 2,465,524 Aug-2001 $ 2,510,938 $ 2,515,051 $ 2,853,997 $ 2,278,144 Sep-2001 $ 2,256,329 $ 2,264,049 $ 2,662,494 $ 2,048,963 Oct-2001 $ 2,378,848 $ 2,382,912 $ 2,760,474 $ 2,133,995 Nov-2001 $ 2,532,522 $ 2,611,910 $ 3,005,052 $ 2,329,469 Dec-2001 $ 2,538,346 $ 2,606,947 $ 3,009,559 $ 2,340,184 Jan-2002 $ 2,515,247 $ 2,560,804 $ 3,004,744 $ 2,287,296 Feb-2002 $ 2,443,311 $ 2,454,531 $ 2,916,104 $ 2,192,602 Mar-2002 $ 2,487,780 $ 2,539,458 $ 2,985,507 $ 2,280,745 Apr-2002 $ 2,261,392 $ 2,332,238 $ 2,771,745 $ 2,128,847 May-2002 $ 2,224,079 $ 2,275,798 $ 2,717,973 $ 2,090,102 Jun-2002 $ 2,017,239 $ 2,065,286 $ 2,499,992 $ 1,919,968 Jul-2002 $ 1,923,034 $ 1,951,696 $ 2,379,992 $ 1,775,394 Aug-2002 $ 1,941,303 $ 1,957,551 $ 2,394,986 $ 1,785,159 Sep-2002 $ 1,728,536 $ 1,754,553 $ 2,147,105 $ 1,612,177 Oct-2002 $ 1,907,786 $ 1,915,445 $ 2,345,712 $ 1,736,315 Nov-2002 $ 2,005,846 $ 2,019,454 $ 2,459,479 $ 1,808,198 Dec-2002 $ 1,852,198 $ 1,879,910 $ 2,299,613 $ 1,682,167 Jan-2003 $ 1,802,374 $ 1,834,228 $ 2,241,893 $ 1,643,309 Feb-2003 $ 1,798,048 $ 1,825,790 $ 2,235,167 $ 1,625,725 Mar-2003 $ 1,844,078 $ 1,859,750 $ 2,280,541 $ 1,656,289 Apr-2003 $ 1,977,589 $ 1,997,186 $ 2,433,337 $ 1,777,529 May-2003 $ 2,047,992 $ 2,096,845 $ 2,512,664 $ 1,864,628 Jun-2003 $ 2,058,232 $ 2,125,782 $ 2,558,394 $ 1,880,105 Jul-2003 $ 2,096,309 $ 2,178,714 $ 2,591,909 $ 1,934,628 Aug-2003 $ 2,113,918 $ 2,232,964 $ 2,637,009 $ 1,982,219 Sep-2003 $ 2,086,648 $ 2,209,071 $ 2,628,834 $ 1,939,998 Oct-2003 $ 2,171,069 $ 2,333,221 $ 2,746,868 $ 2,057,756
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/1/97. Returns for the Fund prior to 1/1/97 (offering date of the Shares) are calculated using the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware Large Cap Growth Fund, Russell 1000 Growth Index, S&P 500/BARRA Growth Index, and Lipper Large-Cap Growth Funds Index from October 31, 1993 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The S&P 500/BARRA Growth Index contains large U.S. companies with high price-to-book ratios relative to the S&P 500 Index. The Lipper Large-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 13 JPMORGAN TAX AWARE LARGE CAP VALUE FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 01/01/97 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $348.7 Primary Benchmark RUSSELL 1000 VALUE INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Large Cap Value Fund, which seeks to provide income and capital appreciation while minimizing capital gain distributions through a portfolio of large cap equity securities, had a return of 18.34% during the year ended October 31, 2003. This compares to the 22.88% return from the Fund's benchmark, the Russell 1000 Value Index. Q: WHY DID THE FUND PERFORM THIS WAY? A: As the equity markets started to recover, investors chased the low-quality, economically sensitive companies and avoided the higher quality, less volatile names causing the Fund to underperform the Index. Detracting from performance this year were the Fund's positions in the Energy and Health Services sectors, while our stock selection in the Media and Pharmaceuticals sectors helped performance. In the Energy sector, GlobalSantaFe hurt the Fund's performance as the company faced continued concerns about their North Sea exposure and weakness in their deep-water drilling business. In the Health Services sector, our position in Tenet Healthcare (hospital owner) hurt performance as the company faced controversies over taking advantage of Medicare outlier payments and having doctors suspected of performing unnecessary cardiac surgeries. Tenet was eliminated from the Fund immediately following the news. Other detractors to the Fund's performance included Bank of America, Raytheon (defense contractor), and DTE Energy. Contributing significantly to the Fund's performance were positions in CVS and Praxair (industrial gas producer). In the Retail sector, CVS performed well after the company made improvements to bring back customers and sales of generic prescription drugs boosted earnings. In the Basic Materials sector, Praxair benefited during the year as the company focused on improving capital discipline and saw stronger earnings come from Europe and Asia. Other significant contributors to performance were Alcoa, Goldman Sachs, and Tyco. Q: HOW WAS THE FUND MANAGED? A: We continued to invest in "high quality" companies that are leveraged to an upturn in the economy. As the economy started to slowly recover we began moving the portfolio away from the more defensive companies and into companies better positioned for an economic rebound. With companies operating on very low costs, profit gains began to resurface as the economy improved. Consumer spending still continued to be the main support for many of the profits; however, corporations started building more confidence for stepped-up capital spending after several quarters of positive earnings. As we continued to focus on investing in high-quality companies, we remained underweight in the Utilities and Network Technology sectors, while keeping a diversified overweight in the Basic Materials and Retail sectors. 14 (Unaudited) [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Finance & Insurance 34.9% Consumer Goods & Services 25.2% Energy 11.7% Industrial Products & Services 11.6% Technology 5.0% Telecommunications 4.7% Utilities 3.1% Pharmaceuticals 2.8% REITs 1.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Citigroup, Inc. 5.8% 2. Exxon Mobil Corp. 4.5% 3. AMBAC Financial Group, Inc. 3.0% 4. Goldman Sachs Group, Inc. 2.9% 5. Verizon Communications, Inc. 2.9% 6. The Allstate Corp. 2.6% 7. Praxair, Inc. 2.4% 8. CVS Corp. 2.4% 9. Bank One Corp. 2.4% 10. CIT Group, Inc. 2.4%
Top 10 equity holdings comprised 31.3% of the Portfolio's market value of investments ($108,654 in thousands). As of October 31, 2003 the Fund held 55 equity holdings. Portfolio holdings are subject to change at any time. 15 AVERAGE ANNUAL TOTAL RETURNS
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------------------ SELECT SHARES 18.34% (6.48%) (1.21%) 6.84%
[CHART] TEN-YEAR FUND PERFORMANCE (10/31/93 TO 10/31/03)
JPMORGAN TAX AWARE LARGE CAP RUSSELL 1000 VALUE INDEX S&P 500 INDEX LIPPER EQUITY INCOME FUNDS INDEX VALUE FUND (SELECT SHARES) Oct-1993 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000 Nov-1993 $ 970,800 $ 979,400 $ 990,500 $ 982,400 Dec-1993 $ 987,498 $ 998,009 $ 1,002,485 $ 1,000,083 Jan-1994 $ 1,016,036 $ 1,035,733 $ 1,036,570 $ 1,031,286 Feb-1994 $ 995,208 $ 1,000,311 $ 1,008,479 $ 1,005,710 Mar-1994 $ 948,134 $ 963,100 $ 964,509 $ 965,482 Apr-1994 $ 956,288 $ 981,591 $ 976,855 $ 978,129 May-1994 $ 966,425 $ 992,879 $ 992,875 $ 989,280 Jun-1994 $ 945,357 $ 969,050 $ 968,550 $ 974,738 Jul-1994 $ 969,653 $ 999,188 $ 1,000,318 $ 1,002,225 Aug-1994 $ 1,003,397 $ 1,027,865 $ 1,041,331 $ 1,035,599 Sep-1994 $ 979,215 $ 966,015 $ 975,810 $ 983,283 Oct-1994 $ 987,636 $ 1,042,152 $ 1,064,761 $ 1,041,192 Nov-1994 $ 944,772 $ 1,000,049 $ 1,026,004 $ 1,002,251 Dec-1994 $ 952,142 $ 1,011,549 $ 1,041,188 $ 1,009,968 Jan-1995 $ 955,379 $ 1,042,705 $ 1,068,155 $ 1,028,047 Feb-1995 $ 1,003,052 $ 1,083,892 $ 1,109,813 $ 1,061,150 Mar-1995 $ 1,034,649 $ 1,107,629 $ 1,142,553 $ 1,086,193 Apr-1995 $ 1,061,446 $ 1,142,630 $ 1,176,258 $ 1,112,262 May-1995 $ 1,103,055 $ 1,190,735 $ 1,223,308 $ 1,146,408 Jun-1995 $ 1,136,367 $ 1,206,810 $ 1,251,689 $ 1,161,655 Jul-1995 $ 1,188,640 $ 1,248,807 $ 1,293,245 $ 1,193,485 Aug-1995 $ 1,197,317 $ 1,266,415 $ 1,296,478 $ 1,208,164 Sep-1995 $ 1,216,354 $ 1,312,259 $ 1,351,190 $ 1,245,738 Oct-1995 $ 1,193,487 $ 1,299,268 $ 1,346,326 $ 1,228,049 Nov-1995 $ 1,246,836 $ 1,365,141 $ 1,405,429 $ 1,279,750 Dec-1995 $ 1,262,421 $ 1,399,406 $ 1,432,554 $ 1,311,360 Jan-1996 $ 1,305,470 $ 1,443,067 $ 1,481,261 $ 1,341,390 Feb-1996 $ 1,323,746 $ 1,454,035 $ 1,495,037 $ 1,351,182 Mar-1996 $ 1,349,294 $ 1,478,753 $ 1,509,389 $ 1,368,207 Apr-1996 $ 1,354,557 $ 1,484,373 $ 1,531,577 $ 1,380,794 May-1996 $ 1,372,166 $ 1,502,927 $ 1,571,092 $ 1,401,230 Jun-1996 $ 1,379,713 $ 1,504,130 $ 1,577,062 $ 1,403,332 Jul-1996 $ 1,336,114 $ 1,447,274 $ 1,507,356 $ 1,357,443 Aug-1996 $ 1,369,918 $ 1,488,666 $ 1,539,161 $ 1,388,121 Sep-1996 $ 1,423,207 $ 1,547,914 $ 1,625,816 $ 1,439,204 Oct-1996 $ 1,464,053 $ 1,607,819 $ 1,670,688 $ 1,473,169 Nov-1996 $ 1,555,850 $ 1,724,386 $ 1,796,992 $ 1,557,287 Dec-1996 $ 1,546,359 $ 1,702,313 $ 1,761,412 $ 1,547,320 Jan-1997 $ 1,630,017 $ 1,784,876 $ 1,871,500 $ 1,603,952 Feb-1997 $ 1,649,251 $ 1,811,113 $ 1,886,098 $ 1,626,087 Mar-1997 $ 1,594,331 $ 1,745,913 $ 1,808,579 $ 1,573,402 Apr-1997 $ 1,647,103 $ 1,819,242 $ 1,916,551 $ 1,620,289 May-1997 $ 1,737,035 $ 1,920,937 $ 2,033,269 $ 1,713,618 Jun-1997 $ 1,813,639 $ 2,003,345 $ 2,124,360 $ 1,778,393 Jul-1997 $ 1,909,580 $ 2,153,997 $ 2,293,459 $ 1,885,452 Aug-1997 $ 1,843,509 $ 2,077,315 $ 2,165,025 $ 1,825,117 Sep-1997 $ 1,955,594 $ 2,202,785 $ 2,283,668 $ 1,917,651 Oct-1997 $ 1,913,940 $ 2,141,327 $ 2,207,394 $ 1,861,464 Nov-1997 $ 1,978,248 $ 2,235,973 $ 2,309,596 $ 1,923,264 Dec-1997 $ 2,029,880 $ 2,301,264 $ 2,349,321 $ 1,967,692 Jan-1998 $ 2,022,370 $ 2,268,586 $ 2,375,399 $ 1,966,904 Feb-1998 $ 2,088,704 $ 2,421,262 $ 2,546,665 $ 2,073,117 Mar-1998 $ 2,198,778 $ 2,569,443 $ 2,677,054 $ 2,167,030 Apr-1998 $ 2,175,911 $ 2,586,658 $ 2,704,092 $ 2,165,946 May-1998 $ 2,155,022 $ 2,548,376 $ 2,657,582 $ 2,139,305 Jun-1998 $ 2,162,134 $ 2,580,995 $ 2,765,480 $ 2,156,633 Jul-1998 $ 2,092,945 $ 2,535,569 $ 2,736,166 $ 2,100,992 Aug-1998 $ 1,817,095 $ 2,158,277 $ 2,340,516 $ 1,847,612 Sep-1998 $ 1,943,383 $ 2,282,162 $ 2,490,543 $ 1,942,580 Oct-1998 $ 2,059,598 $ 2,459,029 $ 2,693,024 $ 2,057,386 Nov-1998 $ 2,136,833 $ 2,573,620 $ 2,856,222 $ 2,144,414 Dec-1998 $ 2,270,812 $ 2,661,123 $ 3,020,740 $ 2,199,311 Jan-1999 $ 2,287,616 $ 2,682,412 $ 3,147,007 $ 2,196,452 Feb-1999 $ 2,220,589 $ 2,644,590 $ 3,049,135 $ 2,155,817 Mar-1999 $ 2,239,020 $ 2,699,333 $ 3,171,100 $ 2,201,305 Apr-1999 $ 2,372,465 $ 2,951,451 $ 3,293,822 $ 2,357,598 May-1999 $ 2,324,067 $ 2,918,985 $ 3,216,088 $ 2,324,591 Jun-1999 $ 2,400,296 $ 3,003,635 $ 3,394,581 $ 2,397,816 Jul-1999 $ 2,329,008 $ 2,915,629 $ 3,288,670 $ 2,337,151 Aug-1999 $ 2,246,561 $ 2,807,459 $ 3,272,226 $ 2,282,695 Sep-1999 $ 2,190,846 $ 2,709,198 $ 3,182,567 $ 2,201,888 Oct-1999 $ 2,227,871 $ 2,865,248 $ 3,384,024 $ 2,276,092 Nov-1999 $ 2,254,606 $ 2,842,899 $ 3,452,720 $ 2,263,346 Dec-1999 $ 2,328,782 $ 2,856,545 $ 3,656,085 $ 2,291,411 Jan-2000 $ 2,268,933 $ 2,763,421 $ 3,472,549 $ 2,204,567 Feb-2000 $ 2,210,621 $ 2,558,099 $ 3,406,918 $ 2,080,449 Mar-2000 $ 2,414,882 $ 2,870,187 $ 3,740,115 $ 2,272,891 Apr-2000 $ 2,385,421 $ 2,836,893 $ 3,627,537 $ 2,255,617 May-2000 $ 2,343,915 $ 2,866,681 $ 3,553,173 $ 2,289,677 Jun-2000 $ 2,390,090 $ 2,735,673 $ 3,640,581 $ 2,240,449 Jul-2000 $ 2,353,521 $ 2,769,869 $ 3,583,788 $ 2,253,443 Aug-2000 $ 2,480,847 $ 2,923,874 $ 3,806,341 $ 2,385,495 Sep-2000 $ 2,360,526 $ 2,950,774 $ 3,605,366 $ 2,380,247 Oct-2000 $ 2,369,024 $ 3,023,363 $ 3,590,224 $ 2,430,232 Nov-2000 $ 2,244,413 $ 2,911,196 $ 3,307,314 $ 2,344,688 Dec-2000 $ 2,274,937 $ 3,057,047 $ 3,323,520 $ 2,462,157 Jan-2001 $ 2,272,435 $ 3,068,969 $ 3,441,505 $ 2,482,593 Feb-2001 $ 2,114,955 $ 2,983,652 $ 3,127,640 $ 2,399,674 Mar-2001 $ 1,999,055 $ 2,878,329 $ 2,929,347 $ 2,311,846 Apr-2001 $ 2,145,186 $ 3,019,367 $ 3,156,958 $ 2,431,831 May-2001 $ 2,150,764 $ 3,087,303 $ 3,178,109 $ 2,474,145 Jun-2001 $ 2,073,336 $ 3,018,765 $ 3,100,881 $ 2,412,786 Jul-2001 $ 2,080,178 $ 3,012,425 $ 3,070,492 $ 2,410,132 Aug-2001 $ 1,954,536 $ 2,891,627 $ 2,878,280 $ 2,330,598 Sep-2001 $ 1,835,309 $ 2,688,057 $ 2,646,002 $ 2,170,020 Oct-2001 $ 1,861,187 $ 2,664,939 $ 2,696,541 $ 2,181,087 Nov-2001 $ 1,979,372 $ 2,819,772 $ 2,903,366 $ 2,293,631 Dec-2001 $ 1,995,207 $ 2,886,319 $ 2,928,915 $ 2,333,999 Jan-2002 $ 1,969,868 $ 2,864,094 $ 2,886,153 $ 2,311,125 Feb-2002 $ 1,968,489 $ 2,868,677 $ 2,830,451 $ 2,314,592 Mar-2002 $ 2,048,016 $ 3,004,365 $ 2,936,875 $ 2,402,315 Apr-2002 $ 1,943,567 $ 2,901,315 $ 2,758,901 $ 2,320,396 May-2002 $ 1,959,893 $ 2,915,822 $ 2,738,485 $ 2,322,485 Jun-2002 $ 1,832,892 $ 2,748,454 $ 2,543,505 $ 2,176,865 Jul-2002 $ 1,694,509 $ 2,492,848 $ 2,345,111 $ 2,002,063 Aug-2002 $ 1,720,265 $ 2,511,793 $ 2,360,589 $ 2,016,878 Sep-2002 $ 1,528,972 $ 2,232,482 $ 2,103,993 $ 1,806,921 Oct-2002 $ 1,637,682 $ 2,397,909 $ 2,289,145 $ 1,916,420 Nov-2002 $ 1,715,799 $ 2,548,977 $ 2,423,975 $ 2,026,423 Dec-2002 $ 1,656,432 $ 2,438,351 $ 2,281,688 $ 1,950,635 Jan-2003 $ 1,593,985 $ 2,379,343 $ 2,221,908 $ 1,896,407 Feb-2003 $ 1,548,875 $ 2,315,815 $ 2,188,579 $ 1,849,566 Mar-2003 $ 1,548,101 $ 2,319,752 $ 2,209,808 $ 1,852,155 Apr-2003 $ 1,670,401 $ 2,523,890 $ 2,391,896 $ 1,994,030 May-2003 $ 1,770,959 $ 2,686,933 $ 2,517,949 $ 2,113,672 Jun-2003 $ 1,797,346 $ 2,720,520 $ 2,550,179 $ 2,135,865 Jul-2003 $ 1,819,274 $ 2,761,056 $ 2,595,062 $ 2,159,787 Aug-2003 $ 1,845,107 $ 2,804,128 $ 2,645,666 $ 2,191,968 Sep-2003 $ 1,817,984 $ 2,776,648 $ 2,617,622 $ 2,177,282 Oct-2003 $ 1,938,396 $ 2,946,578 $ 2,765,779 $ 2,285,710
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than the original cost. The Fund commenced operations on 1/1/97. Returns for the Fund prior to 1/1/97 (offering date of the Shares) are calculated using the historical expenses at the level indicated (absent reimbursements) in the Expense Summary for the Fund as disclosed in the Prospectus. The account was not registered with the SEC and was not subject to investment restrictions of registered mutual funds. If the account had been registered, performance may have been adversely affected. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware Large Cap Value Fund, Russell 1000 Value Index, S&P 500 Index, and Lipper Equity Income Funds Index from October 31, 1993, to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Value Index measures the performance of the Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The S&P 500 Index is an unmanaged broad-based index that replicates the U.S. stock markets. The Lipper Equity Income Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 16 JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 12/20/02 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $537.3 Primary Benchmark LEHMAN 1-5 YEAR MUNICIPAL BOND INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware Short-Intermediate Income Fund, which seeks to maximize after-tax income from a portfolio of tax-exempt and taxable securities, returned 2.41% (Institutional Shares) for the ten-month period ended October 31, 2003. The Fund was established in December 2002. This compares to the 2.27% return from the Fund's benchmark index, the Lehman 1-5 Year Municipal Bond Index, during the same period. Q: WHY DID THE FUND OUTPERFORM ITS BENCHMARK? A: Because of a lack of attractively priced municipal securities, we invested in Treasury obligations during the initial funding period. This was a drag on performance when Treasuries underperformed municipals in early 2003. For the most part, however, the Fund's allocation to municipal securities ranged from 70% to 90%. As the attractiveness of municipals fluctuated relative to their taxable counterparts, our decision to trade across the tax-exempt and taxable markets--while maintaining our commitment to tax-aware investing--was a major contributor to performance. Our allocation to corporate issues also added to performance as credit spreads narrowed. Although mortgage-backed securities were a volatile part of the portfolio, they were on balance positive. Detracting from performance was the Fund's sensitivity to changes in interest rates. Q: HOW WAS THE FUND MANAGED? A: The possibility of war in Iraq, terrorism, SARS and economic weakness dominated the attention of the fixed income markets early in 2003. By April, however, investors started focusing on deflation, improving corporate earnings, passage of a tax package and a brighter economic outlook. In June, the Fed cut the Federal Funds Rate to 1%, its lowest level since 1958. Economic growth strengthened markedly during the third calendar quarter in response to tax cuts, the mortgage credit boom and a reversal of the effect of the war in Iraq. However, businesses seemed skeptical as they continued laying off workers and delayed capital expenditures. In 2002, municipal issuance reached a record $320 billion, as municipalities took advantage of low interest rates to refinance outstanding debt and raise new money. This torrid pace continued in 2003. In fact, issuance is expected to top last year. The heavy supply was met with strong demand from investors. The ratio between municipal and taxable securities was volatile during the period. We took advantage of the situation by increasing our allocation to mortgage-backed securities when municipals were expensive and reducing our position when municipals came under pressure. We selectively added high-quality California city and local municipality issues in response to improved investor sentiment about the state's budget shortfalls. For most of the second quarter, we carried a long duration position in the front end of the yield curve, anticipating the Fed's June rate cut. During the third quarter, we overweighted New York City and Massachusetts obligations. 17 AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (12/20/02) ------------ INSTITUTIONAL SHARES 2.41% ------------ SELECT SHARES 2.28%
[CHART] LIFE OF FUND PERFORMANCE (12/20/02 TO 10/31/03)
JPMORGAN TAX AWARE SHORT-INTERMEDIATE LEHMAN 1-5 YEAR MUNICIPAL BOND INDEX LIPPER SHORT INTERMEDIATE MUNICIPAL INCOME FUND (INSTITUTIONAL SHARES) DEBT FUNDS INDEX Dec-2002 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-2002 $ 3,016,200 $ 3,000,000 $ 3,000,000 Jan-2003 $ 3,011,374 $ 2,994,900 $ 3,000,300 Feb-2003 $ 3,028,539 $ 3,034,433 $ 3,026,703 Mar-2003 $ 3,031,265 $ 3,035,646 $ 3,019,741 Apr-2003 $ 3,045,815 $ 3,053,557 $ 3,033,028 May-2003 $ 3,079,014 $ 3,116,765 $ 3,077,310 Jun-2003 $ 3,072,856 $ 3,115,519 $ 3,072,694 Jul-2003 $ 3,021,232 $ 3,025,169 $ 3,020,151 Aug-2003 $ 3,036,338 $ 3,046,950 $ 3,031,326 Sep-2003 $ 3,087,652 $ 3,129,827 $ 3,089,224 Oct-2003 $ 3,072,435 $ 3,110,422 $ 3,080,883
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 12/20/02. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Tax Aware Short-Intermediate Fund, Lehman 1-5 Year Municipal Bond Index, and Lipper Short-Intermediate Municipal Debt Funds Index from December 20, 2002 to October 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The unmanaged Lehman 1-5 Year Municipal Bond Index represents the performance of municipal bonds with maturities from 1 to 5 years. The Lipper Short-Intermediate Municipal Debt Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Institutional Shares have a $3,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distribution or redemption of fund shares. 18 JPMORGAN TAX AWARE U.S. EQUITY FUND AS OF OCTOBER 31, 2003 (Unaudited) FUND FACTS Fund Inception 12/18/96 Fiscal Year End OCTOBER 31 Net Assets as of 10/31/2003 (In Millions) $742.9 Primary Benchmark S&P 500 INDEX
Q: HOW DID THE FUND PERFORM? A: JPMorgan Tax Aware U.S. Equity Fund, which seeks to provide high after-tax return from a portfolio of selected equity securities, rose 16.64% (Select Shares) in the year ended October 31, 2003. This compares to an increase of 20.82% by the S&P 500 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: While the Fund participated in the most substantial rally in U.S. equities of the past three years, it trailed its benchmark over the 12 months. Our tax-efficient style of investing for the long term was not particularly suited to this period, because the market was led by stocks that we judged to have either excessively expensive valuations, or poor fundamentals. We do not believe that stocks with these characteristics are likely to outperform over longer periods of time. Four of the biggest contributors to Fund performance during the annual period were Johnson Controls, Inc. (automotive and building control systems), Guidant Corp. (medical devices), US Bancorp (regional bank), and Capital One Financial (credit card company). The Fund was overweight in each of these stocks. Johnson Controls, the best performer, benefited from strong sales and earnings growth. Guidant experienced strong sales growth, led by demand for implantable defibrillators. US Bancorp performed well, as it kept costs low and met revenue targets. Meanwhile, Capital One Financial convinced observers that both earnings quality and credit quality were improving. The Fund suffered from being underweight in some of the stocks that benefited most from improving investor sentiment, including Texas Instruments (technology), Merrill Lynch & Co. (financial services), and EMC Corp. (technology). Of the stocks in which the Fund was overweight, the greatest detractor was DTE Energy, which was impacted by adverse weather conditions, regulatory price action, and an Internal Revenue Service review of tax credits relating to synthetic fuels. Q: HOW WAS THE FUND MANAGED? A: It is important to remember that this Fund focuses on after-tax returns, rather than pre-tax performance. The Fund had accumulated realized and unrealized losses in its portfolio during this annual period, which created additional trading flexibility. We continued to look to buy companies that we believed would perform well over longer periods of time so that the Fund could hold the stocks and benefit from lower long-term capital gains treatment. We added to our holdings in cyclical stocks, anticipating that their earnings growth will accelerate in the next few years. For example, we increased our holding in United Technologies during the summer. Another recovery play was tech company Sunguard Data Systems, which we bought during the year, anticipating that companies would increase their investment in backup recovery systems. 19 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 23.8% Finance & Insurance 20.9% Technology 16.2% Industrial Products & Services 13.5% Pharmaceuticals 10.4% Energy 6.8% Telecommunications 2.4% Short-Term Investments 2.4% Utilities 2.1% Health Services and Systems 1.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Citigroup, Inc. 3.9% 2. Microsoft Corp. 3.4% 3. General Electric Co. 3.3% 4. Pfizer, Inc. 3.1% 5. Exxon Mobil Corp. 2.9% 6. Wal-Mart Stores, Inc. 2.8% 7. Cisco Systems, Inc. 2.5% 8. Proctor & Gamble Co. 2.5% 9. Intel Corp. 2.4% 10. International Business Machines Corp. 2.3%
Top 10 equity holdings comprised 29.1% of the Portfolio's market value of investments ($214,563 in thousands). As of October 31, 2003 the Fund held 76 equity holdings. Portfolio holdings are subject to change at any time. 20 (Unaudited) AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (12/18/96) -------------------------------------------------------------------------- CLASS A SHARES Without Sales Charge 16.37% (9.60%) 0.15% 6.53% With Sales Charge* 9.71% (11.37%) (1.03%) 5.62% -------------------------------------------------------------------------- CLASS B SHARES Without CDSC 15.82% (10.15%) (0.21%) 6.25% With CDSC** 10.82% (11.04%) (0.60%) 6.25% -------------------------------------------------------------------------- CLASS C SHARES Without CDSC 15.80% (10.17%) (0.23%) 6.24% With CDSC*** 14.80% (10.17%) (0.23%) 6.24% -------------------------------------------------------------------------- INSTITUTIONAL SHARES 16.89% (9.35%) 0.23% 6.59% -------------------------------------------------------------------------- SELECT SHARES 16.64% (9.52%) 0.21% 6.58%
* Sales Charge for Class A Shares is 5.75%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year peri0d, 2% CDSC for the five year period and 0% CDSC for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. [CHART] LIFE OF FUND PERFORMANCE (12/18/96 TO 10/31/03)
JPMORGAN TAX AWARE U.S. EQUITY FUND (SELECT SHARES) S&P 500 INDEX LIPPER LARGE-CAP CORE FUNDS INDEX Dec-96 $ 1,000,000 $ 1,000,000 $ 1,000,000 Dec-96 $ 1,011,100 $ 1,000,000 $ 1,000,000 Jan-97 $ 1,082,180 $ 1,062,500 $ 1,054,700 Feb-97 $ 1,085,210 $ 1,070,788 $ 1,053,434 Mar-97 $ 1,042,128 $ 1,026,778 $ 1,008,347 Apr-97 $ 1,090,170 $ 1,088,077 $ 1,064,210 May-97 $ 1,157,215 $ 1,154,341 $ 1,128,807 Jun-97 $ 1,202,231 $ 1,206,055 $ 1,177,798 Jul-97 $ 1,321,372 $ 1,302,057 $ 1,270,844 Aug-97 $ 1,257,285 $ 1,229,142 $ 1,206,158 Sep-97 $ 1,311,349 $ 1,296,499 $ 1,268,275 Oct-97 $ 1,258,239 $ 1,253,196 $ 1,229,212 Nov-97 $ 1,304,290 $ 1,311,219 $ 1,269,407 Dec-97 $ 1,317,464 $ 1,333,772 $ 1,292,510 Jan-98 $ 1,338,543 $ 1,348,577 $ 1,305,306 Feb-98 $ 1,427,021 $ 1,445,809 $ 1,397,852 Mar-98 $ 1,495,375 $ 1,519,834 $ 1,467,046 Apr-98 $ 1,527,526 $ 1,535,185 $ 1,481,863 May-98 $ 1,505,377 $ 1,508,780 $ 1,456,523 Jun-98 $ 1,558,667 $ 1,570,036 $ 1,525,708 Jul-98 $ 1,544,483 $ 1,553,394 $ 1,513,350 Aug-98 $ 1,326,865 $ 1,328,773 $ 1,286,802 Sep-98 $ 1,420,542 $ 1,413,947 $ 1,350,756 Oct-98 $ 1,532,339 $ 1,528,901 $ 1,452,062 Nov-98 $ 1,641,288 $ 1,621,553 $ 1,538,460 Dec-98 $ 1,727,784 $ 1,714,954 $ 1,640,614 Jan-99 $ 1,783,419 $ 1,786,639 $ 1,698,035 Feb-99 $ 1,720,821 $ 1,731,075 $ 1,645,566 Mar-99 $ 1,801,699 $ 1,800,318 $ 1,711,718 Apr-99 $ 1,889,622 $ 1,869,990 $ 1,757,592 May-99 $ 1,842,004 $ 1,825,858 $ 1,711,015 Jun-99 $ 1,949,208 $ 1,927,193 $ 1,806,490 Jul-99 $ 1,884,495 $ 1,867,065 $ 1,753,560 Aug-99 $ 1,858,112 $ 1,857,730 $ 1,735,674 Sep-99 $ 1,801,439 $ 1,806,828 $ 1,688,637 Oct-99 $ 1,900,699 $ 1,921,200 $ 1,792,150 Nov-99 $ 1,952,398 $ 1,960,200 $ 1,836,058 Dec-99 $ 2,044,160 $ 2,075,656 $ 1,958,156 Jan-00 $ 2,007,570 $ 1,971,458 $ 1,879,046 Feb-00 $ 1,997,331 $ 1,934,198 $ 1,878,483 Mar-00 $ 2,180,287 $ 2,123,362 $ 2,041,723 Apr-00 $ 2,055,356 $ 2,059,449 $ 1,974,959 May-00 $ 1,992,257 $ 2,017,230 $ 1,924,597 Jun-00 $ 2,045,052 $ 2,066,854 $ 1,995,037 Jul-00 $ 2,055,277 $ 2,034,611 $ 1,963,915 Aug-00 $ 2,174,483 $ 2,160,960 $ 2,099,425 Sep-00 $ 2,086,851 $ 2,046,862 $ 1,987,735 Oct-00 $ 2,089,982 $ 2,038,265 $ 1,964,678 Nov-00 $ 1,935,114 $ 1,877,650 $ 1,791,786 Dec-00 $ 1,938,791 $ 1,886,850 $ 1,813,646 Jan-01 $ 2,005,097 $ 1,953,833 $ 1,864,972 Feb-01 $ 1,813,210 $ 1,775,644 $ 1,691,343 Mar-01 $ 1,686,647 $ 1,663,068 $ 1,587,495 Apr-01 $ 1,818,375 $ 1,792,288 $ 1,708,144 May-01 $ 1,833,649 $ 1,804,297 $ 1,717,710 Jun-01 $ 1,788,725 $ 1,760,452 $ 1,672,019 Jul-01 $ 1,777,456 $ 1,743,200 $ 1,647,775 Aug-01 $ 1,676,318 $ 1,634,075 $ 1,550,721 Sep-01 $ 1,559,814 $ 1,502,206 $ 1,433,021 Oct-01 $ 1,593,506 $ 1,530,898 $ 1,466,840 Nov-01 $ 1,717,162 $ 1,648,318 $ 1,562,918 Dec-01 $ 1,731,930 $ 1,662,823 $ 1,580,579 Jan-02 $ 1,674,430 $ 1,638,546 $ 1,555,606 Feb-02 $ 1,634,411 $ 1,606,922 $ 1,529,472 Mar-02 $ 1,701,258 $ 1,667,342 $ 1,581,474 Apr-02 $ 1,578,087 $ 1,566,301 $ 1,497,340 May-02 $ 1,576,036 $ 1,554,710 $ 1,486,409 Jun-02 $ 1,466,186 $ 1,444,015 $ 1,383,698 Jul-02 $ 1,358,275 $ 1,331,382 $ 1,280,889 Aug-02 $ 1,374,710 $ 1,340,169 $ 1,291,393 Sep-02 $ 1,222,255 $ 1,194,493 $ 1,165,998 Oct-02 $ 1,327,368 $ 1,299,608 $ 1,256,596 Nov-02 $ 1,399,445 $ 1,376,155 $ 1,312,766 Dec-02 $ 1,322,335 $ 1,295,375 $ 1,243,584 Jan-03 $ 1,282,004 $ 1,261,436 $ 1,211,002 Feb-03 $ 1,264,441 $ 1,242,514 $ 1,194,895 Mar-03 $ 1,272,154 $ 1,254,567 $ 1,204,932 Apr-03 $ 1,374,689 $ 1,357,943 $ 1,293,736 May-03 $ 1,432,701 $ 1,429,506 $ 1,356,482 Jun-03 $ 1,444,306 $ 1,447,804 $ 1,369,911 Jul-03 $ 1,465,104 $ 1,473,285 $ 1,391,556 Aug-03 $ 1,485,908 $ 1,502,015 $ 1,418,413 Sep-03 $ 1,467,335 $ 1,486,093 $ 1,400,115 Oct-03 $ 1,548,873 $ 1,570,206 $ 1,468,581
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 12/18/96. Returns for the Institutional Shares prior to 9/15/00 (offering date of the Institutional Shares) are calculated using the historical expenses of the Select Shares, which are higher than the expenses of the Institutional Shares. Returns for the Class A, B, and C Shares prior to 4/16/01 (offering date of the Class A, B, and C Shares) are calculated using the historical expenses of the Select Shares, which are lower than the expenses of the Class A, B, and C Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Tax Aware U.S. Equity Fund, S&P 500 Index, and Lipper Large-Cap Core Funds Index from December 18, 1996 to October 31, 2003. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P 500 Index is a broad-based index that replicates the U.S. stock market. The Lipper Large-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. 21 JPMorgan Fleming Tax Aware International Opportunities Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100% COMMON STOCKS -- 100.0% AUSTRALIA -- 2.7% 245 News Corp., LTD $ 1,802 338 Southern Pacific Petroleum NL* 67 502 WMC Resources LTD* 1,825 ------------------------------------------------------------ 3,694 ------------------------------------------------------------ BELGIUM -- 0.6% 32 Interbrew SA 761 BRAZIL -- 1.3% 82 Petroleo Brasileiro SA, ADR 1,778 DENMARK -- 0.3% 20 Group 4 Falck AS 444 FINLAND -- 4.4% 251 Nokia OYJ 4,264 66 Tietoenator OYJ 1,740 ------------------------------------------------------------ 6,004 ------------------------------------------------------------ FRANCE -- 9.7% 38 Alcatel SA* 497 63 BNP Paribas 3,306 25 France Telecom* 598 30 Sanofi-Synthelabo SA 1,880 9 Technip-Coflexip SA 870 23 Total SA 3,628 79 Veolia Environnement 1,756 36 Vivendi Universal SA* 755 ------------------------------------------------------------ 13,290 ------------------------------------------------------------ GERMANY -- 4.5% 65 Bayerische Hypo-und Vereinsbank AG* 1,413 18 Bayerische Motoren Werke AG 707 17 E.ON AG 852 16 MAN AG 428 33 Schering AG 1,563 70 TUI AG 1,217 ------------------------------------------------------------ 6,180 ------------------------------------------------------------ GREECE -- 0.2% 11 Public Power Corp. 247 HONG KONG (CHINA) -- 3.8% 972 Cathay Pacific Airways LTD $ 1,859 177 Henderson Land Development Co., LTD 743 1,022 PCCW LTD* 730 766 Wharf Holdings LTD 1,928 ------------------------------------------------------------ 5,260 ------------------------------------------------------------ INDIA -- 2.3% 148 Reliance Industries LTD, GDR, # 3,167 ITALY -- 2.1% 54 ENI-Ente Nazionale Idrocarburi SPA 857 415 UniCredito Italiano SPA 2,045 ------------------------------------------------------------ 2,902 ------------------------------------------------------------ JAPAN -- 19.1% 32 Aiful Corp. 2,017 75 Asahi Breweries LTD 627 58 Chugai Pharmaceutical Co., LTD 830 302 Daiwa Securities Group, Inc. 2,208 28 Fujisawa Pharmaceutical Co., LTD 578 404 Fujitsu LTD 2,532 79 Honda Motor Co., LTD 3,134 12 Ito-Yokado Co., LTD 441 59 JFE Holdings, Inc. 1,503 746 Kubota Corp. 2,688 22 Kyocera Corp. 1,301 93 Matsushita Electric Works LTD 699 299 Minebea Co., LTD 1,703 135 Mitsubishi Corp. 1,401 86 Mitsubishi Pharma Corp. 538 6 Nintendo Co., LTD 432 0^^ Nippon Telegraph & Telephone Corp. 674 55 Ricoh Co., LTD 1,043 53 Sony Corp. 1,849 ------------------------------------------------------------ 26,198 ------------------------------------------------------------ MEXICO -- 1.0% 85 Grupo Financiero BBVA Bancomer, ADR* 1,435 RUSSIA -- 0.5% 9 LUKOIL, ADR 705
SEE NOTES TO FINANCIAL STATEMENTS. 22
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SINGAPORE -- 0.8% 64 DBS Group Holdings LTD $ 526 551 Singapore Telecommunications LTD 544 ------------------------------------------------------------ 1,070 ------------------------------------------------------------ SOUTH KOREA -- 2.3% 10 Samsung Electronics Co., LTD, GDR 1,890 17 Samsung SDI Co., LTD, GDR 391 45 SK Telecom Co., LTD, ADR 880 ------------------------------------------------------------ 3,161 ------------------------------------------------------------ SPAIN -- 2.0% 28 Acerinox SA 1,209 92 Iberdrola SA 1,536 ------------------------------------------------------------ 2,745 ------------------------------------------------------------ SWEDEN -- 1.5% 46 Atlas Copco AB 1,599 36 Securitas AB, B Shares 445 ------------------------------------------------------------ 2,044 ------------------------------------------------------------ SWITZERLAND -- 8.9% 25 Adecco SA 1,498 116 Compagnie Financiere Richemont AG, Class A 2,609 35 Credit Suisse Group 1,250 12 Lonza Group AG 612 28 Roche Holding AG 2,338 13 Swiss Reinsurance Co. 819 0^^ Synthes-Stratec, Inc. 421 28 UBS AG 1,721 7 Zurich Financial Services AG 955 ------------------------------------------------------------ 12,223 ------------------------------------------------------------ TAIWAN -- 1.1% 44 Compal Electronics, Inc., Regulation S, GDR 336 220 United Microelectronics Corp., ADR* 1,156 ------------------------------------------------------------ 1,492 ------------------------------------------------------------ THAILAND -- 0.3% 252 Advanced Info Service PCL 392 THE NETHERLANDS -- 6.2% 49 ABN AMRO Holding NV $ 1,024 182 Aegon NV 2,382 20 Akzo Nobel NV 633 48 ING Groep NV 994 332 Koninklijke KPN NV* 2,526 33 Koninklijke Philips Electronics NV 878 ------------------------------------------------------------ 8,437 ------------------------------------------------------------ UNITED KINGDOM -- 24.4% 48 AstraZeneca PLC 2,265 127 BBA Group PLC 559 39 British American Tobacco PLC 477 36 Carnival PLC 1,245 215 Centrica PLC 672 267 Dixons Group PLC 616 131 GlaxoSmithKline PLC 2,801 409 Hays PLC 847 240 HSBC Holdings PLC 3,609 63 Man Group PLC 1,539 113 Marks & Spencer Group PLC 553 619 mmO2 PLC* 672 245 Prudential PLC 1,904 84 Reckitt Benckiser PLC 1,764 126 Royal Bank of Scotland Group PLC 3,376 188 Scottish Power PLC 1,117 473 Tesco PLC 1,895 351 Unilever PLC 2,989 1,946 Vodafone Group PLC 4,088 36 WPP Group PLC 347 ------------------------------------------------------------ 33,335 ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 136,964 (COST $115,082) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 23 Summary of Investments by Industry, October 31, 2003
INDUSTRY % OF INVESTMENT SECURITIES - ------------------------------------------------------------- Banking 13.3% Telecommunications 11.6 Pharmaceuticals 9.3 Financial Services 5.3 Insurance 5.2 Oil & Gas 5.1 Electronics/Electrical Equipment 5.0 Food/Beverage Products 4.6 Machinery & Engineering Equipment 3.4 Computers/Computer Hardware 3.4 Utilities 3.2 Chemicals 3.2 Retailing 3.1 Automotive 2.8 Semi-Conductors 2.2 Steel 2.0 Multi-Media 1.9 Entertainment/Leisure 1.8 Business Services 1.7 Consumer Products 1.6 Diversified 1.4 Airlines 1.4 Metals/Mining 1.3 Environmental Services 1.3 Distribution 1.0 Other (less than 1%) 3.9 - ------------------------------------------------------------- 100.0% - -------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 24 FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS
NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO BUY DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD) - --------------------------------------------------------------------------------------------------------------- 5,186 AUD 11/20/03 $ 3,374 $ 3,673 $ 299 2,280 CHF 11/20/03 1,610 1,708 98 8,557 EUR 11/20/03 9,640 9,944 304 3,950 EUR for 506,069 JPY 11/20/03 4,606~ 4,590~ (16) 15,863 JPY 11/4/03 147 144 (3) 1,487,826 JPY 11/20/03 12,797 13,540 743 3,795 GBP 11/20/03 6,166 6,432 266 690 GBP for 1,534 CHF 11/20/03 1,149~ 1,170~ 21 6,499 SEK 11/20/03 778 833 55 - --------------------------------------------------------------------------------------------------------------- $ 40,267 $ 42,034 $ 1,767 - --------------------------------------------------------------------------------------------------------------- NET UNREALIZED SETTLEMENT SETTLEMENT VALUE AT APPRECIATION CONTRACTS TO SELL DATE VALUE (USD) 10/31/03 (USD) (DEPRECIATION) (USD) - --------------------------------------------------------------------------------------------------------------- 3,178 GBP 11/20/03 $ 5,064 $ 5,387 $ (323) 716,107 JPY 11/20/03 6,217 6,518 (301) 26,926 HKD 11/20/03 3,452 3,468 (16) 767 SGD 11/20/03 439 441 (2) 14,541 EUR 11/20/03 16,249 16,897 (648) 4,203 CHF 11/20/03 3,071 3,149 (78) - --------------------------------------------------------------------------------------------------------------- $ 34,492 $ 35,860 $ (1,368) - ---------------------------------------------------------------------------------------------------------------
~ For cross-currency exchange contracts, the settlement value is the market value at 10/31/03 of the currency being sold, and the value at 10/31/03 is the market value at 10/31/03 of the currency being purchased. SEE NOTES TO FINANCIAL STATEMENTS. 25 JPMorgan Tax Aware Disciplined Equity Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.6% COMMON STOCKS -- 99.6% AEROSPACE -- 2.6% 5 General Dynamics Corp. $ 419 19 Lockheed Martin Corp. 881 6 Northrop Grumman Corp. 492 21 Raytheon Co. 545 21 The Boeing Co. 816 18 United Technologies Corp. 1,564 ------------------------------------------------------------ 4,717 ------------------------------------------------------------ AGRICULTURAL PRODUCTION/SERVICES -- 0.0% ^ 3 Monsanto Co. 85 APPAREL -- 1.3% 34 Jones Apparel Group, Inc. 1,177 19 Nike, Inc., Class B 1,221 ------------------------------------------------------------ 2,398 ------------------------------------------------------------ AUTOMOTIVE -- 1.6% 4 Dana Corp. 57 27 Ford Motor Co. 326 9 General Motors Corp. 371 12 Harley-Davidson, Inc. 586 10 Johnson Controls, Inc. 1,048 7 Lear Corp.* 424 ------------------------------------------------------------ 2,812 ------------------------------------------------------------ BANKING -- 6.8% 18 Bank of America Corp. 1,325 20 Bank One Corp. 828 10 Compass Bancshares, Inc. 366 10 FleetBoston Financial Corp. 404 51 GreenPoint Financial Corp. 1,575 16 Hibernia Corp., Class A 364 7 Marshall & Ilsley Corp. 233 16 Mellon Financial Corp. 477 4 North Fork Bancorporation, Inc. 140 15 SouthTrust Corp. 465 15 SunTrust Banks, Inc. 984 106 U.S. Bancorp 2,892 34 Wachovia Corp. 1,578 13 Wells Fargo & Co. 738 ------------------------------------------------------------ 12,369 ------------------------------------------------------------ BIOTECHNOLOGY -- 1.3% 29 Amgen, Inc.* $ 1,791 5 Gilead Sciences, Inc.* 267 5 Human Genome Sciences, Inc.* 71 10 MedImmune, Inc.* 256 ------------------------------------------------------------ 2,385 ------------------------------------------------------------ BUSINESS SERVICES -- 1.2% 3 Affiliated Computer Services, Inc., Class A* 142 19 Cendant Corp.* 392 2 Cintas Corp. 81 5 Computer Sciences Corp.* 213 30 First Data Corp. 1,059 13 SunGard Data Systems, Inc.* 359 ------------------------------------------------------------ 2,246 ------------------------------------------------------------ CHEMICALS -- 0.6% 8 Air Products & Chemicals, Inc. 372 9 Eastman Chemical Co. 289 7 Praxair, Inc. 480 ------------------------------------------------------------ 1,141 ------------------------------------------------------------ COMPUTER NETWORKS -- 2.2% 178 Cisco Systems, Inc.* 3,727 10 Juniper Networks, Inc.* 178 ------------------------------------------------------------ 3,905 ------------------------------------------------------------ COMPUTER SOFTWARE -- 3.9% 2 Adobe Systems, Inc. 83 2 Electronic Arts, Inc.* 198 220 Microsoft Corp. 5,761 75 Oracle Corp.* 902 6 Siebel Systems, Inc.* 73 2 VERITAS Software Corp.* 72 ------------------------------------------------------------ 7,089 ------------------------------------------------------------ COMPUTERS/COMPUTER HARDWARE -- 4.6% 59 Dell, Inc.* 2,136 28 EMC Corp.* 382 53 Hewlett-Packard Co. 1,175 37 International Business Machines Corp. 3,328 2 Lexmark International, Inc.* 118
SEE NOTES TO FINANCIAL STATEMENTS. 26
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED COMPUTERS/COMPUTER HARDWARE -- CONTINUED 27 NCR Corp.* $ 957 55 Sun Microsystems, Inc.* 219 ------------------------------------------------------------ 8,315 ------------------------------------------------------------ CONSTRUCTION -- 0.4% 7 Centex Corp. 644 CONSTRUCTION MATERIALS -- 0.3% 20 Masco Corp. 536 CONSUMER PRODUCTS -- 4.6% 58 Altria Group, Inc. 2,687 3 Black & Decker Corp. 143 3 Fortune Brands, Inc. 166 8 Kimberly-Clark Corp. 401 38 Procter & Gamble Co. 3,691 36 The Gillette Co. 1,139 ------------------------------------------------------------ 8,227 ------------------------------------------------------------ DIVERSIFIED -- 4.0% 198 General Electric Co. 5,750 74 Tyco International LTD (Bermuda) 1,555 ------------------------------------------------------------ 7,305 ------------------------------------------------------------ ELECTRONICS/ELECTRICAL EQUIPMENT -- 0.0% ^ 1 Emerson Electric Co. 45 ENTERTAINMENT/LEISURE -- 0.4% 22 Carnival Corp. 758 ENVIRONMENTAL SERVICES -- 0.2% 15 Waste Management, Inc. 385 FINANCIAL SERVICES -- 9.2% 15 Capital One Financial Corp. 895 15 CIT Group, Inc. 504 129 Citigroup, Inc. 6,096 21 Countrywide Financial Corp. 2,218 14 Fannie Mae 993 16 Freddie Mac 890 13 Goldman Sachs Group, Inc. 1,211 14 MBNA Corp. $ 354 11 Merrill Lynch & Co., Inc. 670 48 Morgan Stanley 2,631 ------------------------------------------------------------ 16,462 ------------------------------------------------------------ FOOD/BEVERAGE PRODUCTS -- 3.2% 7 Archer Daniels Midland Co. 98 9 H.J. Heinz Co. 332 11 Kraft Foods, Inc., Class A 332 23 PepsiCo, Inc. 1,114 2 Sysco Corp. 70 84 The Coca-Cola Co. 3,879 ------------------------------------------------------------ 5,825 ------------------------------------------------------------ HEALTH CARE/HEALTH CARE SERVICES -- 3.6% 15 Aetna, Inc. 877 6 Anthem, Inc.* 438 16 Baxter International, Inc. 421 6 Biomet, Inc. 201 24 CIGNA Corp. 1,346 34 Guidant Corp. 1,720 12 Medtronic, Inc. 561 4 Stryker Corp. 312 13 UnitedHealth Group, Inc. 652 ------------------------------------------------------------ 6,528 ------------------------------------------------------------ INDUSTRIAL COMPONENTS -- 0.1% 2 SPX Corp.* 91 INSURANCE -- 4.1% 6 AFLAC, Inc. 233 28 AMBAC Financial Group, Inc. 2,010 19 American International Group, Inc. 1,160 16 AON Corp. 346 6 Hartford Financial Services Group, Inc. 313 9 MBIA, Inc. 562 12 Metlife, Inc. 389 4 Protective Life Corp. 120 37 The Allstate Corp. 1,481 7 Torchmark Corp. 293 26 Travelers Property Casualty Corp., Class A 429 2 XL Capital LTD (Bermuda), Class A 111 ------------------------------------------------------------ 7,447 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 27
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED INTERNET SERVICES/SOFTWARE -- 0.7% 23 eBay, Inc.* $ 1,264 MACHINERY & ENGINEERING EQUIPMENT -- 0.3% 10 Ingersoll-Rand Co., LTD (Bermuda), Class A 607 MANUFACTURING -- 0.9% 11 3M Co. 884 23 Honeywell International, Inc. 716 ------------------------------------------------------------ 1,600 ------------------------------------------------------------ METALS/MINING -- 1.2% 8 Alcan, Inc. (Canada) 327 58 Alcoa, Inc. 1,835 ------------------------------------------------------------ 2,162 ------------------------------------------------------------ MULTI-MEDIA -- 4.3% 14 Comcast Corp., Class A* 484 13 Comcast Corp., Special Class A* 408 4 E.W. Scripps Co., Class A 334 3 Fox Entertainment Group, Inc., Class A* 71 10 Gannett Co., Inc. 845 53 Time Warner, Inc.* 812 16 Tribune Co. 766 57 Viacom, Inc., Class B 2,293 75 Walt Disney Co. 1,696 ------------------------------------------------------------ 7,709 ------------------------------------------------------------ OIL & GAS -- 5.5% 16 Anadarko Petroleum Corp. 689 3 Baker Hughes, Inc. 79 34 ChevronTexaco Corp. 2,545 36 ConocoPhillips 2,031 9 Cooper Cameron Corp.* 378 5 Devon Energy Corp. 240 87 Exxon Mobil Corp. 3,169 19 Rowan Companies, Inc.* 448 20 Transocean, Inc.* 391 ------------------------------------------------------------ 9,970 ------------------------------------------------------------ PAPER/FOREST PRODUCTS -- 0.4% 7 Bowater, Inc. 302 4 Georgia-Pacific Corp. 106 6 Temple-Inland, Inc. $ 346 ------------------------------------------------------------ 754 ------------------------------------------------------------ PHARMACEUTICALS -- 8.4% 29 Abbott Laboratories 1,255 53 Bristol-Myers Squibb Co. 1,339 31 Eli Lilly & Co. 2,068 14 Forest Laboratories, Inc.* 709 30 Johnson & Johnson 1,525 5 Medco Health Solutions, Inc.* 178 46 Merck & Co., Inc. 2,031 142 Pfizer, Inc. 4,499 32 Wyeth 1,407 ------------------------------------------------------------ 15,011 ------------------------------------------------------------ PIPELINES -- 0.1% 32 Dynegy, Inc., Class A* 129 15 El Paso Corp. 112 ------------------------------------------------------------ 241 ------------------------------------------------------------ PRINTING & PUBLISHING -- 0.1% 4 The McGraw-Hill Companies, Inc. 234 REAL ESTATE INVESTMENT TRUST -- 0.4% 9 CarrAmerica Realty Corp. 265 6 ProLogis 177 6 The Rouse Co. 250 ------------------------------------------------------------ 692 ------------------------------------------------------------ RESTAURANTS/FOOD SERVICES -- 0.8% 19 McDonald's Corp. 483 6 Wendy's International, Inc. 240 22 Yum! Brands, Inc.* 761 ------------------------------------------------------------ 1,484 ------------------------------------------------------------ RETAILING -- 7.1% 14 Abercrombie & Fitch Co., Class A* 397 6 Bed Bath & Beyond, Inc.* 266 40 CVS Corp. 1,393 5 Family Dollar Stores, Inc. 218 28 Gap, Inc. 539 68 Home Depot, Inc. 2,521 21 Kohl's Corp.* 1,173
SEE NOTES TO FINANCIAL STATEMENTS. 28
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- CONTINUED 22 Lowe's Companies, Inc. $ 1,271 24 Target Corp. 940 67 Wal-Mart Stores, Inc. 3,950 4 Walgreen Co. 150 ------------------------------------------------------------ 12,818 ------------------------------------------------------------ SEMI-CONDUCTORS -- 4.6% 50 Altera Corp.* 1,007 8 Analog Devices, Inc.* 345 110 Intel Corp. 3,624 24 Maxim Integrated Products, Inc. 1,213 6 Novellus Systems, Inc.* 244 7 QLogic Corp.* 409 20 Texas Instruments, Inc. 567 29 Xilinx, Inc.* 919 ------------------------------------------------------------ 8,328 ------------------------------------------------------------ SHIPPING/TRANSPORTATION -- 0.8% 8 Burlington Northern Santa Fe Corp. 223 4 CSX Corp. 131 2 FedEx Corp. 148 8 Norfolk Southern Corp. 161 6 Union Pacific Corp. 351 6 United Parcel Service, Inc., Class B 406 ------------------------------------------------------------ 1,420 ------------------------------------------------------------ STEEL -- 0.6% 46 United States Steel Corp. 1,097 TELECOMMUNICATIONS -- 3.5% 60 AT&T Wireless Services, Inc.* 433 33 BellSouth Corp. 866 11 Nextel Communications, Inc., Class A* 269 17 Qwest Communications International, Inc.* 60 72 SBC Communications, Inc. 1,719 24 Sprint Corp. - PCS Group* 105 13 Tellabs, Inc.* 96 81 Verizon Communications, Inc. 2,730 ------------------------------------------------------------ 6,278 ------------------------------------------------------------ TELECOMMUNICATIONS EQUIPMENT -- 0.9% 33 Corning, Inc.* $ 362 29 Motorola, Inc. 391 17 QUALCOMM, Inc. 797 ------------------------------------------------------------ 1,550 ------------------------------------------------------------ TOYS & GAMES -- 0.2% 15 Mattel, Inc. 284 UTILITIES -- 2.6% 8 Dominion Resources, Inc. 471 5 DTE Energy Co. 190 19 Edison International* 365 3 FirstEnergy Corp. 107 69 PG&E Corp.* 1,690 36 Pinnacle West Capital Corp. 1,327 2 Public Service Enterprise Group, Inc. 86 31 XCEL Energy, Inc. 511 ------------------------------------------------------------ 4,747 ------------------------------------------------------------ Total Common Stocks 179,965 (Cost $162,290) ------------------------------------------------------------ SHORT-TERM INVESTMENT - 0.4% - -------------------------------------------------------------------------- MONEY MARKET FUND -- 0.4% 722 JPMorgan Prime Money Market Fund (a) 722 (Cost $722) ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 180,687 (COST $163,012) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 29 JPMorgan Tax Aware Enhanced Income Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 49.0% U.S. TREASURY SECURITIES -- 1.4% $ 35,500 U.S. Treasury Notes & Bonds, 2.00%, 08/31/05 + $ 35,661 (Cost $35,766) ------------------------------------------------------------ U.S. GOVERNMENT AGENCY SECURITIES -- 0.8% 21,100 Federal Home Loan Mortgage Corp., 1.63%, 05/19/06, MTN, FRN + 21,096 (Cost $21,100) ------------------------------------------------------------ STATE AND MUNICIPAL OBLIGATIONS -- 32.5% ALASKA -- 0.1% 2,250 Valdez, Alaska, Marine Terminal, Arco Transportation Project, Ser. B, Rev., Adj., 2.00%, 05/01/31 2,251 ARIZONA -- 0.8% 4,000 Northern Arizona Capital Facilities Finance Corp., Northern Arizona University Project, Student Housing, Ser. A, Rev., Adj., 4.00%, 08/01/33 4,055 15,000 Salt River Project Agricultural Improvement & Power District, Salt River Project, Electric System, Ser. A, Rev., 5.25%, 01/01/06 16,158 ------------------------------------------------------------ 20,213 ------------------------------------------------------------ CALIFORNIA -- 4.9% 8,830 Bay Area Governments Association, Bay Area Rapid Transit, FTA Capital Grant, Ser. A, Rev., AMBAC, 5.00%, 06/15/08 + 8,857 50,000 California State, Ser. B, Rev., RAN, 2.00%, 06/16/04 + 50,169 10,000 California Statewide Communities Development Authority, Kaiser Permanente, Ser. C, Adj., Rev., 3.70%, 11/01/29 + 10,312 2,900 Grant Joint Union High School District, COP, Bridge Funding Program, Adj., FSA, 0.98%, 07/01/18 + 2,900 $ 9,200 Grant Joint Union High School District, COP, Bridge Funding Program, Adj., FSA, 0.98%, 07/01/37 + $ 9,200 10,000 Los Angeles County Sanitation Districts Financing Authority, Capital Project, Ser.A, Rev., FSA, 4.00%, 10/01/05 + 10,522 5,000 Los Angeles Department of Water & Power, Waterworks, Ser. B, Rev., MBIA, 3.50%, 07/01/04 + 5,081 16,500 Sacramento County Sanitation District, Ser. A, Rev., 5.88%, 12/01/27 17,953 9,000 Santa Clara County Financing Authority, Measure B Transportation Improvement Program, Rev., 4.00%, 08/01/05 9,381 1,813 University of California, COP, 5.43%, 04/15/04 1,821 ------------------------------------------------------------ 126,196 ------------------------------------------------------------ COLORADO -- 0.5% 12,650 Denver City & County, Ser. A, GO, 5.25%, 08/01/05 + 13,495 CONNECTICUT -- 0.4% 10,500 Connecticut State, Recovery Note, Ser. A, GO,4.00%, 12/01/05 + 11,078 DISTRICT OF COLUMBIA -- 0.1% 3,075 District of Columbia, Ser. A-2, GO, Adj., MBIA, 1.15%, 06/01/19 + 3,075 FLORIDA -- 0.4% 1,175 Bay County, Hospital Systems, Bay Medical Center Project, Rev., (p), 8.00%, 10/01/04 + 1,249 3,820 Boca Place Associates LTD, Senior Certificates, Beneficial Ownership, Rev., 4.65%, 02/01/04 + 3,852 5,000 Miami-Dade County, Water & Sewer, Rev., MBIA, 5.00%, 10/01/07 + 5,545 ------------------------------------------------------------ 10,646 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 30
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED GEORGIA -- 1.9% $ 8,000 Burke County Development Authority, PCR, Ser.1994, Rev., Adj., 2.50%, 10/01/32 + $ 8,000 12,310 Henry County School District, GO, FGIC, 5.00%, 04/01/07 + 13,473 6,940 Metropolitan Atlanta Rapid Transportation Authority, Second Indenture, Ser. A, Rev., FSA, 5.00%, 07/01/07 + 7,629 19,525 Milledgeviille & Baldwin County Development Authority, Georgia College & State University Foundation, Student Housing, Rev., Adj., 5.00%, 09/01/32 20,094 ------------------------------------------------------------ 49,196 ------------------------------------------------------------ ILLINOIS -- 0.8% 7,000 Chicago Board of Education, FLOATS, Ser. SG-103, Adj., 1.10%, 12/01/20 + 7,000 1,700 Illinois Health Facilities Authority, Lifelink Corp. Obligation Group, Ser. B, Rev., (p), 8.00%, 02/15/05 + 1,842 10,765 Illinois State, 1st Ser., GO, 5.00%, 08/01/07 + 11,849 ------------------------------------------------------------ 20,691 ------------------------------------------------------------ INDIANA -- 0.5% 12,505 Indiana Municipal Power Agency, Power Supply Systems, FLOATS, Ser. PT-1412, Rev., Adj., AMBAC, 1.10%, 01/01/19 + 12,505 KENTUCKY -- 0.4% 10,275 Kentucky Asset Liability Commission, Ser. A, Rev. (p), 3.50%, 11/01/03 + 10,275 MAINE -- 0.1% 1,500 Maine Veterans Homes, Rev., (p), 7.75%, 10/01/05 + 1,707 MARYLAND -- 0.9% $ 2,375 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. B, Rev., Adj., 1.80%, 07/01/27 + $ 2,375 10,535 Washington Suburban Sanitation District, Water Supply, GO, 4.00%, 06/01/05 10,995 8,000 Washington Suburban Sanitation District, Water Supply, GO, 5.25%, 06/01/07 8,915 ------------------------------------------------------------ 22,285 ------------------------------------------------------------ MASSACHUSETTS -- 1.3% 8,000 Chelsea, Massuchusetts, Ser. B, GO, BAN, 4.00%, 04/15/05 + 8,307 2,430 Lowell, Massachusetts, State Qualified, GO, MBIA, 5.00%, 10/15/08 + 2,717 4,270 Lowell, Massachusetts, State Qualified, GO, MBIA, 5.00%, 10/15/09 + 4,783 10,000 Massachusetts State, CONS, Ser. C, GO, 5.75%, 10/01/08 + 11,434 5,000 Massachusetts State, CONS, Ser. E, GO, 5.50%, 01/01/08 + 5,584 ------------------------------------------------------------ 32,825 ------------------------------------------------------------ MICHIGAN -- 1.5% 9,000 Central Michigan University, Ser. B, Rev., Adj., FGIC, 1.75%, 10/01/15 + 9,000 13,060 Michigan Municipal Bond Authority, Government Loan Program, Ser. C, Rev., 5.00%, 05/01/08 + 14,504 1,225 Michigan State Hospital Finance Authority, Sparrow Obligation Group, Rev., 5.00%, 11/15/03 1,227 2,555 Michigan State Hospital Finance Authority, Trinity Health, Ser. A, Rev., 5.50%, 12/01/04 2,666 10,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 3.80%, 06/01/14 10,302 ------------------------------------------------------------ 37,699 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 31
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MINNESOTA -- 1.6% $ 6,345 Minneapolis, Minnesota, GO, 4.00%, 12/01/06 $ 6,778 10,000 Southern Minnesota Municipal Power Agency, Power Supply Systems, Ser. A, Rev., 5.00%, 01/01/04 10,059 22,890 Washington County Housing & Redevelopment Authority, Multi-Family Housing, FLOATS, Ser. PT-702, Rev., 1.13%, 12/31/03 22,890 ------------------------------------------------------------ 39,727 ------------------------------------------------------------ MISSOURI -- 0.1% 3,185 Kansas City School District Building Corp., Capital Improvements Project, Ser. A, Rev., 5.00%, 02/01/08 + 3,522 MULTIPLE STATES -- 2.3% 1,880 MBIA Capital Corp., FLOATS, 1.20%, 01/14/16 + 1,880 660 Puttable Floating Option Tax-Exempt Receipts, FLOATS, 1.25%, 03/14/06 + 660 46,930 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-12, 1.25%, 07/01/24 46,931 8,850 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-38, Mode A, Adj., 1.06%, 12/01/18 8,850 ------------------------------------------------------------ 58,321 ------------------------------------------------------------ NEBRASKA -- 0.6% 14,000 Nebraska Public Power District, Construction Notes, Rev., 3.50%, 12/01/03 14,028 NEW JERSEY -- 0.2% 6,255 New Jersey Economic Development Authority, Service Contract, Taxable Economic Fund, Ser. B, Rev., MBIA, 2.00%, 03/15/04 6,275 NEW YORK -- 4.6% $ 5,000 Long Island Power Authority, Electric Systems, Ser. A, Rev., 4.50%, 06/01/05 + $ 5,209 12,750 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/05 + 13,382 6,200 New York City Municipal Water Finance Authority, Water & Sewer System, FLOATS, Ser. PA-446, Rev., Adj., FGIC, 1.07%, 11/06/03 6,200 5,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 5,645 1,060 New York City, New York, Ser. 2002-B, GO, 7.50%, 02/01/06 1,072 10,000 New York City, New York, Ser. C, GO, 5.00%, 08/01/05 10,575 15,350 New York City, New York, Ser. G, GO, 5.00%, 08/01/06 16,545 5,000 New York State Dormitory Authority, Fourth Generation, City University System, Ser. A, Rev., CONS, 5.00%, 07/01/06 5,397 3,925 New York State Dormitory Authority, Mount Sinai School of Medicine, Rev., MBIA, 5.00%, 07/01/06 4,269 15,000 New York State Thruway Authority, Service Contract, Taxable, Ser. B, Rev., 2.59%, 03/15/06 + 15,020 4,950 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.00%, 01/01/07 5,373 28,425 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.25%, 01/01/21 31,280 ------------------------------------------------------------ 119,967 ------------------------------------------------------------ NORTH CAROLINA -- 0.1% 1,800 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 2.95%, 01/01/04 1,802
SEE NOTES TO FINANCIAL STATEMENTS. 32
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OHIO -- 0.1% $ 2,500 Ohio State Air Quality Development Authority, Pollution Control, Ohio Edison Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 $ 2,582 OKLAHOMA -- 0.3% 7,000 Tulsa County Industrial Authority, Healthcare, St. Francis Hospital, Inc., Ser. B, Rev., Adj., 5.15%, 12/15/18 7,029 OREGON -- 0.9% 20,000 Oregon State Department of Administrative Services, Rev., FSA, 5.00%, 09/01/08 22,339 PUERTO RICO -- 2.3% 5,940 Puerto Rico Commonwealth, GO, FGIC, 5.00%, 07/01/05 6,305 14,250 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA, 5.00%, 07/01/28 15,762 7,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 07/01/07 7,641 16,605 Puerto Rico Municipal Finance Agency, Ser. A, Rev., 4.00%, 08/01/04 16,954 10,000 Puerto Rico Public Buildings Authority, Government Facilities, Ser. A, Rev., AMBAC, (p), 5.50%, 07/01/05 10,855 ------------------------------------------------------------ 57,517 ------------------------------------------------------------ RHODE ISLAND -- 0.1% 2,500 Rhode Island Housing & Mortgage Finance Corp., Hometown Opportunity Notes, Ser. 41-C, Rev., 3.38%, 11/01/05 2,569 SOUTH CAROLINA -- 0.4% 9,250 South Carolina State Public Service Authority, Ser. D, Rev., FSA, 4.00%, 01/01/08 9,850 TEXAS -- 2.3% $ 9,400 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 06/01/30 + $ 9,795 19,465 Houston, Texas, Public Improvement, GO, MBIA, 5.00%, 03/01/08 + 21,472 2,000 Lewisville, Texas, Combination Contract, Special Assessment, Castle Hills No. 3 Project, Rev., 4.13%, 05/01/31 + 2,105 4,150 Matagorda County Navigation District No 1, PCR, Central Power & Light Co., Ser. A, Rev., Adj, 4.55%, 04/01/04 + 4,335 6,070 San Antonio, Texas, Electric & Gas, FLOATS, Ser. SG-101, (p), 1.10%, 02/01/07 6,070 10,000 San Antonio, Texas, Electric & Gas, Rev., 5.25%, 02/01/09 11,178 3,700 San Antonio, Texas, General Improvement, GO, 3.00%, 08/01/04 3,753 ------------------------------------------------------------ 58,708 ------------------------------------------------------------ VERMONT -- 0.2% 4,700 Vermont Student Assistance Corp., Ser KK, Rev., AMBAC, 0.95%, 11/30/03 4,700 VIRGIN ISLANDS -- 0.2% 3,570 University of the Virgin Islands, Ser. A, Rev., (p), 7.70%, 10/01/04 3,853 VIRGINIA -- 0.1% 2,265 Loudoun County, Ser. B, GO, 3.00%, 10/01/04 + 2,306 WASHINGTON -- 0.4% 4,000 Washington Health Care Facilities Authority, Multicare Health Systems, Rev., MBIA, 4.38%, 08/15/04 4,104
SEE NOTES TO FINANCIAL STATEMENTS. 33
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED WASHINGTON -- CONTINUED $ 4760 Washington State, Department of Ecology, COP, AMBAC, 4.50%, 04/01/08 $ 5,163 ------------------------------------------------------------ 9,267 ------------------------------------------------------------ WEST VIRGINIA -- 0.1% 1,545 Morgantown, West Virginia, Sewer Systems, Rev., (p), 7.25%, 06/01/05 1,641 WISCONSIN -- 1.0% 6,250 Wisconsin Health & Educational Facilities Authority, Ser. 1999A, Rev., Adj., 4.45%, 05/01/29 (i) # 6,467 5,000 Wisconsin State Health & Educational Facilities, 1.10%, 12/31/50 (i) # 5,000 3,755 Wisconsin State Health & Educational Facilities Authority, Hospital Charity Obligation Group, Ser. D, Rev., Adj., (p), 4.90%, 11/01/05 3,941 3,075 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Rev., 3.40%, 05/15/07 3,080 5,680 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 5,710 ------------------------------------------------------------ 24,198 ------------------------------------------------------------ Total State and Municipal Obligations 824,338 (Cost $819,542) ------------------------------------------------------------ CORPORATE NOTES & BONDS -- 8.3% AUTOMOTIVE -- 0.6% 1,900 General Motors Acceptance Corp., 6.75%, 01/15/06 + 2,026 12,850 DaimlerChrysler N.A. Holding Corp., 1.94%, 09/26/05, Ser. D, MTN, FRN + 12,827 ------------------------------------------------------------ 14,853 ------------------------------------------------------------ BANKING -- 0.3% 7,450 Wachovia Corp., 3.50%, 08/15/08 7,386 COMPUTERS/COMPUTER HARDWARE -- 0.6% $ 15,100 International Business Machines Corp., 1.27%, 09/10/04, FRN + $ 15,113 FINANCIAL SERVICES -- 5.2% 11,100 CIT Group, Inc., 4.00%, 05/08/08 + 11,188 9,600 Credit Suisse First Boston USA, Inc., 5.75%, 04/15/07 + 10,399 5,615 International Lease Finance Corp., 4.00%, 01/17/06, Ser. O, MTN + 5,775 6,700 MBNA Corp., 4.63%, 09/15/08 + 6,843 22,185 CIT Group, Inc., 2.66%, 01/31/05, MTN, FRN + 22,551 9,925 Countrywide Home Loans, Inc., 3.50%, 12/19/05, Ser. K, MTN + 10,120 Counts Trusts, 8,250 1.91%, 08/15/07, Ser. 2002-10, FRN, # + 8,217 8,250 1.96%, 08/15/07, Ser. 2002-11, FRN, # + 8,250 22,550 General Motors Acceptance Corp., 2.41%, 10/20/05, MTN, FRN + 22,534 Restructured Asset Securities with Enhanced Returns (RACERS), 14,300 0.98%, 04/15/04, Ser. 2002-35, Class C, FRN, # 14,271 14,900 0.99%, 04/15/04, Ser. 2002-40, Class C, FRN, # 14,870 ------------------------------------------------------------ 135,018 ------------------------------------------------------------ INSURANCE -- 0.3% 8,296 ASIF Global Financing, 1.39%, 03/14/06, FRN, # + 8,300 RETAILING -- 0.2% 4,950 Safeway, Inc., FRN, 1.63%, 11/01/05 4,947 TELECOMMUNICATIONS -- 0.2% 3,875 Sprint Capital Corp., 6.00%, 01/15/07 4,118 UTILITIES -- 0.9% 7,150 FPL Group Capital, Inc., 1.88%, 03/30/05 + 7,132 4,600 Public Service Co. of Colorado, 4.38%, 10/01/08 4,719
SEE NOTES TO FINANCIAL STATEMENTS. 34
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UTILITIES -- CONTINUED $ 10,000 Basin Electric Power, 1.15%, 06/10/31, FRN, # + $ 10,001 ------------------------------------------------------------ 21,852 ------------------------------------------------------------ Total Corporate Notes & Bonds 211,587 (Cost $209,929) ------------------------------------------------------------ RESIDENTIAL MORTGAGE BACKED SECURITIES -- 0.4% COLLATERALIZED MORTGAGE OBLIGATIONS -- 0.4% Federal National Mortgage Association, 7,375 1.62%, 06/25/32, Ser. 2002-36, Class FS, FRN + 7,385 741 4.50%, 05/25/42, Ser. 2002-W4, Class A1 + 740 1,921 Government National Mortgage Association, 1.52%, 12/20/30, Ser. 2000-38, Class F, FRN + 1,926 ------------------------------------------------------------ Total Residential Mortgage Backed Securities 10,051 (Cost $10,047) ------------------------------------------------------------ ASSET BACKED SECURITIES -- 5.6% 25,250 AmeriCredit Automobile Receivables Trust, 2.75%, 10/09/07, Ser. 2003-CF, Class A3 + 25,444 11,200 Citibank Credit Card Issuance Trust, 2.14%, 03/20/08, Ser. 2003-C2, Class C2, FRN + 11,263 15,481 Countrywide Asset-Backed Certificates, 1.52%, 03/25/33, Ser. 2003-BC1, Class A1, FRN + 15,494 6,136 EQCC Trust, 1.42%, 11/25/31, Ser. 2002-1, Class 2A, FRN + 6,140 6,140 HFC Home Equity Loan Asset Backed Certificates, 1.42%, 04/20/32, Ser. 2002-2, Class A, FRN + 6,139 5,400 MBNA Master Credit Card Trust USA, 1.92%, 12/15/06, Ser. 1999-G, Class C, FRN, # + 5,393 29,446 Option One Mortgage Loan Trust, 1.54%, 02/25/33, Ser. 2003-1, Class A2, FRN 29,523 402 Peco Energy Transition Trust, 1.34%, 03/01/06, Ser. 1999-A, Class A3, FRN 402 $ 9,440 Residential Asset Mortgage Products, Inc., 1.49%, 09/25/32, Ser. 2002-RS5, FRN $ 9,455 4,971 SLM Student Loan Trust, 1.19%, 10/25/10, Ser. 2002-1, Class A1, FRN 4,971 7,650 Wachovia Asset Securitization, Inc., 1.55%, 12/25/32, Ser. 2002-HE2, Class A, FRN 7,662 19,400 WFS Financial Owner Trust, 3.25%, 05/20/11, Ser. 2003-3, Class A4 19,449 ------------------------------------------------------------ Total Asset Backed Securities 141,335 (Cost $140,969) ------------------------------------------------------------ Total Long-Term Investments 1,244,068 (Cost $1,237,353) ------------------------------------------------------------ SHORT-TERM INVESTMENTS -- 51.0% - -------------------------------------------------------------------------- STATE AND MUNICIPAL OBLIGATIONS -- 45.9% ALABAMA -- 0.8% 20,000 Jefferson County, Sewer, Ser. C-8., Rev., FRDO, FGIC, 0.98%, 11/07/03 + 20,000 ALASKA -- 0.1% 2,500 Anchorage, Alaska, Electric Utilities, Ser. D, Rev., FRDO, 1.09%, 11/06/03 + 2,500 ARIZONA -- 1.3% 15,800 Arizona Educational Loan Marketing Corp., RAMS, Sub Ser. B, Rev., FRDO, 1.05%, 11/11/03 + 15,800 2,500 Arizona Health Facilities Authority, Banner Health Systems, Ser. B, Rev., FRDO, AMBAC, 1.00%, 11/12/03 + 2,500 3,000 Arizona Student Loan Acquisition Authority, RAMS, Senior Ser. A-1, Rev., FRDO, 0.95%, 11/16/03 + 3,000 8,000 Arizona Student Loan Acquisition Authority, Ser. A-3, Rev., FRDO, 0.95%, 11/22/03 + 8,000 3,225 Scottsdale IDA, Hospital, Scottsdale Healthcare, Ser. A, Rev., FRDO, 0.95%, 11/11/03 3,225 ------------------------------------------------------------ 32,525 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 35
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED CALIFORNIA -- 2.5% $ 6,310 California Housing Finance Agency, FLOATS, Ser. PT-843, Rev., FRDO, 1.19%, 11/06/03 + $ 6,310 6,000 California State Department of Water Resources, Power Supply, Ser. C-8, Rev., FRDO, 1.00%, 11/05/03 + 6,000 28,984 California State, Ser. 819-D, GO, FRDO, AMBAC, 1.15%, 11/06/03 + 28,984 15,800 California State, Ser. F8G, FLOATS, FRDO, Rev., 0.95%, 12/20/03 + 15,796 1,000 Chela Financial USA, Inc., California Student Loan, ACES, Senior Ser. C-4, Rev., FRDO, 1.13%, 11/19/03 + 1,000 5,500 Student Education Loan Marketing Corp., Sub Ser. IV-C-1, Rev., FRDO, 1.00%, 11/28/03 5,500 ------------------------------------------------------------ 63,590 ------------------------------------------------------------ COLORADO -- 1.1% 1,300 Colorado Housing & Finance Authority, Class I, Rev., FRDO, 1.10%, 11/05/03 + 1,300 1,300 Colorado Housing & Finance Authority, Multi-Family Housing, Class 1-B1, Rev., FRDO, 1.10%, 11/07/03 + 1,300 1,750 Colorado Housing & Finance Authority, Multi-Family Insured Mortgage, Ser. AA, Rev., FRDO, MBIA, 1.10%, 11/05/03 + 1,750 5,900 Colorado Student Obligation Bond Authority, Student Loan, Ser. VII-A1, Rev., FRDO, 1.01%, 11/20/03 + 5,900 9,800 Denver City & County, Airport Sub Systems, Sub Ser. A-2, Rev., FRDO, FGIC, 0.95%, 11/12/03 + 9,800 8,825 Denver City & County, Airport Sub Systems, Sub Ser. C-3, Rev., FRDO, FGIC, 0.88%, 11/04/03 + 8,825 ------------------------------------------------------------ 28,875 ------------------------------------------------------------ CONNECTICUT -- 0.2% $ 5,700 Connecticut State Health & Educational Facilities Authority, Wesleyan University, Ser. D, Rev., FRDO, 1.09%, 11/07/03 + $ 5,700 DISTRICT OF COLUMBIA -- 4.0% 3,000 District of Columbia, George Washington University, Ser. C, Rev., FRDO, MBIA, 1.10%, 11/05/03 + 3,000 12,150 District of Columbia, Georgetown University, Ser. A, Rev., FRDO, MBIA, 0.93%, 11/22/03 + 12,150 20,800 District of Columbia, Georgetown University, Ser. C, Rev., FRDO, MBIA, 0.95%, 11/06/03 + 20,800 8,255 District of Columbia, Georgetown University, Ser. D, Rev., FRDO, MBIA, 0.95%, 11/06/03 + 8,255 15,000 District of Columbia, Ser. A-1, GO, FRDO, MBIA, 0.95%, 11/15/03 + 15,000 22,500 District of Columbia, Ser. B, GO, FRDO, FSA, 1.10%, 11/06/03 + 22,500 22,500 District of Columbia, Ser. B-2, GO, FRDO, MBIA, 0.90%, 11/15/03 + 22,500 ------------------------------------------------------------ 104,205 ------------------------------------------------------------ FLORIDA -- 0.7% 10,150 Miami-Dade County School Board, COP, Ser. B, FRDO, AMBAC, 1.03%, 11/23/03 + 10,150 6,875 Orlando & Orange County Expressway Authority, Ser. C-2, Rev., FRDO, FSA, 1.00%, 11/04/03 6,875 ------------------------------------------------------------ 17,025 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 36
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED GEORGIA -- 0.9% $ 4,000 Fulton County Development Authority, Lovett School Project, Rev., FRDO, 1.05%, 11/04/03 + $ 4,000 5,000 Fulton County Development Authority, Piedmont Medical Center Project, Ser. B, Rev., FRDO, MBIA, 0.90%, 11/17/03 + 5,000 4,000 Gwinnett County Hospital Authority, Gwinnett Hospital Systems, Inc. Project, Anticipation Certificates, Rev., RAN, FRDO, 1.05%, 11/06/03 + 4,000 9,385 Municipal Electric Authority of Georgia, Project One, Ser. C, Rev., FRDO, FSA, 1.00%, 11/05/03 9,385 ------------------------------------------------------------ 22,385 ------------------------------------------------------------ ILLINOIS -- 2.1% 7,000 Chicago Metropolitan Water Reclamation District, Ser. A, GO, FRDO, 1.10%, 11/05/03 + 7,000 16,100 Chicago, Illinois Water Authority, Rev., FRDO, 1.00%, 11/05/03 + 16,100 4,300 Galesburg, Illinois, Knox College Project, Rev., FRDO, 1.14%, 11/06/03 + 4,300 19,150 Illinois Development Finance Authority, Provena Health, Ser. B, Rev., FRDO, MBIA, 0.88%, 11/21/03 + 19,150 1,450 Illinois Health Facilities Authority, RockfordMemorial Hospital Group, Rev., FRDO, AMBAC, 1.00%, 11/28/03 + 1,450 2,000 Illinois Student Assistance Commission, ACES, Ser. KK, Rev., FRDO, 0.85%, 11/30/03 + 2,000 3,700 Springfield, Illinois, Electric, Sub Lien, Rev., FRDO, MBIA, 0.90%, 11/20/03 3,700 ------------------------------------------------------------ 53,700 ------------------------------------------------------------ INDIANA -- 2.0% 21,675 Indiana Health Facility Financing Authority, Acension Health, Ser. E, Rev., FRDO, 0.97%, 11/20/03 + 21,675 $ 10,000 Indiana Health Facility Financing Authority, Hospitals, Clarian Health, Ser. B, Rev., FRDO, MBIA, 0.91%, 11/26/03 + $ 10,000 10,000 Indiana Health Facility Financing Authority, Hospitals, Clarian Health, Ser. I, Rev., FRDO, 1.01%, 11/04/03 + 10,000 8,415 Indiana University, Student Residence Systems, Rev., FRDO, 1.03%, 11/05/03 + 8,415 ------------------------------------------------------------ 50,090 ------------------------------------------------------------ KANSAS -- 0.1% 3,000 Burlington, Kansas, Environmental Improvement, Kansas City Power & Light Project, Ser. C, Rev., FRDO, 2.25%, 03/01/04 + 2,998 KENTUCKY -- 0.5% 10,000 Kenton County Airport Board, Special Facilities, Airis Cincinnati LLC, Ser. A, Rev., FRDO, 1.15%, 11/05/03 + 10,000 2,950 Ohio County, PCR, Big Rivers Electric Project, Ser. A, Rev., FRDO, AMBAC, 0.90%, 11/01/03 2,950 ------------------------------------------------------------ 12,950 ------------------------------------------------------------ LOUISIANA -- 0.6% 2,400 Louisiana Public Facilities Authority, Student Loan, Ser. A-3, Rev., FRDO, MBIA, 0.96%, 11/28/03 + 2,400 12,800 Louisiana Public Facilities Authority, Wills-Knighton Medical Center, Ser. 1993, Rev., FRDO, AMBAC, 0.88%, 11/01/03 + 12,800 ------------------------------------------------------------ 15,200 ------------------------------------------------------------ MARYLAND -- 1.6% 35,450 Baltimore, Maryland, Public Improvement, Ser. A, GO, CONS, FRDO, FSA, 1.00%, 11/18/03 + 35,449
SEE NOTES TO FINANCIAL STATEMENTS. 37
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED MARYLAND -- CONTINUED $ 5,212 Maryland State Health & Higher Educational Facilities Authority, Floater, Ser. 825, Rev., FRDO, AMBAC, 1.05%, 11/06/03 + $ 5,212 ------------------------------------------------------------ 40,661 ------------------------------------------------------------ MASSACHUSETTS -- 2.2% 15,000 Massachusetts Health & Educational Facilities Authority, Northeastern University, Ser. N, Rev., FRDO, MBIA, 1.00%, 11/23/03 + 15,000 4,350 Massachusetts Health & Educational Facilities Authority, Tufts University, Ser. G, Rev., FRDO, 1.05%, 11/14/03 + 4,350 8,050 Massachusetts Housing Finance Agency, Ser. F, Rev., FRDO, FSA, 1.00%, 11/05/03 + 8,050 6,375 Massachusetts State Water Resources Authority, Ser. D, Rev., FRDO, AMBAC, 0.95%, 11/08/03 + 6,375 21,000 Route 3 North Transit Improvement Association, Ser. B, Rev., FRDO, AMBAC, 1.10%, 11/06/03 21,000 ------------------------------------------------------------ 54,775 ------------------------------------------------------------ MICHIGAN -- 3.3% 18,885 Michigan State Building Authority, Multi-Modal Facilties Program, Ser. II, Rev., FRDO, 1.00%, 11/06/03 18,885 4,500 Michigan State Hospital Finance Authority, Ascension Health Group, Ser. B-6, Rev., FRDO, MBIA, 0.85%, 11/13/03 4,500 11,800 Michigan State Hospital Financing Authority, Acension Health Group, Ser. B-5, Rev., FRDO, MBIA, 0.90%, 11/13/03 11,800 19,920 Saline Area Schools, GO, FRDO, 1.05%, 11/04/03 19,920 13,340 University of Michigan, Rev., FRDO, 1.03%, 11/06/03 13,340 $ 3,000 Wayne State University, General Purpose, Rev.,FRDO, AMBAC, 1.00%, 11/26/03 $ 3,000 12,300 Western Michigan University, Ser. A, Rev., FRDO, AMBAC, 0.95%, 11/20/03 12,300 ------------------------------------------------------------ 83,745 ------------------------------------------------------------ MINNESOTA -- 0.2% 5,000 Northern Municipal Power Agency, Minnesota Electric Systems, Ser. A-1, Rev., FRDO, MBIA, 0.88%, 11/05/03 5,000 MISSISSIPPI -- 0.1% 1,700 Mississippi Higher Education Assistance Corp., Student Loan, Ser. A, Rev., FRDO, 0.95%, 11/11/03 1,700 MISSOURI -- 1.6% 10,000 Missouri State Health & Educational Facilities Authority, Mercy Health Systems, Ser. C, Rev., FRDO, AMBAC, 0.91%, 11/26/03 10,000 19,500 Missouri State Health & Educational Facilities Authority, Ascension Health, Ser. C-1, Rev., FRDO, 1.00%, 11/13/03 19,500 10,000 Missouri State Health & Educational Facilities Authority, Mercy Health Systems, Ser. B, Rev., FRDO, AMBAC, 0.90%, 11/26/03 10,000 ------------------------------------------------------------ 39,500 ------------------------------------------------------------ MONTANA -- 0.6% 4,000 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 0.95%, 11/01/03 4,000 11,600 Montana Higher Education Student Assistance Corp., Student Loan, Senior Ser. A, Rev., FRDO, 1.04%, 11/01/03 11,600 ------------------------------------------------------------ 15,600 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 38
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED MULTIPLE STATES -- 1.2% $ 29,746 Puttable Floating Option Tax-Exempt Receipts, FLOATS, Ser. PPT-34, FRDO, 1.06%, 11/06/03 $ 29,746 NEVADA -- 0.3% 7,225 Las Vegas Valley Water District, Municipal Trust Certificates, Ser. ZTC-51, Class A, GO, FRDO, MBIA, 1.20%, 11/06/03 + 7,225 NEW HAMPSHIRE -- 0.1% 3,000 New Hampshire Health & Education Facilities Authority, Higher Education Loans, Ser. A, Rev., FRDO, 0.95%, 11/25/03 3,000 NEW JERSEY -- 0.6% 8,300 New Jersey Sports & Exposition Authority, State Contract, Ser. C, Rev., FRDO, MBIA, 1.00%, 11/03/03 8,300 700 New Jersey State Turnpike Authority, Ser. D-2, Rev., FRDO, FSA, 0.85%, 11/09/03 700 5,200 North Hudson Sewerage Authority Sewer Revenue, Ser. B, Rev., FRDO, MBIA, 1.00%, 11/06/03 5,200 ------------------------------------------------------------ 14,200 ------------------------------------------------------------ NEW MEXICO -- 0.4% 5,000 New Mexico Educational Assistance Foundation, Student Loan Project, Senior Ser. A-1, Rev., FRDO, 0.92%, 11/01/03 5,000 4,000 New Mexico Educational Assistance Foundation, Student Loan Project, Senior Ser. A-1, Rev., FRDO, 0.83%, 11/06/03 4,000 ------------------------------------------------------------ 9,000 ------------------------------------------------------------ NEW YORK -- 2.9% $ 23,950 Metropolitan Transportation Authority, Dedicated Tax Fund, Ser. B, Rev., FRDO, FSA, 1.02%, 11/06/03 + $ 23,950 7,500 New York City Municipal Water Finance Authority, Ser. A-11, Rev., FRDO, FSA, 0.90%, 11/07/03 7,500 4,795 New York City, New York, Sub Ser. A-8, GO, FRDO, AMBAC, 0.95%, 11/06/03 4,795 1 New York State Environmental Facilities Corp., Clean Water & Drinking, FLOATS, Ser. 731, Rev., FRDO, 1.08%, 11/06/03 1 16,550 New York State Urban Development Corp., Correctional Facilities, Sub Ser. B-7, Rev., FRDO, AMBAC, 0.88%, 11/26/03 16,550 15,500 New York State Energy Research & Development Authority, Consolidated Edison Co., Subser. A-2, Rev., FRDO, AMBAC, 0.90%, 11/29/03 15,500 5,400 New York State, Power Authority, General Purpose, GO, FRDO, 0.90%, 04/15/04 5,399 ------------------------------------------------------------ 73,695 ------------------------------------------------------------ NORTH CAROLINA -- 1.2% 5,000 Guilford County, Ser. C, GO, FRDO, 1.05%, 11/05/03 + 5,000 6,355 North Carolina Housing Finance Agency, Appalachian Student Housing, Ser. A, Rev., FRDO, 1.00%, 11/03/03 6,355 2,000 Wake County Industrial Facilities & Pollution Control Financing Authority, Ser. E, Rev., FRDO, AMBAC, 0.87%, 11/13/03 2,000 17,475 Wake County Industrial Facilities & Pollution Control Financing Authority, Ser. G, Rev., FRDO, AMBAC, 0.95%, 11/13/03 17,475 ------------------------------------------------------------ 30,830 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 39
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED OHIO -- 1.2% $ 7,500 Franklin County, Hospital, OhioHealth Corp., Ser. A, Rev., FRDO, MBIA, 0.95%, 11/27/03 + $ 7,500 8,000 Ohio State Air Quality Development Authority, Cincinnati Gas & Electric, Ser. A, Rev., FRDO, 1.30%, 11/05/03 8,000 12,000 Ohio State, Infrastructure Improvement, Ser. B, GO, FRDO, 1.00%, 11/05/03 12,000 4,150 Student Loan Funding Corp., Ser. A-7, Rev., FRDO, 0.95%, 11/01/03 4,150 ------------------------------------------------------------ 31,650 ------------------------------------------------------------ OKLAHOMA -- 0.3% 8,300 Oklahoma Student Loan Authority, ACES, Ser. A-1, Rev., FRDO, 0.95%, 11/21/03 8,300 PENNSYLVANIA -- 1.6% 2,000 ABN AMRO Munitops Certificate Trust, Ser. 1999-16, Class V, FRDO, MBIA, 1.11%, 11/06/03 + 2,000 9,760 Beaver County IDA, Ohio Edison Co. Project, Ser. A, Rev., FRDO, 4.65%, 12/01/03 + 9,869 1,605 Beaver County IDA, PCR, Ser. D, Rev., FRDO, AMBAC, 0.95%, 11/01/03 + 1,605 1,600 Delaware County IDA, PCR, Electric Co., Rev., FRDO, FGIC, 0.92%, 11/02/03 + 1,600 5,000 Erie County Hospital Authority, Floaters, Ser. 820, Rev., FRDO, MBIA, 1.11%, 11/06/03 + 5,000 1,500 Harrisburg Authority, Water, Ser. B, Rev., FRDO, FSA, 1.10%, 11/06/03 + 1,500 18,000 Pennsylvania Economic Development Financing Authority, Reliant Energy Seward LLC Project, Ser. B, Rev., FRDO, 1.10%, 11/04/03 18,000 ------------------------------------------------------------ 39,574 ------------------------------------------------------------ RHODE ISLAND -- 1.1% $ 8,000 Rhode Island State & Providence Plantations, FLOATS, Ser. 720, GO, FRDO, FGIC, 1.11%, 11/06/03 $ 8,000 10,500 Rhode Island Student Loan Authority, ACES, Ser. 1, Rev., FRDO, AMBAC, 1.00%, 11/19/03 10,500 200 Rhode Island Student Loan Authority, ACES, Ser. A, Rev., FRDO, 0.93%, 11/21/03 200 9,700 Rhode Island Student Loan Authority, Ser. 1, Rev., FRDO, AMBAC, 0.95%, 11/06/03 9,700 ------------------------------------------------------------ 28,400 ------------------------------------------------------------ SOUTH CAROLINA -- 0.6% 6,000 Greenville Hospital Systems, Ser. C, Rev., FRDO, AMBAC, 1.07%, 11/01/03 + 6,000 4,500 South Carolina State Education Assistance Authority, Rev., FRDO, 1.00%, 11/17/03 4,500 4,500 South Carolina State Education Assistance Authority, Student Loan, Senior Lien, Ser. A, Rev, FRDO, 0.90%, 11/30/03 4,500 ------------------------------------------------------------ 15,000 ------------------------------------------------------------ SOUTH DAKOTA -- 0.4% 10,800 Education Loans, Inc., South Dakota Student Loan, ACES, Ser. 1-A, Rev., FRDO, 0.95%, 11/19/03 + 10,800 TENNESSEE -- 0.5% 5,000 Blount County Public Building Authority, Local Government Public Improvement, Ser. C-2-A, Rev., FRDO, AMBAC, 1.00%, 11/08/03 + 5,000 6,500 Educational Funding South, Inc., Tennessee Educational Loan, ACES, Ser. A-2, Rev., FRDO, 1.10%, 11/18/03 + 6,500 ------------------------------------------------------------ 11,500 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- CONTINUED TEXAS -- 1.6% $ 10,000 Brazos Higher Education Authority, ACES, Student Loan, Senior Lien, Ser. A-1, Rev., FRDO, 0.95%, 11/27/03 + $ 10,000 10,000 Harris County Health Facilities Development Authority, Hospital, Memorial Hermann, Ser. B, Rev., FRDO, FSA, 0.97%, 11/17/03 + 10,000 9,800 Harris County Health Facilities Development Authority, Stars Memorial Hospital, Ser. B, Rev., FRDO, MBIA, 0.95%, 11/12/03 + 9,800 8,000 Houston, Texas, Hotel Occupancy, Convention & Entertainment, Ser. C-1, Rev., FRDO, AMBAC, 1.00%, 11/08/03 + 8,000 3,584 Texas State, Veterans Housing Assistance Fund I, GO, FRDO, 1.07%, 11/04/03 3,584 ------------------------------------------------------------ 41,384 ------------------------------------------------------------ UTAH -- 1.6% 19,450 Utah State Board of Regents, Student Loan, ACES, Ser. A, Class II, Rev., FRDO, 0.88%, 11/06/03 19,450 20,000 Utah Transit Authority, Sales Tax & Transportation, Utah Light Rail Transit, Rev., FRDO, 1.00%, 11/03/03 20,000 ------------------------------------------------------------ 39,450 ------------------------------------------------------------ VIRGINIA -- 0.2% 6,000 Virginia Commonwealth Transportation Board, FLOATS, Ser. 727, Rev., FRDO, 1.11%, 11/06/03 6,000 WASHINGTON -- 0.9% 23,050 Washington State Public Power Supply System, Project No. 3, Electric, Ser. 3A, Rev., FRDO, MBIA, 1.05%, 11/06/03 23,050 WEST VIRGINIA -- 1.2% $ 31,500 West Virginia State Parkways Economic Development & Tourism Authority, Rev., FRDO, FGIC, 1.08%, 11/04/03 $ 31,499 WISCONSIN -- 0.6% 6,055 Milwaukee Metropolitan Sewerage District, Municipal Trust Certificates, Ser. ZTC-53, Class A, GO, FRDO, 1.20%, 11/05/03 6,055 10,375 Wisconsin Public Power, Inc., Power Supply Systems, Ser. B, Rev., FRDO, MBIA, 0.93%, 11/24/03 10,375 ------------------------------------------------------------ 16,430 ------------------------------------------------------------ WYOMING -- 0.9% 8,000 Wyoming Student Loan Corp., ACES, Ser. A, Rev., FRDO, 0.95%, 11/17/03 8,000 4,000 Wyoming Student Loan Corp., ACES, Ser. A, Rev., FRDO, 0.97%, 11/24/03 4,000 5,800 Wyoming Student Loan Corp., ACES, Ser. B, Rev., FRDO, 0.92%, 11/01/03 5,800 5,000 Wyoming Student Loan Corp., ACES, Ser. B, Rev., FRDO, 0.97%, 11/18/03 5,000 ------------------------------------------------------------ 22,800 ------------------------------------------------------------ Total State and Municipal Obligations 1,166,257 (Cost $1,166,272) ------------------------------------------------------------ U.S. TREASURY SECURITY -- 0.1% 3,000 U.S. Treasury Bill, 0.92%, 01/29/04 @ + 2,993 (Cost $2,993) SHARES - -------------------------------------------------------------------------- MONEY MARKET FUND -- 5.0% 126,006 JPMorgan Tax Free Money Market Fund (a) 126,006 (Cost $126,006) ------------------------------------------------------------ Total Short-Term Investments 1,295,256 (Cost $1,295,271) ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 2,539,324 (COST $2,532,624) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 41 FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD) - ---------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 766 30 Day Federal Funds February, 2004 $ 315,873 $ (119) 2,238 Eurodollar December, 2003 548,002 (1,560) SHORT FUTURES OUTSTANDING (1,360) 2 Year Treasury Notes December, 2003 (291,678) (2,124) (281) 5 Year Treasury Notes December, 2003 (31,419) (63)
SWAP CONTRACT
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) - ---------------------------------------------------------------------------------------------------------------------- Swap-price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 2.63%, 05/15/08, price less 98.10, Fund pays positive, receives negative 11/18/03 $ 65,700 $ 80
SEE NOTES TO FINANCIAL STATEMENTS. 42 JPMorgan Tax Aware Large Cap Growth Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100.0% COMMON STOCKS -- 100.0% AEROSPACE -- 2.2% 69 United Technologies Corp. $ 5,818 BANKING -- 1.4% 65 Fifth Third Bancorp 3,750 BIOTECHNOLOGY -- 4.7% 100 Amgen, Inc.* 6,158 69 Gilead Sciences, Inc.* 3,744 94 MedImmune, Inc.* 2,514 ------------------------------------------------------------ 12,416 ------------------------------------------------------------ BUSINESS SERVICES -- 2.1% 159 First Data Corp. 5,676 COMPUTER NETWORKS -- 4.2% 526 Cisco Systems, Inc.* 11,032 COMPUTER SOFTWARE -- 8.5% 670 Microsoft Corp. 17,520 277 Oracle Corp.* 3,312 48 VERITAS Software Corp.* 1,735 ------------------------------------------------------------ 22,567 ------------------------------------------------------------ COMPUTERS/COMPUTER HARDWARE -- 5.4% 206 Dell, Inc.* 7,430 78 International Business Machines Corp. 6,962 ------------------------------------------------------------ 14,392 ------------------------------------------------------------ CONSUMER PRODUCTS -- 5.0% 74 Colgate-Palmolive Co. 3,915 67 Procter & Gamble Co. 6,573 90 The Gillette Co. 2,871 ------------------------------------------------------------ 13,359 ------------------------------------------------------------ CONSUMER SERVICES -- 1.4% 104 Weight Watchers International, Inc.* 3,838 DIVERSIFIED -- 4.1% 372 General Electric Co. 10,777 ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.1% 49 Emerson Electric Co. $ 2,792 FINANCIAL SERVICES -- 6.7% 146 American Express Co. 6,871 80 Citigroup, Inc. 3,811 53 Goldman Sachs Group, Inc. 5,005 25 Legg Mason, Inc. 2,081 ------------------------------------------------------------ 17,768 ------------------------------------------------------------ FOOD/BEVERAGE PRODUCTS -- 5.1% 138 Sysco Corp. 4,642 190 The Coca-Cola Co. 8,816 ------------------------------------------------------------ 13,458 ------------------------------------------------------------ HEALTH CARE/HEALTH CARE SERVICES -- 1.1% 61 Medtronic, Inc. 2,793 INSURANCE -- 2.8% 66 AMBAC Financial Group, Inc. 4,654 44 American International Group, Inc. 2,689 ------------------------------------------------------------ 7,343 ------------------------------------------------------------ INTERNET SERVICES/SOFTWARE -- 1.5% 109 InterActiveCorp* 3,994 MANUFACTURING -- 2.0% 74 Illinois Tool Works, Inc. 5,435 MULTI-MEDIA -- 3.2% 65 Comcast Corp., Special Class A* 2,123 112 Viacom, Inc., Class B 4,465 84 Walt Disney Co. 1,904 ------------------------------------------------------------ 8,492 ------------------------------------------------------------ OIL & GAS -- 1.0% 72 Exxon Mobil Corp. 2,626 PHARMACEUTICALS -- 15.1% 167 Abbott Laboratories 7,105 70 Eli Lilly & Co. 4,683 231 Johnson & Johnson 11,614
SEE NOTES TO FINANCIAL STATEMENTS. 43
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PHARMACEUTICALS -- CONTINUED 300 Pfizer, Inc. $ 9,480 54 Teva Pharmaceutical Industries LTD (Israel), ADR 3,089 98 Wyeth 4,335 ------------------------------------------------------------ 40,306 ------------------------------------------------------------ RESTAURANTS/FOOD SERVICES -- 2.1% 160 Yum! Brands, Inc.* 5,462 RETAILING -- 8.8% 84 Bed Bath & Beyond, Inc.* 3,565 83 Family Dollar Stores 3,624 140 Home Depot, Inc. 5,205 187 Wal-Mart Stores, Inc. 11,006 ------------------------------------------------------------ 23,400 ------------------------------------------------------------ SEMI-CONDUCTORS -- 9.4% 145 Altera Corp.* 2,941 513 Intel Corp. 16,949 123 Linear Technology Corp. 5,229 ------------------------------------------------------------ 25,119 ------------------------------------------------------------ TELECOMMUNICATIONS EQUIPMENT -- 1.1% 172 Nokia OYJ (Finland), ADR $ 2,929 ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 265,542 (COST $251,426) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 44 JPMorgan Tax Aware Large Cap Value Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 100% COMMON STOCKS -- 100.0% AEROSPACE -- 1.8% 233 Raytheon Co. $ 6,170 APPAREL -- 1.8% 178 Jones Apparel Group, Inc. 6,155 AUTOMOTIVE -- 2.1% 67 Johnson Controls, Inc. 7,237 BANKING -- 9.3% 70 Bank of America Corp. 5,301 195 Bank One Corp. 8,261 219 U.S. Bancorp 5,964 109 Wachovia Corp. 5,018 139 Wells Fargo & Co. 7,817 ------------------------------------------------------------ 32,361 ------------------------------------------------------------ BUSINESS SERVICES -- 1.8% 263 Accenture LTD (Bermuda), Class A* 6,164 CHEMICALS -- 2.4% 121 Praxair, Inc. 8,384 COMPUTERS/COMPUTER HARDWARE -- 3.2% 204 Hewlett-Packard Co. 4,540 72 International Business Machines Corp.6,476 ------------------------------------------------------------ 11,016 ------------------------------------------------------------ CONSUMER PRODUCTS -- 5.1% 146 Altria Group, Inc. 6,808 84 Black & Decker Corp. 4,030 70 Procter & Gamble Co. 6,905 ------------------------------------------------------------ 17,743 ------------------------------------------------------------ DIVERSIFIED -- 1.8% 307 Tyco International LTD (Bermuda) 6,406 FINANCIAL SERVICES -- 17.9% 245 CIT Group, Inc. 8,230 425 Citigroup, Inc. 20,148 101 Fannie Mae 7,205 38 Freddie Mac 2,110 109 Goldman Sachs Group, Inc. $ 10,217 254 Janus Capital Group, Inc. 3,593 110 Merrill Lynch & Co., Inc. 6,512 99 Washington Mutual, Inc. 4,309 ------------------------------------------------------------ 62,324 ------------------------------------------------------------ FOOD/BEVERAGE PRODUCTS -- 2.3% 120 Kraft Foods, Inc., Class A 3,492 95 The Coca-Cola Co. 4,417 ------------------------------------------------------------ 7,909 ------------------------------------------------------------ INSURANCE -- 7.6% 145 AMBAC Financial Group, Inc. 10,285 114 RenaissanceRe Holdings LTD (Bermuda) 5,128 230 The Allstate Corp. 9,081 60 Willis Group Holdings LTD (United Kingdom) 1,985 ------------------------------------------------------------ 26,479 ------------------------------------------------------------ MANUFACTURING -- 2.1% 139 Honeywell International, Inc. 4,260 184 Timken Co. 3,093 ------------------------------------------------------------ 7,353 ------------------------------------------------------------ METALS/MINING -- 2.4% 260 Alcoa, Inc. 8,196 MULTI-MEDIA -- 5.3% 234 Comcast Corp., Special Class A* 7,646 65 Gannett Co., Inc. 5,501 511 Liberty Media Corp., Class A* 5,160 ------------------------------------------------------------ 18,307 ------------------------------------------------------------ OIL & GAS -- 11.7% 45 Anadarko Petroleum Corp. 1,945 169 Baker Hughes, Inc. 4,762 81 ChevronTexaco Corp. 6,055 136 ConocoPhillips 7,761 425 Exxon Mobil Corp. 15,562 206 GlobalSantaFe Corp. 4,630 ------------------------------------------------------------ 40,715 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 45
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PACKAGING -- 2.0% 449 Smurfit-Stone Container Corp.* $ 6,966 PAPER/FOREST PRODUCTS -- 1.1% 93 Bowater, Inc. 3,805 PHARMACEUTICALS -- 2.8% 87 Johnson & Johnson 4,379 156 Schering-Plough Corp. 2,376 69 Wyeth 3,027 ------------------------------------------------------------ 9,782 ------------------------------------------------------------ REAL ESTATE INVESTMENT TRUST -- 1.0% 129 Archstone-Smith Trust 3,439 RESTAURANTS/FOOD SERVICES -- 2.0% 283 McDonald's Corp. 7,065 RETAILING -- 4.7% 235 CVS Corp. 8,281 378 The TJX Companies, Inc. 7,943 ------------------------------------------------------------ 16,224 ------------------------------------------------------------ TELECOMMUNICATIONS -- 4.7% 255 SBC Communications, Inc. 6,112 304 Verizon Communications, Inc. 10,205 ------------------------------------------------------------ 16,317 ------------------------------------------------------------ UTILITIES -- 3.1% 210 American Electric Power Co., Inc. $ 5,922 134 Pinnacle West Capital Corp. 4,914 ------------------------------------------------------------ 10,836 ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 347,353 (COST $344,072) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 46 JPMorgan Tax Aware Short-Intermediate Income Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.2% U.S. GOVERNMENT AGENCY SECURITIES -- 0.4% $ 2,350 Student Loan Marketing Association, 2.99%, 12/15/22, Ser. 2003-11, Class A5, # $ 2,349 (Cost $2,349) U.S. TREASURY SECURITIES -- 0.0% ^ 200 U.S. Treasury Notes & Bonds, 2.00%, 08/31/05 @ + 201 (Cost $201) STATE AND MUNICIPAL OBLIGATIONS -- 84.0% ALABAMA -- 0.6% 1,000 Alabama State Docks Department, Dock Facilities, Rev., MBIA, 6.00%, 10/01/06 + 1,120 1,000 Alabama State Public School & Colleges Authority, Capital Improvement, Ser. D, Rev., 5.25%, 08/01/06 + 1,093 1,020 Birmingham, Ser. B, GO, AMBAC, 5.00%, 07/01/07 + 1,122 ------------------------------------------------------------ 3,335 ------------------------------------------------------------ ALASKA -- 0.2% 1,000 Valdez, Alaska, Marine Terminal, Arco Transportation Project, Ser. B, Rev., Adj., 2.00%, 05/01/31 1,000 ARIZONA -- 6.0% 8,365 Arizona State Transportation Board, Ser. A, Rev., 5.00%, 07/01/09 + 9,343 1,000 Maricopa County School District No. 6-Washington Elementary, Ser. B, GO, 7.10%, 07/01/06 + 1,135 1,250 Maricopa County Unified School District No. 80-Chandler, GO, FSA, 4.00%, 07/01/06 + 1,324 7,300 Maricopa County Unified School District No. 97-Deer Valley, GO, FGIC, 5.00%, 07/01/10 + 8,133 2,000 Northern Arizona University, Rev., FGIC, 4.00%, 06/01/06 2,117 $ 2,900 Peoria Municipal Development Authority, Inc., Rev., AMBAC, 5.00%, 07/01/06 $ 3,147 8,175 Salt River Project Agricultural Improvement & Power District, Salt River Project, Electric System, Ser. A, Rev., 5.25%, 01/01/06 8,806 1,090 Salt River Project Agricultural Improvement & Power District, Salt River Project, Electric Systems, Ser. A, Rev., 5.75%, 01/01/07 1,216 ------------------------------------------------------------ 35,221 ------------------------------------------------------------ CALIFORNIA -- 2.6% 7,000 California State Department of Water Resources, Power Supply, Ser. A, Rev., MBIA, 5.25%, 05/01/10 + 7,813 1,000 California State, GO, 7.00%, 08/01/07 + 1,155 1,000 Central Valley School District Financing Authority, Ser. A, Rev., MBIA, 6.20%, 02/01/10 + 1,178 3,500 Sacramento County Sanitation District, Ser. A, Rev., 5.875%, 12/01/27 3,808 1,000 Santa Clara County Financing Authority, Measure B Transportation Improvement Program, Rev., 4.00%, 08/01/05 1,042 ------------------------------------------------------------ 14,996 ------------------------------------------------------------ COLORADO -- 1.1% 1,540 Colorado Department of Transportation, Ser. A, TRAN, Rev., 5.00%, 06/15/06 + 1,669 2,000 E-470 Public Highway Authority, Ser. C, Rev., MBIA, 6.00%, 09/01/06 + 2,235 2,390 Metro Wastewater Reclamation District, Ser. 2002-A, Rev., 5.25%, 04/01/07 + 2,643 ------------------------------------------------------------ 6,547 ------------------------------------------------------------ CONNECTICUT -- 2.5% 3,500 Connecticut State Development Authority, PCR, Rev., AMBAC, 3.35%, 05/01/31 + 3,522 10,000 Connecticut State, Ser. D, GO, FSA, 5.00%, 08/01/08 + 11,136 ------------------------------------------------------------ 14,658 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED DISTRICT OF COLUMBIA -- 0.4% $ 2,000 Washington Metropolitan Area Transit Authority, Rev., FGIC, 6.00%, 07/01/07 $ 2,275 FLORIDA -- 0.8% 3,000 Dade County School District, GO, AMBAC, 5.20%, 07/15/06 + 3,280 1,000 Escambia County Health Facilities Authority, Ascension Health Credit, Ser. A, Rev., 5.00%, 11/15/06 + 1,087 ------------------------------------------------------------ 4,367 ------------------------------------------------------------ GEORGIA -- 0.3% 1,680 Fulco Hospital Authority, Health Systems, Catholic Health East, Ser. A, Rev., RAC, MBIA, 5.50%, 11/15/08 + 1,906 HAWAII -- 0.4% 1,850 Honolulu City & County, Ser. A, GO, FGIC, 7.35%, 07/01/06 + 2,116 ILLINOIS -- 5.9% 2,500 Chicago Metropolitan Water Reclamation District-Greater Chicago, GO, 5.85%, 12/01/05 + 2,724 3,750 Du Page Water Commission, Rev., 5.00%, 05/01/06 + 4,047 1,015 Grundy County School District No. 54 Morris, Ser. A, GO, AMBAC, 5.50%, 12/01/08 + 1,155 4,000 Illinois Development Finance Authority, PCR, Gas Supply, Peoples Gas Light & Coke, Ser. B, Rev., Adj., AMBAC, 3.05%, 02/01/33 + 4,051 2,500 Illinois Development Finance Authority, PCR, Illinois Power Company Project, Ser. A, Rev., (p), 7.38%, 07/01/06 + 2,911 1,350 Illinois Health Facilities Authority, University of Chicago Hospital System, Rev., MBIA, 5.00%, 08/15/07 + 1,483 1,315 Illinois State, 1st Ser., GO, 5.00%, 10/01/05 + 1,402 $ 5,000 Illinois State, 1st Ser., GO, 5.00%, 08/01/07 + $ 5,503 1,400 Illinois State, Sales Tax, Rev., 4.00%, 06/15/06 + 1,480 9,000 Northern Illinois University, Auxiliary Facilities Systems, Rev., (p), FGIC, 5.75%, 04/01/07 10,128 ------------------------------------------------------------ 34,884 ------------------------------------------------------------ INDIANA -- 0.9% 3,500 Indiana Transportation Finance Authority, Aiport Facilities Lease, Ser. A, Rev., AMBAC, 6.00%, 11/01/06 + 3,927 1,010 St. Joseph County Hospital Authority, Health System, Ser. A, Rev., MBIA, 5.50%, 08/15/08 1,130 ------------------------------------------------------------ 5,057 ------------------------------------------------------------ IOWA -- 0.4% 1,895 Iowa Finance Authority, Hospital Facility, Memorial Health System, Ser. A, Rev., MBIA, 5.25%, 07/01/07 + 2,072 KENTUCKY -- 0.2% 1,000 Owensboro, Kentucky, Electric Light & Power, Rev., (p), 6.85%, 01/01/08 1,105 LOUISIANA -- 1.0% 5,000 Louisiana State, Ser. 2003A, GO, FGIC, 5.25%, 05/01/07 + 5,531 MARYLAND -- 5.0% 2,000 Maryland State Health & Higher Educational Facilities Authority, Johns Hopkins Hospital, Ser. A, Rev., 4.50%, 08/01/05 + 2,103 11,525 Maryland State, State and Local Facilities, Second Series, GO, 5.00%, 08/01/07 + 12,764 12,440 University System of Maryland, Auxiliary Facilities & Tuition, Ser. A, Rev., 5.00%, 04/01/08 13,773 ------------------------------------------------------------ 28,640 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MASSACHUSETTS -- 2.6% $ 1,400 Holyoke, Massachusetts, Ser. B, GO, FSA, 6.00%, 06/15/06 + $ 1,555 4,790 Massachusetts State, CONS, Ser. A, GO, MBIA, (p), 5.25%, 01/01/06 + 5,211 3,515 Massachusetts State, CONS, Ser. C, GO, 5.25%, 12/01/07 + 3,927 1,000 Massachusetts State, CONS, Ser. D, GO, 5.25%, 08/01/07 + 1,109 3,000 Massachusetts State, Ser. A, GO, 6.00%, 11/01/06 + 3,358 ------------------------------------------------------------ 15,160 ------------------------------------------------------------ MICHIGAN -- 1.8% 1,605 Detroit, Michigan, Sewer Disposal, Ser. A, Rev., MBIA, (p), 5.00%, 07/01/05 + 1,704 4,005 Michigan Municipal Bond Authority, Local Government Loan Program, Ser. C, Rev., 5.00%, 05/01/11 + 4,429 3,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., Adj., 5.38%, 11/15/33 + 3,322 1,000 Michigan Strategic Fund, Dow Chemical Project, Rev., Adj., 4.60%, 06/01/14 + 1,060 ------------------------------------------------------------ 10,515 ------------------------------------------------------------ MINNESOTA -- 1.0% 5,000 Minnesota State, GO, 5.00%, 08/01/10 + 5,603 MISSISSIPPI -- 1.0% 5,550 Jackson, Mississippi, Water and Sewer System, Rev., FSA, 5.00%, 09/01/06 + 6,048 NEVADA -- 1.0% 1,270 Henderson, Nevada Water & Sewage, Ser. C, GO, 5.00%, 06/01/06 + 1,372 3,795 University Of Nevada, Community College System, Ser. A, Rev., FSA, 5.00%, 07/01/07 4,186 ------------------------------------------------------------ 5,558 ------------------------------------------------------------ NEW JERSEY -- 5.2% $ 1,280 Essex County, Ser. A-1, GO, FGIC, 6.00%, 11/15/05 + $ 1,398 1,595 New Jersey Building Authority, Rev., 5.50%, 06/15/06 @ + 1,746 2,000 New Jersey State Transit Corp., Ser. B, Rev., GAN, AMBAC, 5.50%, 02/01/06 + 2,168 11,575 New Jersey State, Ser. J, GO, 5.00%, 07/15/08 + 12,856 1,000 New Jersey State, Variable Purpose, GO, 5.00%, 08/01/06 + 1,088 2,000 New Jersey Transportation Trust Fund Authority, Transportation Systems, Ser. C, Rev., 5.38%, 12/15/07 + 2,242 2,910 Perth Amboy, New Jersey, General Improvement, GO, FSA, 5.00%, 09/01/06 3,173 1,530 Perth Amboy, New Jersey, General Improvement, GO, FSA, 5.10%, 09/01/07 1,696 3,165 Perth Amboy, New Jersey, General Improvement, GO, FSA, 5.20%, 09/01/08 3,559 ------------------------------------------------------------ 29,926 ------------------------------------------------------------ NEW MEXICO -- 0.2% 1,000 New Mexico State Highway Commission, Sub Lien, Ser. B, Rev., 5.00%, 06/15/06 + 1,083 NEW YORK -- 15.2% 9,000 Long Island Power Authority, Electric Systems, Rev., MBIA, 5.00%, 04/01/08 + 9,965 1,400 Long Island Power Authority, Electric Systems, Ser. 8, Sub Ser. 8-F, Rev., Adj., MBIA, 5.00%, 04/01/11 + 1,512 1,780 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/05 + 1,868 3,500 Long Island Power Authority, Electric Systems, Ser. B, Rev., 5.00%, 06/01/06 + 3,753 2,500 Municipal Assistance Corp. for the City of New York, Ser. G, Rev., 6.00%, 07/01/06 + 2,781 2,800 Municipal Assistance Corp. for the City of New York, Ser. O, Rev., 5.25%, 07/01/08 + 3,141 2,000 New York City Health & Hospital Corp., Health Systems, Ser. A, Rev., AMBAC, 5.00%, 02/15/09 + 2,209
SEE NOTES TO FINANCIAL STATEMENTS. 49
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED NEW YORK -- CONTINUED $ 5,000 New York City Municipal Water Finance Authority, Water & Sewer System, Ser. B, Rev., MBIA, 5.80%, 06/15/29 + $ 5,645 2,615 New York City Transitional Finance Authority, Future Tax Secured, Ser. A, Rev., 5.00%, 08/01/07 + 2,880 2,000 New York City Transitional Finance Authority, Future Tax Secured, Ser. B, Rev., Adj., 5.25%, 02/01/29 + 2,194 800 New York City, New York, Ser. B, GO, 5.10%, 08/01/08 + 871 5,000 New York City, New York, Ser. D, GO, MBIA, 6.20%, 02/01/07 + 5,603 1,400 New York City, New York, Ser. F, GO, 5.70%, 08/01/06 + 1,535 3,000 New York City, New York, Ser. G, GO, 5.00%, 08/01/07 + 3,265 1,800 New York Convention Center Operating Corp., Yale Building Acquisition Project, COP, 5.25%, 06/01/08 + 1,813 1,000 New York State Dormitory Authority, City University System, Ser. E, Rev, 5.75%, 07/01/06 + 1,099 8,505 New York State Dormitory Authority, Fourth Generation, City University System, Ser. A, Rev., CONS, 5.00%, 07/01/06 + 9,180 5,000 New York State Dormitory Authority, School Districts Financing Program, Ser. D, Rev., MBIA, 5.00%, 10/01/09 + 5,580 6,000 New York State Thruway Authority, Service Contract, Local Highway & Bridge, Ser. A, Rev., 5.00%, 03/15/09 6,598 13,100 New York State Urban Development Corp., Correctional & Youth Facilities Services, Ser. A, Rev., 5.25%, 01/01/21 14,415 2,390 Triborough Bridge & Tunnel Authority, General Purpose, Ser. SR, Rev., (p), 5.00%, 01/01/07 2,522 ------------------------------------------------------------ 88,429 ------------------------------------------------------------ NORTH CAROLINA -- 0.3% $ 1,000 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 2.95%, 01/01/04 $ 1,001 500 North Carolina Municipal Power Agency No. 1, Catawba, Taxable, Ser. B, Rev., 3.26%, 01/01/05 502 ------------------------------------------------------------ 1,503 ------------------------------------------------------------ OHIO -- 6.0% 5,000 Columbus, Ohio, GO, 5.00%, 01/01/07 + 5,460 2,000 Columbus, Ohio, GO, 5.25%, 01/01/08 + 2,233 2,035 Columbus, Ohio, Water System, Rev., 5.00%, 11/01/05 + 2,179 3,500 Gateway Economic Development Corporation, Greater Cleveland Excise Tax, FSA, 5.13%, 09/01/05 + 3,722 2,500 Ohio State Air Quality Development Authority, Ohio Edison Project, Ser. A, Rev., Adj., AMBAC, 3.25%, 02/01/15 2,540 500 Ohio State Air Quality Development Authority, Pollution Control, Ohio Edison Project, Ser. C, Rev., Adj., 5.80%, 06/01/16 516 2,500 Ohio State Water Development Authority, PCR, Rev., 4.00%, 12/01/06 2,669 2,600 Ohio State, Common School Capital Facilities, Ser. A, GO, 5.75%, 06/15/06 2,868 5,000 Ohio State, Highway Capital Improvements, Ser. F, GO, 5.25%, 05/01/09 5,637 2,000 Ohio State, Infrastructure Improvement, Ser. A, GO, 4.50%, 08/01/04 2,051 3,300 Ohio State, Major New State Infrastructure, Rev., 5.00%, 06/15/05 3,488 1,150 Ohio State, Major New State Infrastructure, Rev., 5.00%, 06/15/07 1,265 ------------------------------------------------------------ 34,628 ------------------------------------------------------------ OREGON -- 2.3% 2,095 Oregon State Department of Administrative Services, Rev., FSA, 2.50%, 09/01/04 2,120 7,960 Oregon State Department of Administrative Services, Rev., FSA, 5.00%, 09/01/08 8,891
SEE NOTES TO FINANCIAL STATEMENTS. 50
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OREGON -- CONTINUED $ 2,000 Tri-County Metropolitan Transportation District, Light Rail Extension, Ser. A, GO, 5.00%, 07/01/05 $ 2,122 ------------------------------------------------------------ 13,133 ------------------------------------------------------------ PENNSYLVANIA -- 2.6% 4,350 Cumberland County Municipal Authority, First Mortgage, Carlisle Hospital & Health, Rev., (p), 6.80%, 11/15/04 + 4,687 3,095 Pennslyvania Turnpike Commission, Common Oil Franchise Tax, Sub Ser. B, Rev., MBIA, 3.00%, 12/01/04 3,157 1,000 Pennsylvania IDA, Economic Development, Rev., AMBAC, 7.00%, 07/01/06 1,135 2,000 Philadelphia, Pennsyvania, Water & Wastewater Systems, Ser. 1999, Rev., AMBAC, 5.00%, 12/15/05 2,149 1,000 Pittsburgh, Pennsylvania, Ser. 2002-2004,2006,2008 & 2009, GO, AMBAC, 5.00%, 09/01/06 1,084 2,540 Pittsburgh, Pennsylvania, Ser. A, GO, MBIA, 6.00%, 03/01/06 2,779 ------------------------------------------------------------ 14,991 ------------------------------------------------------------ PUERTO RICO -- 2.7% 1,000 Puerto Rico Commonwealth, GO, 5.30%, 07/01/04 1,027 10,000 Puerto Rico Commonwealth, Ser. C, Adj., GO, MBIA, 5.00%, 07/01/28 11,061 3,000 Puerto Rico Highway & Transportation Authority, Ser. AA, Rev., 5.00%, 07/01/07 3,275 ------------------------------------------------------------ 15,363 ------------------------------------------------------------ SOUTH CAROLINA -- 0.6% 1,305 Charleston, South Carolina, Public Facilities Corp., COP, 5.00%, 09/01/12 + 1,435 1,715 Piedmont Municipal Power Agency, Electric, Ser. A, Rev, FGIC, 6.25%, 01/01/05 1,815 ------------------------------------------------------------ 3,250 ------------------------------------------------------------ TEXAS -- 5.5% $ 1,065 Bexar County Health Facilities Development Corp., Baptist Memorial Hospital System Project, Rev., MBIA, (p), 6.63%, 02/15/13 + $ 1,133 2,000 Brazos River Authority, PCR, Utilities Electric Co., Ser. B, Rev., Adj., 5.05%, 06/01/30 + 2,084 1,155 College Station, Texas, Ultililty Systems, Rev., FSA, 4.50%, 02/01/07 + 1,245 2,990 Houston, Texas, Hotel Occupancy Tax, Convention & Entertainment, Ser. A, Rev., AMBAC, 5.00%, 09/01/06 + 3,257 2,790 Lower Colorado River Authority, Transmission Contract, Rev., FSA, 5.00%, 05/15/07 + 3,068 2,300 Matagorda County Navigation District No 1, PCR, Central Power & Light Co., Ser. A, Rev., Adj, 4.55%, 11/01/29 + 2,403 5,250 North Texas Tollway Authority, Dallas North Tollway Systems, Ser. C, Rev., Adj., FGIC, 5.00%, 01/01/18 5,797 1,065 San Antonio, Texas, Water, Rev., FGIC, 6.00%, 05/15/06 1,178 2,430 Texas Public Finance Authority, Taxable, Unemployment Compensation, Ser. B, Rev., 2.00%, 06/15/05 2,424 2,500 Texas State, Ser. A, GO, 6.00%, 10/01/05 2,713 3,000 Travis County Health Facilities Development Corp., Ascension Health Credit, Ser. A, Rev., MBIA, 5.75%, 11/15/07 3,362 3,025 University of Houston, CONS, Ser. B, Rev., FSA, 5.00%, 02/15/06 3,251 ------------------------------------------------------------ 31,915 ------------------------------------------------------------ UTAH -- 1.3% 6,605 Utah State, Ser. B, GO, 5.25%, 07/01/08 7,424 VIRGINIA -- 2.2% 2,610 Peninsula Ports Authority, Dominion Terminal Association Project, Rev., Adj., 3.30%, 10/01/33 2,609
SEE NOTES TO FINANCIAL STATEMENTS. 51
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED VIRGINIA -- CONTINUED $ 9,540 Prince William County, Public Improvement, Ser. A, GO, 5.50%, 08/01/05 $ 10,226 ------------------------------------------------------------ 12,835 ------------------------------------------------------------ WASHINGTON -- 3.6% 5,000 Clark County Public Utility District No. 1, Generating Systems, Rev., FGIC, (p), 6.00%, 01/01/07 + 5,620 1,070 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/01/06 + 1,161 1,175 Conservation & Renewable Energy System, Conservation Project, Rev., 5.00%, 10/01/07 + 1,290 2,200 Lewis County Public Utility District No. 1, Cowlitz Falls Hydroelectric Facilities, Rev., 5.00%, 10/01/06 + 2,391 2,000 Snohomish County Public Utility District No 1, Electric, Rev., 5.00%, 12/01/05 2,131 2,160 Snohomish County School District No 15 Edmonds, Ser. B, GO, FSA, 5.00%, 12/01/06 2,370 3,275 Snohomish County, Limited Tax, GO, 5.00%, 12/01/08 3,647 1,310 Tacoma, Washington, Conservation System Project, Rev., 5.00%, 12/01/07 1,446 1,000 Washington Public Power Supply System, Nuclear Project No. 2., Ser. A, Rev., 4.80%, 07/01/04 1,024 ------------------------------------------------------------ 21,080 ------------------------------------------------------------ WISCONSIN -- 0.6% 2,500 Wisconsin State Health & Educational Facilities Authority, Ministry Health Care, Inc., Ser. B, Rev., 3.50%, 05/15/07 2,513 1,035 Wisconsin State, Ser. C, GO, MBIA, 5.00%, 05/01/07 1,135 ------------------------------------------------------------ 3,648 ------------------------------------------------------------ Total State and Municipal Obligations 485,802 (Cost $482,502) ------------------------------------------------------------ CORPORATE NOTES & BONDS -- 2.4% AUTOMOTIVE -- 0.1% $ 360 General Motors Acceptance Corp., 6.75%, 01/15/06 + $ 384 BANKING -- 0.2% 1,100 Wachovia Corp., 3.50%, 08/15/08 1,091 COMPUTERS/COMPUTER HARDWARE -- 0.1% 750 Hewlett-Packard Co., 3.625%, 03/15/08 + 748 FINANCIAL SERVICES -- 0.7% 1,200 CIT Group, Inc., 4.00%, 05/08/08 + 1,210 400 Credit Suisse First Boston USA, Inc., 5.75%, 04/15/07 + 433 550 Household Finance Corp., 1.95%, 01/15/04, FRN, MTN + 551 400 International Lease Finance Corp., 4.00%, 01/17/06, Ser. O, MTN + 411 1,200 MBNA Corp., 4.625%, 09/15/08 + 1,226 ------------------------------------------------------------ 3,831 ------------------------------------------------------------ TELECOMMUNICATIONS -- 0.9% 1,750 France Telecom (France), 8.45%, 03/01/06 + 1,959 Sprint Capital Corp., 355 6.00%, 01/15/07 377 1,400 7.13%, 01/30/06 1,514 1,600 Telecom Italia Capital (Luxembourg), 4.00%, 11/15/08, # 1,598 ------------------------------------------------------------ 5,448 ------------------------------------------------------------ UTILITIES -- 0.4% 1,400 FPL Group Capital, Inc., 1.875%, 03/30/05 + 1,396 800 Public Service Co. of Colorado, 4.375%, 10/01/08 821 2,217 ------------------------------------------------------------ Total Corporate Notes & Bonds 13,719 (Cost $13,615) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 52
PRINCIPAL AMOUNT ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RESIDENTIAL MORTGAGE BACKED SECURITIES -- 7.1% MORTGAGE BACKED PASS-THROUGH SECURITIES -- 7.1% Federal National Mortgage Association, $ 15,500 5.50%, 11/25/33, TBA $ 15,640 24,700 6.00%, 01/25/33, TBA 25,179 ------------------------------------------------------------ Total Residential Mortgage Backed Securities 40,819 (Cost $40,750) ------------------------------------------------------------ ASSET BACKED SECURITIES -- 2.3% 4,575 AmeriCredit Automobile Receivables Trust, 3.48%, 05/06/10, Ser. 2003-CF, Class A4 + 4,616 5,000 Triad Auto Receivables Owner Trust, 3.20%, 12/13/10, Ser. 2003-B, Class A 45,005 3,900 Volkswagen Auto Loan Enhanced Trust, 2.94%, 03/22/10, Ser. 2003-2, Class A4 3,899 ------------------------------------------------------------ Total Asset Backed Securities 13,520 (Cost $13,473) ------------------------------------------------------------ Total Long-Term Investments 556,410 (Cost $552,890) ------------------------------------------------------------ SHORT-TERM INVESTMENTS -- 3.8% - -------------------------------------------------------------------------- STATE AND MUNICIPAL SECURITIES -- 0.7% KANSAS -- 0.2% 1,000 Burlington, Kansas, Environmental Improvement, Kansas City Power & Light Project, Ser. C, Rev., FRDO, 2.25%, 03/01/04 + 999 MICHIGAN -- 0.2% $ 1,000 Michigan State Hospital Finance Authority, Ascension Health Credit, Ser. B, Rev., FRDO, 5.20%, 11/01/03 + $ 1,074 PENNSYLVANIA -- 0.3% 2,000 Beaver County IDA, Ohio Edison Co. Project, Ser. A, Rev., FRDO, 4.65%, 12/01/03 + 2,022 ------------------------------------------------------------ Total State and Municipal Securities 4,095 (Cost $4,111) ------------------------------------------------------------ UNITS - -------------------------------------------------------------------------- OPTION - 0.0% ^ 13,500 Call Option On United States Treasury Note, 3.13%, 12/04/03 0^^ (Cost $20) SHARES - -------------------------------------------------------------------------- MONEY MARKET FUND -- 3.1% 17,951 JPMorgan Tax Free Money Market Fund (a) + 17,951 (Cost $17,951) ------------------------------------------------------------ Total Short-Term Investments 22,046 (Cost $22,082) ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 578,456 (COST $574,972) ------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 10/31/03 (USD) (DEPRECIATION) (USD) - --------------------------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 157 30 Day Federal Funds February, 2004 $ 64,742 $ (24) 549 Eurodollar September, 2004 134,430 (380) SHORT FUTURES OUTSTANDING (72) 2 Year Treasury Notes December, 2003 (15,442) (118) (510) 5 Year Treasury Notes December, 2003 (57,024) (1,056)
SEE NOTES TO FINANCIAL STATEMENTS. 53 OPTION
UNITS CALL OPTION WRITTEN VALUE - --------------------------------------------------------------------------------------------------------------- (16,600) Call Option on FNMA, 30 Year Fixed, 5.50%, strike price of 101.84, expiring 11/06/03, European Style $ (5)
SWAP CONTRACTS
UNDERLYING UNREALIZED NOTIONAL APPRECIATION DESCRIPTIONS EXPIRATION DATE VALUE (DEPRECIATION) - --------------------------------------------------------------------------------------------------------------- Swap-price lock with Citibank on U.S. Treasury Note, 1.63%, 04/30/05, price less 100.38, Fund receives negative, pays positive 11/03/03 $ 22,350 $ 56 Swap-price lock with Lehman Brothers Special Financing on U.S. Treasury Note, 2.63%, 05/15/08, price less 98.10, Fund receives negative, pays positive 11/17/03 29,796 36
SEE NOTES TO FINANCIAL STATEMENTS. 54 JPMorgan Tax Aware U.S. Equity Fund PORTFOLIO OF INVESTMENTS (Amounts in thousands) AS OF OCTOBER 31, 2003
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.6% COMMON STOCKS -- 97.6% AEROSPACE -- 2.4% 200 Raytheon Co. $ 5,296 143 United Technologies Corp. 12,111 ------------------------------------------------------------ 17,407 ------------------------------------------------------------ APPAREL -- 0.7% 143 Jones Apparel Group, Inc. 4,934 AUTOMOTIVE -- 2.0% 136 Johnson Controls, Inc. 14,656 BANKING -- 5.2% 288 Bank One Corp. 12,226 115 FleetBoston Financial Corp. 4,645 163 Mellon Financial Corp. 4,869 612 U.S. Bancorp 16,648 ------------------------------------------------------------ 38,388 ------------------------------------------------------------ BIOTECHNOLOGY -- 1.5% 131 Amgen, Inc.* 8,078 110 MedImmune, Inc.* 2,933 ------------------------------------------------------------ 11,011 ------------------------------------------------------------ BUSINESS SERVICES -- 1.7% 266 Accenture LTD (Bermuda), Class A* 6,224 84 First Data Corp. 2,999 125 SunGard Data Systems, Inc.* 3,506 ------------------------------------------------------------ 12,729 ------------------------------------------------------------ CHEMICALS -- 0.7% 110 Air Products & Chemicals, Inc. 4,995 COMPUTER NETWORKS -- 2.5% 892 Cisco Systems, Inc.* 18,709 COMPUTER SOFTWARE -- 4.1% 963 Microsoft Corp. 25,171 400 Oracle Corp.* 4,784 ------------------------------------------------------------ 29,955 ------------------------------------------------------------ COMPUTERS/COMPUTER HARDWARE -- 3.5% 234 Dell, Inc.* $ 8,454 192 International Business Machines Corp. 17,142 ------------------------------------------------------------ 25,596 ------------------------------------------------------------ CONSUMER PRODUCTS -- 4.9% 197 Altria Group, Inc. 9,144 186 Procter & Gamble Co. 18,319 280 The Gillette Co. 8,938 ------------------------------------------------------------ 36,401 ------------------------------------------------------------ DIVERSIFIED -- 4.7% 827 General Electric Co. 23,997 514 Tyco International LTD (Bermuda) 10,739 ------------------------------------------------------------ 34,736 ------------------------------------------------------------ FINANCIAL SERVICES -- 10.6% 113 Capital One Financial Corp. 6,840 67 CIT Group, Inc. 2,253 600 Citigroup, Inc. 28,420 106 Fannie Mae 7,606 130 Freddie Mac 7,297 137 Goldman Sachs Group, Inc. 12,893 125 Morgan Stanley 6,859 157 Washington Mutual, Inc. 6,864 ------------------------------------------------------------ 79,032 ------------------------------------------------------------ FOOD/BEVERAGE PRODUCTS -- 3.4% 68 Kraft Foods, Inc., Class A 1,968 184 PepsiCo, Inc. 8,775 314 The Coca-Cola Co. 14,553 ------------------------------------------------------------ 25,296 ------------------------------------------------------------ HEALTH CARE/HEALTH CARE SERVICES -- 1.5% 219 Guidant Corp. 11,171 INSURANCE -- 5.0% 198 AMBAC Financial Group, Inc. 13,990 161 American International Group, Inc. 9,789 120 RenaissanceRe Holdings LTD (Bermuda) 5,398 189 The Allstate Corp. 7,454 ------------------------------------------------------------ 36,631 ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55
SHARES ISSUER VALUE - -------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.6% MACHINERY & ENGINEERING EQUIPMENT -- 1.3% 156 Deere & Co. $ 9,481 MANUFACTURING -- 1.0% 89 Danaher Corp. 7,390 METALS/MINING -- 1.1% 246 Alcoa, Inc. 7,778 MULTI-MEDIA -- 5.3% 336 Comcast Corp., Special Class A* 10,950 55 E.W. Scripps Co., Class A 5,110 143 News Corp., LTD, ADR (Australia) 5,080 118 Tribune Co. 5,778 299 Viacom, Inc., Class B 11,907 ------------------------------------------------------------ 38,825 ------------------------------------------------------------ OIL & GAS -- 6.7% 100 Anadarko Petroleum Corp. 4,362 268 Baker Hughes, Inc. 7,568 222 ChevronTexaco Corp. 16,482 585 Exxon Mobil Corp. 21,417 ------------------------------------------------------------ 49,829 ------------------------------------------------------------ PAPER/FOREST PRODUCTS -- 1.1% 147 Temple-Inland, Inc. 7,953 PHARMACEUTICALS -- 8.9% 161 Bristol-Myers Squibb Co. 4,083 187 Eli Lilly & Co. 12,453 70 Forest Laboratories, Inc.* 3,501 226 Johnson & Johnson 11,350 726 Pfizer, Inc. 22,958 150 Schering-Plough Corp. 2,287 214 Wyeth 9,436 ------------------------------------------------------------ 66,068 ------------------------------------------------------------ RESTAURANTS/FOOD SERVICES -- 0.6% 123 Yum! Brands, Inc.* 4,199 RETAILING -- 6.9% 60 CVS Corp. $ 2,111 291 Home Depot, Inc. 10,775 241 Target Corp. 9,586 414 The TJX Companies, Inc. 8,681 347 Wal-Mart Stores, Inc. 20,430 ------------------------------------------------------------ 51,583 ------------------------------------------------------------ SEMI-CONDUCTORS -- 3.8% 170 Altera Corp.* 3,431 144 Applied Materials, Inc.* 3,377 545 Intel Corp. 18,000 73 Linear Technology Corp. 3,111 ------------------------------------------------------------ 27,919 ------------------------------------------------------------ SHIPPING/TRANSPORTATION -- 1.3% 157 Union Pacific Corp. 9,797 TELECOMMUNICATIONS -- 2.4% 267 SBC Communications, Inc. 6,411 340 Verizon Communications, Inc. 11,434 ------------------------------------------------------------ 17,845 ------------------------------------------------------------ TELECOMMUNICATIONS EQUIPMENT -- 0.7% 106 QUALCOMM, Inc. 5,030 UTILITIES -- 2.1% 125 Dominion Resources, Inc. 7,700 206 Pinnacle West Capital Corp. 7,531 ------------------------------------------------------------ 15,231 ------------------------------------------------------------ Total Common Stocks 720,575 (Cost $716,437) ------------------------------------------------------------ SHORT-TERM INVESTMENT - 2.4% - -------------------------------------------------------------------------- MONEY MARKET FUND -- 2.4% 17,577 JPMorgan Prime Money Market Fund (a) 17,577 (Cost $17,577) ------------------------------------------------------------ TOTAL INVESTMENTS -- 100.0% $ 738,152 (COST $734,014) ------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56 JPMorgan Funds Abbreviations: * -- Non-income producing security. ^ -- Amount rounds to less than 0.1%. ^^ -- Amount rounds to less than one thousand. + -- All or a portion of this security is segregated for TBA, when issued, delayed delivery, swaps or unsettled trades. # -- All or a portion of this security is a 144A or private placement security and can only be sold to qualified institutional buyers. @ -- Securities fully or partially segregated with the custodian as collateral for futures or with brokers as initial margin for futures contracts. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by JPMorgan Investment Management, Inc. (i) -- Security is considered illiquid and may be difficult to sell. (p) -- Security is prerefunded or escrowed to maturity. The maturity date shown is the date of the prerefunded call. Adj. -- Adjustable. The interest rate shown is the rate in effect at October 31, 2003. ACES -- Auction Rate Securities. ADR -- American Depository Receipt. AMBAC -- American Municipal Bond Assurance Corp. BAN -- Bond Anticipation Note. CONS -- Consolidated Bonds. COP -- Certificates of Participation. FGIC -- Financial Guaranty Insurance Co. FLOATS -- Floating Auction Tax Exempts. FRDO -- Floating Rate Demand Obligation. The maturity date shown is the next interest reset date. The interest rate shown is the rate in effect at October 31, 2003. FRN -- Floating Rate Note. The interset rate shown is the rate in effect at October 31, 2003. FSA -- Financial Securities Assistance. GAN -- Grant Anticipation Notes. GDR -- Global Depository Receipt. GO -- General Obligation Bond. IDA -- Industrial Development Authority. MBIA -- Municipal Bond Insurance Association. MTN -- Medium Term Note. PCR -- Pollution Control Revenue. RAC -- Revenue Anticipation Certificate. RAMS -- Reverse Annuity Mortgage Security. RAN -- Revenue Anticipation Note. Rev. -- Revenue Bond. Ser. -- Series. TBA -- To Be Announced. TRAN -- Tax & Revenue Anticipation Note. AUD -- Australian Dollar. CHF -- Swiss Franc. EUR -- Euro. GBP -- Great Britain Pound. HKD -- Hong Kong Dollar. JPY -- Japanese Yen. SEK -- Swedish Krona. SGD -- Singapore Dollar. USD -- United States Dollar. SEE NOTES TO FINANCIAL STATEMENTS. 57 JPMorgan Funds STATEMENT OF ASSETS AND LIABILITIES (Amounts in thousands, except per share amounts) AS OF OCTOBER 31, 2003
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND ASSETS Investment securities, at value $ 136,964 $ 180,687 $ 2,539,324 $ 265,542 Cash 896 17 175 -- Foreign currency, at value 1 -- -- -- Receivables: Investment securities sold 2,537 -- 11,575 10,863 Fund shares sold 25 11 1,556 -- Interest and dividends 229 284 11,182 318 Foreign tax reclaim 200 -- -- -- Variation margin -- -- 36 -- Unrealized appreciation on forward foreign currency exchange contracts 1,786 -- -- -- Unrealized appreciation on open swap contracts -- -- 80 -- - --------------------------------------------------------------------------------------------------------- Total Assets 142,638 180,999 2,563,928 276,723 - --------------------------------------------------------------------------------------------------------- LIABILITIES Payables: Due to custodian -- -- -- 1,248 Dividends -- -- 746 -- Investment securities purchased 241 -- 25,893 6,462 Fund shares redeemed 163 259 2,293 476 Unrealized depreciation on forward foreign currency exchange contracts 1,387 -- -- -- Accrued liabilities: Investment advisory fees 74 58 405 92 Administration fees -- 16 -- 35 Shareholder servicing fees 2 -- 106 53 Distribution fees 1 -- 5 -- Custodian fees 38 12 47 8 Trustee's fees - deferred compensation plan --^ --^ --^ 113 Other 54 41 134 35 - --------------------------------------------------------------------------------------------------------- Total Liabilities 1,960 386 29,629 8,522 - --------------------------------------------------------------------------------------------------------- Net Assets: $ 140,678 $ 180,613 $ 2,534,299 $ 268,201 - ---------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 58
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND NET ASSETS Paid in capital $ 175,938 $ 291,886 $ 2,543,087 $ 382,982 Accumulated undistributed (overdistributed) net investment income 1,911 245 (169) 29 Accumulated net realized gain (loss) on investments, futures, written options, swaps and foreign exchange transactions (59,485) (129,193) (11,533) (128,926) Net unrealized appreciation (depreciation) of investments, futures, swaps and foreign exchange translations 22,314 17,675 2,914 14,116 - --------------------------------------------------------------------------------------------------------- Total Net Assets $ 140,678 $ 180,613 $ 2,534,299 $ 268,201 - --------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 469 -- 2,220 -- Institutional 9,886 12,886 205,889 -- Select Shares -- -- 44,129 18,128 Net Asset Value: Class A (and redemption price) $ 13.36 $ -- $ 10.05 $ -- Institutional (and redemption price) $ 13.60 $ 14.02 $ 10.05 $ -- Select Shares (and redemption price) $ -- $ -- $ 10.06 $ 14.79 Class A Maximum Public Offering Price Per Share (net asset value per share/ 94.25%, 98.50%) $ 14.18 $ -- $ 10.20 $ -- Cost of investments $ 115,082 $ 163,012 $ 2,532,624 $ 251,426 - --------------------------------------------------------------------------------------------------------- Cost of foreign currency $ 1 $ -- $ -- $ -- - ---------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 59
TAX AWARE TAX AWARE TAX AWARE LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND ASSETS Investment securities, at value $ 347,353 $ 578,456 $ 738,152 Cash -- -- 26 Receivables: Investment securities sold 15,146 29,109 -- Fund shares sold 196 200 4,439 Interest and dividends 708 6,763 1,207 Unrealized appreciation on open swap contracts -- 92 -- Expense reimbursements -- -- 3 - ---------------------------------------------------------------------------------------------- Total Assets 363,403 614,620 743,827 - ---------------------------------------------------------------------------------------------- LIABILITIES Payables: Due to custodian 712 --^ -- Dividends 458 809 -- Investment securities purchased 11,546 76,200 -- Fund shares redeemed 1,573 -- 311 Outstanding options written, at fair value -- 5 -- Variation margin -- 43 -- Accrued liabilities: Investment advisory fees 116 112 277 Administration fees 44 9 30 Shareholder servicing fees 73 45 137 Distribution fees -- -- 3 Custodian fees 10 15 27 Trustee's fees - deferred compensation plan 145 1 34 Other 30 52 69 - ---------------------------------------------------------------------------------------------- Total Liabilities 14,707 77,291 888 - ---------------------------------------------------------------------------------------------- Net Assets: $ 348,696 $ 537,329 $ 742,939 - ----------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 60
TAX AWARE TAX AWARE TAX AWARE LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND NET ASSETS Paid in capital $ 382,417 $ 537,932 $ 826,059 Accumulated undistributed (overdistributed) net investment income (163) 214 824 Accumulated net realized gain (loss) on investments, futures, written options and swaps (36,839) (2,827) (88,082) Net unrealized appreciation (depreciation) of investments, futures, written options and swaps 3,281 2,010 4,138 - ---------------------------------------------------------------------------------------------- Total Net Assets $ 348,696 $ 537,329 $ 742,939 - ---------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A -- -- 317 Class B -- -- 194 Class C -- -- 25 Institutional -- 33,486 9,934 Select 18,693 20,009 42,273 Net Asset Value: Class A (and redemption price) $ -- $ -- $ 14.89 Class B* $ -- $ -- $ 14.75 Class C* $ -- $ -- $ 14.72 Institutional (and redemption price) $ -- $ 10.05 $ 10.57 Select (and redemption price) $ 18.65 $ 10.05 $ 14.90 Class A Maximum Public Offering Price Per Share (net asset value per share/94.25%) $ -- $ -- $ 15.80 Cost of investments $ 344,072 $ 574,972 $ 734,014 - ---------------------------------------------------------------------------------------------- Premiums received from options written $ -- $ 17 $ -- - ----------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 61 STATEMENT OF OPERATIONS (Amounts in thousands) FOR THE YEAR ENDED OCTOBER 31, 2003
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND INVESTMENT INCOME Interest $ 1 $ -- $ 47,089 $ -- Dividend 3,580 3,256 -- 3,094 Dividend income from affiliated investments* -- 6 1,367 43 Other income -- 23 -- -- Foreign taxes withheld (469) (1) -- -- - --------------------------------------------------------------------------------------------------------- Total investment income 3,112 3,284 48,456 3,137 - --------------------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 1,143 655 5,699 1,045 Administration fees 202 281 3,420 392 Shareholder servicing fees 144 187 2,866 653 Distribution fees 16 -- 55 -- Custodian fees 223 60 294 52 Printing and postage 12 4 75 2 Professional fees 68 52 114 69 Registration fees 52 21 116 20 Transfer agent fees 84 50 98 20 Trustees' fees 2 2 26 3 Other 13 14 82 17 - --------------------------------------------------------------------------------------------------------- Total expenses 1,959 1,326 12,845 2,273 - --------------------------------------------------------------------------------------------------------- Less amounts waived 558 297 6,102 52 Less earnings credits -- --^ 11 --^ Less expense reimbursements 5 -- -- -- - --------------------------------------------------------------------------------------------------------- Net expenses 1,396 1,029 6,732 2,221 - --------------------------------------------------------------------------------------------------------- Net investment income (loss) $ 1,716 $ 2,255 $ 41,724 $ 916 - ---------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 62
FLEMING TAX AWARE TAX AWARE TAX AWARE TAX AWARE INTERNATIONAL DISCIPLINED ENHANCED LARGE CAP OPPORTUNITIES FUND EQUITY FUND INCOME FUND GROWTH FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments $ (17,889) $ (10,786) $ (8,770) $ (29,956) Futures (191) -- 1,972 -- Written options -- -- (67) -- Swaps -- -- (4,557) -- Foreign exchange contracts 145 -- -- -- Change in net unrealized appreciation/depreciation of: Investments 43,667 44,281 4,908 63,299 Futures (63) -- (2,491) -- Swaps -- -- 80 -- Foreign currency translations 373 -- -- -- Net realized and unrealized gain (loss) on investments, futures, foreign exchange transactions, written options and swaps 26,042 33,495 (8,925) 33,343 - --------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 27,758 $ 35,750 $ 32,799 $ 34,259 - --------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ -- $ 1 $ 220 $ 6 - ---------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 63
TAX AWARE TAX AWARE TAX AWARE LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND ---------- -------------------- ----------- YEAR ENDED 12/20/02 (a) THROUGH YEAR ENDED 10/31/03 10/31/03 10/31/03 INVESTMENT INCOME Interest $ -- $ 6,804 $ -- Dividend 7,937 -- 8,546 Dividend income from affiliated investments* 41 360 164 Foreign taxes withheld (14) -- -- - ---------------------------------------------------------------------------------------------- Total investment income 7,964 7,164 8,710 - ---------------------------------------------------------------------------------------------- EXPENSES Investment advisory fees 1,326 658 2,218 Administration fees 497 395 739 Shareholder servicing fees 829 396 1,131 Distribution fees -- -- 35 Custodian fees 56 60 125 Printing and postage 1 14 17 Professional fees 56 63 58 Registration fees 19 21 60 Transfer agent fees 20 35 164 Trustees' fees 4 3 6 Other 16 9 33 - ---------------------------------------------------------------------------------------------- Total expenses 2,824 1,654 4,586 - ---------------------------------------------------------------------------------------------- Less amounts waived 6 600 468 Less earnings credits --^ 1 1 Less expense reimbursements -- -- 35 - ---------------------------------------------------------------------------------------------- Net expenses 2,818 1,053 4,082 - ---------------------------------------------------------------------------------------------- Net investment income (loss) $ 5,146 $ 6,111 $ 4,628 - ----------------------------------------------------------------------------------------------
(a) Commencement of Operations ^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 64
TAX AWARE TAX AWARE TAX AWARE LARGE CAP SHORT - INTERMEDIATE U.S. EQUITY VALUE FUND INCOME FUND FUND ---------- -------------------- ----------- YEAR ENDED 12/20/02 (a) THROUGH YEAR ENDED 10/31/03 10/31/03 10/31/03 REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS Net realized gain (loss) on transactions from: Investments $ (9,355) $ (1,809) $ (10,218) Futures -- (345) -- Written Options -- (443) -- Swaps -- (230) -- Change in net unrealized appreciation/depreciation of: Investments 60,789 3,484 100,650 Futures -- (1,578) -- Written Options -- 12 -- Swaps -- 92 -- Net realized and unrealized gain (loss) on investments, futures, written options and swaps 51,434 (817) 90,432 - ---------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 56,580 $ 5,294 $ 95,060 - ---------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees: $ 5 $ 59 $ 24 - ----------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 65 STATEMENT OF CHANGES IN NET ASSETS (Amounts in thousands) FOR THE PERIODS INDICATED
FLEMING TAX AWARE TAX AWARE INTERNATIONAL OPPORTUNITIES DISCIPLINED EQUITY FUND FUND --------------------------- ------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 10/31/03 10/31/02 10/31/03 10/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 1,716 $ 1,923 $ 2,255 $ 2,489 Net realized gain (loss) on investments, futures and foreign exchange transactions (17,935) (27,651) (10,786) (44,615) Change in net unrealized appreciation/ depreciation of investments, futures and foreign exchange translations 43,977 5,537 44,281 1,515 - ---------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 27,758 (20,191) 35,750 (40,611) - ---------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (1,586) (546) (2,258) (3,600) - ---------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (41,696) (2,720) (46,875) (74,547) - ---------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets (15,524) (23,457) (13,383) (118,758) - ---------------------------------------------------------------------------------------------------- Beginning of period 156,202 179,659 193,996 312,754 - ---------------------------------------------------------------------------------------------------- End of period $ 140,678 $ 156,202 $ 180,613 $ 193,996 - ---------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 1,911 $ 1,584 $ 245 $ 257 - ----------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 66
TAX AWARE ENHANCED INCOME FUND TAX AWARE LARGE CAP GROWTH FUND ------------------------------- ------------------------------------------ YEAR YEAR YEAR 01/01/02 11/01/01 ENDED ENDED ENDED THROUGH THROUGH 10/31/03 10/31/02 10/31/03 10/31/02 (a) 12/31/01 (b) INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income $ 41,724 $ 33,137 $ 916 $ 940 $ 415 Net realized gain (loss) on investments, futures, written options and swaps (11,422) 271 (29,956) (34,608) (3,297) Change in net unrealized appreciation/ depreciation of investments, futures and swaps 2,497 (5,319) 63,299 (62,473) 31,331 - --------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 32,799 28,089 34,259 (96,141) 28,449 - --------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (42,180) (33,310) (734) (934) (601) Net realized gain on investment transactions -- (734) -- -- -- - --------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (42,180) (34,044) (734) (934) (601) - --------------------------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 575,943 836,900 (21,850) (79,691) (17,591) - --------------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 566,562 830,945 11,675 (176,766) 10,257 - --------------------------------------------------------------------------------------------------------------------------------- Beginning of period 1,967,737 1,136,792 256,526 433,292 423,035 End of period $ 2,534,299 $ 1,967,737 $ 268,201 $ 256,526 $ 433,292 - --------------------------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (169) $ 287 $ 29 $ (153) $ (159) - ---------------------------------------------------------------------------------------------------------------------------------
(a) The fund changed its fiscal year end from December 31 to October 31. (b) The fund changed its fiscal year end from October 31 to December 31. SEE NOTES TO FINANCIAL STATEMENTS. 67
TAX AWARE SHORT - INTERMEDIATE TAX AWARE LARGE CAP VALUE FUND INOME FUND -------------------------------------------- -------------------- YEAR 1/1/02 11/1/01 12/20/02* ENDED THROUGH THROUGH THROUGH 10/31/03 10/31/02 (a) 12/31/01 (b) 10/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 5,146 $ 4,441 $ 639 $ 6,111 Net realized gain (loss) on investments, futures, written options and swaps (9,355) (26,675) (338) (2,827) Change in net unrealized appreciation/ depreciation of investments, futures, written options and swaps 60,789 (49,837) 28,437 2,010 - ----------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 56,580 (72,071) 28,738 5,294 - ----------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (5,208) (4,354) (579) (5,897) - ----------------------------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (30,019) (11,678) (18,389) 537,932 - ----------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 21,353 (88,103) 9,770 537,329 - ----------------------------------------------------------------------------------------------------------------- Beginning of period 327,343 415,446 405,676 -- - ----------------------------------------------------------------------------------------------------------------- End of period $ 348,696 $ 327,343 $ 415,446 $ 537,329 - ----------------------------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (163) $ (101) $ (188) $ 214 - -----------------------------------------------------------------------------------------------------------------
* Commencement of operations. (a) The fund changed its fiscal year end from December 31 to October 31. (b) The fund changed its fiscal year end from October 31 to December 31. SEE NOTES TO FINANCIAL STATEMENTS. 68
TAX AWARE U.S. EQUITY FUND ----------------------------- YEAR ENDED YEAR ENDED 10/31/03 10/31/02 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 4,628 $ 1,865 Net realized gain (loss) on investments (10,218) (11,267) Change in net unrealized appreciation/ depreciation of investments 100,650 (37,041) - ------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 95,060 (46,443) - ------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (4,092) (2,275) - ------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) 415,771 59,205 - ------------------------------------------------------------------------------- NET ASSETS Total increase (decrease) in net assets 506,739 10,487 - ------------------------------------------------------------------------------- Beginning of period 236,200 225,713 - ------------------------------------------------------------------------------- End of period $ 742,939 $ 236,200 - ------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ 824 $ 288 - -------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 69 NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION J.P. Morgan Series Trust ("JPMST"), J.P. Morgan Mutual Fund Group ("MFG"), J.P. Morgan Mutual Fund Select Group ("MFSG") and J.P. Morgan Institutional Funds ("JPMIF") (each a "Trust" and, collectively, the "Trusts") were organized on August 15, 1996, May 11, 1987, October 1, 1996 and November 4, 1992, respectively, as Massachusetts business trusts and are registered under the Investment Company Act of 1940 (the "1940 Act"), as amended, as open-end management investment companies. MFG and MFSG were formerly known as Mutual Fund Group and Mutual Fund Select Group, respectively. The Trusts' new names went into effect on May 1, 2003. The following are seven separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan Fleming Tax Aware International Opportunities Fund ("FTAIO") Class A and Institutional JPMorgan Tax Aware Disciplined Equity Fund ("TADE") Institutional JPMorgan Tax Aware Enhanced Income Fund ("TAEI") Class A, Institutional and Select JPMorgan Tax Aware Large Cap Growth Fund ("TALCG") Select JPMorgan Tax Aware Large Cap Value Fund ("TALCV") Select JPMorgan Tax Aware Short-Intermediate Income Fund ("TASI") Institutional and Select JPMorgan Tax Aware U.S. Equity Fund ("TAUSE") Class A, Class B, Class C, Institutional and Select
On September 12, 2003, FTAIO Class B and Class C shares merged into Class A shares and Class B and Class C shares closed. FTAIO is a separate series of MFG. TADE, TAEI and TAUSE are separate series of JPMST. TALCG and TALCV are separate series of MFSG. TASI is a separate series of JPMIF. TASI commenced operations on December 20, 2002. Class A shares generally provide for a front-end sales charge while Class B and Class C shares provide for a contingent deferred sales charge. Class B shares automatically convert to Class A shares after eight years. No sales charges are assessed with respect to the Institutional Class and Select Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different transfer agent, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Class A shares, for which front-end charges have been waived, may be subject to redemption charges as described in the Funds' prospectus. During the fiscal year ended October 31, 2003, TADE Institutional Class relieved securities of the fund (Redemption in-kind) in exchange for the redemption of 70 shares. TADE Institutional Class received a contribution of securities (Subscription in-kind) in exchange for shares of the Institutional Share Class. Cash and securities were transferred for redemptions and subscriptions at a market value of (in thousands) $22,866 and $21,173, respectively, which resulted in a realized gain of (in thousands) $6,157 to the Fund for federal income tax purposes. A detailed breakout of Redemption in-kind and Subscription in-kind is outlined in Note 12. 2. REORGANIZATION Prior to the open of business on March 24, 2003, the JPMorgan Tax Aware U.S. Equity Fund (the "Acquiring Fund") acquired all of the net assets of JPMorgan SelectLarge Cap Equity Fund (the "Target Fund"), as shown in the table below, pursuant to a Plan of Reorganization approved by the Target Fund's shareholders on February 13, 2003. The transaction was structured for tax purposes to qualify as a tax-free reorganization under the Internal Revenue Code. Under the Reorganization Plan, shareholders of the Target Fund received shares in the Acquiring Fund with a value equal to their holdings in the Target Fund. Shareholders of the Target Fund received Select Class Shares of the Acquiring Fund. The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the Reorganization (amounts in thousands, except per share amounts): JPMORGAN TAX AWARE U.S. EQUITY FUND REORGANIZATION
NET ASSET NET SHARES VALUE UNREALIZED OUTSTANDING NET ASSETS PER SHARE (DEPRECIATION) TARGET FUND JPMorgan Select Large Cap Equity Fund $ (42,215) Select Class $ 12,404 $ 241,297 $ 19.45 ACQUIRING FUND JPMorgan Tax Aware U.S. Equity Fund $ (43,722) Class A 320 $ 4,145 $ 12.97 Class B 224 $ 2,879 $ 12.87 Class C 23 $ 299 $ 12.85 Institutional Class 5,529 $ 51,039 $ 9.23 Select Class 16,879 $ 219,253 $ 12.99 POST REORGANIZATION JPMorgan Tax Aware U.S. Equity Fund $ (85,937) Class A 320 $ 4,145 $ 12.97 Class B 224 $ 2,879 $ 12.87 Class C 23 $ 299 $ 12.85 Institutional Class 5,529 $ 51,039 $ 9.23 Select Class 35,452 $ 460,550 $ 12.99
71 3. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities (other than convertible bonds) with a maturity of 61 days or more 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. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, 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 reasonably possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. For foreign securities, if activity in the local shares indicates that a current local price should be used, or the market quotation is determined to be not readily available or unreliable or material events or conditions affecting the value of a fund security has occurred since the last sale, such securities may be valued at fair value in accordance with procedures adopted by the Trustees. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. If events materially affecting the value of foreign securities occur between the time when the exchange on which they are traded closes and the time when the Funds' net assets are calculated, such securities will be valued at fair value in accordance with procedures adopted by the Trustees. Such events may include general market movements in markets other than the exchanges on which such securities are traded (the "local market"), and the fair valuation procedures applied may include adjusting the local market price to reflect movements in indices or securities prices in other markets, based on historical relationships. In addition, the Funds have established a market trigger, such as a specified percentage rise or fall in the value of a designated benchmark index. When the market trigger is reached, the quotations of an independent pricing service will generally be applied for foreign equity securities held by the Fund. B. FUTURES CONTRACTS -- When a fund enters into a futures contract, it makes an initial margin deposit in a segregated account, either in cash or liquid securities. Thereafter, the futures contract is marked to market and the Fund makes (or receives) additional cash payments daily to (or from) the broker. Changes in the value of the contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner. Short index futures contracts are used for hedging purposes; i.e., to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. 72 Use of long futures contracts subjects the Funds to risk of loss in excess of amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund's credit risk is limited to failure of the exchange or board of trade. As of October 31, 2003, the Funds had outstanding futures contracts as listed on the Funds' Portfolio of Investments. C. FOREIGN CURRENCY TRANSLATION -- The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates, or at the mean of the current bid and asked prices, of such currencies against the U.S. dollar as quoted by a major bank, on the following basis: 1. Market value of investment securities and other assets and liabilities: at the rate of exchange at the valuation date. 2. Purchases and sales of investment securities, income and expenses: at the rates of exchange prevailing on the respective dates of such transactions. Although the net assets of the Funds are presented at the foreign exchange rates and market values at the close of the periods, the Funds do not isolate that portion of the results of operations arising as a result of changes in the foreign exchange rates from the fluctuations arising from changes in the market prices of securities held or sold during the year. Accordingly, such realized foreign currency gains (losses) are included in the reported net realized gains (losses) on investment transactions. Reported realized foreign currency gains or losses arise from disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the Funds' books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. Unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at period end. D. FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS -- The Funds may enter into forward foreign currency exchange contracts (obligations to purchase or sell foreign currency in the future on a date and price fixed at the time the contracts are entered into) to manage the Funds' exposure to foreign currency exchange fluctuations. Each day the forward contract is open, changes in the value of the contract are recognized as unrealized gains or losses by "marking to market." When the forward contract is closed, or the delivery of the currency is made or taken, the Fund records a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund's basis in the contract. The Funds are subject to off-balance sheet risk to the extent of the value of the contracts for purchases of foreign currency and in an unlimited amount for sales of foreign currency. As of October 31, 2003, the Funds had outstanding forward foreign currency exchange contracts as listed on the Funds' Portfolio of Investments. E. WRITTEN OPTIONS -- When a Fund writes an option, an amount equal to the premium received by the Fund is included in the Fund's Statement of Assets and Liabilities as an asset and corresponding liability. The amount of the liability is adjusted daily to reflect the current market value of the written option and the change is recorded in a corresponding unrealized gain or loss account. When a written option expires on its stipulated expiration date, or when a closing transaction is entered into, the related liability is extinguished and the fund realizes a gain or loss contingent on whether the cost of the closing transaction exceeds the premium received when the option was written. 73 The Funds write options on securities, futures and interest rate swaps ("swaptions"). These options are settled for cash and subject the Funds to unlimited risk of loss. The Funds, however, are not subject to credit risk on written options as the counterparty has already performed its obligation my paying the premium at the inception of the contract. As of October 31, 2003, the Funds had written options contracts outstanding as listed on the Funds' Portfolio of Investments. Transactions in options written for TAEI and TASI during the period ended October 31, 2003, were as follows (amounts in thousands):
TAEI TASI --------------------- --------------------- NUMBER OF PREMIUMS NUMBER OF PREMIUMS UNITS RECEIVED UNITS RECEIVED Options outstanding at October 31, 2002 -- $ -- -- $ -- Options written (282,102) 2,960 (56,200) 264 Options terminated in closing purchase transactions 282,102 (2,960) 39,600 (247) Options outstanding at October 31, 2003 -- -- (16,600) 17
F. SWAPS -- The Funds engage in various swap transactions, including forward rate agreements, interest rate and total return swaps, primarily to manage duration and curve risk, or as alternatives to direct investments. Unrealized gains are reported as an asset and unrealized losses are reported as a liability on the Statement of Assets and Liabilities. The interest to be paid or received on swaps is reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is recorded upon termination of swap agreements. Swap agreements are stated at fair value. Notional principal amounts are used to express the extent of involvement in these transactions, but the amounts potentially subject to credit risk are much smaller. As of October 31, 2003, the Funds had outstanding swap agreements as listed on the Funds' Portfolio of Investments. G. DOLLAR ROLLS -- The Funds may enter into dollar rolls (principally using TBA's) in which the Funds sell mortgage securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. The Funds account for such dollar rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase. Each Fund must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such dollar rolls. The market value of the securities that a Fund is required to purchase may decline below the agreed upon repurchase price of those securities. The Funds had TBA Dollar Rolls outstanding as of October 31, 2003, which are included in Receivable for Investment securities sold and Payable for Investment securities purchased on the Statement of Assets and Liabilities. The Funds segregate assets with a current value at least equal to the amount of their TBA Dollar Rolls. 74 In a "fee" roll, the compensation is recorded as deferred income and amortized to income over the roll period. The counterparty receives all principal and interest payments, including prepayments, made in respect of a security subject to such a contract while it is the holder. Mortgage dollar rolls may be renewed with a new purchase and repurchase price and a cash settlement made on settlement date without physical delivery of the securities subject to the contract. The Funds engage in dollar rolls for the purpose of enhancing their yields, principally by earning a negotiated fee. The Funds had no fee based dollar rolls outstanding as of October 31, 2003. H. RESTRICTED AND ILLIQUID SECURITIES -- The Funds are permitted to invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. I. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income is recorded on the ex-dividend date or when the Funds first learn of the dividend. Purchases of To Be Announced (TBA), when-issued or delayed delivery securities may be settled a month or more after the trade date; interest income is not accrued until settlement date. It is each Fund's policy to segregate assets with a current value at least equal to the amount of its TBA, when-issued or delayed delivery purchase commitments. J. ALLOCATION OF INCOME AND EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses of the Trusts are allocated proportionately among each of the Funds within the Trusts in relation to the net assets of each Fund or on another reasonable basis. Expenses directly attributable to a particular class are charged directly to such class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. K. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The policy of the Funds 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. L. FOREIGN TAXES -- Certain Funds may be subject to foreign taxes on income, gains on investments or currency repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. M. 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. 75 The following amounts were reclassified within the capital accounts (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS FUND FTAIO $ -- $ 197 $ (197) TADE 6,146 (9) (6,137) TAEI -- -- -- TALCG -- -- -- TALCV -- -- -- TASI -- -- -- TAUSE 37,176 -- (37,176)
The reclassifications for FTAIO relate primarily to the character for tax purposes of current year foreign currency gains & losses and the sale of Passive Foreign Investment Company ("PFIC"). The reclassifications for TADE relate primarily to the character for tax purposes of sale of Real Estate Investment Trust ("REIT") and redemptions in-kind. The reclassifications for TAUSE relate primarily to the character for tax purposes of temporary differences from acquired Funds. N. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, and pricing and reporting services. 4. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements, J.P. Morgan Investment Management, Inc. ("JPMIM" or the "Advisor") acts as the investment advisor to the Funds. Prior to September 1, 2003, J.P. Morgan Fleming Asset Management (USA) Inc. ("JPMFAM"), served as the Advisor to TALCG and TALCV. On September 1, 2003, JPMFAM and Robert Fleming Inc., merged into JPMIM. Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of J.P. Morgan Chase & Co. The investment advisory services and personnel providing investment advice have not changed as a result of the merger and ownership change. Neither the merger nor the ownership change constituted an assignment under the 1940 Act or the Investment Advisors Act of 1940. The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's respective average daily net assets. The annual fee for each Fund is as follows:
INVESTMENT ADVISORY FEE (%) FUND FTAIO 0.85 TADE 0.35 TAEI 0.25 TALCG 0.40 TALCV 0.40 TASI 0.25 TAUSE 0.45
76 The Advisor waived fees as outlined in Note 4.F. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to waive and/or reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. DISTRIBUTION FEES -- Pursuant to the Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the Trusts' exclusive underwriter and promotes and arranges for the sale of each Fund's shares. JPMFD receives no compensation in its capacity as the Funds' underwriter. The Trustees have adopted Distribution Plans (the "Distribution Plans") for Class A, B, and C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plans provide that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below (%):
CLASS A CLASS B CLASS C FUND FTAIO 0.25 n/a n/a TAEI 0.25 n/a n/a TAUSE 0.25 0.75 0.75
In addition, JPMFD receives any contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. C. SHAREHOLDER SERVICING FEES -- The Trusts have entered into Shareholder Servicing Agreements on behalf of the Funds with JPMorgan Chase Bank ("JPMCB"), under which JPMCB provides account administration and personal account maintenance services to the shareholders. JPMCB may obtain the services of one or more Shareholder Servicing Agents. For these services JPMCB or the Shareholder Servicing Agent will receive a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND FTAIO 0.25 n/a n/a 0.10 n/a TADE n/a n/a n/a 0.10 n/a TAEI 0.25 n/a n/a 0.10 0.25 TALCG n/a n/a n/a n/a 0.25 TALCV n/a n/a n/a n/a 0.25 TASI n/a n/a n/a 0.10 0.25 TAUSE 0.25 0.25 0.25 0.10 0.25
77 In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties to separate servicing and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers of investment advisors and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationships between Schwab, the Trusts and JPMCB are terminated, the Funds would be responsible for the ongoing payments to Schwab with respect to pre-termination shares. JPMCB waived fees as outlined in Note 4.F. D. CUSTODIAN AND ACCOUNTING FEES JPMCB -- provides portfolio accounting and custody services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion. BISYS Fund Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND FTAIO 1.80 n/a n/a 1.00 n/a TADE n/a n/a n/a 0.55 n/a TAEI 0.75 n/a n/a 0.25 0.50 TALCG n/a n/a n/a n/a 0.85 TALCV n/a n/a n/a n/a 0.85 TASI n/a n/a n/a 0.35 0.50 TAUSE 1.10 1.60 1.60 0.70 0.84
78 The contractual expense limitation agreements were in effect for the year ended October 31, 2003 for the Funds. The expense limitation percentages in the table above are due to expire as follows:
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND FTAIO 2/28/04 n/a n/a 2/28/04 n/a TADE n/a n/a n/a 2/28/05 n/a TAEI 2/28/04 n/a n/a 2/28/05 2/28/05 TALCG n/a n/a n/a n/a 2/28/04 TALCV n/a n/a n/a n/a 2/28/04 TASI n/a n/a n/a 12/31/03 12/31/03 TAUSE 2/28/05 2/28/05 2/28/05 2/28/05 3/31/06
The Administrator waived fees and/or reimbursed expenses as outlined in Note 4.F. F. WAIVERS AND REIMBURSEMENTS -- For the year ended October 31, 2003, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands):
CONTRACTUAL WAIVERS --------------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS FUND FTAIO $ 227 $ 192 $ 139 $ 558 $ 5 TADE -- 110 187 297 -- TAEI 814 3,419 1,869 6,102 -- TALCG -- -- 52 52 -- TALCV 4 -- 2 6 -- TASI @ 53 370 177 600 -- TAUSE -- 416 52 468 35 Total $ 1,098 $ 4,507 $ 2,478 $ 8,083 $ 40
@ For the period 12/20/02 to 10/31/03 G. OTHER -- Certain officers of the Trusts are officers of J.P. Morgan Chase & Co. or of BISYS or their subsidiaries. During the period certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors. The Funds may use related-party broker/dealers. For the year ended October 31, 2003, TADE, TALCG, TALCV and TAUSE incurred approximately (in thousands) $ - +, $4, $10 and $40, respectively, in brokerage commissions with broker/dealers affiliated with JPMCB. The SEC has granted an exemptive order permitting each Fund to engage in principal transactions with J.P. Morgan Securities Inc., an affiliated broker, involving taxable money market instruments subject to certain conditions. + Amount rounds to less than one thousand. 79 5. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended October 31, 2003 are as follows (amounts in thousands):
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT FTAIO Class A $ 16 $ 16 $ 40 Class B --^ --^ --^ Class C --^ --^ --^ Institutional 128 -- 44 - ------------------------------------------------------------------------------------------------- $ 144 $ 16 $ 84 TADE Institutional $ 187 $ -- $ 50 - ------------------------------------------------------------------------------------------------- TAEI Class A $ 55 $ 55 $ 16 Institutional 1,888 -- 48 Select 923 -- 34 - ------------------------------------------------------------------------------------------------- $ 2,866 $ 55 $ 98 TALCG Select $ 653 $ -- $ 20 - ------------------------------------------------------------------------------------------------- TALCV Select $ 829 $ -- $ 20 - ------------------------------------------------------------------------------------------------- TASI @ Institutional $ 175 $ -- $ 19 Select 221 -- 16 - ------------------------------------------------------------------------------------------------- $ 396 $ -- $ 35 TAUSE Class A $ 11 $ 11 $ 32 Class B 7 22 21 Class C 1 2 2 Institutional 68 -- 87 Select 1,044 -- 22 - ------------------------------------------------------------------------------------------------- $ 1,131 $ 35 $ 164 - -------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. @ For the period 12/20/02 to 10/31/03. 80 6. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended October 31, 2003 and October 31, 2002 are as follows (amounts in thousands):
YEAR ENDED 10/31/03 YEAR ENDED 10/31/02 --------------------------------- --------------------------------- NET NET FUND INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN FTAIO Class A $ 64 $ -- $ 6 $ -- Class B 1 -- -- -- Class C --^ -- -- -- Institutional 1,521 -- 540 -- - ------------------------------------------------------------------------------------------------------------------------ $ 1,586 $ -- $ 546 $ -- TADE Institutional $ 2,258 $ -- $ 3,600 $ -- - ------------------------------------------------------------------------------------------------------------------------ TAEI Class A $ 307 $ -- $ 166 $ --^ Institutional 35,853 -- 28,885 630 Select 6,020 -- 4,259 104 - ------------------------------------------------------------------------------------------------------------------------ $ 42,180 $ -- $ 33,310 $ 734 TALCG Select $ 734 $ -- $ 934* $ -- - ------------------------------------------------------------------------------------------------------------------------ TALCV Select $ 5,208 $ -- $ 4,354* $ -- - ------------------------------------------------------------------------------------------------------------------------ TASI @ Institutional $ 3,989 $ -- Select 1,908 -- - ------------------------------------------------------------------------------------------------------------------------ $ 5,897 $ -- TAUSE Class A $ 22 $ -- $ 23 $ -- Class B 5 -- 4 -- Class C 1 -- --^ -- Institutional 988 -- 560 -- Select 3,076 -- 1,688 -- - ------------------------------------------------------------------------------------------------------------------------ $ 4,092 $ -- $ 2,275 -- - ------------------------------------------------------------------------------------------------------------------------
@ For the period 12/20/02 to 10/31/03. * For period 1/1/02 to 10/31/02. For period 11/1/01 to 12/31/01, distributions from net investment income were $601 and $579 for TALCG and TALCV, respectively. ^ Amount rounds to less than one thousand 81 7. INVESTMENT TRANSACTIONS For the year ended October 31, 2003, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT FUND FTAIO $ 104,708 $ 146,985 $ -- $ -- TADE 85,549 132,716 -- -- TAEI 2,606,492 1,946,372 3,095,970 3,179,488 TALCG 89,035 111,389 -- -- TALCV 108,742 132,358 -- -- TASI @ 874,452 354,322 540,081 498,093 TAUSE 226,203 59,866 -- --
@ For the period 12/20/02 to 10/31/03. 8. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at October 31, 2003, are as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION COST APPRECIATION (DEPRECIATION) (DEPRECIATION) FUND FTAIO $ 117,464 $ 20,962 $ (1,462) $ 19,500 TADE 164,265 25,345 (8,923) 16,422 TAEI 2,532,632 7,641 (949) 6,692 TALCG 262,994 16,871 (14,323) 2,548 TALCV 344,095 37,522 (34,264) 3,258 TASI 574,972 3,809 (325) 3,484 TAUSE 734,063 60,609 (56,520) 4,089
82 The tax character of distributions paid during the periods indicated were as follows (amounts in thousands):
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS YEAR ENDED 10/31/03 FTAIO $ 1,586 $ -- $ -- $ -- $ 1,586 TADE 2,258 -- -- -- 2,258 TAEI 17,259 24,921 -- -- 42,180 TALCG 734 -- -- -- 734 TALCV 5,208 -- -- -- 5,208 TASI @ 1,442 4,455 -- -- 5,897 TAUSE 4,092 -- -- -- 4,092
@ For the period 12/20/02 to 10/31/03.
ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS YEAR ENDED 10/31/02 FTAIO $ 546 $ -- $ -- $ -- $ 546 TADE 3,600 -- -- -- 3,600 TAEI 10,826 23,218 -- -- 34,044 TAUSE 2,275 -- -- -- 2,275 ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS 1/1/02 THROUGH 10/31/02 TALCG $ 934 $ -- $ -- $ -- $ 934 TALCV 4,354 -- -- -- 4,354 ORDINARY TAX EXEMPT LONG-TERM RETURN OF TOTAL INCOME INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS 11/01/01 THROUGH 12/31/01 TALCG $ 601 $ -- $ -- $ -- $ 601 TALCV 579 -- -- -- 579
83 At October 31, 2003, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
FTAIO TADE TAEI Current distributable ordinary income $ 2,773 $ 247 $ 308 Plus/Less: cumulative timing differences --^ -- (308) Undistributed ordinary income or (overdistribution of ordinary income) $ 2,773 $ 247 $ -- Current distributable tax-exempt income -- -- $ 270 Plus/Less: cumulative timing differences -- -- (438) Undistributed tax-exempt income or (overdistribution of tax-exempt income) -- -- $ (168) Current distributable long-term capital gain or (tax basis capital loss carryover) $ (57,547) $ (127,940) $ (7,658) Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss $ (57,547) $ (127,940) $ (7,658) Unrealized appreciation (depreciation) $ 19,514 $ 16,420 $ (962) TALCG TALCV TASI @ Current distributable ordinary income $ 143 $ 439 $ 191 Plus/Less: cumulative timing differences (113) (603) (191) Undistributed ordinary income or (overdistribution of ordinary income) $ 30 $ (164) $ -- Current distributable tax-exempt income -- -- $ 833 Plus/Less: cumulative timing differences -- -- (619) Undistributed tax-exempt income or (overdistribution of tax-exempt income) -- -- $ 214 Current distributable long-term capital gain or (tax basis capital loss carryover) $ (117,359) $ (36,816) $ (4,406) Plus/Less: cumulative timing differences -- -- -- Undistributed long-term gains/ accumulated capital loss $ (117,359) $ (36,816) $ (4,406) Unrealized appreciation (depreciation) $ 2,548 $ 3,259 $ 3,589
@ For the period 12/20/02 to 10/31/03. ^ Amount rounds to less than one thousand. 84
TAUSE Current distributable ordinary income $ 858 Plus/Less: cumulative timing differences (34) Undistributed ordinary income or (overdistribution of ordinary income) $ 824 Current distributable long-term capital gain or (tax basis capital loss carryover) $ (88,032) Plus/Less: cumulative timing differences -- Undistributed long-term gains/ accumulated capital loss $ (88,032) Unrealized appreciation (depreciation) $ 4,088
For TADE, TALCG, TALCV and TAUSE, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sale loss deferrals. For FTAIO, the difference between book and tax basis unrealized appreciation/(depreciation) is due to wash sale loss deferrals, the mark to market of forward currency exchange contracts and investments in passive foreign investment companies. For TAEI, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sale loss deferrals and the mark to market of futures contracts. For TASI, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to the mark to market of futures contracts. For FTAIO, TALCG and TAUSE, the cumulative timing difference account primarily consists of deferred compensation. For TAEI, TALCV and TASI, the cumulative timing difference account primarily consists of deferred compensation and dividends payable. 85 At October 31, 2003, the following Funds have capital loss carryovers, which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders (amounts in thousands):
EXPIRATION AMOUNT DATE FUND FTAIO $ (12,668) October 31, 2009 (27,648) October 31, 2010 (17,231) October 31, 2011 - ----------------------------------------------------------- (57,547) - ----------------------------------------------------------- TADE $ (802) October 31, 2006 (23,888) October 31, 2008 (36,384) October 31, 2009 (50,933) October 31, 2010 (15,933) October 31, 2011 - ----------------------------------------------------------- (127,940) - ----------------------------------------------------------- TAEI $ (1,458) October 31, 2010 (6,200) October 31, 2011 - ----------------------------------------------------------- (7,658) - ----------------------------------------------------------- TALCG $ (50,266) October 31, 2009 (37,056) October 31, 2010 (30,037) October 31, 2011 - ----------------------------------------------------------- (117,359) - ----------------------------------------------------------- TALCV $ (461) October 31, 2009 (27,000) October 31, 2010 (9,355) October 31, 2011 - ----------------------------------------------------------- (36,816) - ----------------------------------------------------------- TASI $ (4,406) October 31, 2011 - ----------------------------------------------------------- TAUSE* $ (81) October 31, 2005 (498) October 31, 2006 (21,834) October 31, 2007 (6,281) October 31, 2008 (21,016) October 31, 2009 (28,104) October 31, 2010 (10,218) October 31, 2011 - ----------------------------------------------------------- (88,032) - -----------------------------------------------------------
* The TAUSE capital loss carryover includes $37,151 (amount in thousands) of losses acquired from JPMorgan Select Large Cap Equity Fund. Utilization of these losses will be subject to an annual limitation as prescribed by the Internal Revenue Code. 86 9. BANK BORROWINGS Pursuant to a Line of Credit Agreement dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement will expire on April 15, 2004. Prior to April 17, 2003, the Funds had entered into an agreement, enabling them to participate with other JPMorgan Funds in an unsecured line of credit with a syndicate of banks, which permitted borrowings up to $400 million, collectively. Interest was charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also paid a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which was allocated on a pro-rata basis to the Funds. This agreement expired on April 16, 2003. The commitment fee is included in Other expenses on the Statement of Operations. The Funds had no borrowings outstanding at October 31, 2003, nor at anytime during the year then ended. 10. CONCENTRATIONS AND INDEMNIFICATIONS FTAIO may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year. Such concentrations may subject FTAIO to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices more volatile than those of comparable U.S. securities. As of October 31, 2003, substantially all of the net assets of FTAIO consist of securities of issuers which are denominated in foreign currencies. Changes in currency exchange rates will affect the value of investment income from such securities. As of October 31, 2003, FTAIO invested 24.4% of its total investments in the United Kingdom. The issuers' abilities to meet their obligations may be affected by economic or political developments in the specific region or country. From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 11. SUBSEQUENT EVENT As approved by the Trustees and effective November 17, 2003, the Funds will apply fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless JPMIM determines that use of another fair valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movements in prices of indices and securities in other markets to help determine fair value as of the time a Fund calculates its net asset value. The fair value pricing will be implemented at the close of regular trading of the Fund, regardless of whether a market trigger has occurred. 87 12. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (amounts in thousands):
FLEMING TAX AWARE INTERNATIONAL OPPURTUNITIES FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 3,769 $ 8,971 Shares issued in reinvestment of distributions 22 3 Shares redeemed (5,998) (4,248) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (2,207) $ 4,726 - ----------------------------------------------------------------------------------------- SHARES Shares sold 358 740 Shares issued in reinvestment of distributions 2 --^ Shares redeemed (546) (380) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (186) 360 - ----------------------------------------------------------------------------------------- CLASS B SHARES* AMOUNT Shares sold $ 21 $ 219 Shares issued in reinvestment of distributions 1 -- Shares redeemed (84) (192) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (62) $ 27 - ----------------------------------------------------------------------------------------- SHARES Shares sold 2 20 Shares issued in reinvestment of distributions --^ -- Shares redeemed (7) (17) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (5) 3 - -----------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. * Class ceased operations as of September 12, 2003. 88
FLEMING TAX AWARE INTERNATIONAL OPPURTUNITIES FUND (CONTINUED) ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS C SHARES* AMOUNT Shares sold $ 825 $ 821 Shares issued in reinvestment of distributions --^ -- Shares redeemed (836) (825) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (11) $ (4) - ----------------------------------------------------------------------------------------- SHARES Shares sold 75 73 Shares issued in reinvestment of distributions --^ -- Shares redeemed (76) (73) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1) -- - ----------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 27,732 $ 94,416 Shares issued in reinvestment of distributions 336 127 Shares redeemed (67,484) (102,012) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (39,416) $ (7,469) - ----------------------------------------------------------------------------------------- SHARES Shares sold 2,472 7,557 Shares issued in reinvestment of distributions 30 10 Shares redeemed (6,140) (8,201) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (3,638) (634) - -----------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. * Class ceased operations as of September 12, 2003. 89
TAX AWARE DISCIPLINED EQUITY FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 INSTITUTIONAL SHARES AMOUNT Shares sold $ 34,911 $ 161,630 Subscription in-kind 21,173 -- Shares issued in reinvestment of distributions 1,703 2,680 Shares redeemed (81,796) (188,435) Redemption in-kind (22,866) (50,422) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (46,875) $ (74,547) - ----------------------------------------------------------------------------------------- SHARES Shares sold 2,855 12,045 Subscription in-kind 1,812 -- Shares issued in reinvestment of distributions 140 191 Shares redeemed (6,791) (13,972) Redemption in-kind (1,647) (3,533) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (3,631) (5,269) - -----------------------------------------------------------------------------------------
90
TAX AWARE ENHANCED INCOME FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002* CLASS A SHARES AMOUNT Shares sold $ 26,951 $ 27,851 Shares issued in reinvestment of distributions 263 139 Shares redeemed (23,564) (9,188) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 3,650 $ 18,802 - ----------------------------------------------------------------------------------------- SHARES Shares sold 2,668 2,754 Shares issued in reinvestment of distributions 26 14 Shares redeemed (2,333) (909) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 361 1,859 - ----------------------------------------------------------------------------------------- INSTITUTIONAL SHARES AMOUNT Shares sold $ 1,652,863 $ 1,569,397 Shares issued in reinvestment of distributions 30,174 25,569 Shares redeemed (1,278,324) (870,067) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 404,713 $ 724,899 - ----------------------------------------------------------------------------------------- SHARES Shares sold 163,883 155,388 Shares issued in reinvestment of distributions 2,994 2,532 Shares redeemed (126,874) (86,164) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 40,003 71,756 - ----------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 417,915 $ 285,072 Shares issued in reinvestment of distributions 3,056 2,869 Shares redeemed (253,391) (194,742) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 167,580 $ 93,199 - ----------------------------------------------------------------------------------------- SHARES Shares sold 41,364 28,199 Shares issued in reinvestment of distributions 303 284 Shares redeemed (25,111) (19,269) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 16,556 9,214 - -----------------------------------------------------------------------------------------
* For Class A Shares, from commencement of offering on November 30, 2001. 91
TAX AWARE LARGE CAP GROWTH FUND -------------------------------------------------------------- YEAR ENDED PERIOD ENDED PERIOD ENDED OCTOBER 31, 2003 OCTOBER 31, 2002(a) DECEMBER 31, 2001(b) SELECT SHARES AMOUNT Shares sold $ 35,341 $ 17,363 $ 3,476 Shares issued in reinvestment of distributions 15 16 9 Shares redeemed (57,206) (97,070) (21,076) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (21,850) $ (79,691) $ (17,591) - ------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 2,626 1,174 200 Shares issued in reinvestment of distributions 1 1 1 Shares redeemed (4,180) (6,408) (1,213) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,553) (5,233) (1,012) - -------------------------------------------------------------------------------------------------------------------
(a) The Fund changed its fiscal year end from December 31 to October 31. (b) The Fund changed its fiscal year end from October 31 to December 31. 92
TAX AWARE LARGE CAP VALUE FUND -------------------------------------------------------------- YEAR ENDED PERIOD ENDED PERIOD ENDED OCTOBER 31, 2003 OCTOBER 31, 2002(a) DECEMBER 31, 2001(b) SELECT SHARES AMOUNT Shares sold $ 55,219 $ 32,489 $ 2,296 Shares issued in reinvestment of distributions 121 35 2 Shares redeemed (85,359) (44,202) (20,687) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (30,019) $ (11,678) $ (18,389) - ------------------------------------------------------------------------------------------------------------------- SHARES Shares sold 3,339 1,853 117 Shares issued in reinvestment of distributions 7 2 --^ Shares redeemed (5,101) (2,451) (1,067) - ------------------------------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (1,755) (596) (950) - -------------------------------------------------------------------------------------------------------------------
(a) The Fund changed its fiscal year end from December 31 to October 31. (b) The Fund changed its fiscal year end from October 31 to December 31. ^ Amount rounds to less than one thousand. 93
TAX AWARE SHORT-INTERMEDIATE INCOME FUND ----------------------------- PERIOD ENDED OCTOBER 31, 2003* INSTITUTIONAL SHARES AMOUNT Shares sold $ 374,926 Shares issued in reinvestment of distributions 1,400 Shares redeemed (39,517) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 336,809 - --------------------------------------------------------------------------------------------- SHARES Shares sold 37,278 Shares issued in reinvestment of distributions 139 Shares redeemed (3,931) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 33,486 - --------------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 216,722 Shares issued in reinvestment of distributions 322 Shares redeemed (15,921) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 201,123 - --------------------------------------------------------------------------------------------- SHARES Shares sold 21,556 Shares issued in reinvestment of distributions 32 Shares redeemed (1,579) - --------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 20,009 - ---------------------------------------------------------------------------------------------
* From commencement of offering on December 20, 2002. 94
TAX AWARE U.S. EQUITY FUND ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 CLASS A SHARES AMOUNT Shares sold $ 759 $ 5,976 Shares issued in reinvestment of distributions 19 19 Shares redeemed (1,365) (958) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (587) $ 5,037 - ----------------------------------------------------------------------------------------- SHARES Shares sold 57 378 Shares issued in reinvestment of distributions 1 1 Shares redeemed (105) (69) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (47) 310 - ----------------------------------------------------------------------------------------- CLASS B SHARES AMOUNT Shares sold $ 708 $ 2,946 Shares issued in reinvestment of distributions 5 4 Shares redeemed (1,093) (633) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (380) $ 2,317 - ----------------------------------------------------------------------------------------- SHARES Shares sold 54 187 Shares issued in reinvestment of distributions --^ --^ Shares redeemed (81) (43) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (27) 144 - ----------------------------------------------------------------------------------------- CLASS C SHARES AMOUNT Shares sold $ 162 $ 333 Shares issued in reinvestment of distributions --^ --^ Shares redeemed (105) (121) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 57 $ 212 - ----------------------------------------------------------------------------------------- SHARES Shares sold 12 21 Shares issued in reinvestment of distributions --^ --^ Shares redeemed (8) (7) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4 14 - -----------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 95
TAX AWARE U.S. EQUITY FUND (CONTINUED) ------------------------------------ YEAR ENDED YEAR ENDED OCTOBER 31, 2003 OCTOBER 31, 2002 INSTITUTIONAL SHARES AMOUNT Shares sold $ 72,814 $ 64,704 Shares issued in reinvestment of distributions 700 366 Shares redeemed (20,456) (16,770) Redemption in-kind -- (10,024) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 53,058 $ 38,276 - ----------------------------------------------------------------------------------------- SHARES Shares sold 7,469 5,750 Shares issued in reinvestment of distributions 72 35 Shares redeemed (2,100) (1,562) Redemption in-kind -- (834) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 5,441 3,389 - ----------------------------------------------------------------------------------------- SELECT SHARES AMOUNT Shares sold $ 211,352 $ 92,692 Shares issued in connection with Fund Reorganization (Note 2) 241,297 -- Shares issued in reinvestment of distributions 1,080 1,141 Shares redeemed (90,106) (64,049) Redemption in-kind -- (16,421) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 363,623 $ 13,363 - ----------------------------------------------------------------------------------------- SHARES Shares sold 15,611 6,260 Shares issued in connection with Fund Reorganization (Note 2) 18,573 -- Shares issued in reinvestment of distributions 80 76 Shares redeemed (6,534) (4,345) Redemption in-kind -- (1,000) - ----------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 27,730 991 - -----------------------------------------------------------------------------------------
96 THIS PAGE IS INTENTIONALLY LEFT BLANK JPMorgan Funds FINANCIAL HIGHLIGHTS CLASS A SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/03 $ 10.90 0.06^ 2.51 2.57 0.11 -- 0.11 Year Ended 10/31/02 $ 12.38 0.06 (1.53) (1.47) 0.01 -- 0.01 4/30/01* Through 10/31/01 $ 15.00 0.08^ (2.70) (2.62) -- -- -- TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 $ 10.08 0.14 (0.03) 0.11 0.14 -- 0.14 11/30/01* Through 10/31/02 $ 10.10 0.16 (0.01) 0.15 0.16 0.01 0.17 TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 12.86 0.09^ 2.01 2.10 0.07 -- 0.07 Year Ended 10/31/02 $ 15.58 0.10 (2.71) (2.61) 0.11 -- 0.11 4/16/01* Through 10/31/01 $ 16.88 0.03^ (1.27) (1.24) 0.06 -- 0.06
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. (1) Total return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. # Short periods have been annualized. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 98
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/03 $ 13.36 23.77% $ 6 1.80% 0.54% Year Ended 10/31/02 $ 10.90 (11.85%) $ 7 1.80% 0.40% 4/30/01* Through 10/31/01 $ 12.38 (17.47%) $ 4 1.80% 0.29% TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 $ 10.05 1.12% $ 22 0.75% 1.38% 11/30/01* Through 10/31/02 $ 10.08 1.42% $ 19 0.75% 1.55% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 14.89 16.37% $ 5 1.10% 0.68% Year Ended 10/31/02 $ 12.86 (16.89%) $ 5 1.10% 0.52% 4/16/01* Through 10/31/01 $ 15.58 (7.38%) $ 1 1.04% 0.33% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/03 2.41% (0.07%) 79% Year Ended 10/31/02 2.37% (0.17%) 97% 4/30/01* Through 10/31/01 5.48%+ (3.39%)+ 43% TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 1.00% 1.13% 241% 11/30/01* Through 10/31/02 1.06% 1.23% 186% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 1.90% (0.12%) 13% Year Ended 10/31/02 1.88% (0.26%) 27% 4/16/01* Through 10/31/01 8.73%+ (7.36%)+ 22%
SEE NOTES TO FINANCIAL STATEMENTS. 99 CLASS B SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ---------------------------------------- ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 12.76 0.02^ 1.99 2.01 0.02 -- 0.02 Year Ended 10/31/02 $ 15.47 0.03 (2.71) (2.68) 0.03 -- 0.03 4/16/01* Through 10/31/01 $ 16.88 (0.03)^ (1.33) (1.36) 0.05 -- 0.05
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding (1) Total return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. # Short periods have been annualized. ^^ Amount rounds to less than .005%. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 100
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS) TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 14.75 15.82% $ 3 1.60% 0.18% Year Ended 10/31/02 $ 12.76 (17.35%) $ 3 1.60% 0.00%^^ 4/16/01* Through 10/31/01 $ 15.47 (8.09%) $ 1 1.60% (0.35%) RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 2.40% (0.62%) 13% Year Ended 10/31/02 2.39% (0.79%) 27% 4/16/01* Through 10/31/01 7.71%+ (6.46%)+ 22%
SEE NOTES TO FINANCIAL STATEMENTS. 101 CLASS C SHARES
PER SHARE OPERATING PERFORMANCE: ---------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: ---------------------------------------- ------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 12.74 0.02^ 1.99 2.01 0.03 -- 0.03 Year Ended 10/31/02 $ 15.45 0.04 (2.71) (2.67) 0.04 -- 0.04 4/16/01* Through 10/31/01 $ 16.88 (0.02)^ (1.35) (1.37) 0.06 -- 0.06
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding (1) Total return figures do not include the effect of any front-end or deferred sales load. (b) Not annualized for periods less than one year. @ Amount rounds to less than one million. # Short periods have been annualized. ^^ Amount rounds to less than .005%. + Due to the size of net assets and fixed expenses, ratios may appear disproportionate with other classes. SEE NOTES TO FINANCIAL STATEMENTS. 102
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (1)(b) (MILLIONS) EXPENSES (LOSS) TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 14.72 15.80% $ --@ 1.60 0.18% Year Ended 10/31/02 $ 12.74 (17.35%) $ --@ 1.60% 0.00%^^ 4/16/01* Through 10/31/01 $ 15.45 (8.16%) $ --@ 1.57% (0.17)% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # --------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 2.40% (0.62%) 13% Year Ended 10/31/02 2.38% (0.78%) 27% 4/16/01* Through 10/31/01 23.55%+ (22.15%)+ 22%
SEE NOTES TO FINANCIAL STATEMENTS. 103 INSTITUTIONAL CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/03 $ 11.02 0.15^ 2.55 2.70 0.12 -- 0.12 Year Ended 10/31/02 $ 12.43 0.14 (1.51) (1.37) 0.04 -- 0.04 5/1/01* Through 10/31/01 $ 15.00 0.07^ (2.64) (2.57) -- -- -- TAX AWARE DISCIPLINED EQUITY FUND Year Ended 10/31/03 $ 11.74 0.15 2.28 2.43 0.15 -- 0.15 Year Ended 10/31/02 $ 14.36 0.14 (2.57) (2.43) 0.19 -- 0.19 Year Ended 10/31/01 $ 18.87 0.14 (4.57) (4.43) 0.08 -- 0.08 Year Ended 10/31/00 $ 18.19 0.15 0.68 0.83 0.15 -- 0.15 Year Ended 10/31/99 $ 14.71 0.15 3.48 3.63 0.15 -- 0.15 TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 $ 10.07 0.19 (0.02) 0.17 0.19 -- 0.19 Year Ended 10/31/02 $ 10.10 0.22 (0.01) 0.21 0.23 0.01 0.24 Year Ended 10/31/01^^ $ 9.95 0.39 0.15 0.54 0.39 -- 0.39 Year Ended 10/31/00^^ $ 9.95 0.45 -- 0.45 0.45 -- 0.45 4/16/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. ^^ On August 17, 2001, the class underwent a reverse split of shares. Prior periods have been restated to reflect the split (1 to 5). (b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 104
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/03 $ 13.60 24.74% $ 135 1.00% 1.31% Year Ended 10/31/02 $ 11.02 (11.08%) $ 149 1.00% 1.08% 5/1/01* Through 10/31/01 $ 12.43 (17.13%) $ 176 1.00% 1.09% TAX AWARE DISCIPLINED EQUITY FUND Year Ended 10/31/03 $ 14.02 20.91% $ 181 0.55% 1.21% Year Ended 10/31/02 $ 11.74 (17.13%) $ 194 0.55% 0.93% Year Ended 10/31/01 $ 14.36 (23.55%) $ 313 0.55% 0.77% Year Ended 10/31/00 $ 18.87 4.54% $ 478 0.55% 0.78% Year Ended 10/31/99 $ 18.19 24.72% $ 341 0.55% 0.94% TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 $ 10.05 1.73% $ 2,068 0.25% 1.88% Year Ended 10/31/02 $ 10.07 2.01% $ 1,671 0.25% 2.20% Year Ended 10/31/01^^ $ 10.10 5.63% $ 951 0.25% 3.80% Year Ended 10/31/00^^ $ 9.95 4.55% $ 299 0.25% 4.43% 4/16/99* Through 10/31/99^^ $ 9.95 1.57% $ 355 0.25% 4.01% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND Year Ended 10/31/03 1.41% 0.90% 79% Year Ended 10/31/02 1.32% 0.76% 97% 5/1/01* Through 10/31/01 1.33% 0.76% 43% TAX AWARE DISCIPLINED EQUITY FUND Year Ended 10/31/03 0.71% 1.05% 46% Year Ended 10/31/02 0.70% 0.78% 60% Year Ended 10/31/01 0.60% 0.72% 44% Year Ended 10/31/00 0.59% 0.74% 51% Year Ended 10/31/99 0.65% 0.84% 40% TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 0.53% 1.60% 241% Year Ended 10/31/02 0.54% 1.90% 186% Year Ended 10/31/01^^ 0.50% 3.55% 142% Year Ended 10/31/00^^ 0.50% 4.18% 172% 4/16/99* Through 10/31/99^^ 0.57% 3.69% 69%
SEE NOTES TO FINANCIAL STATEMENTS. 105 INSTITUTIONAL CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------- INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* Through 10/31/03 $ 10.00 0.20^ 0.04 0.24 0.19 -- 0.19 TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 9.17 0.11^ 1.42 1.53 0.13 -- 0.13 Year Ended 10/31/02 $ 11.15 0.12 (1.94) (1.82) 0.16 -- 0.16 Year Ended 10/31/01 $ 14.73 0.08^ (3.55) (3.47) 0.11 -- 0.11 9/15/00* Through 10/31/00 $ 15.00 0.01^ (0.28) (0.27) -- -- --
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. @ Amount rounds to less than one million. (b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 106
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------ RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET ASSETS, NET NET ASSET END OF INVESTMENT VALUE, END TOTAL PERIOD NET INCOME OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* Through 10/31/03 $ 10.05 2.41% $ 336 0.35% 2.34% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 10.57 16.89% $ 105 0.70% 1.09% Year Ended 10/31/02 $ 9.17 (16.50%) $ 41 0.70% 0.92% Year Ended 10/31/01 $ 11.15 (23.67%) $ 12 0.70% 0.69% 9/15/00* Through 10/31/00 $ 14.73 (1.80%) $ --@ 0.70% 0.51% RATIOS/SUPPLEMENTAL DATA: -------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ---------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* Through 10/31/03 0.57% 2.12% 274% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 0.79% 1.00% 13% Year Ended 10/31/02 0.84% 0.78% 27% Year Ended 10/31/01 0.93% 46% 22% 9/15/00* Through 10/31/00 0.85% 0.36% 15%
SEE NOTES TO FINANCIAL STATEMENTS. 107 SELECT CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: LESS DISTRIBUTIONS: --------------------------------------- ------------------------------------------ NET GAINS OR LOSSES ON NET ASSET NET SECURITIES DIVIDENDS VALUE, INVESTMENT (BOTH TOTAL FROM FROM NET DISTRIBUTIONS BEGINNING INCOME REALIZED AND INVESTMENT INVESTMENT FROM CAPITAL TOTAL OF PERIOD (LOSS) UNREALIZED) OPERATIONS INCOME GAINS DISTRIBUTIONS TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 $ 10.08 0.17 (0.02) 0.15 0.17 -- 0.17 Year Ended 10/31/02 $ 10.11 0.20 (0.02) 0.18 0.20 0.01 0.21 Year Ended 10/31/01^^ $ 9.95 0.36 0.16 0.52 0.36 -- 0.36 Year Ended 10/31/00^^ $ 9.95 0.40 -- 0.40 0.40 -- 0.40 5/6/99* Through 10/31/99^^ $ 10.00 0.20 (0.05) 0.15 0.20 -- 0.20 TAX AWARE LARGE CAP GROWTH FUND@+ Year Ended 10/31/03 $ 13.03 0.05 1.75 1.80 0.04 -- 0.04 1/1/02 Through 10/31/02** $ 17.39 0.04 (4.36) (4.32) 0.04 -- 0.04 11/1/01 Through 12/31/01*** $ 16.32 0.02 1.07 1.09 0.02 -- 0.02 Year Ended 10/31/01 $ 42.93 0.04 (11.41) (11.37) 0.04 15.20 15.24 Year Ended 10/31/00 $ 47.54 0.04 (0.07) (0.03) 0.03 4.55 4.58 Year Ended 10/31/99 $ 37.36 0.30 13.66 13.96 0.30 3.48 3.78 TAX AWARE LARGE CAP VALUE FUND@@+ Year Ended 10/31/03 $ 16.01 0.26 2.64 2.90 0.26 -- 0.26 1/1/02 Through 10/31/02** $ 19.74 0.22 (3.74) (3.52) 0.21 -- 0.21 11/1/01 Through 12/31/01*** $ 18.44 0.03 1.30 1.33 0.03 -- 0.03 Year Ended 10/31/01 $ 25.57 0.20 (5.41) (5.21) 0.19 1.73 1.92 Year Ended 10/31/00 $ 27.53 0.21 1.40 1.61 0.17 3.40 3.57 Year Ended 10/31/99 $ 28.89 0.65 1.69 2.34 0.67 3.03 3.70
@ Formerly JPMorgan Select Equity Fund @@ Formerly JPMorgan Select Equity Income Fund + On November 20, 1998, the Fund underwent a split of shares. Prior period has been restated to reflect the split. * Commencement of offering of class of shares. ** The fund changed its fiscal year end from December 31 to October 31. *** The fund changed its fiscal year end from October 31 to December 31. ^^ On August 17, 2001, the class underwent a reverse split of shares. Prior periods have been restated to reflect the split (1 to 5). (b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 108
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------------- NET ASSETS, NET EXPENSES NET ASSET END OF INVESTMENT WITHOUT WAIVERS, VALUE, END TOTAL PERIOD NET INCOME REIMBURSEMENTS OF PERIOD RETURN (b) (MILLIONS) EXPENSES (LOSS) AND EARNINGS CREDITS TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 $ 10.06 1.48% $ 444 0.50% 1.61% 0.69% Year Ended 10/31/02 $ 10.08 1.75% $ 278 0.50% 1.94% 0.70% Year Ended 10/31/01^^ $ 10.11 5.47% $ 186 0.50% 3.51% 0.67% Year Ended 10/31/00^^ $ 9.95 4.29% $ 37 0.50% 4.23% 0.67% 5/6/99* Through 10/31/99^^ $ 9.95 1.29% $ 28 0.50% 3.75% 0.72% TAX AWARE LARGE CAP GROWTH FUND@+ Year Ended 10/31/03 $ 14.79 13.84% $ 268 0.85% 0.35% 0.87% 1/1/02 Through 10/31/02** $ 13.03 (24.84%) $ 257 0.68% 0.34% 0.85% 11/1/01 Through 12/31/01*** $ 17.39 6.70% $ 433 0.55% 0.56% 0.85% Year Ended 10/31/01 $ 16.32 (33.30%) $ 423 0.49% 0.21% 0.85% Year Ended 10/31/00 $ 42.93 (0.91%) $ 839 0.47% 0.08% 0.80% Year Ended 10/31/99 $ 47.54 39.78% $ 901 0.03% 0.69% 0.59% TAX AWARE LARGE CAP VALUE FUND@@+ Year Ended 10/31/03 $ 18.65 18.34% $ 349 0.85% 1.55% 0.85% 1/1/02 Through 10/31/02** $ 16.01 (17.94%) $ 327 0.79% 1.43% 0.85% 11/1/01 Through 12/31/01*** $ 19.74 7.20% $ 415 0.69% 0.91% 0.85% Year Ended 10/31/01 $ 18.44 (21.43%) $ 406 0.69% 0.93% 0.87% Year Ended 10/31/00 $ 25.57 6.35% $ 625 0.68% 0.83% 0.80% Year Ended 10/31/99 $ 27.53 8.18% $ 787 0.03% 2.25% 0.58% RATIOS/SUPPLEMENTAL DATA: ------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ------------------------------- NET INVESTMENT INCOME (LOSS) WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS RATE (b) TAX AWARE ENHANCED INCOME FUND Year Ended 10/31/03 1.42% 241% Year Ended 10/31/02 1.74% 186% Year Ended 10/31/01^^ 3.34% 142% Year Ended 10/31/00^^ 4.06% 172% 5/6/99* Through 10/31/99^^ 3.53% 69% TAX AWARE LARGE CAP GROWTH FUND@+ Year Ended 10/31/03 0.33% 35% 1/1/02 Through 10/31/02** 0.17% 46% 11/1/01 Through 12/31/01*** 0.26% 3% Year Ended 10/31/01 (0.15%) 84% Year Ended 10/31/00 (0.25%) 74% Year Ended 10/31/99 0.13% 26% TAX AWARE LARGE CAP VALUE FUND@@+ Year Ended 10/31/03 1.55% 33% 1/1/02 Through 10/31/02** 1.37% 80% 11/1/01 Through 12/31/01*** 0.75% 0% Year Ended 10/31/01 0.75% 8% Year Ended 10/31/00 0.71% 43% Year Ended 10/31/99 1.70% 146%
SEE NOTES TO FINANCIAL STATEMENTS. 109 SELECT CLASS SHARES
PER SHARE OPERATING PERFORMANCE: ------------------------------------------------------------------ INCOME FROM INVESTMENT OPERATIONS: ----------------------------------------------- NET GAINS OR LOSSES ON NET ASSET NET SECURITIES VALUE, INVESTMENT (BOTH TOTAL FROM BEGINNING INCOME REALIZED AND INVESTMENT OF PERIOD (LOSS) UNREALIZED) OPERATIONS TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* THROUGH 10/31/03 $ 10.00 0.19^ 0.04 0.23 TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 12.88 0.12^ 2.01 2.13 Year Ended 10/31/02 $ 15.59 0.10 (2.69) (2.59) Year Ended 10/31/01 $ 20.51 0.10^ (4.96) (4.86) Year Ended 10/31/00 $ 18.73 0.09 1.77 1.86 Year Ended 10/31/99 $ 15.19 0.10 3.55 3.65 PER SHARE OPERATING PERFORMANCE: -------------------------------------------- LESS DISTRIBUTIONS -------------------------------------------- DIVIDENDS FROM NET DISTRIBUTIONS INVESTMENT FROM CAPITAL TOTAL INCOME GAINS DISTRIBUTIONS TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* THROUGH 10/31/03 0.18 -- 0.18 TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 0.11 -- 0.11 Year Ended 10/31/02 0.12 -- 0.12 Year Ended 10/31/01 0.06 -- 0.06 Year Ended 10/31/00 0.08 -- 0.08 Year Ended 10/31/99 0.11 -- 0.11
* Commencement of offering of class of shares. ^ Calculated based on average shares outstanding. (b) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 110
PER SHARE OPERATING PERFORMANCE: --------------------------------- NET ASSET VALUE, END TOTAL OF PERIOD RETURN (b) TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* THROUGH 10/31/03 $ 10.05 2.28% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 14.90 16.64% Year Ended 10/31/02 $ 12.88 (16.70%) Year Ended 10/31/01 $ 15.59 (23.76%) Year Ended 10/31/00 $ 20.51 9.96% Year Ended 10/31/99 $ 18.73 24.05% RATIOS/SUPPLEMENTAL DATA ---------------------------------------------- RATIOS TO AVERAGE NET ASSETS:# ------------------------------ NET ASSETS, NET END OF INVESTMENT PERIOD NET INCOME (MILLIONS) EXPENSES (LOSS) TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* THROUGH 10/31/03 $ 201 0.50% 2.22% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 $ 630 0.84% 0.92% Year Ended 10/31/02 $ 187 0.84% 0.73% Year Ended 10/31/01 $ 212 0.84% 0.56% Year Ended 10/31/00 $ 249 0.85% 0.46% Year Ended 10/31/99 $ 163 0.85% 0.58% RATIOS/SUPPLEMENTAL DATA -------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # -------------------------------------------------- NET INVESTMENT EXPENSES INCOME (LOSS) WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO REIMBURSEMENTS REIMBURSEMENTS TURNOVER AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (b) TAX AWARE SHORT-INTERMEDIATE INCOME FUND 12/20/02* THROUGH 10/31/03 0.72% 2.00% 274% TAX AWARE U.S. EQUITY FUND Year Ended 10/31/03 0.93% 0.83% 13% Year Ended 10/31/02 0.97% 0.60% 27% Year Ended 10/31/01 0.87% 0.53% 22% Year Ended 10/31/00 0.85% 0.46% 15% Year Ended 10/31/99 0.90% 0.53% 29%
SEE NOTES TO FINANCIAL STATEMENTS. 111 JPMorgan Funds REPORT OF INDEPENDENT AUDITORS To the Trustees and Shareholders of J.P. Morgan Series Trust, J.P. Morgan Mutual Fund Group, J.P. Morgan Mutual Fund Select Group and J.P. Morgan Institutional Funds In our opinion, the accompanying statements of assets and liabilities, including the portfolios of investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Fleming Tax Aware International Opportunities Fund, JPMorgan Tax Aware Disciplined Equity Fund, JPMorgan Tax Aware Enhanced Income Fund, JPMorgan Tax Aware Large Cap Growth Fund, JPMorgan Tax Aware Large Cap Value Fund, JPMorgan Tax Aware Short-Intermediate Income Fund and JPMorgan Tax Aware U.S. Equity Fund (the "Funds") at October 31, 2003, the results of each of their operations, 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 auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at October 31, 2003 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York December 16, 2003 112 JPMorgan Funds TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Trustee of Funds Retired; Vice 71 None 522 Fifth Avenue, that are series of President and New York, NY 10036; JPMST and JPMIF Treasurer of 1941 since 2001, Funds Ingersoll-Rand that are series of Company MFSG since 1996 and (manufacturer of Funds that are industrial series of MFG since equipment) (1972 - 1987. 2000) Roland R. Eppley, Jr.; Trustee Trustee of Funds Retired 71 Director, 522 Fifth Avenue, that are series of Janel Hydro, Inc. New York, NY 10036; JPMST and JPMIF (1993-Present) 1932 since 2001, Funds that are series of MFSG since 1996 and Funds that are series of MFG since 1989. Ann Maynard Gray; Trustee Since 2001 Vice President of 71 Director of Duke 522 Fifth Avenue, Capital Cities/ABC, Energy Corporation New York, NY 10036; Inc. (1997- Present); 1945 (communications) Director of Elan (1986-1998); Corporation, Plc President of (pharmaceuticals) Diversified (2001-Present); Publishing Group Director of The (1991-1997) Phoenix Companies (wealth management) (2002-Present) Matthew Healey; 522 Trustee and Trustee of Funds Retired; Chief 71 None Fifth Avenue, New President of the that are series of Executive Officer of York, NY 10036; 1937 Board of Trustees JPMST since 1996, certain J.P. Morgan Funds that are Fund Trusts series of JPMIF (1982-2001) since 1992 and Funds that are series of MFG since 2001. Fergus Reid, III; Trustee and Trustee of Funds Chairman of Lumelite 71 Trustee of 16 522 Fifth Avenue, Chairman of the that are series of Corporation Morgan Stanley New York, NY 10036; Board of Trustees JPMST and JPMIF (plastics Funds (1995-Present) 1932 since 2001, Funds manufacturing) that are series of (1985-Present) MFSG since 1996 and Funds that are series of MFG since 1987.
113
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) James J. Trustee Since 2001 Retired; Managing 71 None Schonbachler; 522 Director of Bankers Fifth Avenue, New Trust Company, York, NY 10036; 1943 (financial services) (1968-1998); Group Head and Director of Bankers Trust, A.G., Zurich and BT Brokerage Corp. (financial services) (1995-2002) Robert J. Higgins; Trustee Since 2002 Director of 71 Director of 522 Fifth Avenue, Administration of Providian Financial New York, NY 10036; the State of Rhode Corp. (banking) 1945 Island (2002-Present) (2003-Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002) Dr. Matthew Trustee Since 2003 Chancellor of the 71 Trustee of the Goldstein; 522 Fifth City University of Albert Einstein Avenue, New York, NY New York, since School of Medicine 10036; 1941 September 1, 1999; (1998-Present); President, Adelphi Trustee of Bronx University (New Lebanon Hospital York) (1998-1999). Center (1992-Present); Director of New Plan Excel Realty Trust, Inc. (real estate investment company) (2000-Present); Director of Lincoln Center Institute for the Arts in Education (1999-Present); Director of Jewish Community Relations Counsel of New York, Inc. (2000-Present); Director of United Way of New York City (2002-Present).
114
POSITIONS NUMBER OF OTHER HELD WITH PRINCIPAL PORTFOLIOS IN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS JPMORGAN FUND HELD OUTSIDE NAME, CONTACT ADDRESS JP MORGAN AND LENGTH OF DURING PAST COMPLEX(1) OVERSEEN JP MORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS BY TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) (CONTINUED) William G. Morton, Trustee Since 2003 Formerly Chairman 71 Director of Radio Jr.; 522 Fifth Emeritus (March 2001 Shack Corporation Avenue, New York, NY - October 2002), and (electronics) 10036; 1937 Chairman and Chief (1987-Present); Executive Officer, Director of the Boston Stock Griswold Company Exchange (June 1985 (securities - March 2001). brokerage) (2002-Present); Director of The National Football Foundation and College Hall of Fame (1994-Present); Trustee of the Berklee College of Music (1998-Present); Trustee of the Stratton Mountain School (2001-Present). INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Trustee of Funds Retired; Chief 71 Director of Glenview 522 Fifth Avenue, that are series of Executive Officer of Trust; Director of New York, NY 10036; JPMST since 2001. Chase Mutual Funds Pizza Magia; Trustee 1935 (investment company) of St. Catherine (1989-1998); Chief College Trust; Investment Executive Trustee of of Chase Manhattan Bellarmine Private Bank University Trust; (investment Director of Marion management) Washington Airport (1990-1995) Board Trust; Director of Springfield Washington Economic Development Board Trust.
* Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. (1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 11 investment companies. 115
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------------------------------ OFFICERS George Gatch; President Since 2001 Managing Director, J.P. Morgan 522 Fifth Avenue, Investment Management Inc.; Head New York, NY 10036; of J.P. Morgan Fleming's U.S. 1962 Mutual Funds and Financial Intermediaries Business ("FFI"); he has held numerous positions throughout the firm in business management, marketing and sales. Patricia A. Maleski; Treasurer Since 2003 Vice President, J.P. Morgan 522 Fifth Avenue, Investment Management Inc.; New York, NY 10036; Head of FFI and U.S. 1960 Institutional Funds Administration and Board Liaison. Prior to joining J.P. Morgan Chase in 2001, she was the Vice President of Finance for the Pierpont Group, Inc., a service provider to the board of trustees of the heritage JPMorgan Funds. Sharon J. Weinberg; Secretary Since 2001 Managing Director, J.P. Morgan 522 Fifth Avenue, Investment Management Inc.; New York, NY 10036; Head of Business and Product 1959 Strategy for FFI; since joining J.P. Morgan Chase in 1996, she has held numerous positions throughout the asset management business in mutual funds marketing, legal and product development. Stephen M. Ungerman; Vice President and Assistant Since 2001 Vice President, J.P. Morgan 522 Fifth Avenue, Treasurer Investment Management Inc.; New York, NY 10036; Business Head for Vehicle 1953 Services Group within Fund Administration; prior to joining J.P. Morgan Chase in 2000, he held a number of senior management positions in Prudential Insurance Co. of America's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department; Mr. Ungerman was also the Assistant Treasurer of all mutual funds managed by Prudential. Michael Maye; Vice President and Assistant Since 2003 Vice President, JPMIM; Chief 522 Fifth Avenue, Treasurer Financial Officer of FFI; New York, NY 10036 prior to joining J.P. Morgan 1965 Chase in 2003, he was Vice President from 1999 to 2003 and Assistant Vice President from 1996 to 1999 of Planning & Analysis at Alliance Capital Management L.P. where he was responsible for forecasting, special projects and financial analysis. Judy R. Bartlett; Vice President and Assistant Since 2001 Vice President and Assistant 522 Fifth Avenue, Secretary General Counsel, J.P. Morgan New York, NY 10036; Investment Management Inc., 1965 since September 2000; from August 1998 through August 2000, she was an attorney at New York Life Insurance Company where she served as Assistant Secretary for the Mainstay Funds. Joseph J. Bertini; Vice President and Assistant Since 2001 Vice President and Assistant 522 Fifth Avenue, Secretary General Counsel, J.P. Morgan New York, NY 10036; Investment Management Inc. 1965 Wayne H. Chan; Vice President and Assistant Since 2003 Vice President and Assistant 522 Fifth Avenue, Secretary General Counsel, J.P. Morgan New York, NY 10036; Investment Management, Inc., 1965 since September 2002; Mr. Chan was an associate at the law firm of Shearman and Sterling LLP from May 2001 through September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Thomas J. Smith Vice President and Assistant Since 2002 Managing Director, Head of 522 Fifth Avenue, Secretary Compliance for J.P. Morgan New York, NY 10036 Chase & Co.'s asset management 1955 business in the Americas.
116
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------------------------------------- OFFICERS (CONTINUED) Paul M. DeRusso Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment 522 Fifth Avenue, Management Inc.; Managerof the Budgeting New York, NY 10036 and Expense Group of Funds Administration 1954 Group. Lai Ming Fung Assistant Treasurer Since 2001 Associate, J.P. Morgan Investment 522 Fifth Avenue, Management Inc.; Budgeting Analyst for the New York, NY 10036 Budgeting and Expense Group of Funds 1974 Administration Group. Mary D. Squires Assistant Treasurer Since 2001 Vice President, J.P. Morgan Investment 522 Fifth Avenue, Management Inc.; Ms. Squires has held New York, NY 10036 numerous financial and operations positions 1955 supporting the J.P. Morgan Chase organization complex. Nimish S. Bhatt Assistant Treasurer Since 2001 Senior Vice President of Alternative 3435 Stelzer Rd. Investment Products and Tax Services of Columbus, OH 43219 BISYS Fund Services, Inc. since 1963 January 2002; held various positions within BISYS since 1996, including Senior Vice President of Fund Administration and Financial Services, Vice President and Director of International Operation, Vice President of Financial Administration and Vice President of Tax. Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services of BISYS 3435 Stelzer Rd. Fund Services, Inc. since January 2003; held Columbus, OH 43219 various positions within BISYS since 1998. 1968 Arthur A. Jensen Assistant Treasurer Since 2001 Vice President of Financial Services of 3435 Stelzer Rd. BISYS Fund Services, Inc. since June 2001; Columbus, OH 43219 formerly Section Manager of Northern Trust 1966 Company and Accounting Supervisor at All state Insurance Company. Martin R. Dean Assistant Treasurer Since 2001 Vice President of Regulatory Services of 3435 Stelzer Rd. BISYS Fund Services, Inc. Columbus, OH 43219 1963 Alaina Metz Assistant Secretary Since 2001 Chief Administrative Officer of BISYS Fund 3435 Stelzer Rd. Services, Inc.; formerly, Supervisor of the Columbus, OH 43219 Blue Sky Department of Alliance Capital 1967 Management, L.P. Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, BISYS Fund 60 State Street, Services, Inc. since 2000; formerly Suite1300 Attorney at Hill, Farrer & Burrill LLP from Boston, MA 02109; 1999 to 2000 and Knapp Peterson Clarke, PC 1972 from 1997 to 1999. Lisa Hurley Assistant Secretary Since 2001 Executive Vice President and General 60 State Street, Counsel of BISYS Fund Services, Inc. Suite 1300 Boston, MA 02109 1955
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 117 JPMorgan Funds TAX LETTER (UNAUDITED) JPMORGAN FLEMING TAX AWARE INTERNATIONAL OPPORTUNITIES FUND ("FTAIO") JPMORGAN TAX AWARE DISCIPLINED EQUITY FUND ("TADE") JPMORGAN TAX AWARE ENHANCED INCOME FUND ("TAEI") JPMORGAN TAX AWARE LARGE CAP GROWTH FUND ("TALCG") JPMORGAN TAX AWARE LARGE CAP VALUE FUND ("TALCV") JPMORGAN TAX AWARE SHORT-INTERMEDIATE INCOME FUND ("TASI")@ JPMORGAN TAX AWARE U.S. EQUITY FUND ("TAUSE") Certain tax information regarding the JPMorgan Tax Aware Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended October 31, 2003. The information and distributions reported in this letter may differ from the information and distributions taxable to the shareholders for the calendar year ending December 31, 2003. The information necessary to complete your income tax returns for the calendar year ending December 31, 2003 will be received under separate cover. FOR THE FISCAL YEAR ENDED OCTOBER 31, 2003: The Funds intend to distribute the maximum amount of dividends that qualify for the reduced tax rate, pursuant to the Jobs and Growth Tax Relief Reconciliation Act of 2003. Complete information will be reported in conjunction with your 2003 Form 1099-DIV. The dividends paid from net investment income are 59.08% and 75.55% exempt from federal income tax for TAEI and TASI, respectively. The following schedule represents the percentage of distribution eligible for the dividends received deduction:
DIVIDENDS RECEIVED DEDUCTION FUND FTAIO -- TADE 100.00% TAEI -- TALCG 100.00% TALCV 100.00% TASI@ -- - -------------------------------------------------------------- TAUSE 100.00% - --------------------------------------------------------------
@ For the period 12/20/02 - 10/31/03 118 For the fiscal year ended October 31, 2003, FTAIO intends to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Gross Income and foreign tax expenses by country on October 31, 2003 are as follows (amounts in thousands):
FOREIGN TAX COUNTRY GROSS INCOME PASS THROUGH FUND FTAIO Australia $ 89,757 $ 5,183 Belgium 19,938 -- Finland 57,155 8,573 France 411,593 40,512 Germany 125,415 18,812 Hong Kong 110,580 -- India 48,254 -- Italy 171,199 25,680 Japan 215,597 21,618 Korea 125,602 -- Russian Federation 58,426 -- Singapore 41,087 9,176 Spain 154,168 23,271 Sweden 43,919 6,592 Switzerland 220,325 34,552 Thailand 12,097 1,210 The Netherlands 180,695 35,712 United Kingdom 1,321,830 237,759 Venezuela 172,236 -- $ 3,579,873 $ 468,650 - ------------------------------------------------------------------------------------------
The pass-through of the foreign tax credit will only affect those persons who are shareholders on the dividend record date in December 2003. These shareholders will receive more detailed information along with 2003 Form 1099-DIV. 119 JPMorgan Family of Funds U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity Fund Disciplined Equity Value Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund Trust Small Cap Equity Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Asia Equity Fund Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAXFREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund Funds may be registered under separate registrants. THIS PAGE IS INTENTIONALLY LEFT BLANK [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with the JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. A list of portfolio holdings is available fifteen days after month end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. JPMorgan Funds Fulfillment Center PRSRT STD 600 North Bedford Street U.S. POSTAGE East Bridgewater, MA 02333 PAID PERMIT 2891 KANSAS CITY, MO (C)J.P. Morgan Chase & Co., 2003 All rights reserved. December 2003 AN-TA-1003 ITEM 2. CODE OF ETHICS. (a) Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. 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 (2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X. (f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant's engagement to audit the registrant's financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant's full-time, permanent employees. (g) Disclose the aggregate non-audit fees billed by the registrant's accountant for services rendered to the registrant, and rendered to the registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant. (h) Disclose whether the registrant's audit committee of the board of directors has considered whether the provision of nonaudit services that were rendered to the registrant's investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant's independence. NOT APPLICABLE - ONLY EFFECTIVE FOR ANNUAL REPORTS FOR FISCAL YEARS ENDING ON OR AFTER DECEMBER 15, 2003. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. NOT APPLICABLE. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE ITEM 8. [RESERVED] ITEM 9. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive officer or officers and principal financial officer or officers, or persons performing similar functions, about the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-2(c) under the Act (17 CFR 270.30a-2(c))) based on their evaluation of these controls and procedures as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph. 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. 3 (b) Disclose whether or not there were significant changes in the registrant's internal controls or in other factors that could significantly affect these controls subsequent to the date of their evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses. THERE 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 10. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - SEE ITEM 2 ABOVE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. 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 Institutional Funds -------------------------------------------------------------------- By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date December 29, 2003 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------- Patricia A. Maleski, Treasurer Date December 29, 2003 ---------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date December 29, 2003 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. 5 EX-99.CERT 3 a2125662zex-99_cert.txt EX-99.CERT CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming International Value Fund and JPMorgan Tax Aware Short-Intermediate Income Fund (the "Funds"), each a series of J.P. Morgan Institutional Funds; 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 Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the 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 d) 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 Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ George C.W. Gatch - --------------------- George C.W. Gatch President December 29, 2003 - ----------------- Date CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, Patricia A. Maleski, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming International Value Fund and JPMorgan Tax Aware Short-Intermediate Income Fund (the "Funds"), each a series of J.P. Morgan Institutional Funds; 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 Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the 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 d) 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 Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' 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/ Patricia A. Maleski - ----------------------- Patricia A. Maleski Treasurer December 29, 2003 - ----------------- Date EX-99.906CERT 4 a2125662zex-99_906cert.txt EX-99.906CERT CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended October 31, 2003 of the JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming International Value Fund and JPMorgan Tax Aware Short-Intermediate Income Fund, each a series of J.P. Morgan Institutional Funds (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)), as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming International Value Fund and JPMorgan Tax Aware Short-Intermediate Income Fund, each a series of the Registrant. /s/ George C.W. Gatch - --------------------- George C.W. Gatch President December 29, 2003 - ----------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended October 31, 2003 of the JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming International Value Fund and JPMorgan Tax Aware Short-Intermediate Income Fund, each a series of J.P. Morgan Institutional Funds (the "Registrant"). I, Patricia A. Maleski, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)), as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of the JPMorgan Fleming Emerging Markets Equity Fund, JPMorgan Fleming International Opportunities Fund, JPMorgan Fleming International Value Fund and JPMorgan Tax Aware Short-Intermediate Income Fund, each a series of the Registrant. /s/ Patricia A. Maleski - ----------------------- Patricia A. Maleski Treasurer December 29, 2003 - ----------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----