-----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, GUplsAPCKgVvfwqyOs0MvaVMY7MnON/yXg4jIhgles5G1aCoWupiAn3qzojunohw N0NO5b4FcbU8f311w2eRug== 0001047469-05-006137.txt : 20050311 0001047469-05-006137.hdr.sgml : 20050311 20050311105939 ACCESSION NUMBER: 0001047469-05-006137 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20041231 FILED AS OF DATE: 20050311 DATE AS OF CHANGE: 20050311 EFFECTIVENESS DATE: 20050311 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN FUNDS CENTRAL INDEX KEY: 0000894089 IRS NUMBER: 133692750 STATE OF INCORPORATION: MA FISCAL YEAR END: 0731 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-07340 FILM NUMBER: 05674236 BUSINESS ADDRESS: STREET 1: C/O FUNDS DISTRIBUTOR, INC. STREET 2: 522 FIFTH AVENUE, 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 BUSINESS PHONE: 212-837-1968 MAIL ADDRESS: STREET 1: C/O FUNDS DISTRIBUTOR, INC. STREET 2: 522 FIFTH AVENUE, 11TH FLOOR CITY: NEW YORK STATE: NY ZIP: 10036 FORMER COMPANY: FORMER CONFORMED NAME: JPM PIERPONT FUNDS DATE OF NAME CHANGE: 19961011 FORMER COMPANY: FORMER CONFORMED NAME: PIERPONT FUNDS DATE OF NAME CHANGE: 19930328 N-CSR 1 a2152808zn-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 811-07340 --------------------------------------------- J.P. Morgan Funds - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) JPMorgan Funds Management, Inc., 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-480-4111 ---------------------------- Date of fiscal year end: December 31, 2004 ------------------ Date of reporting period: January 1, 2004 through December 31, 2004 ------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). ANNUAL REPORT DECEMBER 31, 2004 JPMORGAN FUNDS U.S. EQUITY MID/SMALL CAP FUNDS DYNAMIC SMALL CAP 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. SMALL COMPANY FUND U.S. SMALL COMPANY OPPORTUNITIES FUND [JPMORGAN ASSET MANAGEMENT LOGO] JPMORGAN ASSET MANAGEMENT is a premier global wealth manager that has been working with affluent investors for over a hundred years. This experience provides us with a keen understanding of the unique needs of the affluent investor's portfolio. The legacy of our experience, coupled with our GLOBAL INTELLECTUAL CAPITAL, is the foundation from which our investment products have been built. We have a worldwide investment presence. This local insight provides us with a global view of every investment decision we make which we believe is crucial in light of the ever-increasing rise of globalization in our marketplace. JPMorgan Asset Management is an EXPERIENCED PARTNER dedicated to working with your financial professional to help provide you with a broad array of WEALTH SOLUTIONS. CONTENTS President's Letter 1 Fund Commentaries: 3 Dynamic Small Cap Fund 3 Mid Cap Equity Fund 6 Mid Cap Growth Fund 9 Mid Cap Value Fund 12 Small Cap Equity Fund 15 Small Cap Growth Fund 18 Trust Small Cap Equity 21 U.S. Small Company Fund 24 U.S. Small Company Opportunities Fund 27 Portfolios of Investments 30 Financial Statements 76 Notes to Financial Statements 93 Financial Highlights 124
IMPORTANT FUND FAMILY UPDATE As shareholders of the JPMorgan Funds, we hope you share our enthusiasm regarding our 'new' fund family resulting from the successful integration of the former JPMorgan Funds and One Group Funds, effective February 19, 2005. Over the next few weeks and months, you will be hearing more about our integration, and our newly combined fund family. As we continue to integrate the two organizations our dedication to our investors remains steadfast. HIGHLIGHTS - - Year-end rally boosts returns - - Economic news positive - - Stock selection opportunities in premium growth companies 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) 480-4111 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 JPMorgan Distribution Services, Inc. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds. JPMORGAN U.S. MID AND SMALL CAP EQUITY FUNDS PRESIDENT'S LETTER JANUARY 19, 2005 [PHOTO OF GEORGE C.W. GATCH] "DURING 2004, THE EQUITY MARKET ACHIEVED ALMOST ALL OF ITS GAINS IN THE FINAL QUARTER." DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan U.S. Mid and Small Cap Equity Funds. Inside, you'll find information detailing the performance of the Funds for the year ended December 31, 2004, along with reports from the Portfolio Managers. YEAR-END RALLY BRINGS 2004 TO POSITIVE CLOSE During 2004, the equity market achieved almost all of its gains in the final quarter. This was a year in which equities made nervous progress. After starting the year on a rising trend, and then retrenching during the spring and summer, equities climbed from October onward in an exceptionally robust year-end rally. The broad-based S&P 500 Index rose by 9.2% in the quarter, lifting full-year 2004 gains to 10.9%. At the beginning of the year, a scenario of solid economic growth, accelerating corporate earnings and low inflation supported the market's progress. By spring, however, rising oil prices began to raise concerns that the economic recovery might not be sustained. In the summer, a patch of weak economic growth, a further rise in oil prices, and rising short-term rates stoked investors' fears. But in the fourth quarter, doubts were put aside as oil prices fell, the economy rebounded and the presidential election reached a clear conclusion. SMALL-CAP STOCKS OUTPERFORM Small-capitalization stocks were the best performers among U.S. equities, continuing a five-year pattern of outperformance. During 2004, the Russell 2000 Index rose 18.3%, rallying 14.1% in the fourth quarter alone. To an extent, this represents a reversion to the mean after small caps became extremely undervalued compared to large caps in the late 1990s. It is also true that small-cap stocks have tended to outperform in the early stages of past economic recoveries. OUTLOOK We believe that the U.S. economy is on a firm footing entering 2005, as it evolves from recovery to expansion. The expansion, however, is unlikely to be smooth as companies continue to manage costs aggressively. In addition, we expect the Federal Open Market Committee to increase the fed funds target rate by at least 1% in 2005 to keep inflation under control. Higher interest rates in the face of an uncertain economy could breed anxiety among investors for a good part of the year. But we expect that growth will remain solid overall and that equities will ultimately post gains. The best buying opportunities usually occur when most people are feeling doubtful about owning assets, and those opportunities will likely exist in 2005. On behalf of all of us at JPMorgan Asset Management, thank you for your business. We appreciate the trust you have placed in us, and look forward to serving your investment needs for many years to come. Should you have any questions, please feel free to contact the JPMorgan Funds Service Center at 1-800-480-4111. Sincerely yours /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 JPMORGAN DYNAMIC SMALL CAP FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 5/19/1997 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 191.8 Primary Benchmark S&P SMALLCAP 600/BARRA GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: The Dynamic Small Cap Fund, which seeks capital growth over the long term, rose 10.3% (Select Shares) in the year ended December 31, 2004. This compares to a gain of 22.0% for the S&P SmallCap 600/BARRA Growth Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets kept investors' minds off increasing short-term interest rates, high oil prices and the twin deficits. Although the Fund participated in the market's advance its return was disappointing from a relative perspective compared to its benchmark. Hindering the Fund's advance was weak stock selection in the health care, information technology and industrial sectors, which underperformed their benchmark peer group and detracted from performance. The Fund had many strong individual contributors including Immucor and Psychiatric Solutions, both of which were added to the Fund in 2004. Shares of Immucor, a supplier of blood transfusion equipment, surged on news the Food & Drug Administration approved its Galileo blood transfusion system. The Galileo system is a fully automated walk-away system that can process up to 224 blood samples at once. Psychiatric Solutions owns inpatient behavioral care facilities and also manages psychiatric units for third parties. The company, which reported third-quarter results that were in-line with expectations, increased its 2005 earnings outlook. Additionally, the company participated in a successful secondary offering before year-end, which exceeded initial expectations. Another strong contributor was Penn National Gaming, whose share price soared following the company's announcement of its acquisition of Argosy Gaming. Argosy is perhaps the most dominant and valuable riverboat casino operator in the industry. Argosy would add considerably to Penn National's financial results, as it could provide substantial cash flow and would nearly double the company's revenues and EBITDA (earnings before interest, taxes, depreciation and amortization). While the market gains were strong, a few Fund holdings suffered double-digit declines. Shares of ESS Technology, which makes semiconductor chips used in DVD players and camera cell phones, declined as excess inventory and significant competition in the image sensor business negatively impacted results. With the inventory overhang expected to last through the first half of 2005 and aggressive pricing eroding margins, we believe that ESS will continue to face a very difficult environment. As a result of these issues we exited our position. Another holding which disappointed during the year was Merit Medical Systems, a manufacturer of disposable cardiology and radiology products. The company faced an intensifying competitive landscape in 2004 that has continued to weigh on the company's ability to derive growth in a number of key markets. In light of the high degree of uncertainty surrounding future sales growth in several key business segments, we exited our position. Q: HOW WAS THE FUND MANAGED? A: During the period under review, management of the Portfolio was transitioned to Christopher Jones and Eytan Shapiro. The portfolio manager change did not affect the Portfolio's investment objectives or guidelines. The Portfolio will continue to be managed using a "bottom-up" approach to its construction. Portfolio Managers will base their stock selection on proprietary company research complemented by research derived from third-party sources. The research process is designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. 3 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 26.2% Consumer Goods & Services 22.4% Health Services & Systems 12.5% Industrial Products & Services 9.2% Energy 7.4% Pharmaceuticals 7.4% Finance & Insurance 6.7% Telecommunications 5.6% Short-Term Investments 2.2% REITs 0.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Psyciatric Solutions, Inc. 1.6% 2. The Pantry, Inc. 1.3% 3. Unit Corp. 1.3% 4. Inter-Tel, Inc. 1.3% 5. Aeroflex, Inc. 1.2% 6. Engineered Support Systems, Inc. 1.2% 7. Tech Data Corp. 1.2% 8. Eagle Materials, Inc. 1.2% 9. Nextel Partners, Inc. 1.2% 10. Penn National Gaming, Inc. 1.2%
Top 10 equity holdings comprised 12.7% of the Portfolio's market value of investments ($25,054 in thousands). As of December 31, 2004 the Fund held 136 equity holdings. Portfolio holdings are subject to change at any time. 4 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (5/19/97) -------------------------------------------- CLASS A SHARES Without Sales Charge 9.82% 5.50% 2.31% 10.99% With Sales Charge* 4.06% 3.62% 1.21% 10.21% CLASS B SHARES Without CDSC 9.12% 4.84% 1.66% 10.26% With CDSC** 4.12% 3.92% 1.32% 10.26% CLASS C SHARES Without CDSC 9.14% 4.85% 1.65% 10.25% With CDSC*** 8.14% 4.85% 1.65% 10.25% SELECT SHARES 10.27% 5.93% 2.75% 11.31%
* Sales Charge for Class A Shares is 5.25%. ** 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 1% for the period since inception. *** Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. [CHART] LIFE OF FUND PERFORMANCE (05/19/97 TO 12/31/04)
JPMORGAN DYNAMIC SMALL CAP FUND S&P SMALLCAP 600/BARRA LIPPER SMALL-CAP (CLASS A SHARES) RUSSELL 2000 INDEX GROWTH INDEX GROWTH FUNDS INDEX 5/19/97 $ 9,475 $ 10,000 $ 10,000 $ 10,000 5/31/97 $ 9,977 $ 10,000 $ 10,000 $ 10,000 6/30/97 $ 11,020 $ 10,429 $ 10,357 $ 10,535 7/31/97 $ 12,147 $ 10,914 $ 10,977 $ 11,169 8/31/97 $ 12,564 $ 11,164 $ 11,317 $ 11,347 9/30/97 $ 13,455 $ 11,981 $ 12,036 $ 12,302 10/31/97 $ 13,124 $ 11,455 $ 11,372 $ 11,674 11/30/97 $ 12,612 $ 11,381 $ 11,157 $ 11,410 12/31/97 $ 12,668 $ 11,580 $ 11,289 $ 11,258 1/31/98 $ 12,508 $ 11,397 $ 11,083 $ 11,091 2/28/98 $ 13,748 $ 12,239 $ 12,177 $ 11,988 3/31/98 $ 14,856 $ 12,743 $ 12,500 $ 12,529 4/30/98 $ 15,017 $ 12,813 $ 12,565 $ 12,621 5/31/98 $ 13,966 $ 12,123 $ 11,779 $ 11,727 6/30/98 $ 14,429 $ 12,148 $ 11,856 $ 12,071 7/31/98 $ 13,539 $ 11,164 $ 11,132 $ 11,163 8/31/98 $ 10,546 $ 8,996 $ 8,847 $ 8,725 9/30/98 $ 11,692 $ 9,701 $ 9,463 $ 9,192 10/31/98 $ 12,119 $ 10,096 $ 9,929 $ 9,554 11/30/98 $ 13,019 $ 10,625 $ 10,621 $ 10,331 12/31/98 $ 14,374 $ 11,283 $ 11,546 $ 11,366 1/31/99 $ 14,223 $ 11,433 $ 11,389 $ 11,641 2/28/99 $ 12,973 $ 10,507 $ 10,269 $ 10,521 3/31/99 $ 13,286 $ 10,671 $ 10,565 $ 10,997 4/30/99 $ 13,779 $ 11,627 $ 11,049 $ 11,426 5/31/99 $ 13,713 $ 11,797 $ 11,146 $ 11,488 6/30/99 $ 15,162 $ 12,330 $ 11,739 $ 12,564 7/31/99 $ 15,182 $ 11,992 $ 11,711 $ 12,520 8/31/99 $ 14,907 $ 11,548 $ 11,174 $ 12,345 9/30/99 $ 15,087 $ 11,551 $ 11,438 $ 12,793 10/31/99 $ 15,145 $ 11,597 $ 11,611 $ 13,538 11/30/99 $ 16,453 $ 12,289 $ 12,281 $ 15,247 12/31/99 $ 18,709 $ 13,681 $ 13,806 $ 18,321 1/31/2000 $ 18,425 $ 13,460 $ 13,616 $ 18,130 2/29/2000 $ 22,793 $ 15,683 $ 16,456 $ 23,442 3/31/2000 $ 22,262 $ 14,649 $ 14,955 $ 21,602 4/30/2000 $ 22,367 $ 13,767 $ 14,385 $ 18,932 5/31/2000 $ 20,519 $ 12,965 $ 13,770 $ 17,383 6/30/2000 $ 23,400 $ 14,095 $ 15,021 $ 20,445 7/31/2000 $ 22,036 $ 13,641 $ 13,994 $ 19,114 8/31/2000 $ 25,154 $ 14,682 $ 15,680 $ 21,169 9/30/2000 $ 23,884 $ 14,250 $ 14,846 $ 20,121 10/31/2000 $ 23,258 $ 13,615 $ 14,962 $ 18,612 11/30/2000 $ 19,741 $ 12,218 $ 12,718 $ 15,442 12/31/2000 $ 20,845 $ 13,267 $ 13,886 $ 16,807 1/31/2001 $ 20,788 $ 13,959 $ 13,897 $ 17,320 2/28/2001 $ 18,244 $ 13,043 $ 12,718 $ 15,103 3/31/2001 $ 16,505 $ 12,405 $ 12,061 $ 13,636 4/30/2001 $ 17,846 $ 13,375 $ 13,231 $ 15,109 5/31/2001 $ 18,447 $ 13,704 $ 13,382 $ 15,519 6/30/2001 $ 18,788 $ 14,177 $ 13,812 $ 15,910 7/31/2001 $ 18,232 $ 13,410 $ 13,477 $ 15,023 8/31/2001 $ 17,402 $ 12,977 $ 13,076 $ 14,134 9/30/2001 $ 15,323 $ 11,230 $ 11,416 $ 11,928 10/31/2001 $ 16,141 $ 11,887 $ 12,111 $ 12,802 11/30/2001 $ 16,867 $ 12,807 $ 12,910 $ 13,794 12/31/2001 $ 17,856 $ 13,598 $ 13,722 $ 14,630 1/31/2002 $ 17,572 $ 13,456 $ 13,703 $ 14,188 2/28/2002 $ 17,277 $ 13,087 $ 13,279 $ 13,330 3/31/2002 $ 18,265 $ 14,140 $ 14,214 $ 14,420 4/30/2002 $ 18,435 $ 14,268 $ 14,419 $ 14,040 5/31/2002 $ 17,698 $ 13,635 $ 13,761 $ 13,477 6/30/2002 $ 16,437 $ 12,959 $ 12,943 $ 12,475 7/31/2002 $ 14,404 $ 11,002 $ 11,395 $ 10,706 8/31/2002 $ 14,370 $ 10,973 $ 11,622 $ 10,690 9/30/2002 $ 13,494 $ 10,185 $ 11,048 $ 10,042 10/31/2002 $ 14,029 $ 10,512 $ 11,528 $ 10,471 11/30/2002 $ 14,528 $ 11,450 $ 12,107 $ 11,349 12/31/2002 $ 13,790 $ 10,812 $ 11,615 $ 10,591 1/31/2003 $ 13,337 $ 10,513 $ 11,297 $ 10,311 2/28/2003 $ 13,052 $ 10,195 $ 10,991 $ 9,989 3/31/2003 $ 13,268 $ 10,327 $ 11,201 $ 10,195 4/30/2003 $ 14,222 $ 11,306 $ 12,001 $ 11,037 5/31/2003 $ 15,165 $ 12,519 $ 12,813 $ 12,163 6/30/2003 $ 15,529 $ 12,745 $ 13,093 $ 12,575 7/31/2003 $ 16,415 $ 13,543 $ 13,815 $ 13,311 8/31/2003 $ 17,166 $ 14,164 $ 14,496 $ 14,016 9/30/2003 $ 16,791 $ 13,902 $ 14,119 $ 13,672 10/31/2003 $ 18,360 $ 15,069 $ 15,309 $ 14,910 11/30/2003 $ 19,211 $ 15,604 $ 15,834 $ 15,307 12/31/2003 $ 19,098 $ 15,921 $ 15,950 $ 15,328 1/31/2004 $ 19,461 $ 16,612 $ 16,490 $ 16,046 2/29/2004 $ 19,473 $ 16,761 $ 16,728 $ 15,985 3/31/2004 $ 19,701 $ 16,917 $ 16,862 $ 15,874 4/30/2004 $ 18,916 $ 16,055 $ 16,373 $ 15,098 5/31/2004 $ 19,268 $ 16,310 $ 16,674 $ 15,414 6/30/2004 $ 19,983 $ 16,996 $ 17,608 $ 15,853 7/31/2004 $ 18,414 $ 15,853 $ 16,513 $ 14,455 8/31/2004 $ 18,063 $ 15,772 $ 16,163 $ 13,986 9/30/2004 $ 18,870 $ 16,511 $ 17,072 $ 14,785 10/31/2004 $ 19,131 $ 16,837 $ 17,571 $ 15,199 11/30/2004 $ 20,391 $ 18,296 $ 18,971 $ 16,263 12/31/2004 $ 20,964 $ 18,838 $ 19,461 $ 16,980
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The Fund commenced operations on 5/19/97. Class A and Class B Shares were introduced on 5/19/97. Returns for the Select Shares prior to 4/5/99 (offering date of the Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Select Shares. Returns for the Class C Shares prior to 1/7/98 (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 Dynamic Small Cap Fund, Russell 2000 Index, S&P SmallCap 600/BARRA Growth Index, and Lipper Small-Cap Growth Funds Index from May 19, 1997 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 2000 of the smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The S&P SmallCap 600/BARRA Growth Index is a capitalization-weighted index of all the stocks in the S&P SmallCap 600 Index with higher price-to-book ratios. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Class A Shares have a $2,500 minimum initial deposit and carry a 5.25% 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 MID CAP EQUITY FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/1997 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 227.1 Primary Benchmark RUSSELL MIDCAP EQUITY INDEX
Q: HOW DID THE FUND PERFORM? A: The JPMorgan Mid Cap Equity Fund, which seeks to provide capital appreciation from a Portfolio of mid-cap stocks, returned 19.4% in the year ended December 31, 2004. The Fund's benchmark, the Russell Midcap Equity Index, returned 20.2%. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets increased investor confidence despite rising short-term interest rates, high oil prices and the twin deficits. The Fund performed well during 2004, but marginally underperformed its benchmark, the Russell Midcap Equity Index. All sectors of the Fund and benchmark posted positive returns. The Fund's stock selection in the health care and industrial sectors was particularly strong. However, the Fund's consumer discretionary names underperformed their benchmark peer group and hindered relative performance. At the stock level, Apple Computer and Assurant enhanced the Fund's performance. Shares of Apple Computer rose as consumer demand for its iPod digital music player exceeded expectations. The company has sold more than 4.5 million iPods, building on its position as a niche computer firm to become a leading marketer of digital music technology. Sales of the iPod have boosted traffic in Apple's retail stores, which are also beginning to drive higher sales of its PCs and laptops. We see Apple's renaissance as a multi-year trend that capitalizes on its brand and strong base of intellectual property, along with a design and marketing prowess that seems rare in this industry. Another top contributor was Florida Rock Industries, a producer of construction materials. The stock gained solid ground as the company continued to add to its strong position in the robust Florida construction market. This enabled the company to reward shareholders with a special $1-per-share dividend in October. Florida Rock finished the year by reporting record fiscal results, including an earnings increase of 48.3%. Although the Fund had positive results, a few names in the semiconductor industry hindered performance, particularly Novellus Systems and Amkor Technology. Semiconductor capital equipment stocks suffered declines as the strong rebound in customer demand failed to materialize and expectations for 2005 were reduced. Amkor Technology, a provider of semiconductor packaging and test services, pre-announced disappointing second-quarter results, due to lower-than-expected gross margins. Gross margins contracted because of an unfavorable product mix, rising material costs, and operational inefficiencies. Both positions were sold during the year. Q: HOW WAS THE FUND MANAGED? A: The Portfolio Manager's focus remained on stock selection, believing that quality companies trading at attractive valuations would outperform in the long term, regardless of their economic sector. The Portfolio Manager also sought to maintain significant sector diversification to avoid any large bets contingent on macroeconomic or sector trends. 6 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 27.5% Finance & Insurance 17.6% Technology 15.9% Industrial Products & Services 11.7% Health Services & Systems 8.7% Energy 6.5% Telecommunications 3.4% Pharmaceuticals 3.1% Short-Term Investments 2.1% Utilities 2.0% REITs 1.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. AutoZone, Inc. 1.4% 2. Assurant, Inc. 1.4% 3. M&T Bank, Corp. 1.4% 4. Harsco Corp. 1.3% 5. Kinder Morgan, Inc. 1.3% 6. Golden West Financial Corp. 1.2% 7. North Fork Bancorporation, Inc. 1.2% 8. VF Corp. 1.2% 9. Devon Energy Corp. 1.1% 10. IPC Holdings LTD (Bermuda) 1.1%
Top 10 equity holdings comprised 12.6% of the Portfolio's market value of investments ($28,581 in thousands). As of December 31, 2004, the Fund held 181 equity holdings. Portfolio holdings are subject to change at any time. 7 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ----------------------------------------------------- SELECT SHARES 19.36% 11.00% 8.54% 12.93%
[CHART] TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
JPMORGAN MID CAP RUSSELL MIDCAP LIPPER MID-CAP EQUITY FUND EQUITY INDEX CORE FUNDS INDEX Dec-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 Jan-1995 $ 987,100 $ 1,020,500 $ 986,900 Feb-1995 $ 1,027,176 $ 1,073,362 $ 1,025,093 Mar-1995 $ 1,073,707 $ 1,104,060 $ 1,046,312 Apr-1995 $ 1,078,110 $ 1,120,731 $ 1,045,685 May-1995 $ 1,109,806 $ 1,157,603 $ 1,060,638 Jun-1995 $ 1,141,768 $ 1,196,499 $ 1,125,973 Jul-1995 $ 1,219,066 $ 1,254,529 $ 1,197,698 Aug-1995 $ 1,230,769 $ 1,273,723 $ 1,213,747 Sep-1995 $ 1,258,092 $ 1,302,510 $ 1,242,998 Oct-1995 $ 1,198,081 $ 1,273,333 $ 1,202,974 Nov-1995 $ 1,239,295 $ 1,336,618 $ 1,239,544 Dec-1995 $ 1,246,483 $ 1,344,370 $ 1,253,675 Jan-1996 $ 1,248,353 $ 1,372,737 $ 1,267,340 Feb-1996 $ 1,271,697 $ 1,404,996 $ 1,317,273 Mar-1996 $ 1,282,125 $ 1,425,368 $ 1,332,422 Apr-1996 $ 1,321,999 $ 1,465,706 $ 1,405,838 May-1996 $ 1,348,703 $ 1,487,838 $ 1,441,828 Jun-1996 $ 1,310,131 $ 1,465,521 $ 1,391,796 Jul-1996 $ 1,189,861 $ 1,374,805 $ 1,287,133 Aug-1996 $ 1,285,644 $ 1,440,246 $ 1,356,638 Sep-1996 $ 1,396,853 $ 1,511,394 $ 1,427,726 Oct-1996 $ 1,336,089 $ 1,523,485 $ 1,412,735 Nov-1996 $ 1,348,782 $ 1,616,265 $ 1,474,613 Dec-1996 $ 1,338,666 $ 1,599,779 $ 1,478,152 Jan-1997 $ 1,374,677 $ 1,659,611 $ 1,525,009 Feb-1997 $ 1,316,665 $ 1,657,122 $ 1,483,224 Mar-1997 $ 1,214,492 $ 1,586,694 $ 1,413,068 Apr-1997 $ 1,220,929 $ 1,626,203 $ 1,422,253 May-1997 $ 1,361,824 $ 1,744,916 $ 1,569,029 Jun-1997 $ 1,429,915 $ 1,801,974 $ 1,625,828 Jul-1997 $ 1,517,426 $ 1,952,259 $ 1,739,961 Aug-1997 $ 1,486,774 $ 1,930,979 $ 1,744,485 Sep-1997 $ 1,590,848 $ 2,041,238 $ 1,862,761 Oct-1997 $ 1,524,828 $ 1,961,834 $ 1,787,878 Nov-1997 $ 1,511,257 $ 2,008,526 $ 1,785,554 Dec-1997 $ 1,539,517 $ 2,063,760 $ 1,806,623 Jan-1998 $ 1,545,060 $ 2,024,962 $ 1,774,827 Feb-1998 $ 1,705,746 $ 2,183,314 $ 1,926,042 Mar-1998 $ 1,804,168 $ 2,286,803 $ 2,019,840 Apr-1998 $ 1,849,091 $ 2,292,520 $ 2,043,068 May-1998 $ 1,728,531 $ 2,221,681 $ 1,937,850 Jun-1998 $ 1,813,920 $ 2,252,340 $ 1,959,942 Jul-1998 $ 1,703,271 $ 2,144,903 $ 1,848,421 Aug-1998 $ 1,327,359 $ 1,801,933 $ 1,471,713 Sep-1998 $ 1,460,759 $ 1,918,518 $ 1,600,046 Oct-1998 $ 1,514,222 $ 2,049,361 $ 1,691,089 Nov-1998 $ 1,611,587 $ 2,146,501 $ 1,775,982 Dec-1998 $ 1,789,506 $ 2,272,501 $ 1,946,831 Jan-1999 $ 1,818,675 $ 2,268,637 $ 1,937,681 Feb-1999 $ 1,672,090 $ 2,193,092 $ 1,801,074 Mar-1999 $ 1,740,478 $ 2,261,736 $ 1,853,486 Apr-1999 $ 1,814,100 $ 2,428,878 $ 1,959,876 May-1999 $ 1,794,871 $ 2,421,834 $ 1,983,198 Jun-1999 $ 1,945,640 $ 2,507,325 $ 2,091,283 Jul-1999 $ 1,898,556 $ 2,438,624 $ 2,050,502 Aug-1999 $ 1,867,229 $ 2,375,464 $ 1,993,909 Sep-1999 $ 1,892,624 $ 2,291,847 $ 1,956,623 Oct-1999 $ 1,963,219 $ 2,400,481 $ 2,053,671 Nov-1999 $ 2,066,680 $ 2,469,615 $ 2,207,902 Dec-1999 $ 2,238,008 $ 2,686,941 $ 2,496,033 Jan-2000 $ 2,139,088 $ 2,598,003 $ 2,469,575 Feb-2000 $ 2,287,969 $ 2,797,790 $ 2,880,018 Mar-2000 $ 2,451,787 $ 2,958,103 $ 2,857,842 Apr-2000 $ 2,426,043 $ 2,818,185 $ 2,663,509 May-2000 $ 2,324,392 $ 2,743,503 $ 2,554,039 Jun-2000 $ 2,387,383 $ 2,824,711 $ 2,761,937 Jul-2000 $ 2,379,982 $ 2,793,074 $ 2,682,670 Aug-2000 $ 2,645,112 $ 3,060,650 $ 2,944,498 Sep-2000 $ 2,591,681 $ 3,016,883 $ 2,866,175 Oct-2000 $ 2,570,688 $ 2,970,423 $ 2,764,426 Nov-2000 $ 2,364,262 $ 2,703,085 $ 2,458,680 Dec-2000 $ 2,567,352 $ 2,908,790 $ 2,651,932 Jan-2001 $ 2,586,351 $ 2,955,621 $ 2,730,164 Feb-2001 $ 2,457,033 $ 2,775,624 $ 2,515,846 Mar-2001 $ 2,276,687 $ 2,603,535 $ 2,348,039 Apr-2001 $ 2,464,514 $ 2,826,137 $ 2,575,095 May-2001 $ 2,511,093 $ 2,878,704 $ 2,636,125 Jun-2001 $ 2,491,004 $ 2,851,644 $ 2,642,979 Jul-2001 $ 2,450,152 $ 2,770,087 $ 2,559,725 Aug-2001 $ 2,372,727 $ 2,663,438 $ 2,449,401 Sep-2001 $ 2,107,456 $ 2,342,228 $ 2,136,367 Oct-2001 $ 2,178,267 $ 2,434,980 $ 2,243,186 Nov-2001 $ 2,318,983 $ 2,639,031 $ 2,412,770 Dec-2001 $ 2,466,006 $ 2,745,120 $ 2,521,586 Jan-2002 $ 2,418,412 $ 2,728,650 $ 2,492,840 Feb-2002 $ 2,373,188 $ 2,699,726 $ 2,449,714 Mar-2002 $ 2,506,798 $ 2,861,709 $ 2,615,070 Apr-2002 $ 2,503,540 $ 2,806,192 $ 2,571,921 May-2002 $ 2,483,511 $ 2,774,482 $ 2,519,711 Jun-2002 $ 2,321,835 $ 2,588,592 $ 2,337,536 Jul-2002 $ 2,135,391 $ 2,335,945 $ 2,100,510 Aug-2002 $ 2,154,823 $ 2,348,793 $ 2,124,456 Sep-2002 $ 2,009,157 $ 2,132,000 $ 1,954,924 Oct-2002 $ 2,111,825 $ 2,239,666 $ 2,046,806 Nov-2002 $ 2,200,944 $ 2,395,098 $ 2,185,988 Dec-2002 $ 2,135,796 $ 2,300,731 $ 2,083,684 Jan-2003 $ 2,106,109 $ 2,254,257 $ 2,042,427 Feb-2003 $ 2,067,567 $ 2,224,500 $ 1,999,332 Mar-2003 $ 2,105,610 $ 2,246,523 $ 2,004,330 Apr-2003 $ 2,234,474 $ 2,409,621 $ 2,155,657 May-2003 $ 2,404,517 $ 2,630,101 $ 2,336,732 Jun-2003 $ 2,427,360 $ 2,656,665 $ 2,377,859 Jul-2003 $ 2,493,141 $ 2,744,335 $ 2,451,573 Aug-2003 $ 2,570,429 $ 2,863,439 $ 2,560,177 Sep-2003 $ 2,531,101 $ 2,827,646 $ 2,517,166 Oct-2003 $ 2,698,154 $ 3,043,395 $ 2,701,926 Nov-2003 $ 2,763,179 $ 3,128,915 $ 2,775,689 Dec-2003 $ 2,825,351 $ 3,222,782 $ 2,846,191 Jan-2004 $ 2,900,505 $ 3,316,565 $ 2,923,038 Feb-2004 $ 2,986,650 $ 3,387,871 $ 2,978,868 Mar-2004 $ 3,003,375 $ 3,388,549 $ 2,971,719 Apr-2004 $ 2,935,199 $ 3,264,189 $ 2,878,110 May-2004 $ 2,992,435 $ 3,345,141 $ 2,923,296 Jun-2004 $ 3,064,254 $ 3,437,801 $ 3,002,810 Jul-2004 $ 2,922,379 $ 3,287,570 $ 2,850,267 Aug-2004 $ 2,922,379 $ 3,301,706 $ 2,839,436 Sep-2004 $ 3,016,187 $ 3,409,012 $ 2,939,100 Oct-2004 $ 3,094,608 $ 3,503,100 $ 2,987,302 Nov-2004 $ 3,259,551 $ 3,716,439 $ 3,165,046 Dec-2004 $ 3,372,739 $ 3,874,759 $ 3,285,634
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. 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 the JPMorgan Mid Cap Equity Fund, Russell MidCap Equity Index, and Lipper Mid-Cap Core Funds Index from December 31, 1994 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains. 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 MidCap Equity Index measures the performance of the smallest 800 companies of the Russell 1000 Index, which represents approximately 25% of the total market capitalization of the Russell 1000 Index. The Lipper Mid-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. 8 JPMORGAN MID CAP GROWTH FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 10/29/1999 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 57.4 Primary Benchmark RUSSELL MIDCAP GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: The JPMorgan Mid Cap Growth Fund, which seeks to provide capital appreciation from a Portfolio of mid cap stocks, rose 16.9% (Class A Shares, without sales charge) in the year ended December 31, 2004. This compares to a gain of 15.5% for the Russell Midcap Growth Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets kept investors' minds off increasing short-term interest rates, high oil prices and the twin deficits. The Fund performed well during the period, outperforming both its benchmark and the Lipper Midcap Growth Index. All sectors of the Fund and benchmark posted positive returns. The Fund's positive performance relative to the benchmark is attributable to stock selection rather than sector weightings, with the health care, technology and industrial sectors doing particularly well. At the stock level, Apple Computer and Sepracor positively contributed to the Fund's performance. Shares of Apple Computer rose as consumer demand for its iPod digital music players exceeded expectations. The company has sold more than 4.5 million iPods and has built upon its position as a niche computer player to become a leading marketer of digital music technology. Sales of the portable device have boosted traffic in Apple's retail stores, which are also beginning to drive higher sales of its PCs and laptops. We see Apple's renaissance as a multi-year trend that capitalizes on its strong base of intellectual property along with a success in design and marketing that is rare in this industry. Another top contributor was Sepracor Inc, whose share price advanced upon Food and Drug Administration approval of Lunesta, a new prescription sleep aid. Lunesta has been approved for use beyond the seven- to 10-day period to which most sleep aids are restricted, giving it a unique selling point versus the current market leader, Ambien. The drug, which was known as Estorra during development, was scheduled to be available in pharmacies in mid-January and is priced roughly 10% higher than Ambien. Although the Fund experienced positive results, a few names within the semiconductor industry hindered performance, particularly Novellus Systems and Amkor Technology. Semiconductor capital equipment stocks suffered declines as the strong rebound in customer demand failed to materialize and expectations for 2005 were reduced. Amkor Technology, a provider of semiconductor packaging and test services, pre-announced disappointing second quarter results due to lower than expected gross margins. Gross margins contracted as a result of an unfavorable product mix, rising material costs, and operational inefficiencies. Both positions were sold during the year. Q: HOW WAS THE FUND MANAGED? A: The Portfolio Manager's focus remained on stock selection, believing that quality companies, regardless of their economic sector, trading at attractive valuations will outperform in the long term. The Portfolio Manager sought to maintain significant sector diversification in the Fund to avoid any large bets contingent on macroeconomic or sector trends. 9 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 28.0% Consumer Goods & Services 25.5% Health Services & Systems 14.1% Finance & Insurance 9.1% Industrial Products & Services 8.6% Pharmaceuticals 6.5% Energy 4.3% Telecommunications 2.3% Short-Term Investments 1.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Amphenol Corp., Class A 1.9% 2. Harsco Corp. 1.8% 3. NCR Corp. 1.8% 4. Caremark Rx, Inc. 1.7% 5. DaVita, Inc. 1.5% 6. Abercrombie & Fitch Co., Class A 1.5% 7. Aetna, Inc. 1.5% 8. Omnicare, Inc. 1.4% 9. Adobe Systems, Inc. 1.4% 10. Coach, Inc. 1.3%
Top 10 equity holdings comprised 15.8% of the Portfolio's market value of investments ($9,153 in thousands). As of December 31, 2004, the Fund held 103 equity holdings. Portfolio holdings are subject to change at any time. 10 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEAR (10/29/99) ---------------------------------- CLASS A SHARES Without Sales Charge 16.90% 4.29% (16.18%) With Sales Charge* 10.81% 2.44% (17.08%) CLASS B SHARES Without CDSC 16.14% 3.55% (16.76%) With CDSC** 11.14% 2.61% (17.09%)
* Sales Charge for Class A Shares is 5.25%. ** Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 3% CDSC for the three year period, 2% CDSC for the period since inception. [CHART] LIFE OF FUND PERFORMANCE (10/29/99 TO 12/31/04)
JPMORGAN MID CAP GROWTH RUSSELL MIDCAP LIPPER MID-CAP FUND (CLASS A SHARES) GROWTH INDEX GROWTH FUNDS INDEX Oct-1999 $ 9,475 $ 10,000 $ 10,000 Oct-1999 $ 9,434 $ 10,000 $ 10,000 Nov-1999 $ 11,669 $ 11,036 $ 11,254 Dec-1999 $ 13,367 $ 12,947 $ 13,602 Jan-2000 $ 13,631 $ 12,945 $ 13,368 Feb-2000 $ 18,344 $ 15,666 $ 16,718 Mar-2000 $ 15,206 $ 15,682 $ 15,541 Apr-2000 $ 11,284 $ 14,159 $ 13,491 May-2000 $ 9,502 $ 13,127 $ 12,278 Jun-2000 $ 12,594 $ 14,519 $ 14,186 Jul-2000 $ 11,746 $ 13,600 $ 13,597 Aug-2000 $ 12,952 $ 15,651 $ 15,376 Sep-2000 $ 11,793 $ 14,886 $ 14,636 Oct-2000 $ 9,493 $ 13,868 $ 13,452 Nov-2000 $ 6,430 $ 10,854 $ 10,639 Dec-2000 $ 6,802 $ 11,426 $ 11,406 Jan-2001 $ 7,103 $ 12,079 $ 11,562 Feb-2001 $ 5,609 $ 9,989 $ 9,827 Mar-2001 $ 5,098 $ 8,560 $ 8,785 Apr-2001 $ 5,667 $ 9,987 $ 9,942 May-2001 $ 5,782 $ 9,940 $ 10,024 Jun-2001 $ 5,522 $ 9,945 $ 9,985 Jul-2001 $ 5,117 $ 9,274 $ 9,460 Aug-2001 $ 4,771 $ 8,602 $ 8,826 Sep-2001 $ 4,115 $ 7,180 $ 7,553 Oct-2001 $ 4,385 $ 7,935 $ 7,974 Nov-2001 $ 4,693 $ 8,789 $ 8,629 Dec-2001 $ 4,876 $ 9,123 $ 9,003 Jan-2002 $ 4,732 $ 8,827 $ 8,659 Feb-2002 $ 4,395 $ 8,326 $ 8,229 Mar-2002 $ 4,703 $ 8,962 $ 8,747 Apr-2002 $ 4,530 $ 8,487 $ 8,457 May-2002 $ 4,366 $ 8,235 $ 8,174 Jun-2002 $ 3,961 $ 7,325 $ 7,440 Jul-2002 $ 3,575 $ 6,613 $ 6,638 Aug-2002 $ 3,498 $ 6,590 $ 6,559 Sep-2002 $ 3,267 $ 6,066 $ 6,152 Oct-2002 $ 3,469 $ 6,536 $ 6,462 Nov-2002 $ 3,633 $ 7,048 $ 6,846 Dec-2002 $ 3,440 $ 6,623 $ 6,441 Jan-2003 $ 3,392 $ 6,558 $ 6,346 Feb-2003 $ 3,315 $ 6,501 $ 6,248 Mar-2003 $ 3,411 $ 6,622 $ 6,337 Apr-2003 $ 3,604 $ 7,072 $ 6,782 May-2003 $ 3,922 $ 7,753 $ 7,343 Jun-2003 $ 3,999 $ 7,864 $ 7,458 Jul-2003 $ 4,134 $ 8,144 $ 7,752 Aug-2003 $ 4,327 $ 8,593 $ 8,133 Sep-2003 $ 4,192 $ 8,426 $ 7,860 Oct-2003 $ 4,548 $ 9,106 $ 8,476 Nov-2003 $ 4,664 $ 9,350 $ 8,678 Dec-2003 $ 4,732 $ 9,452 $ 8,722 Jan-2004 $ 4,895 $ 9,763 $ 8,943 Feb-2004 $ 5,011 $ 9,928 $ 9,066 Mar-2004 $ 5,030 $ 9,909 $ 9,064 Apr-2004 $ 4,856 $ 9,629 $ 8,777 May-2004 $ 4,972 $ 9,856 $ 8,968 Jun-2004 $ 5,044 $ 10,013 $ 9,184 Jul-2004 $ 4,536 $ 9,350 $ 8,532 Aug-2004 $ 4,379 $ 9,235 $ 8,385 Sep-2004 $ 4,466 $ 9,580 $ 8,744 Oct-2004 $ 4,506 $ 9,905 $ 9,002 Nov-2004 $ 4,654 $ 10,416 $ 9,503 Dec-2004 $ 5,561 $ 10,915 $ 9,950
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The JPMorgan MidCap Growth Fund (formerly J.P. Morgan H&Q IPO & Emerging Company Fund) commenced operations on 10/29/99. All Share Classes were introduced on 10/29/99. The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Mid Cap Growth Fund, Russell MidCap Growth Index, and Lipper Mid-Cap Growth Funds Index from October 29, 1999 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and assumes 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 Russell MidCap Growth Index measures the performance of those Russell MidCap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-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. Class A Shares have a $2,500 minimum initial deposit and carry a 5.25% 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 MID CAP VALUE FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/13/1997 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 3,688.8 Primary Benchmark RUSSELL MIDCAP VALUE INDEX
Q: HOW DID THE FUND PERFORM? A: The Mid Cap Value Fund, which seeks to provide capital appreciation from a Portfolio of mid-cap value stocks, returned 21.0% (Institutional Shares) in the year ended December 31, 2004. Although the Fund posted strong performance, it underperformed its benchmark, the Russell Midcap Value Index, which returned 23.7% over the same period. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The majority of the relative underperformance came in the fourth quarter as the market experienced a strong reversal from high-quality to low-quality stocks. This development hindered the Fund's performance, as our overriding focus is on quality and value. When these stocks are not in favor, the Fund tends to underperform. In terms of what specifically helped the Fund's performance, our overweighting and stock selection in the energy sector and our underweighting in information technology were strong contributors. The energy sector benefited from the rally in oil and natural gas prices during the early fall. On the flip side, our stock selection in consumer discretionary and consumer staples were the main performance detractors. The consumer sectors struggled through a tough retail environment most of the year, although some of the stars recovered a bit in the fourth quarter. Our investment style emphasizes higher quality names such as Assurant, which was the Fund's greatest contributor to performance. While the insurance industry has been hit with investigations by the New York Attorney General Eliot Spitzer, Assurant was not affected and reported strong earnings above Street estimates. Another strong name in 2004 was Florida Rock Industries. The stock gained solid ground as the company continued to add to its strong position in the robust Florida construction market. This enabled the company to reward shareholders with a special $1-per-share dividend in October. Florida Rock finished off the year reporting a record fiscal result, with earnings increasing 48.3% in 2004. Although a significant number of the Fund's holdings saw double digit returns, there were some weak performers, particularly in our consumer discretionary sector. Among the names that disappointed were Gannett and Knight Ridder. The media sector faced a soft advertising environment last year, resulting in poor performance by these names. Gannett missed third-quarter earnings and management gave a cautious outlook for 2005. However, we still believe in the company's long-term fundamentals and strong management team. Knight Ridder's significant exposure to retail advertising hindered the company's earnings in 2004, as department stores' advertising spending was lackluster. As a result, the company's revenues trailed most of the industry averages. Q: HOW WAS THE FUND MANAGED? A: Despite the Fund's solid gains in 2004, performance relative to the market was somewhat muted by lack of exposure to the highly cyclical and highly leveraged segments of the market that were the driving force behind the rally in U.S. equities in the fourth quarter. As is often the case, our overriding focus on quality and value -- which generally avoids investments in highly cyclical and leveraged companies -- works to smooth out Fund performance at sharp inflection points in the market, such as the one just experienced. The Fund's return was comfortably ahead of the gain by the broad stock market as measured by the S&P 500 Index. 12 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 29.8% Finance & Insurance 23.7% Industrial Products & Services 14.7% Energy 8.5% Telecommunications 4.4% Short-Term Investments 4.2% Utilities 4.2% Health Services & Systems 4.1% Technology 4.0% REITs 2.4%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Kinder Morgan, Inc. 2.8% 2. AutoZone, Inc. 2.7% 3. Golden West Financial Corp. 2.7% 4. VF Corp. 2.5% 5. Assurant, Inc. 2.4% 6. M&T Bank Corp. 2.3% 7. Devon Energy Corp. 2.1% 8. Coventry Health Care, Inc. 1.8% 9. Old Republic International Corp. 1.8% 10. North Fork Bancorporation, Inc. 1.8%
Top 10 equity holdings comprised 22.9% of the Portfolio's market value of investments ($851,350 in thousands). As of December 31, 2004, the Fund held 89 equity holdings. Portfolio holdings are subject to change at any time. 13 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS 11/13/97) -------------------------------------------- CLASS A SHARES Without Sales Charge 20.32% 17.13% 18.94% 18.75% With Sales Charge* 14.01% 15.05% 17.67% 17.86% CLASS B SHARES Without CDSC 19.60% 16.31% 18.33% 18.32% With CDSC** 14.60% 15.57% 18.13% 18.32% CLASS C SHARES Without CDSC 19.56% 16.31% 18.37% 18.35% With CDSC*** 18.56% 16.31% 18.37% 18.35% INSTITUTIONAL SHARES 20.99% 17.72% 19.39% 19.06% SELECT SHARES 20.67% 17.41% 19.19% 18.92%
* Sales Charge for Class A Shares is 5.25%. ** 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 (11/13/97 TO 12/31/04)
JPMORGAN MID CAP VALUE FUND RUSSELL MIDCAP S&P MIDCAP 400/BARRA LIPPER MID-CAP VALUE (INSTITUTIONAL SHARES) VALUE INDEX VALUE INDEX FUNDS INDEX Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-1997 $ 3,060,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-1997 $ 3,146,904 $ 3,114,900 $ 3,180,000 $ 3,031,200 Jan-1998 $ 3,170,820 $ 3,054,471 $ 3,107,178 $ 2,992,098 Feb-1998 $ 3,321,117 $ 3,258,510 $ 3,337,109 $ 3,200,048 Mar-1998 $ 3,579,832 $ 3,426,323 $ 3,493,286 $ 3,333,810 Apr-1998 $ 3,597,732 $ 3,407,135 $ 3,515,643 $ 3,372,149 May-1998 $ 3,555,638 $ 3,327,408 $ 3,373,611 $ 3,240,973 Jun-1998 $ 3,591,906 $ 3,338,056 $ 3,348,646 $ 3,228,009 Jul-1998 $ 3,408,359 $ 3,168,817 $ 3,202,980 $ 3,045,949 Aug-1998 $ 3,050,482 $ 2,723,281 $ 2,678,332 $ 2,536,057 Sep-1998 $ 3,194,769 $ 2,882,048 $ 2,886,706 $ 2,608,588 Oct-1998 $ 3,423,515 $ 3,068,805 $ 3,114,467 $ 2,764,843 Nov-1998 $ 3,637,142 $ 3,176,520 $ 3,187,034 $ 2,866,865 Dec-1998 $ 3,768,807 $ 3,273,086 $ 3,329,176 $ 2,978,673 Jan-1999 $ 3,699,084 $ 3,196,823 $ 3,155,060 $ 2,958,716 Feb-1999 $ 3,683,917 $ 3,126,493 $ 3,004,564 $ 2,804,567 Mar-1999 $ 3,701,969 $ 3,171,202 $ 3,061,050 $ 2,860,378 Apr-1999 $ 4,002,198 $ 3,471,515 $ 3,357,359 $ 3,081,199 May-1999 $ 4,226,722 $ 3,486,095 $ 3,412,084 $ 3,107,389 Jun-1999 $ 4,366,203 $ 3,525,837 $ 3,518,200 $ 3,227,334 Jul-1999 $ 4,461,387 $ 3,437,691 $ 3,471,408 $ 3,167,952 Aug-1999 $ 4,243,225 $ 3,318,747 $ 3,339,842 $ 3,060,241 Sep-1999 $ 4,166,423 $ 3,150,818 $ 3,175,521 $ 2,990,162 Oct-1999 $ 4,316,830 $ 3,243,767 $ 3,239,032 $ 3,018,867 Nov-1999 $ 4,299,131 $ 3,184,406 $ 3,304,136 $ 3,127,245 Dec-1999 $ 4,291,393 $ 3,269,749 $ 3,406,565 $ 3,333,330 Jan-2000 $ 4,204,707 $ 3,074,218 $ 3,259,401 $ 3,158,997 Feb-2000 $ 3,944,015 $ 2,945,715 $ 3,139,781 $ 3,247,133 Mar-2000 $ 4,540,350 $ 3,302,736 $ 3,620,167 $ 3,470,536 Apr-2000 $ 4,500,849 $ 3,315,947 $ 3,587,224 $ 3,415,701 May-2000 $ 4,737,594 $ 3,372,981 $ 3,690,536 $ 3,390,766 Jun-2000 $ 4,698,272 $ 3,247,169 $ 3,523,724 $ 3,398,904 Jul-2000 $ 4,844,388 $ 3,323,153 $ 3,663,263 $ 3,422,697 Aug-2000 $ 5,010,066 $ 3,526,862 $ 3,925,187 $ 3,642,434 Sep-2000 $ 5,156,360 $ 3,560,720 $ 3,983,279 $ 3,610,745 Oct-2000 $ 5,377,568 $ 3,628,374 $ 3,945,438 $ 3,584,386 Nov-2000 $ 5,389,398 $ 3,581,205 $ 3,950,567 $ 3,391,188 Dec-2000 $ 5,805,999 $ 3,897,067 $ 4,354,315 $ 3,686,560 Jan-2001 $ 5,878,574 $ 3,883,038 $ 4,548,518 $ 3,815,590 Feb-2001 $ 5,925,602 $ 3,866,729 $ 4,397,962 $ 3,683,570 Mar-2001 $ 5,755,538 $ 3,759,620 $ 4,204,451 $ 3,544,331 Apr-2001 $ 6,049,070 $ 3,966,400 $ 4,584,954 $ 3,776,840 May-2001 $ 6,214,815 $ 4,079,045 $ 4,675,736 $ 3,882,213 Jun-2001 $ 6,299,958 $ 4,024,794 $ 4,683,218 $ 3,914,048 Jul-2001 $ 6,385,007 $ 4,008,695 $ 4,683,686 $ 3,900,348 Aug-2001 $ 6,231,767 $ 3,935,336 $ 4,588,607 $ 3,809,860 Sep-2001 $ 5,733,849 $ 3,559,905 $ 4,073,765 $ 3,433,065 Oct-2001 $ 5,737,862 $ 3,578,772 $ 4,137,723 $ 3,499,323 Nov-2001 $ 6,061,478 $ 3,829,286 $ 4,389,297 $ 3,762,122 Dec-2001 $ 6,381,524 $ 3,988,202 $ 4,665,823 $ 3,934,804 Jan-2002 $ 6,385,991 $ 4,028,482 $ 4,664,890 $ 3,918,671 Feb-2002 $ 6,566,714 $ 4,093,744 $ 4,775,447 $ 3,933,170 Mar-2002 $ 6,841,860 $ 4,302,934 $ 5,128,831 $ 4,180,173 Apr-2002 $ 6,963,645 $ 4,299,922 $ 5,205,763 $ 4,168,887 May-2002 $ 7,045,119 $ 4,293,472 $ 5,115,183 $ 4,107,604 Jun-2002 $ 6,679,478 $ 4,101,983 $ 4,827,709 $ 3,817,197 Jul-2002 $ 6,278,709 $ 3,700,399 $ 4,327,076 $ 3,443,111 Aug-2002 $ 6,455,141 $ 3,743,324 $ 4,365,154 $ 3,452,752 Sep-2002 $ 6,089,134 $ 3,365,248 $ 3,935,623 $ 3,150,982 Oct-2002 $ 6,459,354 $ 3,472,263 $ 4,093,048 $ 3,257,800 Nov-2002 $ 6,703,517 $ 3,691,016 $ 4,355,822 $ 3,520,378 Dec-2002 $ 6,587,546 $ 3,603,169 $ 4,194,221 $ 3,358,441 Jan-2003 $ 6,492,027 $ 3,503,362 $ 4,049,101 $ 3,276,831 Feb-2003 $ 6,414,772 $ 3,445,206 $ 3,963,665 $ 3,203,758 Mar-2003 $ 6,510,352 $ 3,456,920 $ 3,950,981 $ 3,216,573 Apr-2003 $ 6,923,108 $ 3,719,645 $ 4,271,801 $ 3,463,284 May-2003 $ 7,367,572 $ 4,046,974 $ 4,689,156 $ 3,774,633 Jun-2003 $ 7,403,673 $ 4,075,303 $ 4,708,850 $ 3,833,140 Jul-2003 $ 7,603,572 $ 4,202,045 $ 4,850,586 $ 3,953,884 Aug-2003 $ 7,794,422 $ 4,351,218 $ 5,097,966 $ 4,131,018 Sep-2003 $ 7,735,184 $ 4,317,278 $ 5,048,006 $ 4,069,879 Oct-2003 $ 8,175,316 $ 4,634,166 $ 5,461,438 $ 4,351,921 Nov-2003 $ 8,356,808 $ 4,768,557 $ 5,677,165 $ 4,487,701 Dec-2003 $ 8,604,170 $ 4,974,559 $ 5,880,975 $ 4,670,799 Jan-2004 $ 8,755,603 $ 5,105,887 $ 6,035,056 $ 4,805,318 Feb-2004 $ 9,021,773 $ 5,232,003 $ 6,194,985 $ 4,939,867 Mar-2004 $ 9,085,828 $ 5,240,374 $ 6,206,136 $ 4,932,457 Apr-2004 $ 8,984,975 $ 5,018,706 $ 5,965,959 $ 4,800,268 May-2004 $ 9,140,415 $ 5,147,185 $ 6,090,647 $ 4,864,111 Jun-2004 $ 9,269,378 $ 5,330,939 $ 6,280,067 $ 5,040,678 Jul-2004 $ 9,164,703 $ 5,186,471 $ 6,007,512 $ 4,844,596 Aug-2004 $ 9,276,593 $ 5,269,973 $ 6,049,564 $ 4,830,547 Sep-2004 $ 9,470,542 $ 5,423,329 $ 6,231,051 $ 4,992,370 Oct-2004 $ 9,660,002 $ 5,548,608 $ 6,282,146 $ 5,069,253 Nov-2004 $ 10,143,033 $ 5,923,694 $ 6,728,806 $ 5,394,699 Dec-2004 $ 10,410,382 $ 6,153,533 $ 6,993,921 $ 5,582,974
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The Fund commenced operations on 11/13/97. Returns for the Select Shares prior to 10/31/01 (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, Class B, and Class C Shares prior to 4/30/01 (offering date of the Class A, Class B, and Class C Shares) are calculated using the historical expenses of the Institutional Shares, which are lower than the expenses of the Class A Shares, Class B and C Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan Mid Cap Value Fund, Russell MidCap Value Index, S&P MidCap 400/BARRA Value Index, and Lipper Mid-Cap Value Funds Index from November 13, 1997 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell MidCap Value Index is an unmanaged, capitalization weighted, price only index that measures the performance of those companies included in the Russell MidCap Index that have lower price-to-book ratios and lower forecasted growth rates. The S&P MidCap 400/BARRA Value Index is an unmanaged, capitalization weighted, price only index of 400 stocks that measure performance of the mid-sized company segment of the U.S. market. The S&P MidCap 400/BARRA Value Index is a subset of the MidCap 400 Index, which contains companies with lower price-to-book ratios. The Lipper Mid-Cap Value Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. 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 SMALL CAP EQUITY FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 12/20/1994 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 356.9 Primary Benchmark S&P SMALLCAP 600 INDEX
Q: HOW DID THE FUND PERFORM? A: The JPMorgan Small Cap Equity Fund, which seeks capital growth over the long term, rose 26.1% (Class A Shares, without sales charge) in the year ended December 31, 2004. This compares with a gain of 22.7% for the S&P SmallCap 600 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets kept investors' minds off increasing short-term interest rates, high oil prices and the twin deficits. The Fund performed well during the period under review, outperforming both its benchmark and the Lipper Small Cap Core Index. All sectors of the Fund and benchmark posted positive returns in the period. The Fund's positive performance relative to the benchmark is attributable to stock selection rather than sector weightings, with names in the health care and industrial sectors doing particularly well. At the stock level, Boyd Gaming and Southwestern Energy contributed positively to performance. Shares of Boyd Gaming, a casino operator, rallied during the period after the company announced strong third-quarter earnings, which included a 68% increase in revenues as well as a 109% increase in EBITDA (earnings before interest, taxes, depreciation and amortization). The company's increased earnings can be attributed to its recent acquisition of Las Vegas casino operator Coast Casinos. Additionally, the company's joint venture with MGM Mirage, Borgata Casino, also aided results. Shares of Southwestern Energy appreciated during the year after the company raised its 2004 production outlook. The oil company, which is focused on growth through drilling, attributed its raised production forecast to a significant number of additional drilling locations in its Overton Field in Smith County, Texas, and in its Ranger Anticline area located in the Arkoma Basin in Arkansas. Although the Fund experienced strong positive results, a few names within the semiconductor sector hindered performance, particularly Standard Microsystems and Cirrus Logic. Semiconductor stocks suffered declines as the strong rebound in customer demand failed to materialize and expectations for 2005 were reduced. Shares of Standard Microsystems, a manufacturer of computer networking chips, generated a negative return during the year after the company lowered its fiscal 2004 revenue forecast due to a general slowdown in orders across all of its businesses. Shares of analog and digital chipmaker Cirrus Logic declined significantly during the year as the company reduced its 2004 earnings. The company cited lower-than-expected demand for DVD recorders, that incorporate its technology, as well as an industry-wide inventory correction within the supply chain for DVD players. Q: HOW WAS THE FUND MANAGED? A: During the period, management of the portfolio was transitioned to a new team. The Portfolio Manager change did not affect the Fund's investment objectives or guidelines. The Portfolio Managers utilize a "bottom up" approach to construct the Fund's portfolio, basing their stock selection on a combination of proprietary company research complemented by research derived from third-party sources. The research process is designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. Effective May 1, 2005, the Fund will change its primary benchmark from the S&P SmallCap 600 Index to the Russell 2000 Index, as approved by the Board of Directors on February 14, 2005. 15 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 24.5% Industrial Products & Services 19.3% Technology 16.8% Finance & Insurance 16.5% Health Services & Systems 9.4% Energy 5.6% Short-Term Investments 3.6% Utilities 2.5% REITs 1.8%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Micros Systems, Inc. 1.6% 2. Commercial Metals Co. 1.4% 3. Southwestern Energy Co. 1.4% 4. Georgia Gulf Corp. 1.3% 5. Jarden Corp. 1.3% 6. Landstar System, Inc. 1.3% 7. CACI International, Inc. Class A 1.3% 8. Quiksilver, Inc. 1.3% 9. Plains Exploration & Production Co. 1.3% 10. Boyd Gaming Corp. 1.3%
Top 10 equity holdings comprised 13.5% of the Portfolio's market value of investments ($47,640 in thousands). As of December 31, 2004, the Fund held 119 equity holdings. Portfolio holdings are subject to change at any time. 16 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------- CLASS A SHARES Without Sales Charge 26.13% 12.46% 8.78% 15.38% With Sales Charge* 19.49% 10.46% 7.61% 14.76% CLASS B SHARES Without CDSC 25.22% 11.63% 7.95% 14.70% With CDSC** 20.22% 10.83% 7.65% 14.70% SELECT SHARES 26.81% 13.05% 9.37% 15.87%
* Sales Charge for Class A Shares is 5.25%. ** 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 (12/31/94 TO 12/31/04)
JPMORGAN SMALL CAP EQUITY FUND LIPPER SMALL-CAP (CLASS A SHARES) S&P SMALLCAP 600 INDEX CORE FUNDS INDEX Dec-1994 $ 9,475 $ 10,000 $ 10,000 Jan-1995 $ 9,183 $ 9,858 $ 10,103 Feb-1995 $ 9,721 $ 10,264 $ 10,505 Mar-1995 $ 10,488 $ 10,471 $ 10,728 Apr-1995 $ 10,863 $ 10,705 $ 10,908 May-1995 $ 11,209 $ 10,872 $ 11,040 Jun-1995 $ 12,048 $ 11,469 $ 11,479 Jul-1995 $ 12,991 $ 12,346 $ 12,114 Aug-1995 $ 13,457 $ 12,614 $ 12,518 Sep-1995 $ 13,860 $ 12,936 $ 12,732 Oct-1995 $ 13,796 $ 12,297 $ 12,281 Nov-1995 $ 14,181 $ 12,783 $ 12,648 Dec-1995 $ 14,595 $ 12,917 $ 13,073 Jan-1996 $ 14,661 $ 13,021 $ 13,169 Feb-1996 $ 15,208 $ 13,447 $ 13,635 Mar-1996 $ 15,644 $ 13,734 $ 13,976 Apr-1996 $ 17,129 $ 14,537 $ 14,940 May-1996 $ 17,870 $ 15,040 $ 15,614 Jun-1996 $ 17,693 $ 14,323 $ 14,905 Jul-1996 $ 16,154 $ 13,283 $ 13,695 Aug-1996 $ 17,332 $ 14,287 $ 14,393 Sep-1996 $ 18,129 $ 14,914 $ 14,998 Oct-1996 $ 17,804 $ 14,811 $ 14,717 Nov-1996 $ 18,258 $ 15,581 $ 15,248 Dec-1996 $ 18,797 $ 15,764 $ 15,518 Jan-1997 $ 19,389 $ 16,027 $ 15,864 Feb-1997 $ 18,608 $ 15,695 $ 15,449 Mar-1997 $ 17,478 $ 14,890 $ 14,670 Apr-1997 $ 16,961 $ 15,072 $ 14,674 May-1997 $ 19,013 $ 16,843 $ 16,239 Jun-1997 $ 20,200 $ 17,345 $ 17,156 Jul-1997 $ 21,375 $ 18,692 $ 18,189 Aug-1997 $ 21,732 $ 19,163 $ 18,635 Sep-1997 $ 23,117 $ 20,430 $ 20,032 Oct-1997 $ 22,185 $ 19,547 $ 19,235 Nov-1997 $ 21,996 $ 19,405 $ 18,989 Dec-1997 $ 22,133 $ 19,797 $ 18,968 Jan-1998 $ 21,958 $ 19,411 $ 18,691 Feb-1998 $ 23,895 $ 21,179 $ 20,087 Mar-1998 $ 25,503 $ 21,988 $ 21,033 Apr-1998 $ 25,212 $ 22,118 $ 21,235 May-1998 $ 23,788 $ 20,948 $ 20,133 Jun-1998 $ 24,292 $ 21,010 $ 20,061 Jul-1998 $ 22,781 $ 19,403 $ 18,614 Aug-1998 $ 17,803 $ 15,658 $ 15,016 Sep-1998 $ 19,160 $ 16,618 $ 15,648 Oct-1998 $ 19,760 $ 17,389 $ 16,290 Nov-1998 $ 21,008 $ 18,368 $ 17,199 Dec-1998 $ 22,872 $ 19,542 $ 18,279 Jan-1999 $ 22,238 $ 19,298 $ 18,142 Feb-1999 $ 20,159 $ 17,557 $ 16,660 Mar-1999 $ 20,461 $ 17,784 $ 16,735 Apr-1999 $ 21,515 $ 18,959 $ 17,864 May-1999 $ 21,418 $ 19,422 $ 18,234 Jun-1999 $ 22,952 $ 20,527 $ 19,288 Jul-1999 $ 22,982 $ 20,346 $ 19,182 Aug-1999 $ 22,483 $ 19,451 $ 18,478 Sep-1999 $ 22,483 $ 19,535 $ 18,463 Oct-1999 $ 22,229 $ 19,486 $ 18,624 Nov-1999 $ 23,429 $ 20,300 $ 19,825 Dec-1999 $ 26,018 $ 21,969 $ 21,964 Jan-2000 $ 25,318 $ 21,288 $ 21,542 Feb-2000 $ 28,716 $ 24,560 $ 24,580 Mar-2000 $ 28,705 $ 23,246 $ 24,231 Apr-2000 $ 28,989 $ 22,446 $ 22,884 May-2000 $ 27,273 $ 22,074 $ 21,911 Jun-2000 $ 29,446 $ 23,480 $ 23,844 Jul-2000 $ 28,495 $ 22,902 $ 23,102 Aug-2000 $ 31,390 $ 24,934 $ 25,160 Sep-2000 $ 30,602 $ 24,253 $ 24,514 Oct-2000 $ 30,471 $ 24,406 $ 23,776 Nov-2000 $ 27,192 $ 21,865 $ 21,408 Dec-2000 $ 29,702 $ 24,559 $ 23,487 Jan-2001 $ 28,615 $ 25,610 $ 24,323 Feb-2001 $ 26,583 $ 24,048 $ 22,778 Mar-2001 $ 25,368 $ 22,944 $ 21,701 Apr-2001 $ 27,413 $ 24,692 $ 23,430 May-2001 $ 27,813 $ 25,164 $ 24,283 Jun-2001 $ 28,125 $ 26,085 $ 25,034 Jul-2001 $ 28,319 $ 25,649 $ 24,453 Aug-2001 $ 27,478 $ 25,064 $ 23,768 Sep-2001 $ 24,516 $ 21,676 $ 20,654 Oct-2001 $ 25,408 $ 22,831 $ 21,881 Nov-2001 $ 26,508 $ 24,502 $ 23,507 Dec-2001 $ 27,855 $ 26,161 $ 25,157 Jan-2002 $ 28,036 $ 26,389 $ 24,860 Feb-2002 $ 27,764 $ 25,935 $ 24,197 Mar-2002 $ 29,019 $ 27,984 $ 26,055 Apr-2002 $ 29,509 $ 28,776 $ 26,183 May-2002 $ 28,863 $ 27,584 $ 25,206 Jun-2002 $ 27,154 $ 26,158 $ 23,795 Jul-2002 $ 23,907 $ 22,462 $ 20,561 Aug-2002 $ 24,088 $ 22,675 $ 20,670 Sep-2002 $ 22,824 $ 21,288 $ 19,206 Oct-2002 $ 23,150 $ 21,969 $ 19,888 Nov-2002 $ 23,854 $ 23,111 $ 21,356 Dec-2002 $ 23,033 $ 22,332 $ 20,318 Jan-2003 $ 22,278 $ 21,564 $ 19,725 Feb-2003 $ 21,990 $ 20,874 $ 19,109 Mar-2003 $ 21,977 $ 21,039 $ 19,270 Apr-2003 $ 23,553 $ 22,745 $ 20,875 May-2003 $ 25,077 $ 24,579 $ 22,708 Jun-2003 $ 25,521 $ 25,218 $ 23,230 Jul-2003 $ 26,707 $ 26,529 $ 24,422 Aug-2003 $ 28,166 $ 27,821 $ 25,479 Sep-2003 $ 27,422 $ 27,003 $ 24,926 Oct-2003 $ 29,846 $ 29,344 $ 26,886 Nov-2003 $ 30,667 $ 30,453 $ 27,854 Dec-2003 $ 31,409 $ 30,992 $ 28,628 Jan-2004 $ 31,839 $ 31,885 $ 29,535 Feb-2004 $ 32,387 $ 32,497 $ 30,049 Mar-2004 $ 33,025 $ 32,923 $ 30,374 Apr-2004 $ 32,437 $ 31,830 $ 29,329 May-2004 $ 32,541 $ 32,317 $ 29,584 Jun-2004 $ 34,546 $ 34,107 $ 30,847 Jul-2004 $ 32,905 $ 32,238 $ 29,222 Aug-2004 $ 32,898 $ 31,954 $ 28,968 Sep-2004 $ 34,823 $ 33,638 $ 30,407 Oct-2004 $ 35,937 $ 34,267 $ 30,906 Nov-2004 $ 38,801 $ 37,197 $ 33,347 Dec-2004 $ 39,630 $ 38,016 $ 33,888
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The Fund commenced operations on 12/20/94. Returns for the Select Shares prior to 5/7/96 (offering date of the Select Shares) are calculated using the historical expenses of the Class A Shares, which are higher than the expenses of the Select Shares. Returns for the Class B Shares prior to 3/28/95 (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 Small Cap Equity Fund, S&P SmallCap 600 Index and Lipper Small-Cap Core Funds Index from December 31, 1994 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and includes a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The S&P SmallCap 600 Index includes 600 stocks of small U.S. Companies chosen for market size, liquidity and industry group representation. The Lipper Small-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. Class A Shares have a $2,500 minimum initial deposit and carry a 5.25% 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 SMALL CAP GROWTH FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/14/1997 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 6.0 Primary Benchmark RUSSELL 2000 GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: The Small Cap Growth Fund, which seeks to provide capital appreciation from a Portfolio of small-cap growth stocks, rose 17.1% (Institutional Shares) in the year ended December 31, 2004. This compares to a gain of 14.3% for the Russell 2000 Growth Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets kept investors' minds off increasing short-term interest rates, high oil prices and the twin deficits. The Fund outperformed both its benchmark and the Lipper Small Cap Growth Index. The Fund's positive performance relative to the benchmark is attributable to stock selection rather than sector weightings, with names in the consumer discretionary and financial sectors doing particularly well. At the stock level, Psychiatric Solutions and Alliance Data Systems positively contributed to the Fund's performance. Psychiatric Solutions owns inpatient behavioral care facilities and also manages psychiatric units for third parties. Shares of the company advanced after they reported strong earnings throughout the year and increased its 2005 earnings outlook. During the year the firm acquired four psychiatric facilities and an inpatient management contract from Heartland. Additionally, the company participated in a successful secondary offering before year end, and net proceeds will be used to reduce debt. Alliance Data Systems, the largest U.S. specialty retail credit card processing company, reported stellar earnings throughout the year. The company offers a combination of strong earnings visibility as approximately 90% of its annual revenue is recurring. Despite the Fund's positive return for the period, a number of individual holdings, particularly in the technology sector, performed poorly. In particular, shares of Staktek Holdings declined after the company lowered quarterly earnings guidance. Staktek attributed the shortfall to a shortage of DRAM, with license revenues from Samsung making up the bulk of that business. Additionally, the company continues to experience market share erosion. As a result of these issues we exited our position. Another detractor from performance was chip maker Conexant Systems, whose share price declined significantly during the year. The company's balance sheet has been severely impacted by increased inventories as demand continues to weaken for many of its products. Given the uncertainty about when sales will pick up and the lack of any near term growth drivers, we exited our position. Q: HOW WAS THE FUND MANAGED? A: The Fund Managers utilize a "bottom up" approach to construct the Fund's portfolio, basing their stock selection on a combination of proprietary company research complemented by research derived from third-party sources. The research process is designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. 18 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 25.3% Technology 20.4% Health Services & Systems 12.8% Industrial Products & Services 9.2% Finance & Insurance 7.6% Pharmaceuticals 7.5% Telecommunications 6.4% Energy 5.9% Short-Term Investments 3.6% REITs 1.3%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. General Cable Corp. 1.6% 2. Psychiatric Solutions, Inc. 1.5% 3. Sunrise Senior Living, Inc. 1.4% 4. Inter-Tel, Inc. 1.3% 5. Aeroflex, Inc. 1.3% 6. The Pantry, Inc. 1.3% 7. Genesco, Inc. 1.3% 8. Unit Corp. 1.3% 9. Global Imaging Systems, Inc. 1.2% 10. Hyperion Solutions Corp. 1.2%
Top 10 equity holdings comprised 13.4% of the Portfolio's market value of investments ($798 in thousands). As of December 31, 2004 the Fund held 126 equity holdings. Portfolio holdings are subject to change at any time. 19 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (11/14/97) ----------------------------------------------- CLASS A SHARES Without Sales Charge 16.17% (1.24%) (4.71%) 4.29% With Sales Charge* 10.14% (2.99%) (5.74%) 3.51% INSTITUTIONAL SHARES 17.09% (0.50%) (4.14%) 4.73% SELECT SHARES 16.69% (0.76%) (4.33%) 4.58%
* Sales Charge for Class A Shares is 5.25%. [CHART] LIFE OF FUND PERFORMANCE (11/14/97 TO 12/31/04)
JPMORGAN SMALL CAP GROWTH FUND RUSSELL 2000 GROWTH LIPPER SMALL-CAP (INSTITUTIONAL SHARES) RUSSELL 2000 INDEX INDEX GROWTH FUNDS INDEX Nov-1997 $ 3,000,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Nov-1997 $ 2,991,000 $ 3,000,000 $ 3,000,000 $ 3,000,000 Dec-1997 $ 3,061,887 $ 3,052,500 $ 3,001,800 $ 2,960,100 Jan-1998 $ 3,116,082 $ 3,004,271 $ 2,961,876 $ 2,916,291 Feb-1998 $ 3,278,430 $ 3,226,286 $ 3,223,410 $ 3,151,927 Mar-1998 $ 3,485,627 $ 3,359,209 $ 3,358,471 $ 3,294,394 Apr-1998 $ 3,524,666 $ 3,377,685 $ 3,378,957 $ 3,318,443 May-1998 $ 3,389,319 $ 3,195,628 $ 3,133,645 $ 3,083,497 Jun-1998 $ 3,482,525 $ 3,202,338 $ 3,165,608 $ 3,173,844 Jul-1998 $ 3,233,176 $ 2,942,949 $ 2,901,280 $ 2,935,171 Aug-1998 $ 2,599,150 $ 2,371,428 $ 2,231,664 $ 2,294,129 Sep-1998 $ 2,845,550 $ 2,557,111 $ 2,457,955 $ 2,416,865 Oct-1998 $ 3,019,697 $ 2,661,441 $ 2,586,261 $ 2,512,090 Nov-1998 $ 3,193,934 $ 2,800,901 $ 2,786,954 $ 2,716,323 Dec-1998 $ 3,516,521 $ 2,974,276 $ 3,039,174 $ 2,988,498 Jan-1999 $ 3,590,016 $ 3,013,834 $ 3,175,937 $ 3,060,820 Feb-1999 $ 3,427,748 $ 2,769,714 $ 2,885,338 $ 2,766,369 Mar-1999 $ 3,461,340 $ 2,812,921 $ 2,988,056 $ 2,891,409 Apr-1999 $ 3,819,588 $ 3,064,959 $ 3,251,902 $ 3,004,174 May-1999 $ 3,969,698 $ 3,109,707 $ 3,257,105 $ 3,020,697 Jun-1999 $ 4,118,562 $ 3,250,266 $ 3,428,754 $ 3,303,434 Jul-1999 $ 4,338,905 $ 3,161,209 $ 3,322,806 $ 3,291,872 Aug-1999 $ 4,090,720 $ 3,044,244 $ 3,198,533 $ 3,245,786 Sep-1999 $ 4,171,307 $ 3,044,853 $ 3,260,264 $ 3,363,608 Oct-1999 $ 4,286,018 $ 3,057,032 $ 3,343,727 $ 3,559,706 Nov-1999 $ 4,599,754 $ 3,239,537 $ 3,697,159 $ 4,008,941 Dec-1999 $ 5,152,645 $ 3,606,253 $ 4,348,968 $ 4,817,144 Jan-2000 $ 4,814,116 $ 3,548,192 $ 4,308,523 $ 4,767,045 Feb-2000 $ 5,118,849 $ 4,133,999 $ 5,311,116 $ 6,163,790 Mar-2000 $ 5,393,220 $ 3,861,568 $ 4,752,918 $ 5,679,932 Apr-2000 $ 5,272,951 $ 3,629,102 $ 4,272,873 $ 4,977,892 May-2000 $ 5,020,904 $ 3,417,525 $ 3,898,570 $ 4,570,701 Jun-2000 $ 5,746,927 $ 3,715,533 $ 4,402,265 $ 5,375,601 Jul-2000 $ 5,468,775 $ 3,595,893 $ 4,024,991 $ 5,025,650 Aug-2000 $ 5,991,590 $ 3,870,260 $ 4,448,420 $ 5,565,907 Sep-2000 $ 5,687,217 $ 3,756,474 $ 4,227,333 $ 5,290,395 Oct-2000 $ 5,367,596 $ 3,588,936 $ 3,884,074 $ 4,893,615 Nov-2000 $ 4,524,883 $ 3,220,711 $ 3,178,726 $ 4,060,232 Dec-2000 $ 4,751,580 $ 3,497,370 $ 3,373,264 $ 4,419,157 Jan-2001 $ 5,014,817 $ 3,679,583 $ 3,646,161 $ 4,553,941 Feb-2001 $ 4,283,657 $ 3,438,202 $ 3,146,272 $ 3,971,037 Mar-2001 $ 3,683,945 $ 3,270,074 $ 2,860,276 $ 3,585,449 Apr-2001 $ 4,265,272 $ 3,525,794 $ 3,210,374 $ 3,972,678 May-2001 $ 4,460,621 $ 3,612,528 $ 3,284,855 $ 4,080,337 Jun-2001 $ 4,705,955 $ 3,737,161 $ 3,374,531 $ 4,183,162 Jul-2001 $ 4,228,771 $ 3,534,980 $ 3,086,684 $ 3,950,159 Aug-2001 $ 3,915,419 $ 3,420,800 $ 2,893,766 $ 3,716,310 Sep-2001 $ 3,102,187 $ 2,960,361 $ 2,426,712 $ 3,136,194 Oct-2001 $ 3,529,048 $ 3,133,542 $ 2,660,162 $ 3,366,077 Nov-2001 $ 3,951,475 $ 3,376,078 $ 2,882,285 $ 3,626,948 Dec-2001 $ 4,233,215 $ 3,584,382 $ 3,061,852 $ 3,846,741 Jan-2002 $ 4,165,060 $ 3,547,104 $ 2,952,850 $ 3,730,570 Feb-2002 $ 3,688,161 $ 3,449,914 $ 2,761,800 $ 3,504,870 Mar-2002 $ 3,947,070 $ 3,727,287 $ 3,001,801 $ 3,791,568 Apr-2002 $ 3,674,722 $ 3,761,205 $ 2,936,962 $ 3,691,471 May-2002 $ 3,356,858 $ 3,594,207 $ 2,765,150 $ 3,543,443 Jun-2002 $ 3,007,074 $ 3,415,935 $ 2,530,665 $ 3,280,165 Jul-2002 $ 2,534,662 $ 2,900,129 $ 2,141,702 $ 2,815,038 Aug-2002 $ 2,548,350 $ 2,892,588 $ 2,140,631 $ 2,810,815 Sep-2002 $ 2,298,611 $ 2,684,900 $ 1,986,077 $ 2,640,480 Oct-2002 $ 2,471,237 $ 2,771,086 $ 2,086,573 $ 2,753,228 Nov-2002 $ 2,721,079 $ 3,018,267 $ 2,293,352 $ 2,983,949 Dec-2002 $ 2,539,311 $ 2,850,149 $ 2,135,111 $ 2,784,621 Jan-2003 $ 2,475,828 $ 2,771,200 $ 2,077,036 $ 2,711,107 Feb-2003 $ 2,380,509 $ 2,687,510 $ 2,021,579 $ 2,626,521 Mar-2003 $ 2,421,454 $ 2,722,179 $ 2,052,105 $ 2,680,627 Apr-2003 $ 2,621,466 $ 2,980,241 $ 2,246,234 $ 2,902,047 May-2003 $ 2,884,923 $ 3,300,021 $ 2,499,385 $ 3,198,055 Jun-2003 $ 2,944,064 $ 3,359,751 $ 2,547,623 $ 3,306,469 Jul-2003 $ 3,103,043 $ 3,570,072 $ 2,740,223 $ 3,499,898 Aug-2003 $ 3,289,226 $ 3,733,581 $ 2,887,373 $ 3,685,393 Sep-2003 $ 3,171,143 $ 3,664,510 $ 2,814,322 $ 3,594,732 Oct-2003 $ 3,434,665 $ 3,972,329 $ 3,057,480 $ 3,920,415 Nov-2003 $ 3,507,480 $ 4,113,346 $ 3,157,154 $ 4,024,698 Dec-2003 $ 3,561,846 $ 4,196,847 $ 3,171,361 $ 4,030,332 Jan-2004 $ 3,779,830 $ 4,378,991 $ 3,337,857 $ 4,218,952 Feb-2004 $ 3,761,687 $ 4,418,401 $ 3,332,851 $ 4,202,920 Mar-2004 $ 3,784,257 $ 4,459,493 $ 3,348,515 $ 4,173,920 Apr-2004 $ 3,611,695 $ 4,232,059 $ 3,180,420 $ 3,969,815 May-2004 $ 3,707,044 $ 4,299,348 $ 3,243,710 $ 4,052,784 Jun-2004 $ 3,829,715 $ 4,480,351 $ 3,351,725 $ 4,168,288 Jul-2004 $ 3,480,030 $ 4,178,823 $ 3,050,741 $ 3,800,645 Aug-2004 $ 3,439,282 $ 4,157,511 $ 2,985,150 $ 3,677,504 Sep-2004 $ 3,625,659 $ 4,352,498 $ 3,150,228 $ 3,887,490 Oct-2004 $ 3,775,729 $ 4,438,243 $ 3,226,779 $ 3,996,340 Nov-2004 $ 4,043,773 $ 4,823,038 $ 3,499,442 $ 4,276,083 Dec-2004 $ 4,170,437 $ 4,965,800 $ 3,625,072 $ 4,464,659
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The Fund commenced operations on 11/14/97. Returns for the Select Shares prior to 10/31/01 (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 4/30/01 (offering date of the Class A Shares) are calculated using the historical expenses of the Institutional 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 Small Cap Growth Fund, Russell 2000 Index, Russell 2000 Growth Index and Lipper Small-Cap Growth Funds Index from November 14, 1997 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund's inception. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 2000 of the smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Russell 2000 Growth Index measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. 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 TRUST SMALL CAP EQUITY FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 1/1/1997 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 903.7 Primary Benchmark RUSSELL 2000 INDEX
Q: HOW DID THE FUND PERFORM? A: The JPMorgan Trust Small Cap Equity Fund, which seeks capital growth over the long term, rose 22.3% during year ended December 31, 2004, outperforming its benchmark, the Russell 2000 Index, which delivered a return of 18.3% for the same period. Q: WHY DID THE FUND PERFORM THIS WAY? A: The Fund participated in the market's advance as stock selection within the health care and industrial sectors contributed to performance. In addition, the Fund benefited from holding an overweight position in energy as the sector returned over 57% during the period. Alternatively, stock selection within the utilities and telecommunication sectors hindered performance. An underweight position in the finance sector also detracted from results as interest rate levels continued to hold steady, helping the interest rate sensitive sectors to defy predictions for a sharp drop. Going forward, we would anticipate that the performance of the Fund will be driven by broader stock selection and sector weightings structured more closely in line with the Russell 2000 benchmark. At the stock level, Aaron Rents, Boyd Gaming, and Southwestern Energy contributed positively to performance. Aaron Rents is the second largest rent-to-own retailer in the United States specializing in residential and office furniture. The company's stock price increased during the period as a result of better-than-expected operating results. Boyd Gaming is an owner and operator of casino properties in Nevada, Mississippi, Illinois, Indiana, New Jersey and Louisiana. The company's share price increased during the year due to strong gaming volume in Atlantic City and Las Vegas. In addition, the company was helped by strong results at its newest property, the Borgata, located in Atlantic City. Lastly, Southwestern Energy is an integrated energy company primarily focused on natural gas. The market reacted positively to Southwestern Energy after the company announced that it is testing a new shale gas play on the Arkansas side of the Arkoma Basin. The company also benefited from rising energy prices. Although the Fund experienced positive results, a few names within the semiconductor sector hindered performance, particularly Standard Microsystems and Cirrus Logic. Standard Microsystems produces input/output chips, which perform basic control and interface functions for PCs. The company's stock price declined during the period due to demand deterioration in the PC market. Cirrus Logic is a leading player in consumer audio semiconductors and an early contender in the DVD recorder markets. During the year, the stock declined as a result of weak demand for DVD recorders, which led to excess inventory. Q: HOW WAS THE FUND MANAGED? A: During the period, management of the Fund was transitioned to a new team and changed its benchmark from the S&P Small Cap 600 Index to the Russell 2000. The Portfolio Managers strive to add value to stock selection rather than market timing or sector bets. To control risk and produce consistent excess returns, holdings in the Fund have increased to approximately 650 names and sector weightings will be within 1% of the Russell 2000 Index. The strategy's targeted tracking error relative to the benchmark is approximately 3%. 21 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 24.5% Industrial Products & Services 19.3% Technology 16.8% Finance & Insurance 16.5% Health Services & Systems 9.4% Energy 5.6% Short-Term Investments 3.6% Utilities 2.5% REITs 1.8%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Applied Industrial Technologies, Inc. 1.0% 2. Houston Exploration Co. 1.0% 3. Southwestern Energy Co. 0.8% 4. Moog, Inc., Class A 0.8% 5. CarrAmerica Realty Corp. 0.8% 6. Cash America International, Inc. 0.7% 7. R&G Financial Corp. (Peurto Rico), Class B 0.6% 8. Quanex Corp. 0.6% 9. Landry's Restaurants, Inc. 0.6% 10. Energen Corp. 0.6%
Top 10 equity holdings comprised 7.5% of the Portfolio's market value of investments ($66,557 in thousands). As of December 31, 2004, the Fund held 700 equity holdings. Portfolio holdings are subject to change at any time. 22 ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ---------------------------------------------- SELECT SHARES 22.31% 11.16% 7.98% 9.11%
[CHART] TEN-YEAR FUND PERFORMANCE (12/31/94 TO 12/31/04)
JPMORGAN TRUST S&P SMALL CAP 600 LIPPER SMALL-CAP SMALL CAP EQUITY INDEX RUSSELL 2000 INDEX CORE FUNDS INDEX Dec-1994 $ 1,000,000 $ 1,000,000 $ 1,000,000 $ 1,000,000 Jan-1995 $ 1,013,600 $ 985,800 $ 987,400 $ 1,010,300 Feb-1995 $ 1,039,548 $ 1,026,415 $ 1,028,476 $ 1,050,510 Mar-1995 $ 1,048,072 $ 1,047,149 $ 1,046,063 $ 1,072,781 Apr-1995 $ 1,055,619 $ 1,070,500 $ 1,069,285 $ 1,090,803 May-1995 $ 1,072,931 $ 1,087,200 $ 1,087,677 $ 1,104,002 Jun-1995 $ 1,121,856 $ 1,146,887 $ 1,144,128 $ 1,147,941 Jul-1995 $ 1,166,955 $ 1,234,624 $ 1,210,029 $ 1,211,423 Aug-1995 $ 1,189,244 $ 1,261,415 $ 1,235,077 $ 1,251,763 Sep-1995 $ 1,216,596 $ 1,293,581 $ 1,257,185 $ 1,273,168 Oct-1995 $ 1,172,921 $ 1,229,678 $ 1,200,989 $ 1,228,098 Nov-1995 $ 1,209,750 $ 1,278,251 $ 1,251,430 $ 1,264,818 Dec-1995 $ 1,198,500 $ 1,291,672 $ 1,284,468 $ 1,307,316 Jan-1996 $ 1,198,260 $ 1,302,135 $ 1,283,055 $ 1,316,859 Feb-1996 $ 1,223,663 $ 1,344,715 $ 1,323,086 $ 1,363,476 Mar-1996 $ 1,269,061 $ 1,373,357 $ 1,350,077 $ 1,397,563 Apr-1996 $ 1,326,930 $ 1,453,698 $ 1,422,306 $ 1,493,995 May-1996 $ 1,339,005 $ 1,503,996 $ 1,478,345 $ 1,561,374 Jun-1996 $ 1,322,669 $ 1,432,256 $ 1,417,585 $ 1,490,488 Jul-1996 $ 1,265,133 $ 1,328,274 $ 1,293,830 $ 1,369,460 Aug-1996 $ 1,321,811 $ 1,428,692 $ 1,369,002 $ 1,439,303 Sep-1996 $ 1,365,828 $ 1,491,411 $ 1,422,530 $ 1,499,753 Oct-1996 $ 1,337,009 $ 1,481,120 $ 1,400,623 $ 1,471,708 Nov-1996 $ 1,392,093 $ 1,558,139 $ 1,458,328 $ 1,524,837 Dec-1996 $ 1,388,613 $ 1,576,369 $ 1,496,536 $ 1,551,826 Jan-1997 $ 1,365,562 $ 1,602,694 $ 1,526,467 $ 1,586,432 Feb-1997 $ 1,363,377 $ 1,569,518 $ 1,489,374 $ 1,544,867 Mar-1997 $ 1,311,296 $ 1,489,002 $ 1,419,076 $ 1,467,006 Apr-1997 $ 1,319,951 $ 1,507,168 $ 1,423,049 $ 1,467,446 May-1997 $ 1,451,814 $ 1,684,260 $ 1,581,434 $ 1,623,876 Jun-1997 $ 1,537,035 $ 1,734,451 $ 1,649,278 $ 1,715,625 Jul-1997 $ 1,617,576 $ 1,869,218 $ 1,725,969 $ 1,818,906 Aug-1997 $ 1,615,150 $ 1,916,322 $ 1,765,494 $ 1,863,469 Sep-1997 $ 1,686,539 $ 2,042,991 $ 1,894,728 $ 2,003,229 Oct-1997 $ 1,635,943 $ 1,954,734 $ 1,811,550 $ 1,923,500 Nov-1997 $ 1,600,279 $ 1,940,464 $ 1,799,774 $ 1,898,880 Dec-1997 $ 1,634,045 $ 1,979,662 $ 1,831,271 $ 1,896,791 Jan-1998 $ 1,600,384 $ 1,941,058 $ 1,802,336 $ 1,869,098 Feb-1998 $ 1,722,653 $ 2,117,889 $ 1,935,529 $ 2,008,719 Mar-1998 $ 1,809,647 $ 2,198,792 $ 2,015,273 $ 2,103,330 Apr-1998 $ 1,806,752 $ 2,211,765 $ 2,026,357 $ 2,123,522 May-1998 $ 1,737,915 $ 2,094,763 $ 1,917,136 $ 2,013,311 Jun-1998 $ 1,724,533 $ 2,101,047 $ 1,921,162 $ 2,006,063 Jul-1998 $ 1,654,689 $ 1,940,317 $ 1,765,548 $ 1,861,426 Aug-1998 $ 1,408,471 $ 1,565,836 $ 1,422,679 $ 1,501,612 Sep-1998 $ 1,450,021 $ 1,661,821 $ 1,534,074 $ 1,564,830 Oct-1998 $ 1,496,567 $ 1,738,930 $ 1,596,665 $ 1,628,988 Nov-1998 $ 1,593,096 $ 1,836,832 $ 1,680,330 $ 1,719,886 Dec-1998 $ 1,689,956 $ 1,954,205 $ 1,784,342 $ 1,827,895 Jan-1999 $ 1,678,295 $ 1,929,778 $ 1,808,074 $ 1,814,186 Feb-1999 $ 1,550,745 $ 1,755,712 $ 1,661,620 $ 1,665,967 Mar-1999 $ 1,526,243 $ 1,778,360 $ 1,687,541 $ 1,673,463 Apr-1999 $ 1,646,206 $ 1,895,910 $ 1,838,745 $ 1,786,422 May-1999 $ 1,707,774 $ 1,942,170 $ 1,865,591 $ 1,823,401 Jun-1999 $ 1,757,470 $ 2,052,680 $ 1,949,915 $ 1,928,794 Jul-1999 $ 1,725,660 $ 2,034,616 $ 1,896,488 $ 1,918,185 Aug-1999 $ 1,607,452 $ 1,945,093 $ 1,826,318 $ 1,847,788 Sep-1999 $ 1,511,969 $ 1,953,457 $ 1,826,683 $ 1,846,310 Oct-1999 $ 1,433,801 $ 1,948,573 $ 1,833,990 $ 1,862,373 Nov-1999 $ 1,520,689 $ 2,030,024 $ 1,943,479 $ 1,982,496 Dec-1999 $ 1,629,874 $ 2,196,892 $ 2,163,481 $ 2,196,407 Jan-2000 $ 1,550,662 $ 2,128,788 $ 2,128,649 $ 2,154,236 Feb-2000 $ 1,692,238 $ 2,455,983 $ 2,480,089 $ 2,457,983 Mar-2000 $ 1,719,314 $ 2,324,588 $ 2,316,651 $ 2,423,080 Apr-2000 $ 1,744,416 $ 2,244,622 $ 2,177,188 $ 2,288,357 May-2000 $ 1,667,836 $ 2,207,361 $ 2,050,258 $ 2,191,101 Jun-2000 $ 1,804,765 $ 2,347,970 $ 2,229,041 $ 2,384,357 Jul-2000 $ 1,746,291 $ 2,290,210 $ 2,157,266 $ 2,310,203 Aug-2000 $ 1,928,429 $ 2,493,352 $ 2,321,865 $ 2,516,042 Sep-2000 $ 1,869,997 $ 2,425,283 $ 2,253,602 $ 2,451,380 Oct-2000 $ 1,866,070 $ 2,440,562 $ 2,153,092 $ 2,377,593 Nov-2000 $ 1,663,788 $ 2,186,500 $ 1,932,184 $ 2,140,785 Dec-2000 $ 1,821,183 $ 2,455,877 $ 2,098,159 $ 2,348,655 Jan-2001 $ 1,763,633 $ 2,560,988 $ 2,207,473 $ 2,432,267 Feb-2001 $ 1,642,119 $ 2,404,768 $ 2,062,663 $ 2,277,819 Mar-2001 $ 1,572,657 $ 2,294,389 $ 1,961,799 $ 2,170,078 Apr-2001 $ 1,692,179 $ 2,469,221 $ 2,115,211 $ 2,343,033 May-2001 $ 1,715,870 $ 2,516,384 $ 2,167,245 $ 2,428,319 Jun-2001 $ 1,735,431 $ 2,608,483 $ 2,242,015 $ 2,503,354 Jul-2001 $ 1,745,670 $ 2,564,922 $ 2,120,722 $ 2,445,277 Aug-2001 $ 1,695,744 $ 2,506,441 $ 2,052,223 $ 2,376,809 Sep-2001 $ 1,518,369 $ 2,167,570 $ 1,775,994 $ 2,065,447 Oct-2001 $ 1,577,282 $ 2,283,102 $ 1,879,889 $ 2,188,134 Nov-2001 $ 1,654,726 $ 2,450,225 $ 2,025,393 $ 2,350,713 Dec-2001 $ 1,741,599 $ 2,616,105 $ 2,150,360 $ 2,515,733 Jan-2002 $ 1,759,712 $ 2,638,865 $ 2,127,996 $ 2,486,047 Feb-2002 $ 1,743,347 $ 2,593,477 $ 2,069,689 $ 2,419,670 Mar-2002 $ 1,825,807 $ 2,798,362 $ 2,236,092 $ 2,605,500 Apr-2002 $ 1,859,037 $ 2,877,555 $ 2,256,440 $ 2,618,267 May-2002 $ 1,819,439 $ 2,758,424 $ 2,156,254 $ 2,520,606 Jun-2002 $ 1,713,366 $ 2,615,814 $ 2,049,304 $ 2,379,452 Jul-2002 $ 1,510,161 $ 2,246,199 $ 1,739,859 $ 2,056,084 Aug-2002 $ 1,522,695 $ 2,267,538 $ 1,735,336 $ 2,066,982 Sep-2002 $ 1,437,881 $ 2,128,765 $ 1,610,738 $ 1,920,639 Oct-2002 $ 1,455,711 $ 2,196,885 $ 1,662,443 $ 1,988,822 Nov-2002 $ 1,498,217 $ 2,311,123 $ 1,810,733 $ 2,135,597 Dec-2002 $ 1,446,529 $ 2,233,239 $ 1,709,875 $ 2,031,807 Jan-2003 $ 1,397,925 $ 2,156,415 $ 1,662,512 $ 1,972,478 Feb-2003 $ 1,381,430 $ 2,087,410 $ 1,612,304 $ 1,910,937 Mar-2003 $ 1,379,910 $ 2,103,900 $ 1,633,103 $ 1,926,989 Apr-2003 $ 1,477,470 $ 2,274,527 $ 1,787,921 $ 2,087,507 May-2003 $ 1,571,585 $ 2,457,854 $ 1,979,765 $ 2,270,790 Jun-2003 $ 1,599,559 $ 2,521,758 $ 2,015,598 $ 2,323,018 Jul-2003 $ 1,671,219 $ 2,652,889 $ 2,141,775 $ 2,442,189 Aug-2003 $ 1,761,967 $ 2,782,085 $ 2,239,868 $ 2,547,936 Sep-2003 $ 1,708,579 $ 2,700,292 $ 2,198,431 $ 2,492,646 Oct-2003 $ 1,861,326 $ 2,934,407 $ 2,383,099 $ 2,688,568 Nov-2003 $ 1,918,096 $ 3,045,328 $ 2,467,699 $ 2,785,356 Dec-2003 $ 1,955,691 $ 3,099,230 $ 2,517,793 $ 2,862,789 Jan-2004 $ 1,978,573 $ 3,188,488 $ 2,627,065 $ 2,953,540 Feb-2004 $ 2,019,529 $ 3,249,707 $ 2,650,709 $ 3,004,931 Mar-2004 $ 2,063,555 $ 3,292,278 $ 2,675,360 $ 3,037,384 Apr-2004 $ 2,035,903 $ 3,182,974 $ 2,538,917 $ 2,932,898 May-2004 $ 2,045,676 $ 3,231,674 $ 2,579,286 $ 2,958,415 Jun-2004 $ 2,171,689 $ 3,410,708 $ 2,687,874 $ 3,084,739 Jul-2004 $ 2,044,863 $ 3,223,802 $ 2,506,980 $ 2,922,173 Aug-2004 $ 2,000,489 $ 3,195,432 $ 2,494,194 $ 2,896,750 Sep-2004 $ 2,098,513 $ 3,363,831 $ 2,611,172 $ 3,040,719 Oct-2004 $ 2,138,595 $ 3,426,735 $ 2,662,612 $ 3,090,586 Nov-2004 $ 2,322,941 $ 3,719,721 $ 2,893,460 $ 3,334,743 Dec-2004 $ 2,392,024 $ 3,801,555 $ 2,979,107 $ 3,388,766
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. 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 the JPMorgan Trust Small Cap Equity Fund, Russell 2000 Index, S&P Small Cap 600 Index and Lipper Small-Cap Core Funds Index from June 30, 1994 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains. During the year ended December 31, 2004, the Fund changed its benchmark from the S&P Small Cap 600 Index to the Russell 2000 Index. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 2000 of the smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The S&P Small Cap 600 Index includes 600 stocks of small U.S. Companies chosen for market size, liquidity, and industry group representation. The Lipper Small-Cap Core Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investor's 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. 23 JPMORGAN U.S. SMALL COMPANY FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 11/4/1993 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 210.8 Primary Benchmark RUSSELL 2000 INDEX
Q: HOW DID THE FUND PERFORM? A: The JPMorgan U.S. Small Company Fund, which seeks to provide high total return from a portfolio of small company stocks, had a return of 13.8% (Institutional Shares) during the year ended delivered December 31, 2004. This compares to an 18.3% return from the Russell 2000 Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM THIS WAY? A: Stock selection negatively impacted relative performance during the period under review, particularly within the software, consumer cyclical and hardware sectors. In addition, the Fund's overweight position in the health care sector also hindered performance. Going forward, we would anticipate that the Fund's performance will be driven by broader stock selection and sector weightings structured more closely in line with the Russell 2000 benchmark. Among the holdings that disappointed during the year was the biopharmaceutical company Adolor. The company's share price declined after it announced that a Phase III trial of a key gastrointestinal drug failed to show significant improvement over the placebo. Maxtor, a hard disk drive manufacturer, was another detractor to the Fund. The company came under pressure as its peer group was hurt by high levels of inventory and weak pricing. Another detractor to performance was Northwest Airlines. In the beginning of the year, airlines expected to break even or post a small profit, reversing a slump that began in 2000. Instead, the industry was beset with rising fuel prices and fare wars that contributed to weaker ticket prices. Alternatively, the finance and basic material sectors aided performance. The largest stock contributor to the Fund was Encore Wire, a leading manufacturer of copper electrical wire. Encore was aided by low inventory and higher copper prices, which resulted in record prices for finished goods. Another contributor was biotechnology company AtheroGenics. The company's share price soared after the firm reported positive results in a Phase IIb clinical trial for its anti-inflammatory drug that is used in the treatment of atherosclerosis, a heart disease in which plaque builds up in the inner lining of an artery. Q: HOW WAS THE FUND MANAGED? A: During the period under review, management of the Fund was transitioned to a new team. The Portfolio Managers strive to add value through stock selection rather than market timing or sector bets. To control risk and produce consistent excess returns, holdings in the Fund have increased to approximately 650 names and sector weightings will be within 1% of the Russell 2000 Index. The strategy's targeted tracking error relative to the benchmark is approximately 3%. 24 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 18.8% Technology 17.6% Industrial Products & Services 17.6% Finance & Insurance 13.9% REITs 7.6% Health Services & Systems 6.4% Energy 6.3% Pharmaceuticals 5.6% Telecommunications 2.6% Utilities 2.1% Short-Term Investments 1.5%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Applied Industrial Technologies, Inc. 1.0% 2. Houston Exploration Co. 1.0% 3. Aaron Rents, Inc. 1.0% 4. Delphi Financial Group,Inc., Class A 0.9% 5. Universal Forest Products, Inc. 0.9% 6. Southwestern Energy Co. 0.8% 7. Moog, Inc., Class A 0.8% 8. CarrAmerica Realty Corp. 0.8% 9. Cash America International,Inc. 0.7% 10. R&G Financial Corp. (Puerto Rico), Class B 0.7%
Top 10 equity holdings comprised 8.6% of the Portfolio's market value of investments ($17,887 in thousands). As of December 31, 2004, the Fund held 726 equity holdings. Portfolio holdings are subject to change at any time. 25 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
1 YEAR 3 YEARS 5 YEARS 10 YEARS ------------------------------------------------ INSTITUTIONAL SHARES 13.82% 8.27% 0.90% 10.83% SELECT SHARES 13.73% 8.11% 0.74% 10.69%
[CHART] TEN YEAR PERFORMANCE (12/31/94 TO 12/31/04)
JPMORGAN U.S. SMALL COMPANY FUND LIPPER SMALL-CAP (INSTITUTIONAL SHARES) RUSSELL 2000 INDEX CORE FUNDS INDEX Dec-1994 $ 3,000,000 $ 3,000,000 $ 3,000,000 Jan-1995 $ 2,994,000 $ 2,962,200 $ 3,030,900 Feb-1995 $ 3,135,317 $ 3,085,428 $ 3,151,530 Mar-1995 $ 3,234,393 $ 3,138,188 $ 3,218,342 Apr-1995 $ 3,312,665 $ 3,207,856 $ 3,272,410 May-1995 $ 3,354,736 $ 3,263,031 $ 3,312,007 Jun-1995 $ 3,529,182 $ 3,432,383 $ 3,443,824 Jul-1995 $ 3,709,523 $ 3,630,088 $ 3,634,268 Aug-1995 $ 3,784,827 $ 3,705,231 $ 3,755,289 Sep-1995 $ 3,849,547 $ 3,771,554 $ 3,819,504 Oct-1995 $ 3,722,897 $ 3,602,966 $ 3,684,294 Nov-1995 $ 3,877,397 $ 3,754,290 $ 3,794,454 Dec-1995 $ 3,956,496 $ 3,853,404 $ 3,921,948 Jan-1996 $ 3,982,609 $ 3,849,165 $ 3,950,578 Feb-1996 $ 4,125,983 $ 3,969,259 $ 4,090,429 Mar-1996 $ 4,184,572 $ 4,050,232 $ 4,192,690 Apr-1996 $ 4,399,659 $ 4,266,919 $ 4,481,985 May-1996 $ 4,549,248 $ 4,435,036 $ 4,684,123 Jun-1996 $ 4,363,638 $ 4,252,756 $ 4,471,463 Jul-1996 $ 4,060,802 $ 3,881,490 $ 4,108,381 Aug-1996 $ 4,274,806 $ 4,107,005 $ 4,317,908 Sep-1996 $ 4,447,081 $ 4,267,589 $ 4,499,260 Oct-1996 $ 4,471,095 $ 4,201,868 $ 4,415,124 Nov-1996 $ 4,636,525 $ 4,374,985 $ 4,574,510 Dec-1996 $ 4,780,721 $ 4,489,609 $ 4,655,479 Jan-1997 $ 4,883,029 $ 4,579,401 $ 4,759,296 Feb-1997 $ 4,777,067 $ 4,468,122 $ 4,634,602 Mar-1997 $ 4,543,946 $ 4,257,227 $ 4,401,018 Apr-1997 $ 4,515,774 $ 4,269,147 $ 4,402,339 May-1997 $ 4,978,641 $ 4,744,303 $ 4,871,628 Jun-1997 $ 5,211,641 $ 4,947,834 $ 5,146,875 Jul-1997 $ 5,547,271 $ 5,177,908 $ 5,456,717 Aug-1997 $ 5,658,216 $ 5,296,482 $ 5,590,406 Sep-1997 $ 6,011,289 $ 5,684,184 $ 6,009,687 Oct-1997 $ 5,758,815 $ 5,434,649 $ 5,770,501 Nov-1997 $ 5,784,729 $ 5,399,323 $ 5,696,639 Dec-1997 $ 5,865,715 $ 5,493,812 $ 5,690,373 Jan-1998 $ 5,692,677 $ 5,407,009 $ 5,607,293 Feb-1998 $ 6,227,219 $ 5,806,587 $ 6,026,158 Mar-1998 $ 6,552,903 $ 6,045,819 $ 6,309,990 Apr-1998 $ 6,500,480 $ 6,079,071 $ 6,370,566 May-1998 $ 6,150,754 $ 5,751,409 $ 6,039,934 Jun-1998 $ 6,110,774 $ 5,763,487 $ 6,018,190 Jul-1998 $ 5,580,359 $ 5,296,644 $ 5,584,278 Aug-1998 $ 4,484,376 $ 4,268,036 $ 4,504,837 Sep-1998 $ 4,790,659 $ 4,602,223 $ 4,694,491 Oct-1998 $ 4,935,816 $ 4,789,994 $ 4,886,965 Nov-1998 $ 5,177,671 $ 5,040,990 $ 5,159,658 Dec-1998 $ 5,556,159 $ 5,353,027 $ 5,483,684 Jan-1999 $ 5,565,049 $ 5,424,222 $ 5,442,557 Feb-1999 $ 5,084,228 $ 4,984,860 $ 4,997,900 Mar-1999 $ 5,285,564 $ 5,062,624 $ 5,020,390 Apr-1999 $ 5,569,399 $ 5,516,235 $ 5,359,267 May-1999 $ 5,486,972 $ 5,596,772 $ 5,470,204 Jun-1999 $ 5,899,043 $ 5,849,746 $ 5,786,381 Jul-1999 $ 5,871,318 $ 5,689,463 $ 5,754,556 Aug-1999 $ 5,784,422 $ 5,478,953 $ 5,543,364 Sep-1999 $ 5,949,278 $ 5,480,049 $ 5,538,929 Oct-1999 $ 6,219,970 $ 5,501,969 $ 5,587,118 Nov-1999 $ 7,008,663 $ 5,830,437 $ 5,947,487 Dec-1999 $ 8,017,209 $ 6,490,442 $ 6,589,221 Jan-2000 $ 7,976,321 $ 6,385,946 $ 6,462,708 Feb-2000 $ 9,544,466 $ 7,440,266 $ 7,373,950 Mar-2000 $ 8,682,601 $ 6,949,952 $ 7,269,240 Apr-2000 $ 7,444,462 $ 6,531,565 $ 6,865,070 May-2000 $ 6,926,327 $ 6,150,775 $ 6,573,304 Jun-2000 $ 8,062,938 $ 6,687,122 $ 7,153,070 Jul-2000 $ 7,654,953 $ 6,471,797 $ 6,930,609 Aug-2000 $ 8,531,445 $ 6,965,595 $ 7,548,127 Sep-2000 $ 8,297,684 $ 6,760,807 $ 7,354,140 Oct-2000 $ 7,701,080 $ 6,459,275 $ 7,132,780 Nov-2000 $ 6,521,275 $ 5,796,553 $ 6,422,355 Dec-2000 $ 7,249,049 $ 6,294,477 $ 7,045,966 Jan-2001 $ 7,348,361 $ 6,622,419 $ 7,296,802 Feb-2001 $ 6,583,397 $ 6,187,988 $ 6,833,456 Mar-2001 $ 6,106,100 $ 5,885,396 $ 6,510,233 Apr-2001 $ 6,729,533 $ 6,345,634 $ 7,029,099 May-2001 $ 6,991,312 $ 6,501,736 $ 7,284,958 Jun-2001 $ 7,122,749 $ 6,726,046 $ 7,510,063 Jul-2001 $ 6,734,559 $ 6,362,167 $ 7,335,830 Aug-2001 $ 6,430,157 $ 6,156,669 $ 7,130,426 Sep-2001 $ 5,512,573 $ 5,327,982 $ 6,196,340 Oct-2001 $ 5,811,355 $ 5,639,668 $ 6,564,403 Nov-2001 $ 6,215,244 $ 6,076,179 $ 7,052,138 Dec-2001 $ 6,606,804 $ 6,451,079 $ 7,547,198 Jan-2002 $ 6,470,044 $ 6,383,988 $ 7,458,141 Feb-2002 $ 6,349,054 $ 6,209,067 $ 7,259,009 Mar-2002 $ 6,837,931 $ 6,708,275 $ 7,816,501 Apr-2002 $ 6,779,809 $ 6,769,321 $ 7,854,802 May-2002 $ 6,495,735 $ 6,468,763 $ 7,561,818 Jun-2002 $ 6,164,452 $ 6,147,912 $ 7,138,356 Jul-2002 $ 5,306,977 $ 5,219,578 $ 6,168,253 Aug-2002 $ 5,359,516 $ 5,206,007 $ 6,200,945 Sep-2002 $ 5,033,121 $ 4,832,215 $ 5,761,918 Oct-2002 $ 5,112,141 $ 4,987,329 $ 5,966,466 Nov-2002 $ 5,449,031 $ 5,432,199 $ 6,406,791 Dec-2002 $ 5,261,040 $ 5,129,626 $ 6,095,421 Jan-2003 $ 5,028,502 $ 4,987,535 $ 5,917,435 Feb-2003 $ 4,795,682 $ 4,836,912 $ 5,732,811 Mar-2003 $ 4,816,783 $ 4,899,308 $ 5,780,967 Apr-2003 $ 5,234,398 $ 5,363,762 $ 6,262,521 May-2003 $ 5,784,534 $ 5,939,294 $ 6,812,371 Jun-2003 $ 5,927,412 $ 6,046,795 $ 6,969,055 Jul-2003 $ 6,197,109 $ 6,425,324 $ 7,326,568 Aug-2003 $ 6,508,823 $ 6,719,604 $ 7,643,808 Sep-2003 $ 6,323,973 $ 6,595,292 $ 7,477,937 Oct-2003 $ 6,984,828 $ 7,149,296 $ 8,065,703 Nov-2003 $ 7,153,861 $ 7,403,096 $ 8,356,069 Dec-2003 $ 7,367,046 $ 7,553,379 $ 8,588,367 Jan-2004 $ 7,451,767 $ 7,881,196 $ 8,860,619 Feb-2004 $ 7,568,760 $ 7,952,126 $ 9,014,793 Mar-2004 $ 7,642,934 $ 8,026,081 $ 9,112,153 Apr-2004 $ 7,260,787 $ 7,616,751 $ 8,798,695 May-2004 $ 7,271,678 $ 7,737,857 $ 8,875,244 Jun-2004 $ 7,478,921 $ 8,063,621 $ 9,254,217 Jul-2004 $ 7,022,707 $ 7,520,939 $ 8,766,519 Aug-2004 $ 6,974,952 $ 7,482,583 $ 8,690,251 Sep-2004 $ 7,320,212 $ 7,833,516 $ 9,122,156 Oct-2004 $ 7,452,708 $ 7,987,836 $ 9,271,759 Nov-2004 $ 8,105,565 $ 8,680,381 $ 10,004,228 Dec-2004 $ 8,387,371 $ 8,937,321 $ 10,166,297
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The Fund commenced operations on 11/4/93. 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 U.S. Small Company 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 U.S. Small Company Fund, which are similar to the expenses of the Select Shares. The graph illustrates comparative performance for $3,000,000 invested in Institutional Shares of the JPMorgan U.S. Small Company Fund, Russell 2000 Index, and Lipper Small-Cap Core Funds Index from December 31, 1994 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 2000 of the smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-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. 26 JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND AS OF DECEMBER 31, 2004 (Unaudited) FUND FACTS Fund Inception 6/16/1997 Fiscal Year End DECEMBER 31 Net Assets as of 12/31/2004 (In Millions) $ 6.6 Primary Benchmark RUSSELL 2000 GROWTH INDEX
Q: HOW DID THE FUND PERFORM? A: The U.S. Small Company Opportunities Fund, which seeks to provide capital appreciation from a portfolio of small-cap growth stocks, rose 18.9% in the year ended December 31, 2004. This compares to a gain of 14.3% for the Russell 2000 Growth Index, the Fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: The U.S. equity markets recorded another year of gains as strong earnings growth and healthy corporate balance sheets kept investors' minds off increasing short-term interest rates, high oil prices and the twin deficits. The Fund outperformed both its benchmark and the Lipper Small Cap Growth Index. The Fund's positive performance relative to the benchmark is attributable to stock selection rather than sector weightings, with names in the consumer discretionary and financial sectors doing particularly well. At the stock level, Psychiatric Solutions and Alliance Data Systems positively contributed to the Fund's performance. Psychiatric Solutions owns inpatient behavioral care facilities and also manages psychiatric units for third parties. Shares of the company advanced after it reported strong earnings throughout the year and increased its 2005 earnings outlook. During the year the firm acquired four psychiatric facilities and an inpatient management contract from Heartland. Additionally, the company participated in a successful secondary offering before year end, and net proceeds will be used to reduce debt. Alliance Data Systems, the largest U.S. specialty retail credit card processing company, reported stellar earnings throughout the year. The company offers a combination of strong earnings visibility as approximately 90% of its annual revenue is recurring. Despite the Fund's positive return for the period, a number of individual holdings, particularly in the technology sector, performed poorly. In particular, shares of Staktek Holdings declined after the company lowered quarterly earnings guidance. Staktek attributed the shortfall to a shortage of DRAM, with license revenues from Samsung making up the bulk of that business. Additionally, the company continues to experience market share erosion. As a result of these issues we exited our position. Another detractor from performance was chip-maker Conexant Systems, whose share price declined significantly during the year. The company's balance sheet has been severely impacted by increased inventories as demand continues to weaken for many of its products. Given the uncertainty about when sales will pick up and the lack of any near term growth drivers, we exited our position. Q: HOW WAS THE FUND MANAGED? A: The Portfolio Managers utilize a "bottom up" approach to construct the Fund's portfolio, basing their stock selection on a combination of proprietary company research complemented by research derived from third-party sources. The research process is designed to identify companies with predictable and durable business models deemed capable of achieving sustainable growth. Potential investments are subjected to rigorous financial analysis and a disciplined approach to valuation. 27 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 24.1% Consumer Goods & Services 24.0% Health Services & Systems 13.2% Finance & Insurance 8.5% Pharmaceuticals 8.2% Industrial Products & Services 7.9% Telecommunications 6.1% Energy 6.0% REITs 1.4% Short-Term Investments 0.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. Psychiatric Solutions, Inc. 1.5% 2. Aeroflex, Inc. 1.4% 3. General Cable Corp. 1.3% 4. The Pantry, Inc. 1.3% 5. Genesco, Inc. 1.3% 6. Inter-Tel, Inc. 1.3% 7. Unit Corp. 1.3% 8. Champion Enterprises, Inc. 1.2% 9. Sunrise Senior Living, Inc. 1.2% 10. Tech Data Corp. 1.2%
Top 10 equity holdings comprised 13.0% of the Portfolio's market value of investments ($870 in thousands). As of December 31, 2004, the Fund held 125 equity holdings. Portfolio holdings are subject to change at any time. 28 AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2004
SINCE INCEPTION 1 YEAR 3 YEARS 5 YEARS (6/16/97) -------------------------------------------------- SELECT SHARES 18.85% 0.76% (9.62%) 2.61%
[CHART] LIFE OF FUND PERFORMANCE (06/16/97 TO 12/31/04)
JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND RUSSELL 2000 GROWTH LIPPER SMALL-CAP (SELECT SHARES) INDEX GROWTH FUNDS INDEX Jun-1997 $ 1,000,000 $ 1,000,000 $ 1,000,000 Jun-1997 $ 1,028,000 $ 1,000,000 $ 1,000,000 Jul-1997 $ 1,092,970 $ 1,051,200 $ 1,060,200 Aug-1997 $ 1,114,938 $ 1,082,736 $ 1,077,057 Sep-1997 $ 1,222,976 $ 1,169,138 $ 1,167,745 Oct-1997 $ 1,151,921 $ 1,098,873 $ 1,108,074 Nov-1997 $ 1,136,946 $ 1,072,720 $ 1,083,031 Dec-1997 $ 1,183,902 $ 1,073,364 $ 1,068,627 Jan-1998 $ 1,182,955 $ 1,059,088 $ 1,052,811 Feb-1998 $ 1,288,947 $ 1,152,605 $ 1,137,878 Mar-1998 $ 1,363,964 $ 1,200,899 $ 1,189,310 Apr-1998 $ 1,360,963 $ 1,208,225 $ 1,197,992 May-1998 $ 1,256,986 $ 1,120,508 $ 1,113,175 Jun-1998 $ 1,268,047 $ 1,131,937 $ 1,145,791 Jul-1998 $ 1,186,005 $ 1,037,420 $ 1,059,627 Aug-1998 $ 905,040 $ 797,984 $ 828,205 Sep-1998 $ 1,012,016 $ 878,899 $ 872,513 Oct-1998 $ 1,045,008 $ 924,778 $ 906,890 Nov-1998 $ 1,131,012 $ 996,540 $ 980,621 Dec-1998 $ 1,245,696 $ 1,086,727 $ 1,078,879 Jan-1999 $ 1,303,248 $ 1,135,630 $ 1,104,988 Feb-1999 $ 1,189,213 $ 1,031,720 $ 998,688 Mar-1999 $ 1,229,290 $ 1,068,449 $ 1,043,829 Apr-1999 $ 1,274,528 $ 1,162,793 $ 1,084,538 May-1999 $ 1,250,949 $ 1,164,654 $ 1,090,503 Jun-1999 $ 1,389,679 $ 1,226,031 $ 1,192,574 Jul-1999 $ 1,384,537 $ 1,188,147 $ 1,188,400 Aug-1999 $ 1,361,969 $ 1,143,710 $ 1,171,762 Sep-1999 $ 1,412,362 $ 1,165,784 $ 1,214,297 Oct-1999 $ 1,485,381 $ 1,195,628 $ 1,285,091 Nov-1999 $ 1,688,879 $ 1,322,005 $ 1,447,269 Dec-1999 $ 2,013,650 $ 1,555,075 $ 1,739,039 Jan-2000 $ 2,083,524 $ 1,540,613 $ 1,720,953 Feb-2000 $ 2,616,906 $ 1,899,113 $ 2,225,192 Mar-2000 $ 2,220,183 $ 1,699,517 $ 2,050,514 Apr-2000 $ 1,849,190 $ 1,527,865 $ 1,797,071 May-2000 $ 1,634,314 $ 1,394,024 $ 1,650,070 Jun-2000 $ 2,042,403 $ 1,574,132 $ 1,940,648 Jul-2000 $ 1,863,488 $ 1,439,229 $ 1,814,312 Aug-2000 $ 2,193,512 $ 1,590,636 $ 2,009,350 Sep-2000 $ 2,084,494 $ 1,511,582 $ 1,909,887 Oct-2000 $ 1,851,239 $ 1,388,841 $ 1,766,646 Nov-2000 $ 1,401,018 $ 1,136,628 $ 1,465,786 Dec-2000 $ 1,577,967 $ 1,206,189 $ 1,595,362 Jan-2001 $ 1,607,475 $ 1,303,770 $ 1,644,020 Feb-2001 $ 1,341,277 $ 1,125,023 $ 1,433,585 Mar-2001 $ 1,155,510 $ 1,022,758 $ 1,294,384 Apr-2001 $ 1,349,173 $ 1,147,944 $ 1,434,178 May-2001 $ 1,380,879 $ 1,174,576 $ 1,473,044 Jun-2001 $ 1,385,436 $ 1,206,642 $ 1,510,165 Jul-2001 $ 1,261,994 $ 1,103,716 $ 1,426,049 Aug-2001 $ 1,179,333 $ 1,034,733 $ 1,341,627 Sep-2001 $ 940,282 $ 867,727 $ 1,132,199 Oct-2001 $ 1,021,805 $ 951,203 $ 1,215,189 Nov-2001 $ 1,123,781 $ 1,030,628 $ 1,309,366 Dec-2001 $ 1,187,274 $ 1,094,836 $ 1,388,713 Jan-2002 $ 1,119,244 $ 1,055,860 $ 1,346,774 Feb-2002 $ 1,040,001 $ 987,546 $ 1,265,294 Mar-2002 $ 1,138,593 $ 1,073,364 $ 1,368,796 Apr-2002 $ 1,085,307 $ 1,050,179 $ 1,332,659 May-2002 $ 1,011,723 $ 988,744 $ 1,279,220 Jun-2002 $ 933,517 $ 904,898 $ 1,184,174 Jul-2002 $ 796,477 $ 765,815 $ 1,016,258 Aug-2002 $ 808,902 $ 765,433 $ 1,014,733 Sep-2002 $ 761,338 $ 710,168 $ 953,241 Oct-2002 $ 780,600 $ 746,103 $ 993,944 Nov-2002 $ 836,101 $ 820,042 $ 1,077,237 Dec-2002 $ 797,557 $ 763,459 $ 1,005,277 Jan-2003 $ 752,255 $ 742,693 $ 978,738 Feb-2003 $ 703,509 $ 722,863 $ 948,201 Mar-2003 $ 722,785 $ 733,778 $ 967,734 Apr-2003 $ 768,104 $ 803,193 $ 1,047,669 May-2003 $ 850,829 $ 893,713 $ 1,154,531 Jun-2003 $ 863,251 $ 910,962 $ 1,193,670 Jul-2003 $ 888,199 $ 979,831 $ 1,263,499 Aug-2003 $ 931,277 $ 1,032,448 $ 1,330,465 Sep-2003 $ 898,403 $ 1,006,327 $ 1,297,736 Oct-2003 $ 975,485 $ 1,093,273 $ 1,415,310 Nov-2003 $ 1,003,775 $ 1,128,914 $ 1,452,958 Dec-2003 $ 1,021,943 $ 1,133,994 $ 1,454,992 Jan-2004 $ 1,083,157 $ 1,193,529 $ 1,523,085 Feb-2004 $ 1,077,525 $ 1,191,738 $ 1,517,298 Mar-2004 $ 1,083,236 $ 1,197,340 $ 1,506,828 Apr-2004 $ 1,032,215 $ 1,137,233 $ 1,433,144 May-2004 $ 1,059,363 $ 1,159,864 $ 1,463,097 Jun-2004 $ 1,089,978 $ 1,198,488 $ 1,504,795 Jul-2004 $ 995,913 $ 1,090,863 $ 1,372,072 Aug-2004 $ 1,002,685 $ 1,067,410 $ 1,327,617 Sep-2004 $ 1,055,928 $ 1,126,438 $ 1,403,424 Oct-2004 $ 1,099,010 $ 1,153,810 $ 1,442,720 Nov-2004 $ 1,178,358 $ 1,251,307 $ 1,543,711 Dec-2004 $ 1,214,235 $ 1,296,229 $ 1,611,788
SOURCE: LIPPER, INC. THE PERFORMANCE QUOTED IS PAST PERFORMANCE AND IS NOT A GUARANTEE OF FUTURE RESULTS. INVESTMENT RETURNS WILL FLUCTUATE SO THAT AN INVESTOR'S SHARES WHEN REDEEMED MAY BE WORTH MORE OR LESS THAN ORIGINAL COST. CURRENT PERFORMANCE MAY BE HIGHER OR LOWER THAN THE PERFORMANCE DATA SHOWN. FOR UP-TO-DATE MONTH-END PERFORMANCE INFORMATION PLEASE CALL 1-800-480-4111. The Fund commenced operations on 6/16/97. 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 U.S. Small Company Opportunities Fund, which are similar to the expenses of the Select Shares. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan U.S. Small Company Opportunities Fund, Russell 2000 Growth Index, and Lipper Small-Cap Growth Funds Index from June 16, 1997 to December 31, 2004. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 2000 Growth measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth rates. The Lipper Small-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. 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. 29 JPMORGAN DYNAMIC SMALL CAP FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 101.1% COMMON STOCKS -- 101.1% AEROSPACE -- 2.1% 41 Engineered Support Systems, Inc. (l) $ 2,439 39 United Industrial Corp. (l) 1,526 ------------------------------------------------------------------- 3,965 ------------------------------------------------------------------- AIRLINES -- 0.8% 13 Republic Airways Holdings, Inc.* 171 65 SkyWest, Inc. (l) 1,308 ------------------------------------------------------------------- 1,479 ------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.6% 132 Jacuzzi Brands, Inc.* 1,148 AUTOMOTIVE -- 2.0% 25 Oshkosh Truck Corp. 1,720 57 Winnebago Industries, Inc. (l) 2,211 ------------------------------------------------------------------- 3,931 ------------------------------------------------------------------- BANKING -- 3.7% 49 Central Pacific Financial Corp. (l) 1,780 38 East-West Bancorp, Inc. 1,614 43 MB Financial, Inc. 1,808 1 Santander BanCorp (Puerto Rico) 36 44 Texas Capital Bancshares, Inc.* 960 28 Texas Regional Bancshares, Inc., Class A 921 ------------------------------------------------------------------- 7,119 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.2% 43 Alexion Pharmaceuticals, Inc.* 1,086 88 Incyte Corp.* (l) 879 14 Telik, Inc.* (l) 268 ------------------------------------------------------------------- 2,233 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.8% 61 Salem Communications Corp., Class A* 1,511 BUSINESS SERVICES -- 2.4% 41 Alliance Data Systems Corp.* 1,954 75 Learning Tree International, Inc.* (l) 1,006 86 LECG Corp* 1,609 ------------------------------------------------------------------- 4,569 ------------------------------------------------------------------- COMPUTER NETWORKS -- 1.1% 52 Avocent Corp.* $ 2,093 COMPUTER SOFTWARE -- 10.5% 46 Ansys, Inc.* 1,475 224 Aspen Technology, Inc.* 1,389 86 DSP Group, Inc.* 1,929 123 Epicor Software Corp.* 1,739 18 Global Payments, Inc. 1,077 45 Hyperion Solutions Corp.* 2,078 25 Kronos, Inc.* (l) 1,283 200 Lawson Software, Inc.* 1,375 114 Packeteer, Inc.* 1,652 94 Serena Software, Inc.* (l) 2,028 43 Take-Two Interactive Software, Inc.* (l) 1,503 77 THQ, Inc.* (l) 1,769 26 Verint Systems, Inc.* 952 ------------------------------------------------------------------- 20,249 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.3% 53 Tech Data Corp.* 2,420 CONSTRUCTION -- 0.6% 100 Champion Enterprises, Inc.* (l) 1,184 CONSTRUCTION MATERIALS -- 1.2% 27 Eagle Materials, Inc. (l) 2,349 CONSUMER SERVICES -- 4.3% 27 Arbitron, Inc.* 1,042 171 Educate, Inc.* 2,259 71 Jackson Hewitt Tax Service, Inc. 1,798 32 Ritchie Bros. Auctioneers, Inc. (Canada) (l) 1,066 53 Universal Technical Institute, Inc.* (l) 2,007 ------------------------------------------------------------------- 8,172 ------------------------------------------------------------------- DISTRIBUTION -- 1.0% 30 Scansource, Inc.* 1,859 ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.6% 51 Paxar Corp.* 1,140 184 TTM Technologies, Inc.* 2,172
SEE NOTES TO FINANCIAL STATEMENTS. 30
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED 39 Varian, Inc.* $ 1,608 4,920 ------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 5.1% 60 Carmike Cinemas, Inc. 2,201 123 K2, Inc.* 1,955 66 LIFE TIME FITNESS, Inc.* 1,703 144 Lions Gate Entertainment Corp. (Canada)* (l) 1,532 38 Penn National Gaming, Inc.* 2,307 ------------------------------------------------------------------- 9,698 ------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 0.5% 29 Waste Connections, Inc.* 1,010 FINANCIAL SERVICES -- 0.7% 27 Calamos Asset Management, Inc., Class A* 721 29 Marlin Business Services, Inc.* 549 ------------------------------------------------------------------- 1,270 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.8% 46 United Natural Foods, Inc.* (l) 1,443 HEALTH CARE/HEALTH CARE SERVICES -- 12.8% 66 Abaxis, Inc.* 955 23 Advanced Medical Optics, Inc.* 954 63 Amedisys, Inc.* (l) 2,024 15 AMERIGROUP Corp.* 1,150 69 ArthroCare Corp.* (l) 2,209 20 Cooper Companies, Inc. 1,384 42 Covance, Inc.* 1,620 51 Gentiva Health Services* (l) 858 56 Immucor, Inc.* 1,328 76 Kyphon, Inc.* (l) 1,958 85 Psychiatric Solutions, Inc.* (l) 3,092 49 Sunrise Senior Living, Inc.* (l) 2,289 21 Symmetry Medical, Inc.* 438 25 TECHNE Corp.* 986 86 TriPath Imaging, Inc.* (l) 768 73 VCA Antech, Inc.* (l) 1,431 21 Ventana Medical Systems, Inc.* (l) 1,334 ------------------------------------------------------------------- 24,778 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 2.0% 46 Gaylord Entertainment Co.* $ 1,898 99 Orient-Express Hotels LTD (Bermuda), Class A 2,030 ------------------------------------------------------------------- 3,928 ------------------------------------------------------------------- INSURANCE -- 2.6% 45 Direct General Corp. (l) 1,457 42 Infinity Property & Casualty Corp. 1,492 51 ProAssurance Corp.* (l) 1,984 ------------------------------------------------------------------- 4,933 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.6% 46 Equinix, Inc.* (l) 1,957 22 F5 Networks, Inc.* (l) 1,077 127 Sapient Corp.* 1,005 39 WebEx Communications, Inc.* (l) 918 ------------------------------------------------------------------- 4,957 ------------------------------------------------------------------- INVESTMENT COMPANY-- 0.0% ^ 4 Apollo Investment Corp. 53 MACHINERY & ENGINEERING EQUIPMENT -- 0.7% 34 Cascade Corp. (l) 1,362 MANUFACTURING -- 1.4% 36 Gardner Denver, Inc.* 1,318 94 General Cable Corp.* (l) 1,303 ------------------------------------------------------------------- 2,621 ------------------------------------------------------------------- METALS/MINING -- 1.0% 54 Arch Coal, Inc. 1,907 MULTI-MEDIA -- 0.4% 50 Gray Television, Inc. 775 OIL & GAS -- 7.5% 32 Headwaters, Inc.* (l) 922 66 Key Energy Services, Inc.* 781 20 Newfield Exploration Co.* 1,157 57 Oceaneering International, Inc.* 2,109 62 Spinnaker Exploration Co.* 2,188
SEE NOTES TO FINANCIAL STATEMENTS. 31
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OIL & GAS -- CONTINUED 38 Swift Energy Co.* (l) $ 1,097 68 Unit Corp.* 2,578 57 Universal Compression Holding, Inc.* 1,983 80 W-H Energy Services, Inc.* 1,782 ------------------------------------------------------------------- 14,597 ------------------------------------------------------------------- PHARMACEUTICALS -- 6.4% 52 Able Laboratories, Inc.* (l) 1,178 113 Adolor Corp.* 1,117 36 AtheroGenics, Inc.* (l) 849 93 Cubist Pharmaceuticals, Inc.* (l) 1,094 47 CV Therapeutics, Inc.* 1,090 89 Cypress Bioscience, Inc.* 1,254 13 Idenix Pharmaceuticals, Inc.* (l) 228 68 Nabi Biopharmaceuticals* 996 33 Onyx Pharmaceuticals, Inc.* (l) 1,059 18 Pharmion Corp.* 756 39 Rigel Pharmaceuticals, Inc.* (l) 940 19 United Therapeutics Corp.* (l) 844 40 Valeant Pharmaceuticals International 1,049 ------------------------------------------------------------------- 12,454 ------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 0.4% 26 Global Signal, Inc. + 716 RESTAURANTS/FOOD SERVICES -- 1.1% 63 Rare Hospitality International, Inc.* 2,022 RETAILING -- 4.4% 28 Aeropostale, Inc.* 828 27 Cost Plus, Inc.* 864 52 Genesco, Inc.* (l) 1,613 27 Guitar Center, Inc.* (l) 1,444 28 The Children's Place Retail Stores, Inc.* (l) 1,052 87 The Pantry, Inc.* 2,624 ------------------------------------------------------------------- 8,425 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.6% 133 Credence Systems Corp.* (l) 1,216 49 Cymer, Inc.* (l) 1,450 148 Entegris, Inc.* 1,470 103 Mattson Technology, Inc.* 1,163 86 Micrel, Inc.* $ 946 46 Power Integrations, Inc.* 906 46 Semtech Corp.* 1,010 16 Varian Semiconductor Equipment Associates, Inc.* 586 ------------------------------------------------------------------- 8,747 ------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.6% 16 UTI Worldwide, Inc. (Virgin Islands) (l) 1,116 TELECOMMUNICATIONS -- 5.7% 202 Aeroflex, Inc.* 2,443 176 Atheros Communications, Inc.* 1,805 119 Nextel Partners, Inc., Class A* 2,316 71 Symmetricom, Inc.* 692 87 Tekelec* 1,770 84 Viasat, Inc.* 2,031 ------------------------------------------------------------------- 11,057 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 2.1% 176 C-COR.net Corp.* 1,636 91 Inter-Tel, Inc. (l) 2,486 ------------------------------------------------------------------- 4,122 ------------------------------------------------------------------- TRANSPORTATION -- 1.5% 43 Heartland Express, Inc. 966 95 Sirva, Inc.* 1,829 ------------------------------------------------------------------- 2,795 ------------------------------------------------------------------- Total Common Stocks (Cost $165,181) 193,987 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 32
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.3% MONEY MARKET FUND -- 2.3% 4,464 JPMorgan Prime Money Market Fund (a) (Cost $4,464) $ 4,464 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 103.4% (COST $169,645) $ 198,451 ------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (3.4)% (6,607) ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 191,844 ------------------------------------------------------------------- Percentages indicated are based on net assets. SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUND (c) 300 Barclays Global Investors Prime Money Market Fund $ 300 CERTIFICATES OF DEPOSIT (c) 1,800 Depfa Bank NY, 2.21%, 01/18/05 1,800 1,800 Washington Mutual Bank FA, 2.21%, 01/18/05 1,800 3,600 ------------------------------------------------------------------- PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 37,570 Cantor Fitzgerald Securities, Inc., 2.35%, dated 12/31/04, due 01/03/05, proceeds $37,578 collateralized by U.S. Government Agency Securities 37,570 $ 41,470 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 33 JPMORGAN MID CAP EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.5% COMMON STOCKS -- 97.5% AEROSPACE -- 1.0% 27 Rockwell Collins, Inc. $ 1,055 28 United Defense Industries, Inc.* 1,318 ------------------------------------------------------------------- 2,373 ------------------------------------------------------------------- AIRLINES -- 0.5% 52 SkyWest, Inc. (l) 1,041 APPAREL -- 2.7% 26 Coach, Inc.* 1,461 34 Columbia Sportswear Co.* 2,009 50 VF Corp. 2,769 ------------------------------------------------------------------- 6,239 ------------------------------------------------------------------- AUTOMOTIVE -- 2.4% 29 Autoliv, Inc. (Sweden) 1,404 18 BorgWarner, Inc. 953 20 Genuine Parts Co. 859 20 Oshkosh Truck Corp. (l) 1,333 13 Polaris Industries, Inc. 884 ------------------------------------------------------------------- 5,433 ------------------------------------------------------------------- BANKING -- 6.0% 17 BOK Financial Corp.* 850 16 Cullen/Frost Bankers, Inc. 787 17 Doral Financial Corp. (Puerto Rico) 859 29 M&T Bank Corp. 3,118 97 North Fork Bancorporation, Inc. 2,793 20 Northern Trust Corp. 991 17 TCF Financial Corp. 540 15 Webster Financial Corp. 775 57 Wilmington Trust Corp. 2,071 13 Zions Bancorporation 878 ------------------------------------------------------------------- 13,662 ------------------------------------------------------------------- BIOTECHNOLOGY -- 0.7% 14 Genzyme Corp.* 837 12 Invitrogen Corp.* 832 ------------------------------------------------------------------- 1,669 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.4% 30 Univision Communications, Inc., Class A* 885 BUSINESS SERVICES -- 3.3% 35 Affiliated Computer Services, Inc., Class A* $ 2,131 18 Alliance Data Systems Corp.* 855 18 ChoicePoint, Inc.* 842 48 IMS Health, Inc. 1,102 63 Interactive Data Corp.* 1,374 23 Manpower, Inc. 1,096 ------------------------------------------------------------------- 7,400 ------------------------------------------------------------------- CHEMICALS -- 2.0% 19 Albemarle Corp. 728 17 Ashland, Inc. 1,016 17 International Flavors & Fragrances, Inc. 720 23 Sigma-Aldrich Corp. 1,402 15 The Sherwin-Williams Co. 687 ------------------------------------------------------------------- 4,553 ------------------------------------------------------------------- COMPUTER NETWORKS -- 0.8% 28 Juniper Networks, Inc.* 765 30 Network Appliance, Inc.* 992 ------------------------------------------------------------------- 1,757 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 3.0% 24 Adobe Systems, Inc. 1,525 25 Cognos, Inc. (Canada)* 1,108 73 Computer Associates International, Inc. 2,254 18 Dun & Bradstreet Corp.* 1,065 24 Fiserv, Inc.* 971 ------------------------------------------------------------------- 6,923 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 2.7% 18 Apple Computer, Inc.* 1,133 12 Lexmark International, Inc., Class A* 1,012 28 NCR Corp.* 1,942 26 Tech Data Corp.* 1,165 15 Zebra Technologies Corp., Class A* 863 ------------------------------------------------------------------- 6,115 ------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 1.5% 14 American Standard Companies, Inc.* 591 25 Florida Rock Industries, Inc. 1,471 24 Vulcan Materials Co. 1,332 ------------------------------------------------------------------- 3,394 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 34
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CONSUMER PRODUCTS -- 1.0% 14 Clorox Co. $ 813 18 Fortune Brands, Inc. 1,397 ------------------------------------------------------------------- 2,210 ------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.7% 56 Amphenol Corp., Class A* 2,043 45 Arrow Electronics, Inc.* 1,103 23 Fisher Scientific International* 1,444 47 Flextronics International LTD (Singapore)* 656 34 Jabil Circuit, Inc.* 876 ------------------------------------------------------------------- 6,122 ------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 1.3% 27 Brunswick Corp. 1,326 10 International Speedway Corp., Class A 544 20 Royal Caribbean Cruises LTD (l) 1,078 ------------------------------------------------------------------- 2,948 ------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 0.7% 50 Republic Services, Inc. 1,677 FINANCIAL SERVICES -- 4.4% 42 AmeriCredit Corp.* 1,033 95 Ameritrade Holding Corp.* 1,357 26 CIT Group, Inc. 1,178 46 Golden West Financial Corp. 2,812 18 Legg Mason, Inc. 1,326 36 T. Rowe Price Group, Inc. 2,249 ------------------------------------------------------------------- 9,955 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 1.9% 18 Brown-Forman Corp., Class B 899 36 Dean Foods Co.* 1,193 38 Hormel Foods Corp. 1,185 22 The J.M. Smucker Co. 1,056 ------------------------------------------------------------------- 4,333 ------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 8.7% 12 Aetna, Inc. 1,485 13 Bausch & Lomb, Inc. 835 12 Beckman Coulter, Inc. 814 21 Biomet, Inc. 922 48 Caremark Rx, Inc.* $ 1,901 19 Covance, Inc.* 738 37 Coventry Health Care, Inc.* 1,980 30 Cytyc Corp.* 823 42 DaVita, Inc.* 1,669 23 Laboratory Corp. of America Holdings* 1,131 36 Manor Care, Inc. 1,258 62 Omnicare, Inc. 2,145 8 Quest Diagnostics, Inc. 793 17 Renal Care Group, Inc.* 608 26 St. Jude Medical, Inc.* 1,096 22 Triad Hospitals, Inc.* 811 10 Zimmer Holdings, Inc.* 793 ------------------------------------------------------------------- 19,802 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 1.6% 57 Caesars Entertainment, Inc.* 1,157 5 Choice Hotels International, Inc. 261 56 Hilton Hotels Corp. 1,272 13 Marriott International, Inc., Class A 831 ------------------------------------------------------------------- 3,521 ------------------------------------------------------------------- INSURANCE -- 7.1% 12 AMBAC Financial Group, Inc. 949 105 Assurant, Inc. 3,195 31 Cincinnati Financial Corp. 1,350 55 IPC Holdings LTD (Bermuda) 2,401 22 MGIC Investment Corp. 1,509 77 Old Republic International Corp. 1,942 15 PartnerRe LTD (Bermuda) 923 32 Principal Financial Group, Inc. 1,294 19 SAFECO Corp. 972 39 Willis Group Holdings LTD (United Kingdom) 1,604 ------------------------------------------------------------------- 16,139 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 1.1% 16 Ask Jeeves, Inc.* (l) 424 26 CheckFree Corp.* (l) 982 34 VeriSign, Inc.* 1,149 ------------------------------------------------------------------- 2,555 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 35
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MACHINERY & ENGINEERING EQUIPMENT -- 0.4% 18 Rockwell Automation, Inc. $ 867 MANUFACTURING -- 3.8% 23 Carlisle Companies, Inc. 1,493 20 Cooper Industries LTD, Class A 1,371 33 Crane Co. 963 26 Donaldson Co., Inc. (l) 855 52 Harsco Corp. 2,908 13 ITT Industries, Inc. 1,077 ------------------------------------------------------------------- 8,667 ------------------------------------------------------------------- METALS/MINING -- 1.0% 23 CONSOL Energy, Inc. 936 21 Precision Castparts Corp. 1,373 ------------------------------------------------------------------- 2,309 ------------------------------------------------------------------- MULTI-MEDIA -- 2.4% 19 Dex Media, Inc. 477 25 Gannett Co., Inc. 2,010 9 Knight Ridder, Inc. 616 47 The E.W. Scripps Co., Class A 2,291 ------------------------------------------------------------------- 5,394 ------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 0.6% 79 Xerox Corp.* 1,338 OIL & GAS -- 5.2% 19 BJ Services Co. 880 42 Burlington Resources, Inc. 1,818 65 Devon Energy Corp. 2,514 9 Energen Corp. 507 10 Equitable Resources, Inc. 613 15 Nabors Industries LTD (Barbados)* 792 17 Newfield Exploration Co.* 1,013 24 Noble Corp.* 1,176 38 Premcor, Inc. 1,598 32 Talisman Energy, Inc. (Canada) (l) 874 ------------------------------------------------------------------- 11,785 ------------------------------------------------------------------- PACKAGING -- 0.7% 11 Ball Corp. 493 44 Pactiv Corp.* 1,107 ------------------------------------------------------------------- 1,600 ------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 0.6% 26 Rayonier, Inc. $ 1,253 PHARMACEUTICALS -- 2.4% 40 Celgene Corp.* 1,061 23 Eon Labs, Inc.* (l) 610 18 OSI Pharmaceuticals, Inc.* 1,362 23 Sepracor, Inc.* (l) 1,348 39 Valeant Pharmaceuticals International 1,020 ------------------------------------------------------------------- 5,401 ------------------------------------------------------------------- PIPELINES -- 1.2% 39 Kinder Morgan, Inc. 2,830 REAL ESTATE -- 0.9% 43 Brookfield Properties Corp. (Canada) 1,597 9 Forest City Enterprises, Inc., Class A 518 ------------------------------------------------------------------- 2,115 ------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 0.5% 17 PS Business Parks, Inc. 757 8 Public Storage, Inc. 452 ------------------------------------------------------------------- 1,209 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.6% 40 Applebee's International, Inc. 1,053 40 Outback Steakhouse, Inc. 1,844 23 The Cheesecake Factory, Inc.* 740 ------------------------------------------------------------------- 3,637 ------------------------------------------------------------------- RETAILING -- 10.3% 35 Abercrombie & Fitch Co., Class A 1,639 23 Advanced Auto Parts, Inc.* 1,002 70 Autonation, Inc.* 1,350 36 AutoZone, Inc.* 3,241 33 CarMax, Inc.* 1,014 16 CDW Corp. 1,082 19 Chico's FAS, Inc.* (l) 883 75 Circuit City Stores, Inc. 1,174 32 Claire's Stores, Inc. 690 63 Family Dollar Stores, Inc. 1,967 52 Foot Locker, Inc. 1,387 24 MSC Industrial Direct Co., Class A 880
SEE NOTES TO FINANCIAL STATEMENTS. 36
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- CONTINUED 21 PETsMART, Inc. $ 759 41 RadioShack Corp. 1,348 33 The May Department Stores Co. 961 66 The TJX Companies, Inc. 1,649 42 Tiffany & Co. 1,343 25 Tuesday Morning Corp.* 766 ------------------------------------------------------------------- 23,135 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 1.8% 24 Altera Corp.* 491 34 Broadcom Corp., Class A* 1,105 18 KLA-Tencor Corp.* 848 21 Linear Technology Corp. 824 34 Microchip Technology, Inc. 918 ------------------------------------------------------------------- 4,186 ------------------------------------------------------------------- TELECOMMUNICATIONS -- 3.4% 33 Alltel Corp. 1,957 51 Avaya, Inc.* 871 59 CenturyTel, Inc. 2,075 57 Nextel Partners, Inc., Class A* (l) 1,106 15 Telephone & Data Systems, Inc. 1,131 17 West Corp.* (l) 566 ------------------------------------------------------------------- 7,706 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 0.4% 41 Polycom, Inc.* 951 TEXTILES -- 0.8% 21 Mohawk Industries, Inc.* 1,907 UTILITIES -- 2.0% 18 Dominion Resources, Inc. 1,239 28 Energy East Corp. 744 31 SCANA Corp. 1,210 23 Sempra Energy 844 21 Westar Energy, Inc. 478 ------------------------------------------------------------------- 4,515 ------------------------------------------------------------------- Total Common Stocks (Cost $169,261) 221,511 ------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 2.1% MONEY MARKET FUND -- 2.1% 4,756 JPMorgan Prime Money Market Fund (a) (Cost $4,756) $ 4,756 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 99.6% (COST $174,017) $ 226,267 ------------------------------------------------------------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.4% 840 ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 227,107 ------------------------------------------------------------------- Percentages indicated are based on net assets. SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUND (c) 100 Barclays Global Investors Prime Money Market Fund $ 100 PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 9,003 Cantor Fitzgerald Securities 2.35%, dated 12/31/04, due 01/03/05, proceeds $9,004 collateralized by U.S. Government Agency Securities 9,003 ------------------------------------------------------------------- $ 9,103 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 37 JPMORGAN MID CAP GROWTH FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.7% COMMON STOCKS -- 98.7% AEROSPACE -- 1.0% 14 Rockwell Collins, Inc. $ 556 AIRLINES -- 1.0% 27 SkyWest, Inc. (l) 551 APPAREL -- 1.3% 14 Coach, Inc.* 773 AUTOMOTIVE -- 3.3% 15 Autoliv, Inc. (Sweden) 715 10 Oshkosh Truck Corp. (l) 704 7 Polaris Industries, Inc. (l) 469 ------------------------------------------------------------------- 1,888 ------------------------------------------------------------------- BANKING -- 3.4% 9 BOK Financial Corp.* (l) 449 9 Doral Financial Corp. (Puerto Rico) 448 21 North Fork Bancorporation, Inc. 595 7 Zions Bancorporation 449 ------------------------------------------------------------------- 1,941 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.5% 8 Genzyme Corp.* 439 7 Invitrogen Corp.* 436 ------------------------------------------------------------------- 875 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.8% 16 Univision Communications, Inc., Class A* 468 BUSINESS SERVICES -- 3.6% 11 Affiliated Computer Services, Inc., Class A* 639 9 Alliance Data Systems Corp.* 427 9 ChoicePoint, Inc.* 423 12 Manpower, Inc. 577 ------------------------------------------------------------------- 2,066 ------------------------------------------------------------------- COMPUTER NETWORKS -- 1.6% 15 Juniper Networks, Inc.* 405 16 Network Appliance, Inc.* 525 ------------------------------------------------------------------- 930 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 5.6% 13 Adobe Systems, Inc. $ 804 13 Cognos, Inc. (Canada)* 586 24 Computer Associates International, Inc. 745 9 Dun & Bradstreet Corp.* 564 12 Fiserv, Inc.* 494 ------------------------------------------------------------------- 3,193 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 4.7% 9 Apple Computer, Inc.* 599 15 NCR Corp.* 1,025 14 Tech Data Corp.* 614 8 Zebra Technologies Corp., Class A* 455 ------------------------------------------------------------------- 2,693 ------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 5.5% 30 Amphenol Corp., Class A* 1,083 23 Arrow Electronics, Inc.* 563 12 Fisher Scientific International* 764 25 Flextronics International LTD (Singapore)* 347 18 Jabil Circuit, Inc.* 463 ------------------------------------------------------------------- 3,220 ------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 2.7% 14 Brunswick Corp. 675 5 International Speedway Corp., Class A 285 11 Royal Caribbean Cruises LTD (l) 572 ------------------------------------------------------------------- 1,532 ------------------------------------------------------------------- FINANCIAL SERVICES -- 4.2% 22 AmeriCredit Corp.* 526 51 Ameritrade Holding Corp.* 719 13 CIT Group, Inc. 600 9 T. Rowe Price Group, Inc. 572 ------------------------------------------------------------------- 2,417 ------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 14.0% 7 Aetna, Inc. 860 7 Bausch & Lomb, Inc. 429 6 Beckman Coulter, Inc. 425 11 Biomet, Inc. 488 25 Caremark Rx, Inc.* 1,001 10 Covance, Inc.* 389
SEE NOTES TO FINANCIAL STATEMENTS. 38
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED 16 Cytyc Corp.* $ 436 22 DaVita, Inc.* 882 12 Laboratory Corp. of America Holdings* 598 10 Manor Care, Inc. 351 24 Omnicare, Inc. 820 14 St. Jude Medical, Inc.* 577 11 Triad Hospitals, Inc.* 426 5 Zimmer Holdings, Inc.* 421 ------------------------------------------------------------------- 8,103 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 3.0% 30 Caesars Entertainment, Inc.* 610 30 Hilton Hotels Corp. 673 7 Marriott International, Inc., Class A 441 ------------------------------------------------------------------- 1,724 ------------------------------------------------------------------- INSURANCE -- 1.6% 6 AMBAC Financial Group, Inc. 473 11 Willis Group Holdings LTD (United Kingdom) 432 ------------------------------------------------------------------- 905 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.3% 8 Ask Jeeves, Inc.* (l) 211 13 CheckFree Corp.* (l) 501 18 VeriSign, Inc.* 607 ------------------------------------------------------------------- 1,319 ------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 0.8% 9 Rockwell Automation, Inc. 436 MANUFACTURING -- 3.6% 14 Donaldson Co., Inc. (l) 451 19 Harsco Corp. 1,039 7 ITT Industries, Inc. 562 ------------------------------------------------------------------- 2,052 ------------------------------------------------------------------- METALS/MINING -- 2.1% 12 CONSOL Energy, Inc. 493 11 Precision Castparts Corp. 722 ------------------------------------------------------------------- 1,215 ------------------------------------------------------------------- MULTI-MEDIA -- 0.7% 8 The E.W. Scripps Co., Class A $ 406 OFFICE/BUSINESS EQUIPMENT -- 1.2% 40 Xerox Corp.* 683 OIL & GAS -- 4.4% 10 BJ Services Co. 472 9 Nabors Industries LTD (Barbados)* 441 9 Newfield Exploration Co.* 540 12 Noble Corp.* 603 16 Talisman Energy, Inc. (Canada) 443 ------------------------------------------------------------------- 2,499 ------------------------------------------------------------------- PHARMACEUTICALS -- 5.0% 21 Celgene Corp.* 562 12 Eon Labs, Inc.* (l) 324 10 OSI Pharmaceuticals, Inc.* 716 12 Sepracor, Inc.* 709 20 Valeant Pharmaceuticals International 539 ------------------------------------------------------------------- 2,850 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 0.7% 12 The Cheesecake Factory, Inc.* 395 RETAILING -- 11.3% 18 Abercrombie & Fitch Co., Class A 866 12 Advanced Auto Parts, Inc.* 529 17 CarMax, Inc.* (l) 534 9 CDW Corp. 571 10 Chico's FAS, Inc.* (l) 464 38 Circuit City Stores, Inc. 597 17 Claire's Stores, Inc. 363 27 Foot Locker, Inc. 731 13 MSC Industrial Direct Co., Class A 464 11 PETsMART, Inc. 400 22 RadioShack Corp. 710 9 Tiffany & Co. 294 ------------------------------------------------------------------- 6,523 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.8% 12 Altera Corp.* 255 18 Broadcom Corp., Class A* 583
SEE NOTES TO FINANCIAL STATEMENTS. 39
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SEMI-CONDUCTORS -- CONTINUED 10 KLA-Tencor Corp.* $ 447 11 Linear Technology Corp. 434 18 Microchip Technology, Inc. 485 ------------------------------------------------------------------- 2,204 ------------------------------------------------------------------- TELECOMMUNICATIONS -- 2.3% 27 Avaya, Inc.* 459 29 Nextel Partners, Inc., Class A* (l) 562 9 West Corp.* (l) 281 ------------------------------------------------------------------- 1,302 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 0.9% 22 Polycom, Inc.* 503 TEXTILES -- 0.8% 5 Mohawk Industries, Inc.* 443 ------------------------------------------------------------------- Total Common Stocks (Cost $45,221) 56,665 ------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 1.6% MONEY MARKET FUND -- 1.6% 900 JPMorgan Prime Money Market Fund (a) (Cost $900) $ 900 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.3% (COST $46,121) $ 57,565 ------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.3)% (183) ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 57,382 -------------------------------------------------------------------
Percentages indicated are based on net assets.
PRINCIPAL AMOUNT (USD) COLLATERAL INVESTMENT VALUE - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 2,830 Deutsche Bank Securities Inc., 2.33%, dated 12/31/04, due 01/03/05, proceeds $2,831 collateralized by U.S. Government Agency Securities $ 2,830 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 40 JPMORGAN MID CAP VALUE FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 96.8% COMMON STOCKS -- 96.8% AEROSPACE -- 1.1% 848 United Defense Industries, Inc.* $ 40,087 APPAREL -- 4.2% 1,063 Columbia Sportswear Co.* (l) 63,365 1,663 VF Corp. 92,120 ------------------------------------------------------------------- 155,485 ------------------------------------------------------------------- AUTOMOTIVE -- 1.5% 600 BorgWarner, Inc. 32,513 548 Genuine Parts Co. 24,127 ------------------------------------------------------------------- 56,640 ------------------------------------------------------------------- BANKING -- 7.9% 397 Cullen/Frost Bankers, Inc. 19,314 796 M&T Bank Corp. 85,797 2,299 North Fork Bancorporation, Inc. 66,312 635 Northern Trust Corp. 30,839 480 TCF Financial Corp. 15,418 464 Webster Financial Corp. 23,477 1,438 Wilmington Trust Corp. 51,980 ------------------------------------------------------------------- 293,137 ------------------------------------------------------------------- BUSINESS SERVICES -- 2.5% 480 Affiliated Computer Services, Inc., Class A* (l) 28,867 1,510 IMS Health, Inc. 35,055 1,268 Interactive Data Corp.* 27,566 ------------------------------------------------------------------- 91,488 ------------------------------------------------------------------- CHEMICALS -- 4.0% 716 Albemarle Corp. 27,724 531 Ashland, Inc. 30,971 542 International Flavors & Fragrances, Inc. 23,228 716 Sigma-Aldrich Corp. 43,265 504 The Sherwin-Williams Co. 22,511 ------------------------------------------------------------------- 147,699 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 0.8% 937 Computer Associates International, Inc. 29,113 COMPUTERS/COMPUTER HARDWARE -- 0.8% 353 Lexmark International, Inc., Class A* (l) 30,022 CONSTRUCTION MATERIALS -- 3.2% 474 American Standard Companies, Inc.* $ 19,573 707 Florida Rock Industries, Inc. 42,079 1,012 Vulcan Materials Co. 55,282 ------------------------------------------------------------------- 116,934 ------------------------------------------------------------------- CONSUMER PRODUCTS -- 2.0% 477 Clorox Co. 28,133 610 Fortune Brands, Inc. (l) 47,065 ------------------------------------------------------------------- 75,198 ------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 1.5% 1,655 Republic Services, Inc. 55,505 FINANCIAL SERVICES -- 4.5% 1,624 Golden West Financial Corp. 99,722 558 Legg Mason, Inc. (l) 40,853 382 T. Rowe Price Group, Inc. 23,742 ------------------------------------------------------------------- 164,317 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 3.8% 632 Brown-Forman Corp., Class B 30,782 1,333 Dean Foods Co.* (l) 43,925 1,117 Hormel Foods Corp. 35,027 654 The J.M. Smucker Co. (l) 30,791 ------------------------------------------------------------------- 140,525 ------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 4.1% 1,280 Coventry Health Care, Inc.* (l) 67,957 531 Manor Care, Inc. 18,817 547 Omnicare, Inc. 18,920 247 Quest Diagnostics, Inc. 23,563 638 Renal Care Group, Inc.* 22,951 ------------------------------------------------------------------- 152,208 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.2% 133 Choice Hotels International, Inc. 7,702 INSURANCE -- 11.5% 2,893 Assurant, Inc. 88,384 911 Cincinnati Financial Corp. 40,300 1,245 IPC Holdings LTD (Bermuda) 54,170 674 MGIC Investment Corp. 46,438
SEE NOTES TO FINANCIAL STATEMENTS. 41
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED INSURANCE -- CONTINUED 2,671 Old Republic International Corp. $ 67,571 486 PartnerRe LTD (Bermuda) 30,109 911 Principal Financial Group, Inc. (l) 37,288 702 SAFECO Corp. 36,646 562 Willis Group Holdings LTD (United Kingdom) 23,142 ------------------------------------------------------------------- 424,048 ------------------------------------------------------------------- MANUFACTURING -- 4.0% 760 Carlisle Companies, Inc. 49,366 548 Cooper Industries LTD, Class A 37,224 1,140 Crane Co. 32,886 501 Harsco Corp. 27,948 ------------------------------------------------------------------- 147,424 ------------------------------------------------------------------- MULTI-MEDIA -- 3.9% 572 Dex Media, Inc. 14,265 775 Gannett Co., Inc. 63,325 251 Knight Ridder, Inc. 16,809 1,015 The E.W. Scripps Co., Class A (l) 48,997 ------------------------------------------------------------------- 143,396 ------------------------------------------------------------------- OIL & GAS -- 5.8% 1,232 Burlington Resources, Inc. 53,575 1,976 Devon Energy Corp. (l) 76,905 289 Energen Corp. 17,031 309 Equitable Resources, Inc. (l) 18,714 1,109 Premcor, Inc. 46,779 ------------------------------------------------------------------- 213,004 ------------------------------------------------------------------- PACKAGING -- 1.8% 569 Ball Corp. (l) 25,011 1,573 Pactiv Corp.* 39,769 ------------------------------------------------------------------- 64,780 ------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 1.0% 788 Rayonier, Inc. (l) 38,540 PIPELINES -- 2.8% 1,424 Kinder Morgan, Inc. 104,159 REAL ESTATE -- 1.5% 959 Brookfield Properties Corp. (Canada) $ 35,859 308 Forest City Enterprises, Inc., Class A 17,731 ------------------------------------------------------------------- 53,590 ------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUST -- 1.0% 552 PS Business Parks, Inc. 24,886 222 Public Storage, Inc. 12,371 ------------------------------------------------------------------- 37,257 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 2.5% 1,326 Applebee's International, Inc. (l) 35,067 1,250 Outback Steakhouse, Inc. (l) 57,235 ------------------------------------------------------------------- 92,302 ------------------------------------------------------------------- RETAILING -- 9.3% 2,303 Autonation, Inc.* 44,248 1,122 AutoZone, Inc.* 102,423 2,037 Family Dollar Stores, Inc. 63,619 1,091 The May Department Stores Co. 32,087 2,088 The TJX Companies, Inc. 52,466 776 Tiffany & Co. 24,793 728 Tuesday Morning Corp.* 22,308 ------------------------------------------------------------------- 341,944 ------------------------------------------------------------------- TELECOMMUNICATIONS -- 4.5% 1,084 Alltel Corp. (l) 63,708 1,848 CenturyTel, Inc. 65,537 469 Telephone & Data Systems, Inc. (l) 36,105 ------------------------------------------------------------------- 165,350 ------------------------------------------------------------------- TEXTILES -- 0.8% 333 Mohawk Industries, Inc.* (l) 30,395 UTILITIES -- 4.3% 562 Dominion Resources, Inc. 38,097 1,044 Energy East Corp. (l) 27,843 1,021 SCANA Corp. 40,235 698 Sempra Energy 25,603 1,124 Westar Energy, Inc. 25,706 ------------------------------------------------------------------- 157,484 ------------------------------------------------------------------- Total Common Stocks (Cost $3,119,895) 3,569,733 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 42
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- SHORT-TERM INVESTMENT - 4.3% MONEY MARKET FUND -- 4.3% 157,737 JPMorgan Prime Money Market Fund (a) (Cost $157,737) $ 157,737 TOTAL INVESTMENTS -- 101.1% (COST $3,277,632) $ 3,727,470 ------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.1)% (41,316) ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 3,688,754 -------------------------------------------------------------------
Percentages indicated are based on net assets.
SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUND (c) 3,100 Barclays Global Investors Prime Money Market Fund $ 3,100 PRINCIPLE AMOUNT (USD) COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT (c) $ 6,600 Depfa Bank NY, 2.21%, 01/18/05 $ 6,100 5,000 Washington Mutual Bank FA, 2.21%, 01/18/05 5,000 ------------------------------------------------------------------- 11,100 ------------------------------------------------------------------- COMMERCIAL PAPER (c) 6,077 Kitty Hawk, 2.23%, 01/18/05 6,078 REPURCHASE AGREEMENT (c) 91,651 Cantor Fitzgerald Securities 2.35%, dated 12/31/04, due 01/03/05, proceeds $91,669 collateralized by U.S. Government Agency Securities 91,651 ------------------------------------------------------------------- $ 111,929 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 43 JPMORGAN SMALL CAP EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 89.8% COMMON STOCKS -- 89.8% AEROSPACE -- 2.0% 52 Alliant Techsystems, Inc.* $ 3,391 63 Curtiss-Wright Corp. 3,605 ------------------------------------------------------------------- 6,996 ------------------------------------------------------------------- APPAREL -- 3.0% 92 Kenneth Cole Productions, Inc., Class A 2,824 154 Quiksilver, Inc.* 4,578 53 Timberland Co., Class A* 3,303 ------------------------------------------------------------------- 10,705 ------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.2% 83 Jacuzzi Brands, Inc.* 721 AUTOMOTIVE -- 3.5% 64 Bandag, Inc. 3,188 61 Lithia Motors, Inc., Class A 1,625 54 Oshkosh Truck Corp. 3,692 33 Polaris Industries, Inc. 2,272 46 Winnebago Industries, Inc. 1,797 ------------------------------------------------------------------- 12,574 ------------------------------------------------------------------- BANKING -- 5.9% 29 Alabama National Bancorp 1,851 42 Bank of the Ozarks, Inc. 1,426 57 Boston Private Financial Holdings, Inc. 1,592 77 East-West Bancorp, Inc. 3,222 82 Hancock Holding Co. 2,730 82 Hudson United Bancorp 3,213 32 MB Financial, Inc. 1,328 9 Mercantile Bank Corp. 344 10 S.Y. Bancorp, Inc. 241 114 Sterling Bancshares, Inc. 1,631 52 The South Financial Group, Inc. 1,679 33 Wintrust Financial Corp. 1,885 ------------------------------------------------------------------- 21,142 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.4% 162 Sinclair Broadcast Group, Inc., Class A 1,492 BUSINESS SERVICES -- 2.7% 57 Banta Corp. 2,533 120 Hudson Highland Group, Inc.* 3,447 307 MPS Group, Inc.* $ 3,762 ------------------------------------------------------------------- 9,742 ------------------------------------------------------------------- CHEMICALS -- 3.4% 87 Albemarle Corp. 3,379 95 Georgia Gulf Corp. 4,707 76 NuCO2, Inc.* 1,675 82 Spartech Corp. 2,231 ------------------------------------------------------------------- 11,992 ------------------------------------------------------------------- COMPUTER NETWORKS -- 3.3% 91 Anixter International, Inc. 3,289 67 Avocent Corp.* 2,731 72 Micros Systems, Inc.* 5,597 ------------------------------------------------------------------- 11,617 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 4.1% 67 CACI International, Inc., Class A* 4,592 106 FileNet Corp.* 2,731 56 Hyperion Solutions Corp.* 2,620 117 Intergraph Corp.* 3,137 163 MSC.Software Corp.* 1,702 ------------------------------------------------------------------- 14,782 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.0% 41 Imation Corp. 1,308 38 Zebra Technologies Corp., Class A* 2,160 ------------------------------------------------------------------- 3,468 ------------------------------------------------------------------- CONSUMER PRODUCTS -- 5.2% 113 Church & Dwight Co., Inc. 3,807 129 Fossil, Inc.* 3,303 106 Jarden Corp.* 4,618 45 The Scotts Co., Class A* 3,272 44 Toro Co. 3,604 ------------------------------------------------------------------- 18,604 ------------------------------------------------------------------- CONSUMER SERVICES -- 1.1% 127 Alderwoods Group, Inc. (Canada)* 1,445 54 Regis Corp. 2,511 ------------------------------------------------------------------- 3,956 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 44
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED DISTRIBUTION -- 1.1% 107 Watsco, Inc. $ 3,779 ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.8% 40 Brady Corp., Class A 2,472 175 Paxar Corp.* 3,873 ------------------------------------------------------------------- 6,345 ------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 1.3% 109 Boyd Gaming Corp. 4,557 ENVIRONMENTAL SERVICES -- 1.0% 108 Waste Connections, Inc.* 3,690 FINANCIAL SERVICES -- 1.0% 137 Calamos Asset Management, Inc., Class A* 3,710 HEALTH CARE/HEALTH CARE SERVICES -- 9.3% 67 Advanced Medical Optics, Inc.* 2,748 36 AMERIGROUP Corp.* 2,754 50 Cooper Companies, Inc. 3,544 41 Datascope Corp. 1,615 34 Idexx Laboratories, Inc.* 1,845 73 Invacare Corp. 3,354 108 Kindred Healthcare, Inc.* 3,229 53 Ocular Sciences, Inc.* 2,612 306 PSS World Medical, Inc.* 3,825 26 Respironics, Inc.* 1,397 62 Sierra Health Services, Inc.* 3,395 89 Sybron Dental Specialties, Inc.* 3,131 ------------------------------------------------------------------- 33,449 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.5% 178 La Quinta Corp.* 1,618 INSURANCE -- 3.0% 115 Direct General Corp. 3,685 64 Hilb, Rogal & Hobbs Co. 2,330 28 Philadelphia Consolidated Holding Corp.* 1,872 95 Platinum Underwriters Holdings LTD (Bermuda) 2,955 ------------------------------------------------------------------- 10,842 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 0.2% 84 Digitas, Inc.* $ 797 MACHINERY & ENGINEERING EQUIPMENT -- 3.0% 71 Regal-Beloit Corp. 2,025 96 The Manitowoc Co., Inc. 3,615 71 UNOVA, Inc.* 1,785 158 Wabtec Corp. 3,360 ------------------------------------------------------------------- 10,785 ------------------------------------------------------------------- MANUFACTURING -- 2.4% 68 AptarGroup, Inc. 3,585 135 General Cable Corp.* 1,875 94 Kaydon Corp. 3,110 ------------------------------------------------------------------- 8,570 ------------------------------------------------------------------- METALS/MINING -- 2.5% 40 Century Aluminum Co.* 1,045 28 Cleveland-Cliffs, Inc. 2,950 99 Commercial Metals Co. 4,985 ------------------------------------------------------------------- 8,980 ------------------------------------------------------------------- MULTI-MEDIA -- 0.6% 114 Emmis Communications Corp., Class A* 2,182 OIL & GAS -- 5.6% 84 FMC Technologies, Inc.* 2,714 67 Maverick Tube Corp.* 2,015 176 Plains Exploration & Production Co.* 4,576 95 Southwestern Energy Co.* 4,821 91 St. Mary Land & Exploration Co. 3,794 68 Varco International, Inc.* 1,985 ------------------------------------------------------------------- 19,905 ------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 0.5% 97 Wausau-Mosinee Paper Corp. 1,729 REAL ESTATE -- 0.9% 90 Jones Lang LaSalle, Inc.* 3,371 REAL ESTATE INVESTMENT TRUST -- 0.9% 42 Alexandria Real Estate Equities, Inc. 3,103
SEE NOTES TO FINANCIAL STATEMENTS. 45
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RESTAURANTS/FOOD SERVICES -- 2.7% 95 Applebee's International, Inc. $ 2,515 128 Lone Star Steakhouse & Saloon 3,595 100 Papa John's International, Inc.* 3,427 ------------------------------------------------------------------- 9,537 ------------------------------------------------------------------- RETAILING -- 5.0% 36 Chico's FAS, Inc.* 1,635 66 Genesco, Inc.* 2,051 308 Hancock Fabrics, Inc. 3,192 75 Men's Wearhouse, Inc.* 2,387 73 School Specialty, Inc.* 2,821 97 The Finish Line, Inc., Class A 1,779 564 Tweeter Home Entertainment Group, Inc.* 3,863 ------------------------------------------------------------------- 17,728 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 2.6% 151 Axcelis Technologies, Inc.* 1,228 36 Cymer, Inc.* 1,055 155 FSI International, Inc.* 722 44 International Rectifier Corp.* 1,970 79 Standard Microsystems Corp.* 1,409 75 Varian Semiconductor Equipment Associates, Inc.* 2,763 ------------------------------------------------------------------- 9,147 ------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 1.3% 66 UTI Worldwide, Inc. (Virgin Islands) 4,483 TELECOMMUNICATIONS EQUIPMENT -- 1.1% 113 CommScope, Inc.* 2,141 65 Inter-Tel, Inc. 1,791 ------------------------------------------------------------------- 3,932 ------------------------------------------------------------------- TRANSPORTATION -- 3.3% 77 Arkansas Best Corp. 3,466 118 EGL, Inc.* 3,536 63 Landstar System, Inc.* 4,609 ------------------------------------------------------------------- 11,611 ------------------------------------------------------------------- UTILITIES -- 2.4% 54 American States Water Co. 1,414 99 Aqua America, Inc. 2,424 48 Atmos Energy Corp. $ 1,318 39 New Jersey Resources Corp. 1,669 67 NorthWestern Corp.* 1,882 ------------------------------------------------------------------- 8,707 ------------------------------------------------------------------- Total Common Stocks (Cost $230,352) 320,348 ------------------------------------------------------------------- INVESTMENT COMPANIES -- 6.5% 142 ishares S&P Smallcap 600 Index Fund (Cost $22,120) 23,170 ------------------------------------------------------------------- Total Long-Term Investments (Cost $252,472) 343,518 ------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 3.6% MONEY MARKET FUND -- 3.6% 12,857 JPMorgan Prime Money Market Fund (a) (Cost $12,857) 12,857 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 99.9% (COST $265,329) $ 356,375 ------------------------------------------------------------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 0.1% 495 ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 356,870 -------------------------------------------------------------------
Percentages indicated are based on net assets. SEE NOTES TO FINANCIAL STATEMENTS. 46 JPMORGAN SMALL CAP GROWTH FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 97.4% COMMON STOCKS -- 97.4% AEROSPACE -- 0.9% 1 Engineered Support Systems, Inc. $ 52 AIRLINES -- 1.2% 1 Republic Airways Holdings, Inc.* 10 3 SkyWest, Inc. 59 ------------------------------------------------------------------- 69 ------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.9% 6 Jacuzzi Brands, Inc.* 53 AUTOMOTIVE -- 1.7% 1 Oshkosh Truck Corp. 50 1 Winnebago Industries, Inc. 52 ------------------------------------------------------------------- 102 ------------------------------------------------------------------- BANKING -- 4.2% 2 Central Pacific Financial Corp. 56 1 East-West Bancorp, Inc. 44 2 EuroBancshares, Inc. (Puerto Rico)* 40 1 MB Financial, Inc. (l) 50 2 Texas Capital Bancshares, Inc.* 35 1 Texas Regional Bancshares, Inc., Class A 28 ------------------------------------------------------------------- 253 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.3% 1 Alexion Pharmaceuticals, Inc.* 32 3 Incyte Corp.* (l) 26 1 Telik, Inc.* (l) 22 ------------------------------------------------------------------- 80 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.7% 2 Salem Communications Corp., Class A* 44 BUSINESS SERVICES -- 1.7% 1 Alliance Data Systems Corp.* 55 3 LECG Corp* 48 ------------------------------------------------------------------- 103 ------------------------------------------------------------------- COMPUTER NETWORKS -- 0.5% 1 Avocent Corp.* 28 COMPUTER SOFTWARE -- 9.8% 8 Aspen Technology, Inc.* (l) $ 50 3 DSP Group, Inc.* 61 4 Epicor Software Corp.* 56 2 Hyperion Solutions Corp.* 73 1 Kronos, Inc.* 26 8 Lawson Software, Inc.* 56 4 Packeteer, Inc.* 56 3 Serena Software, Inc.* (l) 59 1 Take-Two Interactive Software, Inc.* (l) 45 2 THQ, Inc.* (l) 53 1 Verint Systems, Inc.* (l) 51 ------------------------------------------------------------------- 586 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.2% 2 Tech Data Corp.* 72 CONSTRUCTION -- 1.0% 5 Champion Enterprises, Inc.* (l) 62 CONSTRUCTION MATERIALS -- 0.9% 1 Eagle Materials, Inc. 52 CONSUMER SERVICES -- 4.6% 5 Educate, Inc.* 63 3 Jackson Hewitt Tax Service, Inc. 65 1 Laureate Education, Inc.* 31 2 Ritchie Bros. Auctioneers, Inc. (Canada) 54 2 Universal Technical Institute, Inc.* 65 ------------------------------------------------------------------- 278 ------------------------------------------------------------------- DISTRIBUTION -- 1.0% 1 Scansource, Inc.* 62 ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.1% 5 TTM Technologies, Inc.* 65 ENTERTAINMENT/LEISURE -- 4.8% 2 Carmike Cinemas, Inc. 67 3 K2, Inc.* 52 2 LIFE TIME FITNESS, Inc.* 63 4 Lions Gate Entertainment Corp. (Canada)* (l) 46 3 Scientific Games Corp., Class A* 60 ------------------------------------------------------------------- 288 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 47
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FINANCIAL SERVICES -- 0.9% 1 Calamos Asset Management, Inc., Class A* $ 20 2 Marlin Business Services, Inc.* 32 ------------------------------------------------------------------- 52 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.7% 1 United Natural Foods, Inc.* 39 HEALTH CARE/HEALTH CARE SERVICES -- 12.9% 3 Abaxis, Inc.* 38 1 Advanced Medical Optics, Inc.* 29 2 Amedisys, Inc.* (l) 58 0^^ AMERIGROUP Corp.* 30 2 ArthroCare Corp.* (l) 66 1 Cooper Companies, Inc. 46 1 Covance, Inc.* 50 1 Gentiva Health Services* 23 3 Kyphon, Inc.* (l) 71 2 Psychiatric Solutions, Inc.* 90 2 Sunrise Senior Living, Inc.* (l) 82 1 Symmetry Medical, Inc.* 15 5 TriPath Imaging, Inc.* (l) 47 1 United Surgical Partners International, Inc.* (l) 43 2 VCA Antech, Inc.* 45 1 Ventana Medical Systems, Inc.* 38 ------------------------------------------------------------------- 771 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 1.1% 2 Gaylord Entertainment Co.* 66 INSURANCE -- 2.6% 1 Direct General Corp. (l) 42 2 Infinity Property & Casualty Corp. 54 1 ProAssurance Corp.* 57 ------------------------------------------------------------------- 153 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.8% 1 Equinix, Inc.* (l) 56 1 F5 Networks, Inc.* 29 9 Mindspeed Technologies, Inc.* (l) 25 4 Sapient Corp.* 30 1 WebEx Communications, Inc.* (l) 26 ------------------------------------------------------------------- 166 ------------------------------------------------------------------- INVESTMENT COMPANY -- 0.0% ^ 0^^ Apollo Investment Corp. $ 2 MANUFACTURING -- 1.6% 7 General Cable Corp.* (l) 94 METALS/MINING -- 0.9% 2 Arch Coal, Inc. 55 MULTI-MEDIA -- 1.0% 4 Gray Television, Inc. 58 OFFICE/BUSINESS EQUIPMENT -- 1.2% 2 Global Imaging Systems, Inc.* (l) 73 OIL & GAS -- 6.0% 2 Headwaters, Inc.* (l) 46 1 Newfield Exploration Co.* 54 1 Oceaneering International, Inc.* 45 1 Spinnaker Exploration Co.* 35 1 Swift Energy Co.* 30 2 Unit Corp.* 76 2 Universal Compression Holding, Inc.* 73 ------------------------------------------------------------------- 359 ------------------------------------------------------------------- PHARMACEUTICALS -- 6.2% 2 Able Laboratories, Inc.* (l) 35 3 Adolor Corp.* 33 1 AtheroGenics, Inc.* (l) 24 3 Cubist Pharmaceuticals, Inc.* 39 1 CV Therapeutics, Inc.* (l) 32 3 Cypress Bioscience, Inc.* (l) 40 0^^ Idenix Pharmaceuticals, Inc.* (l) 7 2 Nabi Biopharmaceuticals* 29 1 Onyx Pharmaceuticals, Inc.* (l) 29 1 Pharmion Corp.* 24 1 Rigel Pharmaceuticals, Inc.* (l) 24 1 United Therapeutics Corp.* 25 1 Valeant Pharmaceuticals International 31 ------------------------------------------------------------------- 372 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 48
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REAL ESTATE INVESTMENT TRUST -- 1.4% 2 American Financial Realty Trust $ 25 2 Global Signal, Inc. + 56 ------------------------------------------------------------------- 81 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.0% 2 Rare Hospitality International, Inc.* 61 RETAILING -- 5.1% 1 Aeropostale, Inc.* 24 1 Cost Plus, Inc.* 29 2 Genesco, Inc.* (l) 76 1 Guitar Center, Inc.* 66 1 The Children's Place Retail Stores, Inc.* (l) 33 3 The Pantry, Inc.* 77 ------------------------------------------------------------------- 305 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.1% 4 Credence Systems Corp.* 35 1 Cymer, Inc.* 40 4 Entegris, Inc.* 41 3 Mattson Technology, Inc.* 34 3 Micrel, Inc.* 28 1 Power Integrations, Inc.* 26 1 Semtech Corp.* 28 0^^ Varian Semiconductor Equipment Associates, Inc.* 15 ------------------------------------------------------------------- 247 ------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.8% 1 UTI Worldwide, Inc. (Virgin Islands) 49 TELECOMMUNICATIONS -- 6.5% 6 Aeroflex, Inc.* 77 5 Atheros Communications, Inc.* (l) 53 11 LCC International, Inc.* 67 4 Nextel Partners, Inc., Class A* 71 3 Symmetricom, Inc.* 33 4 Tekelec* 73 1 Viasat, Inc.* 16 ------------------------------------------------------------------- 390 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 2.2% 6 C-COR.net Corp.* $ 52 3 Inter-Tel, Inc. 80 ------------------------------------------------------------------- 132 ------------------------------------------------------------------- TRANSPORTATION -- 0.9% 3 Sirva, Inc.* 54 ------------------------------------------------------------------- Total Common Stocks (Cost $4,679) 5,828 ------------------------------------------------------------------- SHORT-TERM INVESTMENT - 3.6% MONEY MARKET FUND -- 3.6% 216 JPMorgan Prime Money Market Fund (a) (Cost $216) 216 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 101.0% (COST $4,895) $ 6,044 ------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (1.0)% (59) ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 5,985 -------------------------------------------------------------------
Percentages indicated are based on net assets.
PRINCIPAL AMOUNT (USD) COLLATERAL INVESTMENT VALUE - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 1,132 Deutsche Bank Securities, Inc. 2.33%, dated 12/31/04, due 01/03/05, proceeds $1,132, collateralized by U.S. Government Agency Securities $ 1,132 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 49 JPMORGAN TRUST SMALL CAP EQUITY FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 92.3% COMMON STOCKS -- 92.3% ADVERTISING -- 0.5% 15 ADVO, Inc. $ 549 37 aQuantive, Inc.* (l) 328 13 Catalina Marketing Corp. 376 46 R.H. Donnelley Corp.* (l) 2,722 59 SITEL Corp.* 145 ------------------------------------------------------------------- 4,120 ------------------------------------------------------------------- AEROSPACE -- 1.7% 80 Aviall, Inc.* 1,840 54 BE Aerospace, Inc.* 633 11 Curtiss-Wright Corp. (l) 632 85 Esterline Technologies Corp.* 2,775 23 HEICO Corp. (l) 511 45 Kaman Corp., Class A 572 157 Moog, Inc., Class A* 7,119 123 Orbital Sciences Corp.* (l) 1,453 ------------------------------------------------------------------- 15,535 ------------------------------------------------------------------- AGRICULTURAL PRODUCTION/SERVICES -- 0.1% 130 DIMON, Inc. (l) 872 AIRLINES -- 0.8% 203 Delta Air Lines, Inc.* (l) 1,521 184 ExpressJet Holdings, Inc.* (l) 2,367 8 FLYi, Inc.* 15 106 Mesa Air Group, Inc.* (l) 842 77 Pinnacle Airlines Corp.* 1,073 93 SkyWest, Inc. 1,856 ------------------------------------------------------------------- 7,674 ------------------------------------------------------------------- APPAREL -- 0.8% 19 DHB Industries, Inc.* 367 43 Kellwood Co. (l) 1,473 45 Kenneth Cole Productions, Inc., Class A 1,395 92 Quiksilver, Inc.* 2,738 73 Skechers U.S.A., Inc., Class A* 945 ------------------------------------------------------------------- 6,918 ------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.3% 52 Furniture Brands International, Inc. 1,313 112 Jacuzzi Brands, Inc.* 975 ------------------------------------------------------------------- 2,288 ------------------------------------------------------------------- AUTOMOTIVE -- 1.0% 93 ArvinMeritor, Inc. $ 2,087 74 Hayes Lemmerz International, Inc.* (l) 653 51 Lithia Motors, Inc., Class A 1,371 21 Sonic Automotive, Inc. (l) 521 38 Standard Motor Products, Inc. 597 128 Tenneco Automotive, Inc.* 2,208 78 Tower Automotive, Inc.* (l) 185 40 Wabash National Corp.* 1,069 12 Winnebago Industries, Inc. 484 ------------------------------------------------------------------- 9,175 ------------------------------------------------------------------- BANKING -- 8.3% 13 ABC Bancorp + 271 15 Ace Cash Express, Inc.* + 457 35 Amcore Financial, Inc. 1,110 7 AmericanWest Bancorp* 140 4 Bancfirst Corp. 348 81 Bank of the Ozarks, Inc. (l) 2,753 169 BankAtlantic Bancorp, Inc., Class A 3,361 6 Capital Corp of the West 282 27 Capitol Bancorp LTD 944 14 Center Financial Corp. 288 39 Central Pacific Financial Corp. 1,418 21 Chemical Financial Corp. 901 12 City Holding Co. 439 17 City National Corp. 1,208 24 Columbia Banking Systems, Inc. 595 20 Commercial Capital Bancorp, Inc. 466 109 Community Bank System, Inc. (l) 3,071 18 Community Trust Bancorp, Inc. 569 82 Corus Bankshares, Inc. 3,951 21 Dime Community Bancshares 381 50 EuroBancshares, Inc. (Puerto Rico)* 1,042 61 First Bancorp (Puerto Rico) 3,842 25 First Niagara Financial Group, Inc. 343 9 First Republic Bank 498 38 First State Bancorporation 1,412 49 Flagstar Bancorp, Inc. (l) 1,110 22 Glacier Bancorp, Inc. 752 69 Gold Banc Corp., Inc. 1,013 41 Greater Bay Bancorp 1,154 41 Hudson River Bancorp 809
SEE NOTES TO FINANCIAL STATEMENTS. 50
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED BANKING -- CONTINUED 49 IBERIABANK Corp. $ 3,238 46 Independent Bank Corp. 1,372 107 Irwin Financial Corp. (l) 3,024 6 Macatawa Bank Corp. (l) 194 15 MB Financial, Inc. 649 9 Mercantile Bank Corp. 371 25 Nara Bancorp, Inc. 534 42 Oriental Financial Group, Inc. (Puerto Rico) 1,194 37 Partners Trust Financial Group, Inc. (l) 433 12 Peoples Bancorp, Inc. 340 89 PrivateBancorp, Inc. (l) 2,872 103 Provident Bancorp, Inc. 1,357 147 R&G Financial Corp. (Puerto Rico), Class B 5,699 75 Republic Bancorp, Inc. 1,150 5 Republic Bancorp, Inc., Class A 134 12 Simmons First National Corp., Class A 345 9 Southwest Bancorp, Inc. 218 6 State Financial Services Corp., Class A 181 23 Sterling Bancorp 653 119 Sterling Bancshares, Inc. 1,692 40 Sterling Financial Corp. - Washington* 1,559 29 Summit Bancshares, Inc. 1,080 19 Sun Bancorp, Inc.* 462 6 Taylor Capital Group, Inc. 201 12 TriCo Bancshares 283 21 Umpqua Holdings Corp. 522 183 W Holding Co., Inc. (Puerto Rico) 4,187 64 West Coast Bancorp (l) 1,621 62 Westamerica Bancorporation 3,586 6 Western Sierra Bancorp* 222 34 Wilshire Bancorp, Inc.* 566 16 Wintrust Financial Corp. (l) 894 ------------------------------------------------------------------- 75,761 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.5% 33 Abgenix, Inc.* (l) + 342 48 Aksys LTD* (l) + 267 19 Alexion Pharmaceuticals, Inc.* (l) + 466 37 Applera Corp. - Celera Genomics Group* 505 6 Bio-Rad Laboratories, Inc., Class A* 333 45 Cell Genesys, Inc.* (l) 362 110 Cytokinetics, Inc.* (l) 1,132 26 Diversa Corp.* (l) $ 224 34 Enzon Pharmaceuticals, Inc.* (l) 466 13 Exelixis, Inc.* 123 335 Genelabs Technologies* 401 63 Human Genome Sciences, Inc.* (l) 752 251 Incyte Corp.* (l) 2,509 32 Integra LifeSciences Holdings Corp.* (l) 1,194 57 Maxygen, Inc.* 724 43 Myriad Genetics, Inc.* (l) 957 88 Regeneration Technologies, Inc.* (l) 920 93 Seattle Genetics, Inc.* (l) 607 47 Telik, Inc.* 907 28 Transkaryotic Therapies, Inc.* (l) 713 ------------------------------------------------------------------- 13,904 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.3% 165 Charter Communications, Inc., Class A* (l) 370 260 Mediacom Communications Corp., Class A* (l) 1,623 20 Saga Communications, Inc., Class A* (l) 344 24 Sinclair Broadcast Group, Inc., Class A (l) 224 ------------------------------------------------------------------- 2,561 ------------------------------------------------------------------- BUSINESS SERVICES -- 2.0% 13 Banta Corp. 577 6 Charles River Associates, Inc.* 271 39 CSG Systems International, Inc.* 724 28 DiamondCluster International, Inc., Class A* 398 30 Digital River, Inc.* (l) 1,240 64 Dollar Thrifty Automotive Group, Inc.* 1,927 140 Gartner, Inc., Class A* (l) 1,743 7 Gevity HR, Inc. 148 57 Heidrick & Struggles International, Inc.* (l) 1,940 76 Labor Ready, Inc.* (l) 1,279 23 Metris Companies, Inc.* 292 80 Navigant Consulting, Inc.* 2,136 30 PDI, Inc.* 664 40 Quanta Services, Inc.* (l) 322 162 Spherion Corp.* (l) 1,361 116 TeleTech Holdings, Inc.* (l) 1,123 31 Tyler Technologies, Inc.* (l) 258 32 Valassis Communications, Inc.* 1,110 6 Vertrue, Inc.* (l) 227 ------------------------------------------------------------------- 17,740 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 51
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED CHEMICALS -- 2.3% 14 Aceto Corp. + $ 274 34 Albemarle Corp. + 1,316 38 Cabot Microelectronics Corp.* (l) 1,538 31 Cytec Industries, Inc. 1,573 44 FMC Corp.* 2,106 94 Georgia Gulf Corp. 4,672 10 HB Fuller Co. 282 88 Hercules, Inc.* 1,308 28 Kronos Worldwide, Inc. 1,121 30 NewMarket Corp.* 593 17 NuCO2, Inc.* (l) 379 20 OM Group, Inc.* (l) 652 136 PolyOne Corp.* 1,230 41 Terra Industries, Inc.* (l) 365 127 The Mosaic Co.* 2,068 103 W.R. Grace & Co.* (l) 1,405 ------------------------------------------------------------------- 20,882 ------------------------------------------------------------------- COMPUTER NETWORKS -- 1.0% 136 Adaptec, Inc.* + 1,031 89 Anixter International, Inc. (l) 3,188 38 Black Box Corp. 1,801 232 Brocade Communications Systems, Inc.* 1,771 17 Factset Research Systems, Inc. 970 ------------------------------------------------------------------- 8,761 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 4.5% 24 Ansys, Inc.* 753 37 Ariba, Inc.* 618 34 Ascential Software Corp.* 555 54 Aspen Technology, Inc.* (l) 336 74 Atari, Inc.* 216 65 Borland Software Corp.* 764 41 CACI International, Inc., Class A* 2,820 23 Cerner Corp.* (l) 1,202 127 Ciber, Inc.* (l) 1,226 46 Computer Programs & Systems, Inc. (l) 1,072 44 Dendrite International, Inc.* 861 24 DSP Group, Inc.* 543 64 E.piphany, Inc.* 309 26 Echelon Corp.* 216 33 Epicor Software Corp.* 458 27 EPIQ Systems, Inc.* (l) $ 395 16 FileNet Corp.* 415 56 Hyperion Solutions Corp.* 2,624 46 Informatica Corp.* 372 54 Intergraph Corp.* 1,457 7 Intervideo, Inc.* 95 13 Intervoice, Inc.* 172 35 JDA Software Group, Inc.* 474 12 Kronos, Inc.* 634 27 Lexar Media, Inc.* 208 38 Magma Design Automation, Inc.* (l) 482 30 Manhattan Associates, Inc.* (l) 719 51 ManTech International Corp., Class A* (l) 1,206 24 Manugistics Group, Inc.* 68 25 MAPICS, Inc.* 260 59 Mentor Graphics Corp.* (l) 894 9 MicroStrategy, Inc.* (l) 512 47 MRO Software, Inc.* 615 40 Openwave Systems, Inc.* (l) 614 11 PalmSource, Inc.* (l) 136 286 Parametric Technology Corp.* 1,682 21 Pegasystems, Inc.* (l) 177 83 Per-Se Technologies, Inc.* (l) 1,320 87 Perot Systems Corp., Class A* 1,398 94 Progress Software Corp.* 2,183 4 Quality Systems, Inc.* 209 24 Quest Software, Inc.* 380 37 Retek, Inc.* 228 45 SafeNet, Inc.* 1,642 139 Secure Computing Corp.* 1,391 6 SPSS, Inc.* 94 12 SRA International, Inc., Class A* 777 9 SS&C Technologies, Inc. 184 7 Stratasys, Inc.* 248 42 Take-Two Interactive Software, Inc.* (l) 1,451 12 TALX Corp. 312 12 TradeStation Group, Inc.* (l) 81 48 Transaction Systems Architects, Inc., Class A* 947 23 webMethods, Inc.* 165 88 Wind River Systems, Inc.* 1,186 ------------------------------------------------------------------- 40,356 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 52
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED COMPUTERS/COMPUTER HARDWARE -- 1.2% 37 Advanced Digital Information Corp.* + $ 371 88 Agilysys, Inc. (l) + 1,505 28 Dot Hill Systems Corp.* (l) 216 13 Electronics for Imaging, Inc.* 221 87 Gateway, Inc.* 522 61 Hutchinson Technology, Inc.* 2,120 21 Imagistics International, Inc.* (l) 707 54 Imation Corp. 1,712 60 Komag, Inc.* 1,129 35 PalmOne, Inc.* (l) 1,098 29 RadiSys Corp.* (l) 561 208 Silicon Graphics, Inc.* (l) 359 70 Sykes Enterprises, Inc.* 489 ------------------------------------------------------------------- 11,010 ------------------------------------------------------------------- CONSTRUCTION -- 0.9% 9 Beazer Homes USA, Inc. (l) 1,301 148 Champion Enterprises, Inc.* (l) 1,745 18 Dycom Industries, Inc.* 537 54 Levitt Corp., Class A (l) 1,645 15 Meritage Corp.* 1,736 36 WCI Communities, Inc.* (l) 1,064 ------------------------------------------------------------------- 8,028 ------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 1.3% 16 Ameron International Corp. 595 24 Eagle Materials, Inc. (l) 2,055 33 ElkCorp 1,122 50 NCI Building Systems, Inc.* (l) 1,871 19 Texas Industries, Inc. 1,154 75 Universal Forest Products, Inc. 3,256 46 USG Corp.* (l) 1,844 ------------------------------------------------------------------- 11,897 ------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.0% 45 American Greetings Corp., Class A 1,146 6 CSS Industries, Inc. 191 136 Revlon, Inc., Class A* 313 18 Stanley Furniture Company, Inc. 791 19 Toro Co. 1,570 78 Tupperware Corp. (l) 1,618 67 Universal Corp. 3,196 ------------------------------------------------------------------- 8,825 ------------------------------------------------------------------- CONSUMER SERVICES -- 0.8% 42 Alderwoods Group, Inc. (Canada)* + $ 477 33 Arbitron, Inc.* 1,273 182 Rent-Way, Inc.* 1,455 41 Sotheby's Holdings, Inc., Class A* 752 31 SOURCECORP, Inc.* 592 31 Startek, Inc. (l) 882 174 Stewart Enterprises, Inc., Class A* 1,216 34 The GEO Group, Inc.* 909 ------------------------------------------------------------------- 7,556 ------------------------------------------------------------------- DISTRIBUTION -- 0.2% 18 Building Material Holding Corp. 697 39 WESCO International, Inc.* 1,162 ------------------------------------------------------------------- 1,859 ------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.9% 9 Analogic Corp. 381 8 BEI Technologies, Inc. 247 19 Bel Fuse, Inc., Class B (l) 652 55 Benchmark Electronics, Inc.* 1,879 30 Checkpoint Systems, Inc.* (l) 543 61 CTS Corp. 815 25 Electro Scientific Industries, Inc.* 496 48 Encore Wire Corp.* 634 7 FARO Technologies, Inc.* 224 36 Integrated Electrical Services, Inc.* (l) 176 38 Itron, Inc.* 897 14 MTS Systems Corp. 460 26 Planar Systems, Inc.* (l) 295 24 Power-One, Inc.* 214 81 Rayovac Corp.* 2,471 26 ROFIN-SINAR Technologies, Inc.* 1,104 61 Stoneridge, Inc.* 915 56 Sypris Solutions, Inc. (l) 850 52 Trimble Navigation LTD* 1,705 93 TTM Technologies, Inc.* 1,092 32 Valence Technology, Inc.* (l) 100 39 Watts Water Technologies, Inc., Class A 1,264 14 Zygo Corp.* 166 ------------------------------------------------------------------- 17,580 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 53
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ENGINEERING SERVICES -- 0.2% 21 URS Corp.* $ 664 31 Washington Group International, Inc.* (l) 1,263 ------------------------------------------------------------------- 1,927 ------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 2.2% 40 Ameristar Casinos, Inc. 1,711 30 Argosy Gaming Co.* 1,392 17 Aztar Corp.* 580 18 Brunswick Corp. 886 61 Callaway Golf Co. 824 17 Carmike Cinemas, Inc. 613 12 Isle of Capri Casinos, Inc.* (l) 318 47 K2, Inc.* 750 31 Macrovision Corp.* 802 52 Multimedia Games, Inc.* (l) 813 62 Navigant International, Inc.* (l) 758 50 Penn National Gaming, Inc.* 3,040 52 Pinnacle Entertainment, Inc.* 1,036 150 Scientific Games Corp., Class A* 3,585 77 Thor Industries, Inc. (l) 2,842 ------------------------------------------------------------------- 19,950 ------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 0.2% 37 Duratek, Inc.* 921 13 Metal Management, Inc. (l) 347 24 Tetra Tech, Inc.* 402 15 Waste Connections, Inc.* 510 ------------------------------------------------------------------- 2,180 ------------------------------------------------------------------- FINANCIAL SERVICES -- 1.6% 46 Accredited Home Lenders Holding Co.* + 2,305 19 Advanta Corp., Class B + 456 30 Affiliated Managers Group, Inc.* (l) + 2,039 9 Asta Funding, Inc. 239 20 Coinstar, Inc.* 539 53 CompuCredit Corp.* 1,449 8 Credit Acceptance Corp.* (l) 196 9 Education Lending Group, Inc.* 146 8 Encore Capital Group, Inc.* 190 15 eSpeed, Inc., Class A* 190 14 Euronet Worldwide, Inc.* 375 14 ITLA Capital Corp.* 847 50 Knight Trading Group, Inc., Class A* (l) $ 550 24 National Financial Partners Corp. 931 195 Safeguard Scientifics, Inc.* 414 57 World Acceptance Corp.* 1,571 30 WSFS Financial Corp. 1,816 ------------------------------------------------------------------- 14,253 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.9% 76 Chiquita Brands International, Inc. (l) 1,681 40 Corn Products International, Inc. 2,142 29 Flowers Foods, Inc. 906 14 J & J Snack Foods Corp. 706 56 Sanderson Farms, Inc. (l) 2,403 ------------------------------------------------------------------- 7,838 ------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 6.1% 39 ABIOMED Inc.* (l) + 601 49 Align Technology, Inc.* + 522 108 Alliance Imaging, Inc.* 1,212 21 America Service Group, Inc.* 554 34 Animas Corp.* (l) 527 54 Apria Healthcare Group, Inc.* 1,773 23 Arrow International, Inc. 700 17 ArthroCare Corp.* (l) 558 24 Biosite, Inc.* (l) 1,465 84 Centene Corp.* 2,376 88 CONMED Corp.* (l) 2,504 27 CTI Molecular Imaging, Inc.* 387 33 Diagnostic Products Corp. 1,789 184 Encore Medical Corp.* 1,252 14 Epix Medical, Inc.* (l) 258 19 First Health Group Corp.* 357 27 Genesis HealthCare Corp.* 928 97 Gentiva Health Services* 1,625 16 Immucor, Inc.* 380 17 Inverness Medical Innovations, Inc.* (l) 417 151 Kindred Healthcare, Inc.* (l) 4,512 79 Kyphon, Inc.* (l) 2,032 40 Mentor Corp. 1,333 19 Merit Medical Systems, Inc.* 292 53 NeuroMetrix, Inc.* 617 81 OCA, Inc.* (l) 512
SEE NOTES TO FINANCIAL STATEMENTS. 54
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED 17 Ocular Sciences, Inc.* $ 814 84 Owens & Minor, Inc. 2,355 136 Palatin Technologies, Inc.* 363 63 Pediatrix Medical Group, Inc.* 4,009 11 Possis Medical, Inc.* 142 59 Province Healthcare Co.* 1,325 137 PSS World Medical, Inc.* (l) 1,720 48 Res-Care, Inc.* 726 40 Sierra Health Services, Inc.* (l) 2,177 66 Sola International, Inc.* 1,818 120 Steris Corp.* (l) 2,834 15 SurModics, Inc.* (l) 501 40 Symbion, Inc.* 872 15 TECHNE Corp.* 599 77 United Surgical Partners International, Inc.* (l) 3,210 80 VISX, Inc.* 2,062 ------------------------------------------------------------------- 55,010 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.1% 70 La Quinta Corp.* 634 INDUSTRIAL COMPONENTS -- 0.4% 22 Hexcel Corp.* 313 151 Lennox International, Inc. 3,067 ------------------------------------------------------------------- 3,380 ------------------------------------------------------------------- INSURANCE -- 2.0% 9 AmerUs Group Co. 403 38 Argonaut Group, Inc.* (l) 803 86 Delphi Financial Group, Inc., Class A 3,988 36 Direct General Corp. (l) 1,152 33 LandAmerica Financial Group, Inc. (l) 1,753 8 NYMAGIC, Inc. 202 229 PMA Capital Corp., Class A* (l) 2,368 31 Selective Insurance Group 1,371 35 Stewart Information Services Corp. 1,449 2 The Navigators Group, Inc.* (l) 66 14 United Fire & Casualty Co. 485 21 Vesta Insurance Group, Inc. 76 84 Zenith National Insurance Corp. 4,183 ------------------------------------------------------------------- 18,299 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.6% 63 AsiaInfo Holdings, Inc. (China)* $ 373 50 Autobytel, Inc.* 300 5 Blue Coat Systems, Inc.* 93 355 CMGI, Inc.* 904 129 CNET Networks, Inc.* 1,446 18 Corillian Corp.* 88 27 Digital Insight Corp.* 488 115 Digitas, Inc.* 1,094 122 DoubleClick, Inc.* 949 306 EarthLink, Inc.* 3,520 18 Equinix, Inc.* (l) 765 35 Harris Interactive, Inc.* 279 184 Homestore, Inc.* (l) 558 35 Infospace, Inc.* (l) 1,656 52 Internet Security Systems, Inc.* 1,200 6 Interwoven, Inc.* 65 38 iPass, Inc.* 284 33 j2 Global Communications, Inc.* 1,121 43 Lionbridge Technologies, Inc.* 292 175 LookSmart LTD* 383 47 Mindspeed Technologies, Inc.* (l) 131 14 PC-Tel, Inc.* 108 31 Portal Software, Inc.* (l) 83 29 ProQuest Co.* 846 29 Redback Networks, Inc.* 155 136 SupportSoft, Inc.* (l) 902 60 Trizetto Group, Inc.* 566 78 United Online, Inc.* 904 71 Valueclick, Inc.* (l) 942 46 WebEx Communications, Inc.* (l) 1,084 34 Websense, Inc.* 1,725 ------------------------------------------------------------------- 23,304 ------------------------------------------------------------------- INVESTMENT COMPANY -- 0.1% 43 Technology Investment Capital Corp. 638 LEASING -- 0.4% 18 Amerco, Inc.* 809 84 GATX Corp. 2,495 17 Interpool, Inc. 399 ------------------------------------------------------------------- 3,703 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 55
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED MACHINERY & ENGINEERING EQUIPMENT -- 2.2% 324 Applied Industrial Technologies, Inc. $ 8,883 50 Astec Industries, Inc.* 864 32 Cascade Corp. 1,278 53 Flowserve Corp.* 1,451 16 NACCO Industries, Inc., Class A 1,665 15 Sauer-Danfoss, Inc. (l) 318 24 Tecumseh Products Co., Class A 1,123 52 The Manitowoc Co., Inc. 1,954 18 UNOVA, Inc.* (l) 460 53 York International Corp. 1,831 ------------------------------------------------------------------- 19,827 ------------------------------------------------------------------- MANUFACTURING -- 2.6% 29 Armor Holdings, Inc.* 1,349 61 Barnes Group, Inc. 1,604 21 Cyberoptics Corp.* (l) 308 11 ESCO Technologies, Inc.* 874 62 Fleetwood Enterprises, Inc.* (l) 836 77 Griffon Corp.* 2,071 57 JLG Industries, Inc. (l) 1,121 58 Joy Global, Inc. 2,532 60 Lincoln Electric Holdings, Inc. 2,069 31 NN, Inc. 412 19 Penn Engineering & Manufacturing Corp. 349 79 Quanex Corp. (l) 5,410 49 Terex Corp.* 2,316 57 Walter Industries, Inc. (l) 1,936 ------------------------------------------------------------------- 23,187 ------------------------------------------------------------------- METALS/MINING -- 0.7% 93 Commercial Metals Co. (l) 4,678 32 Metals USA, Inc.* (l) 584 27 Valmont Industries, Inc. 665 ------------------------------------------------------------------- 5,927 ------------------------------------------------------------------- MULTI-MEDIA -- 0.6% 38 Emmis Communications Corp., Class A* 720 35 Gray Television, Inc. 539 33 Insight Communications Co., Inc., Class A* (l) 304 35 Journal Register Co.* 667 153 Lodgenet Entertainment Corp.* 2,699 73 World Wrestling Entertainment, Inc. 888 ------------------------------------------------------------------- 5,817 ------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 0.5% 9 General Binding Corp.* $ 112 85 Global Imaging Systems, Inc.* (l) 3,369 29 United Stationers, Inc.* 1,340 ------------------------------------------------------------------- 4,821 ------------------------------------------------------------------- OIL & GAS -- 6.0% 26 Black Hills Corp. 785 18 Callon Petroleum Co.* (l) 259 24 Comstock Resources, Inc.* 536 120 Denbury Resources, Inc.* 3,280 88 Energen Corp. 5,176 19 Energy Partners LTD* 387 7 Giant Industries, Inc.* 196 16 Gulf Island Fabrication, Inc. 351 47 Hanover Compressor Co.* (l) 670 28 Headwaters, Inc.* (l) 792 45 Helmerich & Payne, Inc. 1,539 152 Houston Exploration Co.* 8,548 23 Hydril Co.* 1,029 223 Key Energy Services, Inc.* 2,629 46 Lone Star Technologies, Inc.* 1,543 41 Mission Resources Corp.* (l) 239 71 Oceaneering International, Inc.* 2,646 30 Oil States International, Inc.* 581 15 Penn Virginia Corp. 604 129 Southern Union Co.* (l) 3,098 71 Southwest Gas Corp. 1,801 143 Southwestern Energy Co.* (l) 7,259 36 Stone Energy Corp.* 1,632 78 Tesoro Petroleum Corp.* 2,498 43 Todco, Class A* 783 34 Unit Corp.* 1,288 46 Veritas DGC, Inc.* (l) 1,040 102 Vintage Petroleum, Inc. 2,323 18 World Fuel Services Corp. 891 ------------------------------------------------------------------- 54,403 ------------------------------------------------------------------- PACKAGING -- 0.7% 264 Crown Holdings, Inc.* 3,629 50 Silgan Holdings, Inc. 3,060 ------------------------------------------------------------------- 6,689 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 56
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED PAPER/FOREST PRODUCTS -- 0.2% 23 Schweitzer-Mauduit International, Inc. $ 767 67 Wausau-Mosinee Paper Corp. 1,202 ------------------------------------------------------------------- 1,969 ------------------------------------------------------------------- PHARMACEUTICALS -- 3.8% 42 Able Laboratories, Inc.* (l) + 953 136 Adolor Corp.* + 1,352 47 Alkermes, Inc.* (l) 657 16 Antigenics, Inc.* (l) 165 111 AtheroGenics, Inc.* (l) 2,613 42 Auxilium Pharmaceuticals, Inc.* 369 562 AVANIR Pharmaceuticals, Class A* (l) 1,918 15 Bradley Pharmaceuticals, Inc.* (l) 299 36 Corixa Corp.* (l) 130 146 Cubist Pharmaceuticals, Inc.* 1,726 139 CV Therapeutics, Inc.* (l) 3,186 264 Cypress Bioscience, Inc.* 3,708 18 Dendreon Corp.* (l) 190 39 Impax Laboratories, Inc.* (l) 622 21 Kos Pharmaceuticals, Inc.* (l) 779 52 Ligand Pharmaceuticals, Inc., Class B* (l) 604 24 Medicines Co.* 700 90 Onyx Pharmaceuticals, Inc.* (l) 2,902 30 Par Pharmaceutical Companies, Inc.* 1,221 17 Pharmion Corp.* 722 43 PolyMedica Corp. (l) 1,618 54 Rigel Pharmaceuticals, Inc.* (l) 1,309 11 Tanox, Inc.* (l) 167 44 United Therapeutics Corp.* (l) 1,982 96 Valeant Pharmaceuticals International 2,530 53 Vertex Pharmaceuticals, Inc.* 557 53 Vicuron Pharmaceuticals, Inc.* 928 ------------------------------------------------------------------- 33,907 ------------------------------------------------------------------- PRINTING & PUBLISHING -- 0.4% 119 Bowne & Co., Inc. 1,928 38 John H. Harland Co. 1,354 ------------------------------------------------------------------- 3,282 ------------------------------------------------------------------- REAL ESTATE -- 0.1% 13 LNR Property Corp. (l) 799 REAL ESTATE INVESTMENT TRUST -- 6.7% 93 Affordable Residential Communities, Inc. (l) + $ 1,335 265 American Financial Realty Trust 4,291 106 American Home Mortgage Investment Corp. 3,620 108 Anthracite Capital, Inc. 1,331 59 Capital Automotive Real Estate Investment Trust 2,100 211 CarrAmerica Realty Corp. 6,959 45 Entertainment Properties Trust 2,014 187 Equity Inns, Inc. 2,200 44 FelCor Lodging Trust, Inc.* 643 48 Gables Residential Trust 1,721 201 Government Properties Trust, Inc. (l) 1,979 54 Highwoods Properties, Inc. (l) 1,499 44 IMPAC Mortgage Holdings, Inc. 995 213 InnKeepers USA Trust 3,026 26 LaSalle Hotel Properties 815 101 Lexington Corporate Properties Trust 2,287 84 LTC Properties, Inc. 1,664 162 Meristar Hospitality Corp.* 1,353 99 MFA Mortgage Investments, Inc. 873 52 Mid-America Apartment Communities, Inc. 2,148 15 National Health Investors, Inc. 449 38 New Century Financial Corp. 2,397 35 NovaStar Financial, Inc. (l) 1,752 96 Pennsylvania Real Estate Investment Trust (l) 4,100 115 Prentiss Properties Trust 4,396 77 RAIT Investment Trust (l) 2,162 65 Saul Centers, Inc. (l) 2,479 ------------------------------------------------------------------- 60,588 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.3% 41 CBRL Group, Inc. 1,720 12 CEC Entertainment, Inc.* 496 103 CKE Restaurants, Inc.* (l) 1,495 6 Jack in the Box, Inc.* 221 185 Landry's Restaurants, Inc. (l) 5,373 27 Rare Hospitality International, Inc.* 844 129 Ryan's Restaurant Group, Inc.* 1,992 ------------------------------------------------------------------- 12,141 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 57
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED RETAILING -- 4.5% 26 1-800-FLOWERS.COM, Inc., Class A* $ 221 205 Aaron Rents, Inc. + 5,133 88 Aeropostale, Inc.* + 2,575 78 Asbury Automotive Group, Inc.* 1,078 91 Brookstone, Inc.* 1,775 19 Brown Shoe Co., Inc. 570 206 Cash America International, Inc. 6,131 24 Charlotte Russe Holding, Inc.* 245 338 Charming Shoppes, Inc.* (l) 3,167 11 Electronics Boutique Holdings Corp.* (l) 451 38 Genesco, Inc.* (l) 1,168 143 Hollywood Entertainment Corp.* 1,874 36 Hot Topic, Inc.* 626 46 Insight Enterprises, Inc.* 946 6 Jo-Ann Stores, Inc.* 165 34 MarineMax, Inc.* 1,018 7 Movado Group, Inc. 134 20 Movie Gallery, Inc. (l) 379 49 Select Comfort Corp.* (l) 881 78 ShopKo Stores, Inc.* (l) 1,450 104 Stein Mart, Inc.* 1,769 34 The Children's Place Retail Stores, Inc.* (l) 1,259 67 The J. Jill Group, Inc.* (l) 990 68 The Pantry, Inc.* 2,052 14 The Sports Authority, Inc.* (l) 350 94 Too, Inc.* 2,294 21 Trans World Entertainment Corp.* 258 26 United Auto Group, Inc. 758 44 Zale Corp.* 1,320 ------------------------------------------------------------------- 41,037 ------------------------------------------------------------------- RETAILING - FOOD & STAPLES -- 0.1% 14 Nash-Finch Co. 521 34 Pathmark Stores, Inc.* 198 42 Winn-Dixie Stores, Inc. (l) 192 ------------------------------------------------------------------- 911 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.1% 25 Actel Corp.* + 446 33 ADE Corp.* (l) + 625 104 AMIS Holdings, Inc.* 1,714 28 Asyst Technologies, Inc.* 140 19 ATMI, Inc.* + $ 417 42 August Technology Corp.* 441 143 Axcelis Technologies, Inc.* 1,160 54 Brooks Automation, Inc.* 926 79 Cirrus Logic, Inc.* 434 56 Credence Systems Corp.* 512 44 Cymer, Inc.* 1,288 24 Diodes, Inc.* 539 23 ESS Technology, Inc.* 161 21 Exar Corp.* 302 18 Genesis Microchip, Inc.* (l) 285 28 Integrated Silicon Solutions, Inc.* 226 28 IXYS Corp.* 287 25 Kopin Corp.* 97 50 Lattice Semiconductor Corp.* 283 59 LTX Corp.* (l) 450 65 Mattson Technology, Inc.* 733 88 Micrel, Inc.* 973 65 Microsemi Corp.* 1,130 69 MIPS Technologies, Inc.* 677 19 MKS Instruments, Inc.* 358 56 Mykrolis Corp.* (l) 794 40 Omnivision Technologies, Inc.* (l) 728 334 ON Semiconductor Corp.* 1,517 73 Photronics, Inc.* (l) 1,198 71 Pixelworks, Inc.* 807 19 Power Integrations, Inc.* 366 46 Semitool, Inc.* 425 26 SigmaTel, Inc.* 924 77 Silicon Image, Inc.* (l) 1,262 145 Silicon Storage Technology, Inc.* 864 8 Siliconix, Inc.* (l) 292 130 Skyworks Solutions, Inc.* 1,226 13 Supertex, Inc.* 276 110 Transmeta Corp.* (l) 179 9 Ultratech, Inc.* 168 24 Varian Semiconductor Equipment Associates, Inc.* (l) 877 221 Vitesse Semiconductor Corp.* (l) 779 27 Zoran Corp.* 316 ------------------------------------------------------------------- 27,602 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 58
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SHIPPING/TRANSPORTATION -- 0.1% 34 Swift Transportation Co., Inc.* (l) $ 735 STEEL -- 1.2% 248 AK Steel Holding Corp.* + 3,591 30 Gibraltar Industries, Inc. 711 42 Reliance Steel & Aluminum Co. 1,632 65 Ryerson Tull, Inc. (l) 1,017 18 Schnitzer Steel Industries, Inc., Class A (l) 607 87 Steel Dynamics, Inc. (l) 3,281 ------------------------------------------------------------------- 10,839 ------------------------------------------------------------------- TELECOMMUNICATIONS -- 2.4% 62 Aeroflex, Inc.* + 755 190 Alamosa Holdings, Inc.* + 2,372 112 Arris Group, Inc.* 785 88 Aspect Communications* 978 37 Boston Communications Group* 339 42 Broadwing Corp.* (l) 380 84 Centennial Communications Corp.* 663 373 Cincinnati Bell, Inc.* 1,546 12 Commonwealth Telephone Enterprises, Inc.* 616 34 CT Communications, Inc. 423 76 Extreme Networks, Inc.* 500 159 Finisar Corp.* (l) 362 26 Hypercom Corp.* 156 10 Interdigital Communications Corp.* 219 30 Intrado, Inc.* (l) 364 93 ITC DeltaCom, Inc.* 159 111 MasTec, Inc.* (l) 1,121 125 MRV Communications, Inc.* (l) 458 36 NETGEAR, Inc.* (l) 648 125 Primus Telecommunications Group, Inc.* (l) 398 475 PTEK Holdings, Inc.* 5,090 121 Symmetricom, Inc.* (l) 1,174 32 Talk America Holdings, Inc.* (l) 210 53 Tekelec* 1,077 81 Time Warner Telecom, Inc., Class A* 351 76 Westell Technologies, Inc., Class A* 514 ------------------------------------------------------------------- 21,658 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 0.8% 16 Audiovox Corp., Class A* (l) 254 28 Brightpoint, Inc.* $ 543 65 C-COR.net Corp.* 605 9 Comtech Telecommunications* (l) 354 22 Ditech Communications Corp.* 333 115 Inter-Tel, Inc. 3,144 54 Remec, Inc.* (l) 388 188 RF Micro Devices, Inc.* (l) 1,285 50 Terayon Communications Systems, Inc.* 135 ------------------------------------------------------------------- 7,041 ------------------------------------------------------------------- TEXTILES -- 0.5% 126 Angelica Corp. 3,403 38 UniFirst Corp. 1,075 ------------------------------------------------------------------- 4,478 ------------------------------------------------------------------- TIRE & RUBBER -- 0.3% 169 Goodyear Tire & Rubber Co.* (l) 2,473 TOYS & GAMES -- 0.4% 53 JAKKS Pacific, Inc.* (l) 1,178 59 RC2 Corp.* 1,934 29 Steinway Musical Instruments, Inc.* 839 ------------------------------------------------------------------- 3,951 ------------------------------------------------------------------- TRANSPORTATION -- 1.9% 26 Arkansas Best Corp. 1,181 81 Genesee & Wyoming, Inc., Class A* 2,276 32 Offshore Logistics, Inc.* 1,023 17 Old Dominion Freight Line, Inc.* 578 34 Overnite Corp. 1,255 54 Overseas Shipholding Group, Inc. (l) 2,985 84 RailAmerica, Inc.* 1,098 105 SCS Transportation, Inc.* 2,459 32 The Greenbrier Companies, Inc. 1,093 55 US Xpress Enterprises, Inc., Class A* 1,614 83 Werner Enterprises, Inc. 1,888 ------------------------------------------------------------------- 17,450 ------------------------------------------------------------------- UTILITIES -- 2.0% 80 Aquila, Inc.* (l) 296 64 Atmos Energy Corp. 1,745 59 Avista Corp. 1,044
SEE NOTES TO FINANCIAL STATEMENTS. 59
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED UTILITIES -- CONTINUED 218 CMS Energy Corp.* $ 2,281 57 El Paso Electric Co.* 1,087 40 Idacorp, Inc. 1,214 5 MGE Energy, Inc. (l) 187 62 New Jersey Resources Corp. 2,691 110 PNM Resources, Inc. 2,780 186 Sierra Pacific Resources* (l) 1,953 18 South Jersey Industries, Inc. 957 6 UIL Holdings Corp. 298 78 UniSource Energy Corp. (l) 1,883 ------------------------------------------------------------------- 18,416 ------------------------------------------------------------------- Total Common Stocks (Cost $773,696) 834,366 ------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 5.0% RIGHTS -- 0.0% ^ 38 Technology Investment Capital Corp. (Cost $0) 19 U.S. TREASURY SECURITY -- 0.3% 2,500 U.S. Treasury Note, 1.88%, 11/30/05, @ (Cost $2,481) 2,480 MONEY MARKET FUND -- 4.7% 42,664 JPMorgan Prime Money Market Fund (a) (Cost $42,664) 42,664 ------------------------------------------------------------------- Total Short-Term Investments (Cost $45,145) 45,163 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 97.3% (COST $818,841) $ 879,529 ------------------------------------------------------------------- OTHER ASSETS IN EXCESS OF LIABILITIES -- 2.7% $ 24,209 ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 903,738 ------------------------------------------------------------------- Percentages indicated are based on net assets. SHARES COLLATERAL INVESTMENTS VALUE - -------------------------------------------------------------------------------- MONEY MARKET FUND (c) 600 Barclays Global Investors Prime Money Market Fund $ 600 CERTIFICATES OF DEPOSIT (c) 2,500 Depfa Bank NY, 2.21%, 01/18/05 2,500 2,500 Washington Mutual Bank FA, 2.21%, 01/18/05 2,500 ------------------------------------------------------------------- 5,000 ------------------------------------------------------------------- COMMERCIAL PAPER (c) 2,989 Kitty Hawk, 2.23%, 01/18/05 2,989 PRINCIPAL AMOUNT (USD) - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 64,726 Deutsche Bank Securities Inc., 2.33%, dated 12/31/04, due 01/03/05, proceeds $64,739 collateralized by U.S. Government Agency Securities 64,726 ------------------------------------------------------------------- $ 73,315 -------------------------------------------------------------------
FUTURES CONTRACTS (Amounts in thousands, except number of contracts)
NOTIONAL UNREALIZED NUMBER OF VALUE AT APPRECIATION/ CONTRACTS DESCRIPTION EXPIRATION DATE 12/31/04 (USD) (DEPRECIATION) (USD) - --------------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 211 Russell 2000 Index March, 2005 $ 68,346 $ 646
SEE NOTES TO FINANCIAL STATEMENTS. 60 JPMORGAN U.S. SMALL COMPANY FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 98.5% COMMON STOCKS -- 98.5% ADVERTISING -- 0.5% 4 ADVO, Inc. $ 135 9 aQuantive, Inc.* 78 3 Catalina Marketing Corp. 95 11 R.H. Donnelley Corp.* 662 14 SITEL Corp.* 34 ------------------------------------------------------------------- 1,004 ------------------------------------------------------------------- AEROSPACE -- 1.8% 19 Aviall, Inc.* 446 13 BE Aerospace, Inc.* 152 3 Curtiss-Wright Corp. 149 20 Esterline Technologies Corp.* 666 9 HEICO Corp. 194 11 Kaman Corp., Class A 139 38 Moog, Inc., Class A* 1,715 30 Orbital Sciences Corp.* 349 1 Triumph Group, Inc.* 33 ------------------------------------------------------------------- 3,843 ------------------------------------------------------------------- AGRICULTURAL PRODUCTION/SERVICES -- 0.1% 31 DIMON, Inc. 210 AIRLINES -- 1.0% 1 Continental Airlines, Inc., Class B* 12 49 Delta Air Lines, Inc.* 364 44 ExpressJet Holdings, Inc.* 568 2 FLYi, Inc.* 4 25 Mesa Air Group, Inc.* 199 3 Northwest Airlines Corp.* 28 18 Pinnacle Airlines Corp.* 255 31 SkyWest, Inc. 624 ------------------------------------------------------------------- 2,054 ------------------------------------------------------------------- APPAREL -- 0.8% 5 DHB Industries, Inc.* 88 10 Kellwood Co. 359 11 Kenneth Cole Productions, Inc., Class A 336 22 Quiksilver, Inc.* 655 17 Skechers U.S.A., Inc., Class A* 226 ------------------------------------------------------------------- 1,664 ------------------------------------------------------------------- APPLIANCES & HOUSEHOLD DURABLES -- 0.3% 13 Furniture Brands International, Inc. $ 315 27 Jacuzzi Brands, Inc.* 234 ------------------------------------------------------------------- 549 ------------------------------------------------------------------- AUTOMOTIVE -- 1.0% 22 ArvinMeritor, Inc. 499 18 Hayes Lemmerz International, Inc.* 156 12 Lithia Motors, Inc., Class A 331 5 Sonic Automotive, Inc. 126 9 Standard Motor Products, Inc. 144 31 Tenneco Automotive, Inc.* 530 17 Tower Automotive, Inc.* 42 10 Wabash National Corp.* 261 3 Winnebago Industries, Inc. 117 ------------------------------------------------------------------- 2,206 ------------------------------------------------------------------- BANKING -- 9.2% 3 ABC Bancorp + 69 4 Ace Cash Express, Inc.* 107 8 Amcore Financial, Inc. 264 2 AmericanWest Bancorp* 36 1 Bancfirst Corp. 87 20 Bank of the Ozarks, Inc. 667 41 BankAtlantic Bancorp, Inc., Class A 808 1 Capital Corp of the West 66 6 Capitol Bancorp LTD 225 4 Center Financial Corp. 70 10 Central Pacific Financial Corp. 344 5 Chemical Financial Corp. 215 3 City Holding Co. 105 4 City National Corp. 294 6 Columbia Banking Systems, Inc. 142 5 Commercial Capital Bancorp, Inc. 114 26 Community Bank System, Inc. 737 4 Community Trust Bancorp, Inc. 143 22 Corus Bankshares, Inc. 1,046 5 Dime Community Bancshares 91 23 EuroBancshares, Inc. (Puerto Rico)* 485 14 First Bancorp (Puerto Rico) 915 0^^ First Citizens Banc Corp. 7 6 First Niagara Financial Group, Inc. 83 2 First Republic Bank 117
SEE NOTES TO FINANCIAL STATEMENTS. 61
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED BANKING -- CONTINUED 9 First State Bancorporation $ 346 12 Flagstar Bancorp, Inc. 269 0^^ Fulton Financial Corp. 5 5 Glacier Bancorp, Inc. 180 16 Gold Banc Corp., Inc. 240 10 Greater Bay Bancorp 279 10 Hudson River Bancorp 196 18 IBERIABANK Corp. 1,207 13 Independent Bank Corp. 376 26 Irwin Financial Corp. 727 1 Macatawa Bank Corp. 45 4 MB Financial, Inc. 160 6 Mercantile Bank Corp. 233 6 Nara Bancorp, Inc. 128 10 Oriental Financial Group, Inc. (Puerto Rico) 286 9 Partners Trust Financial Group, Inc. 106 3 Peoples Bancorp, Inc. 80 21 PrivateBancorp, Inc. 690 25 Provident Bancorp, Inc. 324 35 R&G Financial Corp. (Puerto Rico), Class B 1,372 18 Republic Bancorp, Inc. 272 1 Republic Bancorp, Inc., Class A 31 3 Simmons First National Corp., Class A 81 2 Southwest Bancorp, Inc. 51 1 State Financial Services Corp., Class A 42 6 Sterling Bancorp 158 29 Sterling Bancshares, Inc. 410 10 Sterling Financial Corp. - Washington* 379 15 Summit Bancshares, Inc. 544 4 Sun Bancorp, Inc.* 107 1 Taylor Capital Group, Inc. 47 3 TriCo Bancshares 68 5 Umpqua Holdings Corp. 124 44 W Holding Co., Inc. (Puerto Rico) 1,003 15 West Coast Bancorp 390 15 Westamerica Bancorporation 863 1 Western Sierra Bancorp* 54 8 Wilshire Bancorp, Inc.* 139 4 Wintrust Financial Corp. 222 ------------------------------------------------------------------- 19,471 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.6% 8 Abgenix, Inc.* $ 82 12 Aksys LTD* 64 4 Alexion Pharmaceuticals, Inc.* 111 9 Applera Corp. - Celera Genomics Group* 120 1 Bio-Rad Laboratories, Inc., Class A* 75 11 Cell Genesys, Inc.* 87 27 Cytokinetics, Inc.* 272 6 Diversa Corp.* 54 8 Enzon Pharmaceuticals, Inc.* 111 3 Exelixis, Inc.* 31 102 Genelabs Technologies* 122 15 Human Genome Sciences, Inc.* 180 61 Incyte Corp.* 604 8 Integra LifeSciences Holdings Corp.* 280 14 Maxygen, Inc.* 174 10 Myriad Genetics, Inc.* 232 21 Regeneration Technologies, Inc.* 222 23 Seattle Genetics, Inc.* 147 11 Telik, Inc.* 219 7 Transkaryotic Therapies, Inc.* 168 ------------------------------------------------------------------- 3,355 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.3% 40 Charter Communications, Inc., Class A* 89 62 Mediacom Communications Corp., Class A* 391 5 Saga Communications, Inc., Class A* 84 6 Sinclair Broadcast Group, Inc., Class A 55 ------------------------------------------------------------------- 619 ------------------------------------------------------------------- BUSINESS SERVICES -- 2.0% 3 Banta Corp. 148 1 Charles River Associates, Inc.* 65 9 CSG Systems International, Inc.* 176 7 DiamondCluster International, Inc., Class A* 95 7 Digital River, Inc.* 291 15 Dollar Thrifty Automotive Group, Inc.* 462 34 Gartner, Inc., Class A* 417 2 Gevity HR, Inc. 37 14 Heidrick & Struggles International, Inc.* 466 18 Labor Ready, Inc.* 306 6 Metris Companies, Inc.* 70 19 Navigant Consulting, Inc.* 517
SEE NOTES TO FINANCIAL STATEMENTS. 62
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED BUSINESS SERVICES -- CONTINUED 7 PDI, Inc.* $ 154 10 Quanta Services, Inc.* 78 39 Spherion Corp.* 324 28 TeleTech Holdings, Inc.* 273 7 Tyler Technologies, Inc.* 62 8 Valassis Communications, Inc.* 266 1 Vertrue, Inc.* 53 ------------------------------------------------------------------- 4,260 ------------------------------------------------------------------- CHEMICALS -- 2.3% 4 Aceto Corp. 67 8 Albemarle Corp. 314 9 Cabot Microelectronics Corp.* 372 7 Cytec Industries, Inc. 375 10 FMC Corp.* 502 23 Georgia Gulf Corp. 1,126 2 HB Fuller Co. 60 21 Hercules, Inc.* 313 3 Kronos Worldwide, Inc. 118 7 NewMarket Corp.* 141 4 NuCO2, Inc.* 91 5 OM Group, Inc.* 156 33 PolyOne Corp.* 297 10 Terra Industries, Inc.* 86 30 The Mosaic Co.* 493 24 W.R. Grace & Co.* 332 ------------------------------------------------------------------- 4,843 ------------------------------------------------------------------- COMPUTER NETWORKS -- 1.0% 32 Adaptec, Inc.* 246 21 Anixter International, Inc. 766 9 Black Box Corp. 437 56 Brocade Communications Systems, Inc.* 430 4 Factset Research Systems, Inc. 234 ------------------------------------------------------------------- 2,113 ------------------------------------------------------------------- COMPUTER SOFTWARE -- 4.8% 6 Ansys, Inc.* 183 9 Ariba, Inc.* 148 8 Ascential Software Corp.* 132 13 Aspen Technology, Inc.* 80 16 Atari, Inc.* 48 16 Borland Software Corp.* $ 183 10 CACI International, Inc., Class A* 690 5 Cerner Corp.* 287 30 Ciber, Inc.* 293 24 Computer Programs & Systems, Inc. 550 1 Datastream Systems, Inc.* 7 11 Dendrite International, Inc.* 210 6 DSP Group, Inc.* 130 15 E.piphany, Inc.* 72 6 Echelon Corp.* 51 8 Epicor Software Corp.* 111 6 EPIQ Systems, Inc.* 94 4 FileNet Corp.* 106 14 Hyperion Solutions Corp.* 634 11 Informatica Corp.* 88 13 Intergraph Corp.* 347 2 Intervideo, Inc.* 22 3 Intervoice, Inc.* 41 8 JDA Software Group, Inc.* 112 3 Kronos, Inc.* 159 6 Lexar Media, Inc.* 49 9 Magma Design Automation, Inc.* 117 7 Manhattan Associates, Inc.* 170 12 ManTech International Corp., Class A* 292 6 Manugistics Group, Inc.* 17 6 MAPICS, Inc.* 60 14 Mentor Graphics Corp.* 214 2 MicroStrategy, Inc.* 121 11 MRO Software, Inc.* 148 10 Openwave Systems, Inc.* 150 3 PalmSource, Inc.* 33 69 Parametric Technology Corp.* 404 5 Pegasystems, Inc.* 42 20 Per-Se Technologies, Inc.* 320 21 Perot Systems Corp., Class A* 337 22 Progress Software Corp.* 525 1 Quality Systems, Inc.* 54 6 Quest Software, Inc.* 93 9 Retek, Inc.* 55 11 SafeNet, Inc.* 397 34 Secure Computing Corp.* 334 1 SPSS, Inc.* 22
SEE NOTES TO FINANCIAL STATEMENTS. 63
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED COMPUTER SOFTWARE -- CONTINUED 3 SRA International, Inc., Class A* $ 186 2 SS&C Technologies, Inc. 43 2 Stratasys, Inc.* 60 10 Take-Two Interactive Software, Inc.* 351 3 TALX Corp. 75 3 TradeStation Group, Inc.* 20 11 Transaction Systems Architects, Inc., Class A* 226 5 webMethods, Inc.* 38 21 Wind River Systems, Inc.* 285 ------------------------------------------------------------------- 10,016 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.3% 9 Advanced Digital Information Corp.* 88 21 Agilysys, Inc. 363 1 Concurrent Computer Corp.* 4 6 Dot Hill Systems Corp.* 50 3 Electronics for Imaging, Inc.* 56 21 Gateway, Inc.* 126 15 Hutchinson Technology, Inc.* 504 5 Imagistics International, Inc.* 168 13 Imation Corp. 407 14 Komag, Inc.* 272 8 PalmOne, Inc.* 259 7 RadiSys Corp.* 133 50 Silicon Graphics, Inc.* 87 19 Sykes Enterprises, Inc.* 135 ------------------------------------------------------------------- 2,652 ------------------------------------------------------------------- CONSTRUCTION -- 0.9% 2 Beazer Homes USA, Inc. 307 35 Champion Enterprises, Inc.* 417 4 Dycom Industries, Inc.* 128 13 Levitt Corp., Class A 391 4 Meritage Corp.* 417 9 WCI Communities, Inc.* 253 ------------------------------------------------------------------- 1,913 ------------------------------------------------------------------- CONSTRUCTION MATERIALS -- 1.8% 4 Ameron International Corp. 148 6 Eagle Materials, Inc. 501 8 ElkCorp 270 12 NCI Building Systems, Inc.* 454 4 Texas Industries, Inc. $ 274 41 Universal Forest Products, Inc. 1,792 11 USG Corp.* 447 ------------------------------------------------------------------- 3,886 ------------------------------------------------------------------- CONSUMER PRODUCTS -- 1.0% 11 American Greetings Corp., Class A 276 1 CSS Industries, Inc. 44 32 Revlon, Inc., Class A* 73 4 Stanley Furniture Company, Inc. 189 5 Toro Co. 374 19 Tupperware Corp. 390 16 Universal Corp. 766 ------------------------------------------------------------------- 2,112 ------------------------------------------------------------------- CONSUMER SERVICES -- 0.9% 10 Alderwoods Group, Inc. (Canada)* 116 8 Arbitron, Inc.* 302 44 Rent-Way, Inc.* 349 10 Sotheby's Holdings, Inc., Class A* 182 7 SOURCECORP, Inc.* 141 7 Startek, Inc. 208 42 Stewart Enterprises, Inc., Class A* 291 8 The GEO Group, Inc.* 215 ------------------------------------------------------------------- 1,804 ------------------------------------------------------------------- DISTRIBUTION -- 0.2% 4 Building Material Holding Corp. 168 10 WESCO International, Inc.* 282 ------------------------------------------------------------------- 450 ------------------------------------------------------------------- ELECTRONICS/ELECTRICAL EQUIPMENT -- 2.0% 2 Analogic Corp. 94 2 BEI Technologies, Inc. 62 5 Bel Fuse, Inc., Class B 155 13 Benchmark Electronics, Inc.* 453 7 Checkpoint Systems, Inc.* 130 15 CTS Corp. 194 6 Electro Scientific Industries, Inc.* 119 12 Encore Wire Corp.* 156 2 FARO Technologies, Inc.* 53 1 Innovex, Inc.* 4
SEE NOTES TO FINANCIAL STATEMENTS. 64
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED ELECTRONICS/ELECTRICAL EQUIPMENT -- CONTINUED 8 Integrated Electrical Services, Inc.* $ 41 9 Itron, Inc.* 218 3 MTS Systems Corp. 115 0 Pemstar, Inc.* 1 6 Planar Systems, Inc.* 71 6 Power-One, Inc.* 52 20 Rayovac Corp.* 598 6 ROFIN-SINAR Technologies, Inc.* 263 15 Stoneridge, Inc.* 225 13 Sypris Solutions, Inc. 205 13 Trimble Navigation LTD* 413 22 TTM Technologies, Inc.* 260 7 Valence Technology, Inc.* 23 10 Watts Water Technologies, Inc., Class A 306 4 Zygo Corp.* 41 ------------------------------------------------------------------- 4,252 ------------------------------------------------------------------- ENGINEERING SERVICES -- 0.2% 5 URS Corp.* 157 7 Washington Group International, Inc.* 306 ------------------------------------------------------------------- 463 ------------------------------------------------------------------- ENTERTAINMENT/LEISURE -- 2.3% 10 Ameristar Casinos, Inc. 418 7 Argosy Gaming Co.* 327 4 Aztar Corp.* 143 1 Bally Total Fitness Holding Corp.* 3 4 Brunswick Corp. 218 14 Callaway Golf Co. 194 4 Carmike Cinemas, Inc. 150 3 Isle of Capri Casinos, Inc.* 77 11 K2, Inc.* 179 7 Macrovision Corp.* 190 13 Multimedia Games, Inc.* 197 15 Navigant International, Inc.* 181 12 Penn National Gaming, Inc.* 739 13 Pinnacle Entertainment, Inc.* 251 36 Scientific Games Corp., Class A* 864 18 Thor Industries, Inc. 678 ------------------------------------------------------------------- 4,809 ------------------------------------------------------------------- ENVIRONMENTAL SERVICES -- 0.2% 9 Duratek, Inc.* $ 222 3 Metal Management, Inc. 86 6 Tetra Tech, Inc.* 95 4 Waste Connections, Inc.* 123 ------------------------------------------------------------------- 526 ------------------------------------------------------------------- FINANCIAL SERVICES -- 1.6% 11 Accredited Home Lenders Holding Co.* 557 5 Advanta Corp., Class B 112 7 Affiliated Managers Group, Inc.* 489 2 Asta Funding, Inc. 59 5 Coinstar, Inc.* 129 13 CompuCredit Corp.* 347 2 Credit Acceptance Corp.* 48 2 Education Lending Group, Inc.* 36 2 Encore Capital Group, Inc.* 45 4 eSpeed, Inc., Class A* 47 4 Euronet Worldwide, Inc.* 91 4 ITLA Capital Corp.* 206 12 Knight Trading Group, Inc., Class A* 131 6 National Financial Partners Corp. 225 47 Safeguard Scientifics, Inc.* 99 14 World Acceptance Corp.* 374 7 WSFS Financial Corp. 440 ------------------------------------------------------------------- 3,435 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.9% 18 Chiquita Brands International, Inc. 403 10 Corn Products International, Inc. 525 7 Flowers Foods, Inc. 208 4 J & J Snack Foods Corp. 172 13 Sanderson Farms, Inc. 580 ------------------------------------------------------------------- 1,888 ------------------------------------------------------------------- HEALTH CARE/HEALTH CARE SERVICES -- 6.4% 9 ABIOMED Inc.* 139 12 Align Technology, Inc.* 127 26 Alliance Imaging, Inc.* 291 5 America Service Group, Inc.* 131 8 Animas Corp.* 128 13 Apria Healthcare Group, Inc.* 425 5 Arrow International, Inc. 167
SEE NOTES TO FINANCIAL STATEMENTS. 65
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED HEALTH CARE/HEALTH CARE SERVICES -- CONTINUED 4 ArthroCare Corp.* $ 135 6 Biosite, Inc.* 357 20 Centene Corp.* 577 21 CONMED Corp.* 597 7 CTI Molecular Imaging, Inc.* 92 1 Curative Health Services, Inc.* 3 8 Diagnostic Products Corp. 424 45 Encore Medical Corp.* 307 4 Epix Medical, Inc.* 66 5 First Health Group Corp.* 86 6 Genesis HealthCare Corp.* 224 23 Gentiva Health Services* 391 4 Immucor, Inc.* 85 4 Inverness Medical Innovations, Inc.* 95 37 Kindred Healthcare, Inc.* 1,094 19 Kyphon, Inc.* 490 10 Mentor Corp. 324 5 Merit Medical Systems, Inc.* 69 1 NeighborCare, Inc.* 31 33 NeuroMetrix, Inc.* 391 19 OCA, Inc.* 122 4 Ocular Sciences, Inc.* 201 20 Owens & Minor, Inc. 566 33 Palatin Technologies, Inc.* 88 15 Pediatrix Medical Group, Inc.* 962 3 Possis Medical, Inc.* 34 14 Province Healthcare Co.* 313 33 PSS World Medical, Inc.* 414 11 Res-Care, Inc.* 172 10 Sierra Health Services, Inc.* 524 16 Sola International, Inc.* 432 29 Steris Corp.* 686 4 SurModics, Inc.* 120 10 Symbion, Inc.* 210 4 TECHNE Corp.* 148 19 United Surgical Partners International, Inc.* 772 19 VISX, Inc.* 497 ------------------------------------------------------------------- 13,507 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 0.1% 17 La Quinta Corp.* 155 INDUSTRIAL COMPONENTS -- 0.4% 5 Hexcel Corp.* $ 74 37 Lennox International, Inc. 743 ------------------------------------------------------------------- 817 ------------------------------------------------------------------- INSURANCE -- 2.5% 2 AmerUs Group Co. 95 9 Argonaut Group, Inc.* 194 41 Delphi Financial Group, Inc., Class A 1,873 8 Direct General Corp. 269 0^^ FBL Financial Group, Inc., Class A 9 8 LandAmerica Financial Group, Inc. 421 2 NYMAGIC, Inc. 58 55 PMA Capital Corp., Class A* 570 7 Selective Insurance Group 323 8 Stewart Information Services Corp. 342 1 The Navigators Group, Inc.* 18 3 United Fire & Casualty Co. 115 6 Vesta Insurance Group, Inc. 21 19 Zenith National Insurance Corp. 951 ------------------------------------------------------------------- 5,259 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.6% 15 AsiaInfo Holdings, Inc. (China)* 89 12 Autobytel, Inc.* 69 1 Blue Coat Systems, Inc.* 22 86 CMGI, Inc.* 219 31 CNET Networks, Inc.* 345 4 Corillian Corp.* 20 6 Digital Insight Corp.* 118 28 Digitas, Inc.* 265 29 DoubleClick, Inc.* 227 74 EarthLink, Inc.* 847 4 Equinix, Inc.* 184 8 Harris Interactive, Inc.* 65 45 Homestore, Inc.* 135 8 Infospace, Inc.* 394 13 Internet Security Systems, Inc.* 291 1 Interwoven, Inc.* 15 9 iPass, Inc.* 67 8 j2 Global Communications, Inc.* 266 10 Lionbridge Technologies, Inc.* 70 44 LookSmart LTD* 97
SEE NOTES TO FINANCIAL STATEMENTS. 66
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED INTERNET SERVICES/SOFTWARE -- CONTINUED 11 Mindspeed Technologies, Inc.* $ 31 3 PC-Tel, Inc.* 26 8 Portal Software, Inc.* 20 7 ProQuest Co.* 199 7 Redback Networks, Inc.* 38 32 SupportSoft, Inc.* 214 14 Trizetto Group, Inc.* 136 19 United Online, Inc.* 219 17 Valueclick, Inc.* 224 11 WebEx Communications, Inc.* 262 8 Websense, Inc.* 410 ------------------------------------------------------------------- 5,584 ------------------------------------------------------------------- INVESTMENT COMPANY -- 0.2% 23 Technology Investment Capital Corp. 339 LEASING -- 0.4% 4 Amerco, Inc.* 193 20 GATX Corp. 600 4 Interpool, Inc. 100 ------------------------------------------------------------------- 893 ------------------------------------------------------------------- MACHINERY & ENGINEERING EQUIPMENT -- 2.4% 78 Applied Industrial Technologies, Inc. 2,134 12 Astec Industries, Inc.* 206 8 Cascade Corp. 308 13 Flowserve Corp.* 350 6 NACCO Industries, Inc., Class A 674 4 Sauer-Danfoss, Inc. 79 6 Tecumseh Products Co., Class A 272 13 The Manitowoc Co., Inc. 471 5 UNOVA, Inc.* 114 13 York International Corp. 439 ------------------------------------------------------------------- 5,047 ------------------------------------------------------------------- MANUFACTURING -- 2.6% 7 Armor Holdings, Inc.* 320 15 Barnes Group, Inc. 384 5 Cyberoptics Corp.* 73 3 ESCO Technologies, Inc.* 207 15 Fleetwood Enterprises, Inc.* 199 18 Griffon Corp.* 491 14 JLG Industries, Inc. $ 271 14 Joy Global, Inc. 599 14 Lincoln Electric Holdings, Inc. 494 7 NN, Inc. 98 5 Penn Engineering & Manufacturing Corp. 83 19 Quanex Corp. 1,303 12 Terex Corp.* 558 14 Walter Industries, Inc. 461 ------------------------------------------------------------------- 5,541 ------------------------------------------------------------------- METALS/MINING -- 0.7% 22 Commercial Metals Co. 1,124 8 Metals USA, Inc.* 141 6 Valmont Industries, Inc. 158 ------------------------------------------------------------------- 1,423 ------------------------------------------------------------------- MULTI-MEDIA -- 0.7% 3 Digital Generation Systems, Inc.* 4 9 Emmis Communications Corp., Class A* 175 8 Gray Television, Inc. 127 8 Insight Communications Co., Inc., Class A* 73 8 Journal Register Co.* 158 36 Lodgenet Entertainment Corp.* 644 18 World Wrestling Entertainment, Inc. 212 ------------------------------------------------------------------- 1,393 ------------------------------------------------------------------- OFFICE/BUSINESS EQUIPMENT -- 0.5% 2 General Binding Corp.* 26 21 Global Imaging Systems, Inc.* 810 7 United Stationers, Inc.* 319 ------------------------------------------------------------------- 1,155 ------------------------------------------------------------------- OIL & GAS -- 6.3% 6 Black Hills Corp. 187 4 Callon Petroleum Co.* 64 6 Comstock Resources, Inc.* 128 29 Denbury Resources, Inc.* 791 21 Energen Corp. 1,256 5 Energy Partners LTD* 93 2 Giant Industries, Inc.* 45 4 Gulf Island Fabrication, Inc. 83 11 Hanover Compressor Co.* 160
SEE NOTES TO FINANCIAL STATEMENTS. 67
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED OIL & GAS -- CONTINUED 7 Headwaters, Inc.* $ 188 11 Helmerich & Payne, Inc. 371 37 Houston Exploration Co.* 2,061 5 Hydril Co.* 246 54 Key Energy Services, Inc.* 632 11 Lone Star Technologies, Inc.* 375 3 Magnum Hunter Resources, Inc.* 41 10 Mission Resources Corp.* 57 17 Oceaneering International, Inc.* 638 7 Oil States International, Inc.* 141 4 Penn Virginia Corp. 146 1 Quicksilver Resources, Inc.* 37 31 Southern Union Co.* 741 17 Southwest Gas Corp. 434 35 Southwestern Energy Co.* 1,749 9 Stone Energy Corp.* 387 19 Tesoro Petroleum Corp.* 605 10 Todco, Class A* 190 8 Unit Corp.* 310 11 Veritas DGC, Inc.* 251 25 Vintage Petroleum, Inc. 558 4 World Fuel Services Corp. 214 ------------------------------------------------------------------- 13,179 ------------------------------------------------------------------- PACKAGING -- 0.8% 63 Crown Holdings, Inc.* 868 12 Silgan Holdings, Inc. 743 ------------------------------------------------------------------- 1,611 ------------------------------------------------------------------- PAPER/FOREST PRODUCTS -- 0.2% 6 Schweitzer-Mauduit International, Inc. 187 16 Wausau-Mosinee Paper Corp. 284 ------------------------------------------------------------------- 471 ------------------------------------------------------------------- PHARMACEUTICALS -- 4.0% 10 Able Laboratories, Inc.* 233 33 Adolor Corp.* 324 11 Alkermes, Inc.* 159 4 Antigenics, Inc.* 41 27 AtheroGenics, Inc.* 628 27 Auxilium Pharmaceuticals, Inc.* 235 148 AVANIR Pharmaceuticals, Class A* 506 4 Bradley Pharmaceuticals, Inc.* $ 74 9 Corixa Corp.* 32 35 Cubist Pharmaceuticals, Inc.* 415 33 CV Therapeutics, Inc.* 768 64 Cypress Bioscience, Inc.* 893 5 Dendreon Corp.* 54 9 Impax Laboratories, Inc.* 149 5 Kos Pharmaceuticals, Inc.* 196 13 Ligand Pharmaceuticals, Inc., Class B* 146 6 Medicines Co.* 167 22 Onyx Pharmaceuticals, Inc.* 703 7 Par Pharmaceutical Companies, Inc.* 286 4 Pharmion Corp.* 169 10 PolyMedica Corp. 388 13 Rigel Pharmaceuticals, Inc.* 315 3 Tanox, Inc.* 40 11 United Therapeutics Corp.* 479 23 Valeant Pharmaceuticals International 606 14 Vertex Pharmaceuticals, Inc.* 143 13 Vicuron Pharmaceuticals, Inc.* 219 ------------------------------------------------------------------- 8,368 ------------------------------------------------------------------- PRINTING & PUBLISHING -- 0.4% 29 Bowne & Co., Inc. 466 9 John H. Harland Co. 329 ------------------------------------------------------------------- 795 ------------------------------------------------------------------- REAL ESTATE -- 0.1% 3 LNR Property Corp. 195 REAL ESTATE INVESTMENT TRUST -- 7.5% 22 Affordable Residential Communities, Inc. 321 64 American Financial Realty Trust 1,031 25 American Home Mortgage Investment Corp. 868 26 Anthracite Capital, Inc. 319 14 Capital Automotive Real Estate Investment Trust 498 51 CarrAmerica Realty Corp. 1,680 11 Entertainment Properties Trust 486 45 Equity Inns, Inc. 531 10 FelCor Lodging Trust, Inc.* 145 12 Gables Residential Trust 412 48 Government Properties Trust, Inc. 476
SEE NOTES TO FINANCIAL STATEMENTS. 68
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REAL ESTATE INVESTMENT TRUST -- CONTINUED 13 Highwoods Properties, Inc. $ 357 11 IMPAC Mortgage Holdings, Inc. 238 51 InnKeepers USA Trust 727 6 LaSalle Hotel Properties 194 24 Lexington Corporate Properties Trust 548 31 LTC Properties, Inc. 615 39 Meristar Hospitality Corp.* 325 23 MFA Mortgage Investments, Inc. 206 27 Mid-America Apartment Communities, Inc. 1,105 4 National Health Investors, Inc. 108 9 New Century Financial Corp. 575 9 NovaStar Financial, Inc. 426 23 Pennsylvania Real Estate Investment Trust 984 28 Prentiss Properties Trust 1,058 33 RAIT Investment Trust 912 16 Saul Centers, Inc. 597 ------------------------------------------------------------------- 15,742 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.4% 10 CBRL Group, Inc. 419 3 CEC Entertainment, Inc.* 124 25 CKE Restaurants, Inc.* 360 1 Jack in the Box, Inc.* 52 44 Landry's Restaurants, Inc. 1,290 6 Rare Hospitality International, Inc.* 204 31 Ryan's Restaurant Group, Inc.* 479 ------------------------------------------------------------------- 2,928 ------------------------------------------------------------------- RETAILING -- 5.1% 7 1-800-FLOWERS.COM, Inc., Class A* 55 82 Aaron Rents, Inc. 2,055 21 Aeropostale, Inc.* 618 24 Asbury Automotive Group, Inc.* 325 22 Brookstone, Inc.* 430 5 Brown Shoe Co., Inc. 134 49 Cash America International, Inc. 1,457 6 Charlotte Russe Holding, Inc.* 58 81 Charming Shoppes, Inc.* 761 3 Electronics Boutique Holdings Corp.* 107 9 Genesco, Inc.* 283 34 Hollywood Entertainment Corp.* 450 9 Hot Topic, Inc.* 150 11 Insight Enterprises, Inc.* $ 230 1 Jo-Ann Stores, Inc.* 39 8 MarineMax, Inc.* 241 2 Movado Group, Inc. 32 5 Movie Gallery, Inc. 88 1 Party City Corp.* 9 12 Select Comfort Corp.* 210 19 ShopKo Stores, Inc.* 349 25 Stein Mart, Inc.* 425 8 The Children's Place Retail Stores, Inc.* 296 16 The J. Jill Group, Inc.* 238 16 The Pantry, Inc.* 490 3 The Sports Authority, Inc.* 88 23 Too, Inc.* 553 5 Trans World Entertainment Corp.* 60 6 United Auto Group, Inc. 180 11 Zale Corp.* 320 ------------------------------------------------------------------- 10,731 ------------------------------------------------------------------- RETAILING - FOOD & STAPLES -- 0.1% 3 Nash-Finch Co. 129 8 Pathmark Stores, Inc.* 46 10 Winn-Dixie Stores, Inc. 47 ------------------------------------------------------------------- 222 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 3.1% 6 Actel Corp.* 105 8 ADE Corp.* + 152 25 AMIS Holdings, Inc.* 412 6 Asyst Technologies, Inc.* 32 4 ATMI, Inc.* 99 10 August Technology Corp.* 108 34 Axcelis Technologies, Inc.* 276 13 Brooks Automation, Inc.* 222 0^^ Ceva, Inc.* 4 19 Cirrus Logic, Inc.* 103 13 Credence Systems Corp.* 123 10 Cymer, Inc.* 308 6 Diodes, Inc.* 131 6 ESS Technology, Inc.* 39 5 Exar Corp.* 72 4 Genesis Microchip, Inc.* 68
SEE NOTES TO FINANCIAL STATEMENTS. 69
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED SEMI-CONDUCTORS -- CONTINUED 7 Integrated Silicon Solutions, Inc.* $ 54 7 IXYS Corp.* 69 6 Kopin Corp.* 23 12 Lattice Semiconductor Corp.* 67 14 LTX Corp.* 107 16 Mattson Technology, Inc.* 177 21 Micrel, Inc.* 235 16 Microsemi Corp.* 272 17 MIPS Technologies, Inc.* 163 5 MKS Instruments, Inc.* 85 13 Mykrolis Corp.* 190 10 Omnivision Technologies, Inc.* 178 79 ON Semiconductor Corp.* 360 17 Photronics, Inc.* 287 17 Pixelworks, Inc.* 195 4 Power Integrations, Inc.* 87 11 Semitool, Inc.* 103 6 SigmaTel, Inc.* 220 18 Silicon Image, Inc.* 301 35 Silicon Storage Technology, Inc.* 207 2 Siliconix, Inc.* 73 31 Skyworks Solutions, Inc.* 293 3 Supertex, Inc.* 69 26 Transmeta Corp.* 43 2 Ultratech, Inc.* 40 6 Varian Semiconductor Equipment Associates, Inc.* 214 53 Vitesse Semiconductor Corp.* 186 1 White Electronic Designs Corp.* 5 7 Zoran Corp.* 75 ------------------------------------------------------------------- 6,632 ------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.1% 8 Swift Transportation Co., Inc.* 174 STEEL -- 1.2% 60 AK Steel Holding Corp.* + 863 7 Gibraltar Industries, Inc. 165 10 Reliance Steel & Aluminum Co. 400 15 Ryerson Tull, Inc. 238 4 Schnitzer Steel Industries, Inc., Class A 148 21 Steel Dynamics, Inc. 792 ------------------------------------------------------------------- 2,606 ------------------------------------------------------------------- TELECOMMUNICATIONS -- 2.6% 15 Aeroflex, Inc.* 181 1 Aether Systems, Inc.* $ 2 46 Alamosa Holdings, Inc.* 572 27 Arris Group, Inc.* 188 21 Aspect Communications* 235 9 Boston Communications Group* 80 10 Broadwing Corp.* 93 20 Centennial Communications Corp.* 156 90 Cincinnati Bell, Inc.* 372 3 Commonwealth Telephone Enterprises, Inc.* 149 4 Computer Network Technology Corp.* 27 16 CT Communications, Inc. 194 19 Extreme Networks, Inc.* 121 38 Finisar Corp.* 87 6 Hypercom Corp.* 38 3 Interdigital Communications Corp.* 55 7 Intrado, Inc.* 88 59 ITC DeltaCom, Inc.* 101 26 MasTec, Inc.* 267 30 MRV Communications, Inc.* 110 9 NETGEAR, Inc.* 155 1 Network Equipment Technologies, Inc.* 5 30 Primus Telecommunications Group, Inc.* 94 114 PTEK Holdings, Inc.* 1,224 1 Raindance Communications, Inc.* 2 29 Symmetricom, Inc.* 283 8 Talk America Holdings, Inc.* 50 13 Tekelec* 260 20 Time Warner Telecom, Inc., Class A* 85 18 Westell Technologies, Inc., Class A* 124 ------------------------------------------------------------------- 5,398 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 0.8% 4 Audiovox Corp., Class A* 65 7 Brightpoint, Inc.* 129 16 C-COR.net Corp.* 144 1 Centillium Communications, Inc.* 1 2 Comtech Telecommunications* 83 5 Ditech Communications Corp.* 81 28 Inter-Tel, Inc. 764 13 Remec, Inc.* 92 45 RF Micro Devices, Inc.* 308 13 Terayon Communications Systems, Inc.* 34 0^^ Tollgrade Communications, Inc.* 4 ------------------------------------------------------------------- 1,705 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 70
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED TEXTILES -- 0.5% 31 Angelica Corp. $ 841 9 UniFirst Corp. 260 ------------------------------------------------------------------- 1,101 ------------------------------------------------------------------- TIRE & RUBBER -- 0.3% 41 Goodyear Tire & Rubber Co.* 594 TOYS & GAMES -- 0.4% 13 JAKKS Pacific, Inc.* 279 14 RC2 Corp.* 465 7 Steinway Musical Instruments, Inc.* 200 ------------------------------------------------------------------- 944 ------------------------------------------------------------------- TRANSPORTATION -- 2.0% 6 Arkansas Best Corp. 283 20 Genesee & Wyoming, Inc., Class A* 551 8 Offshore Logistics, Inc.* 244 4 Old Dominion Freight Line, Inc.* 143 8 Overnite Corp. 302 13 Overseas Shipholding Group, Inc. 711 20 RailAmerica, Inc.* 264 25 SCS Transportation, Inc.* 589 8 The Greenbrier Companies, Inc. 261 14 US Xpress Enterprises, Inc., Class A* 404 20 Werner Enterprises, Inc. 455 ------------------------------------------------------------------- 4,207 ------------------------------------------------------------------- UTILITIES -- 2.1% 19 Aquila, Inc.* 72 15 Atmos Energy Corp. 418 14 Avista Corp. 249 52 CMS Energy Corp.* 547 14 El Paso Electric Co.* 259 10 Idacorp, Inc. 293 1 MGE Energy, Inc. 43 15 New Jersey Resources Corp. $ 646 0^^ Nicor, Inc. 11 26 PNM Resources, Inc. 669 45 Sierra Pacific Resources* 471 4 South Jersey Industries, Inc. 231 1 UIL Holdings Corp. 67 19 UniSource Energy Corp. 458 ------------------------------------------------------------------- 4,434 ------------------------------------------------------------------- Total Common Stocks (Cost $173,687) 207,547 ------------------------------------------------------------------- SHORT-TERM INVESTMENTS -- 1.5% RIGHTS -- 0.0% ^ 22 Technology Investment Capital Corp. (Cost $0) 11 ------------------------------------------------------------------- U.S. TREASURY SECURITY -- 0.2% 425 U.S. Treasury Note, 1.88%, 11/30/05, @ (Cost $424) 422 MONEY MARKET FUND -- 1.3% 2,838 JPMorgan Prime Money Market Fund (a) (Cost $2,838) 2,838 ------------------------------------------------------------------- Total Short-Term Investments (Cost $3,262) 3,271 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.0% (COST $176,949) $ 210,818 ------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- 0.0% ^ (11) ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 210,807 -------------------------------------------------------------------
Percentages indicated are based on net assets.
NUMBER OF EXPIRATION VALUE AT APPRECIATION CONTRACTS DESCRIPTION DATE 12/31/04 (USD) (DEPRECIATION) (USD) - ------------------------------------------------------------------------------------------- LONG FUTURES OUTSTANDING 10 Russell 2000 Index March, 2005 $ 3,146 $ 123
SEE NOTES TO FINANCIAL STATEMENTS. 71 JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND PORTFOLIO OF INVESTMENTS AS OF DECEMBER 31, 2004 (Amounts in thousands)
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- 99.5% COMMON STOCKS -- 99.5% AEROSPACE -- 0.8% 1 Engineered Support Systems, Inc. $ 53 AIRLINES -- 1.1% 4 SkyWest, Inc. 71 APPLIANCES & HOUSEHOLD DURABLES -- 1.0% 7 Jacuzzi Brands, Inc.* 63 AUTOMOTIVE -- 1.8% 1 Oshkosh Truck Corp. 51 2 Winnebago Industries, Inc. 70 ------------------------------------------------------------------- 121 ------------------------------------------------------------------- BANKING -- 5.2% 2 Central Pacific Financial Corp. 62 1 East-West Bancorp, Inc. 47 2 EuroBancshares, Inc. (Puerto Rico)* 49 1 MB Financial, Inc. 60 2 Santander BanCorp (Puerto Rico) 61 2 Texas Capital Bancshares, Inc.* 32 1 Texas Regional Bancshares, Inc., Class A 31 ------------------------------------------------------------------- 342 ------------------------------------------------------------------- BIOTECHNOLOGY -- 1.4% 1 Alexion Pharmaceuticals, Inc.* 35 3 Incyte Corp.* (1) 31 1 Telik, Inc.* (1) 26 ------------------------------------------------------------------- 92 ------------------------------------------------------------------- BROADCASTING/CABLE -- 0.8% 2 Salem Communications Corp., Class A* 54 BUSINESS SERVICES -- 1.7% 1 Alliance Data Systems Corp.* 64 3 LECG Corp* 51 ------------------------------------------------------------------- 115 ------------------------------------------------------------------- COMPUTER NETWORKS -- 0.5% 1 Avocent Corp.* 32 COMPUTER SOFTWARE -- 10.2% 9 Aspen Technology, Inc.* 59 3 DSP Group, Inc.* $ 75 5 Epicor Software Corp.* 68 2 Hyperion Solutions Corp.* 75 1 Kronos, Inc.* 31 10 Lawson Software, Inc.* 67 4 Packeteer, Inc.* 59 3 Serena Software, Inc.* (1) 68 2 Take-Two Interactive Software, Inc.* (l) 52 3 THQ, Inc.* (l) 61 2 Verint Systems, Inc.* (l) 58 ------------------------------------------------------------------- 673 ------------------------------------------------------------------- COMPUTERS/COMPUTER HARDWARE -- 1.2% 2 Tech Data Corp.* 82 CONSTRUCTION -- 1.2% 7 Champion Enterprises, Inc.* (l) 82 CONSTRUCTION MATERIALS -- 0.8% 1 Eagle Materials, Inc. 56 CONSUMER SERVICES -- 4.7% 6 Educate, Inc.* 75 3 Jackson Hewitt Tax Service, Inc. 71 1 Laureate Education, Inc.* 34 2 Ritchie Bros. Auctioneers, Inc. (Canada) (l) 61 2 Universal Technical Institute, Inc.* 71 ------------------------------------------------------------------- 312 ------------------------------------------------------------------- DISTRIBUTION -- 0.9% 1 Scansource, Inc.* 59 ELECTRONICS/ELECTRICAL EQUIPMENT -- 1.1% 6 TTM Technologies, Inc.* 76 ENTERTAINMENT/LEISURE -- 4.9% 2 Carmike Cinemas, Inc. 73 4 K2, Inc.* 60 3 LIFE TIME FITNESS, Inc.* 73 5 Lions Gate Entertainment Corp. (Canada)* (l) 52 3 Scientific Games Corp., Class A* 66 ------------------------------------------------------------------- 324 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 72
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED FINANCIAL SERVICES -- 0.6% 0^^ Calamos Asset Management, Inc., Class A* $ 6 2 Marlin Business Services, Inc.* 37 ------------------------------------------------------------------- 43 ------------------------------------------------------------------- FOOD/BEVERAGE PRODUCTS -- 0.7% 1 United Natural Foods, Inc.* 44 HEALTH CARE/HEALTH CARE SERVICES -- 13.1% 3 Abaxis, Inc.* 48 1 Advanced Medical Optics, Inc.* (l) 33 2 Amedisys, Inc.* 66 1 AMERIGROUP Corp.* 38 2 ArthroCare Corp.* (l) 69 1 Cooper Companies, Inc. 53 2 Covance, Inc.* 63 2 Gentiva Health Services* 28 3 Kyphon, Inc.* (l) 71 3 Psychiatric Solutions, Inc.* 102 2 Sunrise Senior Living, Inc.* (l) 82 1 Symmetry Medical, Inc.* 18 6 TriPath Imaging, Inc.* 56 1 United Surgical Partners International, Inc.* 53 3 VCA Antech, Inc.* (l) 49 1 Ventana Medical Systems, Inc.* 48 ------------------------------------------------------------------- 877 ------------------------------------------------------------------- HOTELS/OTHER LODGING -- 1.2% 2 Gaylord Entertainment Co.* 77 INSURANCE -- 2.6% 1 Direct General Corp. 47 2 Infinity Property & Casualty Corp. 59 2 ProAssurance Corp.* 65 ------------------------------------------------------------------- 171 ------------------------------------------------------------------- INTERNET SERVICES/SOFTWARE -- 2.9% 1 Equinix, Inc.* 64 1 F5 Networks, Inc.* 34 10 Mindspeed Technologies, Inc.* (l) 29 4 Sapient Corp.* 32 1 WebEx Communications, Inc.* (l) 31 ------------------------------------------------------------------- 190 ------------------------------------------------------------------- INVESTMENT COMPANY -- 0.1% 0^^ Apollo Investment Corp. $ 5 MANUFACTURING -- 1.3% 6 General Cable Corp.* (l) 89 METALS/MINING -- 1.1% 2 Arch Coal, Inc. 70 MULTI-MEDIA -- 1.0% 4 Gray Television, Inc. 63 OFFICE/BUSINESS EQUIPMENT -- 0.9% 1 Global Imaging Systems, Inc.* (l) 58 OIL & GAS -- 6.0% 2 Headwaters, Inc.* (l) 52 1 Newfield Exploration Co.* 68 1 Oceaneering International, Inc.* 41 1 Spinnaker Exploration Co.* 44 1 Swift Energy Co.* 38 2 Unit Corp.* 83 2 Universal Compression Holding, Inc.* 72 0^^ XTO Energy, Inc. 0 ------------------------------------------------------------------- 398 ------------------------------------------------------------------- PHARMACEUTICALS -- 6.9% 2 Able Laboratories, Inc.* (l) 40 4 Adolor Corp.* 37 1 AtheroGenics, Inc.* (l) 28 4 Cubist Pharmaceuticals, Inc.* 45 2 CV Therapeutics, Inc.* (l) 36 3 Cypress Bioscience, Inc.* 48 2 Idenix Pharmaceuticals, Inc.* (l) 36 2 Nabi Biopharmaceuticals* 31 1 Onyx Pharmaceuticals, Inc.* (l) 34 1 Pharmion Corp.* 30 1 Rigel Pharmaceuticals, Inc.* (l) 28 1 United Therapeutics Corp.* 27 1 Valeant Pharmaceuticals International 34 ------------------------------------------------------------------- 454 -------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 73
SHARES ISSUER VALUE - -------------------------------------------------------------------------------- LONG-TERM INVESTMENTS -- CONTINUED REAL ESTATE INVESTMENT TRUST -- 1.4% 2 American Financial Realty Trust $ 31 2 Global Signal, Inc. 64 ------------------------------------------------------------------- 95 ------------------------------------------------------------------- RESTAURANTS/FOOD SERVICES -- 1.1% 2 Rare Hospitality International, Inc.* 70 RETAILING -- 5.0% 1 Aeropostale, Inc.* 26 1 Cost Plus, Inc.* 22 3 Genesco, Inc.* 86 1 Guitar Center, Inc.* 78 1 The Children's Place Retail Stores, Inc.* (l) 35 3 The Pantry, Inc.* 87 ------------------------------------------------------------------- 334 ------------------------------------------------------------------- SEMI-CONDUCTORS -- 4.3% 5 Credence Systems Corp.* 42 2 Cymer, Inc.* 46 4 Entegris, Inc.* 44 3 Mattson Technology, Inc.* 37 3 Micrel, Inc.* 31 2 Power Integrations, Inc.* 34 2 Semtech Corp.* 35 1 Varian Semiconductor Equipment Associates, Inc.* 18 ------------------------------------------------------------------- 287 ------------------------------------------------------------------- SHIPPING/TRANSPORTATION -- 0.8% 1 UTI Worldwide, Inc. (Virgin Islands) 53 TELECOMMUNICATIONS -- 6.1% 8 Aeroflex, Inc.* 92 6 Atheros Communications, Inc.* (l) 63 7 LCC International, Inc.* 41 4 Nextel Partners, Inc., Class A* 76 3 Symmetricom, Inc.* 34 4 Tekelec* 81 1 Viasat, Inc.* 16 ------------------------------------------------------------------- 403 ------------------------------------------------------------------- TELECOMMUNICATIONS EQUIPMENT -- 2.2% 7 C-COR.net Corp.* $ 60 3 Inter-Tel, Inc. 85 ------------------------------------------------------------------- 145 ------------------------------------------------------------------- TRANSPORTATION -- 0.9% 3 Sirva, Inc.* 59 ------------------------------------------------------------------- Total Common Stocks (Cost $5,459) 6,592 ------------------------------------------------------------------- SHORT-TERM INVESTMENT -- 0.6% MONEY MARKET FUND -- 0.6% 40 JPMorgan Prime Money Market Fund (a) (Cost $40) 40 ------------------------------------------------------------------- TOTAL INVESTMENTS -- 100.1% (Cost $5,499) $ 6,632 ------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS -- (0.1)% (6) ------------------------------------------------------------------- NET ASSETS -- 100.0% $ 6,626 -------------------------------------------------------------------
Percentages indicated are based on net assets.
PRINCIPAL AMOUNT (USD) COLLATERAL INVESTMENT VALUE - -------------------------------------------------------------------------------- REPURCHASE AGREEMENT (c) $ 1,069 Deutsche Bank Securities Inc., 2.33% dated 12/31/04, due 01/03/05, proceeds $1,069 collateralized by U.S. Government Agency Securities $ 1,069
SEE NOTES TO FINANCIAL STATEMENTS. 74 Abbreviations: * -- Non-income producing security. ^ -- Amount rounds to less than 0.1%. ^^ -- Amount rounds to less than one thousand. @ -- Security is fully or partially segregated with brokers as initial margin for futures contracts + -- All or portion of this security is segregated with the custodian for futures contracts (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management, Inc. (c) -- Investment of cash collateral for portfolio securities on loan. (l) -- Security, or portion of a security, has been delivered to counterparty as part of security lending transaction. USD -- United States Dollar SEE NOTES TO FINANCIAL STATEMENTS. 75 JPMORGAN FUNDS STATEMENT OF ASSETS AND LIABILITIES AS OF DECEMBER 31, 2004 (Amounts in thousands, except per share amounts)
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND ASSETS: Investments in non-affiliates, at value $ 193,987 $ 221,511 $ 56,665 Investments in affiliates, at value 4,464 4,756 900 - --------------------------------------------------------------------------------- Total investment securities at value 198,451 226,267 57,565 - --------------------------------------------------------------------------------- Investments held as collateral for securities lending program 41,470 9,103 2,830 Cash -- 48 -- Receivables: Investment securities sold 1,010 298 102 Fund shares sold 367 2,034 25 Interest and dividends 52 146 14 Securities lending (net) 6 1 --^ - --------------------------------------------------------------------------------- Total Assets 241,356 237,897 60,536 - --------------------------------------------------------------------------------- LIABILITIES: Payables: Due to custodian -- -- 80 Distributions -- 43 -- Investment securities purchased 1,383 -- -- Collateral for securities lending program 41,470 9,103 2,830 Fund shares redeemed 6,262 1,416 124 Accrued liabilities: Investment advisory fees 107 125 24 Administration fees 17 19 2 Shareholder servicing fees 17 12 3 Distribution fees 79 -- 13 Custodian fees 8 10 7 Trustees' fees - deferred compensation plan 6 6 1 Other 163 56 70 - --------------------------------------------------------------------------------- Total Liabilities 49,512 10,790 3,154 - --------------------------------------------------------------------------------- NET ASSETS $ 191,844 $ 227,107 $ 57,382 - ---------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 76
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND NET ASSETS: Paid in capital $ 167,001 $ 169,744 $ 299,474 Accumulated undistributed (overdistributed) net investment income (7) (6) (1) Accumulated net realized gain (loss) on investments (3,956) 5,119 (253,535) Net unrealized appreciation (depreciation) of investments 28,806 52,250 11,444 - --------------------------------------------------------------------------------- Total Net Assets $ 191,844 $ 227,107 $ 57,382 - --------------------------------------------------------------------------------- Class A $ 85,734 $ -- $ 54,516 Class B $ 61,966 $ -- $ 2,866 Class C $ 34,309 $ -- $ -- Select $ 9,835 $ 227,107 $ -- - --------------------------------------------------------------------------------- Total $ 191,844 $ 227,107 $ 57,382 - --------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 4,644 -- 9,492 Class B 3,547 -- 517 Class C 1,967 -- -- Select 521 6,819 -- Net Asset Value: Class A (and redemption price) $ 18.46 $ -- $ 5.74 Class B* $ 17.47 $ -- $ 5.54 Class C* $ 17.44 $ -- $ -- Select (and redemption price) $ 18.89 $ 33.30 $ -- Class A Maximum Public Offering Price Per Share (net asset value per share/94.75%) $ 19.48 $ -- $ 6.06 Cost of investments $ 169,645 $ 174,017 $ 46,121 - --------------------------------------------------------------------------------- Investment securities on loan, at value $ 40,549 $ 8,957 $ 2,781 - ---------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. SEE NOTES TO FINANCIAL STATEMENTS. 77
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND ASSETS: Investments in non-affiliates, at value $ 3,569,733 $ 343,518 $ 5,828 Investments in affiliates, at value 157,737 12,857 216 - --------------------------------------------------------------------------------- Total investment securities, at value 3,727,470 356,375 6,044 - --------------------------------------------------------------------------------- Investments held as collateral for securities lending program 111,929 -- 1,132 Cash 1,151 199 9 Receivables: Investment securities sold 2,903 -- 51 Fund shares sold 47,782 17,112 --^ Interest and dividends 3,672 256 2 Securities lending (net) 9 -- --^ Expense reimbursements 10 -- 7 - --------------------------------------------------------------------------------- Total Assets 3,894,926 373,942 7,245 - --------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 88,805 -- 43 Collateral for securities lending program 111,929 -- 1,132 Fund shares redeemed 1,737 16,508 -- Accrued liabilities: Investment advisory fees 1,624 251 -- Administration fees 232 58 -- Shareholder servicing fees 295 12 -- Distribution fees 650 37 --^ Custodian fees 69 19 8 Trustees' fees - deferred compensation plan 10 25 --^ Other 821 162 77 - --------------------------------------------------------------------------------- Total Liabilities 206,172 17,072 1,260 - --------------------------------------------------------------------------------- NET ASSETS $ 3,688,754 $ 356,870 $ 5,985 - ---------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 78
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND NET ASSETS: Paid in capital $ 3,217,826 $ 250,926 $ 5,709 Accumulated undistributed (overdistributed) net investment income (10) (8) --^ Accumulated net realized gain (loss) on investments 21,100 14,906 (873) Net unrealized appreciation (depreciation) of investments 449,838 91,046 1,149 - -------------------------------------------------------------------------------------------------------------- Total Net Assets $ 3,688,754 $ 356,870 $ 5,985 - -------------------------------------------------------------------------------------------------------------- Class A $ 1,332,927 $ 128,703 $ 1,439 Class B $ 173,129 $ 16,817 $ -- Class C $ 482,960 $ -- $ -- Institutional $ 1,214,608 $ -- $ 3,723 Select $ 485,130 $ 211,350 $ 823 - -------------------------------------------------------------------------------------------------------------- Total $ 3,688,754 $ 356,870 $ 5,985 - -------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Class A 60,447 4,868 162 Class B 7,992 700 -- Class C 22,252 -- -- Institutional 54,473 -- 406 Select 21,870 7,559 90 Net Asset Value: Class A (and redemption price) $ 22.05 $ 26.44 $ 8.91 Class B* $ 21.66 $ 24.01 $ -- Class C* $ 21.70 $ -- $ -- Institutional (and redemption price) $ 22.30 $ -- $ 9.18 Select (and redemption price) $ 22.18 $ 27.96 $ 9.09 Class A Maximum Public Offering Price Per Share (net asset value per share/94.75%) $ 23.27 $ 27.91 $ 9.40 Cost of investments $ 3,277,632 $ 265,329 $ 4,895 - -------------------------------------------------------------------------------------------------------------- Investment securities on loan, at value $ 110,496 $ -- $ 1,104 - --------------------------------------------------------------------------------------------------------------
* Redemption price may be reduced by contingent deferred sales charge. ^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 79
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND ASSETS: Investments in non-affiliates, at value $ 836,865 $ 207,980 $ 6,592 Investments in affiliates, at value 42,664 2,838 40 - -------------------------------------------------------------------------------------------------------------- Total investment securities, at value 879,529 210,818 6,632 - -------------------------------------------------------------------------------------------------------------- Investments held as collateral for securities lending program 73,315 -- 1,069 Cash 1,048 187 -- Receivables: Investment securities sold -- -- 72 Fund shares sold 61,978 284 1 Interest and dividends 722 188 2 Variation margin 89 3 -- Securities lending (net) 55 -- --^ Expense reimbursements -- -- 8 - -------------------------------------------------------------------------------------------------------------- Total Assets 1,016,736 211,480 7,784 - -------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 38,104 3 35 Collateral for securities lending program 73,315 -- 1,069 Fund shares redeemed 1,191 439 -- Accrued liabilities: Investment advisory fees 303 109 -- Administration fees 15 5 -- Shareholder servicing fees -- 20 -- Custodian fees 13 11 7 Trustees' fees - deferred compensation plan 17 2 1 Other 40 84 46 - -------------------------------------------------------------------------------------------------------------- Total Liabilities 112,998 673 1,158 - -------------------------------------------------------------------------------------------------------------- NET ASSETS $ 903,738 $ 210,807 $ 6,626 - --------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 80
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND NET ASSETS: Paid in capital $ 837,984 $ 173,869 $ 162,384 Accumulated undistributed (overdistributed) net investment income 249 3 (2) Accumulated net realized gain (loss) on investments and futures 4,171 2,943 (156,889) Net unrealized appreciation (depreciation) of investments and futures 61,334 33,992 1,133 - -------------------------------------------------------------------------------------------------------------- Total Net Assets $ 903,738 $ 210,807 $ 6,626 - -------------------------------------------------------------------------------------------------------------- Institutional $ -- $ 91,831 $ -- Select $ 903,738 $ 118,976 $ 6,626 - -------------------------------------------------------------------------------------------------------------- Total $ 903,738 $ 210,807 $ 6,626 - -------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized): Institutional -- 6,668 -- Select 20,796 8,636 618 Net Asset Value: Institutional (and redemption price) $ -- $ 13.77 $ -- Select (and redemption price) $ 43.46 $ 13.78 $ 10.72 Cost of investments $ 818,841 $ 176,949 $ 5,499 - -------------------------------------------------------------------------------------------------------------- Investment securities on loan, at value $ 71,548 $ -- $ 1,042 - --------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 81 STATEMENT OF OPERATIONS FOR THE YEAR ENDED DECEMBER 31, 2004 (Amounts in thousands)
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND INVESTMENT INCOME: Dividend $ 587 $ 2,386 $ 405 Dividend income from affiliated investments* 59 79 11 Securities lending (net) 63 17 11 Foreign taxes withheld -- (2) --^ - -------------------------------------------------------------------------------------------------------------- Total investment income 709 2,480 427 - -------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 1,271 1,325 376 Administration fees 293 306 87 Shareholder servicing fees 489 510 144 Distribution fees 900 -- 159 Custodian fees 61 58 48 Interest expense 1 2 --^ Printing and postage 71 32 40 Professional fees 54 48 51 Registration expenses 45 4 28 Transfer agent fees 543 22 107 Trustees' fees 3 3 1 Other 37 19 7 - -------------------------------------------------------------------------------------------------------------- Total expenses 3,768 2,329 1,048 - -------------------------------------------------------------------------------------------------------------- Less amounts waived 337 491 247 Less earnings credits --^ 1 --^ - -------------------------------------------------------------------------------------------------------------- Net expenses 3,431 1,837 801 - -------------------------------------------------------------------------------------------------------------- Net investment income (loss) (2,722) 643 (374) - --------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 82
DYNAMIC MID CAP MID CAP SMALL CAP EQUITY GROWTH FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments $ 37,317 $ 28,575 $ 10,011 Change in net unrealized appreciation/depreciation of: Investments (18,399) 8,854 (582) Net realized and unrealized gain (loss) on investments 18,918 37,429 9,429 - -------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 16,196 $ 38,072 $ 9,055 - -------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 8 $ 10 $ 1 - --------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 83
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND INVESTMENT INCOME: Dividend $ 28,813 $ 4,651 $ 13 Dividend income from affiliated investments* 1,653 218 2 Securities lending (net) 126 191 2 Foreign taxes withheld (19) -- --^ - -------------------------------------------------------------------------------------------------------------- Total investment income 30,573 5,060 17 - -------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 13,466 4,807 40 Administration fees 2,886 1,109 7 Shareholder servicing fees 3,775 1,849 7 Distribution fees 4,250 385 3 Custodian fees 248 92 49 Interest expense -- 1 1 Printing and postage 488 100 --^ Professional fees 86 61 50 Registration expenses 402 52 49 Transfer agent fees 2,114 339 37 Trustees' fees 29 13 --^ Other 92 50 7 - -------------------------------------------------------------------------------------------------------------- Total expenses 27,836 8,858 250 - -------------------------------------------------------------------------------------------------------------- Less amounts waived 5,510 1,820 54 Less earnings credits 2 1 --^ Less expense reimbursements 52 -- 144 - -------------------------------------------------------------------------------------------------------------- Net expenses 22,272 7,037 52 - -------------------------------------------------------------------------------------------------------------- Net investment income (loss) 8,301 (1,977) (35) - --------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 84
MID CAP SMALL CAP SMALL CAP VALUE EQUITY GROWTH FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments $ 68,273 $ 276,109 $ 571 Change in net unrealized appreciation/depreciation of: Investments 344,403 (93,478) 356 Net realized and unrealized gain (loss) on investments 412,676 182,631 927 - -------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 420,977 $ 180,654 $ 892 - -------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 197 $ 24 $ --^ - --------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 85
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND INVESTMENT INCOME: Interest $ 27 $ 6 $ -- Dividend 2,919 2,007 22 Dividend income from affiliated investments* 149 65 2 Securities lending (net) 215 11 1 Other Income -- -- --^ Foreign taxes withheld (2) (3) --^ - -------------------------------------------------------------------------------------------------------------- Total investment income 3,308 2,086 25 - -------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 2,432 1,508 48 Administration fees 561 377 12 Shareholder servicing fees 935 457 20 Custodian fees 56 111 41 Interest expense 5 2 1 Printing and postage 49 16 10 Professional fees 50 64 60 Registration expenses 32 39 20 Transfer agent fees 22 83 25 Trustees' fees 6 4 --^ Other 30 25 5 - -------------------------------------------------------------------------------------------------------------- Total expenses 4,178 2,686 242 - -------------------------------------------------------------------------------------------------------------- Less amounts waived 1,790 350 80 Less earnings credits --^ 1 --^ Less expense reimbursements -- -- 80 - -------------------------------------------------------------------------------------------------------------- Net expenses 2,388 2,335 82 - -------------------------------------------------------------------------------------------------------------- Net investment income (loss) 920 (249) (57) - --------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 86
U.S. SMALL TRUST SMALL U.S. SMALL COMPANY CAP EQUITY COMPANY OPPORTUNITIES FUND FUND FUND REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments $ 100,092 $ 88,418 $ 1,742 Futures (34) 768 -- Change in net unrealized appreciation/depreciation of: Investments (28,353) (62,691) (487) Futures 646 162 -- Net realized and unrealized gain (loss) on investments and futures 72,351 26,657 1,255 - -------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 73,271 $ 26,408 $ 1,198 - -------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 14 $ 9 $ --^ - --------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 87 STATEMENT OF CHANGES IN NET ASSETS FOR THE PERIODS INDICATED (Amounts in thousands)
DYNAMIC SMALL CAP FUND MID CAP EQUITY FUND ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/04 12/31/03 12/31/04 12/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (2,722) $ (2,278) $ 643 $ 779 Net realized gain (loss) on investments 37,317 6,539 28,575 6,558 Change in net unrealized appreciation/ depreciation of investments (18,399) 47,379 8,854 39,408 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 16,196 51,640 38,072 46,745 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income -- -- (627) (782) Net realized gain on investment transactions -- -- (23,640) (5,709) - ------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders -- -- (24,267) (6,491) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) (15,717) (12,619) 19,236 15,181 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets 479 39,021 33,041 55,435 - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 191,365 152,344 194,066 138,631 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 191,844 $ 191,365 $ 227,107 $ 194,066 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ (7) $ (24) $ (6) $ (10) - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 88
MID CAP GROWTH FUND MID CAP VALUE FUND ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/04 12/31/03 12/31/04 12/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (374) $ (629) $ 8,301 $ 2,226 Net realized gain (loss) on investments 10,011 (1,935) 68,273 5,402 Change in net unrealized appreciation/ depreciation of investments (582) 21,065 344,403 102,487 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 9,055 18,501 420,977 110,115 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income -- -- (8,593) (2,288) Net realized gain on investment transactions -- -- (46,201) (4,605) - ------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders -- -- (54,794) (6,893) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) (12,240) (14,090) 2,466,242 631,214 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets (3,185) 4,411 2,832,425 734,436 - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 60,567 56,156 856,329 121,893 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 57,382 $ 60,567 $ 3,688,754 $ 856,329 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ (1) $ (1) $ (10) $ (1) - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 89
SMALL CAP EQUITY FUND SMALL CAP GROWTH FUND ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/04 12/31/03 12/31/04 12/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ (1,977) $ (2,067) $ (35) $ (21) Net realized gain (loss) on investments 276,109 34,654 571 (334) Change in net unrealized appreciation/ depreciation of investments (93,478) 173,648 356 1,296 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 180,654 206,235 892 941 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net realized gain on investment transactions (112,302) -- -- -- - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) (457,947) (62,159) 697 1,655 - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets (389,595) 144,076 1,589 2,596 - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 746,465 602,389 4,396 1,800 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 356,870 $ 746,465 $ 5,985 $ 4,396 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ (8) $ (90) $ --^ $ --^ - ------------------------------------------------------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. SEE NOTES TO FINANCIAL STATEMENTS. 90
TRUST SMALL CAP EQUITY FUND U.S. SMALL COMPANY FUND ------------------------------ ----------------------------- YEAR ENDED YEAR ENDED YEAR ENDED YEAR ENDED 12/31/04 12/31/03 12/31/04 12/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS Net investment income (loss) $ 920 $ 121 $ (249) $ 853 Net realized gain (loss) on investments and futures 100,058 18,926 89,186 7,207 Change in net unrealized appreciation (depreciation) of investments and futures (27,707) 77,999 (62,529) 105,478 - ------------------------------------------------------------------------------------------------------------------------------ Increase (decrease) in net assets from operations 73,271 97,046 26,408 113,538 - ------------------------------------------------------------------------------------------------------------------------------ DISTRIBUTIONS TO SHAREHOLDERS FROM Net investment income (605) (111) -- (1,000) Net realized gain on investment transactions (87,711) (5,840) (28,244) -- - ------------------------------------------------------------------------------------------------------------------------------ Total distributions to shareholders (88,316) (5,951) (28,244) (1,000) - ------------------------------------------------------------------------------------------------------------------------------ CAPITAL SHARE TRANSACTIONS Increase (decrease) 532,830 35,795 (126,815) (186,555) - ------------------------------------------------------------------------------------------------------------------------------ NET ASSETS Total increase (decrease) in net assets 517,785 126,890 (128,651) (74,017) - ------------------------------------------------------------------------------------------------------------------------------ Beginning of period 385,953 259,063 339,458 413,475 - ------------------------------------------------------------------------------------------------------------------------------ End of period $ 903,738 $ 385,953 $ 210,807 $ 339,458 - ------------------------------------------------------------------------------------------------------------------------------ Accumulated undistributed (overdistributed) net investment income $ 249 $ (62) $ 3 $ (1) - ------------------------------------------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 91
U.S. SMALL COMPANY OPPORTUNITIES FUND ------------------------------ YEAR ENDED YEAR ENDED 12/31/04 12/31/03 INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ (57) $ (137) Net realized gain (loss) on investments 1,742 (3,387) Change in net unrealized appreciation (depreciation) of investments (487) 3,777 - --------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 1,198 253 - --------------------------------------------------------------------------------------------- CAPITAL SHARE TRANSACTIONS Increase (decrease) (4,305) (45,370) - --------------------------------------------------------------------------------------------- NET ASSETS: Total increase (decrease) in net assets (3,107) (45,117) - --------------------------------------------------------------------------------------------- Beginning of period 9,733 54,850 - --------------------------------------------------------------------------------------------- End of period $ 6,626 $ 9,733 - --------------------------------------------------------------------------------------------- Accumulated undistributed (overdistributed) net investment income $ (2) $ (1) - ---------------------------------------------------------------------------------------------
SEE NOTES TO FINANCIAL STATEMENTS. 92 JPMORGAN FUNDS NOTES TO FINANCIAL STATEMENTS 1. ORGANIZATION J.P. Morgan Funds ("JPMF"), J.P. Morgan Institutional Funds ("JPMIF"), J.P. Morgan Mutual Fund Group ("JPMMFG"), J.P. Morgan Mutual Fund Select Group ("JPMMFSG") and the J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") were organized as Massachusetts business trusts and J.P. Morgan Fleming Mutual Fund Group, Inc. ("JPMFMFG") was organized as a Maryland corporation. JPMF, JPMIF, JPMMFG, JPMMFSG, JPMMFIT and JPMFMFG (collectively, the "Trusts") are registered under the Investment Company Act of 1940 as amended (the "1940 Act"), as open-end management investment companies. The Trusts were organized on the following dates: JPMF November 4, 1992 JPMIF November 4, 1992 JPMMFG May 11, 1987 JPMMFSG October 1, 1996 JPMMFIT September 23, 1997 JPMFMFG August 19, 1997
The following are nine separate portfolios of the Trusts (collectively, the "Funds"):
FUND CLASSES OFFERED JPMorgan Dynamic Small Cap Fund ("DSCF") Class A, Class B, Class C and Select JPMorgan Mid Cap Equity Fund ("MCEF") Select JPMorgan Mid Cap Growth Fund ("MCGF") Class A and Class B JPMorgan Mid Cap Value Fund ("MCVF") Class A, Class B, Class C, Institutional and Select JPMorgan Small Cap Equity Fund ("SCEF") Class A, Class B and Select JPMorgan Small Cap Growth Fund ("SCGF") Class A, Institutional and Select JPMorgan Trust Small Cap Equity Fund ("TSCEF") Select JPMorgan U.S. Small Company Fund ("USSCF") Institutional and Select JPMorgan U.S. Small Company Opportunities Fund ("USSCOF") Select
USSCOF is a separate series of JPMF. USSCF is a separate series of JPMIF. SCEF and DSCF are separate series of JPMMFG. MCEF and TSCEF are separate series of JPMMFSG. MCGF is a separate series of JPMMFIT. MCVF and SCGF are separate series of JPMFMFG. 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 shares and Select Class shares. 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. On November 11, 2004, The Board of Directors approved the following: For Class A shares, the maximum front-end sales charge was reduced from 5.75% to 5.25% for shares purchased on or after November 15, 2004 of the Funds. 93 See note 11 for subsequent events with respect to the reorganization and redomiciliation of certain of the series of the trusts. TSCEF underwent changes to its portfolio management team, benchmark, and investment process effective July 16, 2004. During the fiscal year ended December 31, 2004, SCEF relieved securities of the fund in exchange for the redemption of Select Class shares. Cash and securities were transferred for redemptions on December 6, 2004 at a market value of (in thousands) $518,018, which resulted in a realized gain of (in thousands) $159,702 to the Fund for book purposes. During the fiscal year ended December 31, 2004, SCGF recognized unrealized gain on investments of approximately $11 (in thousands) related to securities purchases in violation of the Fund's investment restrictions during the year. The effect of such gain resulted in an increase in total return of approximately ..2% 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. All short-term securities with a remaining maturity of sixty days or less are valued using the amortized cost method, which approximates market value. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on most foreign exchanges and over-the counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, each of the Funds applies fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in its portfolio by utilizing the quotations of an independent pricing service, unless the Fund's advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movements and changes in the prices of indices, securities, and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value. B. REPURCHASE AGREEMENTS -- The Funds' custodian (or designated subcustodians, as the case may be under tri-party repurchase agreements) takes possession of the collateral pledged for investments in repurchase agreements on behalf of the Funds. It is the policy of the Funds to mark-to-market the collateral on a daily basis to determine that the value, including accrued interest, is at least equal to the repurchase price plus accrued interest. In the event of default of the obligation to repurchase, the Funds have the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. In the event of default or bankruptcy by the seller of the agreement, realization and/or retention of the collateral or proceeds may be subject to legal proceedings. C. 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 94 contract are recorded as unrealized appreciation (depreciation) until the contract is closed or settled, at which time a realized gain or loss is recognized. Index futures contracts are used to control the asset mix of the portfolios in the most efficient manner. Short index futures contracts are used for hedging purposes; i.e., to reduce the exposure to equities. Long index futures contracts are used to gain exposure to equities, when it is anticipated that this will be more efficient than buying stocks directly. Use of long futures contracts subjects the Fund to risk of loss in excess of amounts shown on the Statement of Assets and Liabilities, up to the notional value of the futures contract. Use of short futures contracts 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 December 31, 2004, TSCEF and USSCF had outstanding futures contracts as listed on their Portfolio of Investments. D. 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. E. SECURITIES ON LOAN -- For all of the Funds, the Board of Trustees has approved 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, the Funds attempt to increase 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 December 31, 2004, the market value of securities loaned and the amount of collateral received were as follows (amounts in thousands):
MARKET VALUE OF MARKET VALUE OF SECURITIES LOANED COLLATERAL RECEIVED DSCF $ 40,549 $ 41,470 MCEF 8,957 9,103 MCGF 2,781 2,830 MCVF 110,496 111,929 SCGF 1,104 1,132 TSCEF 71,548 73,315 USSCOF 1,042 1,069
JPMCB as lending agent receives a fee equal to 0.05% (0.06% prior to January 31, 2004) of the average dollar value of loans of U.S. securities outstanding during a given month and 0.10% (0.1142% prior to January 31, 2004) of the average dollar value of loans on non-U.S. securities outstanding during a given month from the Funds as detailed below (amounts in thousands): DSCF $ 20 MCEF 6 MCGF 4 MCVF 52 SCEF 73 SCGF 1 TSCEF 32 USSCF 2 USSCOF --^
^ Amount rounds to less than one thousand. 95 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 collateral received. JPMCB will indemnify the Fund from any loss resulting from a borrower's failure to return a loaned security when due. F. SECURITY TRANSACTIONS AND INVESTMENT INCOME -- Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on the identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Fund first learns of the dividend. G. 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. H. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Fund's policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. In addition, the Funds intend to make distributions as required to avoid excise taxes. Accordingly, no provision for Federal income or excise tax is necessary. I. DISTRIBUTIONS TO SHAREHOLDERS -- Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these "book/tax" differences are permanent in nature (i.e., that they result from other than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts (amounts in thousands):
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS FUND DSCF $ (2,739) $ 2,739 $ -- MCEF -- (12) 12 MCGF (374) 374 -- MCVF -- 283 (283) SCEF 159,645 2,059 (161,704) SCGF (35) 35 -- TSCEF 14,496 (5) (14,491) USSCF (248) 253 (5) USSCOF (57) 56 1
^ Amount rounds to less than one thousand. 96 The reclassifications for DSCF, MCGF and SCGF relate primarily to the character for the tax purposes of current year net operating losses. The reclassifications for MCEF, MCVF and TSCEF relate primarily to the character for tax purposes of current year distributions received from investments in REITs. The reclassifications for SCEF relate primarily to the character for the tax purposes of current year non-deductible net operating losses, distributions received from investments in REITs and redemptions in-kind. The reclassifications for USSCF and USSCOF relate primarily to the character for the tax purposes of current year non-deductible net operating losses and distributions received from investments in REITs. J. OTHER EXPENSES -- Other expenses in the Statement of Operations include fees related to line of credit, insurance, pricing and reporting services. 3. FEES AND OTHER TRANSACTIONS WITH AFFILIATES A. INVESTMENT ADVISORY FEE -- Pursuant to the Investment Advisory Agreements, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly owned subsidiary of JP Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of JP Morgan Chase & Co. The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund's respective average daily net assets. The annual fee for each Fund is as follows:
INVESTMENT ADVISORY FEE (%) FUND DSCF 0.65% MCEF 0.65% MCGF 0.65% MCVF 0.70%* SCEF 0.65% SCGF 0.80% TSCEF 0.65% USSCF 0.60% USSCOF 0.60%
* As approved by the Board of Trustees, effective February 19, 2005, the Investment Advisory Fee was reduced to an annual rate of 0.65% for MCVF. 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 Adviser 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 FEE -- Pursuant to a Distribution Agreement, J.P. Morgan Fund Distributors, Inc. ("JPMFD" or "Distributor"), a wholly-owned subsidiary of The BISYS Group, Inc., serves as the 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 DSCF 0.25 0.75 0.75 MCEF n/a n/a n/a MCGF 0.25 0.75 n/a MCVF 0.25 0.75 0.75 SCEF 0.25 0.75 n/a SCGF 0.25 n/a n/a TSCEF n/a n/a n/a USSCF n/a n/a n/a USSCOF n/a n/a n/a
In addition, JPMFD is entitled to receive the contingent deferred sales charge ("CDSC") from redemptions of Class B and C shares. The Distributor waived fees and reimbursed expenses as outlined in 3.F. 97 C. SHAREHOLDER SERVICING FEE -- The Trusts have entered into Shareholder Servicing Agreements on behalf of the Funds with JPMCB, under which JPMCB provides account administration and personal account maintenance services to shareholders. For performing these services, JPMCB receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND DSCF 0.25 0.25 0.25 n/a 0.25 MCEF n/a n/a n/a n/a 0.25 MCGF 0.25 0.25 n/a n/a n/a MCVF 0.25 0.25 0.25 0.10 0.25 SCEF 0.25 0.25 n/a n/a 0.25 SCGF 0.25 n/a n/a 0.10 0.25 TSCEF n/a n/a n/a n/a 0.25 USSCF n/a n/a n/a 0.10 0.25 USSCOF n/a n/a n/a n/a 0.25
JPMCB may enter into services contracts with certain entities under which it will pay all or a portion of the annual fee to such entities for performing shareholder and administrative services. In addition, JPMCB, Charles Schwab & Co. ("Schwab") and the Trusts are parties to separate services and operating agreements (the "Schwab Agreements") whereby Schwab makes shares of the Funds available to customers of investment advisers and other financial intermediaries who are Schwab's clients. The Funds are not responsible for payments to Schwab under the Schwab Agreements; however, in the event the servicing agreement with Schwab is terminated for reasons other than a breach by Schwab and the relationship between the JPMMFG, JPMMFSG, JPMMFIT, JPMFMFG, JPMF, and JPMIF with JPMCB are terminated, the Funds would be responsible for the ongoing payments to Schwab with respect to pre-termination shares. D. CUSTODIAN AND ACCOUNTING FEES -- JPMCB provides portfolio custody and accounting services for the Funds. Compensation for such services is presented in the Statement of Operations as custodian fees. The custodian fees may be reduced by credits earned by each Fund, based on the uninvested cash balances held by the custodian. Such earning credits are presented separately in the Statement of Operations. Interest expense paid to the custodian related to overdrafts are presented as interest expense in the Statement of Operations. E. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Fund Complex and 0.075% of the average daily net assets in excess of $25 billion. BISYS Fund Services, LP ("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. 98 The Administrator, the Advisor, and the Distributor have contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes, extraordinary expenses and expenses related to the deferred compensation plan) exceed the percentages of their respective average daily net assets as shown in the table below (%):
INSTITUTIONAL SELECT CLASS A CLASS B CLASS C CLASS CLASS FUND DSCF 1.50 2.12 2.12 n/a 1.10 MCEF n/a n/a n/a n/a 1.00 MCGF 1.35 2.05 n/a n/a n/a MCVF 1.25 2.00 2.00 0.75 1.00 SCEF 1.38 2.12 n/a n/a 0.85 SCGF 1.60 n/a n/a 0.85 1.10 USSCF n/a n/a n/a 0.83 1.01 USSCOF n/a n/a n/a n/a 1.02
The contractual expense limitation agreements were in effect for the year ended December 31, 2004 for the Funds. The expense limitation percentages in the table above are due to expire on April 30, 2006. The Administrator waived fees and reimbursed expenses as outlined in Note 3.F. 99 F. WAIVERS AND REIMBURSEMENTS -- For the year ended December 31, 2004, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows (amounts in thousands). Neither the Funds' service providers nor the Administrator expect the Funds to repay any such waived fees and reimbursed expenses in future years.
CONTRACTUAL WAIVERS ------------------------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL REIMBURSEMENTS FUND DSCF $ -- $ 54 $ 283 $ -- $ 337 $ -- MCEF -- -- 287 -- 287 -- MCGF 79 58 110 -- 247 -- MCVF 2,429 947 1,795 5,171 52 SCEF -- 41 1,754 25 1,820 -- SCGF 40 7 7 -- 54 144 USSCF -- 128 222 -- 350 -- USSCOF 48 12 20 -- 80 80 - -------------------------------------------------------------------------------------------------------------------------- Total $ 2,596 $ 1,247 $ 4,478 $ 25 $ 8,346 $ 276 - --------------------------------------------------------------------------------------------------------------------------
VOLUNTARY WAIVERS ------------------------------------------------------------------- INVESTMENT SHAREHOLDER ADVISORY ADMINISTRATION SERVICING DISTRIBUTION TOTAL FUND MCEF $ -- $ 81 $ 123 $ -- $ 204 MCVF 137 202 -- -- 339 TSCEF 543 312 935 -- 1,790 - ------------------------------------------------------------------------------------------------------------------------- Total $ 680 $ 595 $ 1,058 $ -- $ 2,333 - -------------------------------------------------------------------------------------------------------------------------
G. OTHER -- Certain officers of the Trusts are officers of JPMorgan Chase & Co. or of BISYS or their subsidiaries. During the period, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Advisors. The Funds may use related party broker/dealers. For the year ended December 31, 2004 MCEF incurred approximately $1 (in thousands), as brokerage 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. H. SUBSEQUENT CHANGES -- After considering management's recommendations, the Boards of Trustees of the Trusts approved, and the Funds entered into, a Distribution Agreement and a Shareholder Servicing Agreement with JPMorgan Distribution Services, Inc. ("JPMDS") and an Administration Agreement with JPMorgan Funds Management, Inc. ("JPMFM"). JPMDS and JPMFM are both indirect, wholly-owned subsidiaries of JPMorgan Chase & Co. The agreements are effective February 19, 2005, and the fees charged to the Funds under the agreements are subject to the same fee structure as those paid to the prior service providers. 100 Beginning in mid-2005, JPMCB will serve as the Funds' sub-administrator. For its services as sub-administrator, JPMCB will receive a portion of the fees payable to JPMFM as Administrator. 4. CLASS SPECIFIC EXPENSES The Funds' class specific expenses for the year ended December 31, 2004 are as follows (amounts in thousands):
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT DSCF Class A $ 231 $ 231 $ 266 Class B 150 451 174 Class C 73 218 84 Select 35 -- 19 - --------------------------------------------------------------------------------------- $ 489 $ 900 $ 543 MCEF Select $ 510 $ -- $ 22 MCGF Class A $ 137 $ 137 $ 102 Class B 7 22 5 - --------------------------------------------------------------------------------------- $ 144 $ 159 $ 107 MCVF Class A $ 1,707 $ 1,707 $ 1,238 Class B 265 794 191 Class C 583 1,749 423 Institutional 690 -- 212 Select 530 -- 50 - --------------------------------------------------------------------------------------- $ 3,775 $ 4,250 $ 2,114 SCEF Class A $ 234 $ 234 $ 250 Class B 50 151 55 Select 1,565 -- 34 - --------------------------------------------------------------------------------------- $ 1,849 $ 385 $ 339 SCGF Class A $ 3 $ 3 $ 13 Class B* -- -- -- Class C* -- -- -- Institutional 3 -- 12 Select 1 -- 12 - --------------------------------------------------------------------------------------- $ 7 $ 3 $ 37 TSCEF Select $ 935 $ -- $ 22
101
SHAREHOLDER FUND SERVICING DISTRIBUTION TRANSFER AGENT USSCF Institutional $ 114 $ -- $ 20 Select 343 -- 63 - --------------------------------------------------------------------------------------- $ 457 $ -- $ 83 USSCOF Select $ 20 $ -- $ 25
5. CLASS SPECIFIC DISTRIBUTIONS The Funds' class specific distributions from net investment income and realized gain on investment transactions for the year ended December 31, 2004, and the year ended December 31, 2003 are as follows (amounts in thousands):
YEAR ENDED 12/31/04 YEAR ENDED 12/31/03 --------------------------------- --------------------------------- NET NET INVESTMENT INCOME REALIZED GAIN INVESTMENT INCOME REALIZED GAIN MCEF Select $ 627 $ 23,640 $ 782 $ 5,709 MCVF Class A $ 2,344 $ 16,897 $ 669 $ 1,468 Class B -- 2,288 -- 389 Class C -- 6,079 20 561 Institutional 4,851 15,152 1,392 1,820 Select 1,398 5,785 207 367 - ----------------------------------------------------------------------------------------------------------- $ 8,593 $ 46,201 $ 2,288 $ 4,605 SCEF Class A $ -- $ 16,153 $ -- $ -- Class B -- 2,612 -- -- Select -- 93,537 -- -- - ----------------------------------------------------------------------------------------------------------- $ -- $ 112,302 $ -- $ -- TSCEF Select $ 605 $ 87,711 $ 111 $ 5,840 USSCF Institutional $ -- $ 12,738 $ 587 $ -- Select -- 15,506 413 -- - ----------------------------------------------------------------------------------------------------------- $ -- $ 28,244 $ 1,000 $ -- - -----------------------------------------------------------------------------------------------------------
102 6. INVESTMENT TRANSACTIONS For the year ended December 31, 2004, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
PURCHASES SALES PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. OF U.S. OF U.S. GOVERNMENT) GOVERNMENT) GOVERNMENT GOVERNMENT FUND DSCF $ 214,815 $ 229,367 $ -- $ -- MCEF 205,481 214,618 -- -- MCGF 67,386 80,547 -- -- MCVF 3,113,598 760,300 -- -- SCEF 316,210 901,814 -- -- SCGF 6,315 5,696 -- -- TSCEF 1,035,221 659,306 -- -- USSCF 319,484 483,764 423 -- USSCOF 8,740 14,570 -- --
7. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at December 31, 2004, were as follows (amounts in thousands):
GROSS GROSS NET UNREALIZED AGGREGATE UNREALIZED UNREALIZED APPRECIATION/ COST APPRECIATION (DEPRECIATION) (DEPRECIATION) FUND DSCF $ 169,825 $ 31,782 $ (3,156) $ 28,626 MCEF 174,846 51,915 (494) 51,421 MCGF 46,240 11,765 (440) 11,325 MCVF 3,283,670 444,074 (274) 443,800 SCEF 265,313 95,626 (4,564) 91,062 SCGF 4,974 1,183 (113) 1,070 TSCEF 819,528 64,852 (4,851) 60,001 USSCF 176,807 39,464 (5,453) 34,011 USSCOF 5,579 1,217 (164) 1,053
103 The tax character of distributions paid during the periods indicated were as follows (amounts in thousands):
ORDINARY LONG-TERM RETURN OF TOTAL FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS YEAR ENDED DECEMBER 31, 2004 DSCF $ -- $ -- $ -- $ -- MCEF 6,536 17,731 -- 24,267 MCGF -- -- -- -- MCVF 44,728 10,066 -- 54,794 SCEF 5,490 106,812 -- 112,302 SCGF -- -- -- -- TSCEF 12,478 75,838 -- 88,316 USSCF -- 28,244 -- 28,244 USSCOF -- -- -- -- ORDINARY LONG-TERM RETURN OF TOTAL FUND INCOME CAPITAL GAIN CAPITAL DISTRIBUTIONS YEAR ENDED DECEMBER 31, 2003 DSCF $ -- $ -- $ -- $ -- MCEF 3,523 2,968 -- 6,491 MCGF -- -- -- -- MCVF 6,591 302 -- 6,893 SCEF -- -- -- -- SCGF -- -- -- -- TSCEF 103 5,848 -- 5,951 USSCF 1,000 -- -- 1,000 USSCOF -- -- -- --
At December 31, 2004, the tax components of capital were as follows (amounts in thousands):
DSCF MCEF MCGF Current distributable ordinary income $ -- $ 2,297 $ -- Current distributable long-term capital gain or (tax basis capital loss carryover) (3,777) 3,651 (253,416) Unrealized appreciation (depreciation) $ 28,626 $ 51,421 $ 11,325
104
MCVF SCEF SCGF Current distributable ordinary income $ 14,903 $ 424 $ -- Current distributable long-term capital gain or tax basis capital loss carryover 12,235 14,482 (794) Unrealized appreciation (depreciation) $ 443,800 $ 91,062 $ 1,070 TSCEF USSCF USSCOF Current distributable ordinary income $ 4,576 $ -- $ -- Current distributable long-term capital gain or (tax basis capital loss carryover) 1,194 2,929 (156,810) Unrealized appreciation (depreciation) $ 60,001 $ 34,011 $ 1,053
For DSCF, MCEF, MCGF, MCVF, SCGF, TSCEF and USSCOF the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sale loss deferrals. For SCEF, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to REIT Return of Capital ("ROC") adjustments. For USSCF, the difference between book and tax basis unrealized appreciation/(depreciation) is primarily attributed to wash sale loss deferrals, inside/outside adjustment, and REIT ROC adjustments. At December 31, 2004, the following Funds have capital loss carryovers, which will be available to offset capital gains. To the extent that any net capital loss carryovers are used to offset future capital gains, it is probable that the gains so offset will not be distributed to shareholders (amounts in thousands):
EXPIRATION AMOUNT DATE FUND DSCF $ 3,776 December 31, 2010 - ------------------------------------------------------------------------------------------ MCGF $ 222,526 December 31, 2009 28,364 December 31, 2010 2,527 December 31, 2011 - ------------------------------------------------------------------------------------------ $ 253,417 - ------------------------------------------------------------------------------------------ SCGF $ 242 December 31, 2010 553 December 31, 2011 - ------------------------------------------------------------------------------------------ $ 795 - ------------------------------------------------------------------------------------------ USSCOF $ 8,756 December 31, 2008 79,872 December 31, 2009 62,976 December 31, 2010 5,206 December 31, 2011 - ------------------------------------------------------------------------------------------ $ 156,810 - ------------------------------------------------------------------------------------------
105 During the year ended December 31, 2004, DSCF, MCGF, SCGF, USSCF, and USSCOF utilized capital loss carryforwards of (in thousands) $37,076, $10,031, $552, $55,510 and $1,607, respectively. Capital losses incurred after October 31, within a Fund's fiscal year, are deemed to arise on the first business day of the following fiscal year for tax purposes. 8. 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 it to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to the Funds based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. This agreement was extended and was subsequently terminated as of February 18, 2005. The Funds had no borrowings outstanding at December 31, 2004, nor at anytime during the year then ended. Effective February 19, 2005, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured uncommitted credit facility in the aggregate amount of $100 million. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. Effective February 19, 2005, the Funds began relying upon an exemptive order ("Order") permitting the establishment and operation of an Interfund Lending Facility ("Facility"). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund's borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to One Group Mutual Funds and may be relied upon by the Funds because they are investment companies in the same "group of investment companies" (as defined in Section 12(d)(1)(G) of the Investment Company Act of 1940) as One Group Mutual Funds. 9. CONCENTRATIONS AND INDEMNIFICATIONS From time to time, the Funds may have a concentration of several shareholders which may be a related party, holding a significant percentage of shares outstanding. Investment activities of these shareholders could have a material impact on the Funds. As of December 31, 2004, there were individual shareholders who owned 23% and 28% of SCGF and there was one shareholder of record that owned 64% of TSCEF. In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote. 10. CORPORATE EVENT On May 25, 2004, J.P. Morgan Chase & Co. and Bank One Corp. announced that, at separate meetings, their respective shareholders had approved the merger of the two companies. The companies completed the merger of their holding companies on July 1, 2004. Effective July 20, 2004, the name of the combined holding company was changed to JPMorgan Chase & Co. Effective November 15, 2004, the bank name is JPMorgan Chase Bank, National Association. 106 11. SUBSEQUENT EVENT Effective February 19, 2005 Trust Small Cap Equity Fund changed its name to JPMorgan Small Cap Core Fund. In addition, the Board of Trustees approved a change in benchmark from the S&P SmallCap 600/BARRA Growth Index to the Russell 2000 Index for the Dynamic Small Cap Fund, effective February 19, 2005. On February 9, 2005, the Board of Trustees approved managements proposal to limit the offering of the Mid Cap Value Fund effective March 31, 2005, and the Trust Small Cap Equity Fund and U.S. Small Company Fund effective February 28, 2005. On August 19, 2004, the Boards of Trustees of the Trusts each approved an Agreement and Plan of Reorganization regarding the reorganization of each series of their respective Trust into a corresponding series of J.P. Morgan Mutual Fund Series ("JPMMFS"). At a special meeting of shareholders of JPMorgan Mid Cap Equity Fund, JPMorgan Small Cap Growth Fund and JPMorgan Trust Small Cap Equity Fund held on January 20, 2005, and at a special meeting of shareholders of JPMorgan Dynamic Small Cap Fund, JPMorgan Small Cap Equity Fund, JPMorgan U.S. Small Company Fund and JPMorgan U.S. Small Company Opportunities Fund (collectively, the "Funds") held on January 20, 2005, and adjourned and reconvened on February 3, 2005, shareholders of each of the Funds approved the Agreements and Plans of Reorganization with respect to each respective Fund. Effective after the close of business on February 18, 2005 pursuant to the Agreements and Plans of Reorganization, the Funds were each reorganized, by means of a tax-free reorganization, each as a separate series of JPMMFS. Additionally, at a special meeting of shareholders on January 20, 2005, the shareholders of JPMMFS approved an Agreement and Plan of Reorganization and Redomiciliation providing for the reorganization and redomiciliation of each series of JPMMFS as a corresponding series of JPMorgan Trust I, a Delaware statutory trust, including those series of JPMMFS such as the Funds which became a series of JPMMFS as of February 18, 2005. Therefore, effective after the close of business on February 18, 2005, pursuant to the Agreement and Plan of Reorganization and Redomiciliation, the Funds were each reorganized and redomiciled, by means of a tax-free reorganization, as a separate series of JPMorgan Trust I. On August 19, 2004, the Boards of Trustees of the Trusts, and on August 12, 2004, the Board of Trustees of the One Group Mutual Funds, each approved management's proposal to merge JPMorgan Small Cap Growth Fund and JPMorgan U.S. Small Company Opportunities Fund (the "Target Funds") into One Group Small Cap Growth Fund (the "Acquiring Fund"). The Agreement and Plan of Reorganization with respect to the JPMorgan Small Cap Growth Fund was approved by that Fund's shareholders at a special meeting of shareholders held on January 20, 2005. The Agreement and Plan of Reorganization with respect to JPMorgan U.S. Small Company Opportunities Fund was approved by that Fund's shareholders at a special meeting of shareholders held on January 20, 2005, and adjourned and reconvened on February 3, 2005. The mergers were effective after the close of business on February 18, 2005. The Acquiring Funds acquired all of the assets and liabilities of the corresponding Target Funds as shown in the table below. Each merger transaction was structured to qualify as a tax-free reorganization under the Internal Revenue Code of 1986. Pursuant to each Agreement and Plan of Reorganization, shareholders of the Target Funds received a number of shares of the corresponding class in the corresponding Acquiring Fund with a value equal to their holdings in the respective Target Fund as of the close of business on the date of the reorganization. 107 The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share, Net Unrealized Appreciation or Depreciation immediately before and after the reorganization (amounts in thousands, except per share amounts): JPMORGAN REORGANIZATION
NET ASSET NET SHARES VALUE UNREALIZED OUTSTANDING NET ASSETS PER SHARE APPRECIATION TARGET FUNDS JPMorgan Small Cap Growth Fund $ 863 Class A 176 $ 1,524 $ 8.64 Institutional 406 $ 3,614 $ 8.91 Select 106 $ 938 $ 8.82 JPMorgan U.S. Small Company Opportunities Fund $ 800 Select 594 $ 6,200 $ 10.43 ACQUIRING FUND One Group Small Cap Growth Fund $ 70,106 Class A 7,899 $ 97,614 $ 12.36 Class B 2,866 $ 32,547 $ 11.36 Class C 1,075 $ 12,492 $ 11.62 Class I 41,055 $ 516,120 $ 12.57 POST REORGANIZATION JPMorgan Small Cap Growth Fund $ 71,769 Class A 8,023 $ 99,138 $ 12.36 Class B 2,866 $ 32,547 $ 11.36 Class C 1,075 $ 12,492 $ 11.62 Institutional 288 $ 3,614 $ 12.57 Select 41,622 $ 523,258 $ 12.57
12. LEGAL PROCEEDINGS NONE OF THE ACTIONS DESCRIBED BELOW ALLEGE THAT ANY UNLAWFUL ACTIVITY TOOK PLACE WITH RESPECT TO ANY FUNDS WHOSE FINANCIAL STATEMENTS ARE INCLUDED IN THIS REPORT. On July 1, 2004, Bank One Corporation, the former corporate parent of the One Group Dealer Services, Inc., One Group Administrative Services, Inc. and Banc One Investment Advisors Corporation ("BOIA"), the investment adviser to the former One Group Mutual Funds, merged into JPMorgan Chase. As a consequence of the merger, on that date, One Group Dealer Services, One Group Administrative Services and BOIA (renamed JPMorgan Investment Advisors, Inc. effective February 19, 2005) became affiliates of both JPMIM and JPMorgan Chase Bank N.A. JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) ("JPMDS") and JPMorgan Funds Management Inc. (formerly One Group Administrative Services, Inc.) became the distributor and administrator, respectively, of the JPMorgan Funds effective February 19, 2005. 108 Prior to becoming an affiliate of JPMorgan Chase, on June 29, 2004, BOIA entered into agreements with the Securities and Exchange Commission ("SEC") and the New York Attorney General ("NYAG") in resolution of investigations conducted by the SEC and the NYAG into market timing of certain mutual funds advised by BOIA, possible late trading of certain of these funds and related matters. In this connection, BOIA or its affiliates agreed to pay disgorgement and a civil money penalty in an aggregate amount of $50 million. The settlement agreement with the NYAG also requires BOIA to reduce its management fee for certain series of the former One Group Mutual Funds, in an aggregate amount of approximately $8 million annually over the next five years. In addition, BOIA has agreed to undertakings relating to, among other things, governance and compliance initiatives. In addition to the matters involving the SEC and NYAG, various lawsuits have been filed against BOIA, the then incumbent trustees of One Group Mutual Funds and various affiliates of BOIA, including JPMDS. The lawsuits generally relate to the same facts that were the subject of the SEC order and NYAG settlement discussed above. These actions seek, among other things, compensatory damages, restitution, disgorgement of unjustly earned profits, punitive damages, removal of the then incumbent trustees of One Group Mutual Funds, removal of the One Group Mutual Funds' investment advisers (E.G., BOIA) and distributor (I.E., JPMDS), rescission of the distribution and service plans adopted under Rule 12b-1 of the Investment Company Act of 1940, and attorneys' fees. These lawsuits are ongoing and, accordingly, an estimate of the financial impact of these actions cannot currently be made. Any Fund identified in this report as having acquired the assets of a former One Group Mutual Fund or that was acquired by a former One Group Mutual Fund will be reimbursed for all costs associated with these matters to ensure that the Fund or its successor incurs no expenses as it relates to the matters described above. A portion of these reimbursements may be from related parties. 109 13. CAPITAL SHARE TRANSACTIONS Capital share transactions were as follows for the periods presented (amounts in thousands):
DYNAMIC SMALL CAP FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 CLASS A SHARES AMOUNT Shares sold $ 27,956 $ 33,709 Shares redeemed (38,856) (53,209) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (10,900) $ (19,500) - ------------------------------------------------------------------------------------------- SHARES Shares sold 1,634 2,294 Shares redeemed (2,293) (3,769) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (659) (1,475) - ------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 11,257 $ 10,241 Shares redeemed (16,973) (12,042) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (5,716) $ (1,801) - ------------------------------------------------------------------------------------------- SHARES Shares sold 693 756 Shares redeemed (1,057) (932) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (364) (176) - ------------------------------------------------------------------------------------------- CLASS C AMOUNT Shares sold $ 19,086 $ 11,002 Shares redeemed (10,644) (2,766) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 8,442 $ 8,236 - ------------------------------------------------------------------------------------------- SHARES Shares sold 1,186 789 Shares redeemed (673) (209) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 513 580 - -------------------------------------------------------------------------------------------
110
DYNAMIC SMALL CAP FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 SELECT AMOUNT Shares sold $ 7,516 $ 11,103 Shares redeemed (15,059) (10,657) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (7,543) $ 446 - ------------------------------------------------------------------------------------------- SHARES Shares sold 427 806 Shares redeemed (859) (861) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (432) (55) - -------------------------------------------------------------------------------------------
111
MID CAP EQUITY FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 SELECT AMOUNT Shares sold $ 57,714 $ 38,236 Shares issued in reinvestment of distributions 17,555 4,884 Shares redeemed (56,033) (27,939) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 19,236 $ 15,181 - ------------------------------------------------------------------------------------------- SHARES Shares sold 1,752 1,383 Shares issued in reinvestment of distributions 536 160 Shares redeemed (1,693) (1,002) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 595 541 - -------------------------------------------------------------------------------------------
112
MID CAP GROWTH FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 CLASS A AMOUNT Shares sold $ 2,220 $ 829 Shares redeemed (13,954) (14,203) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (11,734) $ (13,374) - ------------------------------------------------------------------------------------------- SHARES Shares sold 433 191 Shares redeemed (2,687) (3,409) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (2,254) (3,218) - ------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 194 $ 351 Shares redeemed (700) (1,067) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (506) $ (716) - ------------------------------------------------------------------------------------------- SHARES Shares sold 39 85 Shares redeemed (140) (255) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (101) (170) - -------------------------------------------------------------------------------------------
113
MID CAP VALUE FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 CLASS A AMOUNT Shares sold $ 1,033,844 $ 251,409 Shares issued in reinvestment of distributions 16,217 1,676 Shares redeemed (122,265) (33,488) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 927,796 $ 219,597 - ------------------------------------------------------------------------------------------- SHARES Shares sold 51,027 14,916 Shares issued in reinvestment of distributions 746 92 Shares redeemed (6,071) (2,080) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 45,702 12,928 - ------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 93,272 $ 46,760 Shares issued in reinvestment of distributions 1,863 317 Shares redeemed (9,647) (2,807) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 85,488 $ 44,270 - ------------------------------------------------------------------------------------------- SHARES Shares sold 4,666 2,882 Shares issued in reinvestment of distributions 87 18 Shares redeemed (488) (177) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 4,265 2,723 - ------------------------------------------------------------------------------------------- CLASS C AMOUNT Shares sold $ 348,253 $ 84,896 Shares issued in reinvestment of distributions 4,102 404 Shares redeemed (16,865) (2,423) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 335,490 $ 82,877 - ------------------------------------------------------------------------------------------- SHARES Shares sold 17,330 5,088 Shares issued in reinvestment of distributions 192 23 Shares redeemed (851) (152) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 16,671 4,959 - -------------------------------------------------------------------------------------------
114
MID CAP VALUE FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 INSTITUTIONAL AMOUNT Shares sold $ 848,157 $ 281,596 Shares issued in reinvestment of distributions 14,335 2,657 Shares redeemed (111,900) (53,554) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 750,592 $ 230,699 - ------------------------------------------------------------------------------------------- SHARES Shares sold 41,530 16,975 Shares issued in reinvestment of distributions 652 145 Shares redeemed (5,510) (3,357) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 36,672 13,763 - ------------------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 405,562 $ 61,454 Shares issued in reinvestment of distributions 4,698 528 Shares redeemed (43,384) (8,211) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 366,876 $ 53,771 - ------------------------------------------------------------------------------------------- SHARES Shares sold 19,743 3,598 Shares issued in reinvestment of distributions 215 29 Shares redeemed (2,172) (490) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 17,786 3,137 - -------------------------------------------------------------------------------------------
115
SMALL CAP EQUITY FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 CLASS A AMOUNT Shares sold $ 52,477 $ 16,547 Shares issued in reinvestment of distributions 14,234 -- Shares redeemed (33,952) (29,997) Redemption in-kind -- -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 32,759 $ (13,450) - ------------------------------------------------------------------------------------------- SHARES Shares sold 1,991 857 Shares issued in reinvestment of distributions 548 -- Shares redeemed (1,334) (1,535) Redemption in-kind -- -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 1,205 (678) - ------------------------------------------------------------------------------------------- CLASS B AMOUNT Shares sold $ 2,578 $ 2,152 Shares issued in reinvestment of distributions 2,411 -- Shares redeemed (11,902) (8,560) Redemption in-kind -- -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (6,913) $ (6,408) - ------------------------------------------------------------------------------------------- SHARES Shares sold 108 119 Shares issued in reinvestment of distributions 102 -- Shares redeemed (500) (502) Redemption in-kind -- -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (290) (383) - -------------------------------------------------------------------------------------------
116
SMALL CAP EQUITY FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 SELECT AMOUNT Shares sold $ 141,242 $ 86,699 Shares issued in reinvestment of distributions 88,631 -- Shares redeemed (195,648) (129,000) Redemption in-kind (518,018) -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (483,793) $ (42,301) - ------------------------------------------------------------------------------------------- SHARES Shares sold 5,240 4,330 Shares issued in reinvestment of distributions 3,235 -- Shares redeemed (7,291) (6,457) Redemption in-kind (18,885) -- - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (17,701) (2,127) - -------------------------------------------------------------------------------------------
117
SMALL CAP GROWTH FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 CLASS A AMOUNT Shares sold $ 680 $ 718 Shares redeemed (423) (156) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 257 $ 562 - ------------------------------------------------------------------------------------------- SHARES Shares sold 84 104 Shares redeemed (54) (22) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 30 82 - ------------------------------------------------------------------------------------------- CLASS B* AMOUNT Shares sold $ -- $ 75 Shares redeemed -- (275) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- $ (200) - ------------------------------------------------------------------------------------------- SHARES Shares sold -- 12 Shares redeemed -- (42) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- (30) - ------------------------------------------------------------------------------------------- CLASS C* AMOUNT Shares sold $ -- $ 52 Shares redeemed -- (97) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ -- $ (45) - ------------------------------------------------------------------------------------------- SHARES Shares sold -- 9 Shares redeemed -- (15) - ------------------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding -- (6) - -------------------------------------------------------------------------------------------
* Class ceased operations as of September 12, 2003. 118
SMALL CAP GROWTH FUND (CONTINUED) -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 INSTITUTIONAL AMOUNT Shares sold $ 1,004 $ 1,620 Shares redeemed (1,078) (374) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (74) $ 1,246 - ------------------------------------------------------------------------------- SHARES Shares sold 126 232 Shares redeemed (126) (48) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding --^ 184 - ------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 576 $ 155 Shares redeemed (62) (63) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 514 $ 92 - ------------------------------------------------------------------------------- SHARES Shares sold 72 22 Shares redeemed (8) (12) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 64 10 - -------------------------------------------------------------------------------
^ Amount rounds to less than one thousand. 119
TRUST SMALL CAP EQUITY FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 SELECT AMOUNT Shares sold $ 640,372 $ 78,208 Shares issued in reinvestment of distributions 76,052 4,679 Shares redeemed (183,594) (47,092) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ 532,830 $ 35,795 - ------------------------------------------------------------------------------- SHARES Shares sold 14,251 2,037 Shares issued in reinvestment of distributions 1,769 107 Shares redeemed (3,918) (1,219) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding 12,102 925 - -------------------------------------------------------------------------------
120
U.S. SMALL COMPANY FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 INSTITUTIONAL AMOUNT Shares sold $ 21,366 $ 44,698 Shares issued in reinvestment of distributions 6,203 272 Shares redeemed (91,687) (153,678) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (64,118) $ (108,708) - ------------------------------------------------------------------------------- SHARES Shares sold 1,563 3,883 Shares issued in reinvestment of distributions 458 21 Shares redeemed (6,617) (14,211) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (4,596) (10,307) - ------------------------------------------------------------------------------- SELECT AMOUNT Shares sold $ 21,554 $ 35,591 Shares issued in reinvestment of distributions 13,051 368 Shares redeemed (97,302) (113,806) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding $ (62,697) $ (77,847) - ------------------------------------------------------------------------------- SHARES Shares sold 1,535 3,163 Shares issued in reinvestment of distributions 962 28 Shares redeemed (7,032) (9,973) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (4,535) (6,782) - -------------------------------------------------------------------------------
121
U.S. SMALL COMPANY OPPORTUNITIES FUND -------------------------------------- YEAR ENDED YEAR ENDED DECEMBER 31, 2004 DECEMBER 31, 2003 SELECT AMOUNT Shares sold $ 1,102 $ 12,334 Shares redeemed (5,407) (57,704) Net increase (decrease) in Fund shares outstanding $ (4,305) $ (45,370) - ------------------------------------------------------------------------------- SHARES Shares sold 115 1,667 Shares redeemed (576) (8,376) - ------------------------------------------------------------------------------- Net increase (decrease) in Fund shares outstanding (461) (6,709) - -------------------------------------------------------------------------------
122 THIS PAGE IS INTENTIONALLY LEFT BLANK 123 FINANCIAL HIGHLIGHTS CLASS A
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 DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 16.81 (0.19)@ 1.84 1.65 -- -- -- Year Ended 12/31/03 $ 12.14 (0.16)@ 4.83 4.67 -- -- -- Year Ended 12/31/02 $ 15.72 (0.18) (3.40) (3.58) -- -- -- 11/1/01 Through 12/31/01^ $ 14.21 (0.03) 1.54 1.51 -- -- -- Year Ended 10/31/01 $ 24.54 (0.24) (6.71) (6.95) -- 3.38 3.38 Year Ended 10/31/00 $ 15.98 (0.22)@ 8.78 8.56 -- -- -- MID CAP GROWTH FUND Year Ended 12/31/04 $ 4.91 (0.03)@ 0.86 0.83 -- -- -- Year Ended 12/31/03 $ 3.57 (0.04)@ 1.38 1.34 -- -- -- Year Ended 12/31/02 $ 5.06 (0.05)@ (1.44) (1.49) -- -- -- 10/1/01 Through 12/31/01^^ $ 4.27 (0.01) 0.80 0.79 -- -- -- Year Ended 9/30/01 $ 12.51 (0.02)@ (8.06) (8.08) -- 0.16 0.16 10/29/99* Through 9/30/00 $ 10.00 (0.09) 2.60 2.51 -- -- -- MID CAP VALUE FUND Year Ended 12/31/04 $ 18.62 0.07@ 3.71 3.78 0.04 0.31 0.35 Year Ended 12/31/03 $ 14.44 0.09@ 4.25 4.34 0.05 0.11 0.16 Year Ended 12/31/02 $ 14.10 0.07@ 0.31 0.38 0.03 0.01 0.04 10/1/01 Through 12/31/01^^ $ 13.43 0.02@ 1.48 1.50 0.08 0.75 0.83 4/30/01** Through 9/30/01 $ 14.24 0.04@ (0.85) (0.81) -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. * Commencement of operations. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 124
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (MILLIONS) DYNAMIC SMALL CAP FUND $ 86 Year Ended 12/31/04 $ 18.46 9.82% $ 89 Year Ended 12/31/03 $ 16.81 38.47% $ 82 Year Ended 12/31/02 $ 12.14 (22.77%) $ 125 11/1/01 Through 12/31/01^ $ 15.72 10.63% $ 120 Year Ended 10/31/01 $ 14.21 (30.60%) $ 154 Year Ended 10/31/00 $ 24.54 53.57% MID CAP GROWTH FUND Year Ended 12/31/04 $ 5.74 16.90% $ 54 Year Ended 12/31/03 $ 4.91 37.53% $ 58 Year Ended 12/31/02 $ 3.57 (29.45%) $ 53 10/1/01 Through 12/31/01^^ $ 5.06 18.50% $ 101 Year Ended 9/30/01 $ 4.27 (65.10%) $ 94 10/29/99* Through 9/30/00 $ 12.51 25.12% $ 33 MID CAP VALUE FUND Year Ended 12/31/04 $ 22.05 20.32% $ 1,333 Year Ended 12/31/03 $ 18.62 30.07% $ 275 Year Ended 12/31/02 $ 14.44 2.68% $ 26 10/1/01 Through 12/31/01^^ $ 14.10 11.20% $ 5 4/30/01** Through 9/30/01 $ 13.43 (5.69%) $ 2 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 1.50% (1.14%) 1.73% (1.37%) 112% Year Ended 12/31/03 1.50% (1.19%) 1.86% (1.54%) 55% Year Ended 12/31/02 1.50% (1.20%) 1.82% (1.52%) 52% 11/1/01 Through 12/31/01^ 1.50% (1.21%) 1.63% (1.34%) 8% Year Ended 10/31/01 1.50% (1.13%) 1.64% (1.27%) 57% Year Ended 10/31/00 1.50% (0.99%) 1.76% (1.25%) 87% MID CAP GROWTH FUND Year Ended 12/31/04 1.35% (0.61%) 1.79% (1.05%) 118% Year Ended 12/31/03 1.35% (1.05%) 1.77% (1.47%) 69% Year Ended 12/31/02 1.35% (1.15%) 1.62% (1.42%) 39% 10/1/01 Through 12/31/01^^ 1.35% (0.84%) 1.35% (0.84%) 135% Year Ended 9/30/01 1.30% (0.54%) 1.30% (0.54%) 159% 10/29/99* Through 9/30/00 1.16% (0.68%) 1.20% (0.72%) 147% MID CAP VALUE FUND Year Ended 12/31/04 1.25% 0.34% 1.60% (0.01%) 41% Year Ended 12/31/03 1.25% 0.51% 1.65% 0.11% 32% Year Ended 12/31/02 1.25% 0.50% 1.70% 0.05% 51% 10/1/01 Through 12/31/01^^ 1.25% 0.47% 3.72%!! (2.00%) 15% 4/30/01** Through 9/30/01 1.30% 0.71% 15.30%!! (13.29%)!! 98%
(1) Total return figures do not include the effect of any front-end sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 125 CLASS A
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 SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 24.11 (0.17)@ 6.33 6.16 -- 3.83 3.83 Year Ended 12/31/03 $ 17.68 (0.15)@ 6.58 6.43 -- -- -- Year Ended 12/31/02 $ 21.53 (0.15)@ (3.57) (3.72) -- 0.13 0.13 11/1/01 Through 12/31/01^ $ 19.64 (0.03)@ 1.92 1.89 -- -- -- Year Ended 10/31/01 $ 27.89 (0.10) (4.26) (4.36) -- 3.89 3.89 Year Ended 10/31/00 $ 22.77 (0.20)@ 7.97 7.77 -- 2.65 2.65 SMALL CAP GROWTH FUND Year Ended 12/31/04 $ 7.67 (0.10)@ 1.34 1.24 -- -- -- Year Ended 12/31/03 $ 5.50 (0.09)@ 2.26 2.17 -- -- -- Year Ended 12/31/02 $ 9.25 (0.09)@ (3.66) (3.75) -- -- -- 10/1/01 Through 12/31/01^^ $ 6.80 (0.01) 2.46 2.45 -- -- -- 4/30/01** Through 9/30/01 $ 9.20 (0.05)@ (2.35) (2.40) -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any front-end sales load. SEE NOTES TO FINANCIAL STATEMENTS. 126
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (MILLIONS) SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 26.44 26.13% $ 129 Year Ended 12/31/03 $ 24.11 36.37% $ 88 Year Ended 12/31/02 $ 17.68 (17.30%) $ 77 11/1/01 Through 12/31/01^ $ 21.53 9.62% $ 71 Year Ended 10/31/01 $ 19.64 (16.62%) $ 67 Year Ended 10/31/00 $ 27.89 37.10% $ 93 SMALL CAP GROWTH FUND Year Ended 12/31/04 $ 8.91 16.17%! $ 1 Year Ended 12/31/03 $ 7.67 39.45% $ 1 Year Ended 12/31/02 $ 5.50 (40.54%) $ 1 10/1/01 Through 12/31/01^^ $ 9.25 36.03% $ --+ 4/30/01** Through 9/30/01 $ 6.80 (26.09%) $ --+ RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) SMALL CAP EQUITY FUND Year Ended 12/31/04 1.38% (0.66%) 1.62% (0.90%) 44% Year Ended 12/31/03 1.38% (0.75%) 1.65% (1.02%) 38% Year Ended 12/31/02 1.38% (0.74%) 1.40% (0.76%) 51% 11/1/01 Through 12/31/01^ 1.38% (0.81%) 1.38% (0.81%) 6% Year Ended 10/31/01 1.39% (0.80%) 1.40% (0.81%) 47% Year Ended 10/31/00 1.44% (0.77%) 1.44% (0.77%) 75% SMALL CAP GROWTH FUND Year Ended 12/31/04 1.61%* (1.27%) 5.76%!! (5.42%)!! 115% Year Ended 12/31/03 1.60% (1.30%) 15.48%!! (15.18%)!! 143% Year Ended 12/31/02 1.60% (1.39%) 21.25%!! (21.04%)!! 76% 10/1/01 Through 12/31/01^^ 1.54% (1.27%) 12.17%!! (11.90%)!! 25% 4/30/01** Through 9/30/01 1.60% (1.37%) 11.04%!! (10.81%)!! 71%
(a) Not annualized for periods less than one year. # Short periods have been annualized. + Amount rounds to less than one million. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. * Includes interest expense for custody overdraft of 0.01%. ! SCGF recognized unrealized gain on investments of approximately $11 (in thousands) related to securities purchases in violation of the Fund's investment restrictions during the year. The effect of such gain resulted in an increase in total return of approximately .2% SEE NOTES TO FINANCIAL STATEMENTS. 127 CLASS B
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 DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 16.01 (0.28)@ 1.74 1.46 -- -- -- Year Ended 12/31/03 $ 11.63 (0.24)@ 4.62 4.38 -- -- -- Year Ended 12/31/02 $ 15.16 (0.27) (3.26) (3.53) -- -- -- 11/1/01 Through 12/31/01^ $ 13.72 (0.04) 1.48 1.44 -- -- -- Year Ended 10/31/01 $ 23.96 (0.23) (6.63) (6.86) -- 3.38 3.38 Year Ended 10/31/00 $ 15.71 (0.40)@ 8.65 8.25 -- -- -- MID CAP GROWTH FUND Year Ended 12/31/04 $ 4.77 (0.07)@ 0.84 0.77 -- -- -- Year Ended 12/31/03 $ 3.49 (0.07)@ 1.35 1.28 -- -- -- Year Ended 12/31/02 $ 4.99 (0.08)@ (1.42) (1.50) -- -- -- 10/1/01 Through 12/31/01^^ $ 4.22 (0.02) 0.79 0.77 -- -- -- Year Ended 9/30/01 $ 12.43 (0.07)@ (7.98) (8.05) -- 0.16 0.16 10/29/99* Through 9/30/00 $ 10.00 (0.17) 2.60 2.43 -- -- -- MID CAP VALUE FUND Year Ended 12/31/04 $ 18.37 (0.06)@ 3.66 3.60 -- 0.31 0.31 Year Ended 12/31/03 $ 14.32 (0.03)@ 4.19 4.16 -- 0.11 0.11 Year Ended 12/31/02 $ 14.06 (0.04)@ 0.31 0.27 -- 0.01 0.01 10/1/01 Through 12/31/01^^ $ 13.40 (0.01)@ 1.47 1.46 0.05 0.75 0.80 4/30/01** Through 9/30/01 $ 14.24 --@ (0.84) (0.84) -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. * Commencement of operations. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 128
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (MILLIONS) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 17.47 9.12% $ 62 Year Ended 12/31/03 $ 16.01 37.66% $ 63 Year Ended 12/31/02 $ 11.63 (23.28%) $ 48 11/1/01 Through 12/31/01^ $ 15.16 10.50% $ 72 Year Ended 10/31/01 $ 13.72 (31.02%) $ 67 Year Ended 10/31/00 $ 23.96 52.51% $ 110 MID CAP GROWTH FUND Year Ended 12/31/04 $ 5.54 16.14% $ 3 Year Ended 12/31/03 $ 4.77 36.68% $ 3 Year Ended 12/31/02 $ 3.49 (30.06%) $ 3 10/1/01 Through 12/31/01^^ $ 4.99 18.25% $ 5 Year Ended 9/30/01 $ 4.22 (65.30%) $ 6 10/29/99* Through 9/30/00 $ 12.43 24.31% $ 25 MID CAP VALUE FUND Year Ended 12/31/04 $ 21.66 19.60% $ 173 Year Ended 12/31/03 $ 18.37 29.06% $ 68 Year Ended 12/31/02 $ 14.32 1.94% $ 14 10/1/01 Through 12/31/01^^ $ 14.06 10.94% $ 3 4/30/01** Through 9/30/01 $ 13.40 (5.90%) $ 1 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 2.12% (1.76%) 2.23% (1.87%) 112% Year Ended 12/31/03 2.12% (1.81%) 2.35% (2.05%) 55% Year Ended 12/31/02 2.12% (1.82%) 2.32% (2.02%) 52% 11/1/01 Through 12/31/01^ 2.12% (1.83%) 2.12% (1.83%) 8% Year Ended 10/31/01 2.13% (1.75%) 2.14% (1.76%) 57% Year Ended 10/31/00 2.20% (1.69%) 2.26% (1.75%) 87% MID CAP GROWTH FUND Year Ended 12/31/04 2.05% (1.31%) 2.29% (1.55%) 118% Year Ended 12/31/03 2.05% (1.75%) 2.33% (2.03%) 69% Year Ended 12/31/02 2.05% (1.85%) 2.32% (2.12%) 39% 10/1/01 Through 12/31/01^^ 2.05% (1.53%) 2.05% (1.53%) 135% Year Ended 9/30/01 2.00% (1.22%) 2.00% (1.22%) 159% 10/29/99* Through 9/30/00 1.86% (1.38%) 1.91% (1.43%) 147% MID CAP VALUE FUND Year Ended 12/31/04 1.90% (0.32%) 2.10% (0.52%) 41% Year Ended 12/31/03 1.95% (0.21%) 2.19% (0.45%) 32% Year Ended 12/31/02 2.00% (0.27%) 2.49% (0.76%) 51% 10/1/01 Through 12/31/01^^ 1.99% (0.27%) 4.47%!! (2.75%) 15% 4/30/01** Through 9/30/01 2.03% 0.01% 16.00%!! (13.96%)!! 98%
(1) Total return figures do not include the effect of any deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 129 CLASS B
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 SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 22.34 (0.34)@ 5.84 5.50 -- 3.83 3.83 Year Ended 12/31/03 $ 16.50 (0.27)@ 6.11 5.84 -- -- -- Year Ended 12/31/02 $ 20.26 (0.29)@ (3.34) (3.63) -- 0.13 0.13 11/1/01 Through 12/31/01^ $ 18.50 (0.05)@ 1.81 1.76 -- -- -- Year Ended 10/31/01 $ 26.73 (0.09) (4.25) (4.34) -- 3.89 3.89 Year Ended 10/31/00 $ 22.06 (0.37)@ 7.69 7.32 -- 2.65 2.65
^ The Fund changed its fiscal year end from October 31 to December 31. @ Calculated based upon average shares outstanding. (1) Total return figures do not include the effect of any deferred sales load. SEE NOTES TO FINANCIAL STATEMENTS. 130
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (MILLIONS) SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 24.01 25.22% $ 17 Year Ended 12/31/03 $ 22.34 35.39% $ 22 Year Ended 12/31/02 $ 16.50 (17.94%) $ 23 11/1/01 Through 12/31/01^ $ 20.26 9.51% $ 42 Year Ended 10/31/01 $ 18.50 (17.37%) $ 39 Year Ended 10/31/00 $ 26.73 36.17% $ 57 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) SMALL CAP EQUITY FUND Year Ended 12/31/04 2.12% (1.43%) 2.12% (1.43%) 44% Year Ended 12/31/03 2.12% (1.49%) 2.21% (1.58%) 38% Year Ended 12/31/02 2.12% (1.50%) 2.16% (1.54%) 51% 11/1/01 Through 12/31/01^ 2.12% (1.55%) 2.12% (1.55%) 6% Year Ended 10/31/01 2.13% (1.54%) 2.14% (1.55%) 47% Year Ended 10/31/00 2.17% (1.50%) 2.17% (1.50%) 75%
(a) Not annualized for periods less than one year. # Short periods have been annualized. SEE NOTES TO FINANCIAL STATEMENTS. 131 CLASS C
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 DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 15.98 (0.28)@ 1.74 1.46 -- -- -- Year Ended 12/31/03 $ 11.61 (0.25)@ 4.62 4.37 -- -- -- Year Ended 12/31/02 $ 15.13 (0.21) (3.31) (3.52) -- -- -- 11/1/01 Through 12/31/01^ $ 13.70 (0.04) 1.47 1.43 -- -- -- Year Ended 10/31/01 $ 23.93 (0.23) (6.62) (6.85) -- 3.38 3.38 Year Ended 10/31/00 $ 15.69 (0.35)@ 8.59 8.24 -- -- -- MID CAP VALUE FUND Year Ended 12/31/04 $ 18.41 (0.06)@ 3.66 3.60 -- 0.31 0.31 Year Ended 12/31/03 $ 14.35 (0.03)@ 4.20 4.17 --^^ 0.11 0.11 Year Ended 12/31/02 $ 14.09 (0.04)@ 0.31 0.27 -- 0.01 0.01 10/1/01 Through 12/31/01^^^ $ 13.41 (0.01)@ 1.48 1.47 0.04 0.75 0.79 4/30/01** Through 9/30/01 $ 14.24 --@ (0.83) (0.83) -- -- --
^ The Fund changed its fiscal year end from October 31 to December 31. ^^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. ^^ Amount is less than .005. SEE NOTES TO FINANCIAL STATEMENTS. 132
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (1)(a) (MILLIONS) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 17.44 9.14% $ 34 Year Ended 12/31/03 $ 15.98 37.64% $ 23 Year Ended 12/31/02 $ 11.61 (23.26%) $ 10 11/1/01 Through 12/31/01^ $ 15.13 10.44% $ 11 Year Ended 10/31/01 $ 13.70 (31.02%) $ 10 Year Ended 10/31/00 $ 23.93 52.52% $ 14 MID CAP VALUE FUND Year Ended 12/31/04 $ 21.70 19.56% $ 483 Year Ended 12/31/03 $ 18.41 29.09% $ 103 Year Ended 12/31/02 $ 14.35 1.94% $ 9 10/1/01 Through 12/31/01^^^ $ 14.09 11.05% $ 3 4/30/01** Through 9/30/01 $ 13.41 (5.83%) $ 2 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 2.12% (1.76%) 2.23% (1.87%) 112% Year Ended 12/31/03 2.12% (1.82%) 2.35% (2.04%) 55% Year Ended 12/31/02 2.12% (1.82%) 2.32% (2.02%) 52% 11/1/01 Through 12/31/01^ 2.12% (1.83%) 2.12% (1.83%) 8% Year Ended 10/31/01 2.13% (1.76%) 2.14% (1.77%) 57% Year Ended 10/31/00 2.20% (1.69%) 2.26% (1.75%) 87% MID CAP VALUE FUND Year Ended 12/31/04 1.90% (0.31%) 2.10% (0.51%) 41% Year Ended 12/31/03 1.95% (0.19%) 2.19% (0.43%) 32% Year Ended 12/31/02 2.00% (0.28%) 2.51% (0.79%) 51% 10/1/01 Through 12/31/01^^^ 1.99% (0.30%) 4.48%!! (2.79%) 15% 4/30/01** Through 9/30/01 2.04% 0.03% 15.95%!! (13.88%)!! 98%
(1) Total return figures do not include the effect of any deferred sales load. (a) Not annualized for periods less than one year. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 133 INSTITUTIONAL
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 MID CAP VALUE FUND Year Ended 12/31/04 $ 18.77 0.17@ 3.77 3.94 0.10 0.31 0.41 Year Ended 12/31/03 $ 14.52 0.17@ 4.27 4.44 0.08 0.11 0.19 Year Ended 12/31/02 $ 14.14 0.15@ 0.30 0.45 0.06 0.01 0.07 10/1/01 Through 12/31/01^ $ 13.47 0.03@ 1.48 1.51 0.09 0.75 0.84 Year Ended 9/30/01 $ 13.06 0.15@ 1.28 1.43 0.15 0.87 1.02 Year Ended 9/30/00 $ 13.56 0.11 2.59 2.70 0.09 3.11 3.20 SMALL CAP GROWTH FUND Year Ended 12/31/04 $ 7.84 (0.04)@ 1.38 1.34 -- -- -- Year Ended 12/31/03 $ 5.59 (0.04)@ 2.29 2.25 -- -- -- Year Ended 12/31/02 $ 9.32 (0.04)@ (3.69) (3.73) -- -- -- 10/1/01 Through 12/31/01^ $ 6.83 -- 2.49 2.49 -- -- -- Year Ended 9/30/01 $ 15.12 (0.07)@ (6.07) (6.14) -- 2.15 2.15 Year Ended 9/30/00 $ 13.45 (0.08) 4.34 4.26 0.04 2.55 2.59 US SMALL COMPANY FUND Year Ended 12/31/04 $ 13.88 --@ 1.89 1.89 -- 2.00 2.00 Year Ended 12/31/03 $ 9.95 0.04@ 3.94 3.98 0.05 -- 0.05 Year Ended 12/31/02 $ 12.57 0.05 (2.61) (2.56) 0.06 -- 0.06 6/1/01 Through 12/31/01^^ $ 13.34 0.05@ (0.78) (0.73) 0.04 -- 0.04 Year Ended 5/31/01 $ 15.11 0.08 0.03 0.11 0.09 1.79 1.88 Year Ended 5/31/00 $ 11.98 0.04 3.10 3.14 0.01 -- 0.01
^ The Fund changed its fiscal year end from September 30 to December 31. ^^ The Fund changed its fiscal year end from May 31 to December 31. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 134
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (a) (MILLIONS) MID CAP VALUE FUND Year Ended 12/31/04 $ 22.30 20.99% $ 1,215 Year Ended 12/31/03 $ 18.77 30.62% $ 334 Year Ended 12/31/02 $ 14.52 3.23% $ 59 10/1/01 Through 12/31/01^ $ 14.14 11.30% $ 4 Year Ended 9/30/01 $ 13.47 11.19% $ 4 Year Ended 9/30/00 $ 13.06 23.76% $ 5 SMALL CAP GROWTH FUND Year Ended 12/31/04 $ 9.18 17.09%! $ 4 Year Ended 12/31/03 $ 7.84 40.25% $ 3 Year Ended 12/31/02 $ 5.59 (40.02%) $ 1 10/1/01 Through 12/31/01^ $ 9.32 36.46% $ 2 Year Ended 9/30/01 $ 6.83 (45.44%) $ 2 Year Ended 9/30/00 $ 15.12 36.33% $ 4 US SMALL COMPANY FUND Year Ended 12/31/04 $ 13.77 13.82% $ 92 Year Ended 12/31/03 $ 13.88 40.03% $ 183 Year Ended 12/31/02 $ 9.95 (20.36%) $ 214 6/1/01 Through 12/31/01^^ $ 12.57 (5.50%) $ 269 Year Ended 5/31/01 $ 13.34 0.94% $ 410 Year Ended 5/31/00 $ 15.11 26.23% $ 358 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) MID CAP VALUE FUND Year Ended 12/31/04 0.75% 0.83% 1.05% 0.53% 41% Year Ended 12/31/03 0.75% 1.00% 1.07% 0.68% 32% Year Ended 12/31/02 0.75% 1.01% 1.22% 0.54% 51% 10/1/01 Through 12/31/01^ 0.75% 0.94% 3.30%!! (1.61%) 15% Year Ended 9/30/01 0.75% 1.07% 3.25%!! (1.43%) 98% Year Ended 9/30/00 0.97% 0.84% 4.24%!! (2.43%) 99% SMALL CAP GROWTH FUND Year Ended 12/31/04 0.85% (0.52%) 4.59% (4.26%) 115% Year Ended 12/31/03 0.85% (0.58%) 10.08%!! (9.81%)!! 143% Year Ended 12/31/02 0.85% (0.64%) 8.07%!! (7.86%)!! 76% 10/1/01 Through 12/31/01^ 0.85% (0.62%) 6.66%!! (6.43%)!! 25% Year Ended 9/30/01 0.85% (0.53%) 5.82%!! (5.50%)!! 71% Year Ended 9/30/00 1.05% (0.61%) 5.47%!! (5.03%)!! 88% US SMALL COMPANY FUND Year Ended 12/31/04 0.83% 0.00% 0.97% (0.14%) 129% Year Ended 12/31/03 0.83% 0.33% 0.95% 0.21% 78% Year Ended 12/31/02 0.83% 0.41% 0.93% 0.31% 90% 6/1/01 Through 12/31/01^^ 0.82% 0.57% 0.86% 0.53% 48%~ Year Ended 5/31/01 0.82% 0.54% 0.82% 0.54% 110%~ Year Ended 5/31/00 0.80% 0.26% 0.82% 0.24% 104%~
# Short periods have been annualized. ~ Prior to September 10, 2001, USSCF invested all of its investable assets in The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of USSCP. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. ! SCGF recognized unrealized gain on investments of approximately $11 (in thousands) related to securities purchases in violation of the Fund's investment restrictions during the year. The effect of such gain resulted in an increase in total return of approximately .2% SEE NOTES TO FINANCIAL STATEMENTS. 135 SELECT
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 DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 17.13 (0.13)@ 1.89 1.76 -- -- -- Year Ended 12/31/03 $ 12.32 (0.11)@ 4.92 4.81 -- -- -- Year Ended 12/31/02 $ 15.89 (0.08) (3.49) (3.57) -- -- -- 11/1/01 Through 12/31/01^ $ 14.37 (0.02) 1.54 1.52 -- -- -- Year Ended 10/31/01 $ 24.65 (0.21) (6.69) (6.90) -- 3.38 3.38 Year Ended 10/31/00 $ 15.98 (0.13)@ 8.80 8.67 -- -- -- MID CAP EQUITY FUND Year Ended 12/31/04 $ 31.18 0.14 5.85 5.99 0.14 3.73 3.87 Year Ended 12/31/03 $ 24.39 0.13 7.71 7.84 0.13 0.92 1.05 Year Ended 12/31/02 $ 29.51 0.13 (4.07) (3.94) 0.13 1.05 1.18 11/1/01 Through 12/31/01^ $ 26.17 0.02 3.43 3.45 0.02 0.09 0.11 Year Ended 10/31/01 $ 37.85 0.12 (5.30) (5.18) 0.12 6.38 6.50 Year Ended 10/31/00 $ 37.55 0.17 9.34 9.51 0.20 9.01 9.21 MID CAP VALUE FUND Year Ended 12/31/04 $ 18.70 0.12@ 3.74 3.86 0.07 0.31 0.38 Year Ended 12/31/03 $ 14.48 0.12@ 4.27 4.39 0.06 0.11 0.17 Year Ended 12/31/02 $ 14.14 0.14@ 0.27 0.41 0.06 0.01 0.07 10/31/01** Through 12/31/01^^ $ 13.48 0.01@ 1.49 1.50 0.09 0.75 0.84
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. SEE NOTES TO FINANCIAL STATEMENTS. 136
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (a) (MILLIONS) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 $ 18.89 10.27% $ 10 Year Ended 12/31/03 $ 17.13 39.04% $ 16 Year Ended 12/31/02 $ 12.32 (22.47%) $ 12 11/1/01 Through 12/31/01^ $ 15.89 10.58% $ 8 Year Ended 10/31/01 $ 14.37 (30.20%) $ --+ Year Ended 10/31/00 $ 24.65 54.26% $ --+ MID CAP EQUITY FUND Year Ended 12/31/04 $ 33.30 19.36% $ 227 Year Ended 12/31/03 $ 31.18 32.29% $ 194 Year Ended 12/31/02 $ 24.39 (13.39%) $ 139 11/1/01 Through 12/31/01^ $ 29.51 13.20% $ 155 Year Ended 10/31/01 $ 26.17 (15.27%) $ 133 Year Ended 10/31/00 $ 37.85 30.94% $ 164 MID CAP VALUE FUND Year Ended 12/31/04 $ 22.18 20.67% $ 485 Year Ended 12/31/03 $ 18.70 30.34% $ 76 Year Ended 12/31/02 $ 14.48 2.90% $ 14 10/31/01** Through 12/31/01^^ $ 14.14 11.18% $ --+ RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) DYNAMIC SMALL CAP FUND Year Ended 12/31/04 1.10% (0.74%) 1.32% (0.96%) 112% Year Ended 12/31/03 1.10% (0.79%) 1.28% (0.97%) 55% Year Ended 12/31/02 1.10% (0.79%) 1.22% (0.91%) 52% 11/1/01 Through 12/31/01^ 1.10% (0.82%) 10.33%!! (10.05%)!! 8% Year Ended 10/31/01 1.12% (0.76%) 12.21%!! (11.86%)!! 57% Year Ended 10/31/00 1.10% (0.59%) 15.48%!! (14.97%)!! 87% MID CAP EQUITY FUND Year Ended 12/31/04 0.90% 0.32% 1.14% 0.08% 102% Year Ended 12/31/03 0.90% 0.48% 1.14% 0.24% 62% Year Ended 12/31/02 0.77% 0.51% 1.14% 0.14% 84% 11/1/01 Through 12/31/01^ 0.60% 0.38% 1.15% (0.17%) 2% Year Ended 10/31/01 0.55% 0.38% 1.15% (0.22%) 55% Year Ended 10/31/00 0.41% 0.52% 1.14% (0.21%) 84% MID CAP VALUE FUND Year Ended 12/31/04 1.00% 0.60% 1.20% 0.41% 41% Year Ended 12/31/03 1.00% 0.74% 1.24% 0.50% 32% Year Ended 12/31/02 1.00% 0.96% 1.71% 0.25% 51% 10/31/01** Through 12/31/01^^ 0.99% 0.58% 3.68%!! (2.11%) 15%
(a) Not annualized for periods less than one year. + Amounts round to less than one million. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. SEE NOTES TO FINANCIAL STATEMENTS. 137 SELECT
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 SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 25.18 (0.05)@ 6.66 6.61 -- 3.83 3.83 Year Ended 12/31/03 $ 18.37 (0.04)@ 6.85 6.81 -- -- -- Year Ended 12/31/02 $ 22.25 (0.04)@ (3.71) (3.75) -- 0.13 0.13 11/1/01 Through 12/31/01^ $ 20.27 (0.01)@ 1.99 1.98 -- -- -- Year Ended 10/31/01 $ 28.52 (0.10) (4.26) (4.36) -- 3.89 3.89 Year Ended 10/31/00 $ 23.10 (0.05)@ 8.12 8.07 -- 2.65 2.65 SMALL CAP GROWTH FUND Year Ended 12/31/04 $ 7.79 (0.06)@ 1.36 1.30 -- -- -- Year Ended 12/31/03 $ 5.56 (0.05)@ 2.28 2.23 -- -- -- Year Ended 12/31/02 $ 9.30 (0.06)@ (3.68) (3.74) -- -- -- 10/31/01** Through 12/31/01^^ $ 7.77 (0.01) 1.54 1.53 -- -- -- TRUST SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 44.39 0.09 9.51 9.60 0.07 10.46 10.53 Year Ended 12/31/03 $ 33.35 0.02 11.70 11.72 0.01 0.67 0.68 Year Ended 12/31/02 $ 40.46 0.04 (6.86) (6.82) 0.03 0.26 0.29 11/1/01 Through 12/31/01^ $ 36.65 0.01 3.81 3.82 0.01 -- 0.01 Year Ended 10/31/01 $ 51.12 0.10 (7.61) (7.51) 0.14 6.82 6.96 Year Ended 10/31/00 $ 47.66 0.08 12.44 12.52 0.08 8.98 9.06
^ The Fund changed its fiscal year end from October 31 to December 31. ^^ The Fund changed its fiscal year end from September 30 to December 31. ** Commencement of offering of class of shares. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 138
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (a) (MILLIONS) SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 27.96 26.81% $ 211 Year Ended 12/31/03 $ 25.18 37.07% $ 636 Year Ended 12/31/02 $ 18.37 (16.87%) $ 502 11/1/01 Through 12/31/01^ $ 22.25 9.77% $ 532 Year Ended 10/31/01 $ 20.27 (16.19%) $ 390 Year Ended 10/31/00 $ 28.52 37.94% $ 383 SMALL CAP GROWTH FUND Year Ended 12/31/04 $ 9.09 16.69%! $ 1 Year Ended 12/31/03 $ 7.79 40.11% $ --+ Year Ended 12/31/02 $ 5.56 (40.22%) $ --+ 10/31/01** Through 12/31/01^^ $ 9.30 19.69% $ --+ TRUST SMALL CAP EQUITY FUND Year Ended 12/31/04 $ 43.46 22.31% $ 904 Year Ended 12/31/03 $ 44.39 35.20% $ 386 Year Ended 12/31/02 $ 33.35 (16.94%) $ 259 11/1/01 Through 12/31/01^ $ 40.46 10.42% $ 317 Year Ended 10/31/01 $ 36.65 (15.47%) $ 299 Year Ended 10/31/00 $ 51.12 30.16% $ 380 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) SMALL CAP EQUITY FUND Year Ended 12/31/04 0.85% (0.17%) 1.11% (0.43%) 44% Year Ended 12/31/03 0.85% (0.22%) 1.12% (0.49%) 38% Year Ended 12/31/02 0.85% (0.22%) 1.09% (0.46%) 51% 11/1/01 Through 12/31/01^ 0.88% (0.31%) 1.10% (0.53%) 6% Year Ended 10/31/01 0.88% (0.30%) 1.12% (0.54%) 47% Year Ended 10/31/00 0.88% (0.20%) 1.13% (0.45%) 75% SMALL CAP GROWTH FUND Year Ended 12/31/04 1.12%* (0.77%) 7.30% (6.95%) 115% Year Ended 12/31/03 1.10% (0.81%) 24.96%!! (24.67%)!! 143% Year Ended 12/31/02 1.10% (0.89%) 24.20%!! (23.99%)!! 76% 10/31/01** Through 12/31/01^^ 1.10% (0.88%) 9.40% (9.18%) 25% TRUST SMALL CAP EQUITY FUND Year Ended 12/31/04 0.64% 0.25% 1.12% (0.23%) 170% Year Ended 12/31/03 0.60% 0.04% 1.10% (0.46%) 48% Year Ended 12/31/02 0.51% 0.10% 1.11% (0.50%) 52% 11/1/01 Through 12/31/01^ 0.40% 0.09% 1.12% (0.63%) 7% Year Ended 10/31/01 0.34% 0.28% 1.13% (0.51%) 50% Year Ended 10/31/00 0.50% 0.19% 1.07% (0.38%) 76%
+ Amount rounds to less than one million. # Short periods have been annualized. !! Due to the size of net assets and fixed expenses, ratios may appear disproportionate. * Includes interest expense for custody overdraft of 0.02%. ! SCGF recognized unrealized gain on investments of approximately $11 (in thousands) related to securities purchases in violation of the Fund's investment restrictions during the year. The effect of such gain resulted in an increase in total return of approximately .2% SEE NOTES TO FINANCIAL STATEMENTS. 139 SELECT
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 US SMALL COMPANY FUND+ Year Ended 12/31/04 $ 13.90 (0.03)@ 1.91 1.88 -- 2.00 2.00 Year Ended 12/31/03 $ 9.97 0.02@ 3.94 3.96 0.03 -- 0.03 Year Ended 12/31/02 $ 12.57 0.03 (2.60) (2.57) 0.03 -- 0.03 6/1/01 Through 12/31/01^ $ 13.43 0.04@ (0.79) (0.75) 0.05 0.06 0.11 Year Ended 5/31/01 $ 14.45 0.05 0.04 0.09 0.03 1.08 1.11 Year Ended 5/31/00 $ 11.49 -- 2.97 2.97 0.01 -- 0.01 U.S. SMALL COMPANY OPPORTUNITIES FUND Year Ended 12/31/04 $ 9.02 (0.09) 1.79 1.70 -- -- -- Year Ended 12/31/03 $ 7.04 (0.13) 2.11 1.98 -- -- -- Year Ended 12/31/02 $ 10.48 (0.09) (3.35) (3.44) -- -- -- 6/1/01 Through 12/31/01^ $ 12.19 (0.04) (1.67) (1.71) -- -- -- Year Ended 5/31/01 $ 15.90 (0.07) (2.29) (2.36) -- 1.35 1.35 Year Ended 5/31/00 $ 12.17 -- 3.73 3.73 -- -- --
+ On September 10, 2001, the class underwent a split of shares. Prior periods have been restated to reflect the split ^ The Fund changed its fiscal year end from May 31 to December 31. @ Calculated based upon average shares outstanding. (a) Not annualized for periods less than one year. SEE NOTES TO FINANCIAL STATEMENTS. 140
PER SHARE OPERATING PERFORMANCE: RATIOS/SUPPLEMENTAL DATA: -------------------------------- ------------------------- NET ASSETS, NET ASSET END OF VALUE, END TOTAL PERIOD OF PERIOD RETURN (a) (MILLIONS) US SMALL COMPANY FUND+ Year Ended 12/31/04 $ 13.78 13.73% $ 119 Year Ended 12/31/03 $ 13.90 39.72% $ 156 Year Ended 12/31/02 $ 9.97 (20.48%) $ 199 6/1/01 Through 12/31/01^ $ 12.57 (5.56%) $ 286 Year Ended 5/31/01 $ 13.43 0.75% $ 296 Year Ended 5/31/00 $ 14.45 25.90% $ 285 U.S. SMALL COMPANY OPPORTUNITIES FUND Year Ended 12/31/04 $ 10.72 18.85% $ 7 Year Ended 12/31/03 $ 9.02 28.13% $ 10 Year Ended 12/31/02 $ 7.04 (32.82%) $ 55 6/1/01 Through 12/31/01^ $ 10.48 (14.03%) $ 195 Year Ended 5/31/01 $ 12.19 (15.51%) $ 339 Year Ended 5/31/00 $ 15.90 30.65% $ 529 RATIOS/SUPPLEMENTAL DATA: --------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # ----------------------------------------------------------------------- NET INVESTMENT NET EXPENSES INCOME (LOSS) INVESTMENT WITHOUT WAIVERS, WITHOUT WAIVERS, PORTFOLIO NET INCOME REIMBURSEMENTS REIMBURSEMENTS TURNOVER EXPENSES (LOSS) AND EARNINGS CREDITS AND EARNINGS CREDITS RATE (a) US SMALL COMPANY FUND+ Year Ended 12/31/04 1.01% (0.18%) 1.15% (0.32%) 129% Year Ended 12/31/03 1.01% 0.15% 1.11% 0.05% 78% Year Ended 12/31/02 1.01% 0.23% 1.10% 0.14% 90% 6/1/01 Through 12/31/01^ 1.01% 0.39% 1.04% 0.36% 48%~ Year Ended 5/31/01 1.01% 0.35% 1.01% 0.35% 110%~ Year Ended 5/31/00 1.00% 0.05% 1.00% 0.05% 104%~ U.S. SMALL COMPANY OPPORTUNITIES FUND Year Ended 12/31/04 1.03%* (0.72%) 3.04% (2.73%) 109% Year Ended 12/31/03 1.02% (0.62%) 1.68% (1.28%) 207% Year Ended 12/31/02 1.02% (0.66%) 1.17% (0.81%) 100% 6/1/01 Through 12/31/01^ 1.02% (0.50%) 1.07% (0.55%) 55% Year Ended 5/31/01 0.99% (0.35%) 0.99% (0.35%) 117% Year Ended 5/31/00 0.99% (0.47%) 0.99% (0.47%) 132%
# Short periods have been annualized. * Includes interest expense for custody overdraft of 0.01%. ~ Prior to September 10, 2001, USSCF invested all of its investable assets in The U.S. Small Company Portfolio ("USSCP"). The portfolio turnover rate disclosed prior to September 10, 2001 is the turnover rate of USSCP. SEE NOTES TO FINANCIAL STATEMENTS. 141 JPMORGAN FUNDS REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM To the Trustees and Shareholders of J.P. Morgan Funds, J.P. Morgan Institutional Funds, J.P. Morgan Mutual Fund Group, J.P. Morgan Mutual Fund Select Group, J.P. Morgan Fleming Mutual Fund Group, Inc., and J.P. Morgan Mutual Fund Investment Trust: 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 Dynamic Small Cap Fund and JPMorgan Small Cap Equity Fund (separate portfolios of J.P. Morgan Mutual Fund Group), JPMorgan Mid Cap Equity Fund and JPMorgan Trust Small Cap Equity Fund (separate portfolios of J.P. Morgan Mutual Fund Select Group), JPMorgan Mid Cap Growth Fund (a separate portfolio of J.P. Morgan Mutual Fund Investment Trust), JPMorgan Mid Cap Value Fund and JPMorgan Small Cap Growth Fund (separate portfolios of J.P. Morgan Fleming Mutual Fund Group, Inc.), JPMorgan U.S. Small Company Fund (a separate portfolio of J.P. Morgan Institutional Funds) and JPMorgan U.S. Small Company Opportunities Fund (a separate portfolio of J.P. Morgan Funds) (hereafter collectively referred to as the "Funds"), at December 31, 2004, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at December 31, 2004 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion. The financial highlights for each of the two years in the period ended September 30, 2000 for JPMorgan Mid Cap Value Fund and JPMorgan Small Cap Growth Fund were audited by other independent auditors whose report dated November 15, 2000 expressed an unqualified opinion on those statements. PricewaterhouseCoopers LLP New York, New York February 22, 2005 142 SPECIAL MEETING OF SHAREHOLDERS (UNAUDITED) A Special Meeting of Shareholders of J.P. Morgan Institutional Funds ("JPMIF") was held on January 20, 2005, and adjourned and reconvened on February 3, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the shareholders of JPMIF approved the election of each Trustee by the following votes:
AFFIRMATIVE NEGATIVE William J. Armstrong 2,570,614,090 22,720,763 Roland E. Eppley, Jr. 2,570,399,817 22,935,037 John F. Finn 2,569,881,278 23,453,575 Dr. Matthew Goldstein 2,570,332,886 23,001,967 Robert J. Higgins 2,569,489,951 23,844,902 Peter C. Marshall 2,569,718,781 23,616,072 Marilyn McCoy 2,569,796,782 23,538,071 William G. Morton, Jr. 2,569,572,614 23,762,240 Robert A. Oden, Jr. 2,569,148,888 24,185,965 Fergus Reid, III 2,570,290,303 23,044,550 Frederick W. Ruebeck 2,569,687,035 23,647,818 James J. Schonbachler 2,570,727,808 22,607,045 Leonard M. Spalding, Jr. 2,570,279,217 23,055,636
To approve proposed Agreement and Plan of Reorganization (each, a "Reorganization Agreement") pursuant to which each of the JPMorgan Funds would be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A majority of the shareholders of the following Fund approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan U.S. Small Company Fund 112,991,496 590,772 3,542,279 16,919,629
143 A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Investment Trust ("JPMMFIT") was held on January 20, 2005, and adjourned and reconvened on February 3, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the shareholders of the JPMMFIT approved the election of each Trustee by the following votes:
AFFIRMATIVE NEGATIVE William J. Armstrong 11,248,428 1,372,878 Roland E. Eppley, Jr. 11,235,653 1,385,652 John F. Finn 11,255,712 1,365,593 Dr. Matthew Goldstein 11,245,604 1,375,701 Robert J. Higgins 11,248,938 1,372,367 Peter C. Marshall 11,256,725 1,364,581 Marilyn McCoy 11,254,126 1,367,180 William G. Morton, Jr. 11,232,157 1,389,148 Robert A. Oden, Jr. 11,259,077 1,362,229 Fergus Reid, III 11,246,607 1,374,698 Frederick W. Ruebeck 11,247,097 1,374,209 James J. Schonbachler 11,252,232 1,369,074 Leonard M. Spalding, Jr. 11,241,447 1,379,858
To approve proposed Agreement and Plan of Reorganization (each, a "Reorganization Agreement") pursuant to which each of the JPMorgan Funds would be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. The following Fund did not approve the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Mid Cap Growth Fund 3,968,849 399,934 376,711 5,117,927
To approve the amendment of certain of the JPMorgan Fund's fundamental investment restrictions on borrowing in order to make them simpler, more flexible and consistent with the borrowing restrictions for the other JPMorgan Funds. A majority of the shareholders of the following Fund did not approve the proposal by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Mid Cap Growth Fund 3,896,238 474,192 375,064 5,117,927
144 A Special Meeting of Shareholders of J.P. Morgan Funds ("JPMF") was held on January 20, 2005, and adjourned and reconvened on February 3, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the shareholders of the JPMF approved the election of each Trustee by the following votes:
AFFIRMATIVE NEGATIVE William J. Armstrong 23,945,137 946,540 Roland E. Eppley, Jr. 23,943,509 948,169 John F. Finn 23,946,044 945,633 Dr. Matthew Goldstein 23,983,122 908,556 Robert J. Higgins 23,942,018 949,660 Peter C. Marshall 23,946,044 945,633 Marilyn McCoy 23,983,749 907,928 William G. Morton, Jr. 23,940,389 951,288 Robert A. Oden, Jr. 23,941,453 950,224 Fergus Reid, III 23,940,546 951,131 Frederick W. Ruebeck 23,984,028 907,649 James J. Schonbachler 23,983,122 908,556 Leonard M. Spalding, Jr. 23,943,509 948,169
To approve proposed Agreement and Plan of Reorganization (each, a "Reorganization Agreement") pursuant to which each of the JPMorgan Funds would be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A majority of the shareholders of the following Fund approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan U.S. Small Company Opportunities Fund 2,429,827 79,874 292,492 782,616
145 To approve or disapprove the Agreement and Plan of Reorganization of JPMorgan U.S. Small Company Opportunities Fund into One Group Small Cap Growth Fund. A majority of the following Fund approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan U.S. Small Company Opportunities Fund 2,427,555 85,419 289,219 782,616
A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Select Group ("JPMMFSG") was held on January 20, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the shareholders of the JPMMFSG approved the election of each Trustee by the following votes:
AFFIRMATIVE NEGATIVE William J. Armstrong 98,827,965 614,396 Roland E. Eppley, Jr. 98,825,116 617,245 John F. Finn 98,840,383 601,979 Dr. Matthew Goldstein 98,834,557 607,805 Robert J. Higgins 98,823,121 619,240 Peter C. Marshall 98,838,263 604,099 Marilyn McCoy 98,830,602 611,759 William G. Morton, Jr. 98,829,638 612,723 Robert A. Oden, Jr. 98,834,513 607,849 Fergus Reid, III 98,810,619 631,743 Frederick W. Ruebeck 98,837,758 604,604 James J. Schonbachler 98,833,998 608,364 Leonard M. Spalding, Jr. 98,816,763 625,599
146 To approve proposed Agreement and Plan of Reorganization (each, a "Reorganization Agreement") pursuant to which each of the JPMorgan Funds would be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A majority of the shareholders of the following Funds approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Mid Cap Equity Fund 5,000,505 55,582 1,675 23,670 JPMorgan Trust Small Cap Equity Fund 5,137,693 24,253 13,983 1,379
To approve the amendment of certain of the JPMorgan Fund's fundamental investment restrictions on borrowing in order to make them simpler, more flexible and consistent with the borrowing restrictions for the other JPMorgan Funds. A majority of the shareholders of the following Funds approved the proposal by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Mid Cap Equity Fund 5,020,401 32,343 5,018 23,670 JPMorgan Trust Small Cap Equity Fund 5,133,044 27,386 15,498 1,379
A Special Meeting of Shareholders of J.P. Morgan Mutual Fund Group ("JPMMFG") was held on January 20, 2005, and adjourned and reconvened on February 3, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the shareholders of the JPMMFG approved the election of each Trustee by the following votes:
AFFIRMATIVE NEGATIVE ABSTAIN William J. Armstrong 128,297,849 3,531,682 261,556 Roland E. Eppley, Jr. 128,420,274 3,409,257 261,556 John F. Finn 128,500,853 3,328,678 261,556 Dr. Matthew Goldstein 128,448,980 3,380,551 261,556 Robert J. Higgins 128,521,979 3,307,551 261,556 Peter C. Marshall 128,497,115 3,331,416 261,556 Marilyn McCoy 128,478,689 3,350,842 261,556 William G. Morton, Jr. 128,470,511 3,359,020 261,556 Robert A. Oden, Jr. 128,476,705 3,352,826 261,556 Fergus Reid, III 128,378,739 3,450,792 261,556 Frederick W. Ruebeck 128,426,489 3,403,042 261,556 James J. Schonbachler 128,537,477 3,292,054 261,556 Leonard M. Spalding, Jr. 128,197,032 3,632,498 261,556
147 To approve proposed Agreement and Plan of Reorganization (each, a "Reorganization Agreement") pursuant to which each of the JPMorgan Funds would be reorganized as a corresponding series of J.P. Morgan )Mutual Fund Series. A majority of the shareholders of the following Funds approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Dynamic Small Cap Fund 4,411,229 111,082 238,808 1,171,221 JPMorgan Small Cap Equity Fund 22,072,156 647,668 413,572 2,479,779
To approve the amendment of certain of the JPMorgan Fund's fundamental investment restrictions on borrowing in order to make them simpler, more flexible and consistent with the borrowing restrictions for the other JPMorgan Funds. A majority of the shareholders of the following Funds approved the proposal by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Dynamic Small Cap Fund 4,366,350 144,850 249,918 1,171,221 JPMorgan Small Cap Equity Fund 21,542,454 1,068,238 522,703 2,479,779
A Special Meeting of Shareholders of J.P. Morgan Fleming Mutual Fund Group, Inc. ("JPMFMFG") was held on January 20, 2005, at 522 Fifth Avenue, New York, New York 10036 for purposes of asking shareholders to consider the following proposals: To elect thirteen (13) Trustees for each JPMorgan Fund. A majority of the shareholders of the JPMFMFG approved the election of each Trustee by the following votes:
AFFIRMATIVE NEGATIVE William J. Armstrong 91,591,207 2,198,671 Roland E. Eppley, Jr. 91,571,886 2,217,991 John F. Finn 91,577,808 2,212,069 Dr. Matthew Goldstein 91,564,609 2,225,269 Robert J. Higgins 91,534,131 2,255,747 Peter C. Marshall 91,559,528 2,230,349 Marilyn McCoy 91,561,973 2,227,905 William G. Morton, Jr. 91,493,143 2,296,735 Robert A. Oden, Jr. 91,561,943 2,227,935 Fergus Reid, III 91,534,898 2,254,979 Frederick W. Ruebeck 91,539,862 2,250,016 James J. Schonbachler 91,591,793 2,198,085 Leonard M. Spalding, Jr. 91,562,839 2,227,038
148 To approve proposed Agreement and Plan of Reorganization (each, a "Reorganization Agreement") pursuant to which each of the JPMorgan Funds would be reorganized as a corresponding series of J.P. Morgan Mutual Fund Series. A majority of the shareholders of the following Fund approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Small Cap Growth Fund 409,819 1,674 3,441 82,492
The following Fund did not approve the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Mid Cap Value Fund 60,653,909 903,479 2,593,611 34,419,905
To approve the amendment of certain of the JPMorgan Fund's fundamental investment restrictions on borrowing in order to make them simpler, more flexible and consistent with the borrowing restrictions for the other JPMorgan Funds. A majority of the shareholders of the following Fund approved the proposal by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Small Cap Growth Fund 408,432 3,060 3,441 82,492
The following Fund did not approve the proposal by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Mid Cap Value Fund 59,026,718 2,547,960 2,576,322 34,419,905
To approve or disapprove the Agreement and Plan of Reorganization of JPMorgan U.S. Small Cap Growth Fund into One Group Small Cap Growth Fund. A majority of the following Fund approved the Agreement and Plan of Reorganization by the following votes:
BROKER FOR AGAINST ABSTAIN NON-VOTES JPMorgan Small Cap Growth Fund 409,819 1,674 3,441 82,492
149 SCHEDULE OF SHAREHOLDER EXPENSES Hypothetical $1,000 Investment at Beginning of Period December 31, 2004 (Unaudited) As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees: and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, May 1, 2004, and continued to hold your shares at the end of the reporting period, October 31, 2004. ACTUAL EXPENSES For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled "Expenses Paid During Period" to estimate the expenses you paid on your account during this period. HYPOTHETICAL EXAMPLE FOR COMPARISON PURPOSES The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class' actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class' actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested. 150
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO DYNAMIC SMALL CAP FUND CLASS A Actual period return $ 1,000 $ 1,050 $ 7.73 1.50% Hypothetical $ 1,000 $ 1,017 $ 7.61 1.50% CLASS B Actual period return $ 1,000 $ 1,046 $ 10.90 2.12% Hypothetical $ 1,000 $ 1,014 $ 10.73 2.12% CLASS C Actual period return $ 1,000 $ 1,046 $ 10.90 2.12% Hypothetical $ 1,000 $ 1,014 $ 10.73 2.12% SELECT Actual period return $ 1,000 $ 1,052 $ 5.67 1.10% Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10% MID CAP EQUITY FUND SELECT Actual period return $ 1,000 $ 1,101 $ 4.75 0.90% Hypothetical $ 1,000 $ 1,020 $ 4.57 0.90% MID CAP GROWTH FUND CLASS A Actual period return $ 1,000 $ 1,075 $ 7.04 1.35% Hypothetical $ 1,000 $ 1,018 $ 6.85 1.35% CLASS B Actual period return $ 1,000 $ 1,072 $ 10.67 2.05% Hypothetical $ 1,000 $ 1,015 $ 10.38 2.05%
151
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO MID CAP VALUE FUND CLASS A Actual period return $ 1,000 $ 1,120 $ 6.66 1.25% Hypothetical $ 1,000 $ 1,019 $ 6.34 1.25% CLASS B Actual period return $ 1,000 $ 1,116 $ 10.11 1.90% Hypothetical $ 1,000 $ 1,015 $ 9.63 1.90% CLASS C Actual period return $ 1,000 $ 1,116 $ 10.11 1.90% Hypothetical $ 1,000 $ 1,015 $ 9.63 1.90% INSTITUTIONAL Actual period return $ 1,000 $ 1,123 $ 4.00 0.75% Hypothetical $ 1,000 $ 1,021 $ 3.81 0.75% SELECT Actual period return $ 1,000 $ 1,122 $ 5.33 1.00% Hypothetical $ 1,000 $ 1,020 $ 5.08 1.00% SMALL CAP EQUITY FUND CLASS A Actual period return $ 1,000 $ 1,147 $ 7.45 1.38% Hypothetical $ 1,000 $ 1,018 $ 7.00 1.38% CLASS B Actual period return $ 1,000 $ 1,142 $ 11.36 2.11% Hypothetical $ 1,000 $ 1,014 $ 10.68 2.11% SELECT Actual period return $ 1,000 $ 1,149 $ 4.59 0.85% Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85%
152
EXPENSES PAID BEGINNING ENDING DURING PERIOD ACCOUNT VALUE, ACCOUNT VALUE, JULY 1 TO ANNUALIZED JULY 1, 2004 DECEMBER 31, 2004 DECEMBER 31, 2004* EXPENSE RATIO SMALL CAP GROWTH FUND CLASS A Actual period return $ 1,000 $ 1,085 $ 8.39 1.60% Hypothetical $ 1,000 $ 1,017 $ 8.11 1.60% INSTITUTIONAL Actual period return $ 1,000 $ 1,089 $ 4.46 0.85% Hypothetical $ 1,000 $ 1,021 $ 4.32 0.85% SELECT Actual period return $ 1,000 $ 1,089 $ 5.78 1.10% Hypothetical $ 1,000 $ 1,019 $ 5.58 1.10% TRUST SMALL CAP EQUITY FUND SELECT Actual period return $ 1,000 $ 1,102 $ 3.38 0.64% Hypothetical $ 1,000 $ 1,022 $ 3.25 0.64% US SMALL COMPANY FUND INSTITUTIONAL Actual period return $ 1,000 $ 1,121 $ 4.43 0.83% Hypothetical $ 1,000 $ 1,021 $ 4.22 0.83% SELECT Actual period return $ 1,000 $ 1,121 $ 5.39 1.01% Hypothetical $ 1,000 $ 1,020 $ 5.13 1.01% US SMALL COMPANY OPPORTUNITIES FUND SELECT Actual period return $ 1,000 $ 1,114 $ 5.42 1.02% Hypothetical $ 1,000 $ 1,020 $ 5.18 1.02%
153 TRUSTEE AND OFFICER INFORMATION (UNAUDITED) The names of the Trustees of the Funds, together with information regarding their year of birth, the year each Trustee became a Board member of the Trusts (whichever was earliest), the year each Trustee first became a Board member of any of the Predecessor Funds (if applicable), principal occupations and other board memberships are shown below. The contact address for each of the Trustees is 522 Fifth Avenue, New York, NY 10036.
NUMBER OF NAME (YEAR OF BIRTH); PORTFOLIOS IN FUND POSITIONS WITH PRINCIPAL OCCUPATIONS COMPLEX OVERSEEN OTHER DIRECTORSHIPS HELD THE FUNDS (SINCE) DURING PAST 5 YEARS BY TRUSTEE(1) OUTSIDE FUND COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES William J. Armstrong Retired; Vice President & Treasurer of Ingersoll- 110 None. (1941); Trustee of Trusts Rand Company (manufacturer of industrial equipment) since 1997; Trustee of (1972-2000). Predecessor Funds since 1987. Roland R. Eppley, Jr. Retired; President & Chief Executive Officer, 110 Director, Janel Hydro, Inc. (1932); Trustee of Trusts Eastern States Bankcard (1971-1988). (automotive)(1993-present). since 1997; Trustee of Predecessor Funds since 1989. John F. Finn President and Chief Executive Officer of Gardner, 110 Director, Cardinal Health, (1947); Trustee of Trusts Inc. (wholesale distributor to outdoor power Inc (CAH) (1994-present). since 2005. equipment industry) (1979-present). Dr. Matthew Goldstein Chancellor of the City University of New York 110 Trustee of Bronx-Lebanon (1941); Trustee of Trusts (1999-present); President, Adelphi University Hospital Center since 2003; Trustee of (New York) (1998-1999). (1992-present); Director of Predecessor Funds since New Plan Excel Realty Trust, 2003. Inc. (real estate investment trust) (2000-present); Director of Lincoln Center Institute for the Artsin Education (1999-present). Robert J. Higgins (1945); Retired; Director of Administration of the State 110 Director of Providian Trustee of Trusts since of Rhode Island (2003-2004); President - Financial Corp. (banking) 2002; Trustee of Consumer Banking and Investment Services, (2002-present). Predecessor Funds since Fleet Boston Financial (1971-2001). 2002. Peter C. Marshall Self-employed business consultant (2002-present); 110 None. (1942); Trustee of Trusts Senior Vice President, W.D. Hoard, Inc. since 2005. (corporate parent of DCI Marketing, Inc.) (2000-2002); President, DCI Marketing, Inc. (1992-2000). Marilyn McCoy Vice President of Administration and Planning, 110 Director, Mather LifeWays (1948); Trustee of Trusts Northwestern University (1985-present). (1994-present); Director, since 2005. Carleton College (2003-present). William G. Morton, Jr. Retired; Chairman Emeritus (2001-2002), and 110 Director of Radio Shack (1937); Trustee of Trusts Chairman and Chief Executive Officer, Boston Corporation (electronics) since 2003; Trustee of Stock Exchange (1985- 2001). (1987-present); Director of Predecessor Funds since The National Football 2003. 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).
154
NUMBER OF NAME (YEAR OF BIRTH); PORTFOLIOS IN FUND POSITIONS WITH PRINCIPAL OCCUPATIONS COMPLEX OVERSEEN OTHER DIRECTORSHIPS HELD THE FUNDS (SINCE) DURING PAST 5 YEARS BY TRUSTEE(1) OUTSIDE FUND COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ INDEPENDENT TRUSTEES (CONTINUED) Robert A. Oden, Jr. President, Carleton College (2002-present); 110 Director, American University (1946); Trustee of Trusts President, Kenyon College (1995-2002). in Cairo. since 2005. Fergus Reid, III Chairman of Lumelite Corporation (plastics 110 Trustee of Morgan Stanley (1932); Trustee of Trusts manufacturing) (2003-present); Chairman and Funds (209 portfolios) (Chairman) since 1997; CEO of Lumelite Corporation (1985-2002). (1995-present). Trustee (Chairman) of Predecessor Funds since 1987. Frederick W. Ruebeck Advisor, Jerome P. Green & Associates, LLC 110 Director, AMS Group (1939); Trustee of Trusts (broker-dealer) (2002-present); Endowment (2001-present); Director, since 2005. Fund Manager, Wabash College (2004-present); Wabash College self-employed consultant (January 2000 to (1988-present); Trustee, present); Director of Investments, Eli Lilly and Seabury-Western Theology Company (1988-1999). Seminary (1993-present); Director, Indianapolis Symphony Foundation (1994-present). James J. Schonbachler Retired; Managing Director of Bankers Trust 110 None. (1943); Trustee of Trusts Company (financial services) (1968-1998). since 2001; Trustee of Predecessor Funds since 2001. INTERESTED TRUSTEE Leonard M. Spalding, Jr.* Retired; Chief Executive Officer of Chase Mutual 110 None. (1935); Trustee of Trusts Funds (investment company) (1989-1998); since 1998; Trustee of President & Chief Executive Officer of Vista Predecessor Funds since Capital Management (investment management) 1998. (1990-1998); Chief Investment Executive of Chase Manhattan Private Bank (investment management) (1990-1998).
(1) A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The JPMorgan Funds Complex for which the Board of Trustees includes seven registered investment companies (110 portfolios) as of February 19, 2005. * Mr. Spalding is deemed to be an "interested person" due to his ownership of JPMorgan Chase stock. 155 The Funds' executive officers (listed below) are generally employees of the Adviser or one of its affiliates. The officers conduct and supervise the business operations of the Funds. The officers hold office until a successor has been elected and duly qualified. The Funds have no employees. The names of the officers of the Funds, together with their year of birth, information regarding their positions held with the Funds and principal occupations are shown below. The contact address for each of the officers, unless otherwise noted, is 522 Fifth Avenue, New York, NY 10036.
NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUNDS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------- George C.W. Gatch Managing Director, JPMIM, CEO and President of the J.P. Morgan and (1962), President (2001) One Group Funds. An employee since 1986, Mr. Gatch leads the firm's U.S. mutual fund and financial intermediary business. He was previously president and CEO of DKB Morgan, a Japanese mutual fund company, which was a joint venture between J.P. Morgan and Dai-Ichi Kangyo Bank. Prior to working in Japan, Mr. Gatch established JPMIM's sub-advisory and institutional mutual funds business. He has also held numerous positions throughout the firm in business management, marketing, and sales. Robert L. Young Chief Operating Officer, JPMorgan Funds (August 2004 to present) (1963), Senior Vice and One Group Mutual Funds from November 2001 until present. From President (2004)** October 1999 to present, Vice President and Treasurer, One Group Administrative Services, Inc., and Vice President and Treasurer, One Group Dealer Services, Inc. Patricia A. Maleski Vice President, JPMIM; previously, Treasurer, JPMorgan Funds and (1960), Vice President Head of Funds Administration and Board Liaison. Prior to joining and Chief Administrative J.P. Morgan Chase & Co. in 2001, Ms. Maleski was the Vice Officer (2004) President of Finance for the Pierpont Group, Inc., a service provider to the Board of Directors/Trustees of the JPMorgan Funds. Stephanie J. Dorsey Director of Mutual Fund Administration, One Group Administrative (1969), Treasurer Services, since 2004; Ms. Dorsey worked for Bank One Corporation (2004)** (now known as JP Morgan Chase & Co.) from 2003 to 2004; prior to joining Bank One Corporation, she was a Senior Manager specializing in Financial Services audits at PricewaterhouseCoopers LLP from 1992 through 2002. Stephen M. Benham Vice President and Assistant General Counsel, JPMIM since 2004; (1959), Secretary (2005) Vice President (Legal Advisory) of Merrill Lynch Investment Managers, L.P. from 2000 to 2004; attorney associated with Kirkpatrick & Lockhart LLP from 1997 to 2000. Elizabeth A. Davin From 2004 to present, Senior Counsel, JPMorgan Chase & Co.; (1964), Assistant Assistant General Counsel and Associate General Counsel and Vice Secretary (2004)** President, Gartmore Global Investments, Inc. from 1999 to 2004. Jessica K. Ditullio Various attorney positions for Bank One Corporation (now known as (1962), Assistant JP Morgan Chase & Co.) since 1990. Secretary (2004)** Nancy E. Fields From October 1999 to present, Director, Mutual Fund (1949), Assistant Administration, One Group Administrative Services, Inc. and Senior Secretary (2004)** Project Manager, Mutual Funds, One Group Dealer Services, Inc. From July 1999 to October 1999, Project Manager, One Group, Banc One Investment Advisors Corporation. Avery P. Maher Vice President and Assistant General Counsel, JPMIM since 2004; (1945), Assistant Second Vice President and Assistant Secretary of John Hancock Secretary (2004) Advisers, LLC, from 1992 to 2004. Alaina V. Metz (1967), Vice President, BISYS Fund Services, Inc. since 1995. Assistant Secretary (2001)* Suzanne E. Cioffi Vice President, JPMIM, responsible for mutual fund financial (1967), Assistant reporting. During the past five years, Ms. Cioffi has overseen Treasurer (2005) various fund accounting, custody and administration conversion projects for JPMIM. Christopher D. Walsh Vice President, JPMIM; Mr. Walsh manages all aspects of (1965), Assistant institutional and retail mutual fund administration and vendor Treasurer (2004) relationships within the mutual funds, commingled/ERISA funds, 3(c)(7) funds, hedge funds and LLC products. Prior to joining JPMorgan in 2000, he was a director from 1996 to 2000 of Mutual Fund Administration at Prudential Investments.
156
NAME (YEAR OF BIRTH), POSITIONS HELD WITH THE FUNDS (SINCE) PRINCIPAL OCCUPATIONS DURING PAST 5 YEARS - ----------------------------------------------------------------------------------------------------- Stephen M. Ungerman Vice President, JPMIM; previously, head of Fund Administration - (1953), Chief Compliance Pooled Vehicles. Prior to joining J.P. Morgan Chase & Co. in 2000, Officer (2004) he held a number of positions in Prudential Financial's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department. Mr. Ungerman was also the Assistant Treasurer for all mutual funds managed by Prudential.
* The contact address for the officer is 3435 Stelzer Road, Columbus, OH 43219. ** The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43271. Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-480-4111. 157 TAX LETTER (UNAUDITED) JPMORGAN DYNAMIC SMALL CAP FUND ("DSCF") JPMORGAN MID CAP EQUITY FUND ("MCEF") JPMORGAN MID CAP GROWTH FUND ("MCGF") JPMORGAN MID CAP VALUE FUND ("MCVF") JPMORGAN SMALL CAP EQUITY FUND ("SCEF") JPMORGAN SMALL CAP GROWTH FUND ("SCGF") JPMORGAN TRUST SMALL CAP EQUITY FUND ("TSCEF") JPMORGAN U.S. SMALL COMPANY FUND ("USSCF") JPMORGAN U.S. SMALL COMPANY OPPORTUNITIES FUND ("USSCOF") Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended December 31, 2004. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2004. The information necessary to complete your income tax returns for the calendar year ending December 31, 2004 will be received under separate cover. The following represents the percentage of ordinary income distributions eligible for dividends received deduction and the dollar amount of long-term capital gains distributed by the Funds for the fiscal year ended December 31, 2004:
DIVIDENDS LONG-TERM RECEIVED CAPITAL GAINS DEDUCTION DISTRIBUTION FUND MCEF 30.17% $ 17,731,072 MCVF 50.16% 10,065,836 SCEF 14.48% 106,811,935 TSCEF 17.59% 75,838,588 USSCF 0.00% 28,243,761
For the fiscal year ended December 31, 2004, certain dividends paid by the Fund may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2004. The Fund intends to designate the maximum amount allowable as taxed at a maximum rate of 15%. Complete information will be reported in conjunction with your 2004 Form 1099-DIV. For the fiscal year ended December 31, 2004, the following represents the percentage of ordinary income distributions treated as qualified dividends:
PERCENTAGE OF DISTRIBUTIONS FUND MCEF 29.21% MCVF 44.16% SCEF 65.07% TSCEF 10.81%
158 THIS PAGE IS INTENTIONALLY LEFT BLANK THIS PAGE IS INTENTIONALLY LEFT BLANK JPMorgan Funds are distributed by JPMorgan Distribution Services, Inc. Affiliates of JPMorgan Chase & Co. receive fees for providing various 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. CONTACT JPMORGAN FUNDS DISTRIBUTION SERVICES AT 1-800-480-4111 FOR A FUND PROSPECTUS. YOU CAN ALSO VISIT US AT www.jpmorganfunds.com. INVESTORS SHOULD CAREFULLY CONSIDER THE INVESTMENT OBJECTIVES AND RISK AS WELL AS CHARGES AND EXPENSES OF THE MUTUAL FUND BEFORE INVESTING. THE PROSPECTUS CONTAINS THIS AND OTHER INFORMATION ABOUT THE MUTUAL FUND. READ THE PROSPECTUS CAREFULLY BEFORE INVESTING. No sooner than 30 days after the end of each month, the Fund will make available upon request a complete uncertified schedule of its portfolio holdings as of the last day of that month. Not later than 60 days after the end of each fiscal quarter, the Fund will make available a complete schedule of its portfolio holdings as of the last day of that quarter, as filed in a certified filing with the SEC. In addition to providing hard copies upon request, the Fund will post these quarterly schedules on the Fund's website at www.jpmorganfunds.com and on the SEC's website at www.sec.gov. Shareholders may request portfolio holdings schedules at no charge by calling 1-800-480-4111. A description of the Fund's policies and procedures with respect to the disclosure of the Fund's portfolio holdings is available in the Statement of Additional Information. A copy of proxy policies and procedures are available without charge upon request by calling 1-800-480-4111 and on the Commission's website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Fund to JPMIM. A copy of the Fund's voting record for the 12-month period ended June 30, 2004 is available on the SEC's website at www.sec.gov or at the Fund's website at www.jpmorgan.com. The Fund's proxy voting record will include, among other things, a brief description of the matter voted on for each portfolio security, and will state how each vote was cast, for example, for or against the proposal. JPMorgan Funds Fulfillment Center PRSRT STD 6112 W. 73rd Street U.S. POSTAGE Bedford Park, IL 60638 PAID PERMIT 2891 KANSAS CITY, MO (C) J.P. Morgan Chase & Co., 2005 AN-SMC-1204 All rights reserved. February 2005. ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE TO ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-480-4111. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF TRUSTEES HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)). THE AUDIT COMMITTEE FINANCIAL EXPERT IS WILLIAM ARMSTRONG. HE IS A "NON-INTERESTED" TRUSTEE AND IS ALSO "INDEPENDENT" AS DEFINED BY THE SECURITIES AND EXCHANGE COMMISSION FOR PURPOSES OF AUDIT COMMITTEE FINANCIAL EXPERT DETERMINATIONS. (3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert. NOT APPLICABLE ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES. (a) AUDIT FEES. The aggregate fees billed for each of the last two fiscal years (the "Reporting Periods") for professional services rendered by the Registrant's principal accountant (the "Auditor") for the audit of the Registrant's annual financial statements, or services that are normally provided by the Auditor in connection with the statutory and regulatory filings or engagements for the Reporting Periods, were $43,532 in 2003 and $43,700 in 2004. (b) AUDIT-RELATED FEES. There were no audit-related fees billed to the Registrant during the Reporting Periods. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliates, which required pre-approval by the Audit Committee were, $8,277,000 from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by the Auditor were not required to be pre-approved) and $9,397,000 in 2004. 2 (c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were $8,200 in 2003 and $8,400 in 2004. These services consisted of review or preparation of U.S. federal, state, local and excise tax returns. There were no fees billed for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee for the period May 6, 2003 through December 31, 2003 or in 2004. (d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for products and services provided by the Auditor to the Registrant, or services provided to Service Affiliates which were required to be pre-approved on or after May 6, 2003 until December 31, 2003, or in 2004, other than the services reported above. (e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to pre-approving any services to be provided by the Auditor to the Registrant, the Audit Committee considers and approves any non-audit services to be provided to the Service Affiliates by the Auditor (if the engagement relates directly to the operations and financial reporting of the Registrant) and the fees to be charged for such non-audit services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. The Chairman of the Audit Committee has been given the authority to pre-approve permissible non-audit services. (g) NON-AUDIT FEES. The aggregate non-audit fees billed by the Auditor for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were $28.3 million in 2003 and $25.3 million in 2004. (h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the Auditor's independence. All services provided by the Auditor to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. NOT APPLICABLE. ITEM 6. SCHEDULE OF INVESTMENTS. File Schedule I - Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form. INCLUDED IN ITEM 1. ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE. 3 ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. NOT APPLICABLE. ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 11. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S SECOND FISCAL QUARTER OF THE PERIOD COVERED BY THIS REPORT THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 12. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - SEE ITEM 2 ABOVE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2). 4 CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO. 5 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 Funds -------------------------------------------------------------------- By (Signature and Title)* /s/ Stephanie J. Dorsey ------------------------------------------------------ Stephanie J. Dorsey, Treasurer Date March 9, 2005 -------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Stephanie J. Dorsey ------------------------------------------------------ Stephanie J. Dorsey, Treasurer Date March 9, 2005 -------------------------------------------------------------------------- By (Signature and Title)* /s/ George C.W. Gatch ------------------------------------------------------ George C.W. Gatch, President Date March 9, 2005 -------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. - -------------------------------------------------------------------------------- 6 EX-99.CERT 2 a2152808zex-99_cert.txt EX 99.CERT Exhibit 99.CERT CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan U.S. Small Company Opportunities Fund (the "Fund"), a series of J.P. Morgan Funds (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Fund as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Fund 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 Fund, 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 Fund's 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Fund's 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 Fund's internal control over financial reporting. /s/ George C.W. Gatch - ----------------------- George C.W. Gatch President March 9, 2005 - ----------------------- Date CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 I, Stephanie J. Dorsey, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan U.S. Small Company Opportunities Fund (the "Fund"), a series of J.P. Morgan Funds (the "Registrant"); 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements, and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Fund as of, and for, the periods presented in this report; 4. The Registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Fund 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 Fund, 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 Fund's 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 second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Registrant's other certifying officer(s) and I have disclosed to the Registrant's auditors and the audit committee of the Registrant's board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Fund's 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 Fund's internal control over financial reporting. /s/ Stephanie J. Dorsey - ----------------------- Stephanie J. Dorsey Treasurer March 9, 2005 - ----------------------- Date EX-99.906CERT 3 a2152808zex-99_906cert.txt EX 99.906CERT Exhibit 99.906CERT CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan U.S. Small Company Opportunities Fund (the "Fund"), a series of J.P. Morgan Funds. I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Fund. /s/ George C.W. Gatch - ---------------------- George C.W. Gatch President March 9, 2005 - ---------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. CERTIFICATION PURSUANT TO RULE 30a-2(b) UNDER THE INVESTMENT COMPANY ACT OF 1940 This certification is provided pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, and accompanies the report on Form N-CSR furnished to the Securities and Exchange Commission on the date hereof of the JPMorgan U.S. Small Company Opportunities Fund (the "Fund"), a series of J.P. Morgan Funds. I, Stephanie J. Dorsey, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934, as applicable; and 2. The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of the operations of the Fund. /s/ Stephanie J. Dorsey - ----------------------- Stephanie J. Dorsey Treasurer March 9, 2005 - ---------------------- Date This certificate is furnished pursuant to the requirements of Form N-CSR and shall not be deemed "filed" for purposes of Section 18 of the Securities Exchange Act of 1934, or otherwise subject to the liability of that section, and shall not be deemed to be incorporated by reference into any filing under the Securities Act of 1933 or the Securities Exchange Act of 1934. -----END PRIVACY-ENHANCED MESSAGE-----