<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN INSTITUTIONAL TAX AWARE
DISCIPLINED EQUITY FUND
December 1, 1999
Dear Shareholder:
We are pleased to report that the J.P. Morgan Institutional Tax Aware
Disciplined Equity Fund delivered a strong total return of 24.72% for the 12
months ended October 31, 1999, although it did trail the S&P 500 Index and the
Lipper Large-Cap Core Funds Average.
The fund's net asset value on October 31 was $18.19 per share, increasing from
$14.71 per share after distributions of nearly $0.15 per share in ordinary
income over the 12-month period. The fund's net assets rose to more than $340
million on October 31.
Included in this report is an interview with Robin B. Chance, a member of the
portfolio management team. This interview is designed to reflect what happened
during the reporting period, as well as provide an outlook for the months ahead.
As chairman and president of Asset Management Services, we thank you for
investing with J.P. Morgan. Should you have any comments or questions, please
telephone your Morgan representative or J.P. Morgan Funds Services at
800-766-7722.
Sincerely yours,
/s/ Ramon de Oliveira /s/ Keith M. Schappert
Ramon de Oliveira Keith M. Schappert
Chairman of Asset Management Services President of Asset Management Services
J.P. Morgan & Co. Incorporated J.P. Morgan & Co. Incorporated
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
<S> <C> <C> <C>
LETTER TO THE SHAREHOLDERS.........1 FUND FACTS AND HIGHLIGHTS..........5
FUND PERFORMANCE...................2 FINANCIAL STATEMENTS...............8
PORTFOLIO MANAGER Q&A..............3
- --------------------------------------------------------------------------------
</TABLE>
1
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
There are several ways to evaluate a mutual fund's historical performance
record. One approach is to look at the growth of a hypothetical investment of
$1,000,000 (the minimum investment in the fund). The chart at right shows that
$1,000,000 invested on January 31, 1997*, would have grown to $1,851,479 on
October 31, 1999.
Another way to look at performance is to review a fund's average annual total
return. This figure takes the fund's actual (or cumulative) return and shows
what would have happened if the fund had achieved that return by performing at a
constant rate each year. Average annual total returns represent the average
yearly change of a fund's value over various time periods, typically one, five,
or ten years (or since inception). Total returns for periods of less than one
year are not annualized and provide a picture of how a fund has performed over
the short term.
GROWTH OF $1,000,000 SINCE FUND INCEPTION*
JANUARY 31, 1997 -- OCTOBER 31,1999
[GRAPH]
<TABLE>
<CAPTION>
INST. TAX AWARE LIPPER
DISC. EQUITY S&P 500 LARGE-CAP CORE
<S> <C> <C> <C>
1/31/97 1,000,000 1,000,000 1,000,000
2/28/97 1,008,973 1,007,840 997,700
3/31/97 964,108 966,428 955,198
4/30/97 1,021,934 1,024,124 1,003,818
5/31/97 1,097,707 1,086,473 1,065,853
6/30/97 1,149,551 1,135,147 1,109,553
7/31/97 1,249,252 1,225,471 1,196,764
8/31/97 1,186,441 1,156,820 1,138,602
9/30/97 1,247,258 1,220,179 1,195,873
10/31/97 1,204,387 1,179,425 1,156,409
11/30/97 1,256,231 1,234,020 1,192,836
12/31/97 1,277,832 1,255,208 1,210,490
1/31/98 1,294,896 1,269,091 1,222,958
2/28/98 1,389,253 1,360,618 1,309,788
3/31/98 1,460,523 1,430,295 1,370,170
4/30/98 1,483,591 1,444,684 1,384,831
5/31/98 1,469,519 1,419,850 1,355,195
6/30/98 1,522,792 1,477,524 1,408,454
7/31/98 1,508,659 1,461,788 1,391,553
8/31/98 1,282,058 1,250,443 1,179,341
9/30/98 1,369,677 1,330,546 1,248,215
10/31/98 1,484,523 1,438,773 1,343,453
11/30/98 1,593,516 1,525,977 1,423,523
12/31/98 1,684,423 1,613,904 1,519,611
1/31/99 1,740,098 1,681,397 1,577,356
2/28/99 1,687,460 1,629,139 1,524,830
3/31/99 1,755,282 1,694,321 1,589,331
4/30/99 1,845,361 1,759,942 1,639,553
5/31/99 1,809,893 1,718,390 1,600,368
6/30/99 1,912,244 1,813,761 1,693,189
7/31/99 1,848,368 1,757,135 1,645,611
8/31/99 1,826,025 1,748,349 1,629,977
9/30/99 1,764,075 1,700,427 1,591,347
10/31/99 1,851,479 1,808,030 1,689,374
</TABLE>
LIPPER PERFORMANCE AVERAGES ARE CALCULATED BY TAKING AN ARITHMETIC AVERAGE OF
THE RETURNS OF THE FUNDS IN THE GROUP. THE AVERAGE ANNUALIZED RETURNS WHICH
RESULT FROM THIS METHODOLOGY WILL DIFFER FROM ANNUALIZING THE GROWTH OF THE
MINIMUM INITIAL INVESTMENT.
<TABLE>
<CAPTION>
PERFORMANCE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
--------------------- ----------------------------------
THREE SIX ONE SINCE
AS OF OCTOBER 31, 1999 MONTHS MONTHS YEAR INCEPTION*
- ------------------------------------------------------------------------ -----------------------------------
<S> <C> <C> <C> <C>
J.P. Morgan Institutional Tax Aware
Disciplined Equity Fund 0.17% 0.33% 24.72% 25.11%
S&P 500 Index** 2.90% 2.73% 25.66% 24.03%
Lipper Large-Cap Core Funds Average 2.67% 3.07% 26.11% 20.78%
AS OF SEPTEMBER 30, 1999
- ------------------------------------------------------------------------ -----------------------------------
J.P. Morgan Institutional Tax Aware
Disciplined Equity Fund -7.75% 0.50% 28.79% 23.72%
S&P 500 Index** -6.25% 0.36% 27.80% 22.03%
Lipper Large-Cap Core Funds Average -6.00% 0.13% 27.74% 18.93%
</TABLE>
*THE FUND COMMENCED OPERATIONS ON JANUARY 30, 1997, AND HAS PROVIDED AN AVERAGE
ANNUAL TOTAL RETURN OF 25.24% FROM THAT DATE THROUGH OCTOBER 31, 1999. FOR THE
PURPOSE OF COMPARISON, THE "SINCE INCEPTION" RETURNS ARE CALCULATED FROM JANUARY
31, 1997, THE FIRST DATE WHEN DATA FOR THE FUND'S BENCHMARK AND ITS LIPPER
CATEGORY AVERAGE WERE AVAILABLE.
**S&P 500 INDEX IS AN UNMANAGED INDEX THAT MEASURES U.S. STOCK MARKET
PERFORMANCE USING THE AVERAGE PERFORMANCE OF 500 WIDELY HELD STOCKS. IT DOES NOT
INCLUDE FEES OR OPERATING EXPENSES AND IS NOT AVAILABLE FOR ACTUAL INVESTMENT.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. FUND RETURNS ARE NET OF
FEES, ASSUME THE REINVESTMENT OF FUND DISTRIBUTIONS, AND REFLECT THE
REIMBURSEMENT OF FUND EXPENSES AS DESCRIBED IN THE PROSPECTUS. HAD EXPENSES NOT
BEEN SUBSIDIZED, RETURNS WOULD HAVE BEEN LOWER. LIPPER ANALYTICAL SERVICES, INC.
IS A LEADING SOURCE FOR MUTUAL FUND DATA.
2
<PAGE>
Portfolio manager Q&A
[PHOTO]
Following is an interview with ROBIN B. CHANCE, vice president, a member of the
portfolio management team of the J.P. Morgan Institutional Tax Aware Disciplined
Equity Fund. She is a member of the Structured Equity Group, with responsibility
for tax aware structured equity strategies. Joining Morgan in 1987, Robin
developed the computer programs used to rebalance the structured equity
portfolios. She is a Chartered Financial Analyst and a graduate of the
University of Pennsylvania's Management and Technology Program. Robin earned her
M.B.A. from New York University's Stern School of Business. This interview was
conducted on November 15, 1999, and reflects her views on that date.
THE FUND HAS DELIVERED A VERY STRONG RETURN OVER THE 12 MONTHS ENDED OCTOBER 31.
WILL THERE BE A CAPITAL GAINS DISTRIBUTION?
RC: There will be an income distribution, because we do receive dividends from
some of our holdings, but we do not expect a capital gains distribution this
year - for the third year in a row, since the inception of the fund.
IS IT DIFFICULT TO AVOID A CAPITAL GAINS DISTRIBUTION WHEN THE FUND RISES NEARLY
25%?
RC: Yes. It's a lot easier to avoid a capital gains distribution when the market
is flat. We've also benefited from a substantial inflow of cash. The fund has
more than tripled in size in the last 12 months - from $90 million to $340
million. This has made the portfolio a lot easier to rebalance. With new money
coming in a volatile market, we're not as constrained by taxes as we would
otherwise be.
For example, we've been able to purchase stocks at a wide variety of prices.
That means that when we sell, we have a lot of different tax lots from which to
choose. So if we want to rebalance positions in the portfolio, we have options:
for example, we can sell a position acquired recently or several years ago, and
when we want to buy a stock, because we have new money coming in, we don't have
to sell something first.
WHAT DROVE THE FUND'S PERFORMANCE OVER THE 12 MONTHS?
RC: Technology stocks. We're sector neutral, and technology stocks led the
market as a result of demand for all the equipment required for the growth of
the Internet. We were not as interested in the ".com" companies as we were in
the companies that provide access, software and hardware. Our best performers
were SunMicrosystems, which rose 263%, and Cisco, which jumped 134%.
SunMicrosystems produces servers that are crucial for high-end uses such as the
Internet. It is the leading vendor of Unix-based computer systems. It has
successfully made the transition from technical workstations to enterprise
servers. In addition, its Java - write once, run anywhere - language has
fortified the company's position as the leading player in networked-based
computing. Cisco Systems is the leading supplier of Internet infrastructure to
service suppliers and corporations. Throughout its history, it has invested in
the key
3
<PAGE>
pieces of Internet technology - most importantly the TCPIP software protocol
that governs the Internet. In addition, our decision to underweight Compaq also
helped, because it underperformed the market and the sector.
WHAT ELSE PERFORMED WELL?
RC: Telephone companies rose 40% because of mergers and acquisitions and
Internet-related business. These companies now want to provide a wide array of
services - not just voice communications. They want to provide one-stop shopping
for data, voice and video transmission through the use of broad band Internet
access.
These stocks rose not only because of the high growth anticipated in the future,
but also because they are doing well today. Telephone company revenues are
climbing now because people are talking more. Analysts were worried that the
intense price competition would hold back revenue growth. But now, since many
people pay a fixed monthly charge to secure a low rate per minute of usage, they
end up talking longer on the telephone.
The service sector also fared well because some people believe that cable
companies might be the ones to provide broad band capability for the Internet.
With cable, there's no need to dial up or use a modem, and you don't have to
wait as long for web pages to load.
WERE THERE MANY OTHER MAJOR SECTORS THAT PERFORMED WELL?
RC: Leadership in the market was very narrow over the past 12 months. Only 4 of
18 sectors outperformed the market as a whole: technology, which climbed 69%,
telephones and services, each rising 40%, and retail, up 28%.
WERE THERE ANY DISAPPOINTMENTS?
RC: Yes. We narrowly underperformed the index and the competition as a result of
three holdings: Service Corp., Philip Morris and Waste Management. We've sold
Waste Management, and sold some of our Service Corp. These two suffered as
investors began to question the firms' accounting practices. We still own Philip
Morris. Philip Morris is trading at a very low price/earnings multiple compared
to both the other stocks in its sector and its historical valuation. It is
impossible to predict the final outcome of the tobacco litigation. Therefore,
there is risk in holding the stock. However, given the potential rewards and our
ability to diversify some of the risk, we consider this to be an attractive
holding at this time. As with all holdings in the portfolio, we limit our
exposure to the benchmark weight by one percentage point. This is one of the
ways we control risk when building the portfolio.
WHAT IS YOUR OUTLOOK?
RC: The market will continue to focus on a likely Fed tightening, Y2K issues,
and profit pressures on corporate America. Longer term, a resurgence in global
economic growth will allow a broader group of companies to report earnings
improvements. Our broadly diversified portfolio, driven by a disciplined
research investment process, is well positioned to outperform in this more
normal environment.
4
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
J.P. Morgan Institutional Tax Aware Disciplined Equity Fund seeks to provide
high total return while being sensitive to the impact of capital gains taxes on
investors' returns. Designed for long-term investors, the fund invests primarily
in common stocks and other equity securities of large and medium-sized U.S.
companies.
- --------------------------------------------------------------------------------
COMMENCEMENT OF INVESTMENT OPERATIONS
1/30/97
- --------------------------------------------------------------------------------
FUND NET ASSETS AS OF 10/31/99
$340,811,577
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATE
12/20/99
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/20/99
EXPENSE RATIO
The fund's current annual expense ratio of 0.55% covers shareholders' expenses
for custody, tax reporting, and investment advisory and shareholder services,
after reimbursement. The fund is no-load and does not charge any sales or
exchange fees; however, shares held less than one year may be subject to
redemption fees. There are no additional charges for buying, selling, or
safekeeping fund shares, or for wiring redemption proceeds from the fund. Fund
redemption fees are waived when shares worth over $500,000 are redeemed in kind
from the fund. Shareholders owning more than 5% of the fund's outstanding shares
should consult "Redemption of Shares" in the Statement of Additional
Information.
FUND HIGHLIGHTS
ALL DATA AS OF OCTOBER 31, 1999
PORTFOLIO ALLOCATION
(AS A PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
- - TECHNOLOGY 24.5%
- - CONSUMER GOODS
& SERVICES 20.8%
- - FINANCE 15.2%
- - HEALTH CARE 11.2%
- - INDUSTRIAL PRODUCTS & SERVICES 10.6%
- - UTILITIES 7.4%
- - ENERGY 6.5%
- - BASIC INDUSTRIES 2.1%
- - TRANSPORTATION 1.0%
- - SHORT-TERM & OTHER INVESTMENTS 0.7%
<TABLE>
<CAPTION>
LARGEST EQUITY HOLDINGS % OF TOTAL INVESTMENTS
- --------------------------------------------------------------
<S> <C>
MICROSOFT CORP. (TECHNOLOGY) 4.6%
GENERAL ELECTRIC CO.
(INDUSTRIAL PRODUCTS & SERVICES) 3.9%
CISCO SYSTEMS, INC. (TECHNOLOGY) 2.6%
INTEL CORP. (TECHNOLOGY) 2.4%
BRISTOL-MYERS SQUIBB CO. (HEALTH CARE) 2.4%
MCI WORLDCOM, INC. (TECHNOLOGY) 2.3%
WAL-MART STORES, INC.
(CONSUMER GOODS & SERVICES) 2.2%
LUCENT TECHNOLOGIES, INC. (TECHNOLOGY) 2.1%
INTERNATIONAL BUSINESS MACHINES CORP.
(TECHNOLOGY) 2.0%
PROCTER & GAMBLE CO.
(CONSUMER GOODS & SERVICES) 2.0%
</TABLE>
5
<PAGE>
DISTRIBUTED BY FUNDS DISTRIBUTOR, INC. J.P. MORGAN INVESTMENT MANAGEMENT INC.
SERVES AS INVESTMENT ADVISOR. SHARES OF THE FUND ARE NOT BANK DEPOSITS AND ARE
NOT GUARANTEED BY ANY BANK, GOVERNMENT ENTITY, OR THE FDIC. RETURN AND SHARE
PRICE WILL FLUCTUATE AND REDEMPTION VALUE MAY BE WORTH MORE OR LESS THAN
ORIGINAL COST.
Opinions expressed herein are based on current market conditions and are subject
to change without notice.
CALL J.P. MORGAN FUNDS SERVICES AT (800) 766-7722 FOR A PROSPECTUS CONTAINING
MORE COMPLETE INFORMATION ABOUT THE FUND INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
6
<PAGE>
This page Has been left blank intentionally
<PAGE>
J.P MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
SCHEDULE OF INVESTMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
COMMON STOCKS (99.5%)
BASIC INDUSTRIES (2.1%)
CHEMICALS (1.3%)
Dow Chemical Co.................................. 11,800 $ 1,395,350
Lyondell Chemical Co............................. 95,600 1,159,150
Rohm & Haas Co................................... 46,500 1,778,625
------------
4,333,125
------------
FOREST PRODUCTS & PAPER (0.4%)
Fort James Corp.................................. 1,300 34,206
Georgia-Pacific Group............................ 4,700 186,531
International Paper Co........................... 16,118 848,210
Temple-Inland, Inc............................... 7,800 453,375
------------
1,522,322
------------
METALS & MINING (0.4%)
Allegheny Teledyne, Inc.......................... 56,300 855,056
Reynolds Metals Co............................... 5,900 356,581
------------
1,211,637
------------
TOTAL BASIC INDUSTRIES......................... 7,067,084
------------
CONSUMER GOODS & SERVICES (20.9%)
APPARELS & TEXTILES (0.4%)
Fruit of the Loom, Inc., Class A+................ 1,700 4,569
Jones Apparel Group, Inc.+....................... 41,200 1,302,950
------------
1,307,519
------------
AUTOMOTIVE (1.1%)
DaimlerChrysler AG............................... 2,600 202,150
Dana Corp........................................ 18,371 543,093
Ford Motor Co.................................... 24,700 1,355,412
General Motors Corp.............................. 8,700 611,175
Genuine Parts Co................................. 8,300 216,319
Goodyear Tire and Rubber Co...................... 12,400 512,275
Lear Corp.+...................................... 9,300 313,875
------------
3,754,299
------------
BROADCASTING & PUBLISHING (1.8%)
AT& T Corp. - Liberty Media Group, Class A+...... 40,152 1,593,532
Comcast Corp., Class A........................... 32,200 1,356,425
Gannett Co., Inc................................. 9,900 763,537
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
BROADCASTING & PUBLISHING (CONTINUED)
MediaOne Group, Inc.+............................ 31,700 $ 2,252,681
New York Times Co., Class A...................... 6,500 261,625
------------
6,227,800
------------
ENTERTAINMENT, LEISURE & MEDIA (3.5%)
America Online, Inc.+............................ 41,400 5,369,062
International Game Technology.................... 7,800 145,275
Mattel, Inc...................................... 42,400 567,100
Seagram Company Ltd.(i).......................... 80,100 3,954,937
Time Warner, Inc................................. 15,800 1,101,062
Viacom, Inc., Class B+........................... 4,200 187,950
Walt Disney Co................................... 20,200 532,775
------------
11,858,161
------------
FOOD, BEVERAGES & TOBACCO (4.3%)
Anheuser Busch Companies, Inc.................... 700 50,269
Bestfoods........................................ 4,800 282,000
Coca-Cola Co..................................... 52,300 3,085,700
H.J. Heinz Co.................................... 10,000 477,500
PepsiCo, Inc..................................... 86,100 2,986,594
Philip Morris Companies, Inc..................... 198,500 4,999,719
Unilever NV (ADR)................................ 39,303 2,621,009
------------
14,502,791
------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.2%)
Furniture Brands International, Inc.+............ 2,200 42,625
Leggett & Platt, Inc............................. 31,100 690,031
------------
732,656
------------
HOUSEHOLD PRODUCTS (2.2%)
Clorox Co........................................ 5,000 204,687
Kimberly-Clark Corp.............................. 11,200 707,000
Procter & Gamble Co.............................. 63,600 6,670,050
------------
7,581,737
------------
PERSONAL CARE (0.4%)
Gillette Co...................................... 33,900 1,226,756
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
J.P MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
RESTAURANTS & HOTELS (0.6%)
Extended Stay America, Inc.+..................... 300 $ 2,494
Hilton Hotels Corp............................... 42,200 390,350
McDonald's Corp.................................. 21,500 886,875
Starwood Hotels & Resorts Worldwide, Inc......... 35,000 802,812
------------
2,082,531
------------
RETAIL (6.4%)
Abercrombie & Fitch Co., Class A+................ 34,400 937,400
Albertson's, Inc................................. 3,700 134,356
Best Buy Co., Inc.+.............................. 400 22,225
Circuit City Stores-Circuit City Group........... 6,000 256,125
Dayton Hudson Corp............................... 25,700 1,660,862
Federated Department Stores, Inc.+............... 31,400 1,340,387
Gap, Inc......................................... 58,125 2,157,891
Hannaford Brothers Co............................ 2,100 147,131
Home Depot, Inc.................................. 32,700 2,468,850
J.C. Penney, Inc................................. 25,300 641,987
Kroger Co.+...................................... 19,100 397,519
May Department Stores Co......................... 10,050 348,609
Safeway, Inc.+................................... 37,300 1,317,156
Sears, Roebuck & Co.............................. 31,200 879,450
TJX Companies, Inc............................... 44,700 1,212,487
Toys 'R' Us, Inc.+............................... 23,700 334,762
Wal-Mart Stores, Inc............................. 133,700 7,579,119
------------
21,836,316
------------
TOTAL CONSUMER GOODS & SERVICES................ 71,110,566
------------
ENERGY (6.5%)
GAS EXPLORATION (0.7%)
Columbia Energy Group............................ 34,900 2,268,500
------------
OIL-PRODUCTION (5.4%)
Atlantic Richfield Co............................ 1,000 93,187
BP Amoco Plc (Spon. ADR)......................... 11,588 669,206
Chevron Corp..................................... 13,200 1,205,325
Exxon Corp....................................... 54,500 4,036,406
Mobil Corp....................................... 52,900 5,104,850
Royal Dutch Petroleum Co. (ADR).................. 59,300 3,554,294
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
OIL-PRODUCTION (CONTINUED)
Texaco, Inc...................................... 38,800 $ 2,381,350
Tosco Corp....................................... 16,100 407,531
Ultramar Diamond Shamrock Corp................... 37,800 926,100
Valero Energy Corp............................... 4,200 77,175
------------
18,455,424
------------
OIL-SERVICES (0.4%)
Cooper Cameron Corp.+............................ 7,000 270,812
ENSCO International, Inc......................... 13,800 267,375
Global Marine, Inc............................... 43,500 660,656
R&B Falcon Corp.+................................ 17,100 212,681
Smith International, Inc.+....................... 2,100 72,581
------------
1,484,105
------------
TOTAL ENERGY................................... 22,208,029
------------
FINANCE (15.2%)
BANKING (10.1%)
Associated Banc - Corp........................... 7,000 269,281
Astoria Financial Corp........................... 71,600 2,577,600
Bank of America Corp............................. 77,073 4,961,574
Bank One Corp.................................... 34,100 1,280,881
Charter One Financial, Inc....................... 35,249 865,803
Citigroup, Inc................................... 71,850 3,888,881
Commercial Federal Corp.......................... 1,500 29,437
Dime Bancorp, Inc................................ 48,800 872,300
First Union Corp................................. 114,280 4,878,327
GreenPoint Financial Corp........................ 5,500 156,750
Hibernia Corp., Class A.......................... 82,100 1,164,794
KeyCorp.......................................... 84,000 2,346,750
North Fork Bancorporation, Inc................... 5,700 117,919
Peoples Heritage Financial Group, Inc............ 62,800 1,193,200
PNC Bank Corp.................................... 9,200 548,550
Provident Financial Group, Inc................... 19,400 832,987
Sovereign Bancorp, Inc........................... 10,200 89,887
Summit Bancorp................................... 54,500 1,887,062
U.S. Bancorp..................................... 35,500 1,315,719
Union Planters Corp.............................. 36,200 1,610,900
Washington Mutual, Inc........................... 63,455 2,280,414
Wells Fargo Co................................... 26,200 1,254,325
------------
34,423,341
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
FINANCIAL SERVICES (2.1%)
Associates First Capital Corp., Class A.......... 96 $ 3,504
Charles Schwab Corp.............................. 2,700 105,131
CIT Group, Inc., Class A......................... 77,000 1,838,375
Federal National Mortgage Association............ 1,200 84,900
FINOVA Group, Inc................................ 47,400 2,088,562
Goldman Sachs Group, Inc......................... 8,100 575,100
Household International, Inc..................... 16,846 751,753
Merrill Lynch & Company, Inc..................... 16,500 1,295,250
Newcourt Credit Group, Inc....................... 25,100 412,581
Ocwen Financial Corp.+........................... 7,700 51,494
------------
7,206,650
------------
INSURANCE (3.0%)
Allstate Corp.................................... 59,400 1,707,750
Ambac Financial Group, Inc....................... 10,700 639,325
American International Group, Inc................ 17,125 1,762,805
Aon Corp......................................... 30,100 1,068,550
AXA Financial, Inc............................... 3,800 121,837
CIGNA Corp....................................... 6,200 463,450
Marsh & McLennan Companies, Inc.................. 25,450 2,012,141
MBIA, Inc........................................ 21,800 1,243,963
UnumProvident Corp............................... 38,634 1,272,507
------------
10,292,328
------------
TOTAL FINANCE.................................. 51,922,319
------------
HEALTH CARE (11.3%)
BIOTECHNOLOGY (0.8%)
Amgen, Inc.+..................................... 14,100 1,124,475
Genzyme Corp.+................................... 12,400 474,300
Human Genome Sciences, Inc.+..................... 9,300 812,588
MedImmune, Inc.+................................. 500 56,000
PE Corp.- PE Biosystems Group.................... 2,000 129,750
------------
2,597,113
------------
HEALTH SERVICES (1.0%)
Aetna, Inc....................................... 9,100 457,275
Columbia / HCA Healthcare Corp................... 17,700 427,013
Health Management Associates, Inc., Class A+..... 58,900 522,738
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
HEALTH SERVICES (CONTINUED)
HEALTHSOUTH Corp.+............................... 50,300 $ 289,225
Humana, Inc.+.................................... 38,800 266,750
Manor Care, Inc.+................................ 22,100 348,075
Tenet Healthcare Corp.+.......................... 45,000 874,688
Wellpoint Health Networks, Inc.+................. 4,100 237,800
------------
3,423,564
------------
MEDICAL SUPPLIES (0.3%)
Boston Scientific Corp.+......................... 8,000 161,000
Guidant Corp.+................................... 2,200 108,625
Medtronic, Inc................................... 22,800 789,450
------------
1,059,075
------------
PHARMACEUTICALS (9.2%)
Abbott Laboratories.............................. 400 16,150
ALZA Corp.+...................................... 35,500 1,519,844
American Home Products Corp...................... 56,100 2,931,225
Bristol-Myers Squibb Co.......................... 106,900 8,211,256
Eli Lilly & Co................................... 47,100 3,244,013
Forest Laboratories, Inc.+....................... 21,500 986,313
Johnson & Johnson................................ 14,700 1,539,825
Merck & Co., Inc................................. 47,200 3,755,350
Monsanto Co...................................... 105,200 4,050,200
Pfizer, Inc...................................... 46,500 1,836,750
Schering-Plough Corp............................. 30,400 1,504,800
Warner-Lambert Co................................ 21,372 1,705,753
------------
31,301,479
------------
TOTAL HEALTH CARE.............................. 38,381,231
------------
INDUSTRIAL PRODUCTS & SERVICES (10.6%)
AEROSPACE (0.4%)
Boeing Co........................................ 23,600 1,087,075
Lockheed Martin Corp............................. 17,900 358,000
------------
1,445,075
------------
BUILDING MATERIALS (0.2%)
Owens Corning.................................... 6,000 123,000
Sherwin-Williams Co.............................. 19,500 436,313
------------
559,313
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
CAPITAL GOODS (0.6%)
Deere & Co....................................... 20,100 $ 728,625
Eaton Corp....................................... 14,400 1,083,600
Hubbell, Inc., Class B........................... 6,600 182,738
------------
1,994,963
------------
COMMERCIAL SERVICES (1.2%)
Cendant Corp.+................................... 47,300 780,450
Equifax, Inc..................................... 60,500 1,633,500
Service Corp. International...................... 185,900 1,777,669
------------
4,191,619
------------
DIVERSIFIED MANUFACTURING (7.4%)
AlliedSignal, Inc................................ 43,100 2,454,006
B.F.Goodrich Co.................................. 19,688 466,360
Cooper Industries, Inc........................... 13,300 572,731
Eastman Kodak Co................................. 28,200 1,944,038
General Electric Co.............................. 97,200 13,176,675
Harris Corp...................................... 34,300 769,606
ITT Industries, Inc.............................. 14,100 482,044
Tenneco, Inc.+................................... 63,000 1,008,000
Tyco International Ltd.(i)....................... 78,704 3,143,241
Xerox Corp....................................... 46,500 1,302,000
------------
25,318,701
------------
ELECTRICAL EQUIPMENT (0.3%)
Emerson Electric Co.............................. 16,300 979,019
W.W. Grainger, Inc............................... 2,400 101,700
------------
1,080,719
------------
METALS & MINING (0.3%)
Alcoa, Inc....................................... 18,700 1,136,025
------------
PACKAGING & CONTAINERS (0.1%)
Smurfit-Stone Container Corp.+................... 8,200 177,325
------------
POLLUTION CONTROL (0.1%)
Waste Management, Inc............................ 18,982 348,794
------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 36,252,534
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
TECHNOLOGY (24.4%)
COMPUTER PERIPHERALS (1.0%)
EMC Corp.+....................................... 35,200 $ 2,569,600
Quantum Corp.- DLT & Storage Systems+............ 44,900 693,144
------------
3,262,744
------------
COMPUTER SOFTWARE (5.9%)
BMC Software, Inc.+.............................. 16,700 1,071,931
Computer Associates International, Inc........... 8,050 454,825
Exodus Communications, Inc.+..................... 9,700 834,200
Microsoft Corp.+................................. 171,500 15,874,469
Oracle Corp.+.................................... 36,600 1,740,788
------------
19,976,213
------------
COMPUTER SYSTEMS (4.3%)
Dell Computer Corp.+............................. 71,600 2,872,950
Hewlett-Packard Co............................... 19,000 1,407,188
International Business Machines Corp............. 68,200 6,709,175
Sun Microsystems, Inc.+.......................... 35,300 3,735,181
------------
14,724,494
------------
ELECTRONICS (2.6%)
Cisco Systems, Inc.+............................. 118,950 8,802,300
------------
INFORMATION PROCESSING (1.1%)
Automatic Data Processing, Inc................... 23,900 1,151,681
DoubleClick, Inc.+............................... 2,400 336,000
Electronic Data Systems Corp..................... 32,900 1,924,650
First Data Corp.................................. 5,500 251,281
------------
3,663,612
------------
SEMICONDUCTORS (4.3%)
Applied Materials, Inc.+......................... 14,100 1,266,356
Intel Corp....................................... 107,000 8,285,813
Motorola, Inc.................................... 18,600 1,812,338
National Semiconductor Corp.+.................... 7,600 227,525
Texas Instruments, Inc........................... 36,400 3,266,900
------------
14,858,932
------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J.P MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
SCHEDULE OF INVESTMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
TELECOMMUNICATION SERVICES (2.9%)
Global Crossing Ltd.+ (i)........................ 57,035 $ 1,974,837
MCI WorldCom, Inc.+.............................. 90,441 7,760,968
Vodafone AirTouch PLC (Spon. ADR)................ 6,750 323,578
------------
10,059,383
------------
TELECOMMUNICATIONS-EQUIPMENT (2.3%)
Lucent Technologies, Inc......................... 111,300 7,151,025
Nortel Networks Corp............................. 14,140 875,796
------------
8,026,821
------------
TOTAL TECHNOLOGY............................... 83,374,499
------------
TRANSPORTATION (1.0%)
RAILROADS (0.9%)
CSX Corp......................................... 23,100 947,100
Union Pacific Corp............................... 39,600 2,207,700
------------
3,154,800
------------
TRUCK & FREIGHT CARRIERS (0.1%)
CNF Transportation, Inc.......................... 200 6,613
Ryder System, Inc................................ 6,200 132,525
------------
139,138
------------
TOTAL TRANSPORTATION........................... 3,293,938
------------
UTILITIES (7.5%)
ELECTRIC (2.1%)
Allegheny Energy, Inc............................ 44,900 1,428,381
Carolina Power & Light Co........................ 33,800 1,166,100
Central & South West Corp........................ 300 6,656
CMS Energy Corp.................................. 1,500 55,313
Dominion Resources, Inc.......................... 5,700 274,313
DTE Energy Co.................................... 9,100 302,006
Entergy Corp..................................... 6,600 197,588
Northern States Power Co......................... 14,200 305,300
PG&E Corp........................................ 10,801 247,748
Pinnacle West Capital Corp....................... 10,800 398,250
PP&L Resources, Inc.............................. 26,500 717,156
USEC, Inc........................................ 24,400 221,125
Wisconsin Energy Corp............................ 79,000 1,767,625
------------
7,087,561
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ----------- -------------
<S> <C> <C>
TELEPHONE (5.4%)
AT & T Corp...................................... 70,206 $ 3,282,130
Bell Atlantic Corp............................... 60,460 3,926,121
BellSouth Corp................................... 11,100 499,500
GTE Corp......................................... 53,000 3,975,000
Level 3 Communications, Inc.+.................... 11,100 758,963
SBC Communications, Inc.......................... 113,780 5,795,669
Sprint Corp...................................... 3,700 274,956
US WEST, Inc..................................... 26 1,586
------------
18,513,925
------------
TOTAL UTILITIES................................ 25,601,486
------------
TOTAL COMMON STOCKS (COST $306,969,982)........ 339,211,686
------------
<CAPTION>
PRINCIPAL
AMOUNT
-----------
<S> <C> <C>
SHORT-TERM INVESTMENTS (0.8%)
OTHER INVESTMENT COMPANIES (0.8%)
J.P. Morgan Institutional Prime Money Market Fund
(cost $2,617,154).............................. $2,617,154 2,617,154
------------
TOTAL INVESTMENTS (COST $309,587,136) (100.3%)................
341,828,840
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.3%).................
(1,017,263)
------------
NET ASSETS (100.0%)........................................... $340,811,577
============
</TABLE>
- ------------------------------
Note: Based on the cost of investments of $309,686,677 for federal income tax
purposes at October 31, 1999, the aggregate gross unrealized appreciation and
depreciation was $49,859,240 and $17,717,077, respectively, resulting in net
unrealized appreciation of $32,142,163.
(i) Foreign security.
+ Non-income producing security.
ADR - American Depositary Receipt.
Spon. ADR - Sponsored ADR.
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $309,587,136 ) $341,828,840
Cash 21,712
Receivable for Investments Sold 849,001
Receivable for Fund Shares Sold 704,496
Dividends Receivable 263,823
Receivable for Expense Reimbursements 48,475
Deferred Organization Expenses 20,211
Interest Receivable 12,294
Prepaid Trustees' Fees 347
Prepaid Expenses and Other Assets 669
------------
Total Assets 343,749,868
------------
LIABILITIES
Payable for Investments Purchased 2,352,027
Payable for Fund Shares Redeemed 296,132
Advisory Fee Payable 94,430
Shareholder Servicing Fee Payable 30,358
Custody Fee Payable 26,209
Transfer Agent Fees Payable 18,268
Administrative Services Fee Payable 13,574
Administration Fee Payable 206
Fund Services Fee Payable 176
Accrued Expenses 106,911
------------
Total Liabilities 2,938,291
------------
NET ASSETS
Applicable to 18,733,816 shares outstanding
(par value $0.001, unlimited shares authorized) $340,811,577
============
Net Asset Value, Offering and Redemption Price
per Share $18.19
-----
-----
ANALYSIS OF NET ASSETS
Paid-in Capital $309,324,850
Undistributed Net Investment Income 146,958
Accumulated Net Realized Loss on Investments (901,935)
Net Unrealized Appreciation of Investments 32,241,704
------------
Net Assets $340,811,577
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF OPERATIONS
FOR THE FISCAL YEAR ENDED OCTOBER 31, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of foreign withholding tax
of $50,266 ) $ 3,071,420
Interest Income 140,317
-----------
Investment Income 3,211,737
EXPENSES
Advisory Fee $ 754,945
Shareholder Servicing Fee 215,699
Custodian Fees and Expenses 122,813
Administrative Services Fee 111,033
Registration Fees 70,669
Transfer Agent Fee 46,749
Professional Fees and Expenses 41,010
Amortization of Organization Expenses 8,040
Printing Expenses 4,387
Fund Services Fee 4,110
Administration Fee 1,911
Trustees' Fees and Expenses 1,455
Miscellaneous 10,007
----------
Total Expenses 1,392,828
Less: Reimbursement of Expenses (207,236)
----------
NET EXPENSES 1,185,592
-----------
NET INVESTMENT INCOME 2,026,145
NET REALIZED GAIN ON INVESTMENTS 5,504,441
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 23,577,000
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $31,107,586
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
14
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FISCAL FOR THE FISCAL
YEAR ENDED YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
---------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 2,026,145 $ 539,773
Net Realized Gain (Loss) on Investments 5,504,441 (954,939)
Net Change in Unrealized Appreciation of
Investments 23,577,000 7,810,015
--------------- ---------------
Net Increase in Net Assets Resulting from
Operations 31,107,586 7,394,849
--------------- ---------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (1,951,938) (523,408)
--------------- ---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 240,877,080 74,412,898
Reinvestment of Dividends 1,755,496 517,796
Cost of Shares of Beneficial Interest Redeemed (21,124,989) (3,775,057)
Service Charge 69,176 26,209
--------------- ---------------
Net Increase from Shareholder Transactions 221,576,763 71,181,846
--------------- ---------------
Total Increase in Net Assets 250,732,411 78,053,287
NET ASSETS
Beginning of Fiscal Year 90,079,166 12,025,879
--------------- ---------------
End of Fiscal Year (including undistributed net
investment income of $146,958 and $72,671,
respectively) $ 340,811,577 $ 90,079,166
=============== ===============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for a share outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE FISCAL YEAR JANUARY 30, 1997
ENDED OCTOBER 31, (COMMENCEMENT OF
------------------- OPERATIONS) THROUGH
1999 1998 OCTOBER 31, 1997
--------- -------- -------------------
<S> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 14.71 $ 12.08 $ 10.00
-------- ------- ------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.15 0.11 0.06
Net Realized and Unrealized Gain on Investments 3.48 2.68 2.02
-------- ------- ------------------
Total from Investment Operations 3.63 2.79 2.08
-------- ------- ------------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.15) (0.16) --
-------- ------- ------------------
NET ASSET VALUE, END OF PERIOD $ 18.19 $ 14.71 $ 12.08
======== ======= ==================
RATIOS AND SUPPLEMENTAL DATA
Total Return 24.72% 23.26% 20.80%(a)
Net Assets, End of Period (in thousands) $340,812 $90,079 $ 12,026
Ratios to Average Net Assets
Expenses 0.55% 0.55% 0.55%(b)
Net Investment Income 0.94% 0.97% 1.19%(b)
Expenses Without Reimbursement 0.65% 1.02% 4.59%(b)
Portfolio Turnover Rate 40% 57% 35%
</TABLE>
- ------------------------
(a) Not annualized.
(b) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
J.P. Morgan Tax Aware Disciplined Equity Fund (the "fund") is a series of J.P.
Morgan Series Trust, a Massachusetts business trust (the "trust"). The trust,
which was organized on August 15, 1996, is registered under the Investment
Company Act of 1940, as amended. The fund is a no-load, diversified, open-end
management investment company. The fund's investment objective is to provide
high after-tax total return from a portfolio of selected equity securities. The
trustees of the trust have divided the beneficial interests in the fund into two
classes of shares, Institutional Shares and Select Shares. Currently the fund
only offers Institutional Shares. The fund commenced operations on January 30,
1997. The Declaration of Trust permits the trustees to issue an unlimited number
of shares in the fund.
The preparation of financial statements in accordance with generally accepted
accounting principles requires management to make estimates and assumptions that
affect the reported amounts and disclosures. Actual amounts could differ from
those estimates. The following is a summary of the significant accounting
policies of the fund:
a) The fund values securities that are listed on an exchange using prices
supplied daily by an independent pricing service that are based on the
last traded price on a national securities exchange or in the absence of
recorded trades, at the readily available mean of the bid and asked prices
on such exchange, if such exchange or market constitutes the broadest and
most representative market for the security. Securities listed on a
foreign exchange are valued at the last traded price or in the absence of
recorded trades, at the readily available mean of the bid and asked prices
on such exchange available before the time when net assets are valued.
Independent pricing service procedures may also include the use of prices
based upon yields or prices of securities of comparable quality, coupon,
maturity and type, indications as to values from dealers, operating data,
and general market conditions. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market
provided by a principal market maker or dealer. If prices are not supplied
by the fund's independent pricing service or principal market maker or
dealer, such securities are priced using fair values in accordance with
procedures adopted by the fund's trustees. All short-term securities with
a remaining maturity of sixty days or less are valued using the amortized
cost method.
b) Securities transactions are recorded on a trade date basis. Dividend
income is recorded on the ex-dividend date or as of the time that the
relevant ex-dividend date and amount becomes known. Interest income, which
includes the amortization of premiums and discounts, if any, is recorded
on an accrual basis. For financial and tax reporting purposes, realized
gains and losses are determined on the basis of specific lot
identification.
c) Substantially all the fund's net investment income is declared as
dividends and paid quarterly. Distributions to shareholders of net
realized capital gains, if any, are declared and paid annually.
d) The fund incurred organization expenses in the amount of $47,567. Morgan
Guaranty Trust Company of New York ("Morgan"), a wholly owned subsidiary
of J.P. Morgan & Co. Incorporated ("J.P. Morgan"), has paid the
organization expenses of the fund. The fund has agreed to reimburse Morgan
for these costs which are being deferred and amortized on a straight-line
basis over a period not to exceed five years beginning with the
commencement of operations of the fund.
17
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
e) The fund intends to comply with the provisions of the Internal Revenue
Code of 1986, as amended, applicable to regulated investment companies and
to distribute substantially all of its income, including net realized
capital gains, if any, within the prescribed time periods. Accordingly, no
provision for federal income or excise tax is necessary.
f) For federal income tax purposes, the fund had a capital loss carryforward
of $802,394 at October 31, 1999, which will expire in the year 2006. To
the extent that this capital loss is used to offset future capital gains,
it is probable that the gains so offset will not be distributed to
shareholders.
g) The fund accounts for and reports distributions to shareholder in
accordance with Statement of Position 93-2 "Determination, Disclosure, and
Financial Statement Presentation of Income, Capital Gain, and Return of
Capital Distributions by Investment Companies." The effects of applying
this statement was to increase Undistributed Net Investment Income by $80,
increase Paid-in Capital by $5,431,684 and decrease Accumulated Net
Realized Gain on Investments by $5,431,764. Net investment income, net
realized gains and net assets were not affected by this change. This
reclassification is the result of gains on securities redeemed in-kind
that were treated as realized gains for financial statement purposes but
which were not recognized for tax purposes.
2. TRANSACTIONS WITH AFFILIATES
a) The fund has an Investment Advisory Agreement with J.P. Morgan Investment
Management Inc. ("JPMIM"), an affiliate of Morgan and a wholly owned
subsidiary of J.P. Morgan. Under the terms of the agreement, the fund pays
JPMIM at an annual rate of 0.35% of the fund's average daily net assets.
For the fiscal year ended October 31,1999, such fees amounted to $754,945.
b) The trust, on behalf of the fund, has retained Funds Distributor, Inc.
("FDI"), a registered broker-dealer, to serve as the co-administrator and
distributor for the fund. Under a Co-Administration Agreement between FDI
and the trust on behalf of the fund, FDI provides administrative services
necessary for the operations of the fund, furnishes office space and
facilities required for conducting the business of the fund and pays the
compensation of the fund's officers affiliated with FDI. The fund has
agreed to pay FDI fees equal to its allocable share of an annual
complex-wide charge of $425,000 plus FDI's out-of-pocket expenses. The
amount allocable to the fund is based on the ratio of the fund's net
assets to the aggregate net assets of the trust and certain other
investment companies subject to similar agreements with FDI. For the
fiscal year ended October 31, 1999, the fee for these services amounted to
$1,911.
c) The trust, on behalf of the fund, has an Administrative Services Agreement
(the "Services Agreement") with Morgan under which Morgan is responsible
for certain aspects of the administration and operation of the fund. Under
the Services Agreement, the fund has agreed to pay Morgan a fee equal to
its allocable share of an annual complex-wide charge. This charge is
calculated based on the aggregate average daily net assets of the trust
and certain other registered investment companies for which JPMIM acts as
investment advisor in accordance with the following annual schedule: 0.09%
on the first $7 billion of their aggregate average daily net assets and
0.04% of their aggregate average daily net assets in excess of $7 billion
less the complex-wide fees payable to FDI. The portion of this charge
payable by the
18
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
fund is determined by the proportionate share that its net assets bear to
the net assets of the trust and certain other investment companies for
which Morgan provides administrative services. For the fiscal year ended
October 31, 1999, the fee for these services amounted to $111,033.
In addition, J.P. Morgan has agreed to reimburse the fund to the extent
necessary to maintain the total operating expenses of the fund at no more
than 0.55% of the average daily net assets of the fund. This reimbursement
arrangement can be changed or terminated at any time at the option of
J.P. Morgan. For the fiscal year ended October 31, 1999, J.P. Morgan has
agreed to reimburse the fund $207,236 for expenses under this agreement.
d) The trust, on behalf of the fund, has a Shareholder Servicing Agreement
with Morgan to provide account administration and personal account
maintenance service to fund shareholders. The agreement provides for the
fund to pay Morgan a fee for these services which is computed daily and
paid monthly at an annual rate of 0.10% of the average daily net assets of
the fund. For the fiscal year ended October 31, 1999, the fee for these
services amounted to $215,699.
e) The trust, on behalf of the fund, has a Fund Services Agreement with
Pierpont Group, Inc. ("Group") to assist the trustees in exercising their
overall supervisory responsibilities for the trust's affairs. The trustees
of the trust represent all the existing shareholders of Group. The fund's
allocated portion of Group's costs in performing its services amounted to
$4,110 for the fiscal year ended October 31, 1999.
f) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, and other registered investment companies in which
they invest. The Trustees' Fees and Expenses shown in the financial
statements represents the fund's allocated portion of the total fees and
expenses. The trust's Chairman and Chief Executive Officer also serves as
Chairman of Group and receives compensation and employee benefits from
Group in his role as Group's Chairman. The allocated portion of such
compensation and benefits included in the Fund Services Fee shown in the
financial statements was $800.
3. TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
The Declaration of Trust permits the trustees to issue an unlimited number of
full and fractional shares of beneficial interest of one or more series.
Transactions in shares of beneficial interest of the fund were as follows:
<TABLE>
<CAPTION>
FOR THE YEAR ENDED FOR THE YEAR ENDED
OCTOBER 31, 1999 OCTOBER 31, 1998
------------------ ------------------
<S> <C> <C>
Shares of beneficial interest sold............... 13,695,586 5,366,501
Reinvestment of dividends........................ 99,366 36,061
Shares of beneficial interest redeemed........... (1,184,208) (274,645)
----------------- -----------------
NET INCREASE..................................... 12,610,744 5,127,917
================= =================
</TABLE>
From time to time, the fund may have a concentration of several shareholders
holding a significant percentage of shares outstanding. Investment activities of
these shareholders could have a material impact on the fund.
19
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (CONTINUED)
OCTOBER 31, 1999
- --------------------------------------------------------------------------------
Redemptions may be subject to service charges, retained by the fund, in
accordance with the following schedule:
<TABLE>
<CAPTION>
PERCENTAGE OF
CASH
YEAR SINCE PURCHASE PROCEEDS
- ------------------- -------------
<S> <C>
Shares held for less than one year............... 1%
Shares held one year or longer................... None
</TABLE>
4. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the fiscal year
ended October 31, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PURCHASES
PROCEEDS FROM SALES
- -------- -----------
<S> <C>
$305,912,059.... $85,555,300
</TABLE>
5. CREDIT AGREEMENT
The trust, on behalf of the fund, together with other affiliated investment
companies (the "funds"), entered into a revolving line of credit agreement (the
"Agreement") on May 27, 1998, with unaffiliated lenders. The maximum borrowing
under the Agreement was $150,000,000. The Agreement expired on May 26, 1999,
however, the fund as party to the Agreement has extended the Agreement and
continues its participation therein for an additional 364 days until May 23,
2000. The maximum borrowing under the new Agreement is $150,000,000. The purpose
of the Agreement is to provide another alternative for settling large fund
shareholder redemptions. Interest on any such borrowings outstanding will
approximate market rates. Prior to May 26, 1999 the funds paid a commitment fee
at an annual rate of 0.065% on the unused portion of the committed amount; under
the current Agreement, the commitment fee has increased to an annual rate of
0.085% on the unused portion of the commitment amount. The commitment fee is
allocated to the funds in accordance with procedures established by their
respective trustees or directors. There were no outstanding borrowings pursuant
to the Agreement at October 31, 1999.
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REPORT OF INDEPENDENT ACCOUNTANTS
To the Trustees and Shareholders of
J.P. Morgan Tax Aware Disciplined Equity Fund
In our opinion, the accompanying statement of assets and liabilities, including
the schedule 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 J.P. Morgan Tax Aware Disciplined
Equity Fund (one of the funds comprising JPM Series Trust, hereafter referred to
as the "fund") at October 31, 1999, and the results of its operations for the
year then ended, the changes in its net assets for each of the two years in the
period then ended and the financial highlights for each of the two years in the
period then ended and for the period January 30, 1997 (commencement of
operations) through October 31, 1997, in conformity with generally accepted
accounting principles. These financial statements and financial highlights
(hereafter referred to as "financial statements") are the responsibility of the
fund's management; our responsibility is to express an opinion on these
financial statements based on our audits. We conducted our audits of these
financial statements in accordance with generally accepted auditing standards,
which require that we plan and perform the audit to obtain reasonable assurance
about whether the financial statements are free of material misstatement. An
audit includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, and evaluating the overall
financial statement presentation. We believe that our audits, which included
confirmation of securities at October 31, 1999 by correspondence with the
custodian and brokers, provide a reasonable basis for the opinion expressed
above.
PricewaterhouseCoopers LLP
New York, New York
December 15, 1999
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J.P. MORGAN INSTITUTIONAL FUNDS
FEDERAL MONEY MARKET FUND
PRIME MONEY MARKET FUND
TREASURY MONEY MARKET FUND
TAX AWARE ENHANCED INCOME FUND:
INSTITUTIONAL SHARES
TAX EXEMPT MONEY MARKET FUND
SHORT TERM BOND FUND
BOND FUND
GLOBAL STRATEGIC INCOME FUND
TAX EXEMPT BOND FUND
CALIFORNIA BOND FUND: INSTITUTIONAL SHARES
NEW YORK TAX EXEMPT BOND FUND
DIVERSIFIED FUND
DISCIPLINED EQUITY FUND
TAX AWARE DISCIPLINED EQUITY FUND:
INSTITUTIONAL SHARES
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
EMERGING MARKETS EQUITY FUND
EUROPEAN EQUITY FUND
INTERNATIONAL EQUITY FUND
INTERNATIONAL OPPORTUNITIES FUND
SMARTINDEX-TM-FUND: INSTITUTIONAL SHARES
FOR MORE INFORMATION ON THE J.P. MORGAN INSTITUTIONAL FUNDS,
CALL J.P. MORGAN FUNDS SERVICES AT (800) 766-7722.
J.P. MORGAN
INSTITUTIONAL
TAX AWARE
DISCIPLINED
EQUITY FUND
ANNUAL REPORT
OCTOBER 31, 1999
