[front cover]
J.P. MORGAN
INSTITUTIONAL TAX AWARE
DISCIPLINED EQUITY FUND
[jp morgan logo]
Annual Report
October 31, 2000
<PAGE>
LETTER TO THE SHAREHOLDERS
--------------------------------------------------------------------------------
December 1, 2000
Dear Shareholder,
The J.P. Morgan Institutional Tax Aware Disciplined Equity Fund provided a
total return of 4.54% for the year ended October 31, 2000.
The Fund underperformed its benchmark, the Standard & Poor's 500 Index, and
peer group, the Lipper Large-Cap Core Funds Average, which returned 6.09% and
9.71%, respectively, for the same time period.
The Fund's net asset value on October 31, 2000 was $18.87 per share,
increasing from $18.19 after distributions of over $0.14 per share in ordinary
income over the 12-month period. The Fund's net assets rose to more than $477
million on October 31, 2000. In keeping with the Fund's tax-aware investment
objective, there were no distributions from short-term or long-term capital
gains during the year.
This report includes an interview with Robin Chance, the lead portfolio
manager of the J.P. Morgan Institutional Tax Aware Disciplined Equity Fund.
Robin discusses the U.S. equity market in detail, and explains the factors that
influenced fund performance during the year. Robin also provides insight in
regard to positioning the Fund for the coming months.
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
contact your Morgan representative, or call J.P. Morgan Funds Services at
800-766-7722.
/signature/ /signature/
Sincerely yours,
Ramon de Oliveira Keith M. Schappert
Chairman of Asset Management Services President of Asset Management
J.P. Morgan & Co. Incorporated J.P. Morgan & Co. Incorporated
TABLE OF CONTENTS
--------------------------------------------------------------------------------
Letter to the Shareholders 1
Fund Performance 2
Portfolio Manager Q&A 3
Fund Facts & Highlights 5
Financial Statements 6
1
<PAGE>
FUND PERFORMANCE
--------------------------------------------------------------------------------
EXAMINING PERFORMANCE
There are several ways to evaluate a mutual fund's historical performance
record. One way is to look at the growth of a hypothetical investment of
$3,000,000 (the minimum investment in the Fund). The chart at the right shows
that $3,000,000 invested on January 31, 1997* would have grown to $5,806,852 on
October 31, 2000.
Another way is to review a fund's average annual total return. This
calculation 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
in a fund's value over various time periods, typically one, five, or ten years
(or since inception).
GROWTH OF $3,000,000 SINCE FUND INCEPTION*
January 31, 1997-October 31, 2000
[data from line chart]
J.P. Morgan Institutional Tax Aware Disciplined Equity Fund $5,806,852
S&P 500 Index** $5,754,495
Lipper Large-Cap Core Funds Average $5,552,687
PERFORMANCE
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURNS
---------------------------------
ONE THREE SINCE
YEAR YEARS INCEPTION*
AS OF OCTOBER 31, 2000
<S> <C> <C> <C>
J.P. Morgan Institutional
Tax Aware Disciplined Equity Fund 4.54% 17.13% 19.26%
S&P 500 Index** 6.09% 17.60% 18.97%
Lipper Large-Cap Core Funds Average 9.71% 16.74% 17.29%
AS OF SEPTEMBER 30, 2000
J.P. Morgan Institutional
Tax Aware Disciplined Equity Fund 10.01% 15.88% 19.82%
S&P 500 Index** 13.28% 16.44% 19.58%
Lipper Large-Cap Core Funds Average 17.80% 15.85% 18.22%
</TABLE>
* The Fund commenced operations on January 30, 1997, and has provided an
average annual total return of 19.26% from that date through October 31, 2000.
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 all available.
** The 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 distributions, and reflect reimbursement
of certain 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 of Robin Chance]
The following is an interview with Robin Chance, vice president and member
of the portfolio management team for the Tax Aware Disciplined Equity Fund. A
J.P. Morgan Investment Management employee for the past 13 years, Robin is
responsible for the tax aware structured equity strategies in the Structured
Equity Group. She has also developed portfolio construction algorithms used to
rebalance structured equity portfolios. Robin holds a B.S. in computer science
and finance from the University of Pennsylvania, and an M.B.A. from New York
University's Stern School of Business. She is also the holder of a CFA
designation. This interview was conducted on November 15, 2000, and reflects
Robin's views on that date.
WHAT FACTORS DOMINATED U.S. EQUITY MARKETS THIS PAST YEAR?
A cornucopia of notable developments and events impacted equities and
contributed to stock market volatility during the course of the year.
Topping the list would be the rise and fall of the Nasdaq. Fueled by
enormous enthusiasm for companies in the technology-media-telecommunications
(TMT) sectors, the tech-heavy Nasdaq greatly outperformed all other equity
markets during the fourth quarter of 1999 and the beginning of 2000. In the
early spring, however, investors grew increasingly concerned about the ability
of TMTs to grow in what was expected to be a slowing U.S. and global economy. A
massive sell-off in TMT shares ensued, injecting substantial volatility into the
market that persisted, in fits and starts, through the end of this reporting
period.
The Federal Reserve's continued effort to slow the U.S. economy was another
dominant investment theme. The Fed increased rates by 100 basis points (1.0%)
during 1999, and added another 75 basis points (0.75%) through May of 2000.
These hikes appeared to accomplish their objective, and in late spring, the
economy began to show definitive signs of slowing.
Other notable events that impacted stock market performance included the
dramatic decline of the euro against the U.S. dollar, which hurt the earnings
prospects of large multi-nationals. In addition, a dramatic rise in energy
prices threatened to accelerate inflation. I would also add the unprecedented
increase in stock specific risk, as investors grew increasingly unwilling to
tolerate anything less than positive earnings surprises. These events created a
challenging environment for stock selection during the past 12 months.
WHAT SPECIFICALLY AFFECTED FUND PERFORMANCE DURING THE FISCAL PERIOD?
Most of the Fund's underperformance was due to our being underweight
capital markets and overweight the rest of financial sector during the end of
1999 and the beginning of 2000. As short-term rates began to rise, finance
companies and banks, which depend on traditional lending revenues, were hit
hard by investors who anticipated future earnings shortfalls. Unfortunately, we
held some of these issues during their price decline. We were also not able to
benefit as much as we would have liked from capital markets' stocks, which we
were underweight. These stocks boomed in line with the fees earned from the
flood of Internet-related IPOs that went to market during 1999 and early 2000.
Beyond this, we experienced some underperformance in the hardware and
semiconductor sectors by not owning Corning and Qualcomm during their
meteoric, TMT-inspired rise late last year. Such companies appeared to be
overvalued, even after accounting for their potential growth. Mindful of the
risk this presented, we elected not to own them, an opinion not shared, at least
initially, by much of the investment community. We were also impacted by an
overweight position in Lucent, which suffered from a string of disappointing
earnings announcements, the firing of its CEO, and increasing competition in
the optical market.
I would also note that we were able to use losses to offset gains, thereby
minimizing capital gains distributions for the year.
3
<PAGE>
PORTFOLIO MANAGER Q&A
--------------------------------------------------------------------------------
(Continued)
WHAT HELPED PERFORMANCE THE MOST?
The greatest contribution to relative returns came from the pharmaceutical
sector. Rapidly growing mid-cap stocks such Alza, Human Genome Sciences, and
Forest Labs led the way. These companies appreciated due to very strong and
positive corporate developments and earnings momentum. We also benefited from
our holdings in Pharmacia Corp. and Monsanto. During this period, Pharmacia
bought Monsanto, which created a powerhouse pharmaceutical company with
significant earnings momentum going forward.
We also did well in the Consumer Staples sector. Our overweighting of
Philip Morris, for example, was the single greatest contributor to performance.
This stock benefited from solid earnings, an announcement that it would spin
off its food business in an IPO, and other positive news.
HOW ARE YOU ADDRESSING STOCK MARKET VOLATILITY GOING FORWARD?
Our mission was, and is, to add excess return in a risk-controlled manner.
In this regard, we adjusted some of our investment processes so that we are
better able to find promising opportunities in a volatile stock market
environment.
One of these adjustments is the implementation of new sector mapping
guidelines. These will enable us to be more sector neutral than we have been in
the recent past. For example, we have broken down the Finance sector into two
new sectors: Finance and Capital Markets. We did this because these two
sub-sectors no longer trade alike, and we wanted to better allocate our
positions in light of changing industry dynamics. This reallocation occurred
just in time for us to benefit from consolidation in the industry. For similar
reasons, and because it had become such a large weighting in the portfolio, we
also divided the Technology sector into three sub-sectors: Hardware,
Semiconductors and Software.
Aside from this, we've acted to limit the impact of momentum investing on
the portfolio. Positive momentum stocks, especially in the TMT sectors, moved
the market significantly last year. Our slightly negative bias against positive
momentum during this period ended up detracting from performance. In response,
we've re-reduced this bias and moved to a more neutral position.
WHAT IS YOUR OUTLOOK FOR THE MONTHS AHEAD?
Our core belief is that a soft landing will be achieved early next year, and
that the Fed will move to ease interest rates and re-invigorate the economy. The
Fed won't do so, however, until there are definitive signs that inflation has
been contained; signs we won't likely see until a few months down the road.
In the meantime, we expect that the stock market will continue to be
volatile, which requires very careful stock selection in order to achieve
excess returns. With our proven research capabilities and improved management
practices, we believe that we can meet whatever challenges the marketplace
throws our way.
4
<PAGE>
FUND FACTS
--------------------------------------------------------------------------------
INVESTMENT OBJECTIVE
J.P. Morgan Institutional Tax Aware Disciplined Equity Fund seeks to provide
high after-tax total return from a portfolio of selected equity securities.
The Fund is designed for long-term taxable investors who are interested in
minimizing taxable distributions. The Fund invests primarily in the common
stocks of large and medium-sized U.S. companies.
--------------------------------------------------------------------------------
Inception Date: 1/30/1997
--------------------------------------------------------------------------------
Fund Net Assets
as of 10/31/2000: $477,555,571
--------------------------------------------------------------------------------
Dividend Payable Date: 12/20/2000
--------------------------------------------------------------------------------
Capital Gain Payable Date
(if applicable): 12/20/2000
EXPENSE RATIO
The Fund's current annualized expense ratio of 0.55% covers shareholders'
expenses for custody, tax reporting, investment advisory, and shareholder
services, after reimbursement. The Fund is no-load and does not charge any
sales, redemption, or exchange fees; however, shares held less than one year,
prior to July 30, 2000, may have been 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, 2000
PORTFOLIO ALLOCATION
(As a percentage of total investments.)
[data from pie chart]
<TABLE>
<S> <C>
Finance 14.3%
Industrial Cyclical 10.1%
Software & Services 9.2%
Computer Hardware 9.0%
Pharmaceuticals 8.8%
Energy 6.5%
Telecommunications 6.3%
Semiconductors 5.9%
Consumer Stable 5.6%
Retail 5.1%
Consumer Services 3.7%
Insurance 3.7%
Consumer Cyclical 3.1%
Health Services & Systems 3.1%
Capital Markets 2.9%
Utilities 2.7%
</TABLE>
<TABLE>
<S> <C>
LARGEST EQUITY % OF TOTAL
HOLDINGS INVESTMENTS
General Electric Co. (U.S.) 4.7%
Microsoft Corp. 3.3%
Cisco Systems Inc. 3.2%
Exxon Mobil Corp. 2.8%
Intel Corp. 2.6%
Citigroup Inc. 2.3%
Pfizer, Inc. 2.0%
Merck & Co., Inc. 1.8%
Phillip Morris Companies, Inc. 1.7%
Wal-Mart Stores, Inc. 1.6%
</TABLE>
Distributed by Funds Distributor, Inc. J.P. Morgan Investment Management Inc.
serves as investment advisor. Shares of the Fund are not insured by the FDIC,
are not bank deposits or other obligations of the financial institution and are
not guaranteed by the financial institution. Shares of the Fund are subject to
investment risk, including possible loss of the principal invested. Return and
share price will fluctuate and redemption value may be 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.
5
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND -
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
OCTOBER 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
--------------------------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS - 100.0%
CAPITAL MARKETS - 2.9%
SECURITIES & ASSET MANAGEMENT - 2.9%
24,700 Edwards (A.G.), Inc. $ 1,253,525
28,300 Franklin Resources, Inc. 1,212,372
10,800 Goldman Sachs Group, Inc. (The) 1,077,975
36,400 John Hancock Financial Services, Inc.(+) 1,151,150
10,500 Lehman Brothers Holdings Inc. 677,250
42,200 Merrill Lynch & Co., Inc. 2,954,000
42,300 Morgan Stanley Dean Witter & Co. 3,397,219
35,602 Schwab (Charles) Corp. 1,250,520
39,100 TD Waterhouse Group, Inc.(+) 647,594
-----------------
13,621,605
-----------------
COMPUTER HARDWARE - 9.0%
COMPUTER HARDWARE & BUSINESS MACHINES - 9.0%
8,233 Avaya Inc.(+) 110,631
284,400 Cisco Systems Inc.(+) 15,322,049
84,400 Compaq Computer Corp. 2,566,604
112,700 Dell Computer Corp.(+) 3,324,650
80,200 EMC Corp. (Mass.)(+) 7,142,813
7,500 Gateway Inc.(+) 387,075
86,200 Hewlett-Packard Co. 4,002,913
10,200 Network Appliances, Inc.(+) 1,213,800
10,177 Palm Inc(+) 545,106
17,100 Quantum Corporation - DLT & Storage
Systems(+) 256,500
10,300 Seagate Technology, Inc.(+) 719,713
67,000 Sun Microsystems, Inc.(+) 7,428,624
-----------------
43,020,478
-----------------
CONSUMER CYCLICAL - 3.1%
AIRLINES - 0.3%
19,700 AMR Corp.(+) 645,175
28,100 Southwest Airlines Co. 800,850
-----------------
1,446,025
-----------------
APPAREL & TEXTILES - 0.3%
37,300 Jones Apparel Group, Inc.(+) 1,037,406
8,200 NIKE, Inc. 327,488
-----------------
1,364,894
-----------------
HOTELS - 0.5%
39,600 Marriott International, Inc. 1,603,800
32,200 Starwood Hotels & Resorts Worldwide, Inc. 953,925
-----------------
2,557,725
-----------------
MOTOR VEHICLES & PARTS - 1.7%
25,200 Dana Corp. 559,125
106,800 Delphi Automotive Systems 1,675,425
21,790 Ford Motor Company 569,264
SHARES VALUE
--------------------------------------------------------------------------------
51,600 General Motors Corp. $ 3,205,650
27,600 Johnson Controls, Inc. 1,645,650
-----------------
7,655,114
-----------------
PUBLISHING - 0.3%
13,000 Knight-Ridder, Inc. 653,250
26,300 New York Times Co. (The) Cl A 966,525
-----------------
1,619,775
-----------------
RESTAURANTS - 0.0%(Z)
7,100 McDonald's Corp. 220,100
-----------------
14,863,633
-----------------
CONSUMER SERVICES - 3.7%
ENTERTAINMENT - 1.1%
36,500 Disney (Walt) Co. 1,307,156
16,300 Seagram Co. Ltd. (The)(i) 931,138
50,900 Viacom, Inc. Cl B(+) 2,894,938
-----------------
5,133,232
-----------------
LEISURE - 0.4%
16,600 Eastman Kodak Co. 744,925
51,000 Hasbro, Inc. 548,250
15,454 International Game Technology(+) 566,003
-----------------
1,859,178
-----------------
MEDIA - 2.2%
3,264 AT&T Corp. - Liberty Media Group Cl A(+) 58,752
91,300 Comcast Corp. Cl A(+) 3,720,475
4,800 Fox Entertainment Group, Inc. Cl A(+) 103,200
25,400 Gannett Co., Inc. 1,473,200
68,700 Time Warner Inc. 5,215,016
-----------------
10,570,643
-----------------
17,563,053
-----------------
CONSUMER STABLE - 5.6%
FOOD & BEVERAGE - 2.2%
80,700 Coca-Cola Company (The) 4,872,262
19,200 Heinz (H.J.) Co. 805,200
17,900 Kellogg Co. 454,213
21,600 PepsiCo, Inc. 1,046,250
15,400 Quaker Oats Co. (The) 1,256,063
28,733 Unilever N.V. New York Shares (i) 1,459,996
-----------------
9,893,984
-----------------
HOME PRODUCTS - 1.7%
14,000 Clorox Company 624,750
16,700 Estee Lauder Companies, Inc. 775,506
67,100 Gillette Company 2,340,113
64,100 Procter & Gamble Co. (The) 4,579,143
-----------------
8,319,512
-----------------
TOBACCO - 1.7%
227,300 Philip Morris Companies Inc. 8,324,862
----------------
26,538,358
-----------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
6
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND -
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
(Continued)
OCTOBER 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
--------------------------------------------------------------------------------
<S> <C>
ENERGY - 6.5%
ENERGY RESERVES & PRODUCTION - 5.7%
8,100 Anadarko Petroleum Corp. $ 518,805
3,100 Apache Corp. 171,469
60,400 Chevron Corp. 4,960,350
4,000 Devon Energy Corporation 201,600
12,100 Enron Corp. 992,956
150,104 Exxon Mobil Corp. 13,387,400
103,100 Royal Dutch Petroleum Co.
New York Shares ADR(i) 6,121,562
900 Unocal Corp. 30,713
15,500 Williams Companies, Inc. (The) 648,094
---------------
27,032,949
---------------
OIL REFINING - 0.4%
34,200 Texaco Inc. 2,019,938
---------------
OIL SERVICES - 0.4%
19,800 Baker Hughes Inc. 680,625
4,700 Cooper Cameron Corp.(+) 256,150
4,700 Diamond Offshore Drilling, Inc. 162,444
1,400 Ensco International Inc. 46,550
25,000 Global Marine Inc.(+) 662,500
1,200 Halliburton Co. 44,475
1,000 Schlumberger Ltd.(+) 76,125
---------------
1,928,869
---------------
30,981,756
---------------
FINANCE - 14.3%
BANKS - 5.7%
4,900 Amsouth Bancorporation 68,294
63,173 Bank of America Corp. 3,036,252
26,900 Bank One Corp. 981,850
7,800 Banknorth Group Inc. 141,375
205,666 Citigroup Inc. 10,823,172
5,300 First Tennessee National Corp. 121,900
11,780 First Union Corp. 357,081
50,900 KeyCorp 1,256,594
6,500 Marshall & Ilsley Corp. 294,531
41,200 National Commerce Bancorporation 875,500
38,200 PNC Bank Corp. 2,554,625
7,800 Regions Financial Corp. 183,788
32,300 SouthTrust Corp. 1,045,713
32,900 Summit Bancorp 1,233,750
10,600 SunTrust Banks, Inc. 517,413
153,400 U.S. Bancorp 3,710,362
---------------
27,202,200
---------------
FINANCIAL SERVICES - 7.7%
6,800 AON Corp. 281,775
39,100 Associates First Capital Corp. 1,451,588
17,400 Capital One Financial Corp. 1,098,375
79,500 Cendant Corp.(+) 954,000
62,200 CIT Group Inc. 1,084,613
SHARES VALUE
--------------------------------------------------------------------------------
4,200 Countrywide Credit Industries, Inc. $ 157,238
45,800 Fannie Mae 3,526,599
25,900 Federal Home Loan Mortgage Corp. 1,554,000
405,600 General Electric Co. (U.S.) 22,231,949
4,000 Marsh & McLennan Companies, Inc. 523,000
37,700 MBNA Corp. 1,416,106
22,400 Providian Financial Corp. 2,329,600
---------------
36,608,843
---------------
THRIFTS - 0.9%
50,800 Dime Bancorp, Inc. 1,241,425
74,200 GreenPoint Financial Corp. 2,207,450
21,980 Washington Mutual, Inc. 967,120
----------------
4,415,995
----------------
68,227,038
----------------
HEALTH SERVICES & SYSTEMS - 3.1%
MEDICAL PRODUCTS & SUPPLIES - 2.3%
41,400 Abbott Laboratories 2,186,438
33,200 Bard (C.R.), Inc. 1,390,250
7,400 Baxter International, Inc. 608,188
8,400 Becton Dickinson & Co. 281,400
11,400 Boston Scientific Corp.(+) 181,688
11,800 Guidant Corp.(+) 624,663
39,100 Johnson & Johnson 3,602,087
28,100 Medtronic, Inc. 1,526,181
8,400 St. Jude Medical, Inc.(+) 462,000
-----------------
10,862,895
-----------------
MEDICAL PROVIDERS & SERVICES - 0.8%
25,100 HCA - The Healthcare Co. 1,002,431
70,600 Tenet Healthcare Corp.(+) 2,775,462
-----------------
3,777,893
-----------------
14,640,788
-----------------
INDUSTRIAL CYCLICAL - 10.1%
CHEMICALS - 1.2%
31,600 Air Products & Chemicals, Inc. 1,179,075
36,300 Dow Chemical Co. 1,111,688
11,300 PPG Industries, Inc. 504,263
15,600 Praxair, Inc. 581,100
33,200 Rohm and Haas Co. 998,075
35,700 Union Carbide Corp. 1,535,100
-----------------
5,909,301
-----------------
DEFENSE/AEROSPACE - 1.2%
42,400 Boeing Co. 2,875,250
14,608 Goodrich (B.F.) Company (The) 598,015
41,800 Honeywell Inc. 2,249,363
-----------------
5,722,628
-----------------
ELECTRICAL EQUIPMENT - 3.9%
15,217 Agilent Technologies, Inc.(+) 704,737
37,700 Corning Inc. 2,884,049
12,000 Eaton Corp. 816,750
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
7
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND -
SCHEDULE OF INVESTMENTS
--------------------------------------------------------------------------------
(Continued)
OCTOBER 31, 2000
<TABLE>
<CAPTION>
SHARES VALUE
--------------------------------------------------------------------------------
<C> <S> <C>
14,400 Level 3 Communications, Inc.(+) $ 686,700
134,800 Lucent Technologies Inc. 3,142,524
57,800 Motorola, Inc. 1,441,388
126,900 Nortel Networks Corp. 5,773,949
25,800 QUALCOMM Inc.(+) 1,679,822
25,800 Tellabs, Inc.(+) 1,288,388
---------------
18,418,307
---------------
FOREST PRODUCTS & PAPER - 0.7%
18,300 Fort James Corp. 602,756
19,800 International Paper Co.(+) 725,175
18,400 Kimberly-Clark Corp. 1,214,400
11,000 Smurfit-Stone Container Corp.(+) 148,500
13,500 Temple-Inland Inc. 604,125
---------------
3,294,956
---------------
HEAVY ELECTRICAL EQUIPMENT - 0.6%
49,900 Cooper Industries, Inc. 1,908,675
11,700 Emerson Electric Co. 859,219
---------------
2,767,894
---------------
INDUSTRIAL PARTS - 1.3%
6,700 Caterpillar Inc. 234,919
600 Ingersoll-Rand Co. 22,650
12,600 ITT Industries, Inc. 410,288
6,200 Parker-Hannifin Corp. 256,525
75,204 Tyco International Ltd.(i) 4,263,126
16,400 United Technologies Corp. 1,144,925
---------------
6,332,433
---------------
MINING & METALS - 0.5%
71,940 Alcoa Inc. 2,063,779
18,900 Allegheny Technologies Inc. 382,725
---------------
2,446,504
---------------
RAILROADS - 0.5%
21,700 Burlington Northern Santa Fe Corp. 576,406
9,500 Norfolk Southern Corp. 134,188
37,400 Union Pacific Corp. 1,753,125
---------------
2,463,719
---------------
TRUCKING & SHIPPING & AIR FREIGHT - 0.2%
8,500 C.H. Robinson Worldwide, Inc. 464,844
6,400 FedEx Corp.(+) 299,904
---------------
764,748
---------------
48,120,490
---------------
INSURANCE - 3.7%
LIFE & HEALTH INSURANCE - 1.4%
2,100 Aetna Inc. 121,406
15,800 Aflac Inc. 1,154,388
1,900 American General Corp. 152,950
19,000 CIGNA Corp. 2,317,050
19,800 Lincoln National Corp. 957,825
31,000 MetLife, Inc.(+) 856,375
26,800 Torchmark Corp. 892,775
---------------
6,452,769
---------------
SHARES VALUE
--------------------------------------------------------------------------------
PROPERTY AND CASUALTY INSURANCE - 2.3%
41,300 Allstate Corp. $ 1,662,325
28,600 Ambac Financial Group, Inc. 2,282,638
49,425 American International Group, Inc. 4,843,650
21,200 Hartford Financial Services Group Inc. (The) 1,578,075
13,500 MBIA Inc. 981,281
--------------
11,347,969
--------------
17,800,738
--------------
PHARMACEUTICALS - 8.8%
DRUGS - 8.8%
15,900 Alza Corp.(+) 1,286,906
44,800 American Home Products Corp. 2,844,800
29,700 Amgen Inc.(+) 1,720,744
71,000 Bristol-Myers Squibb Co. 4,326,563
2,000 Forest Laboratories, Inc. Cl A(+) 265,000
3,800 Genzyme Corp.(+) 269,800
4,600 Human Genome Sciences, Inc.(+) 406,597
2,000 Incyte Pharmaceuticals, Inc.(+) 73,250
45,700 Lilly (Eli) & Co. 4,084,438
94,700 Merck & Co., Inc. 8,517,080
1,000 PE Corp-PE Biosystems Group 117,000
219,448 Pfizer, Inc. 9,477,410
80,261 Pharmacia Corp. 4,414,355
80,200 Schering-Plough Corp. 4,145,338
3,000 Vertex Pharmaceuticals, Inc.(+) 279,328
---------------
42,228,609
---------------
RETAIL - 5.1%
CLOTHING STORES - 1.0%
50,200 Gap, Inc. (The) 1,295,788
56,800 Limited, Inc. (The) 1,434,200
72,200 TJX Companies, Inc. (The) 1,967,449
---------------
4,697,437
---------------
DEPARTMENT STORES - 2.4%
3,900 Costco Companies, Inc.(+) 142,838
17,400 Federated Department Stores, Inc.(+) 566,588
1,200 Kohl's Corp.(+) 65,025
23,450 May Department Stores Co. (The) 615,563
72,200 Target Corp. 1,994,524
173,700 Wal-Mart Stores, Inc. 7,881,637
---------------
11,266,175
---------------
GROCERY STORES - 0.4%
3,000 Albertson's Inc. 71,063
39,200 Kroger Co. (The)(+) 884,450
20,200 Safeway Inc.(+) 1,104,688
---------------
2,060,201
---------------
SPECIALTY STORES - 1.3%
34,900 Best Buy Co., Inc.(+) 1,751,544
7,100 Grainger (W.W.), Inc. 226,756
88,600 Home Depot, Inc. 3,809,799
14,100 Lowe's Companies, Inc. 644,194
---------------
6,432,293
---------------
24,456,106
---------------
</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, 2000
<TABLE>
<CAPTION>
SHARES VALUE
--------------------------------------------------------------------------------
<C> <S> <C>
SEMICONDUCTORS - 5.9%
SEMICONDUCTOR - 5.9%
24,500 Altera Corp.(+) $ 1,002,969
12,100 Analog Devices, Inc.(+) 786,500
41,800 Applied Materials, Inc.(+) 2,220,625
5,800 Broadcom Corp.(+) 1,289,775
4,600 Cypress Semiconductor Corp.(+) 172,213
274,900 Intel Corp. 12,370,499
45,400 JDS Uniphase Corp.(+) 3,697,263
15,800 Lattice Semiconductor Corp.(+) 461,163
4,100 Linear Technology Corp. 264,706
27,500 Micron Technology, Inc.(+) 955,625
18,900 National Semiconductor Corp.(+) 491,400
800 PMC-Sierra, Inc.(+) 135,600
72,800 Texas Instruments Inc. 3,571,750
13,600 Xilinx, Inc.(+) 985,150
-----------------
28,405,238
-----------------
SOFTWARE & SERVICES - 9.2%
COMPUTER SOFTWARE - 7.7%
10,000 Adobe Systems Inc. 760,625
3,100 BEA Systems, Inc.(+) 222,425
64,900 International Business Machines Corp. 6,392,650
226,900 Microsoft Corp.(+) 15,627,737
18,500 NCR Corp.(+) 797,813
12,500 Network Associates Inc.(+) 240,625
219,700 Oracle Corp.(+) 7,250,099
14,000 Parametric Technology Corp.(+) 172,375
16,800 Siebel Systems, Inc.(+) 1,762,950
12,300 Symantec Corp.(+) 480,469
2,400 TIBCO Software Inc.(+) 151,200
17,700 Veritas Software Corp.(+) 2,495,977
-----------------
36,354,945
-----------------
INFORMATION SERVICES - 0.5%
27,600 Automatic Data Processing, Inc. 1,802,625
15,900 Electronic Data Systems Corp. 746,306
-----------------
2,548,931
-----------------
INTERNET - 1.0%
68,800 America Online, Inc.(+) 3,469,584
30,700 E*trade Group Inc.(+) 447,069
17,000 Yahoo! Inc.(+) 996,625
-----------------
4,913,278
-----------------
43,817,154
-----------------
TELECOMMUNICATIONS - 6.3%
TELEPHONE - 5.5%
101,050 AT&T Corp. 2,343,097
40,800 BellSouth Corp. 1,971,150
10,900 BroadWing Inc.(+) 307,925
37,835 Global Crossing Ltd.(+) 893,852
SHARES/PRINCIPAL AMOUNT VALUE
-------------------------------------------------------------------------------
84,104 Qwest Communications International Inc.(+) $ 4,089,557
130,386 SBC Communications Inc. 7,521,641
102,976 Verizon Communications 5,953,300
16,200 Williams Communications Group Inc.(+) 296,663
135,453 WorldCom, Inc.(+) 3,217,009
--------------
26,594,194
--------------
WIRELESS TELECOMMUNICATIONS - 0.8%
48,100 Nextel Communications, Inc.(+) 1,848,844
49,800 Sprint Corp. (PCS Group)(+) 1,898,625
---------------
3,747,469
---------------
30,341,663
---------------
UTILITIES - 2.7%
ELECTRICAL UTILITY - 2.4%
44,300 C P & L Energy Inc. 1,785,844
51,200 DTE Energy Company 1,849,600
21,200 Dynegy Inc. Cl A 981,825
90,600 Entergy Corp. 3,471,112
10,800 FPL Group, Inc. 712,800
16,600 NiSource Inc. 413,963
28,900 Pinnacle West Capital Corp. 1,255,344
23,500 Texas Utilities Co. 870,969
22,100 Wisconsin Energy Corp. 415,756
-----------------
11,757,213
-----------------
GAS & WATER UTILITIES - 0.3%
6,700 Columbia Energy Group 481,981
13,200 El Paso Energy Corporation 827,475
-----------------
1,309,456
-----------------
13,066,669
-----------------
TOTAL COMMON STOCKS 477,693,376
-----------------
(Cost $422,981,687)
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS - 0.0%(Z)
<C> <S> <C>
INVESTMENT COMPANIES - 0.0%(Z)
$208,796 J.P. Morgan Institutional Prime
Money Market Fund* 208,796
-----------------
(Cost $208,796)
TOTAL INVESTMENT SECURITIES - 100.0% $477,902,172
=================
(Cost $423,190,483)
</TABLE>
ADR - American Depositary Receipt
(i) Foreign security.
(z) Category is less than 0.05% of total investment securities.
* Money Market mutual fund registered under the Investment Company Act of
1940, as amended, and advised by J.P. Morgan Investment Management, Inc.
(+) Non-income producing security.
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES
--------------------------------------------------------------------------------
OCTOBER 31, 2000
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $423,190,483) $477,902,17
Receivable for Investments Sold 3,754,842
Dividend And Interest Receivable 307,450
Receivable for Expense Reimbursement 60,647
Deferred Organization Expenses 11,236
Prepaid Trustees' Fees and Expenses 1,226
Prepaid Expenses and Other Assets 1,490
-----------
TOTAL ASSETS 482,039,063
-----------
LIABILITIES
Payable for Capital Shares Redeemed 3,474,239
Payable for Investments Purchased 678,849
Advisory Fee Payable 139,071
Administration Service Fee Payable 19,018
Fund Services Fee Payable 332
Administration Fee Payable 106
Accrued Expenses and Other Liabilities 171,877
------------
TOTAL LIABILITIES 4,483,492
------------
NET ASSETS
Applicable to 25,301,992 Shares Outstanding $477,555,57
============
Net Asset Value, Offering and Redemption Price per Share
(par value $0.001, unlimited shares authorized) $18.87
============
ANALYSIS OF NET ASSETS
Paid-in Capital $447,758,99
Undistributed Net Investment Income 277,091
Accumulated Net Realized Loss on Investments (25,192,207
Net Unrealized Appreciation of Investments 54,711,689
------------
NET ASSETS $477,555,57
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF OPERATIONS
--------------------------------------------------------------------------------
FOR THE YEAR ENDED OCTOBER 31, 2000
<TABLE>
<S> <C>
INVESTMENT INCOME
INCOME
Dividend Income (Net of Foreign Withholding Tax of $41,953) $ 5,652,13
Dividend Income from Affiliated Investment
(Includes Reimbursement from
Affiliate of $450) 137,155
Interest Income 12,104
----------
Investment Income 5,801,398
----------
EXPENSES
Advisory Fee 1,528,039
Shareholder Servicing Fee 436,582
Administrative Service Fee 212,348
Custody Fee 118,043
Distribution Fee 81,233
Registration Fee 51,616
Professional Fee 35,646
Transfer Agent Fee 33,786
Fund Accounting Expenses 15,000
Printing Expenses 13,935
Amortization of Organization Expenses 8,974
Fund Services Fee 6,796
Trustees' Fees and Expenses 5,422
Administration Fee 2,868
Miscellaneous 20,709
----------
Total Expenses 2,570,997
Less: Reimbursement of Expenses (168,975)
-----------
Net Expenses 2,402,022
----------
NET INVESTMENT INCOME 3,399,376
----------
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED LOSS ON INVESTMENT TRANSACTIONS (12,344,341
-----------
NET CHANGE IN UNREALIZED APPRECIATION ON INVESTMENT TRANSACTIONS 22,469,985
-----------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $13,525,020
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
FOR THE YEARS ENDED OCTOBER 31
<TABLE>
<CAPTION>
INCREASE IN NET ASSETS 2000 1999
<S> <C> <C>
FROM OPERATIONS
Net Investment Income $ 3,399,376 $ 2,026,145
Net Realized Gain (Loss) on Investment Transactions (12,344,341) 5,504,441
Net Change in Unrealized Appreciation of Investments 22,469,985 23,577,000
----------------- --------------
Net Increase in Net Assets Resulting from Operations 13,525,020 31,107,586
----------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (3,269,243) (1,951,938)
------------------ --------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 222,245,129 240,877,080
Reinvestment of Distributions 2,630,629 1,755,496
Cost of Shares of Beneficial Interest Redeemed (98,563,565) (21,124,989)
Service Charge 176,024 69,176
------------------ --------------
Net Increase from Transactions in Shares of Beneficial Interest 126,488,217 221,576,763
------------------ --------------
Total Increase in Net Assets 136,743,994 250,732,411
------------------ --------------
NET ASSETS
Beginning of Year 340,811,577 90,079,166
------------------ --------------
End of Year $477,555,571 $340,811,577
================== ==============
Undistributed Net Investment Income $277,091 $146,958
================== ===============
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Shares of Beneficial Interest Sold 11,739,854 13,695,586
Reinvestment of Distributions 141,108 99,366
Shares of Beneficial Interest Redeemed (5,312,786) (1,184,208)
------------------- --------------
Net Increase in Shares of Beneficial Interest 6,568,176 12,610,744
=================== ==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<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
JANUARY 30, 1997
(COMMENCEMENT OF
OPERATIONS) THROUGH
FOR THE YEARS ENDED OCTOBER 31 OCTOBER 31,
2000 1999 1998 1997
-------------------------------------------------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD $18.19 $14.71 $12.08 $10.00
-------------------------------------------------------------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.15 0.15 0.11 0.06
Net Realized and Unrealized Gain on Investments 0.68 3.48 2.68 2.02
-------------------------------------------------------------
Total from Investment Operations 0.83 3.63 2.79 2.08
-------------------------------------------------------------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.15) (0.15) (0.16) -
-------------------------------------------------------------
NET ASSET VALUE PER SHARE, END OF PERIOD $18.87 $18.19 $14.71 $12.08
=============================================================
RATIOS AND SUPPLEMENTAL DATA
Total Return 4.54% 24.72% 23.26% 20.80%(a)
Net Assets, End of Period (in thousands) $477,556 $340,812 $90,079 $12,026
Ratios to Average Net Assets
Net Expenses 0.55% 0.55% 0.55% 0.55%(b)
Net Investment Income 0.78% 0.94% 0.97% 1.19%(b)
Expenses Without Reimbursement 0.59% 0.65% 1.02% 4.59%(b)
Portfolio Turnover 51% 40% 57% 35%
</TABLE>
(a) Not annualized.
(b) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
OCTOBER 31, 2000
--------------------------------------------------------------------------------
1. ORGANIZATION AND SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
Organization--J.P. Morgan Institutional 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 and 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 accounting
principles generally accepted in the United States of America 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:
Security Valuations--Securities traded on principal securities exchanges are
valued at the last reported sales price, or mean of the latest bid and asked
prices when no last sales price is available. Securities traded
over-the-counter and certain foreign securities are valued at the quoted bid
price from a market maker or dealer. When valuations are not readily available,
securities are valued at fair value as determined in accordance with procedures
adopted by the Trustees. All short-term securities with a remaining maturity of
sixty days or less are valued using the amortized cost method.
Security Transactions--Security transactions are accounted for as of the
trade date. Realized gains and losses are determined on the identified cost
basis, which is also used for federal income tax purposes.
Investment Income--Dividend income less foreign taxes withheld, if any, is
recorded on the ex-dividend date or at the time that the relevant ex-dividend
and amount becomes known. Interest income is recorded on the accrual basis and
includes accretion of discounts and amortization of premiums.
Organization Expenses--The Fund incurred organization expenses in the amount
of $47,567, which have been deferred and are being amortized on a straight-line
basis over a period not to exceed five years beginning with the commencement of
operations of the Fund.
Income Tax Status--It is the Fund's policy to distribute all net investment
income and net realized gains to shareholders and to otherwise qualify as a
regulated investment company under the provisions of the Internal Revenue Code.
Accordingly, no provision has been made for federal or state income taxes.
Distributions to Shareholders--Distributions to a shareholder are recorded
on the ex-dividend date. Distributions from net investment income are declared
and paid quarterly. Distributions from net realized gains, if any, are declared
and paid annually.
--------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
Advisory--The Trust, on behalf of the Fund, has an Investment Advisory
Agreement with J.P. Morgan Investment Management Inc. ("JPMIM"), an affiliate
of Morgan Guaranty Trust Company of New York ("Morgan") and a wholly owned
subsidiary of J.P. Morgan & Co. Incorporated ("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.
The Fund may invest in one or more affiliated money market funds: J.P.
Morgan Institutional Prime Money Market Fund, J.P. Morgan Institutional Tax
Exempt Money Market Fund, J.P. Morgan Institutional Federal Money Market Fund
and J.P. Morgan Institutional Treasury Money Market Fund. The Advisor has agreed
to reimburse its advisory fee from the Fund in an amount to offset any
investment advisory, administrative fee and shareholder servicing fees related
to a Fund investment in an affiliated money market fund.
Administrative Services--The Trust 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 Trust 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
Funds Distributor,
14
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
(Continued)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES (CONTINUED)
Inc. The portion of this charge payable by the 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 similar services.
Morgan has agreed to reimburse the Fund to the extent necessary to maintain
the total operating expenses (which excludes interest and dividend expenses,
taxes and extraordinary items) 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 after February 28, 2001, at the option of
J.P. Morgan.
Administration--The Trust 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, 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 portion
of this charge payable by the 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 FDI provides similar services.
Shareholder Servicing--The Trust has a Shareholder Servicing Agreement with
Morgan under which Morgan provides account administration and personal account
maintenance service to Fund shareholders. The agreement provides for the Fund
to pay Morgan a fee for these services that is computed daily and paid monthly
at an annual rate of 0.10% of the average daily net assets of the Fund.
Fund Services--The Trust has a Fund Services Agreement with Pierpont Group,
Inc. ("PGI") to assist the Trustees in exercising their overall supervisory
responsibilities for the Trust's affairs. The Trustees of the Fund represent all
the existing shareholders of PGI.
Each Trustee receives an aggregate annual fee of $75,000 for serving on the
boards 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 represent the
Fund's allocated portion of the total Trustees' fees and expenses. The Trust's
Chairman and Chief Executive Officer also serves as Chairman of PGI and
receives compensation and employee benefits from PGI. The allocated portion of
such compensation and benefits included in the Fund Services Fee shown on the
Statement of Operations was $1,300.
--------------------------------------------------------------------------------
3. FEDERAL INCOME TAXES
As of October 31, 2000, accumulated net unrealized appreciation was
$54,209,995, based on the aggregate cost of investments for federal income tax
purposes of $423,692,177, which consisted of unrealized appreciation of
$82,940,557 and unrealized depreciation of $28,730,562.
For federal income tax purposes, the Fund had a capital loss carryforward as
of October 31, 2000, of approximately $24,690,513 of which $802,394 expires in
2006 and $23,888,119 expires in 2008. Accordingly, no capital gains distribution
is expected to be paid to shareholders until net gains have been realized in
excess of this amount.
Income distributions and capital gain distributions, if any, are determined
in accordance with income tax regulations which may differ from generally
accepted accounting principles. Accordingly, these permanent differences in the
character of income and distributions between financials statements and tax
basis have been reclassified to paid-in-capital. During the year ended October
31, 2000, the following reclassifications were made: paid-in-capital was
increased by $11,945,931 and accumulated realized loss was decreased by
$11,945,931. 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 were not recognized for tax purposes.
15
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS
--------------------------------------------------------------------------------
(Continued)
OCTOBER 31, 2000
--------------------------------------------------------------------------------
4. INVESTMENT TRANSACTIONS
During the year ended October 31, 2000, the Fund purchased $347,886,340 of
investment securities and sold $219,530,299 of investment securities other than
U.S. government securities and short-term investments.
--------------------------------------------------------------------------------
5. BANK LOANS
The Fund may borrow money for temporary or emergency purposes, such as
funding shareholder redemptions. Effective May 23, 2000, the Fund, along with
certain other Funds managed by JPMIM, entered into a $150,000,000 bank line of
credit agreement with DeutscheBank. Borrowings under the agreement will bear
interest at approximate market rates and a commitment fee at an annual rate of
0.085% on the unused portion of the committed amount.
--------------------------------------------------------------------------------
6. CONCENTRATIONS OF CREDIT RISK
YEARS SINCE PURCHASE PERCENTAGE OF CASH PROCEEDS
Shares held for less than one year 1%
Shares held one year or longer None
Effective July 30, 2000 redemptions are no longer subject to a service charge
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.
Redemptions may have been subject to service charges, retained by the Fund
in accordance with the following schedule:
--------------------------------------------------------------------------------
7. SUBSEQUENT EVENTS
On September 13, 2000, J.P. Morgan & Co. Incorporated and The Chase
Manhattan Corporation announced that they have entered into an agreement and
plan of merger. The transaction is expected to close in December 2000 and is
subject to approval by shareholders of both companies.
================================================================================
TAX INFORMATION NOTICE (UNAUDITED)
For corporate taxpayers 91.88% of the ordinary income distributions paid
during the fiscal year ended October 31, 2000 qualify for the corporate
dividends received deduction.
16
<PAGE>
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 the J.P. Morgan Series Trust, hereafter
referred to as the "Fund") at October 31, 2000, 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 periods
indicated, 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
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 auditing standards generally accepted in
the United States of America, which require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements are free
of material misstatement. An audit includes examining, on a test basis, evidence
supporting the amounts and disclosures in the financial statements, assessing
the accounting principles used and significant estimates made by management, and
evaluating the overall financial statement presentation. We believe that our
audits, which included confirmation of securities at October 31, 2000 by
correspondence with the custodian and brokers, provide a reasonable basis for
our opinion.
PricewaterhouseCoopers LLP
New York, New York
December 21, 2000
17
<PAGE>
NOTES
--------------------------------------------------------------------------------
18
<PAGE>
NOTES
--------------------------------------------------------------------------------
19
<PAGE>
NOTES
--------------------------------------------------------------------------------
20
<PAGE>
[back cover]
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
---------------------------------------------------------------------
Market Neutral:
Institutional Shares
---------------------------------------------------------------------
Diversified Fund
---------------------------------------------------------------------
Disciplined Equity Fund
---------------------------------------------------------------------
Large Cap Growth Fund:
Institutional Shares
---------------------------------------------------------------------
Tax Aware Disciplined Equity Fund:
Institutional Shares
---------------------------------------------------------------------
Tax Aware U.S. 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.
---------------------------------------------------------------------
Morgan Guaranty Trust Company MAILING
500 Stanton Christiana Road INFORMATION
Newark, Delaware 19713-2107
IN-ANN-23764 1000
