-----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, NndeHdUoUcMg6fm2/T+TVKFbnm4oVeIR/HBe6ExkHqyoAyKMlShzou6vpGqUup4R xc5mmopRYmKX78ADaDghDA== 0001047469-04-006972.txt : 20040308 0001047469-04-006972.hdr.sgml : 20040308 20040308171028 ACCESSION NUMBER: 0001047469-04-006972 CONFORMED SUBMISSION TYPE: N-CSR PUBLIC DOCUMENT COUNT: 3 CONFORMED PERIOD OF REPORT: 20031231 FILED AS OF DATE: 20040308 EFFECTIVENESS DATE: 20040308 FILER: COMPANY DATA: COMPANY CONFORMED NAME: JP MORGAN MUTUAL FUND SERIES CENTRAL INDEX KEY: 0001217286 IRS NUMBER: 331043149 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-CSR SEC ACT: 1940 Act SEC FILE NUMBER: 811-21295 FILM NUMBER: 04655353 BUSINESS ADDRESS: STREET 1: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 MAIL ADDRESS: STREET 1: 522 FIFTH AVENUE CITY: NEW YORK STATE: NY ZIP: 10036 N-CSR 1 a2129983zn-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 811-21295 --------------------------------------------- J.P. Morgan Mutual Fund Series - ------------------------------------------------------------------------------- (Exact name of registrant as specified in charter) 522 Fifth Avenue, New York, NY 10036 - ------------------------------------------------------------------------------- (Address of principal executive offices) (Zip code) BISYS Fund Services, 3435 Stelzer Road, Columbus, OH 43219 - ------------------------------------------------------------------------------- (Name and address of agent for service) Registrant's telephone number, including area code: 1-800-348-4782 ---------------------------- Date of fiscal year end: December 31, 2003 ------------------------------------------------------- Date of reporting period: February 28, 2003 through December 31, 2003 ------------------------------------------------------ Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles. A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507. ITEM 1. REPORTS TO STOCKHOLDERS. Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1). ANNUAL REPORT DECEMBER 31, 2003 JPMORGAN FUNDS [GRAPHIC] INTREPID FUNDS INTREPID ALL CAP FUND INTREPID GROWTH FUND INTREPID INVESTOR FUND INTREPID VALUE FUND [JPMORGAN FLEMING ASSET MANAGEMENT LOGO] CONTENTS President's Letter 1 Fund Information: Intrepid All Cap Fund 3 Intrepid Growth Fund 6 Intrepid Investor Fund 9 Intrepid Value Fund 12 Portfolio of Investments 15 Financial Statements 34 Notes to Financial Statements 39 Financial Highlights 46
HIGHLIGHTS - - Military action and revival in corporate profits drive market recovery - - Economic growth surprisingly strong - - Technology stocks and small caps outperform - - Positive backdrop for equities Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund's share price is lower than when you invested. Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on current market conditions and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund. Prospective investors should refer to the Fund's prospectus for a discussion of the Fund's investment objective, strategies and risks. Call JPMorgan Funds Service Center at (800) 348-4782 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing. JPMORGAN FUNDS ARE DISTRIBUTED BY J.P. MORGAN FUND DISTRIBUTORS, INC. JPMORGAN INTREPID FUNDS PRESIDENT'S LETTER FEBRUARY 17, 2004 DEAR SHAREHOLDER: We are pleased to present this annual report for the JPMorgan Intrepid Funds. Inside, you will find information detailing the performance of the Funds for the period ended December 31, 2003, along with reports from the Portfolio Managers. PROFIT INCREASES END THREE-YEAR BEAR MARKET While the market declined throughout most of the first quarter of 2003 due to geo-political and economic uncertainty, by mid-March it began a rally that would continue until the end of the year. The rally began as coalition forces prepared to take military action in Iraq and acquired momentum in the following months. Utterances by the U.S. Federal Reserve confirming its determination to avoid deflation and to nurture growth (leading ultimately to a 1/4-point rate cut in late June) fuelled the rally. In addition, Congress approved the Bush Administration's $350 billion package of tax cuts in an attempt to boost consumer demand. By the fourth-quarter, there was a clear trend of recovering economic growth, with third-quarter GDP growth reported at a surprisingly buoyant 7.2%. Better-than-expected corporate profits, low interest rates, and positive economic data -- including evidence of manufacturing growth and business spending all helped to sustain the rally. DIVERGENT PERFORMANCES The market's rise was far from uniform, however. While the broad-based S&P 500 Index rose 28.7% during the year, the greatest gains were among the technology and small cap stocks that surged on a wave of market liquidity. The technology-laden NASDAQ climbed 50.8% and the Russell 2000 Index of small stocks 47.3%. What the indices do not show is that the biggest increases of all were among low quality, non-earning stocks that investors had chosen not to own in the bear market. For fund managers, 2003 was a year when great gains were made for investors, although it was sometimes difficult to outperform benchmark indices. Fund managers prefer to invest in higher quality stocks, with sustainable earnings growth, which tend to outperform over time. OUTLOOK As we enter 2004, investors who stayed invested through the trough of the bear market have good reason to feel vindicated. The question now is whether equities will continue their upward path. Our view is that they will, although we do not anticipate gains of the same magnitude as 2003. From an economic perspective, there is a hint of a "Goldilocks" economy (not too hot, not too cold, but just right), with a healthy combination of strong earnings growth and low inflation. Furthermore, election years have historically seen substantial increases in equity prices, with small company stocks outperforming. In this case, 2003's enormous fiscal and monetary stimuli have primed the economy. 1 JPMORGAN FUND UPDATE The Board of Trustees has approved that effective April 30, 2004, JPMorgan Intrepid All Cap Fund's name will be changed to the JPMorgan Intrepid America Fund, and its investment strategy will be modified. Under normal market conditions, the Fund will invest at least 80% of its assets in equity investments of large- and mid-capitalization U.S. companies. The Fund will continue to be able to invest a significant portion of its assets in companies of a particular market capitalization category, when the adviser believes such companies offer attractive opportunities. The Fund generally defines large-capitalization companies as those with market capitalizations over $10 billion, at the time of purchase, and mid-capitalization companies as those with market capitalizations between $1 billion and $10 billion, at the time of purchase. Market capitalization is the total market value of a company's shares. Additionally, the Fund's benchmark will be changed to the Russell 1000 Index because it more accurately reflects the manner in which the Fund invests. You will receive a new prospectus that shows these changes. Please read it carefully. IMPORTANT MERGER NEWS As you may know, JPMorgan Chase and Bank One have agreed to combine forces by mid-2004, subject to approval of the Firms' shareholders and certain regulatory agencies. The merger is compelling both strategically and financially. It will create a new institution with a more balanced business mix between wholesale and retail, leading to greater earnings consistency. The new JPMorgan Chase will have top-tier positions in both wholesale and retail financial services, an extensive client base and greater scale. We will have an extraordinarily talented team that shares common values and a strong client orientation. All of us at JPMorgan Fleming Asset Management would like to thank you for your investment. Should you have any questions, please contact the JPMorgan Funds Service Center at 1-800-348-4782. Sincerely, /s/ George C.W. Gatch George C.W. Gatch President JPMorgan Funds 2 INTREPID ALL CAP FUND As of December 31, 2003 Q: HOW DID THE FUND PERFORM? A: The JPMorgan Intrepid All Cap Fund, which seeks to provide long term capital growth from a broadly diversified portfolio of equity securities, returned 40.84% since inception on February 28, 2003 through December 31, 2003. This compares with a gain of 36.59% of the Russell 3000 Index, the fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: Amidst a backdrop of a quick end to formal war activity in Iraq, better-than-expected earnings results, substantial government tax cuts and evidence of a strong recovery, 2003 turned out to be an extraordinarily strong year for equity returns. Given this supportive backdrop, the majority of the portfolio's holdings had positive returns for the year. All of the primary factors utilized in the management of the fund (price momentum, earnings momentum and value) outperformed over the period. The further expansion of the U.S. economy and continued benefits from corporate cost cutting and increased productivity that led to earnings growth earlier in the year proved to be a catalyst for continued optimism in the financial markets during the year. This, coupled with an increase in corporate spending and a view that low inventories will lead to restocking, were key drivers behind the momentum in the markets and were key catalysts for the out performance of our momentum factors. Investors, however, seemingly learned from the recent past and still sought traditional value stocks, which are captured in our value factor. The excess performance over the period was driven by stock selection, particularly in the consumer discretionary and health care sectors. Q: HOW WAS THE FUND MANAGED? A: The JPMorgan Intrepid All Cap fund seeks to capitalize upon enduring market anomalies that are driven by persistent irrational investor behavior. This objective is met through a disciplined portfolio construction process that focuses on the fund's exposure to three primary factors (price momentum, earnings momentum and P/E), which the portfolio manager believes best capture the investor driven market anomalies. The fund employs a barbell strategy, holding good "value" stocks with reasonable momentum and very strong momentum stocks relative to the fund's benchmark. (UNAUDITED) 3 JPMORGAN INTREPID ALL CAP FUND As of December 31, 2003 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Finance & Insurance 31.1% Consumer Goods & Services 20.6% Industrial Products & Services 11.5% Technology 10.2% Health Services & Systems 8.4% Energy 4.5% Pharmaceuticals 3.8% Telecommunications 3.8% Utilities 3.1% Short-Term Investments 3.0%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. CITIGROUP, INC. (3.8%) 2. INTEL CORP. (3.7%) 3. BANK OF AMERICA CORP. (2.0%) 4. WACHOVIA CORP. (1.9%) 5. U.S. BANCORP (1.9%) 6. MERRILL LYNCH & CO., INC. (1.8%) 7. ALTRIA GROUP, INC. (1.8%) 8. FLEETBOSTON FINANCIAL CORP. (1.8%) 9. LOWE'S COMPANIES, INC. (1.7%) 10. DELL, INC. (1.7%)
TOP 10 EQUITY HOLDINGS COMPRISED 22.1% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($2,315,520). AS OF DECEMBER 31, 2003, THE FUND HELD 101 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (2/28/03) - -------------------------------------------------- Select Shares 40.84%
Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 4 [CHART] LIFE OF FUND PERFORMANCE (2/28/03 TO 12/31/03)
JPMORGAN INTREPID ALL CAP FUND (SELECT SHARES) RUSSELL 3000 INDEX LIPPER MULTI-CAP CORE FUNDS INDEX 2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000 3/31/2003 $ 1,011,300 $ 1,010,500 $ 1,003,200 4/30/2003 $ 1,069,349 $ 1,093,058 $ 1,081,249 5/31/2003 $ 1,140,674 $ 1,159,079 $ 1,154,341 6/30/2003 $ 1,176,035 $ 1,174,726 $ 1,171,541 7/31/2003 $ 1,189,324 $ 1,201,627 $ 1,194,152 8/31/2003 $ 1,223,934 $ 1,228,303 $ 1,230,812 9/30/2003 $ 1,225,280 $ 1,214,915 $ 1,214,442 10/31/2003 $ 1,319,259 $ 1,288,417 $ 1,286,823 11/30/2003 $ 1,352,636 $ 1,306,197 $ 1,306,898 12/31/2003 $ 1,408,422 $ 1,365,891 $ 1,359,043
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 02/28/03. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Intrepid All-Cap Fund, Russell 3000 Index, and Lipper Multi-Cap Core Funds Index from February 28, 2003 to December 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 3000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 3000 of the largest U.S. companies based on total market capitalization. The Lipper Multi-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. Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 5 INTREPID GROWTH FUND As of December 31, 2003 Q: HOW DID THE FUND PERFORM? A: The JPMorgan Intrepid Growth Fund, which seeks to provide long term capital growth from a broadly diversified portfolio of equity securities, returned 36.10% since inception on February 28, 2003 through December 31, 2003. This compares with a gain of 33.60% of the Russell 1000 Growth Index, the fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: Amidst a backdrop of a quick end to formal war activity in Iraq, better-than-expected earnings results, substantial government tax cuts and evidence of a strong recovery, 2003 turned out to be an extraordinarily strong year for equity returns. Given this supportive backdrop, the majority of the portfolio's holdings had positive returns for the year. All of the primary factors utilized in the management of the fund performed well over the period. The further expansion of the U.S. economy and continued benefits from corporate cost cutting and increased productivity that led to earnings growth earlier in the year proved to be a catalyst for continued optimism in the financial markets during the year. This, coupled with an increase in corporate spending and a view that low inventories will lead to restocking, were key drivers behind the momentum in the markets and were key catalysts for the out performance of our momentum factors. Investors, however, seemingly learned from the recent past and still sought traditional value stocks, which are captured in our value factor. The excess performance over the period was driven by stock selection, particularly in the health care and information technology sectors. Q: HOW WAS THE FUND MANAGED? A: The JPMorgan Intrepid Growth Fund seeks to capitalize upon enduring market anomalies that are driven by persistent irrational investor behavior. This objective is met through a disciplined portfolio construction process that focuses on the fund's exposure to three primary factors (price momentum, earnings momentum and P/E), which the portfolio manager believes best capture the investor driven market anomalies. The construction methodology used results in a portfolio that has a momentum bias relative to the fund's benchmark, the Russell 1000 Growth Index. (UNAUDITED) 6 JPMORGAN INTREPID GROWTH FUND As of December 31, 2003 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Technology 29.2% Consumer Goods & Services 21.4% Finance & Insurance 14.1% Pharmaceuticals 12.4% Industrial Products & Services 10.4% Health Services & Systems 9.0% Telecommunications 2.3% Energy 0.5% Short-Term Investments 0.3% REITs 0.2% Utilities 0.2%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. PFIZER, INC. (6.1%) 2. INTEL CORP. (5.3%) 3. CISCO SYSTEMS, INC. (3.9%) 4. AMGEN, INC. (2.6%) 5. HOME DEPOT, INC. (2.5%) 6. 3M CO. (2.1%) 7. TEXAS INSTRUMENTS, INC. (1.9%) 8. APPLIED MATERIALS, INC. (1.8%) 9. UNITEDHEALTH GROUP, INC. (1.7%) 10. LOWE'S COMPANIES, INC. (1.7%)
TOP 10 EQUITY HOLDINGS COMPRISED 29.6% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($2,067,673). AS OF DECEMBER 31, 2003, THE FUND HELD 147 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (2/28/03) - --------------------------------------------------------------------- Select Shares 36.10%
Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 7 [CHART] LIFE OF FUND PERFORMANCE (2/28/03 TO 12/31/03)
JPMORGAN INTREPID GROWTH FUND (SELECT SHARES) RUSSELL 1000 GROWTH INDEX LIPPER LARGE-CAP VALUE FUNDS INDEX 2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000 3/31/2003 $ 1,014,000 $ 1,018,600 $ 999,400 4/30/2003 $ 1,069,364 $ 1,093,875 $ 1,083,749 5/31/2003 $ 1,134,061 $ 1,148,459 $ 1,150,508 6/30/2003 $ 1,142,113 $ 1,164,308 $ 1,163,624 7/31/2003 $ 1,174,092 $ 1,193,299 $ 1,179,798 8/31/2003 $ 1,226,104 $ 1,223,012 $ 1,199,737 9/30/2003 $ 1,212,127 $ 1,209,926 $ 1,186,300 10/31/2003 $ 1,312,854 $ 1,277,924 $ 1,251,784 11/30/2003 $ 1,342,131 $ 1,291,342 $ 1,267,181 12/31/2003 $ 1,361,015 $ 1,336,022 $ 1,344,859
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 02/28/03. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Intrepid Growth Fund, Russell 1000 Growth Index, and Lipper Large-Cap Value Funds Index from February 28, 2003 to December 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 1000 of the largest companies (on the basis of capitalization) in the Russell 3000 Index. The Russell 1000 Growth Index measures the performance of those Russell 1000 companies with the highest price to book ratios and highest forecasted growth values. The Lipper Large-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. 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. Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 8 INTREPID INVESTOR FUND As of December 31, 2003 Q: HOW DID THE FUND PERFORM? A: The JPMorgan Intrepid Investor Fund, which seeks to provide long term capital appreciation from a broadly diversified portfolio of equity securities, returned 40.28% since inception on February 28, 2003 through December 31, 2003. This compares with a gain of 36.59% of the Russell 3000 Index, the fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: Amidst a backdrop of a quick end to formal war activity in Iraq, better-than-expected earnings results, substantial government tax cuts and evidence of a strong recovery, 2003 turned out to be an extraordinarily strong year for equity returns. Given this supportive backdrop, the majority of the portfolio's holdings had positive returns for the year. All of the primary factors utilized in the management of the fund performed well over the period. The further expansion of the U.S. economy and continued benefits from corporate cost cutting and increased productivity that led to earnings growth earlier in the year proved to be a catalyst for continued optimism in the financial markets during the year. This, coupled with an increase in corporate spending and a view that low inventories will lead to restocking, were key drivers behind the momentum in the markets and were key catalysts for the out performance of our momentum factors. Investors, however, seemingly learned from the recent past and still sought traditional value stocks, which are captured in our value factor. The excess performance over the period was driven by stock selection, particularly in the health care and consumer staples holdings. Q: HOW WAS THE FUND MANAGED? A: The JPMorgan Intrepid Investor Fund seeks to capitalize upon enduring market anomalies that are driven by persistent irrational investor behavior. This objective is met through a disciplined portfolio construction process. This process focuses on the fund's exposure to three primary factors (price momentum, earnings momentum and P/E) as well as contrarian factors (long term price momentum and long term sales growth), that the portfolio manager believes best captures the investor driven market anomalies. The construction methodology used results in a portfolio that has a value bias relative to the fund's benchmark, the Russell 3000 Index. (UNAUDITED) 9 JPMORGAN INTREPID INVESTOR FUND As of December 31, 2003 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Consumer Goods & Services 25.7% Finance & Insurance 25.5% Technology 13.3% Industrial Products & Services 12.7% Utilities 6.6% Pharmaceuticals 5.7% Health Services & Systems 3.9% Telecommunications 3.6% Energy 1.9% Short-Term Investments 1.1%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. CITIGROUP, INC. (2.9%) 2. BANK OF AMERICA CORP. (1.8%) 3. ALTRIA GROUP, INC. (1.8%) 4. BRISTOL-MYERS SQUIBB CO. (1.5%) 5. HEWLETT-PACKARD CO. (1.4%) 6. PLANTRONICS, INC. (1.4%) 7. WYETH (1.4%) 8. AMERICAN EXPRESS CO. (1.4%) 9. FOOT LOCKER, INC. (1.4%) 10. VALEANT PHARMACEUTICALS INTERNATIONAL (1.3%)
TOP 10 EQUITY HOLDINGS COMPRISED 16.3% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($1,153,224). AS OF DECEMBER 31, 2003, THE FUND HELD 103 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (2/28/03) - ------------------------------------------------------------- Select Shares 40.28%
Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 10 [CHART] LIFE OF FUND PERFORMANCE (2/28/03 TO 12/31/03)
JPMORGAN INTREPID INVESTOR FUND (SELECT SHARES) RUSSELL 3000 INDEX LIPPER MULTI-CAP CORE FUNDS INDEX 2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000 3/31/2003 $ 972,700 $ 1,010,500 $ 1,003,200 4/30/2003 $ 1,064,717 $ 1,093,058 $ 1,081,249 5/31/2003 $ 1,164,694 $ 1,159,079 $ 1,154,341 6/30/2003 $ 1,186,707 $ 1,174,726 $ 1,171,541 7/31/2003 $ 1,222,071 $ 1,201,627 $ 1,194,152 8/31/2003 $ 1,250,056 $ 1,228,303 $ 1,230,812 9/30/2003 $ 1,239,431 $ 1,214,915 $ 1,214,442 10/31/2003 $ 1,308,715 $ 1,288,417 $ 1,286,823 11/30/2003 $ 1,336,722 $ 1,306,197 $ 1,306,898 12/31/2003 $ 1,402,770 $ 1,365,891 $ 1,359,043
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 02/28/03. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Intrepid Investor Fund, Russell 3000 Index, and Lipper Multi-Cap Core Funds Index from February 28, 2003 to December 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 3000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 3000 of the largest U.S. companies based on total market capitalization. The Lipper Multi-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. Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 11 INTREPID VALUE FUND As of December 31, 2003 Q: HOW DID THE FUND PERFORM? A: The JPMorgan Intrepid Value Fund, which seeks to provide long term capital appreciation from a broadly diversified portfolio of equity securities, returned 39.74% since inception on February 28, 2003 through December 31, 2003. This compares with a gain of 36.91% of the Russell 1000 Value Index, the fund's benchmark. Q: WHY DID THE FUND PERFORM IN THIS WAY? A: Amidst a backdrop of a quick end to formal war activity in Iraq, better-than-expected earnings results, substantial government tax cuts and evidence of a strong recovery, 2003 turned out to be an extraordinarily strong year for equity returns. Given this supportive backdrop, the majority of the portfolio's holdings had positive returns for the year. All of the primary factors utilized in the management of the fund performed well over the period. The further expansion of the U.S. economy and continued benefits from corporate cost cutting and increased productivity that led to earnings growth earlier in the year proved to be a catalyst for continued optimism in the financial markets during the year. This, coupled with an increase in corporate spending and a view that low inventories will lead to restocking, were key drivers behind the momentum in the markets and were key catalysts for the out performance of our momentum factors. Investors, however, seemingly learned from the recent past and still sought traditional value stocks, which are captured in our value factor. The excess performance over the period was driven by stock selection, particularly in the consumer discretionary and health care sectors. Q: HOW WAS THE FUND MANAGED? A: The JPMorgan Intrepid Value Fund seeks to capitalize upon enduring market anomalies that are driven by persistent irrational investor behavior. This objective is met through a disciplined portfolio construction process that focuses on the fund's exposure to three primary factors (price momentum, earnings momentum and P/E), which the portfolio manager believes best capture the investor driven market anomalies. The construction methodology used results in a portfolio that has a value bias relative to the fund's benchmark, the Russell 1000 Value Index. (UNAUDITED) 12 JPMORGAN INTREPID VALUE Fund As of December 31, 2003 [CHART] PERCENTAGE OF TOTAL PORTFOLIO INVESTMENTS Finance & Insurance 44.0% Consumer Goods & Services 18.8% Industrial Products & Services 9.2% Energy 7.5% Utilities 6.8% Technology 4.6% Health Services and Systems 3.8% Telecommunications 3.5% Short-Term Investments 1.2% REITs 0.6%
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO 1. CITIGROUP, INC. (5.8%) 2. WELLS FARGO & CO. (2.9%) 3. ALTRIA GROUP, INC. (2.6%) 4. HEWLETT-PACKARD CO. (2.3%) 5. MERRILL LYNCH & CO., INC. (2.2%) 6. U.S. BANCORP (2.2%) 7. WACHOVIA CORP. (2.1%) 8. MORGAN STANLEY (2.1%) 9. BELLSOUTH CORP. (2.0%) 10. BANK ONE CORP. (2.0%)
TOP 10 EQUITY HOLDINGS COMPRISED 26.2% OF THE PORTFOLIO'S MARKET VALUE OF INVESTMENTS ($1,892,178). AS OF DECEMBER 31, 2003, THE FUND HELD 146 EQUITY HOLDINGS. PORTFOLIO HOLDINGS ARE SUBJECT TO CHANGE AT ANY TIME. AVERAGE ANNUAL TOTAL RETURNS
SINCE INCEPTION (2/28/03) - --------------------------------------------------------------------- Select Shares 39.74%
Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 13 JPMORGAN INTREPID VALUE FUND As of December 31, 2003 [CHART] LIFE OF FUND PERFORMANCE (2/28/03 TO 12/31/03)
JPMORGAN INTREPID VALUE FUND (SELECT SHARES) RUSSELL 1000 VALUE INDEX LIPPER LARGE-CAP GROWTH FUNDS INDEX 2/28/2003 $ 1,000,000 $ 1,000,000 $ 1,000,000 3/31/2003 $ 1,005,300 $ 1,001,700 $ 1,018,800 4/30/2003 $ 1,077,279 $ 1,089,850 $ 1,093,376 5/31/2003 $ 1,161,954 $ 1,160,254 $ 1,146,952 6/30/2003 $ 1,179,964 $ 1,174,757 $ 1,156,471 7/31/2003 $ 1,189,286 $ 1,192,261 $ 1,190,009 8/31/2003 $ 1,212,715 $ 1,210,860 $ 1,219,283 9/30/2003 $ 1,217,929 $ 1,198,994 $ 1,193,312 10/31/2003 $ 1,304,402 $ 1,272,372 $ 1,265,747 11/30/2003 $ 1,332,577 $ 1,289,676 $ 1,277,771 12/31/2003 $ 1,397,439 $ 1,369,121 $ 1,313,804
Source: Lipper Analytical Services, Inc. Past performance is no guarantee of the future results. Investment returns and principal value will fluctuate so that an investor's shares, when redeemed, may be worth more or less than their original cost. The Fund commenced operations on 02/28/03. The graph illustrates comparative performance for $1,000,000 invested in Select Shares of the JPMorgan Intrepid Value Fund, Russell 1000 Value Index, and Lipper Large-Cap Growth Funds Index from February 28, 2003 to December 31, 2003. The performance of the Fund assumes reinvestment of all dividends and capital gains and does not include a sales charge. The performance of the indices does not include a sales charge and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The Russell 1000 Index is an unmanaged, capitalization weighted price only index, which is comprised of 1000 of the largest companies (on the basis of capitalization) in the Russell 3000 Index. The Russell 1000 Value Index measures the performance of those Russell 1000 companies with lower price to book ratios and lower forecasted growth values. The Lipper Large-Cap Growth Funds Index represents the total returns of the funds in the indicated category, as defined by Lipper, Inc. Investors cannot invest directly in an index. Select Shares have a $1,000,000 minimum initial deposit and carry no sales charge. Certain fees and expenses of the Fund are currently being waived and reimbursed as described in the prospectus. Had the expenses not been subsidized or waived, returns would have been lower. Also, all performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. Subsequent to the inception of the Fund, through 10/01/03, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund's performance may have been impacted. (UNAUDITED) 14 JPMORGAN INTREPID ALL CAP FUND Portfolio of Investments As of December 31, 2003
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- 97.0% COMMON STOCKS -- 97.0% Apparel -- 1.4% 2,200 Nike, Inc., Class B $ 150,612 Automotive -- 4.1% 1,000 Autoliv, Inc. (Sweden) 37,650 9,400 Ford Motor Co. 150,400 3,000 General Motors Corp. 160,200 600 Lear Corp. 36,798 500 Paccar, Inc. 42,560 --------------- 427,608 Banking -- 8.6% 2,600 Bank of America Corp. 209,118 1,050 Doral Financial Corp. (Puerto Rico) 33,894 4,200 FleetBoston Financial Corp. 183,330 1,000 New York Community Bancorp, Inc. 38,050 1,500 Sovereign Bancorp, Inc. 35,625 6,600 U.S. Bancorp 196,548 4,300 Wachovia Corp. 200,337 --------------- 896,902 Biotechnology -- 2.0% 2,800 Amgen, Inc. * 173,040 500 Invitrogen Corp. * 35,000 --------------- 208,040 Broadcasting/Cable -- 1.2% 3,600 EchoStar Communications Corp., Class A * 122,400 Business Services -- 1.5% 7,200 Cendant Corp. * 160,344 Computer Software -- 0.3% 700 Electronic Arts, Inc. * 33,446 Computers/Computer Hardware -- 3.3% 5,200 Dell, Inc. * 176,592 7,500 Hewlett-Packard Co. 172,275 --------------- 348,867 Construction -- 1.9% 400 Centex Corp. 43,060 400 Hovnanian Enterprises, Inc., Class A * 34,824 100 NVR, Inc. * 46,600 400 Pulte Homes, Inc. 37,448 400 Ryland Group, Inc. 35,456 --------------- 197,388 Construction Materials -- 1.2% 4,400 Masco Corp. 120,604 Consumer Products -- 3.0% 3,500 Altria Group, Inc. 190,470 1,900 Avon Products, Inc. 128,231 --------------- 318,701
See notes to financial statements. 15
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Consumer Services -- 0.3% 1,050 Rent-A-Center, Inc. * $ 31,374 Electronics/Electrical Equipment -- 0.6% 1,100 Jabil Circuit, Inc. * 31,130 500 SanDisk Corp. * 30,570 --------------- 61,700 Entertainment/Leisure -- 0.7% 1,000 International Game Technology 35,700 1,200 Station Casinos, Inc. 36,756 --------------- 72,456 Financial Services -- 16.1% 2,400 Capital One Financial Corp. 147,096 8,100 Citigroup, Inc. 393,173 533 Countrywide Financial Corp. 40,428 3,400 E*TRADE Financial Corp. * 43,010 2,500 Freddie Mac 145,800 1,700 Friedman, Billings, Ramsey Group, Inc., Class A 39,236 1,500 Golden West Financial Corp. 154,785 2,100 Lehman Brothers Holdings, Inc. 162,162 6,700 MBNA Corp. 166,495 3,300 Merrill Lynch & Co., Inc. 193,545 2,900 Providian Financial Corp. * 33,756 3,800 Prudential Financial, Inc. 158,726 --------------- 1,678,212 Health Care/Health Care Services -- 8.4% 600 Aetna, Inc. 40,548 2,000 Anthem, Inc. * 150,000 4,600 Boston Scientific Corp. * 169,096 600 Coventry Health Care, Inc. * 38,694 1,100 Health Net, Inc. * 35,970 600 Mid Atlantic Medical Services, Inc. * 38,880 900 Omnicare, Inc. 36,351 700 PacifiCare Health Systems * 47,320 2,900 UnitedHealth Group, Inc. 168,722 1,600 WellPoint Health Networks, Inc. * 155,184 --------------- 880,765 Insurance -- 6.5% 2,200 Chubb Corp. 149,820 1,200 First American Corp. 35,724 1,000 HCC Insurance Holdings, Inc. 31,800 1,700 Odyssey Re Holdings Corp. 38,335 3,500 Principal Financial Group, Inc. 115,745 1,800 The Progressive Corp. 150,462 7,500 Travelers Property Casualty Corp., Class B 127,275 950 W.R. Berkley Corp. 33,203 --------------- 682,364 Internet Services/Software -- 0.4% 2,700 Ameritrade Holding Corp. * 37,989
See notes to financial statements. 16
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Machinery & Engineering Equipment -- 2.4% 1,600 Caterpillar, Inc. $ 132,832 1,900 Deere & Co. 123,595 --------------- 256,427 Manufacturing -- 2.7% 1,900 3M Co. 161,557 1,300 Danaher Corp. 119,275 --------------- 280,832 Metals/Mining -- 1.9% 4,300 Alcoa, Inc. 163,400 900 Freeport-McMoRan Copper & Gold, Inc., Class B 37,917 --------------- 201,317 Multi-Media -- 1.1% 4,000 Fox Entertainment Group, Inc., Class A * 116,600 Oil & Gas -- 4.5% 2,300 ConocoPhillips 150,811 2,200 Devon Energy Corp. 125,972 3,600 Occidental Petroleum Corp. 152,064 1,500 XTO Energy, Inc. 42,450 --------------- 471,297 Packaging -- 0.3% 600 Ball Corp. 35,742 Pharmaceuticals -- 1.8% 500 Barr Laboratories, Inc. * 38,475 1,700 Ivax Corp. * 40,596 1,400 Mylan Laboratories, Inc. 35,364 500 Pharmaceutical Resources, Inc. * 32,575 800 Watson Pharmaceuticals, Inc. * 36,800 --------------- 183,810 Retailing -- 7.7% 400 Advance Auto Parts, Inc. * 32,560 2,300 Best Buy Co., Inc. 120,152 1,800 Claire's Stores, Inc. 33,912 4,400 CVS Corp. 158,928 6,900 Kroger Co. * 127,719 3,300 Lowe's Companies, Inc. 182,787 6,500 The Gap, Inc. 150,865 --------------- 806,923 Semi-Conductors -- 4.1% 12,100 Intel Corp. 389,620 1,000 National Semiconductor Corp. * 39,410 --------------- 429,030 Shipping/Transportation -- 1.4% 1,900 United Parcel Service, Inc., Class B 141,645 Telecommunications -- 3.8% 1,800 Interdigital Communications Corp. * 37,152 6,100 Nextel Communications, Inc., Class A * 171,166 7,300 Sprint Corp. - FON Group 119,866
See notes to financial statements. 17
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Telecommunications -- Continued 1,000 Utstarcom, Inc. * $ 37,070 1,400 West Corp. * 32,522 --------------- 397,776 Toys & Games -- 0.7% 1,700 Hasbro, Inc. 36,176 1,300 Marvel Enterprises, Inc. * 37,843 --------------- 74,019 Utilities -- 3.1% 2,000 Dominion Resources, Inc. 127,660 1,900 Edison International 41,667 2,400 Exelon Corp. 159,264 --------------- 328,591 - ------------------------------------------------------------------------------------------------ Total Common Stocks 10,153,781 (Cost $9,046,369) - ------------------------------------------------------------------------------------------------ Short-Term Investment -- 3.0% MONEY MARKET FUND -- 3.0% 315,137 JPMorgan Prime Money Market Fund (a) 315,137 (Cost $315,137) - ------------------------------------------------------------------------------------------------ Total Investments -- 100.0% $ 10,468,918 (Cost $9,361,506) - ------------------------------------------------------------------------------------------------
See notes to financial statements. 18 JPMORGAN INTREPID GROWTH FUND Portfolio of Investments As of December 31, 2003
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- 99.7% COMMON STOCKS -- 99.7% Aerospace -- 1.5% 400 United Defense Industries, Inc. * $ 12,752 1,000 United Technologies Corp. 94,770 --------------- 107,522 Apparel -- 2.1% 500 Coach, Inc. * 18,875 300 Columbia Sportswear Co. * 16,350 1,200 Nike, Inc., Class B 82,152 400 Reebok International LTD 15,728 300 Timberland Co., Class A * 15,621 --------------- 148,726 Automotive -- 0.3% 500 Autoliv, Inc. (Sweden) 18,825 Banking -- 2.3% 450 Doral Financial Corp. (Puerto Rico) 14,526 400 First BanCorp (Puerto Rico) 15,820 500 IndyMac Bancorp, Inc. 14,895 433 New York Community Bancorp, Inc. 16,476 300 Popular, Inc. (Puerto Rico) 13,482 1,400 Wells Fargo & Co. 82,446 --------------- 157,645 Biotechnology -- 5.3% 2,900 Amgen, Inc. * 179,220 1,000 Genentech, Inc. * 93,570 1,600 Genzyme Corp. * 78,944 300 Invitrogen Corp. * 21,000 --------------- 372,734 Broadcasting/Cable -- 1.2% 2,400 EchoStar Communications Corp., Class A * 81,600 Business Services -- 1.2% 3,300 Cendant Corp. * 73,491 300 Cognizant Technology Solutions Corp. * 13,692 --------------- 87,183 Computer Networks -- 4.9% 400 Avocent Corp. * 14,608 11,300 Cisco Systems, Inc. * 274,477 700 Foundry Networks, Inc. * 19,152 900 Juniper Networks, Inc. * 16,812 700 Network Appliance, Inc. * 14,371 --------------- 339,420 Computer Software -- 3.1% 3,200 Computer Associates International, Inc. 87,488 400 Electronic Arts, Inc. * 19,112 2,200 Novell, Inc. * 23,144 473 PeopleSoft, Inc. * 10,784 2,100 VERITAS Software Corp. * 78,036 --------------- 218,564
See notes to financial statements. 19
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Computers/Computer Hardware -- 2.0% 8,600 EMC Corp. * $ 111,112 1,400 Maxtor Corp. * 15,540 1,000 Western Digital Corp. * 11,790 --------------- 138,442 Construction -- 1.4% 200 Centex Corp. 21,530 400 D.R. Horton, Inc. 17,304 200 Hovnanian Enterprises, Inc., Class A * 17,412 200 Lennar Corp., Class A 19,200 50 NVR, Inc. * 23,300 --------------- 98,746 Construction Materials -- 1.0% 2,600 Masco Corp. 71,266 Consumer Products -- 2.7% 2,000 Altria Group, Inc. 108,840 1,000 Avon Products, Inc. 67,490 200 Harman International Industries, Inc. 14,796 --------------- 191,126 Consumer Services -- 1.1% 300 Career Education Corp. * 12,021 300 Corinthian Colleges, Inc. * 16,668 600 Education Management Corp. * 18,624 300 ITT Educational Services, Inc. * 14,091 500 Rent-A-Center, Inc. * 14,940 --------------- 76,344 Electronics/Electrical Equipment -- 1.4% 300 Amphenol Corp., Class A * 19,179 400 Fisher Scientific International * 16,548 900 PerkinElmer, Inc. 15,363 200 SanDisk Corp. * 12,228 1,200 Sanmina-SCI Corp. * 15,132 1,100 Symbol Technologies, Inc. 18,579 --------------- 97,029 Entertainment/Leisure -- 0.5% 500 International Game Technology 17,850 600 Station Casinos, Inc. 18,378 --------------- 36,228 Financial Services -- 8.1% 2,100 American Express Co. 101,283 1,200 Capital One Financial Corp. 73,548 1,500 E*TRADE Financial Corp. * 18,975 800 Friedman, Billings, Ramsey Group, Inc., Class A 18,464 300 H & R Block, Inc. 16,611 200 Legg Mason, Inc. 15,436 3,600 MBNA Corp. 89,460 1,000 Morgan Stanley 57,870 1,500 Providian Financial Corp. * 17,460 1,800 SLM Corp. 67,824 400 T. Rowe Price Group, Inc. 18,964 6,200 The Charles Schwab Corp. 73,408 --------------- 569,303
See notes to financial statements. 20
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Food/Beverage Products -- 0.2% 500 Constellation Brands, Inc., Class A * $ 16,465 Health Care/Health Care Services -- 8.9% 300 Aetna, Inc. 20,274 2,700 Boston Scientific Corp. * 99,252 300 Coventry Health Care, Inc. * 19,347 400 DaVita, Inc. * 15,600 1,700 Guidant Corp. 102,340 500 Health Net, Inc. * 16,350 400 Lincare Holdings, Inc. * 12,012 200 Mid Atlantic Medical Services, Inc. * 12,960 400 Omnicare, Inc. 16,156 1,000 Stryker Corp. 85,010 2,100 UnitedHealth Group, Inc. 122,178 500 WellChoice, Inc. * 17,250 900 WellPoint Health Networks, Inc. * 87,291 --------------- 626,020 Insurance -- 3.7% 2,200 AFLAC, Inc. 79,596 200 AMBAC Financial Group, Inc. 13,878 500 HCC Insurance Holdings, Inc. 15,900 100 Markel Corp. * 25,351 1,100 The Progressive Corp. 91,949 200 Transatlantic Holdings, Inc. 16,160 500 W.R. Berkley Corp. 17,475 --------------- 260,309 Internet Services/Software -- 1.9% 1,300 Ameritrade Holding Corp. * 18,291 400 Symantec Corp. * 13,860 2,200 Yahoo!, Inc. * 99,374 --------------- 131,525 Manufacturing -- 3.2% 1,700 3M Co. 144,551 900 Danaher Corp. 82,575 --------------- 227,126 Metals/Mining -- 1.8% 400 Freeport-McMoRan Copper & Gold, Inc., Class B 16,852 1,800 Newmont Mining Corp. 87,498 500 Southern Peru Copper Corp. 23,580 --------------- 127,930 Multi-Media -- 2.1% 2,200 Fox Entertainment Group, Inc., Class A * 64,130 3,400 The Walt Disney Co. 79,322 --------------- 143,452 Office/Business Equipment -- 0.2% 300 HON Industries, Inc. 12,996 Oil & Gas -- 0.5% 1,100 Chesapeake Energy Corp. 14,938 700 XTO Energy, Inc. 19,810 --------------- 34,748
See notes to financial statements. 21
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Packaging -- 0.2% 200 Sealed Air Corp. * $ 10,828 Pharmaceuticals -- 7.1% 300 AdvancePCS, Inc. * 15,798 600 American Pharmaceutical Partners, Inc. * 20,160 400 Eon Labs, Inc. * 20,380 12,100 Pfizer, Inc. 427,493 200 Pharmaceutical Resources, Inc. * 13,030 --------------- 496,861 Real Estate Investment Trust -- 0.2% 300 The Mills Corp. 13,200 Restaurants/Food Services -- 0.5% 400 CBRL Group, Inc. 15,304 600 Ruby Tuesday, Inc. 17,094 --------------- 32,398 Retailing -- 10.4% 200 Advance Auto Parts, Inc. * 16,280 1,500 Amazon.com, Inc. * 78,960 1,900 Bed Bath & Beyond, Inc. * 82,365 1,700 Best Buy Co., Inc. 88,808 400 Chico's FAS, Inc. * 14,780 800 Claire's Stores, Inc. 15,072 5,000 Home Depot, Inc. 177,450 2,100 Lowe's Companies, Inc. 116,319 500 MSC Industrial Direct Co., Class A 13,750 2,600 Rite Aid Corp. * 15,704 600 Staples, Inc. * 16,380 3,900 The Gap, Inc. 90,519 --------------- 726,387 Semi-Conductors -- 12.9% 1,800 Analog Devices, Inc. 82,170 5,500 Applied Materials, Inc. * 123,475 500 Broadcom Corp., Class A * 17,045 600 Cypress Semiconductor Corp. * 12,816 600 Fairchild Semiconductor International, Inc. * 14,982 11,500 Intel Corp. 370,300 300 International Rectifier Corp. * 14,823 500 Lam Research Corp. * 16,150 2,100 Linear Technology Corp. 88,347 400 National Semiconductor Corp. * 15,764 300 Silicon Laboratories, Inc. * 12,966 4,500 Texas Instruments, Inc. 132,210 --------------- 901,048 Shipping/Transportation -- 1.0% 1,000 FedEx Corp. 67,500 Telecommunications -- 2.3% 600 Adtran, Inc. 18,600 3,800 Nextel Communications, Inc., Class A * 106,628 500 Utstarcom, Inc. * 18,535 700 West Corp. * 16,261 --------------- 160,024
See notes to financial statements. 22
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Telecommunications Equipment -- 1.9% 900 Comverse Technology, Inc. * $ 15,831 1,100 Corning, Inc. * 11,473 6,500 Motorola, Inc. 91,455 700 Polycom, Inc. * 13,664 --------------- 132,423 Toys & Games -- 0.2% 500 Marvel Enterprises, Inc. * 14,555 Transportation -- 0.2% 600 JB Hunt Transport Services, Inc. * 16,206 Utilities -- 0.2% 1,500 The AES Corp. * 14,160 - ------------------------------------------------------------------------------------------------ Total Common Stocks 6,976,864 (Cost $5,916,496) - ------------------------------------------------------------------------------------------------ Short-Term Investment -- 0.3% MONEY MARKET FUND -- 0.3% 19,948 JPMorgan Prime Money Market Fund (a) 19,948 (Cost $19,948) - ------------------------------------------------------------------------------------------------ Total Investments -- 100.0% $ 6,996,812 (Cost $5,936,444) - ------------------------------------------------------------------------------------------------
See notes to financial statements. 23 JPMORGAN INTREPID INVESTOR FUND Portfolio of Investments As of December 31, 2003
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- 98.9% COMMON STOCKS -- 98.9% Advertising -- 0.9% 2,100 ADVO, Inc. $ 66,696 Agricultural Production/Services -- 0.9% 2,100 Monsanto Co. 60,438 Apparel -- 0.7% 1,200 VF Corp. 51,888 Appliances & Household Durables -- 0.8% 7,800 Jacuzzi Brands, Inc. * 55,302 Automotive -- 4.9% 1,900 Autoliv, Inc. (Sweden) 71,535 1,200 Bandag, Inc. 49,440 5,600 Delphi Corp. 57,176 5,700 Ford Motor Co. 91,200 1,500 General Motors Corp. 80,100 --------------- 349,451 Banking -- 12.0% 2,300 AmSouth Bancorp 56,350 1,600 Bank of America Corp. 128,688 1,600 Chittenden Corp. 53,824 2,100 FleetBoston Financial Corp. 91,665 1,300 Hudson United Bancorp 48,035 1,600 Marshall & Ilsley Corp. 61,200 1,900 Provident Bankshares Corp. 55,936 3,850 Republic Bancorp, Inc. 51,937 3,700 Republic Bancorp, Inc., Class A 72,298 2,800 U.S. Bancorp 83,384 1,100 UnionBanCal Corp. 63,294 2,000 Wachovia Corp. 93,180 --------------- 859,791 Biotechnology -- 0.8% 3,300 Enzo Biochem, Inc. * 59,103 Business Services -- 2.8% 3,600 American Management Systems, Inc. * 54,252 1,600 Computer Sciences Corp. * 70,768 3,000 IMS Health, Inc. 74,580 --------------- 199,600 Chemicals -- 3.9% 1,500 Cytec Industries, Inc. * 57,585 2,800 FMC Corp. * 95,564 4,500 Hercules, Inc. * 54,900 1,900 MacDermid, Inc. 65,056 --------------- 273,105 Computer Networks -- 1.6% 2,300 Anixter International, Inc. * 59,524 1,200 Black Box Corp. 55,284 --------------- 114,808
See notes to financial statements. 24
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Computer Software -- 2.7% 4,100 Mentor Graphics Corp. * $ 59,614 2,900 Sybase, Inc. * 59,682 4,800 Unisys Corp. * 71,280 --------------- 190,576 Computers/Computer Hardware -- 3.2% 4,400 Hewlett-Packard Co. 101,068 3,700 Ingram Micro, Inc., Class A * 58,830 5,900 Maxtor Corp. * 65,490 --------------- 225,388 Construction Materials -- 0.9% 1,300 Martin Marietta Materials, Inc. 61,061 Consumer Products -- 5.0% 2,300 Altria Group, Inc. 125,166 2,200 American Greetings Corp., Class A * 48,114 1,200 Black & Decker Corp. 59,184 1,300 R.J. Reynolds Tobacco Holdings, Inc. 75,595 1,100 Universal Corp. 48,587 --------------- 356,646 Diversified -- 1.0% 1,200 Textron, Inc. 68,472 Electronics/Electrical Equipment -- 0.9% 1,500 Fisher Scientific International * 62,055 Entertainment/Leisure -- 1.5% 2,300 Aztar Corp. * 51,750 3,400 Callaway Golf Co. 57,290 --------------- 109,040 Financial Services -- 10.9% 2,000 American Express Co. 96,460 4,300 Citigroup, Inc. 208,722 2,800 CompuCredit Corp. * 59,584 5,000 E*TRADE Financial Corp. * 63,250 700 Goldman Sachs Group, Inc. 69,111 1,400 Merrill Lynch & Co., Inc. 82,110 1,500 Morgan Stanley 86,805 4,900 Providian Financial Corp. * 57,036 600 The Bear Stearns Co., Inc. 47,970 --------------- 771,048 Food/Beverage Products -- 3.5% 4,700 Del Monte Foods Co. * 48,880 1,400 H.J. Heinz Co. 51,002 3,400 Ruddick Corp. 60,860 3,000 Supervalu, Inc. 85,770 --------------- 246,512 Health Care/Health Care Services -- 3.9% 1,100 Aetna, Inc. 74,338 1,100 CIGNA Corp. 63,250 2,800 Humana, Inc. * 63,980 1,100 PacifiCare Health Systems * 74,360 --------------- 275,928
See notes to financial statements. 25
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Insurance -- 2.5% 1,700 John Hancock Financial Services, Inc. $ 63,750 1,100 Kansas City Life Insurance Co. 50,820 1,600 St. Paul Companies, Inc. 63,440 --------------- 178,010 Manufacturing -- 1.6% 2,000 Crane Co. 61,480 1,200 Pentair, Inc. 54,840 --------------- 116,320 Metals/Mining -- 1.0% 1,500 Precision Castparts Corp. 68,115 Office/Business Equipment -- 1.8% 1,300 United Stationers, Inc. * 53,196 5,600 Xerox Corp. * 77,280 --------------- 130,476 Oil & Gas -- 1.9% 2,000 Marathon Oil Corp. 66,180 1,700 Occidental Petroleum Corp. 71,808 --------------- 137,988 Paper/Forest Products -- 1.0% 2,200 Georgia-Pacific Corp. 67,474 Pharmaceuticals -- 4.9% 3,700 Bristol-Myers Squibb Co. 105,820 3,200 Tanox, Inc. * 47,520 3,800 Valeant Pharmaceuticals International 95,570 2,300 Wyeth 97,635 --------------- 346,545 Printing & Publishing -- 0.9% 2,100 R.R. Donnelley & Sons Co. 63,315 Restaurants/Food Services -- 0.8% 2,400 McDonald's Corp. 59,592 Retailing -- 6.6% 1,300 Federated Department Stores, Inc. 61,269 4,100 Foot Locker, Inc. 96,145 3,600 Kroger Co. * 66,636 2,500 Men's Wearhouse, Inc. * 62,525 2,300 RadioShack Corp. 70,564 1,200 Sears, Roebuck & Co. 54,588 4,200 Toys "R" Us, Inc. * 53,088 --------------- 464,815 Semi-Conductors -- 0.7% 8,500 GlobespanVirata, Inc. * 49,980 Shipping/Transportation -- 0.8% 1,600 Ryder System, Inc. 54,640 Telecommunications -- 3.6% 3,200 BellSouth Corp. 90,560
See notes to financial statements. 26
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Telecommunications -- Continued 10,100 Cincinnati Bell, Inc. * $ 51,005 2,100 Scientific-Atlanta, Inc. 57,330 3,500 Sprint Corp. - FON Group 57,470 --------------- 256,365 Telecommunications Equipment -- 1.4% 3,000 Plantronics, Inc. * 97,950 Utilities -- 6.6% 1,700 Constellation Energy Group, Inc. 66,572 3,200 DPL, Inc. 66,816 2,700 Edison International 59,211 1,000 Entergy Corp. 57,130 2,900 NiSource, Inc. 63,626 1,800 PNM Resources, Inc. 50,580 1,900 Puget Energy, Inc. 45,163 1,900 Sempra Energy 57,114 --------------- 466,212 - ------------------------------------------------------------------------------------------------ Total Common Stocks 7,014,705 (Cost $5,357,791) - ------------------------------------------------------------------------------------------------ Short-Term Investment -- 1.1% MONEY MARKET FUND -- 1.1% 78,823 JPMorgan Prime Money Market Fund (a) 78,823 (Cost $78,823) - ------------------------------------------------------------------------------------------------ Total Investments -- 100.0% $ 7,093,528 (Cost $5,436,614) - ------------------------------------------------------------------------------------------------
See notes to financial statements. 27 JPMORGAN INTREPID VALUE FUND Portfolio of Investments As of December 31, 2003
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- 98.8% COMMON STOCKS -- 98.8% Aerospace -- 3.0% 1,100 General Dynamics Corp. $ 99,429 1,200 United Technologies Corp. 113,724 --------------- 213,153 Apparel -- 0.8% 400 Jones Apparel Group, Inc. 14,092 500 Polo Ralph Lauren Corp. 14,400 400 Reebok International LTD 15,728 300 VF Corp. 12,972 --------------- 57,192 Appliances & Household Durables -- 0.2% 200 Whirlpool Corp. 14,530 Automotive -- 4.7% 400 American Axle & Manufacturing Holdings, Inc. * 16,168 400 Autoliv, Inc. (Sweden) 15,060 200 BorgWarner, Inc. 17,014 800 Dana Corp. 14,680 8,100 Ford Motor Co. 129,600 2,300 General Motors Corp. 122,820 100 Johnson Controls, Inc. 11,612 200 Lear Corp. 12,266 --------------- 339,220 Banking -- 13.4% 400 Bank of Hawaii Corp. 16,880 3,200 Bank One Corp. 145,888 300 First BanCorp (Puerto Rico) 11,865 400 First Tennessee National Corp. 17,640 3,300 FleetBoston Financial Corp. 144,045 400 Independence Community Bank Corp. 14,388 400 New York Community Bancorp, Inc. 15,220 300 Popular, Inc. (Puerto Rico) 13,482 500 Sky Financial Group, Inc. 12,970 500 SouthTrust Corp. 16,365 700 Sovereign Bancorp, Inc. 16,625 5,200 U.S. Bancorp 154,856 300 UnionBanCal Corp. 17,262 3,300 Wachovia Corp. 153,747 3,500 Wells Fargo & Co. 206,115 200 Zions Bancorporation 12,266 --------------- 969,614 Business Services -- 1.7% 4,800 Cendant Corp. * 106,896 300 Deluxe Corp. 12,399 --------------- 119,295 Chemicals -- 0.2% 400 Cytec Industries, Inc. * 15,356 Computer Software -- 0.2% 1,000 Unisys Corp. * 14,850
See notes to financial statements. 28
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Computers/Computer Hardware -- 2.5% 7,300 Hewlett-Packard Co. $ 167,681 1,400 Maxtor Corp. * 15,540 --------------- 183,221 Construction -- 1.7% 100 Centex Corp. 10,765 400 D.R. Horton, Inc. 17,304 200 Hovnanian Enterprises, Inc., Class A * 17,412 200 KB Home 14,504 100 Lennar Corp., Class A 9,600 200 MDC Holdings, Inc. 12,900 100 Pulte Homes, Inc. 9,362 200 Ryland Group, Inc. 17,728 400 Toll Brothers, Inc. * 15,904 --------------- 125,479 Construction Materials -- 1.2% 3,100 Masco Corp. 84,971 Consumer Products -- 2.6% 3,500 Altria Group, Inc. 190,470 Consumer Services -- 0.4% 400 Regis Corp. 15,808 450 Rent-A-Center, Inc. * 13,446 --------------- 29,254 Electronics/Electrical Equipment -- 0.2% 400 Energizer Holdings, Inc. * 15,024 Entertainment/Leisure -- 0.4% 500 Brunswick Corp. 15,915 300 GTECH Holdings Corp. 14,847 --------------- 30,762 Financial Services -- 21.6% 1,500 Capital One Financial Corp. 91,935 500 CIT Group, Inc. 17,975 8,600 Citigroup, Inc. 417,444 133 Countrywide Financial Corp. 10,088 1,500 E*TRADE Financial Corp. * 18,975 2,100 Freddie Mac 122,472 800 Friedman, Billings, Ramsey Group, Inc., Class A 18,464 900 Golden West Financial Corp. 92,871 1,400 Lehman Brothers Holdings, Inc. 108,108 3,300 MBNA Corp. 82,005 2,700 Merrill Lynch & Co., Inc. 158,355 2,600 Morgan Stanley 150,462 1,500 Providian Financial Corp. * 17,460 2,700 Prudential Financial, Inc. 112,779 3,400 Washington Mutual, Inc. 136,408 --------------- 1,555,801 Food/Beverage Products -- 3.2% 500 Constellation Brands, Inc., Class A * 16,465 2,300 H.J. Heinz Co. 83,789
See notes to financial statements. 29
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Food/Beverage Products -- Continued 4,200 Sara Lee Corp. $ 91,182 600 Smithfield Foods, Inc. * 12,420 500 Supervalu, Inc. 14,295 1,100 Tyson Foods, Inc., Class A 14,564 --------------- 232,715 Health Care/Health Care Services -- 3.8% 200 Aetna, Inc. 13,516 1,100 Anthem, Inc. * 82,500 200 CIGNA Corp. 11,500 500 Health Net, Inc. * 16,350 600 Humana, Inc. * 13,710 400 Omnicare, Inc. 16,156 200 PacifiCare Health Systems * 13,520 500 WellChoice, Inc. * 17,250 900 WellPoint Health Networks, Inc. * 87,291 --------------- 271,793 Hotels/Other Lodging -- 0.2% 400 Mandalay Resort Group 17,888 Insurance -- 9.1% 200 AMBAC Financial Group, Inc. 13,878 1,400 Chubb Corp. 95,340 600 First American Corp. 17,862 1,600 Hartford Financial Services Group, Inc. 94,448 500 HCC Insurance Holdings, Inc. 15,900 500 John Hancock Financial Services, Inc. 18,750 300 MBIA, Inc. 17,769 300 Mercury General Corp. 13,965 700 Odyssey Re Holdings Corp. 15,785 600 Old Republic International Corp. 15,216 400 PMI Group, Inc. 14,892 500 Protective Life Corp. 16,920 400 Reinsurance Group of America 15,460 400 SAFECO Corp. 15,572 400 St. Paul Companies, Inc. 15,860 2,700 The Allstate Corp. 116,154 300 Torchmark Corp. 13,662 200 Transatlantic Holdings, Inc. 16,160 5,500 Travelers Property Casualty Corp., Class B 93,335 500 W.R. Berkley Corp. 17,475 --------------- 654,403 Manufacturing -- 0.1% 100 Eaton Corp. 10,798 Metals/Mining -- 0.2% 300 Southern Peru Copper Corp. 14,148 Oil & Gas -- 7.3% 1,220 Apache Corp. 98,942 1,100 Chesapeake Energy Corp. 14,938 2,100 ConocoPhillips 137,697
See notes to financial statements. 30
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Oil & Gas -- Continued 1,800 Devon Energy Corp. $ 103,068 400 Newfield Exploration Co. * 17,816 2,500 Occidental Petroleum Corp. 105,600 300 Sunoco, Inc. 15,345 300 Valero Energy Corp. 13,902 600 XTO Energy, Inc. 16,980 --------------- 524,288 Pipelines -- 0.2% 300 Kinder Morgan, Inc. 17,730 Real Estate Investment Trust -- 0.7% 89 Catellus Development Corp. 2,147 400 iStar Financial, Inc. 15,560 500 Thornburg Mortgage, Inc. 13,600 300 Vornado Realty Trust 16,425 --------------- 47,732 Restaurants/Food Services -- 1.8% 400 CBRL Group, Inc. 15,304 4,700 McDonald's Corp. 116,701 --------------- 132,005 Retailing -- 4.4% 900 Autonation, Inc. * 16,533 500 Barnes & Noble, Inc. * 16,425 600 Claire's Stores, Inc. 11,304 2,800 CVS Corp. 101,136 300 Federated Department Stores, Inc. 14,139 600 Foot Locker, Inc. 14,070 5,500 Kroger Co. * 101,805 300 Neiman-Marcus Group, Inc., Class A * 16,101 600 Pier 1 Imports, Inc. 13,116 300 Sears, Roebuck & Co. 13,647 --------------- 318,276 Shipping/Transportation -- 2.7% 2,900 Burlington Northern Santa Fe Corp. 93,815 1,500 Union Pacific Corp. 104,220 --------------- 198,035 Telecommunications -- 3.5% 5,200 BellSouth Corp. 147,160 6,400 Sprint Corp. - FON Group 105,088 --------------- 252,248 Utilities -- 6.8% 500 Allete, Inc. 15,300 400 Constellation Energy Group, Inc. 15,664 1,700 Dominion Resources, Inc. 108,511 800 Edison International 17,544 1,600 Entergy Corp. 91,408 1,600 Exelon Corp. 106,176 1,400 FPL Group, Inc. 91,588 500 Great Plains Energy, Inc. 15,910
See notes to financial statements. 31
SHARES ISSUER VALUE - ------------------------------------------------------------------------------------------------ Long-Term Investments -- Continued Utilities -- Continued 400 Texas Genco Holdings, Inc. $ 13,000 600 TXU Corp. 14,232 --------------- 489,333 - ------------------------------------------------------------------------------------------------ Total Common Stocks 7,139,584 (Cost $6,018,058) - ------------------------------------------------------------------------------------------------ Short-Term Investment -- 1.2% MONEY MARKET FUND -- 1.2% 83,865 JPMorgan Prime Money Market Fund (a) 83,865 (Cost $83,865) - ------------------------------------------------------------------------------------------------ Total Investments -- 100.0% $ 7,223,449 (Cost $6,101,923) - ------------------------------------------------------------------------------------------------
See notes to financial statements. 32 Abbreviations: * -- Non-income producing security. (a) -- Affiliated. Money market fund registered under the Investment Company Act of 1940, as amended and advised by J.P. Morgan Investment Management Inc. See notes to financial statements. 33 JPMORGAN FUNDS Statement of Assets and Liabilities As of December 31, 2003
INTREPID INTREPID ALL CAP FUND GROWTH FUND - ------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 10,468,918 $ 6,996,812 Cash 733 33 Receivables: Fund shares sold 150 50 Interest and dividends 9,836 4,108 Expense reimbursements 8,190 6,694 - ------------------------------------------------------------------------------------------------------------- Total Assets 10,487,827 7,007,697 - ------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased 223,634 -- Accrued liabilities: Custodian fees 9,344 8,638 Trustees' fees 27 28 Other 50,280 46,760 - ------------------------------------------------------------------------------------------------------------- Total Liabilities 283,285 55,426 - ------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 8,488,255 5,401,499 Accumulated net investment income (loss) 498 -- Accumulated net realized gain (loss) on investments 608,377 490,404 Net unrealized appreciation (depreciation) of investments 1,107,412 1,060,368 - ------------------------------------------------------------------------------------------------------------- Total Net Assets $ 10,204,542 $ 6,952,271 - ------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) 510,972 354,496 Net asset value, redemption and offering price per share $ 19.97 $ 19.61 - ------------------------------------------------------------------------------------------------------------- Cost of investments $ 9,361,506 $ 5,936,444 =============================================================================================================
See notes to financial statements. 34
INTREPID INTREPID INVESTOR FUND VALUE FUND - ------------------------------------------------------------------------------------------------------------- ASSETS: Investment securities, at value $ 7,093,528 $ 7,223,449 Cash 250 644 Receivables: Fund shares sold 400,150 50 Interest and dividends 12,008 13,184 Expense reimbursements 6,210 6,573 - ------------------------------------------------------------------------------------------------------------- Total Assets 7,512,146 7,243,900 - ------------------------------------------------------------------------------------------------------------- LIABILITIES: Payables: Investment securities purchased -- -- Accrued liabilities: Custodian fees 9,119 8,142 Trustees' fees 26 28 Other 45,734 45,293 - ------------------------------------------------------------------------------------------------------------- Total Liabilities 54,879 53,463 - ------------------------------------------------------------------------------------------------------------- NET ASSETS: Paid in capital 5,680,503 5,609,588 Accumulated net investment income (loss) -- 105 Accumulated net realized gain (loss) on investments 119,850 459,218 Net unrealized appreciation (depreciation) of investments 1,656,914 1,121,526 - ------------------------------------------------------------------------------------------------------------- Total Net Assets $ 7,457,267 $ 7,190,437 - ------------------------------------------------------------------------------------------------------------- Shares of beneficial interest outstanding ($0.001 par value; unlimited number of shares authorized) 367,630 365,140 Net asset value, redemption and offering price per share $ 20.28 $ 19.69 - ------------------------------------------------------------------------------------------------------------- Cost of investments $ 5,436,614 $ 6,101,923 =============================================================================================================
See notes to financial statements. 35 JPMORGAN FUNDS Statement of Operations For the period ended December 31, 2003
INTREPID INTREPID ALL CAP FUND GROWTH FUND --------------------------------- 2/28/03(a) 2/28/03(a) THROUGH THROUGH 12/31/03 12/31/03 - ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ 367 $ 367 Dividend 54,546 31,550 Dividend income from affiliated investments* 1,138 693 - ------------------------------------------------------------------------------------------------------------- Total investment income 56,051 32,610 - ------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 34,025 32,222 Administration fees 7,852 7,436 Shareholder servicing fees 13,087 12,393 Custodian and accounting fees 32,744 33,679 Printing and postage 6,791 6,370 Professional fees 52,916 51,130 Registration fees 12,673 11,977 Transfer agent fees 11,804 11,292 Trustees' fees 83 83 Other 1,989 1,884 - ------------------------------------------------------------------------------------------------------------- Total expenses 173,964 168,466 - ------------------------------------------------------------------------------------------------------------- Less amounts waived 54,964 52,051 Less earnings credits 2 1 Less expense reimbursements 66,651 66,842 - ------------------------------------------------------------------------------------------------------------- Net expenses 52,347 49,572 - ------------------------------------------------------------------------------------------------------------- Net investment income (loss) 3,704 (16,962) - ------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments 1,085,209 775,121 Change in net unrealized appreciation (depreciation) of: Investments 1,107,412 1,060,368 - ------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments 2,192,621 1,835,489 - ------------------------------------------------------------------------------------------------------------- Net increase (decrease) in net assets from operations $ 2,196,325 $ 1,818,527 - ------------------------------------------------------------------------------------------------------------- * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 191 $ 113 =============================================================================================================
(a) Commencement of operations. See notes to financial statements. 36
INTREPID INTREPID INVESTOR FUND VALUE FUND --------------------------------- 2/28/03(a) 2/28/03(a) THROUGH THROUGH 12/31/03 12/31/03 - ------------------------------------------------------------------------------------------------------------- INVESTMENT INCOME: Interest $ 367 $ 367 Dividend 95,788 111,979 Dividend income from affiliated investments* 825 926 - ------------------------------------------------------------------------------------------------------------- Total investment income 96,980 113,272 - ------------------------------------------------------------------------------------------------------------- EXPENSES: Investment advisory fees 32,579 32,442 Administration fees 7,518 7,487 Shareholder servicing fees 12,531 12,478 Custodian and accounting fees 31,214 32,396 Printing and postage 6,471 6,421 Professional fees 49,705 49,455 Registration fees 12,124 12,063 Transfer agent fees 11,418 11,370 Trustees' fees 81 83 Other 1,905 1,897 - ------------------------------------------------------------------------------------------------------------- Total expenses 165,546 166,092 - ------------------------------------------------------------------------------------------------------------- Less amounts waived 52,628 52,407 Less earnings credits 42 3 Less expense reimbursements 62,754 63,770 - ------------------------------------------------------------------------------------------------------------- Net expenses 50,122 49,912 - ------------------------------------------------------------------------------------------------------------- Net investment income (loss) 46,858 63,360 - ------------------------------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS: Net realized gain (loss) on transactions from: Investments 322,301 819,636 Change in net unrealized appreciation (depreciation) of: Investments 1,656,914 1,121,526 - ------------------------------------------------------------------------------------------------------------- Net realized and unrealized gain (loss) on investments 1,979,215 1,941,162 Net increase (decrease) in net assets from operations $ 2,026,073 $ 2,004,522 * Includes reimbursements of investment advisory, administration and shareholder servicing fees : $ 140 $ 155 =============================================================================================================
(a) Commencement of operations. See notes to financial statements. 37 JPMORGAN FUNDS Statement of Changes in Net Assets For the periods indicated
INTREPID INTREPID INTREPID INTREPID ALL CAP FUND GROWTH FUND INVESTOR FUND VALUE FUND ------------------------------------------------------------- 2/28/03(a) 2/28/03(a) 2/28/03(a) 2/28/03(a) THROUGH THROUGH THROUGH THROUGH 12/31/03 12/31/03 12/31/03 12/31/03 - ----------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: Net investment income (loss) $ 3,704 $ (16,962) $ 46,858 $ 63,360 Net realized gain (loss) on investments 1,085,209 775,121 322,301 819,636 Change in net unrealized appreciation (depreciation) of investments 1,107,412 1,060,368 1,656,914 1,121,526 - ----------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) in net assets from operations 2,196,325 1,818,527 2,026,073 2,004,522 - ----------------------------------------------------------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS FROM: Net investment income (3,206) -- (47,473) (62,837) Net realized gain on investment transactions (476,832) (267,755) (201,836) (360,836) - ----------------------------------------------------------------------------------------------------------------------------------- Total distributions to shareholders (480,038) (267,755) (249,309) (423,673) - ----------------------------------------------------------------------------------------------------------------------------------- INCREASE (DECREASE) FROM CAPITAL SHARE TRANSACTIONS: Proceeds from shares issued 8,100,505 5,133,744 5,431,194 5,185,915 Dividends reinvested 387,750 267,755 249,309 423,673 Cost of shares redeemed -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Increase (decrease) from capital share transactions 8,488,255 5,401,499 5,680,503 5,609,588 - ----------------------------------------------------------------------------------------------------------------------------------- Total increase (decrease) in net assets 10,204,542 6,952,271 7,457,267 7,190,437 NET ASSETS: Beginning of period -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- End of period $ 10,204,542 $ 6,952,271 $ 7,457,267 $ 7,190,437 - ----------------------------------------------------------------------------------------------------------------------------------- ACCUMULATED NET INVESTMENT INCOME (LOSS) $ 498 $ -- $ -- $ 105 - ----------------------------------------------------------------------------------------------------------------------------------- SHARE TRANSACTIONS: Issued 491,138 340,515 355,039 343,038 Reinvested 19,834 13,981 12,591 22,102 Redeemed -- -- -- -- - ----------------------------------------------------------------------------------------------------------------------------------- Change in shares 510,972 354,496 367,630 365,140 - -----------------------------------------------------------------------------------------------------------------------------------
(a) Commencement of operations. 38 JPMORGAN FUNDS Notes to Financial Statements 1. ORGANIZATION J.P. Morgan Mutual Fund Series ("JPMMFS" or the "Trust") was organized on January 27, 2003 as a Massachusetts business trust, and is registered under the Investment Company Act of 1940, as amended, (the "1940 Act"), as an open-end management investment company. The following are four separate portfolios of the Trust (collectively, the "Funds"). Each Fund offers the Select class of shares. FUND JPMorgan Intrepid All Cap Fund ("ACF") JPMorgan Intrepid Growth Fund ("GF") JPMorgan Intrepid Investor Fund ("IF") JPMorgan Intrepid Value Fund ("VF") The Funds commenced operations on February 28, 2003. 2. SIGNIFICANT ACCOUNTING POLICIES THE FOLLOWING IS A SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES FOLLOWED BY THE FUNDS: The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. A. VALUATION OF INVESTMENTS -- Equity securities, purchased options and futures contracts are valued at the last sale price on the exchange on which they are primarily traded. The value of National Market Systems equity securities quotes by the Nasdaq Stock Market, Inc. shall generally be the Nasdaq Official Closing Price. Securities for which sale prices are not available and other over-the-counter securities are valued at the mean between the bid and asked quotations. Fixed income securities (other than convertible bonds) with a maturity of 61 days or more held by the Funds will be valued each day based on readily available market quotations received from independent or affiliated commercial pricing services. Such pricing services will generally provide bidside quotations. Convertible bonds are valued at the last sale price on the primary exchange on which the bond is principally traded. Short-term investments with 60 days or less to maturity at time of purchase are valued at amortized cost, which approximates market value. When valuations are not readily available, securities are valued at fair value as determined in accordance with procedures adopted by the Trustees. It is reasonably possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could have been material. Trading in securities on 39 most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Trustees, the Funds apply fair value pricing on a daily basis for all non-U.S. and non-Canadian equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless the Funds' advisor, J.P. Morgan Investment Management Inc. ("JPMIM" or the "Advisor"), determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movements and changes in the prices of indices, securities, and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value. B. RESTRICTED AND ILLIQUID SECURITIES -- Each Fund may invest in securities that are subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. A security may be considered illiquid if it lacks a readily available market or if its valuation has not changed for a certain period of time. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult. C. 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 an identified cost basis. Interest income is determined on the basis of coupon interest accrued using the interest method, adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld (if any) is recorded on the ex-dividend date or when the Funds first learn of the dividend. D. ALLOCATION OF EXPENSES -- Expenses directly attributable to a Fund are charged to that Fund; other expenses are allocated proportionately among each of the Funds within the Trust in relation to the net assets of each Fund or on another reasonable basis. E. FEDERAL INCOME TAXES -- Each Fund is treated as a separate taxable entity for Federal income tax purposes. The Funds' policy is to comply with the provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute to shareholders all of 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. F. 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 40 than timing of recognition -- "temporary differences"), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment. The following amounts were reclassified within the capital accounts:
ACCUMULATED ACCUMULATED UNDISTRIBUTED/ NET REALIZED (OVERDISTRIBUTED) GAIN (LOSS) PAID-IN-CAPITAL NET INVESTMENT INCOME ON INVESTMENTS - ---------------------------------------------------------------------------- GF $ -- $ 16,962 $ (16,962) IF -- 615 (615) VF -- (418) 418
The reclassification for GF relates primarily to current year net operating losses. The reclassification for IF relates primarily to the character for tax purposes of distributions. The reclassification for VF relates primarily to distributions from investments in REITs. G. 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 an Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. Prior to October 1, 2003, JPMIM was a wholly owned subsidiary of J.P. Morgan Chase & Co. ("JPMorgan"). On October 1, 2003, JPMIM became a wholly owned subsidiary of J.P. Morgan Fleming Asset Management Holdings, Inc., which is a wholly owned subsidiary of JPMorgan. The investment advisory services and personnel providing investment advice have not changed as a result of the ownership change. The ownership change did not constitute an assignment under the 1940 Act or the Investment Advisers Act of 1940. The Advisor supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate equal to 0.65% of the average daily net assets for each Fund. The Advisor waived fees as outlined in Note 3.E. The Funds may invest in one or more of the affiliated JPMorgan Money Market Funds. The Advisor has agreed to reimburse its advisory fee from the Funds in an amount sufficient to offset any doubling up of investment advisory, administration and shareholder servicing fees related to each Fund's investment in an affiliated money market fund. B. SHAREHOLDER SERVICING FEE -- The Trust has entered into a Shareholder Servicing Agreement on behalf of the Funds with JPMorgan Chase Bank ("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 0.25% of the average daily net assets for each Fund. JPMCB may enter into services contracts with certain entities under which it will pay all or a portion of the 0.25% annual fee to such entities for performing shareholder and administrative services. The Shareholder Servicing Agents waived fees as outlined in Note 3.E. 41 C. 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. D. ADMINISTRATION FEE -- Pursuant to the Administration Agreement, JPMCB (the "Administrator") provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at an annual rate equal to 0.15% of the first $25 billion of the average daily net assets of all non-money market funds in the JPMorgan Funds Complex and 0.075% of the average daily net assets in excess of $25 billion. BISYS Funds Services, L.P. ("BISYS") serves as the Funds' sub-administrator. For its services as sub-administrator, BISYS receives a portion of the fees payable to JPMCB as Administrator. The Administrator has contractually agreed to reimburse the Funds to the extent that total operating expenses (excluding interest, taxes and extraordinary expenses) exceed 1.00% of their respective average daily net assets. The contractual expense limitation agreements were in effect for the period ended December 31, 2003. The expense limitations are due to expire on April 30, 2005. The Administrator waived fees and reimbursed expenses as outlined in Note 3.E. E. WAIVERS AND REIMBURSEMENTS -- For the period ended December 31, 2003, the Funds' vendors waived fees and the Administrator contractually reimbursed expenses for each of the Funds as follows:
CONTRACTUAL WAIVERS -------------------------------------------------- INVESTMENT SHAREHOLDER CONTRACTUAL FUND ADVISORY ADMINISTRATION SERVICING TOTAL REIMBURSEMENTS - --------------------------------------------------------------------------- ACF $ 34,025 $ 7,852 $ 13,087 $ 54,964 $ 66,651 GF 32,222 7,436 12,393 52,051 66,842 IF 32,579 7,518 12,531 52,628 62,754 VF 32,442 7,487 12,478 52,407 63,770 - --------------------------------------------------------------------------- Total $ 131,268 $ 30,293 $ 50,489 $ 212,050 $ 260,017 - ---------------------------------------------------------------------------
F. OTHER -- Certain officers of the Trust are officers of JPMorgan 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 Advisor. 42 The Funds may use related party broker dealers. For the year ended December 31, 2003, the Funds did not purchase any securities from 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. 4. INVESTMENT TRANSACTIONS For the period ended December 31, 2003, purchases and sales of investments (excluding short-term investments) are as follows:
PURCHASES SALES (EXCLUDING U.S. (EXCLUDING U.S. GOVERNMENT) GOVERNMENT) - -------------------------------------------------------------------- ACF $ 17,659,703 $ 9,698,542 GF 14,102,210 8,960,835 IF 9,516,086 4,480,597 VF 11,799,314 6,600,893
5. FEDERAL INCOME TAX MATTERS For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at December 31, 2003, are as follows:
GROSS GROSS NET UNREALIZED UNREALIZED UNREALIZED APPRECIATION AGGREGATE COST APPRECIATION DEPRECIATION (DEPRECIATION) - ------------------------------------------------------------------------------- ACF $ 9,363,703 $ 1,123,511 $ (18,296) $ 1,105,215 GF 5,936,444 1,088,196 (27,828) 1,060,368 IF 5,437,119 1,687,841 (31,432) 1,656,409 VF 6,104,912 1,122,555 (4,018) 1,118,537
The tax character of distributions paid during the year ended December 31, 2003 is as follows:
ORDINARY LONG-TERM TOTAL INCOME CAPITAL GAIN DISTRIBUTIONS - ----------------------------------------------------------------------------- ACF $ 480,038 $ -- $ 480,038 GF 267,755 -- 267,755 IF 249,309 -- 249,309 VF 423,673 -- 423,673
43 At December 31, 2003, the components of net assets (excluding paid in capital) on a tax basis are as follows:
ACF GF IF VF - ----------------------------------------------------------------------------------------- Current distributable ordinary income $ 611,072 $ 490,404 $ 120,355 $ 461,894 Plus/Less: cumulative timing differences -- -- -- -- ----------- ----------- ----------- ----------- Undistributed ordinary income or overdistribution of ordinary income $ 611,072 $ 490,404 $ 120,355 $ 461,894 =========== =========== =========== =========== Current distributable long-term capital gain or tax basis capital loss carryover -- -- -- 418 Plus/Less: cumulative timing differences -- -- -- -- ----------- ----------- ----------- ----------- Undistributed long-term gains/accumulated capital loss -- -- -- 418 =========== =========== =========== =========== Unrealized appreciation (depreciation) $ 1,105,215 $ 1,060,368 $ 1,656,409 $ 1,118,537 =========== =========== =========== ===========
For ACF, IF, and VF, the differences between book and tax basis unrealized appreciation (depreciation) are primarily attributable to wash sales. 6. BANK BORROWINGS Pursuant to a Line of Credit Agreement dated April 17, 2003, the Funds may borrow money for temporary or emergency purposes. The Funds have entered into the agreement, enabling them to participate with other JPMorgan Funds in a line of credit with JPMCB, as administrative agent, and with a syndicate of banks, which permits borrowings up to $250 million, collectively. Interest is charged to each Fund based on its borrowings at an annual rate equal to the sum of the Federal Funds Rate plus 0.50%. The Funds also pay a commitment fee of 0.09% per annum on the average daily amount of the available commitment, which is allocated on a pro-rata basis to the Funds. The commitment fee is included in Other expenses on the Statement of Operations. This agreement will expire on April 15, 2004. The Funds had no borrowings outstanding at December 31, 2003, nor at any time during the period then ended. 7. CONCENTRATIONS AND INDEMNIFICATIONS At December 31, 2003, 69%, 98%, 95%, and 98% of the outstanding shares of ACF, GF, IF, and VF respectively were owned by a related party. Investment activities of these shareholders could have a material impact on the Funds. In the normal course of business, the Funds enter into contracts that contain a variety of representations, which provide general indemnifications. Each Fund's maximum exposure under these arrangements is unknown, as this would involve 44 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. 8. SUBSEQUENT EVENTS On January 14, 2004, J. P. Morgan Chase & Co. and Bank One Corp. announced they have entered into an agreement and plan of merger. The merger is subject to the approval of the shareholders of both institutions as well as U.S. federal and state and foreign regulatory authorities. Completion of the transaction is expected to occur in mid-2004. The JPMorgan Intrepid All Cap Fund will undergo changes to its name, investment strategy and benchmark. Effective April 30, 2004, the Fund will be named JPMorgan Intrepid America Fund and its benchmark will be the Russell 1000 Index. 45 JPMORGAN FUNDS FINANCIAL HIGHLIGHTS
INTREPID INTREPID INTREPID INTREPID ALL CAP FUND GROWTH FUND INVESTOR FUND VALUE FUND ---------------------------------------------------------- SELECT SELECT SELECT SELECT ---------------------------------------------------------- 2/28/03* 2/28/03* 2/28/03* 2/28/03* THROUGH THROUGH THROUGH THROUGH PER SHARE OPERATING PERFORMANCE: 12/31/03 12/31/03 12/31/03 12/31/03 - ---------------------------------------------------------------------------------------------------------------------------------- Net asset value, beginning of period $ 15.00 $ 15.00 $ 15.00 $ 15.00 - ---------------------------------------------------------------------------------------------------------------------------------- Income from investment operations: Net investment income (loss) 0.01 (0.05) 0.14 0.19 Net gains or losses in securities (both realized and unrealized) 6.09 5.45 5.88 5.74 ------------ ----------- ------------- ---------- Total from investment operations 6.10 5.40 6.02 5.93 ------------ ----------- ------------- ---------- Less distributions: Dividends from net investment income 0.01 -- 0.14 0.19 Distributions from capital gains 1.12 0.79 0.60 1.05 ------------ ----------- ------------- ---------- Total distributions 1.13 0.79 0.74 1.24 ------------ ----------- ------------- ---------- Net asset value, end of period $ 19.97 $ 19.61 $ 20.28 $ 19.69 - ---------------------------------------------------------------------------------------------------------------------------------- TOTAL RETURN (a) 40.84% 36.10% 40.28% 39.74% ================================================================================================================================== RATIOS/SUPPLEMENTAL DATA: - ---------------------------------------------------------------------------------------------------------------------------------- Net assets, end of period (thousands) $ 10,205 $ 6,952 $ 7,457 $ 7,190 - ---------------------------------------------------------------------------------------------------------------------------------- RATIOS TO AVERAGE NET ASSETS: # - ---------------------------------------------------------------------------------------------------------------------------------- Net expenses 1.00% 1.00% 1.00% 1.00% - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) 0.07% (0.34%) 0.92% 1.26% - ---------------------------------------------------------------------------------------------------------------------------------- Expenses without waivers, reimbursements and earnings credits 3.30% 3.37% 3.27% 3.30% - ---------------------------------------------------------------------------------------------------------------------------------- Net investment income (loss) without waivers, reimbursements and earnings credits (2.23%) (2.71%) (1.35%) (1.04%) - ---------------------------------------------------------------------------------------------------------------------------------- PORTFOLIO TURNOVER RATE (a) 148% 149% 74% 110% - ----------------------------------------------------------------------------------------------------------------------------------
* Commencement of operations. (a) Not annualized for periods less than one year. # Short periods have been annualized. See notes to financial statements. 46 JPMORGAN FUNDS Report of Independent Auditors To the Trustees and Shareholders of J.P. Morgan Mutual Fund Series: 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 the JPMorgan Intrepid All Cap Fund, the JPMorgan Intrepid Growth Fund, the JPMorgan Intrepid Investor Fund, and the JPMorgan Intrepid Value Fund (four portfolios of J.P. Morgan Mutual Fund Series and hereafter referred to as the "Funds") at December 31, 2003, and the results of each of their operations, the changes in each of their net assets and the financial highlights for the period February 28, 2003 (commencement of operations) through December 31, 2003, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as "financial statements") are the responsibility of the Funds' management; our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit of these financial statements in accordance with auditing standards generally accepted in the United States of America, which require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audit, which included confirmation of securities at December 31, 2003 by correspondence with the custodian and brokers, provides a reasonable basis for our opinion. PricewaterhouseCoopers LLP New York, New York February 24, 2004 47 JPMORGAN FUNDS Trustees Information (unaudited) The following tables contain basic information regarding the Trustees and Officers, respectively, that oversee operations of the Trusts and other investment companies within the JPMorgan Funds complex.
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX - ------------------------------------------------------------------------------------------------------------------------------------ NON-INTERESTED TRUSTEE(S) William J. Armstrong; Trustee Since 2003 Retired; Vice President 69 None 522 Fifth Avenue, and Treasurer of New York, NY 10036; Ingersoll-Rand Company 1941 (manufacturer of industrial equipment) (1972-2000) Roland R. Eppley, Jr.; Trustee Since 2003 Retired 69 Director, Janel Hydro, Inc. 522 Fifth Avenue, (1993-Present) New York, NY 10036; 1932 Ann Maynard Gray; Trustee Since 2003 Vice President of 69 Director of Duke Energy 522 Fifth Avenue, Capital Cities/ABC, Inc. Corporation (1997- Present); New York, NY 10036; (communications) Director of Elan Corporation, 1945 (1986-1998); President Plc (pharmaceuticals) of Diversified (2001-Present); Director of Publishing Group The Phoenix Companies (wealth (1991-1997) management) (2002-Present) Matthew Healey; Trustee and Since 2003 Retired; Chief Executive 69 None 522 Fifth Avenue, President of Officer of certain J.P. New York, NY 10036; the Board of Morgan Fund Trusts 1937 Trustees (1982-2001) Fergus Reid, III; Trustee and Since 2003 Chairman of Lumelite 69 Trustee of 16 Morgan Stanley 522 Fifth Avenue, Chairman of Corporation (plastics Funds (1995-Present) New York, NY 10036; the Board of manufacturing) 1932 Trustees (1985-Present) James J. Schonbachler; Trustee Since 2003 Retired; Managing 69 None 522 Fifth Avenue, Director of Bankers New York, NY 10036; Trust Company, 1943 (financial services) (1968-1998); Group Head and Director of Bankers Trust, A.G., Zurich and BT Brokerage Corp. (financial services) (1995 - 2002) Robert J. Higgins; Trustee Since 2003 Director of 69 Director of Providian 522 Fifth Avenue, Administration of the Financial Corp. (banking) New York, NY 10036; State of Rhode Island (2002-Present) 1945 (2003-Present); President - Consumer Banking and Investment Services Fleet Boston Financial (1971-2002)
48 JPMORGAN FUNDS Trustee and Officer Information (unaudited)
POSITIONS NUMBER OF PORT- OTHER HELD WITH PRINCIPAL FOLIOS IN JPMORGAN DIRECTORSHIPS EACH TERM OF OFFICE OCCUPATIONS FUND COMPLEX(1) HELD OUTSIDE NAME, CONTACT ADDRESS JPMORGAN AND LENGTH OF DURING PAST OVERSEEN BY JPMORGAN FUND AND YEAR OF BIRTH TRUST TIME SERVED 5 YEARS TRUSTEE COMPLEX - ----------------------------------------------------------------------------------------------------------------------------------- NON-INTERESTED TRUSTEE(S) Dr. Matthew Goldstein; Trustee Since 2003 Chancellor of the City 69 Trustee of the Albert Einstein 522 Fifth Avenue, University of New York, School of Medicine New York, NY 10036; since September 1, 1999; (1998-Present); Trustee of 1941 President, Adelphi Bronx Lebanon Hospital Center University (New York) (1992-Present); Director of (1998-1999). New Plan Excel Realty Trust, Inc. (real estate investment company) (2000- Present); Director of Lincoln Center Institute for the Arts in Education (1999-Present); Director of Jewish Community Relations Counsel of New York, Inc. (2000-Present); Director of United Way of New York City (2002-Present). William G. Morton, Jr.; Trustee Since 2003 Formerly Chairman 69 Director of Radio Shack 522 Fifth Avenue, Emeritus (March 2001- Corporation (electronics) New York, NY 10036; October 2002), and (1987-Present); Director of 1937 Chairman and Chief the Griswold Company Executive Officer, (securities brokerage) Boston Stock Exchange (2002-Present); Director of (June 1985-March 2001). The National Football Foundation and College Hall of Fame (1994-Present); Trustee of the Berklee College of Music (1998-Present); Trustee of the Stratton Mountain School (2001-Present). INTERESTED TRUSTEE(S) Leonard M. Spalding* Trustee Since 2003 Retired; Chief Executive 69 Director of Glenview Trust; 522 Fifth Avenue, Officer of Chase Mutual Director of Pizza Magia; New York, NY 10036; Funds (investment Trustee of St. Catherine 1935 company) (1989-1998); College Trust; Trustee of Chief Investment Bellarmine University Trust; Executive of Chase Director of Marion Washington Manhattan Private Bank Airport Board Trust; Director (investment management) of Springfield Washington (1990-1995) Economic Development Board Trust.
*Mr. Spalding is deemed to be an "interested person" due to his ownership of equity securities of J.P. Morgan Chase & Co. (1) A Fund Complex means two or more investment companies that hold themselves out to investors as related companies for purposes of investment and investment services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other investment companies. The JPMorgan Fund Complex for which the Trustees serve includes 13 investment companies. 49
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------ George Gatch; President Since 2003 Managing Director, J.P. Morgan 522 Fifth Avenue, Investment Management New York, NY 10036; Inc. (JPMIM); Head of J.P. Morgan 1962 Fleming's U.S. Mutual Funds and Financial Intermediaries Business ("FFI"); he has held numerous positions throughout the firm in business management, marketing and sales. Patricia A. Maleski; Treasurer Since 2003 Vice President, JPMIM.; Head of 522 Fifth Avenue, FFI and U.S. Institutional New York, NY 10036; Funds Administration and Board 1960 Liaison. Prior to joining J.P. Morgan Chase in 2001, she was the Vice President of Finance for the Pierpont Group, Inc., a service provider to the board of trustees of the heritage JPMorgan Funds. Sharon J. Weinberg; Secretary Since 2003 Managing Director, JPMIM; since 522 Fifth Avenue, joining J.P. Morgan Chase in New York, NY 10036; 1996, she has held numerous 1959 positions throughout the asset management business in mutual funds marketing, legal and product development. Stephen M. Ungerman; Vice President and Since 2003 Vice President, JPMIM; Business 522 Fifth Avenue, Assistant Treasurer Head for Vehicle Services Group New York, NY 10036; within Fund Administration; 1953 prior to joining J.P. Morgan Chase in 2000, he held a number of senior management positions in Prudential Insurance Co. of America's asset management business, including Associate General Counsel, Tax Director and Co-head of Fund Administration Department; Mr. Ungerman was also the Assistant Treasurer of all mutual funds managed by Prudential. Judy R. Bartlett; Vice President and Since 2003 Vice President and Assistant 522 Fifth Avenue, Assistant Secretary General Counsel, JPMIM, since New York, NY 10036; September 2000; from August 1965 1998 through August 2000, she was an attorney at New York Life Insurance Company where she served as Assistant Secretary for the Mainstay Funds. Joseph J. Bertini; Vice President and Since 2003 Vice President and Assistant 522 Fifth Avenue, Assistant Secretary General Counsel, JPMIM. New York, NY 10036; 1965 Wayne H. Chan; Vice President and Since 2003 Vice President and Assistant 522 Fifth Avenue, Assistant Secretary General Counsel, JPMIM, since New York, NY 10036; September 2002; Mr. Chan was an 1965 associate at the law firm of Shearman and Sterling LLP from May 2001 through September 2002; Swidler Berlin Shereff Friedman LLP from June 1999 through May 2001 and Whitman Breed Abbott & Morgan LLP from September 1997 through May 1999. Thomas J. Smith Vice President and Since 2003 Managing Director, Head of 522 Fifth Avenue, Assistant Secretary Compliance for J.P. Morgan New York, NY 10036; Chase & Co.'s asset management 1955 business in the Americas. Paul M. DeRusso Assistant Treasurer Since 2003 Vice President, JPMIM; Manger 522 Fifth Avenue, of the Budgeting and Expense New York, NY 10036; Group of Funds Administration 1954 Group. Lai Ming Fung Assistant Treasurer Since 2003 Associate, JPMIM; Budgeting 522 Fifth Avenue, Analyst for the Budgeting and New York, NY 10036; Expense Group of Funds 1974 Administration Group. Mary D. Squires Assistant Treasurer Since 2003 Vice President, JPMIM; 522 Fifth Avenue, Ms. Squires has held numerous New York, NY 10036; financial and operations 1955 positions supporting the J.P. Morgan Chase organization complex.
50
POSITIONS HELD TERM OF OFFICE NAME, CONTACT ADDRESS WITH EACH AND LENGTH OF PRINCIPAL OCCUPATIONS AND YEAR OF BIRTH JPMORGAN TRUST TIME SERVED DURING PAST 5 YEARS - ------------------------------------------------------------------------------------------------ Michael Ciotola Assistant Treasurer Since 2003 Director of Financial Services 3435 Stelzer Rd. Columbus, of BISYS Fund Services, Inc. OH 43219 since January 2003; held 1968 various positions within BISYS since 1998. Arthur A. Jensen Assistant Treasurer Since 2003 Vice President of Financial 3435 Stelzer Rd. Columbus, Services of BISYS Fund OH 43219 Services, Inc. since June 2001; 1966 formerly Section Manager of Northern Trust Company and Accounting Supervisor at Allstate Insurance Company. Martin R. Dean Assistant Treasurer Since 2003 Vice President of Regulatory 3435 Stelzer Rd. Columbus, Services of BISYS Fund OH 43219 Services, Inc. 1963 Alaina Metz Assistant Secretary Since 2003 Chief Administrative Officer of 3435 Stelzer Rd. Columbus, BISYS Fund Services, Inc.; OH 43219 formerly, Supervisor of the 1967 Blue Sky Department of Alliance Capital Management, L.P. Ryan M. Louvar; Assistant Secretary Since 2003 Counsel of Legal Services, 60 State Street, BISYS Fund Services, Inc. since Suite 1300 Boston, 2000; formerly Attorney at MA 02109; Hill, Farrer & Burrill LLP from 1972 1999 to 2000 and Knapp Peterson Clarke, PC from 1997 to 1999. Lisa Hurley Assistant Secretary Since 2003 Executive Vice President and 60 State Street, General Counsel of BISYS Fund Suite 1300 Boston, Services, Inc. MA 02109 1955
Additional information concerning the Trustees is contained in the Statement of Additional Information and is available without charge by calling 1-800-348-4782. 51 TAX LETTER (UNAUDITED) JPMorgan Intrepid All Cap Fund ("ACF") JPMorgan Intrepid Growth Fund ("GF") JPMorgan Intrepid Investor Fund ("IF") JPMorgan Intrepid Value Fund ("VF") Certain tax information for the JPMorgan Funds is required to be provided to shareholders based upon the Funds' income and distributions for the taxable year ended December 31, 2003. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2003. The information necessary to complete your income tax returns for the calendar year ending December 31, 2003 will be received under separate cover. The following represents the percentage of ordinary income distributions eligible for the dividends received deduction for the fiscal year ended December 31, 2003.
DIVIDENDS RECEIVED FUND DEDUCTION - -------------------------------------------------------------------- ACF 4.85% GF 3.82% IF 25.62% VF 12.29%
For the fiscal year ended December 31, 2003, certain dividends paid by the Funds may be subject to a maximum tax rate of 15% as provided for by the Jobs and Growth Tax Relief Reconciliation Act of 2003. The 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 2003 Form 1099-DIV. For the fiscal year ended December 31, 2003, the following represents the percentage of ordinary income distributions treated as qualified dividends:
PERCENTAGE OF FUND DISTRIBUTIONS - ------------------------------------------------------------------- ACF 9.07% GF 9.76% IF 37.17% VF 22.42%
52 THIS PAGE IS INTENTIONALLY LEFT BLANK JPMorgan Family of Funds U.S. EQUITY FUNDS Capital Growth Fund Disciplined Equity Fund Diversified Fund Dynamic Small Cap Fund Equity Growth Fund Equity Income Fund Growth and Income Fund Mid Cap Equity Fund Mid Cap Growth Fund Mid Cap Value Fund Small Cap Equity Fund Small Cap Growth Fund Trust Small Cap Equity Fund U.S. Equity Fund U.S. Small Company Fund U.S. Small Company Opportunities Fund Value Opportunities Fund INTERNATIONAL EQUITY FUNDS Fleming Asia Equity Fund Fleming Emerging Markets Equity Fund Fleming European Fund Fleming International Equity Fund Fleming International Growth Fund Fleming International Opportunities Fund Fleming International Value Fund Fleming Japan Fund SPECIALTY FUNDS Global 50 Fund Global Healthcare Fund Market Neutral Fund TAX AWARE FUNDS Fleming Tax Aware International Opportunities Fund Tax Aware Disciplined Equity Fund Tax Aware Enhanced Income Fund Tax Aware Large Cap Growth Fund Tax Aware Large Cap Value Fund Tax Aware Short-Intermediate Income Fund Tax Aware U.S. Equity Fund INCOME FUNDS Bond Fund Bond Fund II Enhanced Income Fund Fleming Emerging Markets Debt Fund Global Strategic Income Fund Short Term Bond Fund Short Term Bond Fund II Strategic Income Fund U.S. Treasury Income Fund TAX FREE FUNDS California Bond Fund Intermediate Tax Free Income Fund New Jersey Tax Free Income Fund New York Intermediate Tax Free Income Fund Tax Free Income Fund MONEY MARKET FUNDS 100% U.S. Treasury Securities Money Market Fund California Tax Free Money Market Fund Federal Money Market Fund Liquid Assets Money Market Fund New York Tax Free Money Market Fund Prime Money Market Fund Tax Free Money Market Fund Treasury Plus Money Market Fund U.S. Government Money Market Fund Funds may be registered under separate registrants. ANNUAL REPORT JPMorgan Funds are distributed by J.P. Morgan Fund Distributors, Inc., which is unaffiliated with The JPMorgan Chase Bank. JPMorgan Chase and its respective affiliates receive compensation from JPMorgan Funds for providing services to the Funds. This report is submitted for the general information of the shareholders of the funds. It is not authorized for distribution to prospective investors in the funds unless preceded or accompanied by a prospectus. To obtain a prospectus for any of the JPMorgan Funds, call 1-800-348-4782. The prospectus contains more complete information, including charges and expenses. Please read it carefully before you invest or send money. A list of portfolio holdings is available fifteen days after month-end upon request. Please contact your JPMorgan Fleming representative or call 1-800-766-7722 to obtain further information. JPMorgan Funds Fulfillment Center 600 North Bedford Street East Bridgewater, MA 02333 (C) J.P. Morgan Chase & Co., 2004 All Rights Reserved. February 2004 AN-INT-1203 ITEM 2. CODE OF ETHICS. Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant's principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so. THE REGISTRANT HAS ADOPTED A CODE OF ETHICS THAT APPLIES TO THE REGISTRANT'S PRINCIPAL EXECUTIVE OFFICER, PRINCIPAL FINANCIAL OFFICER, PRINCIPAL ACCOUNTING OFFICER OR CONTROLLER, OR PERSONS PERFORMING SIMILAR FUNCTIONS. THE REGISTRANT WILL PROVIDE ANY PERSON WITHOUT CHARGE, UPON REQUEST, A COPY OF THE CODE OF ETHICS. A REQUEST MAY BE MADE BY CALLING 1-800-348-4782. ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT. (a) (1) Disclose that the registrant's board of directors has determined that the registrant either: (i) Has at least one audit committee financial expert serving on its audit committee; or (ii) Does not have an audit committee financial expert serving on its audit committee. THE REGISTRANT'S BOARD OF DIRECTORS HAS DETERMINED THAT THE REGISTRANT HAS AT LEAST ONE AUDIT COMMITTEE FINANCIAL EXPERT SERVING ON ITS AUDIT COMMITTEE. (2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is "independent." In order to be considered "independent" for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee: (i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or (ii) Be an "interested person" of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a- 2(a)(19)). THE AUDIT COMMITTEE FINANCIAL 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 $28,000 in 2002 and $146,130 in 2003. (b) AUDIT-RELATED FEES. There were no audit-related fees for the Registrant during the Reporting Periods. The aggregate fees billed in the Reporting Periods for assurance and related services by the Auditor to the Registrant's investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by or under common control with the investment adviser that provides ongoing services to the Registrant ("Service Affiliates"), that were reasonably related to the performance of the annual audit of the Service Affiliates, which required pre-approval by the Audit Committee were $8,277,000 from May 6, 2003 to December 31, 2003 (prior to May 6, 2003 services provided by the Auditor were not required to be pre-approved). (c) TAX FEES. The aggregate fees billed to the Registrant in the Reporting Periods for professional services rendered by the Auditor for tax compliance, tax advice and tax planning ("Tax Services") were none in 2002 and $32,400 in 2003. These services consisted of review or preparation of U.S. federal, state, local and excise tax returns. There were no fees billed for Tax Services by the Auditor to Service Affiliates which required pre-approval by the Audit Committee for the period May 6, 2003 through December 31, 2003. (d) ALL OTHER FEES. There were no other fees billed in the Reporting Periods for products and services provided by the Auditor to the Registrant, or services provided to Service Affiliates which were required to be pre-approved on or after May 6, 2003 until December 31, 2003, other than the services reported above. (e) AUDIT COMMITTEE PRE-APPROVAL POLICIES AND PROCEDURES. In addition to pre-approving any services to be provided by the Auditor to the Registrant, the Audit Committee considers and approves any non-audit services to be provided to the Service Affiliates by the Auditor and the fees to be charged for such non-audit services. Pre-approval considerations include whether the proposed services are compatible with maintaining the Auditor's independence. 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 Reporting Periods were $46.4 million in 2002 and $28.3 million in 2003. (h) AUDITOR INDEPENDENCE. The Registrant's Audit Committee has considered whether the provision of non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the Auditor's independence. All services provided by the Auditor to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required. ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS. (a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant's audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state. (b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees. NOT APPLICABLE. ITEM 6. [RESERVED] ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company's investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company's investment adviser, or any other third party, that the company uses, or that are used on the company's behalf, to determine how to vote proxies relating to portfolio securities. NOT APPLICABLE. ITEM 8. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. (a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any "affiliated purchaser," as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant's equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781). NOT APPLICABLE. ITEM 9. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant's board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item. NOT APPLICABLE. ITEM 10. CONTROLS AND PROCEDURES. (a) Disclose the conclusions of the registrant's principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)). THE REGISTRANT'S PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS HAVE CONCLUDED, BASED ON THEIR EVALUATION OF THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES AS OF A DATE WITHIN 90 DAYS OF THE FILING DATE OF THIS REPORT, THAT THE REGISTRANT'S DISCLOSURE CONTROLS AND PROCEDURES ARE REASONABLY DESIGNED TO ENSURE THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT ON FORM N-CSR IS RECORDED, PROCESSED, SUMMARIZED AND REPORTED WITHIN THE REQUIRED TIME PERIODS AND THAT INFORMATION REQUIRED TO BE DISCLOSED BY THE REGISTRANT IN THE REPORTS THAT IT FILES OR SUBMITS ON FORM N-CSR IS ACCUMULATED AND COMMUNICATED TO THE REGISTRANT'S MANAGEMENT, INCLUDING ITS PRINCIPAL EXECUTIVE AND PRINCIPAL FINANCIAL OFFICERS, AS APPROPRIATE TO ALLOW TIMELY DECISIONS REGARDING REQUIRED DISCLOSURE. (b) Disclose any change in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant's last fiscal half-year (the registrant's second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. THERE WERE NO CHANGES IN THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING THAT OCCURRED DURING THE REGISTRANT'S MOST RECENT FISCAL HALF-YEAR (THE REGISTRANT'S SECOND FISCAL HALF-YEAR IN THE CASE OF AN ANNUAL REPORT) THAT HAVE MATERIALLY AFFECTED, OR ARE REASONABLY LIKELY TO MATERIALLY AFFECT, THE REGISTRANT'S INTERNAL CONTROL OVER FINANCIAL REPORTING. ITEM 11. EXHIBITS. (a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. (a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit. NOT APPLICABLE - SEE ITEM 2 ABOVE. (a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2 under the Act (17 CFR 270.30a-2). CERTIFICATIONS PURSUANT TO SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. (a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons. NOT APPLICABLE. (b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. CERTIFICATIONS PURSUANT TO SECTION 906 OF THE SARBANES-OXLEY ACT OF 2002 ARE ATTACHED HERETO. SIGNATURES [See General Instruction F] Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. (Registrant) J.P. Morgan Mutual Fund Series -------------------------------------------------------------------- By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date March 5, 2004 ---------------------------------------------------------------------------- Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By (Signature and Title)* /s/ Patricia A. Maleski ------------------------------------------------------- Patricia A. Maleski, Treasurer Date March 5, 2004 ---------------------------------------------------------------------------- By (Signature and Title)* /S/ George C.W. Gatch ------------------------------------------------------- George C.W. Gatch, President Date March 5, 2004 ---------------------------------------------------------------------------- * Print the name and title of each signing officer under his or her signature. - -------------------------------------------------------------------------------- EX-99.CERT 3 a2129983zex-99_cert.txt EX-99.CERT Exhibit 99.Cert CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, George C.W. Gatch, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Intrepid All Cap Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Investor Fund and JPMorgan Intrepid Value Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Series; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ George C. W. Gatch - ------------------------------------- George C.W. Gatch President March 5, 2004 - ------------------------------------- Date CERTIFICATION PURSUANT TO SECTION 302 OF THE SARBANES OXLEY ACT OF 2002 I, Patricia A. Maleski, certify that: 1. I have reviewed this report on Form N-CSR of the JPMorgan Intrepid All Cap Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Investor Fund and JPMorgan Intrepid Value Fund (the "Funds"), each a series of J.P. Morgan Mutual Fund Series; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the financial statements and other information included in this report, fairly present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the Funds as of, and for, the periods presented in this report; 4. The Funds' other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the Funds and have: a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the Funds, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; c) Evaluated the effectiveness of the Funds' disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report based on such evaluation; and d) Disclosed in this report any change in the Funds' internal control over financial reporting that occurred during the Funds' most recent fiscal half-year (the Funds' second fiscal half-year in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the Funds' internal control over financial reporting; and 5. The Funds' other certifying officer(s) and I have disclosed to the Funds' auditors and the audit committee of the Funds' board of directors (or persons performing the equivalent functions): a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the Funds' ability to record, process, summarize, and report financial information; and b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the Funds' internal control over financial reporting. /s/ Patricia A. Maleski - ------------------------------------- Patricia A. Maleski Treasurer March 5, 2004 - ------------------------------------- Date EX-99.906CERT 4 a2129983zex-99_906cert.txt EX-99.906CERT Exhibit 99.906Cert CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended December 31, 2003 of the JPMorgan Intrepid All Cap Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Investor Fund and JPMorgan Intrepid Value Fund, each a series of J.P. Morgan Mutual Fund Series (the "Registrant"). I, George C.W. Gatch, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of JPMorgan Intrepid All Cap Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Investor Fund and JPMorgan Intrepid Value Fund, each a series of the Registrant. /s/ George C.W. Gatch - ------------------------------------- George C.W. Gatch President March 5, 2004 - ------------------------------------- Date A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request. CERTIFICATION PURSUANT TO SECTION 906 OF THE SARBANES OXLEY ACT OF 2002 This certification is provided pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, 18 U.S.C. Section 1350, and accompanies the report on Form N-CSR for the period ended December 31, 2003 of the JPMorgan Intrepid All Cap Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Investor Fund and JPMorgan Intrepid Value Fund, each a series of J.P. Morgan Mutual Fund Series (the "Registrant"). I, Patricia A. Maleski, certify that: 1. The Form N-CSR fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m(a) or 78o(d)); and The information contained in the Form N-CSR fairly presents, in all material respects, the financial condition and results of operations of JPMorgan Intrepid All Cap Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Investor Fund and JPMorgan Intrepid Value Fund, each a series of the Registrant. /s/ Patricia A. Maleski - ------------------------------------- Patricia A. Maleski Treasurer March 5, 2004 - ------------------------------------- Date A signed original of this written statement required by Section 906 has been provided to the Registrant and will be retained by the Registrant and furnished to the Securities and Exchange Commission or its staff upon request. -----END PRIVACY-ENHANCED MESSAGE-----