<PAGE>
LETTER TO THE SHAREHOLDERS OF THE J.P. MORGAN DISCIPLINED EQUITY FUND
January 3, 2000
Dear Shareholder:
The J.P. Morgan Disciplined Equity Fund provided a 4.90% return for the six
months ended November 30, 1999. Though it posted a solid return, the fund lagged
both the 7.36% return of the S&P 500 Index, as well as the 8.52% return of the
Lipper Growth & Income Fund Average.
The fund's net asset value increased from $18.22 per share at May 31, 1999,to
$19.05 at November 30, 1999, after making distributions of $0.06 from ordinary
income. The fund's net assets stood at $181.5 million at the end of the period
under review. The net assets of the master portfolio, in which the fund invests,
totaled approximately $1.5 billion at November 30, 1999.
This report includes an interview with Timothy J. Devlin, the portfolio manager
primarily responsible for the master portfolio. In this interview, Tim 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) 521-5411.
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................8
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 AVERAGE ANNUAL TOTAL RETURNS
------------------- ----------------------------
THREE SIX ONE SINCE
AS OF NOVEMBER 30, 1999 MONTHS MONTHS YEAR INCEPTION*
- ---------------------------------------------------------------------------------------- ----------------------------
<S> <C> <C> <C> <C>
J.P. Morgan Disciplined Equity Fund* 3.70% 4.90% 19.29% 24.71%
S&P 500 Index** 5.52% 7.36% 20.89% 24.13%
Lipper Growth & Income Fund Average 6.45% 8.52% 22.35% 21.21%
AS OF SEPTEMBER 30, 1999
- ---------------------------------------------------------------------------------------- ----------------------------
J.P. Morgan Disciplined Equity Fund* -6.55% 1.58% 29.47% 23.35%
S&P 500 Index** -6.25% 0.36% 27.80% 22.03%
Lipper Growth & Income Fund Average 1.75% 20.06% 5.46% 18.93%
</TABLE>
*THE J.P. MORGAN DISCIPLINED EQUITY FUND'S RETURNS INCLUDE HISTORICAL RETURNS OF
THE J.P. MORGAN INSTITUTIONAL DISCIPLINED EQUITY FUND, WHICH HAD A LOWER EXPENSE
RATIO, FROM JANUARY 3, 1997, (THE INCEPTION DATE OF THE J.P. MORGAN
INSTITUTIONAL DISCIPLINED EQUITY FUND) THROUGH DECEMBER 31, 1997 (THE INCEPTION
DATE OF THE J.P. MORGAN DISCIPLINED EQUITY FUND). FOR THE PURPOSES OF
COMPARISON, THE "SINCE INCEPTION" RETURNS ARE CALCULATED FROM JANUARY 31, 1997,
THE FIRST DATE WHEN DATA FOR THE FUND'S BENCHMARK AND ITS LIPPER CATEGORY WERE
AVAILABLE. THE J.P. MORGAN DISCIPLINED EQUITY FUND'S TOTAL RETURN SINCE ITS
COMMENCEMENT OF OPERATIONS ON 12/31/97 IS 26.12%.
**THE S&P 500 INDEX IS AN UNMANAGED INDEX OF 500 U.S. STOCKS WIDELY USED TO
MEASURE OVERALL STOCK 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. LIPPER ANALYTICAL SERVICES, INC.
IS A LEADING SOURCE FOR MUTUAL FUND DATA.
2
<PAGE>
PORTFOLIO MANAGER Q&A
[PHOTO]
Following is an interview with TIMOTHY J. DEVLIN, vice president and member
of the portfolio management team for the master portfolio, in which the fund
invests. Tim joined J.P. Morgan in 1996 after spending nine years at Mitchell
Hutchins Asset Management Inc., where he managed quantitatively driven equity
portfolios for institutional and retail investors. Tim was educated at Union
College, where he received a B.A. in Economics. This interview was conducted
on December 9, 1999, and reflects Tim's views on that date.
WHAT WERE THE KEY TRENDS IN THE U.S EQUITY MARKET OVER THE PAST SIX MONTHS?
TJD: 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 indicate that growth finally is
taking hold.
For the U.S. equity market, this six-month period was a highly volatile one.
Rising interest rates and fears of Y2K-related problems as the year-end
approaches have created an environment of extreme uncertainty. This has caused
the market to favor some of the stocks that have already done well this year, as
investors look for certainty.
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.
The spread between sectors manifested itself even further between growth versus
value. For the year-to-date through November, the S&P 500/BARRA Growth was up
19.41%, whereas the S&P 500/BARRA Value was up just 8.64%. This disparity is
even more striking in the small-cap arena where, for the same year-to-date
period, the Russell 2000 Growth returned 21.65% versus the -4.42% return of the
Russell 2000 Value.
3
<PAGE>
Within the S&P 500, 10 of the 16 industrial sectors were in negative territory
for the six-month period, some significantly. Reflective of the over-rewarding
of good earnings and knockdown of underperformers, the performance among
different sectors was at extremes. 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 leadership of the
market narrowed even further, driven by the continued dramatic performance of
tech stocks. This has been fueled by optimism about spending by both consumers
and businesses on technology and telecom products and services, much of which is
driven by the increased importance of the Internet and e-commerce applications.
Strong Internet sales are expected over the holidays, and businesses, having
addressed Y2K issues, are starting to pour money into e-commerce; the
"realization" is that a company can't survive unless it's on the web.
HOW DID THE PORTFOLIO PERFORM IN THIS ENVIRONMENT?
TJD: The fund returned 4.90% for the period while the S&P 500 rose 7.36%. The
exceptionally near-term focus described above can create a difficult environment
for our longer-term valuation process. Although the fund underperformed the
benchmark, the shortfall was limited by the risk management of our process. You
may recall that the portfolio is always sector- and style-neutral to the
benchmark. In an environment where, over a six-month period, one sector returns
35% and another is down 17%, the penalty for not choosing the winning sector is
severe. Our process relies on selecting the most attractive stocks - and more
importantly, avoiding the unattractive stocks - within each sector, while
matching the sector weights and style characteristics of the benchmark.
WHICH HOLDINGS ADDED TO PERFORMANCE?
TJD: Among the positions that added the most to relative performance were
overweights in Sun Microsystems, Warner Lambert, and Procter & Gamble.
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 of 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.
Underweights in Hewlett-Packard and Bank One, which were both down over the six
months, helped performance. HP, the computer manufacturer, made profit warnings
twice in October, saying that fourth-quarter profits would be hurt by softness
in its UNIX server business. Analysts cut estimates and downgraded the stock on
fears that softness would continue through year-end (it has since bounced back).
Bank One continues to be hit by weakness in its credit card business.
4
<PAGE>
WHICH ONES DETRACTED FROM PERFORMANCE?
TJD: In addition to the hostile market environment, company-specific events hurt
performance. Waste Management, in particular, detracted. The company's shares
were down 69% over the six months. During the summer, it restated first- and
second-quarter earnings and fired both the CFO and CEO. Our relatively modest
overweight hurt performance.
Our overweight in IBM detracted from performance. In October, Big Blue announced
slowing mainframe sales resulting from the end of Y2K spending would reduce
earnings for the coming quarters. Likewise our overweight in Xerox hurt us as
its 3Q99 earnings reported in October fell short of expectations.
An underweight in Nortel Networks and not owning Qualcomm, both of which gained
a significant amount over the period, reduced performance. Both are benefiting
from increased spending on telecommunications and wireless technology in
particular.
WHAT IS YOUR OUTLOOK FOR THE COMING MONTHS?
TJD: We remain somewhat cautious as the overall level of the equity market
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. We expect the volatility of the past
year to continue into 2000. According to our valuations, the spread between the
most attractive and the fairly valued stocks is the largest we have ever seen,
indicating a lot of pent-up value in the market. Though it's hard to say when
this value will be realized, hopefully when some of the uncertainty is removed
(i.e., a disruption-free Y2K and more clarity about inflation and Fed activity),
valuation will become important again.
5
<PAGE>
FUND FACTS
INVESTMENT OBJECTIVE
J.P. Morgan Disciplined Equity Fund seeks to provide a high total return from a
broadly diversified portfolio of equity securities. It is designed for investors
who want the potential to outperform the S&P 500 Index without assuming a level
of risk substantially greater than that of the Index.
- -------------------------------------------------------------------------------
COMMENCEMENT OF INVESTMENT OPERATIONS
12/31/97
- -------------------------------------------------------------------------------
FUND NET ASSETS AS OF 11/30/99
$181,547,390
- -------------------------------------------------------------------------------
PORTFOLIO NET ASSETS AS OF 11/30/99
$1,476,254,739
- -------------------------------------------------------------------------------
DIVIDEND PAYABLE DATE
12/20/99
- -------------------------------------------------------------------------------
CAPITAL GAIN PAYABLE DATE (IF APPLICABLE)
12/20/99
EXPENSE RATIO
The fund's current annualized expense ratio of 0.75% 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.
FUND HIGHLIGHTS
ALL DATA AS OF NOVEMBER 30, 1999
PORTFOLIO ALLOCATION
(AS A PERCENTAGE OF TOTAL INVESTMENTS)
[CHART]
TECHNOLOGY 22.9%
CONSUMER GOODS AND SERVICES 21.5%
FINANCE 13.9%
HEALTHCARE 10.5%
UTILITIES 9.6%
INDUSTRIAL PRODUCTS & SERVICES 8.8%
ENERGY 5.7%
BASIC INDUSTRIES 2.6%
TRANSPORTATION 0.7%
SHORT-TERM & OTHER INVESTMENTS 3.8%
LARGEST EQUITY HOLDINGS % OF TOTAL INVESTMENTS
- ----------------------------------------------------------
MICROSOFT CORP. (TECHNOLOGY) 5.0%
GENERAL ELECTRIC CO. 3.4%
(INDUSTRIAL PRODUCTS & SERVICES)
CISCO SYSTEMS, INC. (TECHNOLOGY) 3.3%
INTEL CORP. (TECHNOLOGY) 3.0%
LUCENT TECHNOLOGIES (TECHNOLOGY) 2.5%
SBC COMMUNICATIONS, INC. (UTILITIES) 2.2%
WAL-MART STORES, INC. 2.2%
(CONSUMER GOODS & SERVICES)
MCI WORLDCOM, INC. 2.1%
(TECHNOLOGY)
BRISTOL-MYERS SQUIBB CO. (HEALTHCARE) 2.0%
PROCTER & GAMBLE CO. 1.9%
(CONSUMER GOODS & SERVICES)
6
<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.
The fund invests in a master portfolio (another fund with the same objective).
CALL J.P. MORGAN FUNDS SERVICES AT (800) 521-5411 FOR A PROSPECTUS CONTAINING
MORE COMPLETE INFORMATION ABOUT THE FUND INCLUDING MANAGEMENT FEES AND OTHER
EXPENSES. PLEASE READ THE PROSPECTUS CAREFULLY BEFORE INVESTING.
7
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investment in The Disciplined Equity Portfolio
("Portfolio"), at value $181,670,450
Receivable for Shares of Beneficial Interest Sold 188,255
Deferred Organization Expenses 4,370
Receivable for Expense Reimbursements 682
Prepaid Expenses and Other Assets 304
------------
Total Assets 181,864,061
------------
LIABILITIES
Payable for Shares of Beneficial Interest
Redeemed 258,906
Payable for Administration and Management Fees 10,088
Dividends Payable to Shareholders 37,175
Administrative Services Fee Payable 191
Administration Fee Payable 3,710
Fund Services Fee Payable 45
Accrued Trustees' Fees and Expenses 168
Accrued Expenses 6,388
------------
Total Liabilities 316,671
------------
NET ASSETS
Applicable to 9,531,633 Shares of Beneficial
Interest Outstanding
(par value $0.001, unlimited shares authorized) $181,547,390
============
Net Asset Value, Offering and Redemption Price
Per Share $19.05
-----
-----
ANALYSIS OF NET ASSETS
Paid-in Capital $168,252,812
Undistributed Net Investment Income 407,506
Accumulated Net Realized Gain on Investment 3,738,293
Net Unrealized Appreciation of Investment 9,148,779
------------
Net Assets $181,547,390
============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
8
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME ALLOCATED FROM PORTFOLIO
Allocated Dividend Income (Net of Foreign
Withholding Tax of $4,729) $1,034,564
Allocated Interest Income 97,701
Allocated Portfolio Expenses (310,413)
----------
Net Investment Income Allocated from
Portfolio 821,852
FUND EXPENSES
Shareholder Servicing Fee $193,049
Administrative Services Fee 19,541
Registration Fees 10,085
Professional Fees 6,202
Fund Services Fee 1,337
Administration Fee 1,083
Trustees' Fees and Expenses 719
Amortization of Organization Expenses 708
Insurance Expense 53
Miscellaneous 18,780
--------
Total Fund Expenses 251,557
Less: Reimbursement of Expenses (4,782)
--------
NET FUND EXPENSES 246,775
----------
NET INVESTMENT INCOME 575,077
NET REALIZED GAIN ON INVESTMENT ALLOCATED FROM
PORTFOLIO 4,726,766
NET CHANGE IN UNREALIZED DEPRECIATION OF
INVESTMENT ALLOCATED
FROM PORTFOLIO (1,503,096)
----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $3,798,747
==========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
9
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MAY 31, 1999
----------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 575,077 $ 496,484
Net Realized Gain on Investment Allocated from
Portfolio 4,726,766 674,473
Net Change in Unrealized Appreciation
(Depreciation) of Investment Allocated from
Portfolio (1,503,096) 10,305,886
---------------- -------------
Net Increase in Net Assets Resulting from
Operations 3,798,747 11,476,843
---------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (432,635) (248,386)
Net Realized Gain -- (128,313)
---------------- -------------
Total Distributions to Shareholders (432,635) (376,699)
---------------- -------------
TRANSACTIONS IN SHARES OF BENEFICIAL INTEREST
Proceeds from Shares of Beneficial Interest Sold 101,938,204 108,061,646
Reinvestment of Dividends and Distributions 412,656 363,369
Cost of Shares of Beneficial Interest Redeemed (44,762,011) (16,969,659)
---------------- -------------
Net Increase from Transactions in Shares of
Beneficial Interest 57,588,849 91,455,356
---------------- -------------
Total Increase in Net Assets 60,954,961 102,555,500
NET ASSETS
Beginning of Period 120,592,429 18,036,929
---------------- -------------
End of Period (including undistributed net
investment income of $407,506 and $265,064,
respectively) $ 181,547,390 $ 120,592,429
================ =============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
10
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
Selected data for shares outstanding throughout each period is as follows:
<TABLE>
<CAPTION>
FOR THE PERIOD
FOR THE DECEMBER 31, 1997
SIX MONTHS ENDED FOR THE FISCAL (COMMENCEMENT
NOVEMBER 30, 1999 YEAR ENDED OF OPERATIONS)
(UNAUDITED) MAY 31, 1999 THROUGH MAY 31, 1998
----------------- -------------- --------------------
<S> <C> <C> <C>
NET ASSET VALUE PER SHARE, BEGINNING OF PERIOD $ 18.22 $ 14.95 $ 12.98
-------- -------- -------
INCOME FROM INVESTMENT OPERATIONS
Net Investment Income 0.09 0.12 0.03
Net Realized and Unrealized Gain on Investment 0.83 3.28 1.96
-------- -------- -------
Total from Investment Operations 0.92 3.40 1.99
-------- -------- -------
LESS DISTRIBUTIONS TO SHAREHOLDERS FROM
Net Investment Income (0.09) (0.09) (0.02)
Net Realized Gain -- (0.04) --
-------- -------- -------
Total Distributions to Shareholders (0.09) (0.13) (0.02)
-------- -------- -------
NET ASSET VALUE PER SHARE, END OF PERIOD $ 19.05 $ 18.22 $ 14.95
======== ======== =======
RATIOS AND SUPPLEMENTAL DATA
Total Return 4.09%(a) 22.86% 15.33%(a)
Net Assets, End of Period (in thousands) $181,547 $120,592 $18,037
Ratios to Average Net Assets
Net Expenses 0.72%(b) 0.75% 0.75%(b)
Net Investment Income 0.73%(b) 0.89% 1.00%(b)
Expenses without Reimbursement 0.76%(b) 0.86% 3.28%(b)
</TABLE>
- ------------------------
(a) Not Annualized.
(b) Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
11
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
J.P. Morgan Disciplined Equity Fund (the "fund") is a separate series of J.P.
Morgan Funds, a Massachusetts business trust (the "trust") which was organized
on November 4, 1992. The trust is registered under the Investment Company Act of
1940, as amended, as an open-end management investment company. The fund
commenced operations on December 31, 1997.
The fund invests all of its investable assets in The Disciplined Equity
Portfolio (the "portfolio"), a diversified open-end management investment
company having the same investment objective as the fund. The value of such
investment included in the Statement of Assets and Liabilities reflects the
fund's proportionate interest in the net assets of the portfolio (12% at
November 30, 1999). The performance of the fund is directly affected by the
performance of the portfolio. The financial statements of the portfolio,
including the Schedule of Investments, are included elsewhere in this report and
should be read in conjunction with the fund's financial statements.
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) Valuation of securities by the portfolio is discussed in Note 1a of the
portfolio's Notes to Financial Statements which are included elsewhere in
this report.
b) The fund records its share of net investment income, realized and
unrealized gain and loss and adjusts its investment in the portfolio each
day. All the net investment income and realized and unrealized gain and
loss of the portfolio is allocated pro rata among the fund and other
investors in the portfolio at the time of such determination.
c) Substantially all the fund's net investment income is declared as
dividends and paid quarterly. Distributions to shareholders of net
realized capital gain, if any, are declared and paid annually.
d) The fund incurred organization expenses in the amount of $7,898. Morgan
Guaranty Trust Company of New York ("Morgan"), a wholly owned subsidiary
of J.P. Morgan & Co. Incorporated ("J.P. Morgan"), has paid the
organization expenses of the fund. The fund has agreed to reimburse Morgan
for these costs which are being deferred and amortized on a straight-line
basis over a period not to exceed five years beginning with the
commencement of operations.
e) Expenses incurred by the trust with respect to any two or more funds in
the trust are allocated in proportion to the net assets of each fund in
the trust, except where allocations of direct expenses to each fund can
otherwise be made fairly. Expenses directly attributable to a fund are
charged to that fund.
f) The fund is treated as a separate entity for federal income tax purposes
and 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.
12
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
2. TRANSACTIONS WITH AFFILIATES
a) The trust, on behalf of the fund, has retained Funds Distributor, Inc.
("FDI"), a registered broker-dealer, to serve as 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 period ended November 30, 1999, the fee for these services amounted
to $1,083.
b) 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
portfolio and other portfolios in which the trust and the J.P. Morgan
Institutional Funds invest (the "master portfolios") and J.P. Morgan
Series Trust 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 the 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, the master portfolios, other investors in
the master portfolios for which Morgan provides similar services, and J.P.
Morgan Series Trust. For the six months period ended November 30, 1999,
the fee for these services amounted to $19,541.
In addition, J.P.Morgan has agreed to reimburse the fund to the extent
necessary to maintain the total operating expenses of the fund, including
the expenses allocated to the fund from the portfolio, at no more than
0.75% of the average daily net assets of the fund. This reimbursement
arrangement can be changed or terminated at any time after February 28,
2000, at the option of J.P. Morgan. For the six months period ended
November 30, 1999, Morgan has agreed to reimburse the fund $4,782 for
expenses that exceeded this limit.
c) 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 0.25% 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 $193,049.
Morgan, Charles Schwab & Co. ("Schwab") and the trust are parties to
separate services and operating agreements (the "Schwab Agreement")
whereby Schwab makes the 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
13
<PAGE>
J.P. MORGAN DISCIPLINED EQUITY FUND
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
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.
d) 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
$1,337 for the six months period ended November 30, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the trust, the J.P. Morgan Institutional Funds, the master
portfolios and J.P. Morgan Series Trust. The Trustees' Fees and Expenses
shown in the financial statements represent 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 $300.
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 MONTHS DECEMBER 31, 1997
ENDED (COMMENCEMENT OF
NOVEMBER 30, 1999 OPERATIONS) THROUGH
(UNAUDITED) MAY 31, 1998
------------------ -------------------
<S> <C> <C>
Shares sold...................................... 5,419,169 6,403,080
Reinvestment of dividends and distributions...... 22,403 22,322
Shares redeemed.................................. (2,528,210) (1,014,007)
---------------- ------------------
Net Increase..................................... 2,913,362 5,411,395
================ ==================
</TABLE>
4. 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, however, the fund as party to the Agreement has
extend the Agreement and continues its participation until May 23, 2000. The
maximum borrowing under the new Agreement is $150,000,000. Additionally, since
all of the investable assets of the fund are in the portfolio, the portfolio is
party to certain covenants of the Agreement. The purpose of the Agreement is to
provide another alternative for settling large fund shareholder redemptions.
Interest on 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 the procedures established by their respective trustees or
directors. The fund has not borrowed pursuant to the Agreement as of
November 30, 1999.
14
<PAGE>
The Disciplined Equity Portfolio
Semi-Annual Report November 30, 1999
(The following pages should be read in conjunction
with the J.P. Morgan Disciplined Equity Fund
Semi-Annual Financial Statements)
15
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
COMMON STOCKS (96.8%)
BASIC INDUSTRIES (2.6%)
CHEMICALS (1.3%)
Air Products and Chemicals, Inc.................. 130,100 $ 4,211,987
Georgia Gulf Corp................................ 100 2,550
IMC Global, Inc.................................. 52,000 838,500
Lyondell Chemical Co............................. 83,300 1,166,200
PPG Industries, Inc.............................. 7,000 409,937
Praxair, Inc..................................... 25,400 1,133,475
Rohm & Haas Co................................... 160,300 5,870,987
Solutia, Inc..................................... 77,000 1,155,000
Union Carbide Corp............................... 76,200 4,457,700
--------------
19,246,336
--------------
FOREST PRODUCTS & PAPER (0.6%)
Bowater, Inc..................................... 18,900 926,100
Fort James Corp.................................. 73,700 2,118,875
Georgia-Pacific Group............................ 7,200 286,650
International Paper Co........................... 53,800 2,807,687
Louisiana-Pacific Corp........................... 12,500 153,125
Smurfit-Stone Container Corp.+................... 72,800 1,396,850
Temple-Inland, Inc............................... 18,600 1,064,850
--------------
8,754,137
--------------
METALS & MINING (0.7%)
Alcoa, Inc....................................... 102,600 6,720,300
Allegheny Technologies, Inc...................... 38,300 964,681
Freeport - McMoran Copper & Gold, Inc.,
Class B+....................................... 51,700 817,506
Freeport-McMoran Copper & Gold, Inc., Class A+... 11,200 151,900
Reynolds Metals Co............................... 18,700 1,169,919
USX-U.S. Steel Group............................. 24,200 612,562
--------------
10,436,868
--------------
TOTAL BASIC INDUSTRIES......................... 38,437,341
--------------
CONSUMER GOODS & SERVICES (21.6%)
APPARELS & TEXTILES (0.1%)
Fruit of the Loom, Inc., Class A+................ 14,600 27,375
Jones Apparel Group, Inc.+....................... 42,100 1,123,544
--------------
1,150,919
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
AUTOMOTIVE (1.6%)
Cooper Tire & Rubber Co.......................... 12,600 $ 189,000
Dana Corp........................................ 58,000 1,609,500
Delphi Automotive Systems Corp................... 193,200 3,042,900
Ford Motor Co.................................... 283,000 14,291,500
Genuine Parts Co................................. 48,100 1,238,575
Goodyear Tire and Rubber Co...................... 51,600 1,741,500
Lear Corp.+...................................... 36,800 1,216,700
Tenneco Automotive Inc........................... 80 630
--------------
23,330,305
--------------
BROADCASTING & PUBLISHING (3.9%)
AT&T Corp. - Liberty Media Group, Class A+....... 282,500 11,812,031
Comcast Corp., Class A+.......................... 222,700 10,063,256
Gannett Co., Inc................................. 111,100 7,950,594
Knight - Ridder, Inc............................. 38,600 2,106,112
MediaOne Group, Inc.+............................ 253,800 20,113,650
New York Times Co., Class A...................... 34,600 1,329,937
Times Mirror Co. New............................. 24,200 1,562,412
Washington Post Co., Class B..................... 3,900 2,228,850
--------------
57,166,842
--------------
ENTERTAINMENT, LEISURE & MEDIA (2.5%)
America Online, Inc.+............................ 375,400 27,286,887
International Game Technology+................... 51,900 934,200
Seagram Company Ltd. (i)......................... 203,900 8,882,394
--------------
37,103,481
--------------
FOOD, BEVERAGES & TOBACCO (3.7%)
Bestfoods........................................ 51,900 2,844,769
Coca-Cola Co..................................... 156,600 10,541,137
General Mills, Inc............................... 40,600 1,530,112
H.J. Heinz Co.................................... 85,500 3,580,312
Hershey Foods Corp............................... 36,000 1,768,500
Nabisco Holdings Corp., Class A.................. 9,300 309,806
PepsiCo, Inc..................................... 179,500 6,203,969
Philip Morris Companies, Inc..................... 601,400 15,824,337
Sara Lee Corp.................................... 194,300 4,711,775
Unilever NV-NY Shares (i)........................ 124,800 6,793,800
--------------
54,108,517
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
16
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
HOUSEHOLD APPLIANCES & FURNISHINGS (0.1%)
Furniture Brands International, Inc.+............ 5,000 $ 97,500
Herman Miller, Inc............................... 1,600 36,600
Leggett & Platt, Inc............................. 64,900 1,391,294
--------------
1,525,394
--------------
HOUSEHOLD PRODUCTS (2.4%)
Clorox Co........................................ 60,800 2,709,400
Kimberly-Clark Corp.............................. 75,600 4,828,950
Procter & Gamble Co.............................. 261,700 28,263,600
Water Pik Technologies, Inc.+.................... 1,730 12,140
--------------
35,814,090
--------------
PERSONAL CARE (0.6%)
Gillette Co...................................... 216,900 8,716,669
--------------
RESTAURANTS & HOTELS (0.3%)
Extended Stay America, Inc.+..................... 3,800 29,212
Hilton Hotels Corp............................... 127,000 1,277,937
Mandalay Resort Group+........................... 4,400 102,575
Mirage Resorts, Inc.+............................ 115,600 1,481,125
Starwood Hotels & Resorts Worldwide, Inc......... 84,300 1,880,944
--------------
4,771,793
--------------
RETAIL (6.4%)
Abercrombie & Fitch Co., Class A+................ 28,600 925,925
Albertson's, Inc................................. 84,800 2,708,300
CompUSA, Inc.+................................... 13,400 78,725
Dayton Hudson Corp............................... 135,000 9,525,937
Federated Department Stores, Inc.+............... 83,600 3,934,425
Footstar, Inc.+.................................. 100 3,319
Gap, Inc......................................... 227,300 9,205,650
Hasbro, Inc...................................... 28,800 621,000
Home Depot, Inc.................................. 131,300 10,380,906
J.C. Penney, Inc................................. 69,100 1,541,794
Kmart Corp....................................... 144,900 1,439,944
Kroger Co.+...................................... 245,000 5,221,562
Mattel, Inc...................................... 154,600 2,212,712
May Department Stores Co......................... 88,700 2,982,537
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RETAIL (CONTINUED)
Nordstrom, Inc................................... 32,600 $ 906,687
Reebok International Ltd. (ADR) (i)+............. 6,900 62,100
Safeway, Inc.+................................... 142,100 5,239,937
Sears, Roebuck & Co.............................. 91,000 3,111,062
TJX Companies, Inc............................... 109,200 2,859,675
Wal-Mart Stores, Inc............................. 557,200 32,108,650
--------------
95,070,847
--------------
TOTAL CONSUMER GOODS & SERVICES................ 318,758,857
--------------
ENERGY (5.7%)
GAS EXPLORATION (0.0%)
Union Pacific Resources Group, Inc............... 42,400 553,850
--------------
OIL-PRODUCTION (5.5%)
Chevron Corp..................................... 89,600 7,935,200
Conoco, Inc., Class A............................ 21,000 552,562
Conoco, Inc., Class B............................ 81,300 2,129,044
Exxon Corp....................................... 348,300 27,624,544
Mobil Corp....................................... 170,200 17,753,987
Phillips Petroleum Co............................ 41,400 1,979,437
Royal Dutch Petroleum Co. - NY Shares (i)........ 339,500 19,691,000
Tosco Corp....................................... 64,100 1,734,706
Ultramar Diamond Shamrock Corp................... 30,700 777,094
Valero Energy Corp............................... 24,500 508,375
--------------
80,685,949
--------------
OIL-SERVICES (0.2%)
Cooper Cameron Corp.+............................ 20,800 891,800
ENSCO International, Inc......................... 22,400 449,400
Global Marine, Inc.+............................. 67,500 1,033,594
Input/Output, Inc.+.............................. 10,300 55,362
R&B Falcon Corp.................................. 74,900 926,887
Smith International, Inc.+....................... 8,100 322,987
--------------
3,680,030
--------------
TOTAL ENERGY................................... 84,919,829
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
17
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FINANCE (14.1%)
BANKING (7.9%)
AmSouth Bancorporation........................... 86,700 $ 1,956,169
Associated Banc - Corp........................... 13,900 542,969
Astoria Financial Corp........................... 18,700 589,634
BancWest Corp.................................... 6,400 282,000
Bank of America Corp............................. 393,800 23,037,300
Bank One Corp.................................... 290,800 10,250,700
Charter One Financial, Inc....................... 50,400 1,093,050
Citigroup, Inc................................... 345,100 18,346,497
Colonial BancGroup, Inc.......................... 3,600 41,175
Comerica, Inc.................................... 38,000 2,014,000
Compass Bancshares, Inc.......................... 33,000 837,375
Dime Bancorp, Inc................................ 44,600 813,950
First Tennessee National Corp.................... 33,100 1,088,162
First Union Corp................................. 285,300 11,037,544
First Virginia Banks, Inc........................ 6,100 276,787
Firstar Corp..................................... 46,000 1,196,000
FirstMerit Corp.................................. 18,100 470,034
FleetBoston Financial Corp....................... 131,100 4,957,219
Golden West Financial Corp....................... 12,400 1,251,625
GreenPoint Financial Corp........................ 32,300 817,594
Hibernia Corp., Class A.......................... 36,200 459,287
Huntington Bancshares, Inc....................... 50,300 1,392,681
KeyCorp.......................................... 117,600 3,175,200
M & T Bank Corp.................................. 1,800 846,000
Mercantile Bankshares Corp....................... 15,700 540,178
National City Corp............................... 141,800 3,536,137
North Fork Bancorporation, Inc................... 29,900 601,737
Pacific Century Financial Corp................... 10,700 209,987
Peoples Heritage Financial Group, Inc............ 17,700 299,794
PNC Bank Corp.................................... 86,200 4,805,650
Provident Financial Group, Inc................... 14,600 575,787
Regions Financial Corp........................... 62,500 1,714,844
Southtrust Corp.................................. 40,500 1,571,906
Sovereign Bancorp, Inc........................... 35,500 315,062
Summit Bancorp................................... 39,800 1,298,475
TCF Financial Corp............................... 31,300 886,181
U.S. Bancorp..................................... 195,100 6,669,981
Union Planters Corp.............................. 31,200 1,329,900
Washington Federal, Inc.......................... 1,900 39,662
Washington Mutual, Inc........................... 169,000 4,901,000
Wilmington Trust Corp............................ 4,400 221,650
--------------
116,290,883
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
FINANCIAL SERVICES (3.2%)
Associates First Capital Corp., Class A.......... 166,200 $ 5,526,150
AXA Financial, Inc............................... 70,400 2,367,200
Bear Stearns Companies, Inc...................... 26,400 1,077,450
CIT Group, Inc., Class A......................... 64,800 1,344,600
Countrywide Credit Industries, Inc............... 26,800 753,750
E*TRADE Group, Inc.+............................. 44,300 1,331,769
Federal Home Loan Mortgage Corp.................. 180,200 8,897,375
Federal National Mortgage Association............ 50,400 3,357,900
Finova Group, Inc................................ 16,700 621,031
Goldman Sachs Group, Inc......................... 100,300 7,535,037
Household International, Inc..................... 108,300 4,284,619
Merrill Lynch & Co., Inc......................... 93,200 7,514,250
Ocwen Financial Corp.+........................... 2,300 14,950
Paine Webber Group Inc........................... 32,900 1,289,269
TD Waterhouse Group, Inc.+....................... 89,700 1,575,356
--------------
47,490,706
--------------
INSURANCE (3.0%)
Allstate Corp.................................... 381,800 9,998,387
Ambac Financial Group, Inc....................... 31,600 1,722,200
American International Group, Inc................ 51,900 5,358,675
Aon Corp......................................... 114,300 4,079,081
CIGNA Corp....................................... 58,200 4,786,950
Financial Security Assurance Holdings Ltd........ 3,100 163,719
Fremont General Corp............................. 7,200 36,450
Hartford Financial Services Group, Inc........... 107,900 5,037,581
MBIA, Inc........................................ 47,800 2,390,000
Mercury General Corp............................. 15,100 352,963
Safeco Corp...................................... 58,700 1,390,456
St. Paul Companies, Inc.......................... 101,100 3,051,956
Torchmark Corp................................... 29,700 942,975
Travelers Property Casualty Corp., Class A....... 23,600 786,175
UnumProvident Corp............................... 113,400 3,692,588
--------------
43,790,156
--------------
TOTAL FINANCE.................................. 207,571,745
--------------
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
18
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
HEALTH CARE (10.5%)
BIOTECHNOLOGY (0.1%)
Genzyme Corp.+................................... 25,100 $ 903,600
Human Genome Sciences, Inc.+..................... 5,800 649,600
IDEC Pharmaceuticals Corp.+...................... 4,600 583,050
--------------
2,136,250
--------------
HEALTH SERVICES (0.9%)
Aetna, Inc....................................... 40,000 2,185,000
Columbia / HCA Healthcare Corp................... 153,900 4,193,775
Healthsouth Corp.+............................... 130,700 743,356
Humana, Inc.+.................................... 45,900 321,300
Manor Care, Inc.................................. 40,200 806,513
Tenet Healthcare Corp.+.......................... 94,400 2,106,300
United Healthcare Corp........................... 21,300 1,106,269
Wellpoint Health Networks, Inc.+................. 22,800 1,312,425
--------------
12,774,938
--------------
MEDICAL SUPPLIES (0.5%)
Becton, Dickinson & Co........................... 29,800 812,050
Boston Scientific Corp.+......................... 83,900 1,772,388
Medtronic, Inc................................... 90,700 3,525,963
PE Corp.- PE Biosystems Group.................... 6,300 514,238
St. Jude Medical, Inc............................ 19,200 510,000
--------------
7,134,639
--------------
PHARMACEUTICALS (9.0%)
Abbott Laboratories.............................. 300,800 11,430,400
ALZA Corp.+...................................... 97,500 4,210,781
American Home Products Corp...................... 329,400 17,128,800
Bristol-Myers Squibb Co.......................... 403,400 29,473,413
Eli Lilly & Co................................... 279,800 20,075,650
Forest Laboratories, Inc.+....................... 60,500 3,096,844
Johnson & Johnson................................ 27,900 2,894,625
Merck & Co., Inc................................. 104,600 8,211,100
Monsanto Co...................................... 248,000 10,462,500
Pfizer, Inc...................................... 79,800 2,887,763
Schering-Plough Corp............................. 74,600 3,813,925
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
PHARMACEUTICALS (CONTINUED)
Warner-Lambert Co................................ 203,000 $ 18,206,563
Watson Pharmaceuticals, Inc.+.................... 31,600 1,175,125
--------------
133,067,489
--------------
TOTAL HEALTH CARE.............................. 155,113,316
--------------
INDUSTRIAL PRODUCTS & SERVICES (8.8%)
AEROSPACE (0.5%)
Lockheed Martin Corp............................. 188,100 3,738,488
Raytheon Co., Class A............................ 88,700 2,583,388
Raytheon Co., Class B............................ 29,300 899,144
--------------
7,221,020
--------------
BUILDING MATERIALS (0.1%)
Owens Corning.................................... 16,200 255,150
USG Corp.+....................................... 16,600 823,775
--------------
1,078,925
--------------
CAPITAL GOODS (0.2%)
Eaton Corp....................................... 28,900 2,237,944
Modine Manufacturing Co.......................... 10,000 282,500
PACCAR, Inc...................................... 23,600 970,550
--------------
3,490,994
--------------
COMMERCIAL SERVICES (0.6%)
Cendant Corp.+................................... 418,500 6,931,406
Equifax, Inc..................................... 69,100 1,710,225
Service Corp. International...................... 134,700 1,018,669
--------------
9,660,300
--------------
DIVERSIFIED MANUFACTURING (6.8%)
AlliedSignal, Inc................................ 113,300 6,776,756
B.F.Goodrich Co.................................. 45,900 1,035,619
Cooper Industries, Inc........................... 40,000 1,717,500
Deere & Co....................................... 93,000 3,993,188
Eastman Kodak Co................................. 132,300 8,186,063
General Electric Co.............................. 391,800 50,934,000
Hubbell, Inc., Class B........................... 26,900 749,838
Ingersoll-Rand Co................................ 47,600 2,305,625
ITT Industries, Inc.............................. 52,500 1,830,938
National Service Industries Inc.................. 4,600 135,988
Teledyne Technologies, Inc.+..................... 5 44
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
19
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
DIVERSIFIED MANUFACTURING (CONTINUED)
Tyco International Ltd.(i)....................... 387,600 $ 15,528,225
Xerox Corp....................................... 254,500 6,887,406
--------------
100,081,190
--------------
ELECTRICAL EQUIPMENT (0.3%)
Emerson Electric Co.............................. 61,600 3,511,200
W.W. Grainger, Inc............................... 25,100 1,182,838
--------------
4,694,038
--------------
POLLUTION CONTROL (0.3%)
Waste Management, Inc............................ 231,800 3,766,750
--------------
TEXTILES (0.0%)
Unifi, Inc....................................... 6,500 86,125
--------------
TOTAL INDUSTRIAL PRODUCTS & SERVICES........... 130,079,342
--------------
TECHNOLOGY (23.1%)
COMPUTER PERIPHERALS (1.7%)
EMC Corp.+....................................... 232,600 19,436,638
Lexmark International Group, Inc., Class A+...... 22,700 1,884,100
Quantum Corp.- DLT & Storage Systems+............ 36,000 567,000
Seagate Technology, Inc.+........................ 77,400 2,863,800
--------------
24,751,538
--------------
COMPUTER SOFTWARE (5.6%)
Adobe Systems, Inc............................... 19,800 1,360,013
BMC Software, Inc.+.............................. 54,400 3,961,000
Citrix Systems, Inc.+............................ 19,600 1,859,550
Microsoft Corp.+(s).............................. 808,000 73,565,875
Novell, Inc...................................... 109,300 2,138,181
--------------
82,884,619
--------------
COMPUTER SYSTEMS (3.2%)
Compaq Computer Corp............................. 306,400 7,487,650
Dell Computer Corp.+............................. 275,300 11,837,900
International Business Machines Corp.(s)......... 78,400 8,080,100
Sun Microsystems, Inc.+.......................... 155,400 20,551,650
--------------
47,957,300
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
ELECTRONICS (3.7%)
3Com Corp.+...................................... 105,800 $ 4,212,163
Cisco Systems, Inc.+............................. 553,500 49,365,281
Symbol Technologies, Inc......................... 25,700 1,225,569
--------------
54,803,013
--------------
INFORMATION PROCESSING (1.1%)
Automatic Data Processing, Inc................... 93,300 4,606,688
DoubleClick, Inc.+............................... 7,300 1,168,456
Electronic Data Systems Corp..................... 78,100 5,022,806
Exodus Communications, Inc.+..................... 12,300 1,326,094
First Data Corp.................................. 85,700 3,706,525
--------------
15,830,569
--------------
SEMICONDUCTORS (4.5%)
Applied Materials, Inc.+......................... 60,800 5,924,200
Intel Corp.(s)................................... 570,700 43,765,556
National Semiconductor Corp.+.................... 30,400 1,292,000
Texas Instruments, Inc........................... 132,000 12,680,250
Xilinx, Inc.+.................................... 24,500 2,192,750
--------------
65,854,756
--------------
TELECOMMUNICATIONS-EQUIPMENT (3.3%)
Lucent Technologies, Inc......................... 499,500 36,494,719
Motorola, Inc.................................... 103,400 11,813,450
--------------
48,308,169
--------------
TOTAL TECHNOLOGY............................... 340,389,964
--------------
TRANSPORTATION (0.7%)
AIRLINES (0.2%)
AMR Corp.+....................................... 26,600 1,619,275
Northwest Airlines Corp.+........................ 14,400 337,500
Southwest Airlines Co............................ 28,500 464,906
--------------
2,421,681
--------------
RAILROADS (0.5%)
Burlington Northern Railroad Co.................. 79,400 2,302,600
CSX Corp......................................... 35,600 1,266,025
Norfolk Southern Corp............................ 63,900 1,365,863
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
20
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
RAILROADS (CONTINUED)
Union Pacific Corp............................... 62,100 $ 2,922,581
Wisconsin Central Transportation Corp.+.......... 1,800 25,256
--------------
7,882,325
--------------
TRUCK & FREIGHT CARRIERS (0.0%)
CNF Transportation, Inc.......................... 7,700 256,025
Consolidated Freightways Corp.+.................. 100 913
Ryder System, Inc................................ 10,700 241,419
United Parcel Service, Inc., Class B............. 3,900 257,644
--------------
756,001
--------------
TOTAL TRANSPORTATION........................... 11,060,007
--------------
UTILITIES (9.7%)
ELECTRIC (2.1%)
Allegheny Energy, Inc............................ 33,300 965,700
Carolina Power & Light Co........................ 80,900 2,437,113
Central & South West Corp........................ 152,300 3,046,000
Cinergy Corp..................................... 42,200 1,068,188
CMS Energy Corp.................................. 33,900 1,127,175
Constellation Energy Group....................... 42,000 1,236,375
Dominion Resources, Inc.+(i)..................... 59,400 2,695,275
DTE Energy Co.................................... 42,000 1,388,625
Entergy Corp..................................... 85,500 2,356,594
FPL Group, Inc................................... 48,400 2,117,500
GPU, Inc......................................... 8,200 262,400
NiSource, Inc.................................... 33,700 633,981
Northern States Power Co......................... 103,300 2,111,194
PG&E Corp........................................ 116,200 2,599,975
Pinnacle West Capital Corp....................... 24,500 813,094
PP&L Resources, Inc.............................. 53,100 1,224,619
TECO Energy, Inc................................. 38,100 762,000
Texas Utilities Co............................... 82,200 2,943,788
USEC, Inc........................................ 51,500 424,875
Wisconsin Energy Corp............................ 33,200 659,850
--------------
30,874,321
--------------
NATURAL GAS (0.2%)
Columbia Energy Group............................ 26,400 1,656,600
Consolidated Natural Gas Co...................... 19,900 1,276,088
--------------
2,932,688
--------------
<CAPTION>
SECURITY DESCRIPTION SHARES VALUE
- ------------------------------------------------- ------------ ---------------
<S> <C> <C>
TELEPHONE (7.4%)
Global Crossing Ltd.+(i)......................... 142,600 $ 6,220,925
AT&T Corp........................................ 200,100 11,180,588
Bell Atlantic Corp............................... 142,100 8,996,706
GTE Corp......................................... 190,600 13,913,800
Level 3 Communications, Inc.+.................... 65,300 4,428,156
MCI WorldCom, Inc.+.............................. 382,200 31,603,163
SBC Communications, Inc.......................... 622,700 32,341,481
--------------
108,684,819
--------------
TOTAL UTILITIES................................ 142,491,828
--------------
TOTAL COMMON STOCKS (COST $1,282,953,282)...... 1,428,822,229
--------------
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT
------------
<S> <C> <C>
FIXED INCOME SECURITIES (0.2%)
U.S. TREASURY OBLIGATIONS (0.2%)
U.S. TREASURY NOTES (0.2%)
5.38% due 07/31/00 (s) (cost $3,289,312)......... $ 3,289,312 3,282,301
--------------
</TABLE>
<TABLE>
<CAPTION>
SHORT-TERM INVESTMENTS (3.6%)
<S> <C> <C>
OTHER INVESTMENT COMPANIES (3.6%)
J.P. Morgan Institutional Prime Money Market
(cost $52,762,901)............................. 52,762,901 52,762,901
--------------
TOTAL INVESTMENTS (COST $1,339,005,495) (100.6%)...............
1,484,867,432
LIABILITIES IN EXCESS OF OTHER ASSETS (-0.6%)..................
(8,612,693)
--------------
NET ASSETS (100.0%)............................................ $1,476,254,739
==============
</TABLE>
- ------------------------------
Note: The cost of investments for federal income tax purposes at November 30,
1999 was $1,340,684,785; the aggregate gross unrealized appreciation and
depreciation was $241,950,097 and $97,767,450 respectively, resulting in net
unrealized appreciation of $144,182,647.
+ - Non-income producing security.
(s) - Security is fully or partially segregated with custodian as collateral for
futures contracts or with brokers as initial margin for futures contracts.
Total market value of securities segregated is $50,113,804.
(i) - Foreign security.
ADR - American Depositary Receipt.
The Accompanying Notes are an Integral Part of the Financial Statements.
21
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C>
ASSETS
Investments at Value (Cost $1,339,005,495 ) $1,484,867,432
Receivable for Investments Sold 14,173,795
Dividends and Interest Receivable 2,155,520
Deferred Organization Expenses 3,617
Prepaid Trustees' Fees 444
Prepaid Expenses and Other Assets 32,735
--------------
Total Assets 1,501,233,543
--------------
LIABILITIES
Payable to Custodian 2,182,597
Payable for Investments Purchased 21,633,417
Variation Margin Payable 617,899
Advisory Fee Payable 425,110
Custody Fee Payable 47,916
Administrative Services Fee Payable 30,157
Administration Fee Payable 1,283
Fund Services Fee Payable 814
Accrued Expenses 39,611
--------------
Total Liabilities 24,978,804
--------------
NET ASSETS
Applicable to Investors' Beneficial Interests $1,476,254,739
==============
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
22
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF OPERATIONS (UNAUDITED)
FOR THE SIX MONTHS ENDED NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
<TABLE>
<S> <C> <C>
INVESTMENT INCOME
Dividend Income (Net of Foreign Withholding Tax
of $38,475) $ 8,696,773
Interest Income 839,555
-----------
Investment Income 9,536,328
EXPENSES
Advisory Fee $ 2,310,282
Administrative Services Fee 167,661
Custodian Fees and Expenses 126,945
Professional Fees and Expenses 23,891
Fund Services Fee 11,507
Administration Fee 7,683
Trustees' Fees and Expenses 5,278
Printing Expenses 4,333
Amortization of Organization Expense 869
Insurance Expense 675
-----------
Total Expenses 2,659,124
-----------
NET INVESTMENT INCOME 6,877,204
NET REALIZED GAIN/(LOSS) ON
Investments 42,280,764
Futures (1,767,221)
-----------
Net Realized Gain 40,513,543
NET CHANGE IN UNREALIZED APPRECIATION OF
Investments 12,727,698
Futures 2,198,347
-----------
Net Change in Unrealized Appreciation 14,926,045
-----------
NET INCREASE IN NET ASSETS RESULTING FROM
OPERATIONS $62,316,792
===========
</TABLE>
The Accompanying Notes are an Integral Part of the Financial Statements.
23
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE SIX
MONTHS ENDED FOR THE FISCAL
NOVEMBER 30, 1999 YEAR ENDED
(UNAUDITED) MAY 31, 1999
----------------- --------------
<S> <C> <C>
INCREASE IN NET ASSETS
FROM OPERATIONS
Net Investment Income $ 6,877,204 $ 7,760,571
Net Realized Gain on Investments and Futures
Contracts 40,513,543 34,862,292
Net Change in Unrealized Appreciation of
Investments and Futures Contracts 14,926,045 97,213,895
---------------- --------------
Net Increase in Net Assets Resulting from
Operations 62,316,792 139,836,758
---------------- --------------
TRANSACTIONS IN INVESTORS' BENEFICIAL INTERESTS
Contributions 429,513,024 796,144,084
Withdrawals (144,258,533) (121,433,323)
---------------- --------------
Net Increase from Investors' Transactions 285,254,491 674,710,761
---------------- --------------
Total Increase in Net Assets 347,571,283 814,547,519
NET ASSETS
Beginning of Period 1,128,683,456 314,135,937
---------------- --------------
End of Period $ 1,476,254,739 $1,128,683,456
================ ==============
</TABLE>
- --------------------------------------------------------------------------------
FINANCIAL HIGHLIGHTS
- --------------------------------------------------------------------------------
<TABLE>
<CAPTION>
FOR THE FOR THE PERIOD
FOR THE FISCAL YEAR DECEMBER 30, 1996
SIX MONTHS ENDED ENDED MAY 31, (COMMENCEMENT OF
NOVEMBER 30, 1999 -------------- OPERATIONS) THROUGH
(UNAUDITED) 1999 1998 MAY 31, 1997
----------------- ------ ------ -------------------
<S> <C> <C> <C> <C>
RATIOS TO AVERAGE NET ASSETS
Net Expenses 0.40%(a) 0.42% 0.45% 0.45%(a)
Net Investment Income 1.04%(a) 1.18% 1.27% 1.54%(a)
Expenses without Reimbursement 0.40%(a) 0.42% 0.51% 0.78%(a)
Portfolio Turnover 28.64% 50.64% 60.59% 20.47%
</TABLE>
- ------------------------
(a) Annualized.
(b) Not Annualized.
The Accompanying Notes are an Integral Part of the Financial Statements.
24
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
1. ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
The Disciplined Equity Portfolio (the "portfolio") is one of five subtrusts
(portfolios) comprising The Series Portfolio (the "series portfolio"). The
series portfolio is registered under the Investment Company Act of 1940, as
amended, as a no-load open-end management investment company which was organized
as a trust under the laws of the State of New York on June 24, 1994. The
portfolio commenced operations on December 30, 1996. The portfolio's investment
objective is to provide a high total return from a broadly diversified portfolio
of equity securities. The Declaration of Trust permits the trustees to issue an
unlimited number of beneficial interests in the portfolio.
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 portfolio:
a) The value of each security for which readily available market quotations
exist is based on a decision as to the broadest and most representative
market for such security. The value of such security will be based either
on the last sale price on a national securities exchange, or, in the
absence of recorded sales, at the average of readily available closing bid
and asked prices on such exchanges. Securities listed on a foreign
exchange are valued at the last quoted sale price available before the
time when net assets are valued. Unlisted securities are valued at the
average of the quoted bid and asked prices in the over-the-counter market.
Securities or other assets for which market quotations are not readily
available are valued at fair value in accordance with procedures
established by the portfolio's trustees. Such procedures include the use
of independent pricing services, which use prices based upon yields or
prices of securities of comparable quality, coupon, maturity and type;
indications as to values from dealers; and general market conditions. All
short-term portfolio securities with a remaining maturity of less than 60
days are valued by the amortized cost method.
The portfolio's custodian takes possession of the collateral pledged for
investments in repurchase agreements on behalf of the portfolio. It is the
policy of the portfolio 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 portfolio 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.
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 become 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) The portfolio incurred organization expenses in the amount of $9,049.
Morgan Guaranty Trust Company of New York ("Morgan"), a wholly owned
subsidiary of J.P. Morgan & Co. Incorporated
25
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
("J.P. Morgan"), has agreed to pay the organization expenses of the
portfolio. The portfolio has agreed to reimburse Morgan for these costs
which are being deferred and amortized on a straight-line basis over a
period not to exceed five years beginning with the commencement of
operations of the portfolio.
d) Expenses incurred by the series portfolio with respect to any two or more
portfolios in the series portfolio are allocated in proportion to the net
assets of each portfolio in the series portfolio, except where allocations
of direct expenses to each portfolio can otherwise be made fairly.
Expenses directly attributable to a portfolio are charged to that
portfolio.
e) Futures -- A futures contract is an agreement to purchase/sell a specified
quantity of an underlying instrument at a specified future date or to
make/receive a cash payment based on the value of a securities index. The
price at which the purchase and sale will take place is fixed when the
portfolio enters into the contract. Upon entering into such a contract,
the portfolio is required to pledge to the broker an amount of cash and/or
liquid securities equal to the minimum "initial margin" requirements of
the exchange. Pursuant to the contract, the portfolio agrees to receive
from, or pay to, the broker an amount of cash equal to the daily
fluctuation in value of the contract. Such receipts or payments are known
as "variation margin" and are recorded by the portfolio as unrealized
gains or losses. When the contract is closed, the portfolio records a
realized gain or loss equal to the difference between the value of the
contract at the time it was opened and the value at the time when it was
closed. The portfolio invests in futures contracts for the purpose of
hedging its existing portfolio securities, or securities the portfolio
intends to purchase, against fluctuations in value caused by changes in
prevailing market interest rates or securities movements. The use of
futures transactions involves the risk of imperfect correlation in
movements in the price of futures contracts, interest rates and the
underlying hedged assets.
f) The portfolio intends to be treated as a partnership for federal income
tax purposes. As such, each investor in the portfolio will be taxed on its
share of the portfolio's ordinary income and capital gains. It is intended
that the portfolio's assets will be managed in such a way that an investor
in the portfolio will be able to satisfy the requirements of Subchapter M
of the Internal Revenue Code.
2. TRANSACTIONS WITH AFFILIATES
a) Prior to October 1, 1998, the portfolio had an Investment Advisory
Agreement with Morgan. Under the terms of the agreement, the portfolio
paid Morgan at an annual rate of 0.35% of the portfolio's average daily
net assets. Effective October 1, 1998, the portfolio's Investment Advisor
is J.P. Morgan Investment Management Inc. ("JPMIM"), an affiliate of
Morgan and a wholly owned subsidiary of J.P. Morgan, and the terms of the
agreement will remain the same. At November 30, 1999, such fees amounted
to $2,310,282.
The portfolio 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.
26
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
The Advisor has agreed to reimburse its advisory fee from the portfolio in
an amount to offset any doubling of investment advisory and shareholder
servicing fees. For the six months ended November 30, 1999, J.P. Morgan
has agreed to reimburse the portfolio $7,220 under this agreement.
b) The portfolio has retained Funds Distributor, Inc. ("FDI"), a registered
broker-dealer, to serve as the co-administrator and exclusive placement
agent. Under a Co-Administration Agreement between FDI and the portfolio,
FDI provides administrative services necessary for the operations of the
portfolio, furnishes office space and facilities required for conducting
the business of the portfolio and pays the compensation of the officers
affiliated with FDI. The portfolio 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 portfolio is based on
the ratio of the portfolio's net assets to the aggregate net assets of the
portfolio and certain other investment companies subject to similar
agreements with FDI. At November 30, 1999, the fee for these services
amounted to $7,683.
c) The portfolio 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 portfolio. Under the
Services Agreement, the portfolio 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
portfolio and other portfolios for which JPMIM acts as investment advisor
(the "master portfolios") and J.P. Morgan Series Trust in accordance with
the following annual schedule: 0.09% on the first $7 billion of the 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 portfolio is
determined by the proportionate share that its net assets bear to the net
assets of the master portfolios, other investors in the master portfolios
for which Morgan provides similar services, and J.P. Morgan Series Trust.
At November 30, 1999, the fee for these services amounted to $167,661.
In addition, J.P. Morgan has agreed to reimburse the portfolio to the
extent necessary to maintain the total operating expenses of the portfolio
at no more than 0.45% of the average daily net assets of the portfolio
through August 31, 2000. This arrangement can be changed or terminated at
any time at the option of J.P. Morgan. For the six months ended
November 30, 1999, J.P. Morgan did not reimburse expenses under this
agreement.
d) The portfolio has a Fund Services Agreement with Pierpont Group, Inc.
("Group") to assist the trustees in exercising their overall supervisory
responsibilities for the portfolio's affairs. The trustees of the
portfolio represent all the existing shareholders of Group. The
portfolio's allocated portion of Group's costs in performing its services
amounted to $11,507 for the six months ended November 30, 1999.
e) An aggregate annual fee of $75,000 is paid to each trustee for serving as
a trustee of the J.P. Morgan Funds, the J.P. Morgan Institutional Funds,
the master portfolios and J.P. Morgan Series Trust. The Trustees' Fees and
Expenses shown in the financial statements represents the portfolio's
allocated portion of the total fees and expenses. The portfolio's Chairman
and Chief Executive Officer also serves
27
<PAGE>
THE DISCIPLINED EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED)
NOVEMBER 30, 1999
- --------------------------------------------------------------------------------
as Chairman of Group and received 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 $2,400.
3. INVESTMENT TRANSACTIONS
Investment transactions (excluding short-term investments) for the six months
ended November 30, 1999, were as follows:
<TABLE>
<CAPTION>
COST OF PROCEEDS
PURCHASES FROM SALES
- --------- ------------
<S> <C>
$ 649,932,982 $370,790,001
</TABLE>
Futures Transactions as of November 30, 1999 are summarized as follows:
<TABLE>
<CAPTION>
CURRENT MARKET
NET UNREALIZED VALUE
CONTRACTS LONG APPRECIATION OF CONTRACTS
-------------- -------------- --------------
<S> <C> <C> <C>
S & P 500, expiring December 1999................ 131 $ 1,490,789 $ 45,571,625
============= ============= =============
</TABLE>
4. CREDIT AGREEMENT
The portfolio is party to a revolving line of credit agreement (the "Agreement")
as discussed more fully in Note 4 of the fund's Notes to the Financial
Statements which are included elsewhere in the report.
28
<PAGE>
J.P. MORGAN FUNDS
PRIME MONEY MARKET FUND
FEDERAL MONEY MARKET FUND
TAX EXEMPT MONEY MARKET FUND
TAX AWARE ENHANCED INCOME FUND: SELECT SHARES
SHORT TERM BOND FUND
BOND FUND
GLOBAL STRATEGIC INCOME FUND
EMERGING MARKETS DEBT FUND
TAX EXEMPT BOND FUND
NEW YORK TAX EXEMPT BOND FUND
CALIFORNIA BOND FUND: SELECT SHARES
DIVERSIFIED FUND
DISCIPLINED EQUITY FUND
U.S. EQUITY FUND
U.S. SMALL COMPANY FUND
U.S. SMALL COMPANY OPPORTUNITIES FUND
TAX AWARE U.S. EQUITY FUND: SELECT SHARES
INTERNATIONAL EQUITY FUND
EUROPEAN EQUITY FUND
INTERNATIONAL OPPORTUNITIES FUND
EMERGING MARKETS EQUITY FUND
GLOBAL 50 FUND: SELECT SHARES
FOR MORE INFORMATION ON THE J.P. MORGAN FUNDS, CALL J.P. MORGAN FUNDS
SERVICES AT (800) 521-5411.
IM0872-M
J.P. MORGAN DISCIPLINED EQUITY FUND
SEMIANNUAL REPORT
NOVEMBER 30, 1999
