<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN
INSTITUTIONAL MARKET NEUTRAL FUND
January 3, 2000
Dear Shareholder,
The U.S. equity market continued to surge this year, though the period was
marked by extreme volatility. Since May 31, 1999, the J.P. Morgan Institutional
Market Neutral Fund posted a 1.31% return, lagging the 2.52% return of the
Merrill Lynch 91-Day T-Bill Index.
The fund's net asset value rose from $15.16 on May 31, 1999 to $15.22 on
November 30, 1999. During the year, the fund made distributions of approximately
$0.14 per share from ordinary income. On November 30, 1999, the net assets of
the fund were approximately $10.3 million.
This report includes a discussion with Marc N. Roston, the portfolio manager
primarily responsible for the fund. In this interview, Marc discusses events in
the equity markets, portfolio performance, and his outlook for the coming
months.
As chairman and president of Asset Management Services, we appreciate your
investment in the fund. If you have any comments or questions, please call your
Morgan representative or J.P. Morgan Funds Services at (800) 766-7722.
Sincerely yours,
/s/ Ramon de Oliveira /s/ Keith M. Schappert
Ramon de Oliveira Keith M. Schappert
Chairman of Asset Management Services President of Asset Management Services
J.P. Morgan & Co. Incorporated J.P. Morgan & Co. Incorporated
<TABLE>
<CAPTION>
- --------------------------------------------------------------------------------
TABLE OF CONTENTS
<S> <C> <C> <C>
LETTER TO THE SHAREHOLDERS............ 1 FUND FACTS AND HIGHLIGHTS.......... 6
FUND PERFORMANCE...................... 2 FINANCIAL STATEMENTS...............10
PORTFOLIO MANAGER Q&A................. 3
- --------------------------------------------------------------------------------
</TABLE>
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
-------------------------------------------
ONE THREE SIX SINCE
AS OF NOVEMBER 30, 1999 MONTH MONTHS MONTHS INCEPTION*
- --------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
J.P. Morgan Institutional Market Neutral Fund 1.47% 0.00% 1.31% 3.22%
Merrill Lynch 91-Day T-Bill** 0.40% 1.27% 2.52% 4.38%
AS OF SEPTEMBER 30, 1999
- --------------------------------------------------------------------------------------------
J.P. Morgan Institutional Market Neutral Fund -0.13% 0.46% 4.98% 3.09%
Merrill Lynch 91-Day T-Bill** 0.47% 1.29% 2.48% 3.56%
</TABLE>
* SINCE THE FUND'S PERFORMANCE INCEPTION ON DECEMBER 30, 1998, IT HAS PROVIDED A
TOTAL RETURN OF 2.67% THROUGH NOVEMBER 30, 1999. FOR THE PURPOSES OF
COMPARISON,THE "SINCE INCEPTION" RETURNS ARE CALCULATED FROM DECEMBER 31, 1998,
THE FIRST DATE WHEN DATA FOR THE FUND AND ITS BENCHMARK WERE AVAILABLE.
** THE MERRILL LYNCH 91-DAY T-BILL IS A ONE-SECURITY INDEX WHICH ROLLS OVER
EVERY MONTH. IT IS USED TO MEASURE SHORT-TERM FIXED INCOME MARKET PERFORMANCE.
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]
The following is an interview with MARC N. ROSTON, vice president and member of
the portfolio management team for J.P. Morgan Institutional Market Neutral Fund.
Marc is a portfolio manager in the Structured Equity group, which he joined
after working in Capital Markets Research performing quantitative equity
research. Marc came to Morgan in 1996 after completing his Ph.D. in Economics at
the University of Chicago. He also holds a B.S. in Economics from Carnegie
Mellon University. This interview took place on December 22, 1999, and reflects
Marc's views on that date.
WHAT WERE THE KEY TRENDS IN THE U.S EQUITY MARKET OVER THE PAST SIX MONTHS?
MR: Let me begin with a few comments on the equity market overall, and then
comment on the implications for long/short investing. On the macro level, we saw
four main trends affecting the equity market over the past six months. First,
the U.S. economy continued to be strong, although there have been some recent
signs of moderation, including a slowing in housing starts and retail chain
stores sales. Overall, however, the economy continues to chug along. Second, we
are in a rising interest rate environment. With three quarter-point rate hikes
in June, August, and November, the Federal Reserve took back all the easing it
had added last year in the face of the global economic crisis. Third, and
directly related to Fed activity, is the fact that inflation continues to be
benign. The Fed has remained ever alert for the specter of inflation to rear its
head, and for the most part it has not. Wage pressures have remained dormant; it
is in industrial commodity prices that pressure has been building. This has been
concentrated in oil prices, which have more than doubled this year and we expect
they still have room to go up, particularly with Iraq's latest cessation of
production. Fourth, global growth on the whole has been showing signs of
improvement. The recent data coming out of Europe, Japan, and the emerging
markets indicates that growth finally is taking hold.
For the U.S. equity markets, this six-month period was a highly volatile one.
After establishing new highs during the summer, the markets corrected in the
first part of the third quarter, only to recover to new highs in October and
November on positive inflation data and earnings announcements. We expect this
trend of recovery to continue at least through year-end, as inflation fears and
Y2K fears have been largely allayed. The Fed adoption of a neutral bias
alongside the November hike was a very important move psychologically for the
markets. The S&P was up 14.3% year-to-date, and 7.4% over the six months ended
November 30. Positive earnings announcements and forecasts for future strong
earnings propelled this market forward. On the flip side, however, any company
that missed consensus expectations, even by a penny or two, was punished by the
market.
Within the S&P 500, 10 of the 16 industrial sectors were in negative territory
for the six-month period, some significantly. The current environment has tended
to punish any sign of earnings weakness, pricing top performing firms at levels
requiring near-perfect execution. This phenomenon has played out across
3
<PAGE>
industries as well, where only firms able to demonstrate sustained strong
earnings growth have outperformed. For example, utilities were down 14.2%,
consumer cyclicals were down 16.5%, and transportation (largely due to the
increase in oil prices) was down 17.7%. However, technology - which currently
accounts for over 25% of the market, compared to the 10% it comprised a few
years ago - was up 34.5% and telecom was up over 8%.
The Market Neutral Fund maintains dollar, sector and style neutrality at all
times. As a result, we do not take advantage of so-called "growth" stocks
outperforming "value," or technology stocks outperforming others.
We also do not expose ourselves to making these calls incorrectly!
HOW DID THE PORTFOLIO PERFORM IN THIS ENVIRONMENT?
MR: The volatile market, increasingly narrow market leadership, rising interest
rate environment, and sky-high valuations of many tech stocks makes for an
unfriendly environment for our structured approach. Our stock selection process
builds on our proprietary, bottoms-up research. In an environment where
investors focus almost exclusively on near-term performance and prospects, our
long-term valuation model faces challenges. Although the portfolio
underperformed the benchmark, it held up well under difficult conditions, rising
about 1.3% over the six months. Our fundamental risk controls and portfolio
construction techniques insulated us from what could have been a much more
difficult period.
WHICH HOLDINGS ADDED TO PERFORMANCE?
MR: Among the positions that added the most to performance were long positions
in Sun Microsystems, and Procter & Gamble, and our short in Progressive Corp.
Sun Microsystems continues to be a top performer for us. The leading vendor of
UNIX-based systems transformed itself from the technical workstations to
enterprise servers with a focus on mission critical applications. Sun more than
doubled over the period as sales if its servers continued to benefit from growth
in the Internet. Pharmaceutical giant Warner Lambert rose following its friendly
merger proposal to American Home Products, upon which Pfizer stepped in as a
hostile suitor. Procter & Gamble, the household products manufacturer, has been
a beneficiary of positive consumer spending trends.
Progressive, an innovator in the consumer insurance industry, had significantly
outperformed its peers as investors became, we believe, overly optimistic about
their new strategy, including an aggressive Internet-based campaign. Compared to
more traditional peers, we felt Progressive was an attractive short. This
position contributed significantly to our performance, especially following the
September correction in the insurance sector.
WHICH ONES DETRACTED FROM PERFORMANCE?
MR: Waste Management was our biggest disappointment of the year. The only good
news is that we were not alone! The company's shares were down 69% over the six
months. This past summer, the board restated first and second-quarter earnings
and fired both the CFO and CEO. Seagram fell after announcing the launch of a
new Internet music label, called Jimmy & Doug's Farm Club. Despite what should
be viewed as
4
<PAGE>
Seagram's competitive answer to upstarts such as MP3.com, there remain some
short-term concerns on the street over Seagram's music business.
On the short side, United Airlines hurt performance. After hitting its high on
April 19, the stock fell as oil prices rose. It has since recovered much of the
loss.
WHAT IS YOUR OUTLOOK FOR THE COMING MONTHS?
MR: While we still expect interest rates to rise, the long-term fundamentals for
the market remain strong. The U.S. economy remains strong, though it should
moderate somewhat further in 2000. Corporate profits continue to strengthen,
particularly in light of the overall improvement in global growth: one-third of
the earnings of companies in the S&P come from outside the United States.
Concern remains that the U.S. economy is too strong and the still-tight labor
market will provoke inflation and cause interest rates to go up further. We
believe the Fed will raise rates more than once in the first half of 2000.
We remain somewhat cautious as the overall level of the equity market also
remains high. The leadership has become too narrow, focused on too few
companies. Moreover, the extremely high valuations of tech companies do not
allow for anything less than perfection. If nothing else, long/short strategies
flourish in these environments - potentially lackluster equity market
performance with significant misvaluations throughout the market.
5
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
J.P. Morgan Institutional Market Neutral Fund seeks to provide long term capital
appreciation from a broadly diversified portfolio of stocks. It is designed for
investors who want potential returns that exceed those of 90-day U.S. Treasury
Bills while minimizing exposure to general stock market risk.
- --------------------------------------------------------------------------------
COMMENCEMENT OF INVESTMENT OPERATIONS
12/31/98
- --------------------------------------------------------------------------------
FUND NET ASSETS AS OF 11/30/99
$10,270,853
- --------------------------------------------------------------------------------
DIVIDEND PAYABLE DATE
12/20/99
- --------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/20/99
- --------------------------------------------------------------------------------
REGISTRANT
J.P. MORGAN SERIES TRUST
J.P. MORGAN MARKET NEUTRAL FUND:
INSTITUTIONAL SHARES
EXPENSE RATIO
The fund's current annualized expense ratio of 2.00% 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. There are no additional charges for buying,
selling, or safekeeping fund shares, or for wiring dividend or redemption
proceeds from the fund.
6
<PAGE>
FUND HIGHLIGHTS
ALL DATA AS OF NOVEMBER 30, 1999
PORTFOLIO ALLOCATION OF LONG/SHORT HOLDINGS
(AS A PERCENTAGE OF TOTAL LONG OR SHORT INVESTMENTS)
[CHART]
LONG
FINANCE 21.8%
CONSUMER GOODS
& SERVICES 15.4%
TECHNOLOGY 11.8%
UTILITIES 9.8%
INDUSTRIAL PRODUCTS
& SERVICES 9.0%
ENERGY 8.0%
BASIC INDUSTRIES 6.9%
HEALTHCARE 6.7%
TRANSPORTATION 5.7%
SHORT-TERM AND
OTHER INVESTMENTS 4.9%
[CHART]
SHORT
FINANCE 23.1%
CONSUMER GOODS
& SERVICES 15.3%
UTILITIES 15.1%
TECHNOLOGY 9.4%
BASIC INDUSTRIES 8.3%
INDUSTRIAL PRODUCTS
& SERVICES 8.0%
ENERGY 7.5%
HEALTHCARE 7.5%
TRANSPORTATION 5.8%
LARGEST LONG/LARGEST SHORT EQUITY HOLDINGS
(AS A PERCENTAGE OF TOTAL LONG OR SHORT INVESTMENTS)
<TABLE>
<CAPTION>
LONG SHORT
- ------------------------------------------------------ ------------------------------------------------------
<S> <C> <C> <C>
MONSANTO CO. (HEALTHCARE) 2.8% UAL CORP. (TRANSPORTATION) 3.3%
ROHM & HAAS CO. (BASIC INDUSTRIES) 2.6% E.I. DU PONT DE NEMOURS & CO. 3.1%
SEAGRAM LTD. (CONSUMER GOODS & SERVICES) 2.5% (BASIC INDUSTRIES)
AMBAC FINANCIAL GROUP (FINANCE) 2.5% JEFFERSON-PILOT CORP. (FINANCE) 2.5%
MBIA INC. (FINANCE) 2.2% US WEST, INC. (UTILITIES) 2.5%
MCI WORLDCOM, INC. (UTILITIES) 2.0% AMERICAN GENERAL CORP. (FINANCE) 2.4%
UNION PACIFIC CORP. (TRANSPORTATION) 2.0% BELLSOUTH CORP. (UTILITIES) 1.8%
PROCTER & GAMBLE CO. 2.0% PROGRESSIVE CORP. (FINANCE) 1.8%
(CONSUMER GOODS & SERVICES) COX COMMUNICATIONS 1.8%
COOPER INDUSTRIES INC. 1.5% (CONSUMER GOODS & SERVICES)
(INDUSTRIAL PRODUCTS & SERVICES) PARAMETRIC TECHNOLOGY (TECHNOLOGY) 1.4%
ALLSTATE CORP. (FINANCE) 1.5% NORTEL NETWORKS CORP. (TECHNOLOGY) 1.4%
</TABLE>
7
<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 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
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.
8
<PAGE>
THIS PAGE HAS BEEN LEFT BLANK INTENTIONALLY
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
LONG POSITIONS (95.2%)(e)
COMMON STOCKS (90.5%)
BASIC INDUSTRIES (6.6%)
CHEMICALS (4.0%)
Air Products and Chemicals, Inc.................. 1,600 $ 51,800
Lyondell Petrochemical Co........................ 7,400 103,600
Rohm & Haas Co................................... 7,000 256,375
-----------
411,775
-----------
FOREST PRODUCTS & PAPER (1.1%)
Bowater, Inc..................................... 300 14,700
Fort James Corp.................................. 400 11,500
Temple-Inland, Inc............................... 1,600 91,600
-----------
117,800
-----------
METALS & MINING (1.5%)
Allegheny Technologies, Inc...................... 5,000 125,937
Reynolds Metals Co............................... 300 18,769
-----------
144,706
-----------
TOTAL BASIC INDUSTRIES......................... 674,281
-----------
CONSUMER GOODS & SERVICES (14.7%)
APPARELS & TEXTILES (1.1%)
Jones Apparel Group, Inc.+....................... 3,000 113,362
-----------
AUTOMOTIVE (0.8%)
Dana Corp........................................ 900 24,975
Delphi Automotive Systems Corp................... 309 4,867
Genuine Parts Co................................. 200 5,150
Goodyear Tire & Rubber Co........................ 700 23,625
Lear Corp.+...................................... 700 23,144
-----------
81,761
-----------
BROADCASTING & PUBLISHING (1.5%)
Washington Post Co., Class B..................... 100 57,150
AT&T Corp. - Liberty Media Group................. 600 25,087
Comcast Corp., Class A+.......................... 1,000 45,187
Gannett Co., Inc................................. 400 28,625
-----------
156,049
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
ENTERTAINMENT, LEISURE & MEDIA (3.0%)
America Online, Inc.............................. 600 $ 43,612
Mattel, Inc...................................... 1,200 17,175
Seagram Company Ltd. (i)......................... 5,600 243,950
-----------
304,737
-----------
FOOD, BEVERAGES & TOBACCO (2.6%)
Coca-Cola Co..................................... 200 13,462
Heinz (H.J.) Co.................................. 1,500 62,812
Hershey Foods Corp............................... 100 4,912
PepsiCo, Inc..................................... 2,200 76,037
Philip Morris Companies, Inc..................... 4,000 105,250
-----------
262,473
-----------
HEALTH & PERSONAL CARE (0.0%)
Water Pik Technologies, Inc...................... 300 2,212
-----------
HOUSEHOLD APPLIANCES & FURNISHINGS (0.2%)
Furniture Brands International, Inc.+............ 800 15,600
Leggett & Platt, Inc............................. 200 4,287
-----------
19,887
-----------
HOUSEHOLD PRODUCTS (1.6%)
Procter & Gamble Co.............................. 1,500 162,000
-----------
MERCHANDISING (0.2%)
Hilton Hotels Corp............................... 2,100 21,131
-----------
PERSONAL CARE (0.5%)
Gillette Co...................................... 1,400 56,262
-----------
RESTAURANTS & HOTELS (0.6%)
Mirage Resorts, Inc.+............................ 200 2,562
Starwood Hotels & Resorts Worldwide, Inc......... 2,600 58,012
-----------
60,574
-----------
RETAIL (2.4%)
Abercrombie & Fitch Co., Class A................. 1,700 55,037
Dayton Hudson Corp............................... 300 21,169
Federated Department Stores, Inc.+............... 1,000 47,062
Gap, Inc......................................... 900 36,450
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
RETAIL (CONTINUED)
May Department Stores Co......................... 200 $ 6,725
TJX Companies, Inc............................... 3,100 81,181
-----------
247,624
-----------
TEXTILES (0.2%)
Unifi, Inc....................................... 1,300 17,225
-----------
TOTAL CONSUMER GOODS & SERVICES................ 1,505,297
-----------
ENERGY (7.9%)
NATURAL GAS (1.2%)
Columbia Gas System, Inc......................... 2,000 125,500
-----------
OIL-PRODUCTION (4.5%)
Chevron Corp..................................... 1,300 115,131
Exxon Corp....................................... 200 15,862
Mobil Corp....................................... 1,200 125,175
Royal Dutch Petroleum Co.
NY Shares (i).................................. 100 5,800
Tosco Corp....................................... 2,100 56,831
Ultramar Diamond Shamrock Corp................... 3,300 83,531
Valero Energy Corp............................... 2,900 60,175
-----------
462,505
-----------
OIL-SERVICES (1.9%)
Cooper Cameron Corp.+............................ 1,100 47,162
ENSCO International Inc.......................... 500 10,031
Global Marine, Inc.+............................. 4,600 70,437
R&B Falcon Corp.................................. 4,500 55,687
Smith International, Inc.+....................... 300 11,962
-----------
195,279
-----------
UTILITIES (0.3%)
USEC, Inc........................................ 4,000 33,000
-----------
TOTAL ENERGY................................... 816,284
-----------
FINANCE (20.8%)
BANKING (7.9%)
Astoria Financial Corp........................... 2,000 63,062
Bank of America Corp............................. 100 5,850
Bank One Corp.................................... 500 17,625
Charter One Financial, Inc....................... 1,500 32,531
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
BANKING (CONTINUED)
Countrywide Credit Industries, Inc............... 700 $ 19,687
Dime Bancorp, Inc................................ 2,500 45,625
First Union Corp................................. 2,800 108,325
GreenPoint Financial Corp........................ 2,000 50,625
Hibernia Corp.................................... 1,700 21,569
KeyCorp.......................................... 2,700 72,900
North Fork Bancorporation, Inc................... 800 16,100
Peoples Heritage Financial Group................. 3,400 57,588
Provident Financial Group, Inc................... 1,200 47,325
Summit Bancorp................................... 2,800 91,350
Union Planters Corp.............................. 1,700 72,463
Washington Mutual, Inc........................... 3,000 87,000
-----------
809,625
-----------
FINANCIAL SERVICES (2.2%)
AXA Financial Inc................................ 1,400 47,075
C.I.T. Group Inc., Class A....................... 3,300 68,475
Finova Group, Inc................................ 2,700 100,406
Ocwen Financial Corp............................. 1,700 11,050
-----------
227,006
-----------
INSURANCE (9.7%)
Allstate Corp.................................... 5,400 141,413
Ambac Financial Group, Inc....................... 4,400 239,800
Aon Corp......................................... 3,200 114,200
CIGNA Corp....................................... 200 16,450
Fremont General Corp............................. 600 3,038
Hartford Financial Services Group, Inc........... 2,300 107,381
MBIA, Inc........................................ 4,300 215,000
Mercury General Corp............................. 1,000 23,375
UnumProvident Corp............................... 4,100 133,506
-----------
994,163
-----------
REAL ESTATE INVESTMENT TRUSTS (1.0%)
Crescent Real Estate Equities Co................. 2,100 35,569
Meditrust Companies.............................. 1,000 6,563
ProLogis Trust................................... 600 10,913
Simon Property Group, Inc........................ 1,100 25,644
Vornado Realty Trust............................. 700 22,094
-----------
100,783
-----------
TOTAL FINANCE.................................. 2,131,577
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
HEALTHCARE (6.4%)
BIOTECHNOLOGY (0.6%)
Human Genome Sciences, Inc.+..................... 500 $ 56,000
PE Corp.- PE Biosystems Group.................... 100 8,163
-----------
64,163
-----------
HEALTH SERVICES (0.4%)
Aetna, Inc....................................... 200 10,925
Healthsouth Corp.+............................... 100 569
Tenet Healthcare Corp............................ 600 13,388
Wellpoint Health Networks, Inc................... 200 11,513
-----------
36,395
-----------
MEDICAL SUPPLIES (0.1%)
St. Jude Medical Inc............................. 300 7,969
-----------
PHARMACEUTICALS (5.3%)
ALZA Corp.+...................................... 1,700 73,419
American Home Products Corp...................... 600 31,200
Bristol-Myers Squibb Co.......................... 300 21,919
Eli Lilly & Co................................... 1,200 86,100
Forest Laboratories, Inc.+....................... 1,200 61,425
Monsanto Co...................................... 6,500 274,219
-----------
548,282
-----------
TOTAL HEALTHCARE............................... 656,809
-----------
INDUSTRIAL PRODUCTS & SERVICES (8.7%)
AEROSPACE (0.0%)
Teledyne Technologies, Inc....................... 5 44
-----------
CAPITAL GOODS (1.1%)
Eaton Corp....................................... 1,500 116,156
-----------
COMMERCIAL SERVICES (1.7%)
Cendant Corp.+................................... 5,300 87,781
Equifax, Inc..................................... 2,000 49,500
Service Corp. International...................... 5,400 40,838
-----------
178,119
-----------
DIVERSIFIED MANUFACTURING (2.5%)
Alcoa, Inc....................................... 1,300 85,150
B.F. Goodrich & Co............................... 1,300 29,331
Eastman Kodak Co................................. 400 24,750
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Hubbell, Inc., Class B........................... 800 $ 22,300
ITT Industries, Inc.............................. 500 17,438
Quantum Corp..................................... 1,400 22,050
Tyco International Ltd. (i)...................... 1,200 48,075
Xerox Corp....................................... 100 2,706
-----------
251,800
-----------
ELECTRICAL EQUIPMENT (1.7%)
Cooper Industries, Inc........................... 3,500 150,281
Emerson Electric Co.............................. 300 17,100
W.W. Grainger, Inc............................... 200 9,425
-----------
176,806
-----------
FOREST PRODUCTS & PAPER (0.8%)
Smurfit-Stone Container Corp..................... 4,200 80,588
-----------
MACHINERY (0.9%)
Deere & Co....................................... 2,200 94,463
-----------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 897,976
-----------
TECHNOLOGY (10.8%)
COMPUTER PERIPHERALS (0.6%)
EMC Corp.+....................................... 700 58,494
-----------
COMPUTER SOFTWARE (1.4%)
Adobe Systems, Inc............................... 300 20,606
BMC Software, Inc.+.............................. 1,200 87,375
Citrix Systems, Inc.+............................ 100 9,488
Microsoft Corp.+................................. 300 27,314
-----------
144,783
-----------
COMPUTER SYSTEMS (1.3%)
Sun Microsystems, Inc.+.......................... 1,000 132,250
-----------
ELECTRONICS (1.2%)
Cisco Systems, Inc.+............................. 1,400 124,863
-----------
INFORMATION PROCESSING (1.3%)
Automatic Data Processing, Inc................... 500 24,688
DoubleClick, Inc.+............................... 200 32,013
Electronic Data Systems Corp..................... 600 38,588
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
12
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
INFORMATION PROCESSING (CONTINUED)
Exodus Communications, Inc.+..................... 300 $ 32,344
First Data Corp.................................. 200 8,650
-----------
136,283
-----------
SEMICONDUCTORS (1.4%)
Intel Corp....................................... 100 7,669
National Semiconductor Corp.+.................... 500 21,250
Texas Instruments, Inc........................... 1,200 115,275
-----------
144,194
-----------
TELECOMMUNICATION SERVICES (2.8%)
Global Crossing Ltd. (i)......................... 2,200 95,975
MCI WorldCom, Inc.+.............................. 2,300 190,181
-----------
286,156
-----------
TELECOMMUNICATIONS-EQUIPMENT (0.8%)
Lucent Technologies, Inc......................... 1,100 80,369
-----------
TOTAL TECHNOLOGY............................... 1,107,392
-----------
TRANSPORTATION (5.4%)
AIRLINES (1.3%)
AMR Corp.+....................................... 400 24,350
Northwest Airlines Corp.......................... 2,400 56,250
Southwest Airlines Co............................ 3,000 48,938
-----------
129,538
-----------
RAILROADS (2.8%)
CSX Corp......................................... 3,000 106,688
Union Pacific Corp............................... 3,900 183,544
-----------
290,232
-----------
TRUCK & FREIGHT CARRIERS (1.3%)
CNF Transportation, Inc.......................... 2,300 76,475
Ryder System, Inc................................ 2,600 58,663
-----------
135,138
-----------
TOTAL TRANSPORTATION........................... 554,908
-----------
UTILITIES (9.2%)
ELECTRIC (7.6%)
Allegheny Energy, Inc............................ 3,200 92,800
Carolina Power & Light Co........................ 3,000 90,375
Cinergy Corp..................................... 500 12,656
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
ELECTRIC (CONTINUED)
CMS Energy Corp.................................. 500 $ 16,625
Dominion Resources, Inc.+ (i).................... 500 22,688
DTE Energy Co.................................... 3,200 105,800
Northern States Power Co......................... 4,700 96,056
PG&E Corp........................................ 4,700 105,163
Pinnacle West Capital Corp....................... 2,800 92,925
PP&L Resources, Inc.............................. 2,400 55,350
Wisconsin Energy Corp............................ 4,400 87,450
-----------
777,888
-----------
TELEPHONE (1.6%)
GTE Corp......................................... 300 21,900
Level 3 Communications, Inc.+.................... 300 20,344
SBC Communications, Inc.......................... 2,500 129,844
-----------
172,088
-----------
TOTAL UTILITIES................................ 949,976
-----------
TOTAL COMMON STOCKS--LONG POSITIONS (COST $9,533,952).....
9,294,500
-----------
<CAPTION>
PRINCIPAL
AMOUNT
---------
<S> <C> <C>
SHORT-TERM INVESTMENTS (4.7%)
OTHER INVESTMENT COMPANIES (4.7%)
J.P. Morgan Institutional Prime Money Market Fund
(cost $479,421)................................ $479,421 479,421
-----------
TOTAL INVESTMENTS--LONG POSITIONS (COST $10,013,373)........
9,773,921
-----------
<CAPTION>
SHARES
---------
<S> <C> <C>
COMMON STOCKS SHORT--POSITIONS (-89.8%)
BASIC INDUSTRIES (8.5%)
CHEMICALS (4.1%)
E.I. du Pont de Nemours & Co..................... (4,800) (285,300)
Great Lakes Chemical Corp........................ (3,400) (112,837)
Praxair, Inc..................................... (400) (17,850)
-----------
(415,987)
-----------
FOREST PRODUCTS & PAPER (-1.9%)
Boise Cascade Corp............................... (1,300) (45,012)
Champion International Corp...................... (1,600) (88,700)
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
13
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
FOREST PRODUCTS & PAPER (CONTINUED)
Mead Corp........................................ (1,300) $ (46,394)
Weyerhaeuser Co.................................. (300) (18,375)
-----------
(198,481)
-----------
METALS & MINING (-2.5%)
Alcan Aluminum................................... (3,100) (105,400)
Bethlehem Steel Corp............................. (1,800) (11,250)
Nucor Corp....................................... (1,000) (50,437)
Phelps Dodge Corp................................ (1,700) (88,400)
-----------
(255,487)
-----------
TOTAL BASIC INDUSTRIES......................... (869,955)
-----------
CONSUMER GOODS & SERVICES (-13.0%)
APPARELS & TEXTILES (-0.2%)
Nike, Inc........................................ (500) (23,000)
-----------
AUTOMOTIVE (-0.3%)
General Motor Corp............................... (400) (34,250)
-----------
BROADCASTING & PUBLISHING (-1.7%)
Cox Communications, Inc., Class A................ (3,400) (159,800)
New York Times Co., Class A...................... (400) (15,375)
-----------
(175,175)
-----------
CONSTRUCTION & HOUSING (-0.2%)
Centex Corp...................................... (700) (16,625)
-----------
ENTERTAINMENT, LEISURE & MEDIA (-3.0%)
Time Warner, Inc................................. (1,300) (80,194)
Tribune Co....................................... (2,200) (105,737)
Viacom, Inc., Class B............................ (800) (39,800)
Walt Disney Co................................... (2,800) (78,050)
-----------
(303,781)
-----------
FOOD, BEVERAGES & TOBACCO (-3.5%)
Anheuser-Busch Companies, Inc.................... (1,200) (89,775)
Campbell Soup Co................................. (2,800) (124,950)
Kellogg Co....................................... (1,800) (60,975)
Ralston-Ralston Purina Group..................... (1,800) (53,437)
The Quaker Oats Co............................... (500) (32,625)
-----------
(361,762)
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
HOUSEHOLD APPLIANCES & FURNISHINGS (-0.5%)
Black & Decker Corp.............................. (500) $ (22,437)
Maytag Corp...................................... (400) (19,075)
Whirlpool Corp................................... (100) (6,100)
-----------
(47,612)
-----------
HOUSEHOLD PRODUCTS (-0.8%)
Colgate-Palmolive Co............................. (1,500) (82,312)
-----------
PERSONAL CARE (-0.6%)
Kimberly-Clark Corporation....................... (1,000) (63,875)
-----------
RETAIL (2.2%)
Albertsons Inc................................... (200) (6,387)
Circuit City Stores Group........................ (300) (14,550)
Costco Wholesale Corp............................ (300) (27,506)
CVS Corp......................................... (600) (23,812)
Hasbro, Inc...................................... (600) (12,937)
Home Depot, Inc.................................. (400) (31,625)
Kohl's Corp...................................... (400) (28,875)
Limited, Inc..................................... (600) (25,462)
Lowe's Companies, Inc............................ (400) (19,925)
Wal-Mart Stores, Inc............................. (100) (5,762)
Walgreen Co...................................... (1,000) (29,125)
-----------
(225,966)
-----------
TOTAL CONSUMER GOODS & SERVICES................ (1,334,358)
-----------
ENERGY (-7.6%)
GAS EXPLORATION (-0.4%)
Constellation Energy Group....................... (1,300) (38,269)
-----------
NATURAL GAS (-0.5%)
Enron Corp....................................... (1,400) (53,287)
-----------
OIL-PRODUCTION (-3.6%)
Anadarko Petroleum Corp.......................... (1,500) (45,187)
Atlantic Richfield Co............................ (200) (19,275)
Burlington Resources, Inc........................ (2,500) (84,062)
Conoco Inc.- Class B............................. (1,500) (39,281)
Diamond Offshore Drilling........................ (800) (24,400)
Occidental Petrolium Corp........................ (4,700) (103,106)
Texaco Inc....................................... (900) (54,844)
-----------
(370,155)
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
14
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
OIL-SERVICES (-2.6%)
Amerada Hess Corp................................ (300) $ (17,381)
Baker Hughes, Inc................................ (1,800) (45,450)
Halliburton Co................................... (2,400) (92,850)
Schlumberger Ltd................................. (800) (48,050)
Unocal Corp...................................... (2,000) (66,375)
-----------
(270,106)
-----------
UTILITIES (-0.5%)
Public Service Enterprise Group, Inc............. (1,500) (52,500)
-----------
TOTAL ENERGY................................... (784,317)
-----------
FINANCE (-20.6%)
BANKING (-7.1%)
BB&T Corp........................................ (2,900) (93,162)
Chase Manhattan Corp............................. (600) (46,350)
Fifth Third Bancorp.............................. (1,700) (119,000)
MBNA Corp........................................ (500) (12,625)
Mellon Financial Corporation..................... (300) (10,931)
Northern Trust Corp.............................. (1,100) (106,494)
Old Kent Financial Corp.......................... (2,200) (89,238)
State Street Corp................................ (900) (66,094)
The Bank of New York Co., Inc.................... (2,600) (103,675)
Wachovia Corp.................................... (1,100) (85,181)
-----------
(732,750)
-----------
FINANCIAL SERVICES (-2.6%)
American Express Co.............................. (700) (105,919)
Capital One Financial Corp....................... (400) (18,625)
Lehman Brothers Holdings Inc..................... (1,400) (106,925)
Morgan Stanley Dean Witter & Co.................. (300) (36,188)
-----------
(267,657)
-----------
INSURANCE (-9.9%)
American General Corp............................ (3,000) (219,938)
American International Group, Inc................ (500) (51,625)
Chubb Corp....................................... (2,100) (112,481)
Cincinnati Financial Corp........................ (3,600) (120,600)
Jefferson-Pilot Corp............................. (3,300) (223,988)
Lincoln National Corp............................ (2,300) (95,881)
Progressive Corp................................. (2,000) (161,125)
Safeco Corp...................................... (800) (18,950)
-----------
(1,004,588)
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
REAL ESTATE INVESTMENT TRUSTS (-1.0%)
AMB Property Corp................................ (100) $ (2,000)
AvalonBay Communities Inc........................ (100) (3,238)
Boston Properties, Inc........................... (2,000) (56,625)
Duke Realty Investments, Inc..................... (2,400) (44,400)
-----------
(106,263)
-----------
TOTAL FINANCE.................................. (2,111,258)
-----------
HEALTHCARE (-6.7%)
BIOTECHNOLOGY (-0.3%)
Immunex Corp..................................... (300) (21,263)
Medimmune, Inc................................... (100) (12,019)
-----------
(33,282)
-----------
HEALTH SERVICES (-0.2%)
United HealthcareCorp............................ (300) (15,581)
-----------
MEDICAL SUPPLIES (-1.7%)
Bard (C.R.), Inc................................. (100) (5,431)
Bausch & Lomb, Inc............................... (100) (5,481)
Baxter International, Inc........................ (200) (13,513)
Biogen, Inc...................................... (800) (58,450)
Biomet, Inc...................................... (100) (3,169)
Chiron Corp...................................... (1,600) (52,500)
Guidant Corporation.............................. (100) (5,000)
Medtronic, Inc................................... (400) (15,550)
Stryker Corp..................................... (200) (11,388)
-----------
(170,482)
-----------
PHARMACEUTICALS (-4.5%)
IDEC Pharmaceuticals Corp........................ (100) (12,675)
Johnson & Johnson, Inc........................... (1,200) (124,500)
Merck & Co., Inc................................. (1,300) (102,050)
Pfizer, Inc...................................... (1,600) (57,900)
Pharmacia & Upjohn, Inc.......................... (2,300) (125,781)
Schering-Plough Corp............................. (800) (40,900)
-----------
(463,806)
-----------
TOTAL HEALTHCARE............................... (683,151)
-----------
INDUSTRIAL PRODUCTS & SERVICES (-6.5%)
AEROSPACE (-0.3%)
Boeing Co........................................ (700) (28,569)
-----------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
15
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
BUILDING MATERIALS (-0.2%)
Masco Corp....................................... (1,000) $ (25,250)
-----------
COMMERCIAL SERVICES (-1.7%)
Interpublic Group of Companies, Inc.............. (1,800) (84,600)
Omnicom Group, Inc............................... (1,000) (88,125)
-----------
(172,725)
-----------
DIVERSIFIED MANUFACTURING (-2.1%)
Corning, Inc..................................... (300) (28,106)
General Electric Co.............................. (200) (26,000)
Illinois Tool Works, Inc......................... (1,500) (97,125)
Johnson Controls Inc............................. (400) (21,800)
Minnesota Mining & Manufacturing Co.............. (300) (28,669)
Parker Hannifin Corp............................. (300) (14,119)
-----------
(215,819)
-----------
MACHINERY (-2.2%)
Caterpillar, Inc................................. (2,100) (97,388)
Dover Corp....................................... (2,300) (99,763)
Ingersoll-Rand Co................................ (700) (33,906)
-----------
(231,057)
-----------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... (673,420)
-----------
TECHNOLOGY (-11.0%)
COMPUTER SOFTWARE (-3.0%)
Computer Associates International, Inc........... (200) (13,000)
Electronic Arts, Inc............................. (100) (10,488)
Intuit, Inc...................................... (900) (45,000)
Networks Associates, Inc......................... (1,400) (35,350)
Parametric Technology Corp....................... (5,700) (129,319)
PeopleSoft, Inc.................................. (3,000) (56,438)
Symantec Corp.................................... (300) (14,006)
-----------
(303,601)
-----------
COMPUTER SYSTEMS (-2.4%)
Apple Computers, Inc............................. (300) (29,363)
Dell Computer Corp............................... (100) (4,300)
Gateway Inc...................................... (400) (30,550)
Hewlett Packard Co............................... (1,300) (123,338)
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
COMPUTER SYSTEMS (CONTINUED)
International Business Machines Corporation...... (100) $ (10,306)
Silicon Graphics, Inc............................ (5,100) (48,131)
-----------
(245,988)
-----------
ELECTRONICS (-1.1%)
Cabletron System, Inc............................ (2,500) (57,344)
Rockwell International Corp...................... (1,100) (54,588)
-----------
(111,932)
-----------
SEMICONDUCTORS (-1.1%)
Advanced Micro Devices, Inc...................... (4,200) (118,650)
-----------
TELECOMMUNICATION SERVICES (-2.2%)
US West, Inc..................................... (3,600) (223,425)
-----------
TELECOMMUNICATIONS-EQUIPMENT (-1.2%)
Nortel Networks Corp............................. (1,700) (125,800)
-----------
TOTAL TECHNOLOGY............................... (1,129,396)
-----------
TRANSPORTATION (-5.7%)
AIRLINES (-4.4%)
Continental Airlines, Inc........................ (1,600) (59,200)
Delta Air Lines, Inc............................. (900) (44,325)
UAL Corp......................................... (4,300) (295,625)
US Airways Group................................. (1,800) (50,288)
-----------
(449,438)
-----------
RAILROADS (-0.3%)
Norfolk Southern Corp............................ (1,700) (36,338)
-----------
TRUCK & FREIGHT CARRIERS (-1.0%)
FDX Corp......................................... (2,400) (101,250)
-----------
TOTAL TRANSPORTATION........................... (587,026)
-----------
UTILITIES (-10.2%)
ELECTRIC (-7.3%)
Ameren Corp...................................... (2,200) (76,175)
Calpine Corp..................................... (1,900) (112,100)
Consolidated Edison, Inc......................... (2,200) (75,900)
Duke Energy Co................................... (1,900) (96,306)
Edison International............................. (3,700) (98,050)
GPU, Inc......................................... (1,400) (44,800)
PECO Energy Co................................... (2,600) (85,638)
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
ELECTRIC (CONTINUED)
Potomac Electric Power Co........................ (3,900) $ (92,869)
Reliant Energy, Inc.............................. (1,600) (39,700)
Southern Co...................................... (1,200) (28,050)
-----------
(749,588)
-----------
TELEPHONE (-2.5%)
AT & T Corp...................................... (1,600) (89,400)
BellSouth Corp................................... (3,500) (161,656)
-----------
(251,056)
-----------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- --------- ------------
<S> <C> <C>
WATER (-0.4%)
American Water Works, Inc........................ (1,800) $ (46,013)
-----------
TOTAL UTILITIES................................ (1,046,657)
-----------
TOTAL COMMON STOCKS - SHORT POSITIONS (PROCEEDS
$9,150,602).............................................. (9,219,538)
-----------
TOTAL INVESTMENTS (5.4%).................................... 554,383
OTHER ASSETS IN EXCESS OF LIABILITIES
(94.6%)................................................... 9,716,470
-----------
NET ASSETS (100%)........................................... $10,270,853
===========
</TABLE>
- ------------------------------
Note: For federal income tax purposes, the cost of securities at November 30,
1999, was $9,582,267; the aggregate gross unrealized appreciation and
depreciation was $1,345,406 and $1,702,109, respectively, resulting in net
unrealized depreciation of $356,703.
+ - Non-income producing.
ADR - American Depositary Receipt.
(e)Securities are pledged with Brokers as Collateral for Short Sales.
(i) Foreign security.
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $10,013,373 ) $ 9,773,921
Cash 172,369
Deposits with Brokers for Securities Sold Short 9,529,316
Receivable for Investments Sold 107,117
Dividends Receivable 34,672
Receivable for Expense Reimbursements 29,239
Prepaid Expenses and Other Assets 10
-----------
Total Assets 19,646,644
-----------
LIABILITIES
Securities Sold Short at Value (Proceed
$9,150,602) 9,219,538
Payable for Investments Purchased 84,089
Advisory Fee Payable 12,988
Custody Fee Payable 9,418
Transfer Agent Fees Payable 2,270
Shareholder Servicing Fee Payable 838
Administrative Services Fee Payable 418
Administration Fee Payable 55
Fund Services Fee Payable 6
Accrued Expenses 46,171
-----------
Total Liabilities 9,375,791
-----------
NET ASSETS $10,270,853
===========
INSTITUTIONAL SHARES
Applicable to 674,959 shares outstanding
(par value $0.001, unlimited shares authorized) $10,270,853
===========
Net Asset Value, Offering and Redemption Price
per Share $15.22
-----
-----
ANALYSIS OF NET ASSETS
Paid-in capital $10,126,134
Undistributed Net Investment Income 163,113
Accumulated Net Realized Gain on Investments 289,994
Net Unrealized Depreciation of Investments (308,388)
-----------
Net Assets $10,270,853
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Witholding Tax of
$17) $ 73,112
Interest Income 273,305
--------
Investment Income 346,417
EXPENSES
Advisory Fee $ 77,133
Dividend on Securities Sold Short 48,522
Custodian Fees and Expenses 48,446
Professional Fees and Expenses 21,632
Printing Expenses 8,250
Transfer Agent Fee 8,217
Shareholder Servicing Fee 5,142
Administrative Services Fee 2,606
Administrative Fee 117
Fund Services Fee 91
Trustees' Fees and Expenses 65
Miscellaneous 610
--------
Total Expenses 220,831
Less: Reimbursement of Expenses (69,264)
--------
NET EXPENSES 151,567
--------
NET INVESTMENT INCOME 194,850
NET REALIZED GAIN ON INVESTMENTS
Investment Transactions 208,038
Securities Sold Short (82,570)
--------
Net Realized Gain 125,468
NET CHANGE IN UNREALIZED DEPRECIATION OF
INVESTMENTS
Investment (526,271)
Securities Sold Short 334,117
--------
Net Change in Unrealized Depreciation (192,154)
--------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $128,164
========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE SIX DECEMBER 31, 1998
MONTHS ENDED (COMMENCEMENT OF
NOVEMBER 30, 1999 OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1999
----------------- -------------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 194,850 $ 88,797
Net Realized Gain on Investments and Securities
Sold Short 125,468 164,526
Net Change in Unrealized Depreciation of
Investments and Securities Sold Short (192,154) (116,234)
---------------- ------------------
Net Increase in Net Assets Resulting from
Operations 128,164 137,089
---------------- ------------------
DIVIDENDS TO SHAREHOLDERS FROM NET INVESTMENT
INCOME
Institutional Shares (93,852) (26,682)
---------------- ------------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold -- 10,005,600
Reinvestment of Dividends 93,852 26,682
---------------- ------------------
Net Increase from Shareholder Transactions 93,852 10,032,282
---------------- ------------------
Total Increase in Net Assets 128,164 10,142,689
NET ASSETS
Beginning of Period 10,142,689 --
---------------- ------------------
End of Period $ 10,270,853 $ 10,142,689
================ ==================
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for shares outstanding throughout each period is as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE DECEMBER 31, 1998
SIX MONTHS ENDED (COMMENCEMENT OF
NOVEMBER 30, 1999 OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1999
------------------ --------------------
<S> <C> <C>
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD $ 15.16 $ 15.00
------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.29 0.13
Net Realized and Unrealized Gain (Loss) on
Investments (0.09) 0.07
------- -------
Total from Investment Operations 0.20 0.20
------- -------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.14) (0.04)
------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD $ 15.22 $ 15.16
======= =======
RATIOS AND SUPPLEMENTAL DATA
Total Return 1.31%(b) 1.34%(b)
Net Assets, End of Period (in thousands) $10,271 $10,143
Ratio to Average Net Assets
Net Expenses (Excluding Dividend Expense) 2.00%(a) 2.00%(a)
Net Investment Income 3.79%(a) 2.14%(a)
Expenses without Reimbursement
(Including Dividend Expense) 4.29%(a) 5.66%(a)
Portfolio Turnover 190% 195%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
J.P. Morgan Institutional Market Neutral Fund (the "fund"), registered as
J.P. Morgan Market Neutral Fund, is a series of J.P. Morgan Series Trust, a
Massachusetts business trust (the "trust"), which was organized on August 15,
1996. The trust is registered under the Investment Company Act of 1940, as
amended, as a no-load, diversified, open-end management investment company. The
trustees of the trust have divided the beneficial interests in the fund into two
classes of shares, Institutional Shares and Select Shares. The investment
objective is to provide long-term capital appreciation from a broadly
diversified portfolio of U.S. stocks while neutralizing the general risks
associated with stock market investing. Currently, the fund only offers
Institutional Shares. The fund commenced operations on December 31, 1998. The
Declaration of Trust permits the trustees to issue an unlimited number of each
class of shares in the fund. Organization costs incurred prior to commencement
of operations were borne by J.P. Morgan & Co. Incorporated ("J.P. Morgan").
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 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) The fund's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the fund. It is the
policy of the fund to value the underlying collateral daily on a mark-to-
market basis to determine that the value, including accrued interest, is
at least equal to the repurchase price plus accrued interest. In the event
of default of the obligation to repurchase, the fund has the right to
liquidate the collateral and apply the proceeds in satisfaction of the
obligation. Under certain circumstances, in the event of default or
bankruptcy by the other party to the agreement, realization and/or
retention of the collateral or proceeds may be subject to legal
proceedings.
c) 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
22
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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.
d) The fund engages in short sales (selling securities it does not own) as
part of its normal investment activities. These short sales are
collateralized via cash deposits and securities made with the applicable
counterparty broker. The collateral required is determined daily by
reference to the market value of the short positions. Such collateral for
the fund is held by one broker. Dividend expense on short sales is treated
as an expense on the Statement of Operations. Liabilities for securities
sold short are reported at market value in the financial statements. Such
liabilities are subject to off balance sheet risk to the extent of any
future increases in market value of the securities sold short. The
ultimate liability for securities sold short could exceed the liabilities
recorded in the Statement of Assets and Liabilities. Liabilities for
securities sold short are closed out by purchasing the applicable
securities for delivery to the counterparty broker.
e) Net investment income (other than shareholder servicing fees) and
unrealized and realized gains and losses are allocated daily to each class
of shares based upon the relative proportion of net assets of each class
at the beginning of the day.
f) 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.
g) 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. The fund earns
foreign income which may be subject to foreign withholding taxes at
various rates.
2. TRANSACTIONS WITH AFFILIATES
a) The fund has an Investment Advisory Agreement with J.P. Morgan Investment
Management, Inc. ("JPMIM"), an affiliate Guaranty Trust of New York
("Morgan") of Morgan and a wholly owned subsidiary of J.P. Morgan & Co.
Incorporated. Under the terms of the agreement, the fund pays JPMIM at an
annual rate of 1.50% of the fund's average daily net assets. For the six
months period ended November 30, 1999, such fees amounted to $77,133.
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
23
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
assets to the aggregate net assets of the trust and certain other
investment companies subject to similar agreements with FDI. For the six
months period ended November 30, 1999, the fee for these services amounted
to $117.
c) The trust, on behalf of the fund, has an Administrative Services Agreement
(the "Services Agreement") with Morgan under which Morgan is responsible
for overseeing 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 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 period ended November 30, 1999, the fee for these
services amounted to $2,606.
In addition, Morgan has agreed to reimburse the fund to the extent
necessary to maintain the total operating expenses of the fund at no more
than 2.00% of the average daily net assets of the fund through August 31,
2000. For the six months period ended November 30, 1999, Morgan has agreed
to reimburse the fund $69,264 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 period ended November 30, 1999, the fee for
these services amounted to $5,142.
Morgan, Charles Schwab & Co. ("Schwab") and the trust are parties to
separate services and operating agreements (the "Schwab Agreements")
whereby Schwab makes fund shares available to customers of investment
advisors and other financial intermediaries who are Schwab's clients. The
fund is not responsible for payments to Schwab under the Schwab
Agreements; however, in the event the Services Agreement with Schwab is
terminated for reasons other than a breach by Schwab and the relationship
between the trust and Morgan is terminated, the fund would be responsible
for the ongoing payments to Schwab with respect to pre-termination shares.
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
$91 for the six months period ended November 30, 1999.
f) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Funds, the J.P. Morgan
Institutional Funds, and other registered investment companies in which
they invest. The Trustees' Fees and Expenses shown in the financial
statements represents the fund's allocated portion of the total fees and
expenses. The trust's Chairman and Chief Executive
24
<PAGE>
J.P. MORGAN INSTITUTIONAL MARKET NEUTRAL FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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 $19.
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 PERIOD
FOR THE SIX DECEMBER 31, 1998
MONTHS ENDED (COMMENCEMENT OF
NOVEMBER 30, 1999 OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1999
----------------- --------------------
SHARES AMOUNT SHARES AMOUNT
------- -------- ------- -----------
<S> <C> <C> <C> <C>
Shares sold...................................... -- $ -- 667,041 $10,005,600
Dividend Reinvestment............................ 6,084 93,852 1,834 26,682
------ ------- ------- -----------
Net Increase..................................... 6,084 $93,852 668,875 $10,032,282
====== ======= ======= ===========
</TABLE>
4. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
period ended November 30, 1999 were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
-------------------- ----------------------
<S> <C> <C>
Long............................................. $ 5,518,208 $ 5,198,227
Short............................................ 13,048,302 12,738,127
------------------- ---------------------
$ 18,566,510 $ 17,936,354
=================== =====================
</TABLE>
5. CREDIT AGREEMENT
The trust, on behalf of the fund, together with other affiliated investment
companies (the "funds"), entered into a revolving line of credit agreement (the
"Agreement") on May 27, 1998 with unaffiliated lenders. The maximum borrowing
under the Agreement is $150,000,000. The Agreement expired on May 26, 1999,
however, the fund as party to the Agreement extended the Agreement and continues
its participation therein until May 23, 2000. 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. The
funds pay a commitment fee at an annual rate of 0.085% (0.065% prior to May 26,
1999) on the unused portion of the committed amount. This is allocable to the
funds in accordance with procedures established by their respective trustees or
directors. The fund has not borrowed pursuant to the Agreement as of
November 30, 1999.
25
<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
MARKET NEUTRAL FUND: INSTITUTIONAL SHARES
FOR MORE INFORMATION ON THE J.P. MORGAN
INSTITUTIONAL FUNDS, CALL J.P. MORGAN FUNDS
SERVICES AT (800)766-7722.
IM0868-I
J.P. MORGAN
INSTITUTIONAL
MARKET NEUTRAL
FUND
SEMIANNUAL REPORT
NOVEMBER 30, 1999
