<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN INSTITUTIONAL TAX AWARE
DISCIPLINED EQUITY FUND
June 1, 2000
Dear Shareholder:
The J.P. Morgan Institutional Tax Aware Disciplined Equity Fund delivered a
total return of 4.92% for the six months ended April 30, 2000, underperforming
the S&P 500 Index, which returned 7.20%, and the Lipper Growth and Income Funds
Average, which posted a 10.83% return.
The fund's net asset value on April 30 was $19.00 per share, increasing from
$18.19 per share on October 31, 1999, after distributions of $0.08 per share
in ordinary income. There were no distributions from short- or long-term
capital gains. The fund's net assets rose to over $436 million as of April 30.
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 OF CONTENTS
LETTER TO THE SHAREHOLDERS.............1 FUND FACTS AND HIGHLIGHTS............5
FUND PERFORMANCE.......................2 FINANCIAL STATEMENTS.................8
PORTFOLIO MANAGER Q&A..................3
--------------------------------------------------------------------------------
1
<PAGE>
FUND PERFORMANCE
EXAMINING PERFORMANCE
One 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.
<TABLE>
<CAPTION>
PERFORMANCE TOTAL RETURNS AVERAGE ANNUAL TOTAL RETURNS
------------------------ ----------------------------
THREE SIX ONE SINCE
AS OF APRIL 30, 2000 MONTHS MONTHS YEAR INCEPTION*
------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
J.P. Morgan Institutional Tax Aware
Disciplined Equity Fund 3.43% 4.92% 5.27% 22.67%
S&P 500 Index** 4.46% 7.20% 10.12% 22.58%
Lipper Growth & Income Fund Average*** 5.33% 10.83% 14.32% 20.75%
AS OF MARCH 31, 2000
------------------------------------------------------------------------------------------------------------
J.P. Morgan Institutional Tax Aware
Disciplined Equity Fund 2.17% 14.52% 15.09% 24.86%
S&P 500 Index** 2.29% 17.51% 17.94% 24.43%
Lipper Growth & Income Fund Average*** 4.11% 21.66% 21.70% 22.77%
</TABLE>
* THE FUND COMMENCED OPERATIONS ON JANUARY 30, 1997, AND HAS PROVIDED AN AVERAGE
ANNUAL TOTAL RETURN OF 22.81% FROM THAT DATE THROUGH APRIL 30, 2000. FOR THE
PURPOSE OF COMPARISON, THE "SINCE INCEPTION" RETURNS ARE CALCULATED FROM
JANUARY 31, 1997, THE FIRST DATE WHEN DATA FOR THE FUND, THE FUND'S
BENCHMARK, AND ITS LIPPER CATEGORY AVERAGE WERE ALL AVAILABLE.
** THE S&P 500 INDEX IS AN UNMANAGED INDEX FUND 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 INVESTMENT.
*** DESCRIBES THE AVERAGE TOTAL RETURN FOR ALL FUNDS IN THE INDICATED LIPPER
CATEGORY, AS DEFINED BY LIPPER, INC., AND DOES NOT TAKE INTO ACCOUNT
APPLICABLE SALES CHARGES. LIPPER ANALYTICAL SERVICES, INC. IS A LEADING
SOURCE FOR MUTUAL FUND DATA.
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.
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 (CFA) and a graduate
of the University of Pennsylvania's Management and Technology Program. Robin
earned her MBA from New York University's Stern School of Business. This
interview was conducted on May 11, 2000, and reflects her views on that date.
HAS MARKET TURBULENCE OVER THE PAST SIX MONTHS AFFECTED THE FUND'S POSITIONING?
RBC: Because we are long-term investors, with an outlook that extends for many
months and years, we are careful not to overreact to short-term volatility in
the marketplace. Our belief is that we are going to do better over the long haul
by buying what we consider to be unjustifiably undervalued companies and waiting
for their values to be realized, than by chasing companies whose share prices
gyrate unpredictably and, to us, irrationally. Also, since we're taxable
investors, we don't want to do a lot of trading where we will be recognizing net
capital gains, so we don't go in and out of stocks to capture short-term
returns.
OVER THIS REPORTING PERIOD, HOW DID YOU PERFORM?
RBC: For a number of reasons, we were under the index over the last six months.
One reason was poor stock selection among those we bought and those we didn't.
We were hurt within the finance sector, for example, by owning S&Ls, regional
banks and miscellaneous finance companies, while underweighting the brokers and
money center banks.
Short-term interest rates, which rose by 1.25% in the June 1999-April 2000
period, squeezed the margins of the S&Ls and regionals, which tend to borrow
short and lend long. As a result, investors deserted them in favor of greener
pastures. Rising rates weren't as much of a factor with brokers and money center
banks, which have more diversified revenue streams. Brokers, in particular,
benefited from a tremendous wave of IPO and M&A activity over the past six
months, and so turned in spectacular earnings reports, way above their averages
and probably at the top of their earnings cycle. So, on a comparative basis, we
got hit by the double whammy of depressed earnings among the finance companies
in the portfolio and stellar earnings by the brokers and large banks that are
represented in our benchmark, the S&P 500. I would stress that we continue to
own certain finance companies that hurt recent performance, as we feel that they
remain cheap relative to their long-term potential.
We were also hit by not owning or underweighting some of the stocks that did
very well over this reporting period, notably Qualcomm, which was up 94% during
that time. If you didn't hold it or were underweight relative to the benchmark,
it detracted from performance.
3
<PAGE>
Finally, performance was hurt by a slight bias against momentum that was
inherent in our investment style. Historically this bias would have been so
insignificant as to make little difference. As it turned out, however, even the
slightest bet against price momentum had a dramatic impact on our performance.
WHERE DID STOCK SELECTION HELP PERFORMANCE?
RBC: We had a number of stocks in the portfolio that did well. Our best
performer was Monsanto, which merged with what was then Pharmacia & Upjohn and
is now Pharmacia Corp. Here, investors bought into the company's story that its
earnings momentum would be greatly enhanced by the merger. They also found favor
with Pharmacia's arthritis medication, Celebrex, which has been and continues to
be a big hit for the company. Another company that helped us a great deal was
Human Genome Sciences. Our analyst was early to recognize the long-term value of
these types of companies, particularly in the development of highly targeted
medications for a variety of ills. As such, we were investors in genomic stocks
before they became popular with the general investment community, and so we were
able to benefit substantially when these stocks took off. Beyond this, we
benefited from our holdings in Exodus, a leader in the field of establishing and
managing corporate web sites, one that has grown tremendously in recent years. I
would note that we have held these companies for some time, as is our practice
with high quality companies that we feel are undervalued.
IS THERE ANYTHING YOU WOULD LIKE TO SAY ABOUT THE TAX ASPECTS OF THE FUND?
RBC: If there was a silver lining to the cloud we were under during the
six-month period, it would be that we didn't realize any net capital gains in
December, and so we didn't have to make any distributions last year. Owing to
market volatility, we were able to harvest net losses, so earlier this year we
had a pool of losses that we could use to offset some future gains.
DO YOU ANTICIPATE MAKING ANY CHANGES TO THE PORTFOLIO OVER THE NEAR TERM?
RBC: There are a couple changes we are making across all our large-cap equity
products. For one thing, we are seeking to reduce risk in the finance sector. In
the past, companies within it tended to behave similarly to such outside
influences as interest rate movements. However, as brokers and money center
banks have expanded their businesses and gained new sources of income, their
share prices have begun to react differently than finance companies, S&Ls, and
regional banks, where basic lending remains the primary source of revenues. In
light of this, we have begun to segment this sector so that we have a neutral
exposure to the capital markets. Since our objective is to earn a rate of return
greater than our benchmark through stock selection, we would rather concentrate
our efforts on finding the most undervalued stocks within this economic sector,
rather than determining if now is the correct time to own the traditional
lending institutions. The former requires making macro bets on interest rates
which is not part of our portfolio management process. It is not a bet we think
will add to returns over the long term.
Another long-term change that has recently been put into effect is an adjustment
to the dividend discount rate we use to rank stocks in each sector. As noted, it
had a slight anti-momentum bias, one that ended up hurting us over the past six
months. We have now added a factor that should neutralize it. We fully expect
this change to reduce volatility in the portfolio, without reducing potential
returns.
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 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 4/30/00
$436,042,967
--------------------------------------------------------------------------------
DIVIDEND PAYABLE DATES
7/28/00, 10/27/00, 12/20/00
--------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/20/00
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.
FUND HIGHLIGHTS
ALL DATA AS OF APRIL 30, 2000
PORTFOLIO ALLOCATION
(AS A PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
TECHNOLOGY 33.3%
CONSUMER GOODS & SERVICES 19.1%
FINANCE 12.9%
HEALTHCARE 10.2%
INDUSTRIAL PRODUCTS & SERVICES 9.2%
UTILITIES 7.0%
ENERGY 5.3%
BASIC INDUSTRIES 2.0%
TRANSPORTATION 0.7%
SHORT-TERM & OTHER INVESTMENTS 0.3%
LARGEST EQUITY HOLDINGS
% OF TOTAL INVESTMENTS
<TABLE>
<S> <C>
GENERAL ELECTRIC CO.
(INDUSTRIAL PRODUCTS & SERVICES) 4.0%
CISCO SYSTEMS, INC. (TECHNOLOGY) 3.9%
INTEL CORP. (TECHNOLOGY) 3.7%
MICROSOFT CORP. (TECHNOLOGY) 3.0%
EXXON MOBIL CORP. (ENERGY) 2.4%
WAL-MART STORES, INC.
(CONSUMER GOODS & SERVICES) 1.8%
ORACLE CORP. (TECHNOLOGY) 1.8%
LUCENT TECHNOLOGIES, INC. (TECHNOLOGY) 1.7%
NORTEL NETWORKS CORP. (TECHNOLOGY) 1.6%
INTERNATIONAL BUSINESS MACHINES CORP.
(TECHNOLOGY) 1.5%
</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.
References to specific securities and their issuers are for illustrative
purposes only and are not intended to be, and should not be interpreted as,
recommendations to purchase or sell such securities. Opinions expressed herein
and other fund data presented are based on current market conditions and are
subject to change without notice. The fund's tax-aware strategies may reduce
your capital gains but will not eliminate them.
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 (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
COMMON STOCKS (99.7%)
BASIC INDUSTRIES (2.0%)
CHEMICALS (1.0%)
Air Products and Chemicals, Inc.................. 26,100 $ 810,731
Dow Chemical Co.................................. 4,300 485,900
Lyondell Chemical Co............................. 44,300 814,012
Praxair, Inc..................................... 5,300 235,519
Rohm & Haas Co................................... 56,300 2,005,687
------------
4,351,849
------------
FOREST PRODUCTS & PAPER (0.4%)
Bowater, Inc..................................... 1,100 60,500
Fort James Corp.................................. 18,600 445,237
International Paper Co........................... 14,800 543,900
Temple-Inland, Inc............................... 13,500 676,687
------------
1,726,324
------------
METALS & MINING (0.6%)
Alcoa, Inc....................................... 17,400 1,128,825
Allegheny Technologies, Inc...................... 24,100 582,919
Phelps Dodge Corp................................ 2,000 92,500
Reynolds Metals Co............................... 9,500 631,750
USX-U.S. Steel Group............................. 1,800 45,112
------------
2,481,106
------------
TOTAL BASIC INDUSTRIES......................... 8,559,279
------------
CONSUMER GOODS & SERVICES (19.1%)
APPARELS & TEXTILES (0.2%)
Jones Apparel Group, Inc.+....................... 33,300 988,594
------------
AUTOMOTIVE (2.1%)
Dana Corp........................................ 29,971 910,369
Delphi Automotive Systems Corp................... 31,700 606,262
Ford Motor Co.................................... 57,800 3,160,937
General Motors Corp.............................. 24,000 2,247,000
Goodyear Tire and Rubber Co...................... 49,600 1,370,200
Lear Corp.+...................................... 24,500 733,469
------------
9,028,237
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
BROADCASTING & PUBLISHING (1.8%)
AT&T Corp. - Liberty Media Group, Class A+....... 16,984 $ 848,138
Comcast Corp., Class A........................... 54,900 2,199,431
Gannett Co., Inc................................. 20,200 1,290,275
Knight-Ridder, Inc............................... 1,900 93,219
MediaOne Group, Inc.+............................ 43,600 3,297,250
Washington Post Co., Class B..................... 300 146,400
------------
7,874,713
------------
ENTERTAINMENT, LEISURE & MEDIA (3.6%)
America Online, Inc.+............................ 69,100 4,133,044
Fox Entertainment Group, Inc., Class A+.......... 10,100 260,075
International Game Technology.................... 6,254 152,441
Seagram Company Ltd. (i)......................... 74,300 4,012,200
Time Warner, Inc................................. 52,200 4,694,737
Viacom, Inc., Class B+........................... 27,900 1,517,062
Walt Disney Co................................... 18,900 818,606
------------
15,588,165
------------
FOOD, BEVERAGES & TOBACCO (3.3%)
Bestfoods........................................ 25,500 1,281,375
Coca-Cola Co..................................... 71,400 3,360,262
General Mills, Inc............................... 21,500 782,062
H.J. Heinz Co.................................... 15,500 527,000
Kellogg Co....................................... 14,200 347,012
PepsiCo, Inc..................................... 19,200 704,400
Philip Morris Companies, Inc..................... 239,800 5,245,625
Quaker Oats Co................................... 14,700 958,256
Sara Lee Corp.................................... 13,800 207,000
Unilever NV (ADR)................................ 19,733 899,085
------------
14,312,077
------------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.0%)
Furniture Brands International, Inc.+............ 2,200 41,112
Leggett & Platt, Inc............................. 6,900 147,487
------------
188,599
------------
</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 (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
HOUSEHOLD PRODUCTS (1.3%)
Clorox Co........................................ 22,300 $ 819,525
Kimberly-Clark Corp.............................. 1,900 110,319
Procter & Gamble Co.............................. 78,000 4,650,750
------------
5,580,594
------------
PERSONAL CARE (0.5%)
Gillette Co...................................... 63,700 2,356,900
------------
RESTAURANTS & HOTELS (0.6%)
Extended Stay America, Inc.+..................... 300 2,681
Hilton Hotels Corp............................... 40,100 340,850
Marriott International, Inc...................... 36,200 1,158,400
McDonald's Corp.................................. 24,400 930,250
Mirage Resorts, Inc.+............................ 1,600 32,600
Starwood Hotels & Resorts Worldwide, Inc......... 3,800 108,062
------------
2,572,843
------------
RETAIL (5.7%)
Abercrombie & Fitch Co., Class A+................ 42,300 465,300
Circuit City Stores-Circuit City Group........... 10,800 635,175
CVS Corp......................................... 2,900 126,150
Federated Department Stores, Inc.+............... 37,100 1,261,400
Gap, Inc......................................... 54,100 1,988,175
Home Depot, Inc.................................. 71,450 4,005,666
J.C. Penney, Inc................................. 5,300 73,206
Kroger Co.+...................................... 35,400 657,112
Lowe's Companies, Inc............................ 12,500 618,750
Mattel, Inc...................................... 5,300 64,925
May Department Stores Co......................... 57,650 1,585,375
Nordstrom, Inc................................... 4,500 125,156
Safeway, Inc.+................................... 28,200 1,244,325
Target Corp...................................... 28,900 1,923,656
The Limited Inc.................................. 13,300 600,994
TJX Companies, Inc............................... 84,900 1,629,019
Wal-Mart Stores, Inc............................. 141,000 7,807,875
------------
24,812,259
------------
TOTAL CONSUMER GOODS & SERVICES................ 83,302,981
------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
ENERGY (5.3%)
OIL-PRODUCTION (4.9%)
BP Amoco Plc (Spon. ADR) (i)..................... 6,224 $ 317,424
Chevron Corp..................................... 39,500 3,362,437
Exxon Mobil Corp................................. 134,136 10,420,690
Royal Dutch Petroleum Co. (ADR).................. 77,200 4,429,350
Texaco, Inc...................................... 25,600 1,267,200
Tosco Corp....................................... 14,400 461,700
Ultramar Diamond Shamrock Corp................... 42,700 1,056,825
Valero Energy Corp............................... 3,900 113,100
------------
21,428,726
------------
OIL-SERVICES (0.4%)
Baker Hughes, Inc................................ 1,900 60,444
Cooper Cameron Corp.+............................ 4,800 360,000
Diamond Offshore Drilling, Inc................... 9,200 370,875
ENSCO International, Inc......................... 2,600 86,287
Global Marine, Inc.+............................. 27,500 660,000
R&B Falcon Corp.+................................ 8,600 178,450
------------
1,716,056
------------
TOTAL ENERGY................................... 23,144,782
------------
FINANCE (12.9%)
BANKING (7.5%)
AmSouth Bancorporation........................... 33,200 483,475
Astoria Financial Corp........................... 48,600 1,339,537
Bank of America Corp............................. 97,073 4,756,577
Bank One Corp.................................... 86,400 2,635,200
Charter One Financial, Inc....................... 54,349 1,103,964
Citigroup, Inc................................... 86,475 5,139,858
Commercial Federal Corp.......................... 1,500 23,344
Dime Bancorp, Inc................................ 16,900 316,875
First Tennessee National Corp.................... 21,900 416,100
First Union Corp................................. 125,980 4,015,612
GreenPoint Financial Corp........................ 53,200 990,850
Hibernia Corp., Class A.......................... 38,000 403,750
Huntington Bancshares, Inc....................... 11,400 208,050
KeyCorp.......................................... 101,500 1,877,750
Marshall & Ilsley Corp........................... 7,500 348,281
Mercantile Bank Corp.+........................... 1,800 51,300
North Fork Bancorporation, Inc................... 5,300 85,794
</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 (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
BANKING (CONTINUED)
Peoples Heritage Financial Group, Inc............ 77,300 $ 1,009,731
PNC Bank Corp.................................... 19,600 855,050
Provident Financial Group, Inc................... 18,200 533,487
Regions Financial Corp........................... 17,500 357,656
SouthTrust Corp.................................. 7,900 188,612
Sovereign Bancorp, Inc........................... 10,200 70,125
Summit Bancorp................................... 51,300 1,301,737
U.S. Bancorp..................................... 101,500 2,061,719
Union Planters Corp.............................. 26,600 753,112
Washington Mutual, Inc........................... 57,680 1,474,445
------------
32,801,991
------------
FINANCIAL SERVICES (2.9%)
Associates First Capital Corp., Class A.......... 17,100 379,406
AXA Financial, Inc............................... 8,400 274,050
Bear Stearns Companies, Inc...................... 9,200 394,450
Capital One Financial Corp....................... 13,200 577,500
Charles Schwab Corp.............................. 11,800 525,100
CIT Group, Inc., Class A......................... 79,970 1,354,492
Countrywide Credit Industries, Inc............... 13,300 367,412
E*TRADE Group, Inc.+............................. 7,700 165,550
Edwards (A.G.), Inc.............................. 2,000 75,250
Fannie Mae....................................... 30,100 1,815,406
FINOVA Group, Inc................................ 55,200 707,250
Freddie Mac...................................... 17,800 817,687
Goldman Sachs Group, Inc......................... 10,000 932,500
John Hancock Financial Services, Inc.+........... 47,000 857,750
Merrill Lynch & Co., Inc......................... 22,400 2,283,400
Morgan Stanley Dean Witter & Co.................. 5,200 399,100
Ocwen Financial Corp.+........................... 7,700 55,825
Paine Webber Group, Inc.......................... 8,200 359,775
TD Waterhouse Group, Inc.+....................... 11,000 220,687
------------
12,562,590
------------
INSURANCE (2.5%)
Allstate Corp.................................... 81,300 1,920,712
Ambac Financial Group, Inc....................... 18,000 864,000
American International Group, Inc................ 25,400 2,786,062
Aon Corp......................................... 25,300 684,681
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
INSURANCE (CONTINUED)
CIGNA Corp....................................... 12,800 $ 1,020,800
Hartford Financial Services Group, Inc........... 22,700 1,184,656
Marsh & McLennan Companies, Inc.................. 4,250 418,891
MBIA, Inc........................................ 13,500 667,406
MetLife, Inc.+................................... 34,200 566,438
Torchmark Corp................................... 21,200 531,325
UnumProvident Corp............................... 21,834 371,178
------------
11,016,149
------------
TOTAL FINANCE.................................. 56,380,730
------------
HEALTH CARE (10.2%)
BIOTECHNOLOGY (0.4%)
Amgen, Inc.+..................................... 23,100 1,293,600
Human Genome Sciences, Inc.+..................... 3,900 298,594
------------
1,592,194
------------
HEALTH SERVICES (0.7%)
Aetna, Inc....................................... 14,500 839,188
Columbia / HCA Healthcare Corp................... 15,600 443,625
Tenet Healthcare Corp.+.......................... 41,200 1,050,600
Wellpoint Health Networks, Inc.+................. 12,300 907,125
------------
3,240,538
------------
MEDICAL SUPPLIES (0.8%)
Becton, Dickinson & Co........................... 6,000 153,750
Boston Scientific Corp.+......................... 18,000 477,000
Guidant Corp.+................................... 11,800 677,025
Medtronic, Inc................................... 31,600 1,641,225
PE Corp.- PE Biosystems Group.................... 5,100 306,000
St. Jude Medical, Inc............................ 12,800 399,200
------------
3,654,200
------------
PHARMACEUTICALS (8.3%)
Abbott Laboratories.............................. 42,100 1,618,219
ALZA Corp.+...................................... 55,200 2,432,250
American Home Products Corp...................... 47,500 2,668,906
Bristol-Myers Squibb Co.......................... 91,300 4,787,544
Eli Lilly & Co................................... 44,100 3,409,481
</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 (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
PHARMACEUTICALS (CONTINUED)
Johnson & Johnson................................ 36,800 $ 3,036,000
Merck & Co., Inc................................. 62,300 4,329,850
Pfizer, Inc...................................... 95,400 4,018,725
Pharmacia Corp................................... 97,761 4,881,940
Schering-Plough Corp............................. 42,600 1,717,313
Warner-Lambert Co................................ 27,672 3,149,420
------------
36,049,648
------------
TOTAL HEALTH CARE.............................. 44,536,580
------------
INDUSTRIAL PRODUCTS & SERVICES (9.2%)
AEROSPACE (0.6%)
Boeing Co........................................ 26,900 1,067,594
Lockheed Martin Corp............................. 16,100 400,488
Raytheon Co., Class B............................ 10,300 236,256
United Technologies Corp......................... 16,500 1,026,094
------------
2,730,432
------------
BUILDING MATERIALS (0.0%)
Owens Corning.................................... 6,000 109,125
USG Corp......................................... 800 33,400
------------
142,525
------------
CAPITAL GOODS (0.5%)
Caterpillar, Inc................................. 6,700 264,231
Deere & Co....................................... 6,100 246,288
Eaton Corp....................................... 21,700 1,822,800
Ingersoll-Rand Co................................ 600 28,163
PACCAR, Inc...................................... 400 19,025
------------
2,380,507
------------
COMMERCIAL SERVICES (0.5%)
Cendant Corp.+................................... 43,600 673,075
Equifax, Inc..................................... 34,600 845,538
Service Corp. International...................... 84,400 432,550
------------
1,951,163
------------
DIVERSIFIED MANUFACTURING (7.4%)
B.F. Goodrich Co................................. 28,488 908,055
Cooper Industries, Inc........................... 34,300 1,176,919
Corning, Inc.+................................... 3,200 632,000
Eastman Kodak Co................................. 24,800 1,387,250
General Electric Co.............................. 109,600 17,234,600
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Harris Corp...................................... 3,800 $ 122,788
Honeywell International, Inc..................... 80,900 4,530,400
ITT Industries, Inc.............................. 15,900 501,844
PPG Industries, Inc.............................. 5,800 315,375
Rockwell International Corp...................... 700 27,563
Tyco International Ltd. (i)...................... 109,304 5,021,153
Xerox Corp....................................... 13,200 348,975
------------
32,206,922
------------
ELECTRICAL EQUIPMENT (0.2%)
Emerson Electric Co.............................. 14,000 768,250
------------
PACKAGING & CONTAINERS (0.0%)
Smurfit-Stone Container Corp.+................... 11,000 167,750
------------
POLLUTION CONTROL (0.0%)
Waste Management, Inc............................ 10,800 171,450
------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 40,518,999
------------
TECHNOLOGY (33.3%)
COMPUTER PERIPHERALS (1.6%)
EMC Corp.+....................................... 39,600 5,501,925
Lexmark International Group, Inc., Class A+...... 4,400 519,200
Network Appliance, Inc.+......................... 8,000 591,500
Quantum Corp.- DLT & Storage Systems+............ 6,500 76,375
Seagate Technology, Inc.+........................ 4,700 238,819
------------
6,927,819
------------
COMPUTER SOFTWARE (6.0%)
Adobe Systems, Inc............................... 6,300 761,906
BMC Software, Inc.+.............................. 13,700 641,331
Citrix Systems, Inc.+............................ 14,100 860,981
Computer Associates International, Inc........... 39,574 2,208,724
Microsoft Corp.+................................. 185,100 12,910,725
Novell, Inc.+.................................... 11,300 221,763
Oracle Corp.+.................................... 96,100 7,681,994
Parametric Technology Corp.+..................... 45,500 371,109
PeopleSoft, Inc.+................................ 5,700 79,444
</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 (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
COMPUTER SOFTWARE (CONTINUED)
Siebel Systems, Inc.+............................ 2,700 $ 331,763
Symantec Corp.+.................................. 4,300 268,481
------------
26,338,221
------------
COMPUTER SYSTEMS (6.0%)
Apple Computer, Inc.+............................ 5,200 645,125
Compaq Computer Corp............................. 57,100 1,670,175
Dell Computer Corp.+............................. 86,400 4,330,800
Gateway, Inc.+................................... 11,500 635,375
Hewlett-Packard Co............................... 35,800 4,833,000
International Business Machines Corp............. 56,900 6,351,463
Sun Microsystems, Inc.+.......................... 61,700 5,672,544
VERITAS Software Corp.+.......................... 17,800 1,909,328
------------
26,047,810
------------
ELECTRONICS (3.9%)
Cisco Systems, Inc.+............................. 244,000 16,916,063
------------
INFORMATION PROCESSING (1.7%)
3Com Corp.+...................................... 11,600 457,475
Automatic Data Processing, Inc................... 42,800 2,303,175
DoubleClick, Inc.+............................... 5,100 386,963
Electronic Data Systems Corp..................... 14,500 996,875
Exodus Communications, Inc.+..................... 5,000 442,188
First Data Corp.................................. 7,700 374,894
Yahoo! Inc.+..................................... 17,500 2,279,375
------------
7,240,945
------------
SEMICONDUCTORS (6.3%)
Applied Materials, Inc.+......................... 32,700 3,329,269
Intel Corp....................................... 126,400 16,029,100
Lattice Semiconductor Corp.+..................... 2,400 161,700
Micron Technology, Inc........................... 6,000 835,500
National Semiconductor Corp.+.................... 14,000 850,500
Texas Instruments, Inc........................... 33,200 5,407,450
Xilinx, Inc.+.................................... 8,600 629,950
------------
27,243,469
------------
TELECOMMUNICATION SERVICES (2.9%)
Allegiance Telecom, Inc.+........................ 8,000 566,000
Global Crossing Ltd.+(i)......................... 64,835 2,042,303
MCI WorldCom, Inc.+.............................. 134,953 6,131,927
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
TELECOMMUNICATION SERVICES (CONTINUED)
Nextel Communications, Inc., Class A+............ 6,800 $ 744,175
Sprint Corp. (PCS Group)+........................ 56,000 3,080,000
Vodafone AirTouch PLC (Spon. ADR)................ 1,300 61,100
------------
12,625,505
------------
TELECOMMUNICATIONS-EQUIPMENT (4.9%)
Lucent Technologies, Inc......................... 117,200 7,288,375
Motorola, Inc.................................... 27,900 3,321,844
Nortel Networks Corp............................. 61,200 6,930,900
Palm, Inc.+...................................... 1,330 36,243
Qualcomm, Inc.+.................................. 25,000 2,710,938
Tellabs, Inc.+................................... 15,900 871,519
------------
21,159,819
------------
TOTAL TECHNOLOGY............................... 144,499,651
------------
TRANSPORTATION (0.7%)
RAILROADS (0.7%)
Burlington Northern Santa
Fe Corp........................................ 2,200 53,075
CSX Corp......................................... 62,200 1,302,313
Union Pacific Corp............................... 40,200 1,693,425
------------
3,048,813
------------
TRUCK & FREIGHT CARRIERS (0.0%)
CNF Transportation, Inc.......................... 200 5,588
Ryder System, Inc................................ 5,900 130,906
------------
136,494
------------
TOTAL TRANSPORTATION........................... 3,185,307
------------
UTILITIES (7.0%)
ELECTRIC (1.6%)
Carolina Power & Light Co........................ 31,300 1,144,406
CMS Energy Corp.................................. 6,500 123,500
DTE Energy Co.................................... 47,500 1,549,688
Edison International............................. 22,900 436,531
FPL Group, Inc................................... 18,200 822,413
Northern States Power Co......................... 5,700 124,331
PG&E Corp........................................ 1 26
Pinnacle West Capital Corp....................... 35,300 1,239,913
PPL Corp......................................... 12,100 288,888
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
ELECTRIC (CONTINUED)
USEC, Inc........................................ 24,400 $ 114,375
Wisconsin Energy Corp............................ 56,300 1,203,413
------------
7,047,484
------------
NATURAL GAS (1.3%)
Columbia Energy Group............................ 32,400 2,033,100
Dynegy, Inc., Class A............................ 24,500 1,603,219
El Paso Energy Corp.............................. 19,600 833,000
Enron Corp....................................... 4,200 292,688
Williams Companies, Inc.......................... 27,000 1,007,438
------------
5,769,445
------------
TELEPHONE (4.1%)
ALLTEL Corp...................................... 6,100 406,413
AT&T Corp........................................ 94,456 4,409,915
Bell Atlantic Corp............................... 29,040 1,720,620
BellSouth Corp................................... 26,300 1,280,481
GTE Corp......................................... 46,000 3,116,500
Level 3 Communications, Inc.+.................... 2,900 258,100
SBC Communications, Inc.......................... 139,786 6,124,374
Sprint Corp...................................... 6,100 375,150
------------
17,691,553
------------
TOTAL UTILITIES................................ 30,508,482
------------
TOTAL COMMON STOCKS
(COST $394,289,425)........................... 434,636,791
------------
<CAPTION>
PRINCIPAL
SECURITY DESCRIPTION AMOUNT VALUE
------------------------------------------------- ----------- -------------
<S> <C> <C>
SHORT-TERM INVESTMENTS (0.3%)
OTHER INVESTMENT COMPANIES (0.3%)
J.P. Morgan Institutional Prime Money Market Fund
(cost $1,256,359).............................. $1,256,359 $ 1,256,359
------------
TOTAL INVESTMENTS (COST $395,545,784) (100.0%)................
435,893,150
OTHER ASSETS IN EXCESS OF LIABILITIES (0.0%)..................
149,817
------------
NET ASSETS (100.0%)........................................... $436,042,967
============
</TABLE>
------------------------------
Note: The aggregate gross unrealized appreciation and depreciation was
$684,468,035 and $644,120,669, respectively, resulting in net unrealized
appreciation of $40,347,366.
(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.
13
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $395,545,784 ) $435,893,150
Cash 790,628
Receivable for Investments Sold 1,014,999
Dividends Receivable 330,128
Deferred Organization Expenses 15,748
Interest Receivable 15,219
Receivable for Expense Reimbursements 11,412
Prepaid Trustees' Fees 811
Prepaid Expenses and Other Assets 242
------------
Total Assets 438,072,337
------------
LIABILITIES
Payable for Investments Purchased 1,810,139
Advisory Fee Payable 124,502
Shareholder Servicing Fee Payable 35,572
Custody Fee Payable 20,666
Administrative Services Fee Payable 17,234
Transfer Agent Fees Payable 15,746
Fund Services Fee Payable 311
Administration Fee Payable 224
Accrued Expenses 4,976
------------
Total Liabilities 2,029,370
------------
NET ASSETS
Applicable to 22,951,625 Shares Outstanding
(par value $0.001, unlimited shares authorized) $436,042,967
============
Net Asset Value, Offering and Redemption Price
Per Share $19.00
-----
-----
ANALYSIS OF NET ASSETS
Paid-in Capital $390,610,090
Undistributed Net Investment Income 137,140
Accumulated Net Realized Gain on Investments 4,948,371
Net Unrealized Appreciation of Investments 40,347,366
------------
Net Assets $436,042,967
============
</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 OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED APRIL 30, 2000
--------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $7,478) $ 2,776,696
Interest Income 83,729
-----------
Investment Income 2,860,425
EXPENSES
Advisory Fee $ 699,308
Shareholder Servicing Fee 200,629
Administrative Services Fee 98,494
Custodian Fees and Expenses 44,089
Registration Fees 24,177
Professional Fees and Expenses 20,182
Transfer Agent Fee 17,886
Printing Expenses 7,326
Amortization of Organization Expense 4,463
Fund Services Fee 3,309
Trustees' Fees and Expenses 1,941
Administration Fee 1,396
Miscellaneous 15,210
----------
Total Expenses 1,138,410
Less: Reimbursement of Expenses (34,234)
----------
NET EXPENSES 1,104,176
-----------
NET INVESTMENT INCOME 1,756,249
NET REALIZED GAIN ON INVESTMENTS 5,850,306
NET CHANGE IN UNREALIZED APPRECIATION OF
INVESTMENTS 8,105,662
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $15,712,217
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
--------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
APRIL 30, 2000 YEAR ENDED
(UNAUDITED) OCTOBER 31, 1999
-------------- ----------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 1,756,249 $ 2,026,145
Net Realized Gain on Investments 5,850,306 5,504,441
Net Change in Unrealized Appreciation of
Investments 8,105,662 23,577,000
------------ ---------------
Net Increase in Net Assets Resulting from
Operations 15,712,217 31,107,586
------------ ---------------
DIVIDENDS TO SHAREHOLDERS FROM
Net Investment Income (1,766,067) (1,951,938)
------------ ---------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 144,582,533 240,877,080
Reinvestment of Dividends 1,466,608 1,755,496
Cost of Shares of Beneficial Interest Redeemed (64,921,091) (21,124,989)
Service Charge 157,190 69,176
------------ ---------------
Net Increase from Shareholder Transactions 81,285,240 221,576,763
------------ ---------------
Total Increase in Net Assets 95,231,390 250,732,411
NET ASSETS
Beginning of Period 340,811,577 90,079,166
------------ ---------------
End of Period (including undistributed net
investment income of $137,140 and $146,958,
respectively) $436,042,967 $ 340,811,577
============ ===============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
FINANCIAL HIGHLIGHTS
--------------------------------------------------------------------------------
Selected data for a unit outstanding throughout each period are as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX FOR THE FISCAL YEAR JANUARY 30, 1997
MONTHS ENDED ENDED OCTOBER 31, (COMMENCEMENT OF
APRIL 30, 2000 -------------------- OPERATIONS) THROUGH
(UNAUDITED) 1999 1998 OCTOBER 31, 1997
-------------- --------- -------- -------------------
<S> <C> <C> <C> <C>
NET ASSET VALUE, BEGINNING OF PERIOD $ 18.19 $ 14.71 $ 12.08 $ 10.00
-------- -------- ------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.08 0.15 0.11 0.06
Net Realized and Unrealized Gain on Investments 0.81 3.48 2.68 2.02
-------- -------- ------- -------
Total from Investment Operations 0.89 3.63 2.79 2.08
-------- -------- ------- -------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.08) (0.15) (0.16) --
-------- -------- ------- -------
NET ASSET VALUE, END OF PERIOD $ 19.00 $ 18.19 $ 14.71 $ 12.08
======== ======== ======= =======
RATIOS AND SUPPLEMENTAL DATA
Total Return 4.92%(a) 24.72% 23.26% 20.80%(a)
Net Assets, End of Period (in thousands) $436,043 $340,812 $90,079 $12,026
Net Expenses 0.55%(b) 0.55% 0.55% 0.55%(b)
Net Investment Income 0.88%(b) 0.94% 0.97% 1.19%(b)
Expenses without Reimbursement 0.56%(b) 0.65% 1.02% 4.59%(b)
Portfolio Turnover Rate 26% 40% 57% 35%
</TABLE>
------------------------
(a) Not Annualized.
(b) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 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 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 on yields or prices of securities of comparable quality, coupon,
maturity and type, indications as to the 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 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.
18
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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.
2. TRANSACTIONS WITH AFFILIATES
a) The fund has an Investment Advisory Agreement with J.P. Morgan Investment
Management Inc. ("JPMIM"), an affiliate of Morgan Guaranty Trust
("Morgan") and a wholly owned subsidiary of J.P. Morgan & Company, Inc.
(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 six
months ended April 30 ,2000, such fees amounted to $702,201.
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 doubling of investment advisory and shareholder
servicing fees. For the six months ended April 30, 2000, J.P. Morgan has
agreed to reimburse the fund $2,893 under this agreement.
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 six
months ended April 30, 2000, the fee for these services amounted to
$1,396.
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
19
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
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 six months ended
April 30, 2000, the fee for these services amounted to $98,494.
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 until February 28,
2001. For the six months ended April 30, 2000, J.P. Morgan has agreed to
reimburse the fund $34,234 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 six months ended April 30, 2000, the fee for these
services amounted to $200,629.
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
$3,309 for the six months ended April 30, 2000.
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 $400.
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 SIX MONTHS ENDED FOR THE YEAR ENDED
APRIL 30, 2000 OCTOBER 31, 1999
------------------------ ------------------
SHARES SHARES
------------------------ ------------------
<S> <C> <C>
Shares of beneficial interest sold............... 7,668,098 13,695,586
Reinvestment of dividends........................ 78,144 99,366
Shares of beneficial interest redeemed........... (3,528,433) (1,184,208)
---------- -----------
Net Increase..................................... 4,217,809 12,610,744
========== ===========
</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.
20
<PAGE>
J.P. MORGAN INSTITUTIONAL TAX AWARE DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
APRIL 30, 2000
--------------------------------------------------------------------------------
Redemptions may be subject to service charges, retained by the fund, in
accordance with the following schedule:
<TABLE>
<CAPTION>
PERCENTAGE OF
YEAR SINCE PURCHASE CASH 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 six months
ended April 30, 2000 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
--------- ------------
<S> <C>
$186,462,792 $104,993,655
</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 26, 1999, with unaffiliated lenders. The maximum borrowing
under the Agreement was $150,000,000. The Agreement expired on May 23, 2000,
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,
2001. 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. Under the Agreement, the commitment fee is at an
annual rate of 0.085% on the unused portion of the committed amount. The
commitment fee is allocated to the funds in accordance with the procedures
established by their respective trustees or directors. There were no outstanding
borrowings pursuant to the Agreement at April 30, 2000.
21
<PAGE>
J.P. MORGAN INSTITUTIONAL FUNDS
PRIME MONEY MARKET FUND
TREASURY MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
TAX EXEMPT MONEY MARKET FUND
TAX AWARE ENHANCED INCOME FUND:
INSTITUTIONAL SHARES
SHORT TERM BOND FUND
BOND FUND
GLOBAL STRATEGIC INCOME FUND
TAX EXEMPT BOND FUND
NEW YORK TAX EXEMPT BOND FUND
CALIFORNIA BOND FUND: INSTITUTIONAL SHARES
DIVERSIFIED FUND
DISCIPLINED EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
TAX AWARE DISCIPLINED EQUITY FUND:
INSTITUTIONAL SHARES
INTERNATIONAL EQUITY FUND
EUROPEAN EQUITY FUND
INTERNATIONAL OPPORTUNITIES FUND
EMERGING MARKETS EQUITY 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.
IMSAR236
J.P. MORGAN
INSTITUTIONAL
TAX AWARE
DISCIPLINED
EQUITY FUND
SEMIANNUAL REPORT
APRIL 30, 2000
