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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08189
J.P. Morgan Fleming Mutual Fund Group, Inc.
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: June 30
Date of reporting period: July 1, 2011 through June 30, 2012
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2012
JPMorgan Growth Advantage Fund
JPMorgan Mid Cap Core Fund
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
JPMorgan Mid Cap Value Fund
JPMorgan Multi-Cap Market Neutral Fund
JPMorgan Value Advantage Fund
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CEO’s Letter | 1 | |||
Market Overview | 2 | |||
3 | ||||
6 | ||||
8 | ||||
10 | ||||
13 | ||||
16 | ||||
19 | ||||
Schedules of Portfolio Investments | 21 | |||
Financial Statements | 52 | |||
Financial Highlights | 70 | |||
Notes to Financial Statements | 84 | |||
Report of Independent Registered Public Accounting Firm | 96 | |||
Trustees | 97 | |||
Officers | 99 | |||
Schedule of Shareholder Expenses | 100 | |||
Tax Letter | 103 | |||
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. 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. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
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“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. stocks outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks. U.S. large-cap growth stocks outperformed U.S. large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 1 |
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J.P. Morgan Mid Cap/Multi-Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. In addition, the U.S. Federal Reserve maintained its commitment to accommodative policies, which also helped support stock prices during the reporting period. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk caused stock prices to decline during the third quarter of 2011 and the second quarter of 2012. Nonetheless, U.S. stocks gained during the reporting period, as the S&P 500 Index returned 5.45% for the twelve months ended June 30, 2012. U.S. mid-cap stocks underperformed the broader U.S. stock market, as the Russell Midcap Index returned -1.65%. U.S. mid-cap value stocks outperformed U.S. mid-cap growth stocks during the reporting period.
2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | 2.26% | |||
Russell 3000 Growth Index | 5.05% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 1,355,557 |
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) underperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the technology and consumer discretionary sectors was the main detractor from relative performance. The Fund’s stock selection in the materials and processing and producer durables sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s overweight positions versus the Benchmark in Polycom, Inc. and Health Net, Inc. Shares of Polycom, Inc. decreased after the communication equipment provider’s estimates for fourth-quarter 2011 revenue growth disappointed investors. Health Net, Inc., an insurer, reported disappointing first-quarter earnings, which caused the stock to decline during the reporting period. The Fund’s underweight position versus the Benchmark in Exxon Mobil Corp. also detracted from relative performance as the energy stock performed strongly relative to its industry peers during the reporting period.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., Sherwin-Williams Co. and W.W. Grainger, Inc. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of W.W. Grainger, Inc., an industrial supply manufacturer, benefited as the company continued to gain market share. In addition, the company raised the low end of its 2011 fiscal year guidance and issued a positive outlook for 2012.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies across market capitalizations in an effort to construct portfolios
of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the financial services sector, while the Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Apple, Inc. | 8.8 | % | |||||
2. | International Business Machines Corp. | 2.3 | ||||||
3. | Biogen Idec, Inc. | 2.1 | ||||||
4. | MasterCard, Inc., Class A | 2.1 | ||||||
5. | QUALCOMM, Inc. | 2.1 | ||||||
6. | Sherwin-Williams Co. (The) | 2.0 | ||||||
7. | Amazon.com, Inc. | 1.8 | ||||||
8. | American Express Co. | 1.6 | ||||||
9. | UnitedHealth Group, Inc. | 1.6 | ||||||
10. | Carlisle Cos., Inc. | 1.6 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 32.9 | % | ||
Consumer Discretionary | 21.9 | |||
Industrials | 13.5 | |||
Health Care | 10.4 | |||
Financials | 8.3 | |||
Energy | 5.2 | |||
Materials | 3.2 | |||
Consumer Staples | 0.5 | |||
Short-Term Investment | 4.1 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 |
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JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 10/29/99 | |||||||||||||||
Without Sales Charge | 2.26 | % | 2.99 | % | 8.73 | % | ||||||||||
With Sales Charge* | (3.06 | ) | 1.89 | 8.14 | ||||||||||||
CLASS B SHARES | 10/29/99 | |||||||||||||||
Without CDSC | 1.74 | 2.43 | 8.15 | |||||||||||||
With CDSC** | (3.26 | ) | 2.06 | 8.15 | ||||||||||||
CLASS C SHARES | 5/1/06 | |||||||||||||||
Without CDSC | 1.86 | 2.45 | 8.06 | |||||||||||||
With CDSC*** | 0.86 | 2.45 | 8.06 | |||||||||||||
CLASS R5 SHARES | 1/8/09 | 2.65 | 3.35 | 8.96 | ||||||||||||
SELECT CLASS SHARES | 5/1/06 | 2.56 | 3.22 | 8.89 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
As of August 17, 2005, the Fund changed its name, investment objective, certain investment policies and benchmark. Prior to that time, the Fund operated as JPMorgan Mid Cap Growth Fund. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to August 17, 2005 might be less pertinent for investors considering whether to purchase shares of the Fund. Returns for the Class C Shares prior to its inception date are based on the performance of Class B Shares, whose expenses are substantially similar to those of Class C Shares. Returns for the Select Class Shares prior to its inception date are based on the performance of Class A Shares. During this period, the actual returns of Select Class Shares would have been different because Select Class Shares have different expenses than Class A Shares. Returns for Class R5 Shares prior to its inception date are based on the performance of Select Class Shares from May 1, 2006 to January 8, 2009 and Class A Shares prior to May 1, 2006. The actual returns of Class R5 Shares would have been different than
those shown because Class R5 Shares have different expenses than Select Class and Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 3000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 Index companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year annual average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 |
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | 0.06% | |||
Russell Midcap Index | -1.65% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 349,522 |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Core Fund (the “Fund”) seeks long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell Midcap Index for the twelve months ended June 30, 2012. The Fund’s stock selection in the consumer discretionary and utilities sectors was the main contributor to relative performance. The Fund’s stock selection in the energy and technology sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in TransDigm Group, Inc., Papa John’s International, Inc., and ProAssurance Corp. Shares of TransDigm Group, Inc., an aerospace and defense company, benefited from the company’s strong quarterly results during the reporting period. Shares of pizza restaurant operator Papa John’s International, Inc. gained after the company increased its expectations for 2011 earnings. Shares of insurer ProAssurance Corp. benefited from the company’s announced installment of a quarterly dividend and its strong earnings.
Individual detractors from relative performance included the Fund’s positions in Patterson-UTI Energy, Inc., NetApp, Inc. and Solera Holdings, Inc. Shares of Patterson-UTI Energy, Inc., an oil well services and equipment company, declined after its estimates for its third-quarter revenue were lower than many investors had expected. Shares of NetApp, Inc., a provider of storage and data management solutions, declined after the company gave a disappointing outlook for its quarterly earnings. Shares of Solera Holdings, Inc. declined after the software and programming company lowered its expectations for its fiscal 2012 revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary
fundamental analysis. The Fund’s portfolio managers invested in companies that, in their view, had leading competitive advantages, predictable and durable business models, sustainable free cash flow generation and management teams committed to increasing intrinsic value.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Jarden Corp. | 3.6 | % | |||||
2. | Devon Energy Corp. | 3.1 | ||||||
3. | Silgan Holdings, Inc. | 3.0 | ||||||
4. | Waste Connections, Inc. | 2.8 | ||||||
5. | UnitedHealth Group, Inc. | 2.8 | ||||||
6. | Chubb Corp. (The) | 2.5 | ||||||
7. | Associated Banc-Corp. | 2.2 | ||||||
8. | Allison Transmission Holdings, Inc. | 2.2 | ||||||
9. | Coventry Health Care, Inc. | 2.0 | ||||||
10. | Reliance Steel & Aluminum Co. | 2.0 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 20.8 | % | ||
Consumer Discretionary | 18.9 | |||
Industrials | 15.4 | |||
Information Technology | 10.6 | |||
Materials | 8.9 | |||
Health Care | 8.1 | |||
Energy | 7.7 | |||
Utilities | 7.2 | |||
Short-Term Investment | 2.4 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||
CLASS A SHARES | 11/30/10 | |||||||||||
Without Sales Charge | (0.19 | )% | 8.93 | % | ||||||||
With Sales Charge* | (5.41 | ) | 5.29 | |||||||||
CLASS C SHARES | 11/30/10 | |||||||||||
Without CDSC | (0.65 | ) | 8.39 | |||||||||
With CDSC** | (1.65 | ) | 8.39 | |||||||||
CLASS R2 SHARES | 11/30/10 | (0.48 | ) | 8.63 | ||||||||
CLASS R5 SHARES | 11/30/10 | 0.28 | 9.44 | |||||||||
CLASS R6 SHARES | 1/31/11 | 0.33 | 9.47 | |||||||||
SELECT CLASS SHARES | 11/30/10 | 0.06 | 9.19 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (11/30/10 To 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-data, month-end performance information please call 1-800-480-4111.
The fund commenced operations on November 30, 2010.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Core Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from November 30, 2010 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund,
such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 |
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | -0.42% | |||
Russell Midcap Index | -1.65% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 821,334 |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the producer durables and materials and processing sectors was the main contributor to relative performance. The Fund’s stock selection in the technology and consumer staples sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Sherwin-Williams Co., TJX Cos., Inc. and Alliance Data Systems Corp. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of TJX Cos., Inc. increased after the retail company raised its expectations for its 2012 earnings. Shares of Alliance Data Systems Corp., a consumer financial services company, increased due to the company’s strong earnings growth and increased expectations for future revenue.
Individual detractors from relative performance included the Fund’s positions in Newfield Exploration Co., Polycom, Inc. and Health Net, Inc. Shares of Newfield Exploration Co. declined after the oil and gas operations company lowered its expectations for its fiscal 2011 natural gas production. Shares of Polycom, Inc. decreased after the communication equipment provider’s estimates for fourth-quarter 2011 revenue growth disappointed investors. Health Net, Inc., an insurer, reported disappointing first-quarter earnings, which caused the stock to decline during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to
identify dominant franchises with predictable business models deemed capable of achieving sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Sherwin-Williams Co. (The) | 1.9 | % | |||||
2. | Carlisle Cos., Inc. | 1.4 | ||||||
3. | T. Rowe Price Group, Inc. | 1.4 | ||||||
4. | Marriott International, Inc., Class A | 1.4 | ||||||
5. | Alliance Data Systems Corp. | 1.3 | ||||||
6. | Bed Bath & Beyond, Inc. | 1.3 | ||||||
7. | Humana, Inc. | 1.2 | ||||||
8. | Cooper Industries plc | 1.0 | ||||||
9. | Concho Resources, Inc. | 1.0 | ||||||
10. | Harley-Davidson, Inc. | 0.9 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Consumer Discretionary | 20.0 | % | ||
Financials | 16.8 | |||
Information Technology | 14.6 | |||
Industrials | 13.8 | |||
Health Care | 10.2 | |||
Materials | 6.2 | |||
Utilities | 5.5 | |||
Energy | 5.4 | |||
Consumer Staples | 3.7 | |||
Telecommunication Services | 0.2 | |||
Short-Term Investment | 3.6 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
8 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/2/09 | |||||||||||||||
Without Sales Charge | (0.76 | )% | 1.70 | % | 8.07 | % | ||||||||||
With Sales Charge* | (5.96 | ) | 0.61 | 7.49 | ||||||||||||
CLASS C SHARES | 11/2/09 | |||||||||||||||
Without CDSC | (1.29 | ) | 1.43 | 7.92 | ||||||||||||
With CDSC** | (2.29 | ) | 1.43 | 7.92 | ||||||||||||
SELECT CLASS SHARES | 1/1/97 | (0.42 | ) | 1.89 | 8.17 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class A and Class C Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index and the Lipper Multi-Cap Core Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Multi-Cap Core Funds Index is an index based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | -6.31% | |||
Russell Midcap Growth Index | -2.99% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 1,426,816 |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital and secondarily, current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the technology and consumer staples sectors was the main detractor from relative performance. The Fund’s stock selection in the producer durables and materials and processing sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Polycom, Inc., Health Net, Inc. and Newfield Exploration Co. Shares of Polycom, Inc. decreased after the communication equipment provider’s estimates for fourth-quarter 2011 revenue growth disappointed investors. Health Net, Inc., an insurer, reported disappointing first-quarter earnings, which caused the stock to decline during the reporting period. Shares of Newfield Exploration Co. declined after the oil and gas operations company lowered its expectations for its fiscal 2011 natural gas production.
Individual contributors to relative performance included the Fund’s positions in Alliance Data Systems Corp., Sherwin-Williams Co. and Michael Kors Holdings Ltd. Shares of Alliance Data Systems Corp., a consumer financial services company, increased due to the company’s strong earnings growth and increased expectations for future revenue. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of Michael Kors Holdings Ltd. benefited after the retail company increased its expectations for revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest
in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the producer durables sector and the Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Alliance Data Systems Corp. | 2.6 | % | |||||
2. | Sherwin-Williams Co. (The) | 2.5 | ||||||
3. | Concho Resources, Inc. | 1.9 | ||||||
4. | Harley-Davidson, Inc. | 1.9 | ||||||
5. | Avago Technologies Ltd., (Singapore) | 1.8 | ||||||
6. | Pall Corp. | 1.8 | ||||||
7. | Perrigo Co. | 1.7 | ||||||
8. | Bed Bath & Beyond, Inc. | 1.7 | ||||||
9. | Carlisle Cos., Inc. | 1.7 | ||||||
10. | Dick’s Sporting Goods, Inc. | 1.7 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 22.7 | % | ||
Consumer Discretionary | 19.9 | |||
Industrials | 18.6 | |||
Health Care | 15.2 | |||
Financials | 7.8 | |||
Energy | 5.8 | |||
Materials | 4.8 | |||
Consumer Staples | 1.1 | |||
Short-Term Investment | 4.1 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | (6.61 | )% | 1.23 | % | 6.41 | % | ||||||||||
With Sales Charge* | (11.50 | ) | 0.14 | 5.84 | ||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | (7.08 | ) | 0.66 | 5.85 | ||||||||||||
With CDSC** | (12.08 | ) | 0.27 | 5.85 | ||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | (7.06 | ) | 0.66 | 5.75 | ||||||||||||
With CDSC*** | (8.06 | ) | 0.66 | 5.75 | ||||||||||||
CLASS R2 SHARES | 6/19/09 | (6.72 | ) | 1.07 | 6.23 | |||||||||||
CLASS R5 SHARES | 11/1/11 | (6.18 | ) | 1.55 | 6.71 | |||||||||||
CLASS R6 SHARES | 11/1/11 | (6.14 | ) | 1.56 | 6.72 | |||||||||||
SELECT CLASS SHARES | 3/2/89 | (6.31 | ) | 1.52 | 6.70 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Select Class Shares. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index and the Lipper Mid-Cap Growth Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect
the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index is an index based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 11 |
Table of Contents
JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
12 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Institutional Class Shares)* | 5.43% | |||
Russell Midcap Value Index | -0.37% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 7,809,547 |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s relative outperformance versus the Benchmark was primarily driven by positive stock selection in the consumer discretionary sector. The Fund’s underweight versus the Benchmark in the consumer staples sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Sherwin-Williams Co., TJX Cos., Inc. and Expedia, Inc. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of TJX Cos., Inc. increased after the retail company raised its expectations for its 2012 earnings. Shares of Expedia, Inc., an online travel company, benefited from the company’s better-than-expected first-quarter results.
Individual detractors from the Fund’s relative performance included the Fund’s positions in Cablevision Systems Corp., Newfield Exploration Co. and Tiffany & Co. Shares of Cablevision Systems Corp. declined after the television company announced disappointing quarterly results. Shares of Newfield Exploration Co. declined after the oil and gas operations company lowered its expectations for its fiscal 2011 natural gas production. Shares of Tiffany & Co. declined after the jewelry company lowered its expectations for 2012 net sales.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate sustainable levels of free cash flow. The Fund’s portfolio managers believed that these types of companies should perform relatively well in what they view as a slow but sustainable economic recovery in the United States. The Fund’s largest overweight continued to be in the
consumer discretionary sector. The Fund’s portfolio managers sought to own retailers with strong brands and business models that produce recurring revenue, believing that these factors, coupled with lower levels of capital spending, should contribute to their sustainable generation of free cash flow.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Loews Corp. | 1.8 | % | |||||
2. | Republic Services, Inc. | 1.7 | ||||||
3. | Marsh & McLennan Cos., Inc. | 1.6 | ||||||
4. | Ball Corp. | 1.6 | ||||||
5. | Energen Corp. | 1.5 | ||||||
6. | Ameriprise Financial, Inc. | 1.5 | ||||||
7. | Marriott International, Inc., Class A | 1.4 | ||||||
8. | Northeast Utilities | 1.4 | ||||||
9. | Sempra Energy | 1.3 | ||||||
10. | Kohl’s Corp. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 25.5 | % | ||
Consumer Discretionary | 20.0 | |||
Utilities | 11.1 | |||
Industrials | 8.8 | |||
Materials | 7.6 | |||
Information Technology | 6.3 | |||
Consumer Staples | 6.3 | |||
Energy | 5.1 | |||
Health Care | 5.0 | |||
Telecommunication Services | 0.4 | |||
Short-Term Investment | 3.9 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 |
Table of Contents
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 4/30/01 | |||||||||||||||
Without Sales Charge | 4.92 | % | 2.01 | % | 8.80 | % | ||||||||||
With Sales Charge* | (0.58 | ) | 0.91 | 8.21 | ||||||||||||
CLASS B SHARES | 4/30/01 | |||||||||||||||
Without CDSC | 4.40 | 1.49 | 8.31 | |||||||||||||
With CDSC** | (0.60 | ) | 1.11 | 8.31 | ||||||||||||
CLASS C SHARES | 4/30/01 | |||||||||||||||
Without CDSC | 4.38 | 1.49 | 8.20 | |||||||||||||
With CDSC*** | 3.38 | 1.49 | 8.20 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 4.65 | 1.82 | 8.70 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 11/13/97 | 5.43 | 2.52 | 9.34 | ||||||||||||
SELECT CLASS SHARES | 10/31/01 | 5.20 | 2.27 | 9.08 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect
reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index are indexes based on total returns of certain groups of mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Select Class Shares)* | -0.91% | |||
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 513,640 |
INVESTMENT OBJECTIVE**
The JPMorgan Multi-Cap Market Neutral Fund (the “Fund”) seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index for the twelve months ended June 30, 2012.
The Fund’s portfolio managers employed a quantitative bottom-up approach to their stock selection process, focusing on both valuation and fundamentals. The valuation stock selection model seeks to determine how a stock is priced relative to what the Fund’s portfolio managers believe is its intrinsic value by considering valuation factors such as a company’s cash flow and price-to-book values. The fundamentals stock selection model attempts to identify how healthy a company’s short-term operating trends are, using metrics such as stock price momentum and earnings momentum.
During the reporting period, the Fund’s stock selection process produced a negative return for the Fund. As a result of the Fund’s quantitative bottom-up stock selection process, the Fund experienced negative returns in the health care and consumer sectors and positive returns in the financial, technology, industrial sectors.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers ranked stocks within a universe of approximately 1,300 large-cap, mid-cap and small-cap
stocks. The Fund’s portfolio managers sought to go long on what they perceived to be inexpensive stocks with improving fundamentals and short on expensive stocks with deteriorating fundamentals. They continued to use strategies designed to produce returns that are intended to have no correlation with general domestic market performance.
TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
1. | CMS Energy Corp. | 0.4 | % | |||||
2. | U.S. Airways Group, Inc. | 0.4 | ||||||
3. | Discover Financial Services | 0.4 | ||||||
4. | Questcor Pharmaceuticals, Inc. | 0.4 | ||||||
5. | Foot Locker, Inc. | 0.4 | ||||||
6. | Portland General Electric Co. | 0.4 | ||||||
7. | Expedia, Inc. | 0.4 | ||||||
8. | East West Bancorp, Inc. | 0.4 | ||||||
9. | Textron, Inc. | 0.4 | ||||||
10. | Brinker International, Inc. | 0.4 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
1. | Vivus, Inc. | 0.5 | % | |||||
2. | NetSuite, Inc. | 0.5 | ||||||
3. | IHS, Inc., Class A | 0.5 | ||||||
4. | McCormick & Co., Inc. (Non-Voting) | 0.5 | ||||||
5. | MDC Holdings, Inc. | 0.5 | ||||||
6. | United Natural Foods, Inc. | 0.5 | ||||||
7. | Shutterfly, Inc. | 0.5 | ||||||
8. | Ashland, Inc. | 0.5 | ||||||
9. | Synovus Financial Corp. | 0.5 | ||||||
10. | Ariad Pharmaceuticals, Inc. | 0.5 |
16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Consumer Discretionary | 16.5 | % | ||
Information Technology | 15.6 | |||
Industrials | 13.3 | |||
Financials | 11.8 | |||
Health Care | 8.8 | |||
Energy | 6.6 | |||
Materials | 5.2 | |||
Utilities | 5.0 | |||
Consumer Staples | 5.0 | |||
Telecommunication Services | 0.5 | |||
Short-Term Investment | 11.7 |
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Information Technology | 16.6 | % | ||
Consumer Discretionary | 15.5 | |||
Industrials | 14.9 | |||
Financials | 13.9 | |||
Health Care | 11.4 | |||
Energy | 8.3 | |||
Materials | 7.4 | |||
Utilities | 6.2 | |||
Consumer Staples | 5.1 | |||
Telecommunication Services | 0.7 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total long investments as of June 30, 2012. The Fund’s composition is subject to change. |
**** | Percentages indicated are based upon total short investments as of June 30, 2012. The Fund’s composition is subject to change. |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 5/23/03 | |||||||||||||||
Without Sales Charge | (1.22 | )% | (1.88 | )% | 1.21 | % | ||||||||||
With Sales Charge* | (6.38 | ) | (2.93 | ) | 0.62 | |||||||||||
CLASS B SHARES | 5/23/03 | |||||||||||||||
Without CDSC | (2.01 | ) | (2.64 | ) | 0.55 | |||||||||||
With CDSC** | (7.01 | ) | (3.08 | ) | 0.55 | |||||||||||
CLASS C SHARES | 5/23/03 | |||||||||||||||
Without CDSC | (1.90 | ) | (2.62 | ) | 0.46 | |||||||||||
With CDSC*** | (2.90 | ) | (2.62 | ) | 0.46 | |||||||||||
SELECT CLASS SHARES | 5/23/03 | (0.91 | ) | (1.64 | ) | 1.46 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
*** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (5/23/03 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on May 23, 2003.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Equity Market-Neutral Funds Average from May 23, 2003 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Equity Market-Neutral Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is
comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. The Lipper Equity Market-Neutral Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because the Class B Shares automatically convert to Class A Shares after eight years, the since inception average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Institutional Class Shares)* | 6.36% | |||
Russell 3000 Value Index | 2.64% | |||
Net Assets as of 6/30/2012 (In Thousands) | $ | 1,132,139 |
INVESTMENT OBJECTIVE**
The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s relative outperformance versus the Benchmark was driven primarily by the Fund’s stock selection in the financials sector. The Fund’s stock selection in the consumer staples sector detracted from the Fund’s relative performance.
Individual contributors to relative performance included the Fund’s positions in Sherwin-Williams Co., Wells Fargo & Co. and Expedia, Inc. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of Wells Fargo & Co. benefited from investors’ optimism surrounding the bank’s competitive positioning and resulting market share gains. Shares of Expedia, Inc., an online travel company, benefited from the company’s better-than-expected first-quarter results.
Individual detractors from the Fund’s relative performance included the Fund’s positions in Walgreen Co., Devon Energy Corp. and Cablevision Systems Corp. Shares of Walgreen Co., a retail drugstore operator, declined due to concerns that the termination of its partnership with pharmacy benefits manager Express Scripts would negatively impact the company’s earnings. Shares of oil and gas operations company Devon Energy Corp. declined due to concerns that slowing economic growth would hurt the demand for oil and natural gas. Shares of Cablevision Systems Corp. declined after the broadcasting and cable TV company announced disappointing quarterly results.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate significant levels of free cash flow. As a result of bottom-up fundamental research, the Fund
was overweight versus the Benchmark in the consumer discretionary sector, where the Fund’s portfolio managers sought to own retailers with strong and recognizable brands, a loyal customer base, recurring revenue streams and lower capital expenditure levels. The Fund was also overweight versus the Benchmark in the financials sector.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
1. | Wells Fargo & Co. | 3.9 | % | |||||
2. | Exxon Mobil Corp. | 3.8 | ||||||
3. | AT&T, Inc. | 2.8 | ||||||
4. | Pfizer, Inc. | 2.7 | ||||||
5. | Loews Corp. | 2.6 | ||||||
6. | Devon Energy Corp. | 2.3 | ||||||
7. | Johnson & Johnson | 1.8 | ||||||
8. | Procter & Gamble Co. (The) | 1.8 | ||||||
9. | Capital One Financial Corp. | 1.6 | ||||||
10. | American International Group, Inc. | 1.6 |
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 33.7 | % | ||
Energy | 12.3 | |||
Consumer Discretionary | 12.1 | |||
Health Care | 11.2 | |||
Utilities | 7.9 | |||
Industrials | 4.6 | |||
Materials | 4.6 | |||
Telecommunication Services | 4.0 | |||
Information Technology | 3.5 | |||
Consumer Staples | 3.4 | |||
Investment Company | 0.6 | |||
Short-Term Investment | 2.1 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
*** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 19 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/28/05 | |||||||||||||||
Without Sales Charge | 5.83 | % | 2.02 | % | 6.26 | % | ||||||||||
With Sales Charge* | 0.26 | 0.93 | 5.48 | |||||||||||||
CLASS C SHARES | 2/28/05 | |||||||||||||||
Without CDSC | 5.32 | 1.51 | 5.73 | |||||||||||||
With CDSC** | 4.32 | 1.51 | 5.73 | |||||||||||||
INSTITUTIONAL CLASS SHARES | 2/28/05 | 6.36 | 2.54 | 6.72 | ||||||||||||
SELECT CLASS SHARES | 2/28/05 | 6.09 | 2.28 | 6.53 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/05 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2005.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from February 28, 2005 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 3000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These
expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Value Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.5% |
| ||||||
Consumer Discretionary — 21.8% |
| |||||||
Auto Components — 1.6% |
| |||||||
647 | Allison Transmission Holdings, Inc. | 11,365 | ||||||
165 | BorgWarner, Inc. (a) | 10,803 | ||||||
|
| |||||||
22,168 | ||||||||
|
| |||||||
Automobiles — 2.1% |
| |||||||
426 | Harley-Davidson, Inc. | 19,495 | ||||||
296 | Tesla Motors, Inc. (a) | 9,271 | ||||||
|
| |||||||
28,766 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.5% |
| |||||||
903 | International Game Technology | 14,216 | ||||||
305 | Las Vegas Sands Corp. | 13,260 | ||||||
381 | Starbucks Corp. | 20,326 | ||||||
|
| |||||||
47,802 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
410 | Toll Brothers, Inc. (a) | 12,195 | ||||||
|
| |||||||
Internet & Catalog Retail — 3.0% |
| |||||||
104 | Amazon.com, Inc. (a) | 23,840 | ||||||
249 | HomeAway, Inc. (a) | 5,410 | ||||||
17 | priceline.com, Inc. (a) | 11,164 | ||||||
|
| |||||||
40,414 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.5% |
| |||||||
288 | Brunswick Corp. | 6,393 | ||||||
|
| |||||||
Media — 2.8% |
| |||||||
416 | DIRECTV, Class A (a) | 20,299 | ||||||
366 | Walt Disney Co. (The) | 17,761 | ||||||
|
| |||||||
38,060 | ||||||||
|
| |||||||
Specialty Retail — 4.8% |
| |||||||
264 | Bed Bath & Beyond, Inc. (a) | 16,284 | ||||||
335 | Home Depot, Inc. (The) | 17,746 | ||||||
202 | PetSmart, Inc. | 13,786 | ||||||
678 | Sally Beauty Holdings, Inc. (a) | 17,442 | ||||||
|
| |||||||
65,258 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.6% |
| |||||||
179 | Lululemon Athletica, Inc., (Canada) (a) | 10,679 | ||||||
368 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 15,414 | ||||||
234 | Wolverine World Wide, Inc. | 9,063 | ||||||
|
| |||||||
35,156 | ||||||||
|
| |||||||
Total Consumer Discretionary | 296,212 | |||||||
|
| |||||||
Consumer Staples — 0.4% |
| |||||||
Personal Products — 0.4% |
| |||||||
124 | Herbalife Ltd., (Cayman Islands) | 5,974 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 5.2% |
| |||||||
Energy Equipment & Services — 1.6% |
| |||||||
334 | Cameron International Corp. (a) | 14,260 | ||||||
114 | Dril-Quip, Inc. (a) | 7,503 | ||||||
|
| |||||||
21,763 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.6% |
| |||||||
214 | Concho Resources, Inc. (a) | 18,190 | ||||||
276 | Laredo Petroleum Holdings, Inc. (a) | 5,735 | ||||||
134 | Pioneer Natural Resources Co. | 11,803 | ||||||
210 | Range Resources Corp. | 13,011 | ||||||
|
| |||||||
48,739 | ||||||||
|
| |||||||
Total Energy | 70,502 | |||||||
|
| |||||||
Financials — 8.3% |
| |||||||
Capital Markets — 0.9% |
| |||||||
205 | T. Rowe Price Group, Inc. | 12,926 | ||||||
|
| |||||||
Commercial Banks — 2.4% |
| |||||||
473 | U.S. Bancorp | 15,199 | ||||||
536 | Wells Fargo & Co. | 17,910 | ||||||
|
| |||||||
33,109 | ||||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
374 | American Express Co. | 21,753 | ||||||
|
| |||||||
Diversified Financial Services — 1.0% |
| |||||||
357 | Moody’s Corp. | 13,052 | ||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
175 | ACE Ltd., (Switzerland) | 12,958 | ||||||
238 | Amtrust Financial Services, Inc. | 7,062 | ||||||
|
| |||||||
20,020 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
348 | Prologis, Inc. | 11,577 | ||||||
|
| |||||||
Total Financials | 112,437 | |||||||
|
| |||||||
Health Care — 10.4% |
| |||||||
Biotechnology — 4.0% |
| |||||||
322 | Aegerion Pharmaceuticals, Inc. (a) | 4,783 | ||||||
117 | Alexion Pharmaceuticals, Inc. (a) | 11,568 | ||||||
199 | Biogen Idec, Inc. (a) | 28,674 | ||||||
161 | Vertex Pharmaceuticals, Inc. (a) | 9,014 | ||||||
|
| |||||||
54,039 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.0% |
| |||||||
302 | Health Net, Inc. (a) | 7,318 | ||||||
144 | Humana, Inc. | 11,120 | ||||||
369 | UnitedHealth Group, Inc. | 21,610 | ||||||
|
| |||||||
40,048 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 |
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — 3.4% |
| |||||||
181 | Allergan, Inc. | 16,783 | ||||||
359 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 16,066 | ||||||
183 | Watson Pharmaceuticals, Inc. (a) | 13,548 | ||||||
|
| |||||||
46,397 | ||||||||
|
| |||||||
Total Health Care | 140,484 | |||||||
|
| |||||||
Industrials — 13.4% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
130 | TransDigm Group, Inc. (a) | 17,515 | ||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
246 | Armstrong World Industries, Inc. | 12,103 | ||||||
|
| |||||||
Electrical Equipment — 1.8% |
| |||||||
260 | Cooper Industries plc | 17,693 | ||||||
99 | Rockwell Automation, Inc. | 6,553 | ||||||
|
| |||||||
24,246 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.6% |
| |||||||
405 | Carlisle Cos., Inc. | 21,447 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
390 | Pall Corp. | 21,365 | ||||||
|
| |||||||
Professional Services — 0.7% |
| |||||||
395 | Nielsen Holdings N.V. (a) | 10,357 | ||||||
|
| |||||||
Road & Rail — 2.1% |
| |||||||
302 | J.B. Hunt Transport Services, Inc. | 18,005 | ||||||
243 | Old Dominion Freight Line, Inc. (a) | 10,520 | ||||||
|
| |||||||
28,525 | ||||||||
|
| |||||||
Trading Companies & Distributors — 3.4% |
| |||||||
438 | Air Lease Corp. (a) | 8,495 | ||||||
58 | MSC Industrial Direct Co., Inc., Class A | 3,778 | ||||||
408 | Rush Enterprises, Inc., Class A (a) | 6,672 | ||||||
83 | W.W. Grainger, Inc. | 15,815 | ||||||
158 | Watsco, Inc. | 11,668 | ||||||
|
| |||||||
46,428 | ||||||||
|
| |||||||
Total Industrials | 181,986 | |||||||
|
| |||||||
Information Technology — 32.8% |
| |||||||
Communications Equipment — 3.7% |
| |||||||
582 | Aruba Networks, Inc. (a) | 8,759 | ||||||
130 | F5 Networks, Inc. (a) | 12,913 | ||||||
505 | QUALCOMM, Inc. | 28,124 | ||||||
|
| |||||||
49,796 | ||||||||
|
| |||||||
Computers & Peripherals — 10.2% |
| |||||||
204 | Apple, Inc. (a) | 119,048 | ||||||
722 | EMC Corp. (a) | 18,508 | ||||||
|
| |||||||
137,556 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — 2.3% |
| |||||||
126 | Facebook, Inc., Class A (a) | 3,915 | ||||||
34 | Google, Inc., Class A (a) | 19,954 | ||||||
167 | Rackspace Hosting, Inc. (a) | 7,316 | ||||||
|
| |||||||
31,185 | ||||||||
|
| |||||||
IT Services — 5.6% |
| |||||||
160 | International Business Machines Corp. | 31,371 | ||||||
66 | MasterCard, Inc., Class A | 28,430 | ||||||
484 | ServiceSource International, Inc. (a) | 6,701 | ||||||
298 | VeriFone Systems, Inc. (a) | 9,851 | ||||||
|
| |||||||
76,353 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.4% |
| |||||||
414 | ARM Holdings plc, (United Kingdom), ADR | 9,842 | ||||||
578 | Avago Technologies Ltd., (Singapore) | 20,750 | ||||||
477 | Lam Research Corp. (a) | 17,994 | ||||||
437 | Microchip Technology, Inc. | 14,456 | ||||||
319 | Xilinx, Inc. | 10,709 | ||||||
|
| |||||||
73,751 | ||||||||
|
| |||||||
Software — 5.6% |
| |||||||
158 | Citrix Systems, Inc. (a) | 13,296 | ||||||
144 | FactSet Research Systems, Inc. | 13,374 | ||||||
214 | MICROS Systems, Inc. (a) | 10,977 | ||||||
569 | Nuance Communications, Inc. (a) | 13,549 | ||||||
214 | Red Hat, Inc. (a) | 12,081 | ||||||
91 | Salesforce.com, Inc. (a) | 12,568 | ||||||
|
| |||||||
75,845 | ||||||||
|
| |||||||
Total Information Technology | 444,486 | |||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Chemicals — 3.2% |
| |||||||
283 | FMC Corp. | 15,135 | ||||||
209 | Sherwin-Williams Co. (The) | 27,608 | ||||||
|
| |||||||
Total Materials | 42,743 | |||||||
|
| |||||||
Total Common Stocks | 1,294,824 | |||||||
|
| |||||||
| Short-Term Investment — 4.1% |
| ||||||
Investment Company — 4.1% |
| |||||||
55,818 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 55,818 | ||||||
|
| |||||||
Total Investments — 99.6% | 1,350,642 | |||||||
Other Assets in Excess of | 4,915 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,355,557 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
JPMorgan Mid Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.6% |
| ||||||
Consumer Discretionary — 18.9% |
| |||||||
Auto Components — 2.2% |
| |||||||
438 | Allison Transmission Holdings, Inc. | 7,695 | ||||||
|
| |||||||
Automobiles — 1.5% |
| |||||||
118 | Harley-Davidson, Inc. | 5,393 | ||||||
|
| |||||||
Distributors — 1.0% |
| |||||||
57 | Genuine Parts Co. | 3,443 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 6.0% |
| |||||||
140 | Brinker International, Inc. | 4,471 | ||||||
82 | Cracker Barrel Old Country Store, Inc. | 5,175 | ||||||
110 | Papa John’s International, Inc. (a) | 5,244 | ||||||
133 | Penn National Gaming, Inc. (a) | 5,951 | ||||||
|
| |||||||
20,841 | ||||||||
|
| |||||||
Household Durables — 3.6% |
| |||||||
302 | Jarden Corp. | 12,675 | ||||||
|
| |||||||
Multiline Retail — 1.6% |
| |||||||
116 | Nordstrom, Inc. | 5,747 | ||||||
|
| |||||||
Specialty Retail — 3.0% |
| |||||||
341 | American Eagle Outfitters, Inc. | 6,734 | ||||||
77 | Dick’s Sporting Goods, Inc. | 3,691 | ||||||
|
| |||||||
10,425 | ||||||||
|
| |||||||
Total Consumer Discretionary | 66,219 | |||||||
|
| |||||||
Energy — 7.7% |
| |||||||
Energy Equipment & Services — 2.7% |
| |||||||
387 | Patterson-UTI Energy, Inc. | 5,632 | ||||||
81 | Tidewater, Inc. | 3,737 | ||||||
|
| |||||||
9,369 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
122 | Cimarex Energy Co. | 6,717 | ||||||
188 | Devon Energy Corp. | 10,884 | ||||||
|
| |||||||
17,601 | ||||||||
|
| |||||||
Total Energy | 26,970 | |||||||
|
| |||||||
Financials — 20.9% |
| |||||||
Capital Markets — 7.2% |
| |||||||
32 | BlackRock, Inc. | 5,502 | ||||||
54 | Franklin Resources, Inc. | 6,016 | ||||||
311 | HFF, Inc., Class A (a) | 4,341 | ||||||
332 | Janus Capital Group, Inc. | 2,600 | ||||||
398 | TD Ameritrade Holding Corp. | 6,770 | ||||||
|
| |||||||
25,229 | ||||||||
|
| |||||||
Commercial Banks — 4.0% |
| |||||||
595 | Associated Banc-Corp. | 7,842 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
177 | First Republic Bank (a) | 5,939 | ||||||
|
| |||||||
13,781 | ||||||||
|
| |||||||
Insurance — 4.5% |
| |||||||
122 | Chubb Corp. (The) | 8,866 | ||||||
76 | ProAssurance Corp. | 6,809 | ||||||
|
| |||||||
15,675 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 5.2% |
| |||||||
97 | Mid-America Apartment Communities, Inc. | 6,604 | ||||||
209 | National Retail Properties, Inc. | 5,926 | ||||||
313 | RLJ Lodging Trust | 5,667 | ||||||
|
| |||||||
18,197 | ||||||||
|
| |||||||
Total Financials | 72,882 | |||||||
|
| |||||||
Health Care — 8.1% |
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
50 | IDEXX Laboratories, Inc. (a) | 4,776 | ||||||
|
| |||||||
Health Care Providers & Services — 6.7% |
| |||||||
222 | Coventry Health Care, Inc. | 7,052 | ||||||
71 | Laboratory Corp. of America Holdings (a) | 6,616 | ||||||
166 | UnitedHealth Group, Inc. | 9,727 | ||||||
|
| |||||||
23,395 | ||||||||
|
| |||||||
Total Health Care | 28,171 | |||||||
|
| |||||||
Industrials — 15.4% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
39 | TransDigm Group, Inc. (a) | 5,302 | ||||||
|
| |||||||
Commercial Services & Supplies — 4.3% |
| |||||||
284 | Herman Miller, Inc. | 5,258 | ||||||
331 | Waste Connections, Inc. | 9,912 | ||||||
|
| |||||||
15,170 | ||||||||
|
| |||||||
Electrical Equipment — 1.5% |
| |||||||
81 | Regal-Beloit Corp. | 5,052 | ||||||
|
| |||||||
Machinery — 5.5% |
| |||||||
46 | Cummins, Inc. | 4,448 | ||||||
99 | Joy Global, Inc. | 5,594 | ||||||
255 | Rexnord Corp. (a) | 5,102 | ||||||
54 | Toro Co. (The) | 3,949 | ||||||
|
| |||||||
19,093 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
71 | Norfolk Southern Corp. | 5,121 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
21 | W.W. Grainger, Inc. | 3,959 | ||||||
|
| |||||||
Total Industrials | 53,697 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 23 |
Table of Contents
JPMorgan Mid Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Information Technology — 10.5% |
| |||||||
Computers & Peripherals — 1.5% |
| |||||||
162 | NetApp, Inc. (a) | 5,168 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.5% |
| |||||||
102 | Anixter International, Inc. | 5,404 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
149 | Freescale Semiconductor Ltd. (a) | 1,528 | ||||||
162 | Linear Technology Corp. | 5,068 | ||||||
340 | Marvell Technology Group Ltd., (Bermuda) | 3,834 | ||||||
|
| |||||||
10,430 | ||||||||
|
| |||||||
Software — 4.5% |
| |||||||
53 | Citrix Systems, Inc. (a) | 4,474 | ||||||
125 | MICROS Systems, Inc. (a) | 6,389 | ||||||
120 | Solera Holdings, Inc. | 5,010 | ||||||
|
| |||||||
15,873 | ||||||||
|
| |||||||
Total Information Technology | 36,875 | |||||||
|
| |||||||
Materials — 8.9% |
| |||||||
Chemicals — 2.0% |
| |||||||
51 | Airgas, Inc. | 4,272 | ||||||
70 | Scotts Miracle-Gro Co. (The), Class A | 2,877 | ||||||
|
| |||||||
7,149 | ||||||||
|
| |||||||
Containers & Packaging — 4.9% |
| |||||||
195 | Crown Holdings, Inc. (a) | 6,717 | ||||||
244 | Silgan Holdings, Inc. | 10,432 | ||||||
|
| |||||||
17,149 | ||||||||
|
| |||||||
Metals & Mining — 2.0% |
| |||||||
136 | Reliance Steel & Aluminum Co. | 6,865 | ||||||
|
| |||||||
Total Materials | 31,163 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 7.2% |
| |||||||
Electric Utilities — 1.4% |
| |||||||
105 | Southern Co. (The) | 4,872 | ||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
47 | Northwest Natural Gas Co. | 2,219 | ||||||
|
| |||||||
Multi-Utilities — 5.2% |
| |||||||
274 | CMS Energy Corp. | 6,449 | ||||||
142 | NorthWestern Corp. | 5,193 | ||||||
162 | Wisconsin Energy Corp. | 6,421 | ||||||
|
| |||||||
18,063 | ||||||||
|
| |||||||
Total Utilities | 25,154 | |||||||
|
| |||||||
Total Common Stocks | 341,131 | |||||||
|
| |||||||
| Short-Term Investment — 2.4% |
| ||||||
Investment Company — 2.4% |
| |||||||
8,465 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 8,465 | ||||||
|
| |||||||
Total Investments — 100.0% | 349,596 | |||||||
Liabilities in Excess of | (74 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 349,522 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.3% |
| ||||||
Consumer Discretionary — 20.0% |
| |||||||
Auto Components — 1.0% |
| |||||||
219 | Allison Transmission Holdings, Inc. | 3,841 | ||||||
68 | BorgWarner, Inc. (a) | 4,427 | ||||||
|
| |||||||
8,268 | ||||||||
|
| |||||||
Automobiles — 1.3% |
| |||||||
167 | Harley-Davidson, Inc. | 7,646 | ||||||
91 | Tesla Motors, Inc. (a) | 2,844 | ||||||
|
| |||||||
10,490 | ||||||||
|
| |||||||
Distributors — 0.5% |
| |||||||
69 | Genuine Parts Co. | 4,150 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% |
| |||||||
61 | Darden Restaurants, Inc. | 3,092 | ||||||
336 | International Game Technology | 5,290 | ||||||
284 | Marriott International, Inc., Class A | 11,137 | ||||||
120 | Royal Caribbean Cruises Ltd. | 3,126 | ||||||
45 | Yum! Brands, Inc. | 2,899 | ||||||
|
| |||||||
25,544 | ||||||||
|
| |||||||
Household Durables — 1.2% |
| |||||||
40 | Jarden Corp. | 1,698 | ||||||
56 | Mohawk Industries, Inc. (a) | 3,938 | ||||||
125 | Toll Brothers, Inc. (a) | 3,725 | ||||||
|
| |||||||
9,361 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
130 | Expedia, Inc. | 6,235 | ||||||
34 | TripAdvisor, Inc. (a) | 1,533 | ||||||
|
| |||||||
7,768 | ||||||||
|
| |||||||
Media — 2.2% |
| |||||||
28 | AMC Networks, Inc., Class A (a) | 1,002 | ||||||
106 | Cablevision Systems Corp., Class A | 1,410 | ||||||
132 | CBS Corp. (Non-Voting), Class B | 4,320 | ||||||
130 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 783 | ||||||
86 | Discovery Communications, Inc., Class A (a) | 4,649 | ||||||
129 | DISH Network Corp., Class A | 3,686 | ||||||
115 | Gannett Co., Inc. | 1,694 | ||||||
2 | Washington Post Co. (The), Class B | 843 | ||||||
|
| |||||||
18,387 | ||||||||
|
| |||||||
Multiline Retail — 1.2% |
| |||||||
70 | Family Dollar Stores, Inc. | 4,621 | ||||||
121 | Kohl’s Corp. | 5,495 | ||||||
|
| |||||||
10,116 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 7.0% |
| |||||||
95 | Abercrombie & Fitch Co., Class A | 3,236 | ||||||
13 | AutoZone, Inc. (a) | 4,810 | ||||||
167 | Bed Bath & Beyond, Inc. (a) | 10,302 | ||||||
143 | Dick’s Sporting Goods, Inc. | 6,850 | ||||||
145 | Gap, Inc. (The) | 3,978 | ||||||
107 | PetSmart, Inc. | 7,309 | ||||||
244 | Sally Beauty Holdings, Inc. (a) | 6,273 | ||||||
60 | Tiffany & Co. | 3,182 | ||||||
104 | TJX Cos., Inc. | 4,478 | ||||||
119 | Urban Outfitters, Inc. (a) | 3,291 | ||||||
110 | Williams-Sonoma, Inc. | 3,836 | ||||||
|
| |||||||
57,545 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
54 | Lululemon Athletica, Inc., (Canada) (a) | 3,202 | ||||||
111 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 4,640 | ||||||
59 | PVH Corp. | 4,574 | ||||||
|
| |||||||
12,416 | ||||||||
|
| |||||||
Total Consumer Discretionary | 164,045 | |||||||
|
| |||||||
Consumer Staples — 3.7% |
| |||||||
Beverages — 1.4% |
| |||||||
85 | Beam, Inc. | 5,337 | ||||||
27 | Brown-Forman Corp., Class B | 2,652 | ||||||
74 | Dr. Pepper Snapple Group, Inc. | 3,250 | ||||||
|
| |||||||
11,239 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
78 | Green Mountain Coffee Roasters, Inc. (a) | 1,703 | ||||||
55 | Hershey Co. (The) | 3,969 | ||||||
37 | JM Smucker Co. (The) | 2,757 | ||||||
60 | Ralcorp Holdings, Inc. (a) | 4,004 | ||||||
|
| |||||||
12,433 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
51 | Energizer Holdings, Inc. (a) | 3,823 | ||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
57 | Herbalife Ltd., (Cayman Islands) | 2,735 | ||||||
|
| |||||||
Total Consumer Staples | 30,230 | |||||||
|
| |||||||
Energy — 5.4% |
| |||||||
Energy Equipment & Services — 0.7% |
| |||||||
129 | Cameron International Corp. (a) | 5,529 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
92 | Concho Resources, Inc. (a) | 7,840 | ||||||
73 | Devon Energy Corp. | 4,239 | ||||||
137 | Energen Corp. | 6,201 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 |
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
90 | EQT Corp. | 4,821 | ||||||
93 | Laredo Petroleum Holdings, Inc. (a) | 1,943 | ||||||
43 | Pioneer Natural Resources Co. | 3,784 | ||||||
77 | QEP Resources, Inc. | 2,302 | ||||||
74 | Range Resources Corp. | 4,603 | ||||||
118 | Williams Cos., Inc. (The) | 3,389 | ||||||
|
| |||||||
39,122 | ||||||||
|
| |||||||
Total Energy | 44,651 | |||||||
|
| |||||||
Financials — 16.7% |
| |||||||
Capital Markets — 4.3% |
| |||||||
116 | Ameriprise Financial, Inc. | 6,036 | ||||||
266 | Blackstone Group LP (The) | 3,479 | ||||||
322 | Charles Schwab Corp. (The) | 4,158 | ||||||
175 | Invesco Ltd. | 3,962 | ||||||
138 | Lazard Ltd., (Bermuda), Class A | 3,597 | ||||||
61 | Northern Trust Corp. | 2,789 | ||||||
179 | T. Rowe Price Group, Inc. | 11,254 | ||||||
|
| |||||||
35,275 | ||||||||
|
| |||||||
Commercial Banks — 3.4% |
| |||||||
81 | BOK Financial Corp. (c) | 4,703 | ||||||
67 | City National Corp. | 3,235 | ||||||
39 | Cullen/Frost Bankers, Inc. | 2,254 | ||||||
346 | Fifth Third Bancorp | 4,642 | ||||||
280 | Huntington Bancshares, Inc. | 1,792 | ||||||
61 | M&T Bank Corp. | 5,020 | ||||||
190 | SunTrust Banks, Inc. | 4,599 | ||||||
107 | Zions Bancorp | 2,070 | ||||||
|
| |||||||
28,315 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
156 | Moody’s Corp. | 5,687 | ||||||
|
| |||||||
Insurance — 5.5% |
| |||||||
16 | Alleghany Corp. (a) | 5,300 | ||||||
37 | Arch Capital Group Ltd., (Bermuda) (a) | 1,484 | ||||||
160 | Axis Capital Holdings Ltd., (Bermuda) | 5,221 | ||||||
54 | Chubb Corp. (The) | 3,896 | ||||||
186 | Loews Corp. | 7,593 | ||||||
204 | Marsh & McLennan Cos., Inc. | 6,568 | ||||||
260 | Old Republic International Corp. | 2,152 | ||||||
116 | OneBeacon Insurance Group Ltd., Class A | 1,505 | ||||||
123 | Unum Group | 2,349 | ||||||
129 | W.R. Berkley Corp. | 5,021 | ||||||
200 | XL Group plc, (Ireland) | 4,197 | ||||||
|
| |||||||
45,286 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — 1.9% |
| |||||||
76 | HCP, Inc. | 3,364 | ||||||
129 | Prologis, Inc. | 4,297 | ||||||
84 | Regency Centers Corp. | 4,015 | ||||||
44 | Vornado Realty Trust | 3,700 | ||||||
|
| |||||||
15,376 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
191 | Brookfield Office Properties, Inc. | 3,325 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5% |
| |||||||
112 | Capitol Federal Financial, Inc. | 1,334 | ||||||
241 | People’s United Financial, Inc. | 2,799 | ||||||
|
| |||||||
4,133 | ||||||||
|
| |||||||
Total Financials | 137,397 | |||||||
|
| |||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 1.5% |
| |||||||
60 | Alexion Pharmaceuticals, Inc. (a) | 5,918 | ||||||
30 | Onyx Pharmaceuticals, Inc. (a) | 2,014 | ||||||
74 | Vertex Pharmaceuticals, Inc. (a) | 4,144 | ||||||
|
| |||||||
12,076 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
33 | Becton, Dickinson & Co. | 2,430 | ||||||
64 | Sirona Dental Systems, Inc. (a) | 2,885 | ||||||
131 | Thoratec Corp. (a) | 4,382 | ||||||
|
| |||||||
9,697 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
105 | AmerisourceBergen Corp. | 4,112 | ||||||
254 | Brookdale Senior Living, Inc. (a) | 4,509 | ||||||
101 | Cigna Corp. | 4,426 | ||||||
116 | Health Net, Inc. (a) | 2,818 | ||||||
19 | Henry Schein, Inc. (a) | 1,507 | ||||||
122 | Humana, Inc. | 9,476 | ||||||
149 | Lincare Holdings, Inc. | 5,054 | ||||||
|
| |||||||
31,902 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.3% |
| |||||||
125 | Agilent Technologies, Inc. | 4,913 | ||||||
214 | Bruker Corp. (a) | 2,847 | ||||||
64 | Illumina, Inc. (a) | 2,604 | ||||||
|
| |||||||
10,364 | ||||||||
|
| |||||||
Pharmaceuticals — 2.3% |
| |||||||
121 | Elan Corp. plc, (Ireland), ADR (a) | 1,758 | ||||||
61 | Perrigo Co. | 7,229 | ||||||
110 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 4,927 |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — Continued |
| |||||||
72 | Watson Pharmaceuticals, Inc. (a) | 5,305 | ||||||
|
| |||||||
19,219 | ||||||||
|
| |||||||
Total Health Care | 83,258 | |||||||
|
| |||||||
Industrials — 13.8% |
| |||||||
Aerospace & Defense — 0.9% |
| |||||||
45 | Alliant Techsystems, Inc. | 2,261 | ||||||
39 | TransDigm Group, Inc. (a) | 5,291 | ||||||
|
| |||||||
7,552 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
76 | Armstrong World Industries, Inc. | 3,731 | ||||||
120 | Fortune Brands Home & Security, Inc. (a) | 2,680 | ||||||
|
| |||||||
6,411 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
261 | Republic Services, Inc. | 6,893 | ||||||
67 | Stericycle, Inc. (a) | 6,119 | ||||||
|
| |||||||
13,012 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
64 | Fluor Corp. | 3,173 | ||||||
|
| |||||||
Electrical Equipment — 2.3% |
| |||||||
89 | AMETEK, Inc. | 4,432 | ||||||
116 | Cooper Industries plc | 7,909 | ||||||
62 | Regal-Beloit Corp. | 3,848 | ||||||
45 | Rockwell Automation, Inc. | 2,959 | ||||||
|
| |||||||
19,148 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
215 | Carlisle Cos., Inc. | 11,398 | ||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
21 | Cummins, Inc. | 2,076 | ||||||
136 | Pall Corp. | 7,443 | ||||||
99 | Rexnord Corp. (a) | 1,984 | ||||||
71 | Snap-on, Inc. | 4,432 | ||||||
51 | Wabtec Corp. | 3,961 | ||||||
|
| |||||||
19,896 | ||||||||
|
| |||||||
Professional Services — 1.2% |
| |||||||
51 | Equifax, Inc. | 2,353 | ||||||
40 | IHS, Inc., Class A (a) | 4,331 | ||||||
121 | Nielsen Holdings N.V. (a) | 3,167 | ||||||
|
| |||||||
9,851 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
111 | J.B. Hunt Transport Services, Inc. | 6,622 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 2.0% |
| |||||||
202 | Air Lease Corp. (a) | 3,919 | ||||||
89 | MSC Industrial Direct Co., Inc., Class A | 5,801 | ||||||
33 | W.W. Grainger, Inc. | 6,215 | ||||||
|
| |||||||
15,935 | ||||||||
|
| |||||||
Total Industrials | 112,998 | |||||||
|
| |||||||
Information Technology — 14.6% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
198 | Aruba Networks, Inc. (a) | 2,972 | ||||||
50 | F5 Networks, Inc. (a) | 4,998 | ||||||
|
| |||||||
7,970 | ||||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
98 | NetApp, Inc. (a) | 3,128 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
95 | Amphenol Corp., Class A | 5,212 | ||||||
118 | Arrow Electronics, Inc. (a) | 3,858 | ||||||
|
| |||||||
9,070 | ||||||||
|
| |||||||
Internet Software & Services — 0.6% |
| |||||||
52 | OpenTable, Inc. (a) | 2,332 | ||||||
64 | Rackspace Hosting, Inc. (a) | 2,803 | ||||||
|
| |||||||
5,135 | ||||||||
|
| |||||||
IT Services — 2.8% |
| |||||||
80 | Alliance Data Systems Corp. (a) | 10,746 | ||||||
115 | FleetCor Technologies, Inc. (a) | 4,023 | ||||||
146 | Jack Henry & Associates, Inc. | 5,033 | ||||||
110 | VeriFone Systems, Inc. (a) | 3,630 | ||||||
|
| |||||||
23,432 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
130 | Analog Devices, Inc. | 4,908 | ||||||
212 | Avago Technologies Ltd., (Singapore) | 7,625 | ||||||
132 | KLA-Tencor Corp. | 6,506 | ||||||
161 | Microchip Technology, Inc. (c) | 5,326 | ||||||
226 | Xilinx, Inc. | 7,594 | ||||||
|
| |||||||
31,959 | ||||||||
|
| |||||||
Software — 4.8% |
| |||||||
77 | Citrix Systems, Inc. (a) | 6,421 | ||||||
55 | FactSet Research Systems, Inc. | 5,112 | ||||||
145 | Fortinet, Inc. (a) | 3,358 | ||||||
85 | MICROS Systems, Inc. (a) | 4,331 | ||||||
227 | Nuance Communications, Inc. (a) | 5,407 | ||||||
104 | Red Hat, Inc. (a) | 5,857 | ||||||
139 | Synopsys, Inc. (a) | 4,091 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 |
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Software — Continued |
| |||||||
155 | TIBCO Software, Inc. (a) | 4,632 | ||||||
|
| |||||||
39,209 | ||||||||
|
| |||||||
Total Information Technology | 119,903 | |||||||
|
| |||||||
Materials — 6.2% |
| |||||||
Chemicals — 4.5% |
| |||||||
35 | Airgas, Inc. | 2,932 | ||||||
82 | Albemarle Corp. | 4,874 | ||||||
120 | FMC Corp. | 6,407 | ||||||
115 | Sherwin-Williams Co. (The) | 15,180 | ||||||
60 | Sigma-Aldrich Corp. | 4,399 | ||||||
60 | W.R. Grace & Co. (a) | 3,022 | ||||||
|
| |||||||
36,814 | ||||||||
|
| |||||||
Containers & Packaging — 1.7% |
| |||||||
157 | Ball Corp. | 6,428 | ||||||
67 | Rock-Tenn Co., Class A | 3,666 | ||||||
96 | Silgan Holdings, Inc. | 4,118 | ||||||
|
| |||||||
14,212 | ||||||||
|
| |||||||
Total Materials | 51,026 | |||||||
|
| |||||||
Telecommunication Services — 0.2% |
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
76 | Telephone & Data Systems, Inc. | 1,607 | ||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric Utilities — 2.5% |
| |||||||
143 | Northeast Utilities | 5,549 | ||||||
295 | NV Energy, Inc. | 5,183 | ||||||
169 | Westar Energy, Inc. | 5,073 | ||||||
179 | Xcel Energy, Inc. | 5,094 | ||||||
|
| |||||||
20,899 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.3% |
| |||||||
65 | ONEOK, Inc. | 2,750 | ||||||
|
| |||||||
Multi-Utilities — 2.7% |
| |||||||
109 | CenterPoint Energy, Inc. | 2,261 | ||||||
213 | CMS Energy Corp. | 5,001 | ||||||
94 | PG&E Corp. | 4,246 | ||||||
81 | Sempra Energy | 5,573 | ||||||
119 | Wisconsin Energy Corp. | 4,713 | ||||||
|
| |||||||
21,794 | ||||||||
|
| |||||||
Total Utilities | 45,443 | |||||||
|
| |||||||
Total Common Stocks | 790,558 | |||||||
|
| |||||||
| Short-Term Investment — 3.6% |
| ||||||
Investment Company — 3.6% |
| |||||||
29,313 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 29,313 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
1,138 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 1,138 | ||||||
|
| |||||||
Total Investments — 100.0% | 821,009 | |||||||
Other Assets in Excess of | 325 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 821,334 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.8% |
| ||||||
Consumer Discretionary — 20.1% |
| |||||||
Auto Components — 2.0% |
| |||||||
762 | Allison Transmission Holdings, Inc. | 13,384 | ||||||
235 | BorgWarner, Inc. (a) | 15,434 | ||||||
|
| |||||||
28,818 | ||||||||
|
| |||||||
Automobiles — 2.6% |
| |||||||
583 | Harley-Davidson, Inc. | 26,656 | ||||||
317 | Tesla Motors, Inc. (a) | 9,910 | ||||||
|
| |||||||
36,566 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
1,171 | International Game Technology | 18,437 | ||||||
473 | Marriott International, Inc., Class A | 18,553 | ||||||
419 | Royal Caribbean Cruises Ltd. | 10,899 | ||||||
|
| |||||||
47,889 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
437 | Toll Brothers, Inc. (a) | 12,980 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.6% |
| |||||||
184 | Expedia, Inc. | 8,845 | ||||||
|
| |||||||
Media — 1.1% |
| |||||||
300 | Discovery Communications, Inc., Class A (a) | 16,200 | ||||||
|
| |||||||
Specialty Retail — 7.6% |
| |||||||
330 | Abercrombie & Fitch Co., Class A | 11,276 | ||||||
402 | Bed Bath & Beyond, Inc. (a) | 24,862 | ||||||
497 | Dick’s Sporting Goods, Inc. | 23,870 | ||||||
216 | PetSmart, Inc. | 14,734 | ||||||
850 | Sally Beauty Holdings, Inc. (a) | 21,866 | ||||||
416 | Urban Outfitters, Inc. (a) | 11,475 | ||||||
|
| |||||||
108,083 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
188 | Lululemon Athletica, Inc., (Canada) (a) | 11,187 | ||||||
389 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 16,288 | ||||||
|
| |||||||
27,475 | ||||||||
|
| |||||||
Total Consumer Discretionary | 286,856 | |||||||
|
| |||||||
Consumer Staples — 1.1% |
| |||||||
Food Products — 0.4% |
| |||||||
273 | Green Mountain Coffee Roasters, Inc. (a) | 5,937 | ||||||
|
| |||||||
Personal Products — 0.7% |
| |||||||
197 | Herbalife Ltd., (Cayman Islands) | 9,531 | ||||||
|
| |||||||
Total Consumer Staples | 15,468 | |||||||
|
| |||||||
Energy — 5.8% |
| |||||||
Energy Equipment & Services — 1.4% |
| |||||||
451 | Cameron International Corp. (a) | 19,273 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 4.4% |
| |||||||
321 | Concho Resources, Inc. (a) | 27,324 | ||||||
326 | Laredo Petroleum Holdings, Inc. (a) | 6,772 | ||||||
149 | Pioneer Natural Resources Co. | 13,179 | ||||||
259 | Range Resources Corp. | 16,049 | ||||||
|
| |||||||
63,324 | ||||||||
|
| |||||||
Total Energy | 82,597 | |||||||
|
| |||||||
Financials — 7.9% |
| |||||||
Capital Markets — 3.4% |
| |||||||
928 | Blackstone Group LP (The) | 12,128 | ||||||
483 | Lazard Ltd., (Bermuda), Class A | 12,540 | ||||||
375 | T. Rowe Price Group, Inc. | 23,594 | ||||||
|
| |||||||
48,262 | ||||||||
|
| |||||||
Commercial Banks — 1.1% |
| |||||||
282 | BOK Financial Corp. | 16,389 | ||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
542 | Moody’s Corp. | 19,821 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
412 | Axis Capital Holdings Ltd., (Bermuda) | 13,407 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
451 | Prologis, Inc. | 14,977 | ||||||
|
| |||||||
Total Financials | 112,856 | |||||||
|
| |||||||
Health Care — 15.3% |
| |||||||
Biotechnology — 3.0% |
| |||||||
208 | Alexion Pharmaceuticals, Inc. (a) | 20,624 | ||||||
106 | Onyx Pharmaceuticals, Inc. (a) | 7,064 | ||||||
258 | Vertex Pharmaceuticals, Inc. (a) | 14,450 | ||||||
|
| |||||||
42,138 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
224 | Sirona Dental Systems, Inc. (a) | 10,060 | ||||||
455 | Thoratec Corp. (a) | 15,275 | ||||||
|
| |||||||
25,335 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% |
| |||||||
886 | Brookdale Senior Living, Inc. (a) | 15,716 | ||||||
405 | Health Net, Inc. (a) | 9,820 | ||||||
287 | Humana, Inc. | 22,219 | ||||||
|
| |||||||
47,755 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.5% |
| |||||||
436 | Agilent Technologies, Inc. | 17,126 | ||||||
746 | Bruker Corp. (a) | 9,923 | ||||||
225 | Illumina, Inc. (a) | 9,080 | ||||||
|
| |||||||
36,129 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 29 |
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — 4.7% |
| |||||||
420 | Elan Corp. plc, (Ireland), ADR (a) | 6,126 | ||||||
214 | Perrigo Co. | 25,190 | ||||||
383 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 17,168 | ||||||
251 | Watson Pharmaceuticals, Inc. (a) | 18,586 | ||||||
|
| |||||||
67,070 | ||||||||
|
| |||||||
Total Health Care | 218,427 | |||||||
|
| |||||||
Industrials — 18.8% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
137 | TransDigm Group, Inc. (a) | 18,439 | ||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
266 | Armstrong World Industries, Inc. | 13,096 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
233 | Stericycle, Inc. (a) | 21,338 | ||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
224 | Fluor Corp. | 11,057 | ||||||
|
| |||||||
Electrical Equipment — 2.4% |
| |||||||
342 | Cooper Industries plc | 23,311 | ||||||
157 | Rockwell Automation, Inc. | 10,391 | ||||||
|
| |||||||
33,702 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.7% |
| |||||||
454 | Carlisle Cos., Inc. | 24,045 | ||||||
|
| |||||||
Machinery — 3.3% |
| |||||||
75 | Cummins, Inc. | 7,244 | ||||||
473 | Pall Corp. | 25,936 | ||||||
177 | Wabtec Corp. | 13,817 | ||||||
|
| |||||||
46,997 | ||||||||
|
| |||||||
Professional Services — 1.8% |
| |||||||
140 | IHS, Inc., Class A (a) | 15,104 | ||||||
421 | Nielsen Holdings N.V. (a) | 11,038 | ||||||
|
| |||||||
26,142 | ||||||||
|
| |||||||
Road & Rail — 1.6% |
| |||||||
387 | J.B. Hunt Transport Services, Inc. | 23,089 | ||||||
|
| |||||||
Trading Companies & Distributors — 3.5% |
| |||||||
705 | Air Lease Corp. (a) | 13,660 | ||||||
223 | MSC Industrial Direct Co., Inc., Class A | 14,585 | ||||||
114 | W.W. Grainger, Inc. | 21,802 | ||||||
|
| |||||||
50,047 | ||||||||
|
| |||||||
Total Industrials | 267,952 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 23.0% |
| |||||||
Communications Equipment — 1.9% |
| |||||||
688 | Aruba Networks, Inc. (a) | 10,359 | ||||||
175 | F5 Networks, Inc. (a) | 17,403 | ||||||
|
| |||||||
27,762 | ||||||||
|
| |||||||
Computers & Peripherals — 0.8% |
| |||||||
343 | NetApp, Inc. (a) | 10,905 | ||||||
|
| |||||||
Internet Software & Services — 1.3% |
| |||||||
180 | OpenTable, Inc. (a) | 8,120 | ||||||
222 | Rackspace Hosting, Inc. (a) | 9,772 | ||||||
|
| |||||||
17,892 | ||||||||
|
| |||||||
IT Services — 4.5% |
| |||||||
277 | Alliance Data Systems Corp. (a) | 37,449 | ||||||
400 | FleetCor Technologies, Inc. (a) | 14,019 | ||||||
383 | VeriFone Systems, Inc. (a) | 12,657 | ||||||
|
| |||||||
64,125 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.9% |
| |||||||
741 | Avago Technologies Ltd., (Singapore) | 26,584 | ||||||
461 | KLA-Tencor Corp. | 22,685 | ||||||
561 | Microchip Technology, Inc. (c) | �� | 18,564 | |||||
488 | Xilinx, Inc. | 16,372 | ||||||
|
| |||||||
84,205 | ||||||||
|
| |||||||
Software — 8.6% |
| |||||||
267 | Citrix Systems, Inc. (a) | 22,379 | ||||||
192 | FactSet Research Systems, Inc. | 17,826 | ||||||
504 | Fortinet, Inc. (a) | 11,698 | ||||||
295 | MICROS Systems, Inc. (a) | 15,089 | ||||||
791 | Nuance Communications, Inc. (a) | 18,846 | ||||||
361 | Red Hat, Inc. (a) | 20,406 | ||||||
540 | TIBCO Software, Inc. (a) | 16,148 | ||||||
|
| |||||||
122,392 | ||||||||
|
| |||||||
Total Information Technology | 327,281 | |||||||
|
| |||||||
Materials — 4.8% |
| |||||||
Chemicals — 4.8% |
| |||||||
418 | FMC Corp. | 22,328 | ||||||
273 | Sherwin-Williams Co. (The) | 36,158 | ||||||
209 | W.R. Grace & Co. (a) | 10,534 | ||||||
|
| |||||||
Total Materials | 69,020 | |||||||
|
| |||||||
Total Common Stocks | 1,380,457 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.1% |
| ||||||
Investment Company — 4.1% |
| |||||||
58,974 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) | 58,974 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.3% |
| ||||||
Investment Company — 0.3% |
| |||||||
3,821 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 3,821 | ||||||
|
| |||||||
Total Investments — 101.2% | 1,443,252 | |||||||
Liabilities in Excess of | (16,436 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,426,816 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 31 |
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.0% |
| ||||||
Consumer Discretionary — 20.0% |
| |||||||
Distributors — 1.0% |
| |||||||
1,316 | Genuine Parts Co. | 79,300 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% |
| |||||||
1,174 | Darden Restaurants, Inc. | 59,461 | ||||||
2,801 | Marriott International, Inc., Class A | 109,793 | ||||||
859 | Yum! Brands, Inc. | 55,350 | ||||||
|
| |||||||
224,604 | ||||||||
|
| |||||||
Household Durables — 1.4% |
| |||||||
776 | Jarden Corp. | 32,612 | ||||||
1,073 | Mohawk Industries, Inc. (a) | 74,898 | ||||||
|
| |||||||
107,510 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.3% |
| |||||||
1,452 | Expedia, Inc. | 69,794 | ||||||
645 | TripAdvisor, Inc. (a) | 28,817 | ||||||
|
| |||||||
98,611 | ||||||||
|
| |||||||
Media — 3.4% |
| |||||||
528 | AMC Networks, Inc., Class A (a) | 18,777 | ||||||
2,034 | Cablevision Systems Corp., Class A | 27,036 | ||||||
2,488 | CBS Corp. (Non-Voting), Class B | 81,554 | ||||||
2,437 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 14,673 | ||||||
2,436 | DISH Network Corp., Class A | 69,544 | ||||||
2,598 | Gannett Co., Inc. | 38,270 | ||||||
42 | Washington Post Co. (The), Class B (c) | 15,771 | ||||||
|
| |||||||
265,625 | ||||||||
|
| |||||||
Multiline Retail — 2.5% |
| |||||||
1,312 | Family Dollar Stores, Inc. | 87,232 | ||||||
2,306 | Kohl’s Corp. | 104,890 | ||||||
|
| |||||||
192,122 | ||||||||
|
| |||||||
Specialty Retail — 6.4% |
| |||||||
248 | AutoZone, Inc. (a) | 91,069 | ||||||
969 | Bed Bath & Beyond, Inc. (a) | 59,855 | ||||||
2,744 | Gap, Inc. (The) | 75,070 | ||||||
853 | PetSmart, Inc. | 58,141 | ||||||
1,152 | Tiffany & Co. | 60,982 | ||||||
1,999 | TJX Cos., Inc. | 85,830 | ||||||
2,071 | Williams-Sonoma, Inc. | 72,433 | ||||||
|
| |||||||
503,380 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
1,124 | PVH Corp. | 87,399 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,558,551 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 6.2% |
| |||||||
Beverages — 2.7% |
| |||||||
1,613 | Beam, Inc. | 100,770 | ||||||
517 | Brown-Forman Corp., Class B | 50,087 | ||||||
1,425 | Dr. Pepper Snapple Group, Inc. | 62,349 | ||||||
|
| |||||||
213,206 | ||||||||
|
| |||||||
Food Products — 2.6% |
| |||||||
1,040 | Hershey Co. (The) | 74,931 | ||||||
688 | JM Smucker Co. (The) | 51,963 | ||||||
1,132 | Ralcorp Holdings, Inc. (a) | 75,556 | ||||||
|
| |||||||
202,450 | ||||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
968 | Energizer Holdings, Inc. (a) | 72,807 | ||||||
|
| |||||||
Total Consumer Staples | 488,463 | |||||||
|
| |||||||
Energy — 5.1% |
| |||||||
Oil, Gas & Consumable Fuels — 5.1% |
| |||||||
1,381 | Devon Energy Corp. | 80,064 | ||||||
2,630 | Energen Corp. | 118,695 | ||||||
1,717 | EQT Corp. | 92,088 | ||||||
1,469 | QEP Resources, Inc. | 44,020 | ||||||
2,238 | Williams Cos., Inc. (The) | 64,511 | ||||||
|
| |||||||
Total Energy | 399,378 | |||||||
|
| |||||||
Financials — 25.4% |
| |||||||
Capital Markets — 5.2% |
| |||||||
2,181 | Ameriprise Financial, Inc. | 113,968 | ||||||
6,071 | Charles Schwab Corp. (The) | 78,504 | ||||||
3,310 | Invesco Ltd. | 74,812 | ||||||
1,143 | Northern Trust Corp. | 52,600 | ||||||
1,345 | T. Rowe Price Group, Inc. | 84,656 | ||||||
|
| |||||||
404,540 | ||||||||
|
| |||||||
Commercial Banks — 5.7% |
| |||||||
1,257 | City National Corp. | 61,060 | ||||||
823 | Cullen/Frost Bankers, Inc. | 47,341 | ||||||
6,540 | Fifth Third Bancorp | 87,637 | ||||||
5,272 | Huntington Bancshares, Inc. | 33,741 | ||||||
1,148 | M&T Bank Corp. | 94,795 | ||||||
3,583 | SunTrust Banks, Inc. | 86,811 | ||||||
2,008 | Zions Bancorp | 38,997 | ||||||
|
| |||||||
450,382 | ||||||||
|
| |||||||
Insurance — 10.0% |
| |||||||
295 | Alleghany Corp. (a) | 100,109 | ||||||
704 | Arch Capital Group Ltd., (Bermuda) (a) | 27,950 | ||||||
793 | Axis Capital Holdings Ltd., (Bermuda) | 25,828 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
1,009 | Chubb Corp. (The) | 73,500 | ||||||
3,506 | Loews Corp. | 143,445 | ||||||
3,850 | Marsh & McLennan Cos., Inc. | 124,070 | ||||||
4,954 | Old Republic International Corp. | 41,071 | ||||||
2,176 | OneBeacon Insurance Group Ltd., Class A | 28,329 | ||||||
2,338 | Unum Group | 44,726 | ||||||
2,437 | W.R. Berkley Corp. | 94,841 | ||||||
3,767 | XL Group plc, (Ireland) | 79,249 | ||||||
|
| |||||||
783,118 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
1,437 | HCP, Inc. | 63,460 | ||||||
1,594 | Regency Centers Corp. | 75,806 | ||||||
831 | Vornado Realty Trust | 69,765 | ||||||
|
| |||||||
209,031 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
3,600 | Brookfield Office Properties, Inc. | 62,713 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.0% |
| |||||||
2,111 | Capitol Federal Financial, Inc. | 25,079 | ||||||
4,549 | People’s United Financial, Inc. | 52,810 | ||||||
|
| |||||||
77,889 | ||||||||
|
| |||||||
Total Financials | 1,987,673 | |||||||
|
| |||||||
Health Care — 5.0% |
| |||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
620 | Becton, Dickinson & Co. | 46,356 | ||||||
|
| |||||||
Health Care Providers & Services — 4.4% |
| |||||||
1,972 | AmerisourceBergen Corp. | 77,605 | ||||||
1,899 | Cigna Corp. | 83,565 | ||||||
367 | Henry Schein, Inc. (a) | 28,823 | ||||||
754 | Humana, Inc. | 58,424 | ||||||
2,836 | Lincare Holdings, Inc. | 96,465 | ||||||
|
| |||||||
344,882 | ||||||||
|
| |||||||
Total Health Care | 391,238 | |||||||
|
| |||||||
Industrials — 8.8% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
843 | Alliant Techsystems, Inc. | 42,607 | ||||||
|
| |||||||
Building Products — 0.6% |
| |||||||
2,270 | Fortune Brands Home & Security, Inc. (a) | 50,543 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.7% |
| |||||||
4,922 | Republic Services, Inc. | 130,235 | ||||||
|
| |||||||
Electrical Equipment — 2.3% |
| |||||||
1,676 | AMETEK, Inc. | 83,657 | ||||||
339 | Cooper Industries plc | 23,099 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — Continued |
| |||||||
1,167 | Regal-Beloit Corp. | 72,651 | ||||||
|
| |||||||
179,407 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
1,603 | Carlisle Cos., Inc. | 84,983 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
1,870 | Rexnord Corp. (a) | 37,468 | ||||||
1,344 | Snap-on, Inc. | 83,660 | ||||||
|
| |||||||
121,128 | ||||||||
|
| |||||||
Professional Services — 0.6% |
| |||||||
953 | Equifax, Inc. | 44,405 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
467 | MSC Industrial Direct Co., Inc., Class A | 30,644 | ||||||
|
| |||||||
Total Industrials | 683,952 | |||||||
|
| |||||||
Information Technology — 6.3% |
| |||||||
Electronic Equipment, Instruments & Components — 2.2% |
| |||||||
1,792 | Amphenol Corp., Class A | 98,442 | ||||||
2,245 | Arrow Electronics, Inc. (a) | 73,647 | ||||||
|
| |||||||
172,089 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
2,754 | Jack Henry & Associates, Inc. | 95,073 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
2,461 | Analog Devices, Inc. | 92,707 | ||||||
1,629 | Xilinx, Inc. | 54,675 | ||||||
|
| |||||||
147,382 | ||||||||
|
| |||||||
Software — 1.0% |
| |||||||
2,625 | Synopsys, Inc. (a) | 77,256 | ||||||
|
| |||||||
Total Information Technology | 491,800 | |||||||
|
| |||||||
Materials — 7.6% |
| |||||||
Chemicals — 4.1% |
| |||||||
658 | Airgas, Inc. | 55,253 | ||||||
1,560 | Albemarle Corp. | 93,034 | ||||||
697 | Sherwin-Williams Co. (The) | 92,241 | ||||||
1,124 | Sigma-Aldrich Corp. | 83,071 | ||||||
|
| |||||||
323,599 | ||||||||
|
| |||||||
Containers & Packaging — 3.5% |
| |||||||
2,958 | Ball Corp. | 121,419 | ||||||
1,284 | Rock-Tenn Co., Class A | 70,026 | ||||||
1,821 | Silgan Holdings, Inc. | 77,749 | ||||||
|
| |||||||
269,194 | ||||||||
|
| |||||||
Total Materials | 592,793 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 33 |
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Telecommunication Services — 0.5% |
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
1,685 | Telephone & Data Systems, Inc. | 35,869 | ||||||
|
| |||||||
Utilities — 11.1% |
| |||||||
Electric Utilities — 5.1% |
| |||||||
2,730 | Northeast Utilities | 105,956 | ||||||
5,569 | NV Energy, Inc. | 97,895 | ||||||
3,249 | Westar Energy, Inc. | 97,304 | ||||||
3,425 | Xcel Energy, Inc. | 97,303 | ||||||
|
| |||||||
398,458 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
1,243 | ONEOK, Inc. | 52,576 | ||||||
|
| |||||||
Multi-Utilities — 5.3% |
| |||||||
2,062 | CenterPoint Energy, Inc. | 42,628 | ||||||
4,081 | CMS Energy Corp. | 95,897 | ||||||
1,772 | PG&E Corp. | 80,203 | ||||||
1,527 | Sempra Energy | 105,189 | ||||||
2,275 | Wisconsin Energy Corp. | 90,033 | ||||||
|
| |||||||
413,950 | ||||||||
|
| |||||||
Total Utilities | 864,984 | |||||||
|
| |||||||
Total Common Stocks | 7,494,701 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.9% |
| ||||||
Investment Company — 3.9% |
| |||||||
303,396 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 303,396 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% (g) |
| ||||||
Investment Company — 0.0% (g) |
| |||||||
3,735 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 3,735 | ||||||
|
| |||||||
Total Investments — 99.9% | 7,801,832 | |||||||
Other Assets in Excess of | 7,715 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 7,809,547 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — 102.7% (j) |
| ||||||
Common Stocks — 90.7% | ||||||||
Consumer Discretionary — 17.0% |
| |||||||
Auto Components — 0.7% |
| |||||||
7 | Autoliv, Inc., (Sweden) | 395 | ||||||
13 | BorgWarner, Inc. (a) | 885 | ||||||
31 | Dana Holding Corp. | 402 | ||||||
35 | Lear Corp. | 1,331 | ||||||
16 | TRW Automotive Holdings Corp. (a) | 579 | ||||||
|
| |||||||
3,592 | ||||||||
|
| |||||||
Automobiles — 1.1% |
| |||||||
122 | Ford Motor Co. | 1,174 | ||||||
62 | General Motors Co. (a) | 1,225 | ||||||
41 | Harley-Davidson, Inc. | 1,886 | ||||||
41 | Thor Industries, Inc. | 1,120 | ||||||
|
| |||||||
5,405 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
41 | Apollo Group, Inc., Class A (a) | 1,487 | ||||||
16 | Bridgepoint Education, Inc. (a) | 357 | ||||||
29 | Coinstar, Inc. (a) | 2,008 | ||||||
— | (h) | Hillenbrand, Inc. | 3 | |||||
26 | ITT Educational Services, Inc. (a) | 1,576 | ||||||
23 | Regis Corp. | 418 | ||||||
|
| |||||||
5,849 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
28 | Bally Technologies, Inc. (a) | 1,296 | ||||||
66 | Brinker International, Inc. | 2,105 | ||||||
23 | Cracker Barrel Old Country Store, Inc. | 1,416 | ||||||
6 | Darden Restaurants, Inc. | 320 | ||||||
36 | Jack in the Box, Inc. (a) | 1,004 | ||||||
38 | Marriott International, Inc., Class A | 1,490 | ||||||
83 | MGM Resorts International (a) | 923 | ||||||
18 | Penn National Gaming, Inc. (a) | 803 | ||||||
24 | Six Flags Entertainment Corp. | 1,286 | ||||||
2 | Texas Roadhouse, Inc. | 34 | ||||||
27 | Wyndham Worldwide Corp. | 1,450 | ||||||
13 | Wynn Resorts Ltd. | 1,386 | ||||||
|
| |||||||
13,513 | ||||||||
|
| |||||||
Household Durables — 1.5% |
| |||||||
102 | D.R. Horton, Inc. | 1,881 | ||||||
23 | Garmin Ltd., (Switzerland) | 865 | ||||||
41 | Jarden Corp. | 1,740 | ||||||
11 | Lennar Corp., Class A | 346 | ||||||
41 | Newell Rubbermaid, Inc. | 752 | ||||||
192 | Standard Pacific Corp. (a) | 1,190 | ||||||
48 | Tempur-Pedic International, Inc. (a) | 1,113 | ||||||
|
| |||||||
7,887 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — 0.7% |
| |||||||
45 | Expedia, Inc. | 2,143 | ||||||
2 | priceline.com, Inc. (a) | 1,362 | ||||||
|
| |||||||
3,505 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.4% |
| |||||||
39 | Brunswick Corp. | 873 | ||||||
4 | Polaris Industries, Inc. | 273 | ||||||
25 | Sturm Ruger & Co., Inc. | 991 | ||||||
|
| |||||||
2,137 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
72 | Cablevision Systems Corp., Class A | 952 | ||||||
30 | CBS Corp. (Non-Voting), Class B | 975 | ||||||
60 | Cinemark Holdings, Inc. | 1,376 | ||||||
49 | Comcast Corp., Class A | 1,565 | ||||||
33 | DISH Network Corp., Class A | 938 | ||||||
54 | Gannett Co., Inc. | 792 | ||||||
115 | Interpublic Group of Cos., Inc. (The) | 1,253 | ||||||
30 | McGraw-Hill Cos., Inc. (The) | 1,354 | ||||||
20 | Omnicom Group, Inc. | 969 | ||||||
101 | Regal Entertainment Group, Class A | 1,387 | ||||||
7 | Scripps Networks Interactive, Inc., Class A | 380 | ||||||
12 | Valassis Communications, Inc. (a) | 260 | ||||||
|
| |||||||
12,201 | ||||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
24 | Dillard’s, Inc., Class A | 1,512 | ||||||
20 | Dollar General Corp. (a) | 1,098 | ||||||
21 | Dollar Tree, Inc. (a) | 1,114 | ||||||
19 | Macy’s, Inc. | 668 | ||||||
15 | Nordstrom, Inc. | 745 | ||||||
|
| |||||||
5,137 | ||||||||
|
| |||||||
Specialty Retail — 4.9% |
| |||||||
20 | Advance Auto Parts, Inc. | 1,357 | ||||||
44 | American Eagle Outfitters, Inc. | 859 | ||||||
54 | Ascena Retail Group, Inc. (a) | 1,000 | ||||||
3 | AutoZone, Inc. (a) | 1,081 | ||||||
14 | Bed Bath & Beyond, Inc. (a) | 872 | ||||||
66 | Best Buy Co., Inc. | 1,376 | ||||||
39 | Buckle, Inc. (The) | 1,546 | ||||||
55 | Express, Inc. (a) | 992 | ||||||
32 | Finish Line, Inc. (The), Class A | 678 | ||||||
73 | Foot Locker, Inc. | 2,237 | ||||||
38 | GameStop Corp., Class A | 695 | ||||||
32 | Gap, Inc. (The) | 879 | ||||||
19 | Genesco, Inc. (a) | 1,155 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 35 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
34 | GNC Holdings, Inc., Class A | 1,324 | ||||||
26 | Group 1 Automotive, Inc. | 1,168 | ||||||
19 | Home Depot, Inc. (The) | 992 | ||||||
46 | Lowe’s Cos., Inc. | 1,317 | ||||||
12 | O’Reilly Automotive, Inc. (a) | 1,045 | ||||||
35 | Penske Automotive Group, Inc. | 735 | ||||||
52 | Pier 1 Imports, Inc. | 862 | ||||||
9 | Ross Stores, Inc. | 547 | ||||||
50 | Select Comfort Corp. (a) | 1,050 | ||||||
44 | Staples, Inc. | 571 | ||||||
23 | TJX Cos., Inc. | 989 | ||||||
|
| |||||||
25,327 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
25 | Coach, Inc. | 1,453 | ||||||
8 | Steven Madden Ltd. (a) | 250 | ||||||
44 | Vera Bradley, Inc. (a) | 934 | ||||||
|
| |||||||
2,637 | ||||||||
|
| |||||||
Total Consumer Discretionary | 87,190 | |||||||
|
| |||||||
Consumer Staples — 5.1% |
| |||||||
Beverages — 0.7% |
| |||||||
77 | Constellation Brands, Inc., Class A (a) | 2,091 | ||||||
37 | Molson Coors Brewing Co., Class B | 1,529 | ||||||
|
| |||||||
3,620 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
13 | Casey’s General Stores, Inc. | 753 | ||||||
37 | CVS Caremark Corp. | 1,736 | ||||||
48 | Kroger Co. (The) | 1,120 | ||||||
866 | Rite Aid Corp. (a) | 1,213 | ||||||
70 | Safeway, Inc. | 1,265 | ||||||
|
| |||||||
6,087 | ||||||||
|
| |||||||
Food Products — 1.8% |
| |||||||
53 | Archer-Daniels-Midland Co. | 1,560 | ||||||
22 | Bunge Ltd. | 1,364 | ||||||
11 | ConAgra Foods, Inc. | 278 | ||||||
11 | D.E Master Blenders N.V., (Netherlands) (a) | 123 | ||||||
106 | Dean Foods Co. (a) | 1,805 | ||||||
41 | Fresh Del Monte Produce, Inc. | 955 | ||||||
2 | Hillshire Brands Co. | 63 | ||||||
75 | Smithfield Foods, Inc. (a) | 1,615 | ||||||
73 | Tyson Foods, Inc., Class A | 1,374 | ||||||
|
| |||||||
9,137 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
19 | Energizer Holdings, Inc. (a) | 1,450 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — 0.6% |
| |||||||
33 | Herbalife Ltd., (Cayman Islands) | 1,580 | ||||||
34 | Nu Skin Enterprises, Inc., Class A | 1,572 | ||||||
|
| |||||||
3,152 | ||||||||
|
| |||||||
Tobacco — 0.5% |
| |||||||
9 | Lorillard, Inc. | 1,131 | ||||||
18 | Philip Morris International, Inc. | 1,594 | ||||||
|
| |||||||
2,725 | ||||||||
|
| |||||||
Total Consumer Staples | 26,171 | |||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Energy Equipment & Services — 2.6% |
| |||||||
21 | Dresser-Rand Group, Inc. (a) | 947 | ||||||
25 | Halliburton Co. | 710 | ||||||
107 | Helix Energy Solutions Group, Inc. (a) | 1,751 | ||||||
38 | Hornbeck Offshore Services, Inc. (a) | 1,479 | ||||||
73 | Key Energy Services, Inc. (a) | 552 | ||||||
100 | Nabors Industries Ltd., (Bermuda) (a) | 1,445 | ||||||
13 | National Oilwell Varco, Inc. | 854 | ||||||
20 | Oil States International, Inc. (a) | 1,347 | ||||||
107 | RPC, Inc. | 1,272 | ||||||
65 | Superior Energy Services, Inc. (a) | 1,305 | ||||||
31 | Unit Corp. (a) | 1,130 | ||||||
60 | Weatherford International Ltd., (Switzerland) (a) | 764 | ||||||
|
| |||||||
13,556 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.2% |
| |||||||
8 | Apache Corp. | 745 | ||||||
36 | Approach Resources, Inc. (a) | 911 | ||||||
28 | Cabot Oil & Gas Corp. | 1,101 | ||||||
20 | Carrizo Oil & Gas, Inc. (a) | 481 | ||||||
20 | Chesapeake Energy Corp. | 364 | ||||||
20 | Chevron Corp. | 2,075 | ||||||
94 | Cloud Peak Energy, Inc. (a) | 1,589 | ||||||
13 | Concho Resources, Inc. (a) | 1,121 | ||||||
26 | ConocoPhillips | 1,447 | ||||||
58 | Denbury Resources, Inc. (a) | 874 | ||||||
12 | Devon Energy Corp. | 690 | ||||||
46 | Energy XXI Bermuda Ltd., (Bermuda) | 1,444 | ||||||
10 | EOG Resources, Inc. | 891 | ||||||
11 | HollyFrontier Corp. | 391 | ||||||
4 | Occidental Petroleum Corp. | 354 | ||||||
40 | Plains Exploration & Production Co. (a) | 1,394 | ||||||
62 | Stone Energy Corp. (a) | 1,571 | ||||||
49 | Ultra Petroleum Corp. (a) | 1,132 | ||||||
85 | Western Refining, Inc. | 1,904 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
32 | Williams Cos., Inc. (The) | 911 | ||||||
|
| |||||||
21,390 | ||||||||
|
| |||||||
Total Energy | 34,946 | |||||||
|
| |||||||
Financials — 12.1% |
| |||||||
Capital Markets — 1.8% |
| |||||||
13 | Ameriprise Financial, Inc. | 677 | ||||||
96 | Ares Capital Corp. | 1,537 | ||||||
58 | Bank of New York Mellon Corp. (The) | 1,272 | ||||||
45 | Eaton Vance Corp. | 1,200 | ||||||
6 | Goldman Sachs Group, Inc. (The) | 578 | ||||||
129 | Knight Capital Group, Inc., Class A (a) | 1,536 | ||||||
123 | Prospect Capital Corp. | 1,402 | ||||||
25 | State Street Corp. | 1,114 | ||||||
|
| |||||||
9,316 | ||||||||
|
| |||||||
Commercial Banks — 2.9% |
| |||||||
27 | BancorpSouth, Inc. | 386 | ||||||
14 | Bank of Hawaii Corp. | 625 | ||||||
11 | Bank of the Ozarks, Inc. | 326 | ||||||
31 | BB&T Corp. | 944 | ||||||
91 | East West Bancorp, Inc. | 2,141 | ||||||
74 | Fifth Third Bancorp | 992 | ||||||
44 | First Republic Bank (a) | 1,471 | ||||||
291 | Huntington Bancshares, Inc. | 1,864 | ||||||
50 | Old National Bancorp | 603 | ||||||
13 | PNC Financial Services Group, Inc. | 776 | ||||||
28 | Texas Capital Bancshares, Inc. (a) | 1,145 | ||||||
59 | U.S. Bancorp | 1,910 | ||||||
59 | Wells Fargo & Co. | 1,980 | ||||||
|
| |||||||
15,163 | ||||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
18 | Capital One Financial Corp. | 1,010 | ||||||
6 | Cash America International, Inc. | 251 | ||||||
66 | Discover Financial Services | 2,293 | ||||||
39 | Ezcorp, Inc., Class A (a) | 926 | ||||||
100 | SLM Corp. | 1,567 | ||||||
|
| |||||||
6,047 | ||||||||
|
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
38 | CBOE Holdings, Inc. | 1,056 | ||||||
40 | Citigroup, Inc. | 1,099 | ||||||
|
| |||||||
2,155 | ||||||||
|
| |||||||
Insurance — 5.0% |
| |||||||
16 | ACE Ltd., (Switzerland) | 1,201 | ||||||
29 | Aflac, Inc. | 1,223 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
10 | Allied World Assurance Co. Holdings AG, (Switzerland) | 825 | ||||||
44 | Allstate Corp. (The) | 1,550 | ||||||
20 | Alterra Capital Holdings Ltd., (Bermuda) | 463 | ||||||
35 | American Financial Group, Inc. | 1,391 | ||||||
45 | Assurant, Inc. | 1,555 | ||||||
96 | Assured Guaranty Ltd., (Bermuda) | 1,360 | ||||||
8 | CNA Financial Corp. | 213 | ||||||
242 | CNO Financial Group, Inc. | 1,889 | ||||||
6 | Everest Re Group Ltd., (Bermuda) | 615 | ||||||
23 | Hanover Insurance Group, Inc. (The) | 883 | ||||||
86 | Hartford Financial Services Group, Inc. | 1,525 | ||||||
76 | Lincoln National Corp. | 1,659 | ||||||
36 | MetLife, Inc. | 1,099 | ||||||
21 | Montpelier Re Holdings Ltd., (Bermuda) | 456 | ||||||
7 | PartnerRe Ltd., (Bermuda) | 551 | ||||||
26 | Principal Financial Group, Inc. | 680 | ||||||
13 | ProAssurance Corp. | 1,169 | ||||||
68 | Protective Life Corp. | 2,001 | ||||||
4 | Prudential Financial, Inc. | 210 | ||||||
12 | Reinsurance Group of America, Inc. | 650 | ||||||
7 | RenaissanceRe Holdings Ltd., (Bermuda) | 532 | ||||||
25 | Torchmark Corp. | 1,252 | ||||||
29 | Unum Group | 561 | ||||||
|
| |||||||
25,513 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
29 | CBL & Associates Properties, Inc. | 573 | ||||||
55 | DCT Industrial Trust, Inc. | 348 | ||||||
10 | General Growth Properties, Inc. | 184 | ||||||
10 | Mid-America Apartment Communities, Inc. | 713 | ||||||
9 | Post Properties, Inc. | 461 | ||||||
|
| |||||||
2,279 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
96 | Ocwen Financial Corp. (a) | 1,812 | ||||||
|
| |||||||
Total Financials | 62,285 | |||||||
|
| |||||||
Health Care — 9.1% |
| |||||||
Biotechnology — 1.1% |
| |||||||
21 | Acorda Therapeutics, Inc. (a) | 485 | ||||||
12 | Amgen, Inc. | 887 | ||||||
15 | Celgene Corp. (a) | 961 | ||||||
15 | Cubist Pharmaceuticals, Inc. (a) | 581 | ||||||
102 | Dendreon Corp. (a) | 755 | ||||||
8 | Gilead Sciences, Inc. (a) | 398 | ||||||
36 | United Therapeutics Corp. (a) | 1,800 | ||||||
|
| |||||||
5,867 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Health Care Equipment & Supplies — 1.7% |
| |||||||
40 | Alere, Inc. (a) | 787 | ||||||
57 | CareFusion Corp. (a) | 1,466 | ||||||
7 | Cooper Cos., Inc. (The) | 586 | ||||||
22 | Cyberonics, Inc. (a) | 1,011 | ||||||
14 | Hill-Rom Holdings, Inc. | 447 | ||||||
9 | Integra LifeSciences Holdings Corp. (a) | 341 | ||||||
50 | ResMed, Inc. (a) | 1,572 | ||||||
28 | St. Jude Medical, Inc. | 1,111 | ||||||
40 | Thoratec Corp. (a) | 1,347 | ||||||
|
| |||||||
8,668 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% |
| |||||||
32 | Aetna, Inc. | 1,250 | ||||||
34 | AmerisourceBergen Corp. | 1,353 | ||||||
22 | Cigna Corp. | 972 | ||||||
31 | Community Health Systems, Inc. (a) | 879 | ||||||
7 | DaVita, Inc. (a) | 728 | ||||||
27 | Express Scripts Holding Co. (a) | 1,507 | ||||||
33 | HCA Holdings, Inc. | 989 | ||||||
6 | Health Net, Inc. (a) | 150 | ||||||
20 | Humana, Inc. | 1,522 | ||||||
13 | McKesson Corp. | 1,261 | ||||||
47 | Molina Healthcare, Inc. (a) | 1,096 | ||||||
61 | Omnicare, Inc. | 1,915 | ||||||
9 | UnitedHealth Group, Inc. | 554 | ||||||
33 | WellCare Health Plans, Inc. (a) | 1,769 | ||||||
11 | WellPoint, Inc. | 724 | ||||||
|
| |||||||
16,669 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
18 | SXC Health Solutions Corp. (a) | 1,827 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
50 | Bruker Corp. (a) | 666 | ||||||
15 | Charles River Laboratories International, Inc. (a) | 476 | ||||||
|
| |||||||
1,142 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
32 | Abbott Laboratories | 2,042 | ||||||
14 | Bristol-Myers Squibb Co. | 508 | ||||||
26 | Eli Lilly & Co. | 1,105 | ||||||
24 | Endo Health Solutions, Inc. (a) | 732 | ||||||
36 | Jazz Pharmaceuticals plc, (Ireland) (a) | 1,624 | ||||||
12 | Merck & Co., Inc. | 506 | ||||||
43 | Questcor Pharmaceuticals, Inc. (a) | 2,287 | ||||||
91 | Warner Chilcott plc, (Ireland), Class A (a) | 1,633 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued |
| |||||||
27 | Watson Pharmaceuticals, Inc. (a) | 2,005 | ||||||
|
| |||||||
12,442 | ||||||||
|
| |||||||
Total Health Care | 46,615 | |||||||
|
| |||||||
Industrials — 13.6% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
22 | Alliant Techsystems, Inc. | 1,106 | ||||||
29 | BE Aerospace, Inc. (a) | 1,280 | ||||||
20 | Boeing Co. (The) | 1,493 | ||||||
4 | General Dynamics Corp. | 244 | ||||||
39 | Huntington Ingalls Industries, Inc. (a) | 1,561 | ||||||
24 | L-3 Communications Holdings, Inc. | 1,781 | ||||||
23 | Lockheed Martin Corp. | 2,025 | ||||||
25 | Northrop Grumman Corp. | 1,607 | ||||||
22 | Raytheon Co. | 1,240 | ||||||
85 | Textron, Inc. | 2,120 | ||||||
13 | TransDigm Group, Inc. (a) | 1,744 | ||||||
|
| |||||||
16,201 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
11 | FedEx Corp. | 1,016 | ||||||
9 | United Parcel Service, Inc., Class B | 692 | ||||||
|
| |||||||
1,708 | ||||||||
|
| |||||||
Airlines — 1.1% |
| |||||||
121 | Delta Air Lines, Inc. (a) | 1,322 | ||||||
202 | JetBlue Airways Corp. (a) | 1,073 | ||||||
43 | Spirit Airlines, Inc. (a) | 827 | ||||||
172 | U.S. Airways Group, Inc. (a) | 2,296 | ||||||
|
| |||||||
5,518 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
39 | Avery Dennison Corp. | 1,068 | ||||||
40 | Brink’s Co. (The) | 922 | ||||||
40 | Copart, Inc. (a) | 945 | ||||||
75 | Covanta Holding Corp. | 1,285 | ||||||
69 | Pitney Bowes, Inc. | 1,027 | ||||||
131 | R.R. Donnelley & Sons Co. | 1,538 | ||||||
36 | United Stationers, Inc. | 967 | ||||||
|
| |||||||
7,752 | ||||||||
|
| |||||||
Construction & Engineering — 1.4% |
| |||||||
70 | AECOM Technology Corp. (a) | 1,153 | ||||||
46 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 1,731 | ||||||
34 | EMCOR Group, Inc. | 947 | ||||||
10 | Foster Wheeler AG, (Switzerland) (a) | 175 | ||||||
50 | Shaw Group, Inc. (The) (a) | 1,375 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Construction & Engineering — Continued |
| |||||||
46 | URS Corp. | 1,599 | ||||||
|
| |||||||
6,980 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
32 | Belden, Inc. | 1,064 | ||||||
34 | EnerSys (a) | 1,206 | ||||||
|
| |||||||
2,270 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
17 | General Electric Co. | 354 | ||||||
|
| |||||||
Machinery — 3.1% |
| |||||||
39 | Actuant Corp., Class A | 1,070 | ||||||
41 | AGCO Corp. (a) | 1,853 | ||||||
6 | Barnes Group, Inc. | 154 | ||||||
19 | Caterpillar, Inc. | 1,612 | ||||||
37 | CNH Global N.V., (Netherlands) (a) | 1,453 | ||||||
18 | Cummins, Inc. | 1,700 | ||||||
3 | Oshkosh Corp. (a) | 67 | ||||||
37 | PACCAR, Inc. | 1,436 | ||||||
4 | Parker Hannifin Corp. | 273 | ||||||
30 | Robbins & Myers, Inc. | 1,272 | ||||||
29 | Timken Co. | 1,315 | ||||||
56 | Titan International, Inc. | 1,363 | ||||||
56 | Trinity Industries, Inc. | 1,392 | ||||||
7 | Valmont Industries, Inc. | 789 | ||||||
|
| |||||||
15,749 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
15 | Kirby Corp. (a) | 721 | ||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
26 | Corporate Executive Board Co. (The) | 1,052 | ||||||
|
| |||||||
Road & Rail — 1.7% |
| |||||||
57 | Con-way, Inc. | 2,065 | ||||||
32 | CSX Corp. | 707 | ||||||
44 | Hertz Global Holdings, Inc. (a) | 562 | ||||||
23 | J.B. Hunt Transport Services, Inc. | 1,345 | ||||||
16 | Landstar System, Inc. | 832 | ||||||
23 | Norfolk Southern Corp. | 1,681 | ||||||
13 | Union Pacific Corp. | 1,511 | ||||||
|
| |||||||
8,703 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
39 | Beacon Roofing Supply, Inc. (a) | 989 | ||||||
44 | TAL International Group, Inc. | 1,468 | ||||||
15 | United Rentals, Inc. (a) | 509 | ||||||
|
| |||||||
2,966 | ||||||||
|
| |||||||
Total Industrials | 69,974 | |||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 16.0% |
| |||||||
Communications Equipment — 1.5% |
| |||||||
91 | Arris Group, Inc. (a) | 1,260 | ||||||
91 | Cisco Systems, Inc. | 1,568 | ||||||
35 | Harris Corp. | 1,477 | ||||||
38 | NETGEAR, Inc. (a) | 1,318 | ||||||
20 | Plantronics, Inc. | 680 | ||||||
47 | Polycom, Inc. (a) | 495 | ||||||
15 | QUALCOMM, Inc. | 862 | ||||||
|
| |||||||
7,660 | ||||||||
|
| |||||||
Computers & Peripherals — 1.6% |
| |||||||
3 | Apple, Inc. (a) | 1,740 | ||||||
91 | Dell, Inc. (a) | 1,141 | ||||||
37 | Diebold, Inc. | 1,381 | ||||||
36 | Lexmark International, Inc., Class A | 950 | ||||||
63 | Seagate Technology plc, (Ireland) | 1,567 | ||||||
49 | Western Digital Corp. (a) | 1,505 | ||||||
|
| |||||||
8,284 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
20 | Avnet, Inc. (a) | 617 | ||||||
34 | Corning, Inc. | 444 | ||||||
20 | Dolby Laboratories, Inc., Class A (a) | 828 | ||||||
272 | Flextronics International Ltd., (Singapore) (a) | 1,686 | ||||||
68 | Ingram Micro, Inc., Class A (a) | 1,184 | ||||||
31 | Plexus Corp. (a) | 876 | ||||||
32 | SYNNEX Corp. (a) | 1,102 | ||||||
35 | Tech Data Corp. (a) | 1,671 | ||||||
|
| |||||||
8,408 | ||||||||
|
| |||||||
Internet Software & Services — 1.4% |
| |||||||
43 | Ancestry.com, Inc. (a) | 1,176 | ||||||
9 | Equinix, Inc. (a) | 1,668 | ||||||
38 | IAC/InterActiveCorp. | 1,751 | ||||||
9 | LinkedIn Corp., Class A (a) | 994 | ||||||
17 | Sohu.com, Inc., (China) (a) | 739 | ||||||
23 | VeriSign, Inc. (a) | 1,000 | ||||||
|
| |||||||
7,328 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
29 | Accenture plc, (Ireland), Class A | 1,746 | ||||||
13 | Alliance Data Systems Corp. (a) | 1,765 | ||||||
35 | Amdocs Ltd. (a) | 1,032 | ||||||
14 | Broadridge Financial Solutions, Inc. | 307 | ||||||
32 | CACI International, Inc., Class A (a) | 1,773 | ||||||
41 | Fidelity National Information Services, Inc. | 1,405 | ||||||
34 | Gartner, Inc. (a) | 1,464 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
IT Services — Continued |
| |||||||
32 | Heartland Payment Systems, Inc. | 966 | ||||||
5 | International Business Machines Corp. | 924 | ||||||
60 | Lender Processing Services, Inc. | 1,524 | ||||||
41 | NeuStar, Inc., Class A (a) | 1,375 | ||||||
138 | SAIC, Inc. | 1,669 | ||||||
80 | Western Union Co. (The) | 1,342 | ||||||
|
| |||||||
17,292 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
290 | Advanced Micro Devices, Inc. (a) | 1,664 | ||||||
251 | Amkor Technology, Inc. (a) | 1,223 | ||||||
21 | Applied Materials, Inc. | 242 | ||||||
35 | Broadcom Corp., Class A (a) | 1,172 | ||||||
104 | Cypress Semiconductor Corp. (a) | 1,369 | ||||||
126 | Entegris, Inc. (a) | 1,076 | ||||||
207 | GT Advanced Technologies, Inc. (a) | 1,092 | ||||||
59 | Intel Corp. | 1,561 | ||||||
30 | KLA-Tencor Corp. | 1,458 | ||||||
5 | Lam Research Corp. (a) | 173 | ||||||
151 | LSI Corp. (a) | 963 | ||||||
111 | Marvell Technology Group Ltd., (Bermuda) | 1,256 | ||||||
37 | MKS Instruments, Inc. | 1,067 | ||||||
201 | ON Semiconductor Corp. (a) | 1,425 | ||||||
146 | PMC-Sierra, Inc. (a) | 897 | ||||||
|
| |||||||
16,638 | ||||||||
|
| |||||||
Software — 3.2% |
| |||||||
8 | Adobe Systems, Inc. (a) | 245 | ||||||
31 | BMC Software, Inc. (a) | 1,325 | ||||||
75 | CA, Inc. | 2,024 | ||||||
189 | Cadence Design Systems, Inc. (a) | 2,076 | ||||||
45 | Electronic Arts, Inc. (a) | 552 | ||||||
45 | Fair Isaac Corp. | 1,913 | ||||||
20 | Manhattan Associates, Inc. (a) | 916 | ||||||
58 | Microsoft Corp. | 1,772 | ||||||
45 | Oracle Corp. | 1,328 | ||||||
6 | Rovi Corp. (a) | 126 | ||||||
106 | Symantec Corp. (a) | 1,548 | ||||||
42 | Synopsys, Inc. (a) | 1,224 | ||||||
66 | TiVo, Inc. (a) | 547 | ||||||
24 | Tyler Technologies, Inc. (a) | 951 | ||||||
|
| |||||||
16,547 | ||||||||
|
| |||||||
Total Information Technology | 82,157 | |||||||
|
| |||||||
Materials — 5.3% |
| |||||||
Chemicals — 2.5% |
| |||||||
10 | CF Industries Holdings, Inc. | 1,932 | ||||||
5 | Cytec Industries, Inc. | 313 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
34 | H.B. Fuller Co. | 1,038 | ||||||
110 | Huntsman Corp. | 1,423 | ||||||
40 | Intrepid Potash, Inc. (a) | 919 | ||||||
77 | Kronos Worldwide, Inc. | 1,217 | ||||||
20 | Monsanto Co. | 1,655 | ||||||
5 | NewMarket Corp. | 1,151 | ||||||
59 | Olin Corp. | 1,242 | ||||||
45 | OM Group, Inc. (a) | 856 | ||||||
6 | Sherwin-Williams Co. (The) | 810 | ||||||
3 | Valspar Corp. | 148 | ||||||
|
| |||||||
12,704 | ||||||||
|
| |||||||
Construction Materials — 0.3% |
| |||||||
44 | Eagle Materials, Inc. | 1,655 | ||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
24 | Ball Corp. | 978 | ||||||
11 | Bemis Co., Inc. | 349 | ||||||
58 | Owens-Illinois, Inc. (a) | 1,106 | ||||||
23 | Silgan Holdings, Inc. | 991 | ||||||
|
| |||||||
3,424 | ||||||||
|
| |||||||
Metals & Mining — 1.6% |
| |||||||
28 | Cliffs Natural Resources, Inc. | 1,403 | ||||||
32 | Newmont Mining Corp. | 1,537 | ||||||
19 | Reliance Steel & Aluminum Co. | 969 | ||||||
36 | Schnitzer Steel Industries, Inc., Class A | 998 | ||||||
48 | Southern Copper Corp. | 1,520 | ||||||
106 | Steel Dynamics, Inc. | 1,249 | ||||||
38 | Worthington Industries, Inc. | 783 | ||||||
|
| |||||||
8,459 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
3 | Domtar Corp., (Canada) | 197 | ||||||
15 | Schweitzer-Mauduit International, Inc. | 1,036 | ||||||
|
| |||||||
1,233 | ||||||||
|
| |||||||
Total Materials | 27,475 | |||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
224 | Frontier Communications Corp. | 857 | ||||||
3 | Verizon Communications, Inc. | 149 | ||||||
|
| |||||||
1,006 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
123 | MetroPCS Communications, Inc. (a) | 744 | ||||||
19 | SBA Communications Corp., Class A (a) | 1,109 | ||||||
|
| |||||||
1,853 | ||||||||
|
| |||||||
Total Telecommunication Services | 2,859 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Utilities — 5.1% |
| |||||||
Electric Utilities — 2.5% |
| |||||||
39 | American Electric Power Co., Inc. | 1,560 | ||||||
23 | El Paso Electric Co. | 752 | ||||||
26 | Entergy Corp. | 1,737 | ||||||
31 | FirstEnergy Corp. | 1,522 | ||||||
18 | NextEra Energy, Inc. | 1,249 | ||||||
16 | OGE Energy Corp. | 812 | ||||||
87 | PNM Resources, Inc. | 1,705 | ||||||
82 | Portland General Electric Co. | 2,181 | ||||||
54 | PPL Corp. | 1,501 | ||||||
|
| |||||||
13,019 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
24 | ONEOK, Inc. | 1,028 | ||||||
59 | Questar Corp. | 1,222 | ||||||
8 | Southwest Gas Corp. | 352 | ||||||
39 | UGI Corp. | 1,148 | ||||||
|
| |||||||
3,750 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.3% |
| |||||||
139 | AES Corp. (The) (a) | 1,785 | ||||||
|
| |||||||
Multi-Utilities — 1.5% |
| |||||||
38 | Ameren Corp. | 1,281 | ||||||
34 | Avista Corp. | 896 | ||||||
17 | CenterPoint Energy, Inc. | 352 | ||||||
100 | CMS Energy Corp. | 2,343 | ||||||
26 | PG&E Corp. | 1,183 | ||||||
49 | Public Service Enterprise Group, Inc. | 1,593 | ||||||
|
| |||||||
7,648 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
8 | American Water Works Co., Inc. | 277 | ||||||
|
| |||||||
Total Utilities | 26,479 | |||||||
|
| |||||||
Total Common Stocks | 466,151 | |||||||
|
| |||||||
| Short-Term Investment — 12.0% |
| ||||||
Investment Company — 12.0% |
| |||||||
61,615 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 61,615 | ||||||
|
| |||||||
Total Investments — 102.7% | 527,766 | |||||||
Liabilities in Excess of | (14,126 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 513,640 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — 89.6% |
| ||||||
Common Stocks — 89.6% | ||||||||
Consumer Discretionary — 13.9% |
| |||||||
Auto Components — 0.8% |
| |||||||
67 | Gentex Corp. | 1,391 | ||||||
100 | Goodyear Tire & Rubber Co. (The) (a) | 1,186 | ||||||
54 | Johnson Controls, Inc. | 1,500 | ||||||
|
| |||||||
4,077 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
42 | DeVry, Inc. | 1,307 | ||||||
42 | Sotheby’s | 1,387 | ||||||
|
| |||||||
2,694 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
30 | BJ’s Restaurants, Inc. (a) | 1,124 | ||||||
52 | Carnival Corp. | 1,778 | ||||||
5 | Chipotle Mexican Grill, Inc. (a) | 1,719 | ||||||
23 | Gaylord Entertainment Co. (a) | 889 | ||||||
36 | Hyatt Hotels Corp., Class A (a) | 1,333 | ||||||
11 | Peet’s Coffee & Tea, Inc. (a) | 646 | ||||||
56 | Royal Caribbean Cruises Ltd. | 1,446 | ||||||
24 | Starbucks Corp. | 1,279 | ||||||
32 | Vail Resorts, Inc. | 1,618 | ||||||
75 | WMS Industries, Inc. (a) | 1,501 | ||||||
|
| |||||||
13,333 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
67 | MDC Holdings, Inc. | 2,174 | ||||||
27 | Mohawk Industries, Inc. (a) | 1,882 | ||||||
1 | NVR, Inc. (a) | 848 | ||||||
51 | Toll Brothers, Inc. (a) | 1,508 | ||||||
|
| |||||||
6,412 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
1 | Netflix, Inc. (a) | 38 | ||||||
69 | Shutterfly, Inc. (a) | 2,116 | ||||||
|
| |||||||
2,154 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.3% |
| |||||||
39 | Mattel, Inc. | 1,261 | ||||||
|
| |||||||
Media — 1.9% |
| |||||||
18 | DreamWorks Animation SKG, Inc., Class A (a) | 337 | ||||||
63 | Lamar Advertising Co., Class A (a) | 1,816 | ||||||
24 | Liberty Global, Inc., Class A (a) | 1,194 | ||||||
18 | Liberty Media Corp. - Liberty Capital, Class A (a) | 1,550 | ||||||
43 | Lions Gate Entertainment Corp. (a) | 629 | ||||||
166 | Live Nation Entertainment, Inc. (a) | 1,525 | ||||||
552 | Sirius XM Radio, Inc. (a) | 1,022 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Media — Continued |
| |||||||
36 | Walt Disney Co. (The) | 1,739 | ||||||
|
| |||||||
9,812 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
1 | Family Dollar Stores, Inc. | 72 | ||||||
61 | J.C. Penney Co., Inc. | 1,424 | ||||||
38 | Saks, Inc. (a) | 404 | ||||||
|
| |||||||
1,900 | ||||||||
|
| |||||||
Specialty Retail — 3.4% |
| |||||||
45 | Abercrombie & Fitch Co., Class A | 1,528 | ||||||
67 | Aeropostale, Inc. (a) | 1,189 | ||||||
74 | CarMax, Inc. (a) | 1,925 | ||||||
33 | Children’s Place Retail Stores, Inc. (The) (a) | 1,622 | ||||||
34 | DSW, Inc., Class A | 1,834 | ||||||
29 | Guess?, Inc. | 892 | ||||||
27 | Jos. A. Bank Clothiers, Inc. (a) | 1,154 | ||||||
37 | Men’s Wearhouse, Inc. (The) | 1,039 | ||||||
35 | Monro Muffler Brake, Inc. | 1,147 | ||||||
38 | Signet Jewelers Ltd., (Bermuda) | 1,654 | ||||||
27 | Tiffany & Co. | 1,413 | ||||||
1 | Ulta Salon Cosmetics & Fragrance, Inc. | 78 | ||||||
68 | Urban Outfitters, Inc. (a) | 1,886 | ||||||
9 | Williams-Sonoma, Inc. | 322 | ||||||
|
| |||||||
17,683 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.3% |
| |||||||
23 | Columbia Sportswear Co. | 1,243 | ||||||
29 | Deckers Outdoor Corp. (a) | 1,296 | ||||||
55 | Hanesbrands, Inc. (a) | 1,529 | ||||||
71 | Iconix Brand Group, Inc. (a) | 1,244 | ||||||
8 | NIKE, Inc., Class B | 692 | ||||||
17 | Under Armour, Inc., Class A (a) | 1,640 | ||||||
12 | V.F. Corp. | 1,642 | ||||||
25 | Warnaco Group, Inc. (The) (a) | 1,054 | ||||||
43 | Wolverine World Wide, Inc. | 1,673 | ||||||
|
| |||||||
12,013 | ||||||||
|
| |||||||
Total Consumer Discretionary | 71,339 | |||||||
|
| |||||||
Consumer Staples — 4.6% |
| |||||||
Beverages — 0.6% |
| |||||||
18 | Brown-Forman Corp., Class B | 1,707 | ||||||
14 | Coca-Cola Co. (The) | 1,121 | ||||||
6 | Monster Beverage Corp. (a) | 406 | ||||||
|
| |||||||
3,234 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
16 | Pricesmart, Inc. | 1,082 | ||||||
39 | United Natural Foods, Inc. (a) | 2,155 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — Continued |
| |||||||
— | (h) | Walgreen Co. | 2 | |||||
14 | Whole Foods Market, Inc. | 1,336 | ||||||
|
| |||||||
4,575 | ||||||||
|
| |||||||
Food Products — 2.5% |
| |||||||
19 | Darling International, Inc. (a) | 307 | ||||||
82 | Flowers Foods, Inc. | 1,911 | ||||||
40 | General Mills, Inc. | 1,525 | ||||||
29 | Green Mountain Coffee Roasters, Inc. (a) | 640 | ||||||
14 | Hershey Co. (The) | 1,044 | ||||||
33 | Hormel Foods Corp. | 1,005 | ||||||
6 | JM Smucker Co. (The) | 475 | ||||||
37 | McCormick & Co., Inc. (Non-Voting) | 2,238 | ||||||
19 | Mead Johnson Nutrition Co. | 1,499 | ||||||
23 | Post Holdings, Inc. (a) | 693 | ||||||
25 | TreeHouse Foods, Inc. (a) | 1,586 | ||||||
|
| |||||||
12,923 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
17 | Clorox Co. (The) | 1,235 | ||||||
5 | Procter & Gamble Co. (The) | 306 | ||||||
|
| |||||||
1,541 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
23 | Estee Lauder Cos., Inc. (The), Class A | 1,227 | ||||||
|
| |||||||
Total Consumer Staples | 23,500 | |||||||
|
| |||||||
Energy — 7.4% |
| |||||||
Energy Equipment & Services — 2.0% |
| |||||||
38 | Baker Hughes, Inc. | 1,541 | ||||||
35 | Cameron International Corp. (a) | 1,494 | ||||||
3 | Core Laboratories N.V., (Netherlands) | 307 | ||||||
28 | Dril-Quip, Inc. (a) | 1,851 | ||||||
9 | Gulfmark Offshore, Inc., Class A (a) | 297 | ||||||
27 | Lufkin Industries, Inc. | 1,473 | ||||||
54 | Noble Corp., (Switzerland) (a) | 1,742 | ||||||
33 | Tidewater, Inc. | 1,552 | ||||||
|
| |||||||
10,257 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.4% |
| |||||||
96 | Alpha Natural Resources, Inc. (a) | 837 | ||||||
24 | Anadarko Petroleum Corp. | 1,590 | ||||||
228 | Arch Coal, Inc. | 1,572 | ||||||
18 | Berry Petroleum Co., Class A | 732 | ||||||
25 | Cimarex Energy Co. | 1,392 | ||||||
72 | Cobalt International Energy, Inc. (a) | 1,700 | ||||||
42 | CONSOL Energy, Inc. | 1,271 | ||||||
21 | Continental Resources, Inc. (a) | 1,410 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
32 | EQT Corp. | 1,740 | ||||||
99 | Forest Oil Corp. (a) | 727 | ||||||
30 | Golar LNG Ltd., (Bermuda) | 1,121 | ||||||
57 | Gulfport Energy Corp. (a) | 1,185 | ||||||
10 | Hess Corp. | 456 | ||||||
55 | Kodiak Oil & Gas Corp. (a) | 452 | ||||||
101 | McMoRan Exploration Co. (a) | 1,274 | ||||||
224 | Quicksilver Resources, Inc. (a) | 1,213 | ||||||
17 | Range Resources Corp. | 1,067 | ||||||
170 | SandRidge Energy, Inc. (a) | 1,137 | ||||||
28 | SM Energy Co. | 1,358 | ||||||
53 | Spectra Energy Corp. | 1,553 | ||||||
33 | Swift Energy Co. (a) | 613 | ||||||
24 | Targa Resources Corp. | 1,028 | ||||||
57 | Teekay Corp., (Bermuda) | 1,682 | ||||||
13 | World Fuel Services Corp. | 496 | ||||||
20 | WPX Energy, Inc. (a) | 325 | ||||||
|
| |||||||
27,931 | ||||||||
|
| |||||||
Total Energy | 38,188 | |||||||
|
| |||||||
Financials — 12.5% |
| |||||||
Capital Markets — 3.7% |
| |||||||
4 | Affiliated Managers Group, Inc. (a) | 471 | ||||||
182 | Apollo Investment Corp. | 1,395 | ||||||
121 | Charles Schwab Corp. (The) | 1,561 | ||||||
189 | E*TRADE Financial Corp. (a) | 1,519 | ||||||
48 | Financial Engines, Inc. (a) | 1,022 | ||||||
40 | Greenhill & Co., Inc. | 1,431 | ||||||
165 | Janus Capital Group, Inc. | 1,293 | ||||||
95 | Jefferies Group, Inc. | 1,232 | ||||||
64 | Lazard Ltd., (Bermuda), Class A | 1,670 | ||||||
69 | Legg Mason, Inc. | 1,832 | ||||||
34 | LPL Financial Holdings, Inc. | 1,138 | ||||||
77 | Morgan Stanley | 1,120 | ||||||
25 | Northern Trust Corp. | 1,164 | ||||||
80 | SEI Investments Co. | 1,588 | ||||||
9 | T. Rowe Price Group, Inc. | 537 | ||||||
|
| |||||||
18,973 | ||||||||
|
| |||||||
Commercial Banks — 4.3% |
| |||||||
26 | Associated Banc-Corp. | 337 | ||||||
158 | CapitalSource, Inc. | 1,064 | ||||||
19 | Cathay General Bancorp | 319 | ||||||
48 | CIT Group, Inc. (a) | 1,714 | ||||||
192 | First Horizon National Corp. | 1,658 | ||||||
55 | FNB Corp. | 596 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
30 | Iberiabank Corp. | 1,508 | ||||||
111 | National Penn Bancshares, Inc. | 1,063 | ||||||
74 | PrivateBancorp, Inc. | 1,089 | ||||||
29 | Signature Bank (a) | 1,765 | ||||||
26 | SVB Financial Group (a) | 1,547 | ||||||
1,057 | Synovus Financial Corp. | 2,093 | ||||||
136 | TCF Financial Corp. | 1,563 | ||||||
29 | United Bankshares, Inc. | 745 | ||||||
114 | Valley National Bancorp | 1,211 | ||||||
23 | Westamerica Bancorp | 1,100 | ||||||
35 | Wintrust Financial Corp. | 1,246 | ||||||
70 | Zions Bancorp | 1,355 | ||||||
|
| |||||||
21,973 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
211 | Bank of America Corp. | 1,724 | ||||||
6 | CME Group, Inc. | 1,588 | ||||||
29 | Moody’s Corp. | 1,052 | ||||||
|
| |||||||
4,364 | ||||||||
|
| |||||||
Insurance — 1.7% |
| |||||||
48 | Cincinnati Financial Corp. | 1,842 | ||||||
296 | Genworth Financial, Inc., Class A (a) | 1,678 | ||||||
14 | Loews Corp. | 587 | ||||||
4 | Markel Corp. (a) | 1,940 | ||||||
25 | Mercury General Corp. | 1,029 | ||||||
33 | Platinum Underwriters Holdings Ltd., (Bermuda) | 1,270 | ||||||
25 | Progressive Corp. (The) | 526 | ||||||
|
| |||||||
8,872 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
53 | Glimcher Realty Trust | 537 | ||||||
15 | Kilroy Realty Corp. | 712 | ||||||
7 | SL Green Realty Corp. | 567 | ||||||
6 | Vornado Realty Trust | 536 | ||||||
91 | Weyerhaeuser Co. | 2,037 | ||||||
|
| |||||||
4,389 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% |
| |||||||
114 | Astoria Financial Corp. | 1,114 | ||||||
127 | Capitol Federal Financial, Inc. | 1,510 | ||||||
286 | Hudson City Bancorp, Inc. | 1,822 | ||||||
90 | People’s United Financial, Inc. | 1,045 | ||||||
|
| |||||||
5,491 | ||||||||
|
| |||||||
Total Financials | 64,062 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 1.2% |
| |||||||
3 | Alexion Pharmaceuticals, Inc. (a) | 272 | ||||||
121 | Ariad Pharmaceuticals, Inc. (a) | 2,088 | ||||||
16 | Cepheid, Inc. (a) | 698 | ||||||
11 | Medivation, Inc. (a) | 973 | ||||||
20 | Myriad Genetics, Inc. (a) | 484 | ||||||
26 | Pharmacyclics, Inc. (a) | 1,396 | ||||||
7 | Vertex Pharmaceuticals, Inc. (a) | 379 | ||||||
|
| |||||||
6,290 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
72 | Boston Scientific Corp. (a) | 411 | ||||||
21 | DENTSPLY International, Inc. | 792 | ||||||
12 | Edwards Lifesciences Corp. (a) | 1,221 | ||||||
20 | Haemonetics Corp. (a) | 1,479 | ||||||
21 | HeartWare International, Inc. (a) | 1,845 | ||||||
16 | IDEXX Laboratories, Inc. (a) | 1,523 | ||||||
19 | Masimo Corp. (a) | 421 | ||||||
80 | NxStage Medical, Inc. (a) | 1,342 | ||||||
21 | Sirona Dental Systems, Inc. (a) | 947 | ||||||
44 | STERIS Corp. | 1,389 | ||||||
57 | Volcano Corp. (a) | 1,647 | ||||||
|
| |||||||
13,017 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
— | (h) | Air Methods Corp. (a) | 4 | |||||
25 | AMERIGROUP Corp. (a) | 1,668 | ||||||
111 | Brookdale Senior Living, Inc. (a) | 1,975 | ||||||
13 | Chemed Corp. | 791 | ||||||
55 | HMS Holdings Corp. (a) | 1,833 | ||||||
27 | LifePoint Hospitals, Inc. (a) | 1,097 | ||||||
23 | Magellan Health Services, Inc. (a) | 1,022 | ||||||
24 | MEDNAX, Inc. (a) | 1,619 | ||||||
55 | Owens & Minor, Inc. | 1,675 | ||||||
53 | PSS World Medical, Inc. (a) | 1,107 | ||||||
6 | Quest Diagnostics, Inc. | 374 | ||||||
64 | VCA Antech, Inc. (a) | 1,399 | ||||||
|
| |||||||
14,564 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
96 | Allscripts Healthcare Solutions, Inc. (a) | 1,051 | ||||||
37 | Quality Systems, Inc. | 1,010 | ||||||
|
| |||||||
2,061 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
11 | Bio-Rad Laboratories, Inc., Class A (a) | 1,091 | ||||||
21 | Covance, Inc. (a) | 1,017 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Life Sciences Tools & Services — Continued |
| |||||||
41 | PerkinElmer, Inc. | 1,069 | ||||||
75 | QIAGEN N.V., (Netherlands) (a) | 1,256 | ||||||
16 | Techne Corp. | 1,218 | ||||||
33 | Thermo Fisher Scientific, Inc. | 1,725 | ||||||
|
| |||||||
7,376 | ||||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
47 | Hospira, Inc. (a) | 1,627 | ||||||
50 | Impax Laboratories, Inc. (a) | 1,021 | ||||||
8 | Johnson & Johnson | 520 | ||||||
42 | Medicis Pharmaceutical Corp., Class A | 1,445 | ||||||
16 | Par Pharmaceutical Cos., Inc. (a) | 586 | ||||||
12 | Perrigo Co. | 1,362 | ||||||
86 | Vivus, Inc. (a) | 2,453 | ||||||
|
| |||||||
9,014 | ||||||||
|
| |||||||
Total Health Care | 52,322 | |||||||
|
| |||||||
Industrials — 13.4% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
20 | Esterline Technologies Corp. (a) | 1,262 | ||||||
75 | Hexcel Corp. (a) | 1,939 | ||||||
11 | Moog, Inc., Class A (a) | 473 | ||||||
11 | Precision Castparts Corp. | 1,785 | ||||||
25 | Rockwell Collins, Inc. | 1,241 | ||||||
15 | Teledyne Technologies, Inc. (a) | 930 | ||||||
|
| |||||||
7,630 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
23 | Atlas Air Worldwide Holdings, Inc. (a) | 1,003 | ||||||
|
| |||||||
Airlines — 0.2% |
| |||||||
6 | Allegiant Travel Co. (a) | 403 | ||||||
3 | Copa Holdings S.A., (Panama), Class A | 287 | ||||||
40 | Southwest Airlines Co. | 373 | ||||||
|
| |||||||
1,063 | ||||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
27 | Armstrong World Industries, Inc. | 1,315 | ||||||
65 | Fortune Brands Home & Security, Inc. (a) | 1,447 | ||||||
80 | Masco Corp. | 1,115 | ||||||
50 | Owens Corning (a) | 1,417 | ||||||
41 | Simpson Manufacturing Co., Inc. | 1,218 | ||||||
|
| |||||||
6,512 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.1% |
| |||||||
32 | Clean Harbors, Inc. (a) | 1,801 | ||||||
60 | GEO Group, Inc. (The) (a) | 1,362 | ||||||
46 | Republic Services, Inc. | 1,217 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Commercial Services & Supplies — Continued |
| |||||||
52 | Rollins, Inc. | 1,158 | ||||||
22 | Stericycle, Inc. (a) | 1,979 | ||||||
50 | Waste Connections, Inc. | 1,493 | ||||||
48 | Waste Management, Inc. | 1,599 | ||||||
|
| |||||||
10,609 | ||||||||
|
| |||||||
Construction & Engineering — 0.7% |
| |||||||
50 | Jacobs Engineering Group, Inc. (a) | 1,906 | ||||||
22 | KBR, Inc. | 554 | ||||||
81 | MasTec, Inc. (a) | 1,215 | ||||||
|
| |||||||
3,675 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
28 | Emerson Electric Co. | 1,301 | ||||||
123 | GrafTech International Ltd. (a) | 1,190 | ||||||
46 | II-VI, Inc. (a) | 762 | ||||||
25 | Regal-Beloit Corp. | 1,529 | ||||||
7 | Rockwell Automation, Inc. | 433 | ||||||
|
| |||||||
5,215 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
7 | Danaher Corp. | 345 | ||||||
|
| |||||||
Machinery — 3.0% |
| |||||||
7 | Chart Industries, Inc. (a) | 457 | ||||||
32 | CLARCOR, Inc. | 1,525 | ||||||
51 | Colfax Corp. (a) | 1,404 | ||||||
25 | Donaldson Co., Inc. | 818 | ||||||
18 | Flowserve Corp. | 2,046 | ||||||
67 | Harsco Corp. | 1,374 | ||||||
48 | Kaydon Corp. | 1,026 | ||||||
143 | Manitowoc Co., Inc. (The) | 1,678 | ||||||
16 | Navistar International Corp. (a) | 459 | ||||||
26 | Nordson Corp. | 1,317 | ||||||
22 | SPX Corp. | 1,431 | ||||||
48 | Woodward, Inc. | 1,912 | ||||||
|
| |||||||
15,447 | ||||||||
|
| |||||||
Marine — 0.3% |
| |||||||
33 | Alexander & Baldwin Holdings, Inc. | 1,745 | ||||||
|
| |||||||
Professional Services — 1.1% |
| |||||||
23 | Advisory Board Co. (The) (a) | 1,121 | ||||||
22 | IHS, Inc., Class A (a) | 2,346 | ||||||
35 | Manpower, Inc. | 1,283 | ||||||
19 | Towers Watson & Co., Class A | 1,125 | ||||||
|
| |||||||
5,875 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 0.6% |
| |||||||
30 | Genesee & Wyoming, Inc., Class A (a) | 1,577 | ||||||
35 | Ryder System, Inc. | 1,262 | ||||||
|
| |||||||
2,839 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.3% |
| |||||||
50 | Air Lease Corp. (a) | 967 | ||||||
34 | Applied Industrial Technologies, Inc. | 1,239 | ||||||
43 | Fastenal Co. | 1,739 | ||||||
15 | MSC Industrial Direct Co., Inc., Class A | 954 | ||||||
3 | W.W. Grainger, Inc. | 623 | ||||||
16 | Watsco, Inc. | 1,186 | ||||||
|
| |||||||
6,708 | ||||||||
|
| |||||||
Total Industrials | 68,666 | |||||||
|
| |||||||
Information Technology — 14.9% |
| |||||||
Communications Equipment — 2.2% |
| |||||||
68 | Acme Packet, Inc. (a) | 1,270 | ||||||
50 | ADTRAN, Inc. | 1,513 | ||||||
92 | Aruba Networks, Inc. (a) | 1,383 | ||||||
107 | Finisar Corp. (a) | 1,606 | ||||||
149 | JDS Uniphase Corp. (a) | 1,637 | ||||||
35 | Juniper Networks, Inc. (a) | 576 | ||||||
13 | Riverbed Technology, Inc. (a) | 212 | ||||||
440 | Tellabs, Inc. | 1,464 | ||||||
41 | ViaSat, Inc. (a) | 1,545 | ||||||
|
| |||||||
11,206 | ||||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
38 | SanDisk Corp. (a) | 1,373 | ||||||
13 | Stratasys, Inc. (a) | 630 | ||||||
|
| |||||||
2,003 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.8% |
| |||||||
22 | Amphenol Corp., Class A | 1,219 | ||||||
46 | Cognex Corp. | 1,447 | ||||||
74 | FLIR Systems, Inc. | 1,435 | ||||||
35 | IPG Photonics Corp. (a) | 1,535 | ||||||
12 | Molex, Inc. | 278 | ||||||
45 | National Instruments Corp. | 1,220 | ||||||
51 | Universal Display Corp. (a) | 1,847 | ||||||
44 | Vishay Intertechnology, Inc. (a) | 411 | ||||||
|
| |||||||
9,392 | ||||||||
|
| |||||||
Internet Software & Services — 1.5% |
| |||||||
21 | CoStar Group, Inc. (a) | 1,737 | ||||||
35 | DealerTrack Holdings, Inc. (a) | 1,045 | ||||||
25 | eBay, Inc. (a) | 1,055 | ||||||
15 | j2 Global, Inc. | 389 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 |
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Internet Software & Services — Continued |
| |||||||
33 | LogMeIn, Inc. (a) | 1,017 | ||||||
190 | Monster Worldwide, Inc. (a) | 1,611 | ||||||
11 | OpenTable, Inc. (a) | 489 | ||||||
17 | WebMD Health Corp. (a) | 345 | ||||||
|
| |||||||
7,688 | ||||||||
|
| |||||||
IT Services — 1.7% |
| |||||||
17 | Automatic Data Processing, Inc. | 925 | ||||||
28 | FleetCor Technologies, Inc. (a) | 974 | ||||||
36 | Global Payments, Inc. | 1,538 | ||||||
47 | Paychex, Inc. | 1,468 | ||||||
104 | Sapient Corp. | 1,043 | ||||||
87 | ServiceSource International, Inc. (a) | 1,205 | ||||||
41 | VeriFone Systems, Inc. (a) | 1,369 | ||||||
|
| |||||||
8,522 | ||||||||
|
| |||||||
Office Electronics — 0.2% |
| |||||||
32 | Zebra Technologies Corp., Class A (a) | 1,113 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
115 | Atmel Corp. (a) | 770 | ||||||
62 | Cavium, Inc. (a) | 1,744 | ||||||
64 | Cree, Inc. (a) | 1,642 | ||||||
30 | Cymer, Inc. (a) | 1,745 | ||||||
64 | Diodes, Inc. (a) | 1,200 | ||||||
25 | Hittite Microwave Corp. (a) | 1,270 | ||||||
69 | International Rectifier Corp. (a) | 1,379 | ||||||
644 | MEMC Electronic Materials, Inc. (a) | 1,398 | ||||||
51 | Microchip Technology, Inc. | 1,696 | ||||||
144 | Micron Technology, Inc. (a) | 909 | ||||||
106 | OmniVision Technologies, Inc. (a) | 1,416 | ||||||
15 | Power Integrations, Inc. | 578 | ||||||
88 | RF Micro Devices, Inc. (a) | 376 | ||||||
45 | Semtech Corp. (a) | 1,097 | ||||||
58 | Skyworks Solutions, Inc. (a) | 1,601 | ||||||
55 | Texas Instruments, Inc. | 1,578 | ||||||
14 | Veeco Instruments, Inc. (a) | 481 | ||||||
|
| |||||||
20,880 | ||||||||
|
| |||||||
Software — 3.0% |
| |||||||
29 | ACI Worldwide, Inc. (a) | 1,270 | ||||||
25 | BroadSoft, Inc. (a) | 734 | ||||||
3 | FactSet Research Systems, Inc. | 299 | ||||||
52 | Fortinet, Inc. (a) | 1,214 | ||||||
13 | JDA Software Group, Inc. (a) | 390 | ||||||
38 | MICROS Systems, Inc. (a) | 1,953 | ||||||
13 | MicroStrategy, Inc., Class A (a) | 1,670 | ||||||
43 | NetSuite, Inc. (a) | 2,354 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
48 | QLIK Technologies, Inc. (a) | 1,059 | ||||||
13 | Red Hat, Inc. (a) | 746 | ||||||
35 | Solera Holdings, Inc. | 1,468 | ||||||
39 | Synchronoss Technologies, Inc. (a) | 725 | ||||||
128 | Take-Two Interactive Software, Inc. (a) | 1,207 | ||||||
6 | Ultimate Software Group, Inc. (a) | 523 | ||||||
|
| |||||||
15,612 | ||||||||
|
| |||||||
Total Information Technology | 76,416 | |||||||
|
| |||||||
Materials — 6.6% |
| |||||||
Chemicals — 2.7% |
| |||||||
17 | Air Products & Chemicals, Inc. | 1,363 | ||||||
8 | Airgas, Inc. | 676 | ||||||
30 | Ashland, Inc. | 2,102 | ||||||
37 | Dow Chemical Co. (The) | 1,163 | ||||||
22 | FMC Corp. | 1,185 | ||||||
23 | Innophos Holdings, Inc. | 1,320 | ||||||
16 | International Flavors & Fragrances, Inc. | 891 | ||||||
13 | Praxair, Inc. | 1,415 | ||||||
40 | Scotts Miracle-Gro Co. (The), Class A | 1,642 | ||||||
21 | Sensient Technologies Corp. | 783 | ||||||
15 | Sigma-Aldrich Corp. | 1,136 | ||||||
|
| |||||||
13,676 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
33 | Texas Industries, Inc. | 1,297 | ||||||
|
| |||||||
Containers & Packaging — 1.2% |
| |||||||
18 | Aptargroup, Inc. | 907 | ||||||
19 | Greif, Inc., Class A | 767 | ||||||
74 | Packaging Corp. of America | 2,085 | ||||||
21 | Rock-Tenn Co., Class A | 1,134 | ||||||
81 | Sealed Air Corp. | 1,243 | ||||||
|
| |||||||
6,136 | ||||||||
|
| |||||||
Metals & Mining — 2.3% |
| |||||||
291 | AK Steel Holding Corp. | 1,711 | ||||||
60 | Allied Nevada Gold Corp. (a) | 1,695 | ||||||
119 | Century Aluminum Co. (a) | 874 | ||||||
15 | Compass Minerals International, Inc. | 1,151 | ||||||
86 | Globe Specialty Metals, Inc. | 1,149 | ||||||
354 | Hecla Mining Co. | 1,683 | ||||||
209 | Thompson Creek Metals Co., Inc. (a) | 668 | ||||||
116 | Titanium Metals Corp. | 1,313 | ||||||
32 | Walter Energy, Inc. | 1,420 | ||||||
|
| |||||||
11,664 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Paper & Forest Products — 0.2% |
| |||||||
41 | MeadWestvaco Corp. | 1,168 | ||||||
|
| |||||||
Total Materials | 33,941 | |||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
Diversified Telecommunication Services — 0.1% |
| |||||||
35 | Level 3 Communications, Inc. (a) | 769 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
20 | Crown Castle International Corp. (a) | 1,181 | ||||||
131 | NII Holdings, Inc. (a) | 1,340 | ||||||
|
| |||||||
2,521 | ||||||||
|
| |||||||
Total Telecommunication Services | 3,290 | |||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
35 | Cleco Corp. | 1,469 | ||||||
10 | Edison International | 465 | ||||||
25 | Exelon Corp. | 937 | ||||||
32 | Great Plains Energy, Inc. | 694 | ||||||
30 | IDACORP, Inc. | 1,259 | ||||||
53 | Northeast Utilities | 2,056 | ||||||
41 | Southern Co. (The) | 1,914 | ||||||
32 | UIL Holdings Corp. | 1,163 | ||||||
52 | Westar Energy, Inc. | 1,571 | ||||||
|
| |||||||
11,528 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.7% |
| |||||||
32 | National Fuel Gas Co. | 1,518 | ||||||
37 | Piedmont Natural Gas Co., Inc. | 1,176 | ||||||
22 | South Jersey Industries, Inc. | 1,118 | ||||||
|
| |||||||
3,812 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.8% |
| |||||||
81 | Atlantic Power Corp. | 1,036 | ||||||
116 | Calpine Corp. (a) | 1,916 | ||||||
455 | GenOn Energy, Inc. (a) | 777 | ||||||
23 | NRG Energy, Inc. (a) | 402 | ||||||
|
| |||||||
4,131 | ||||||||
|
| |||||||
Multi-Utilities — 1.8% |
| |||||||
21 | Consolidated Edison, Inc. | 1,331 | ||||||
33 | Dominion Resources, Inc. | 1,794 | ||||||
22 | Integrys Energy Group, Inc. | 1,251 | ||||||
22 | MDU Resources Group, Inc. | 471 | ||||||
66 | NiSource, Inc. | 1,643 | ||||||
36 | SCANA Corp. | 1,703 | ||||||
21 | Wisconsin Energy Corp. | 843 | ||||||
|
| |||||||
9,036 | ||||||||
|
| |||||||
Total Utilities | 28,507 | |||||||
|
| |||||||
Total Short Positions | $ | 460,231 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 |
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% |
| ||||||
Consumer Discretionary — 12.1% |
| |||||||
Distributors — 1.0% |
| |||||||
190 | Genuine Parts Co. | 11,441 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
288 | Marriott International, Inc., Class A | 11,297 | ||||||
112 | McDonald’s Corp. | 9,942 | ||||||
86 | Monarch Casino & Resort, Inc. (a) | 787 | ||||||
|
| |||||||
22,026 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.6% |
| |||||||
130 | Expedia, Inc. | 6,249 | ||||||
|
| |||||||
Media — 3.4% |
| |||||||
736 | Belo Corp., Class A | 4,742 | ||||||
232 | CBS Corp. (Non-Voting), Class B | 7,611 | ||||||
391 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 2,354 | ||||||
629 | Entercom Communications Corp., Class A (a) | 3,787 | ||||||
297 | Gannett Co., Inc. | 4,369 | ||||||
130 | Time Warner Cable, Inc. | 10,681 | ||||||
13 | Washington Post Co. (The), Class B | 4,860 | ||||||
|
| |||||||
38,404 | ||||||||
|
| |||||||
Multiline Retail — 1.5% |
| |||||||
374 | Kohl’s Corp. | 17,018 | ||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
37 | AutoZone, Inc. (a) | 13,666 | ||||||
37 | Bed Bath & Beyond, Inc. (a) | 2,299 | ||||||
288 | Home Depot, Inc. (The) | 15,261 | ||||||
51 | TJX Cos., Inc. | 2,185 | ||||||
242 | Williams-Sonoma, Inc. | 8,453 | ||||||
|
| |||||||
41,864 | ||||||||
|
| |||||||
Total Consumer Discretionary | 137,002 | |||||||
|
| |||||||
Consumer Staples — 3.4% |
| |||||||
Beverages — 0.8% |
| |||||||
83 | Diageo plc, (United Kingdom), ADR | 8,534 | ||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
316 | Walgreen Co. | 9,353 | ||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
331 | Procter & Gamble Co. (The) | 20,256 | ||||||
|
| |||||||
Total Consumer Staples | 38,143 | |||||||
|
| |||||||
Energy — 12.3% |
| |||||||
Oil, Gas & Consumable Fuels — 12.3% |
| |||||||
452 | Devon Energy Corp. | 26,211 | ||||||
346 | Energen Corp. | 15,631 | ||||||
502 | Exxon Mobil Corp. | 42,956 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
260 | Kinder Morgan, Inc. | 8,384 | ||||||
318 | NuStar GP Holdings LLC | 9,856 | ||||||
160 | Phillips 66 (a) | 5,325 | ||||||
240 | QEP Resources, Inc. | 7,181 | ||||||
280 | Southwestern Energy Co. (a) | 8,940 | ||||||
376 | Teekay Corp., (Bermuda) | 10,998 | ||||||
139 | Williams Cos., Inc. (The) | 4,006 | ||||||
|
| |||||||
Total Energy | 139,488 | |||||||
|
| |||||||
Financials — 33.7% |
| |||||||
Capital Markets — 4.5% |
| |||||||
316 | Ameriprise Financial, Inc. | 16,504 | ||||||
868 | Charles Schwab Corp. (The) | 11,219 | ||||||
515 | Invesco Ltd. | 11,639 | ||||||
416 | Legg Mason, Inc. | 10,973 | ||||||
4 | W.P. Carey & Co. LLC | 164 | ||||||
|
| |||||||
50,499 | ||||||||
|
| |||||||
Commercial Banks — 8.5% |
| |||||||
121 | City National Corp. | 5,878 | ||||||
55 | Cullen/Frost Bankers, Inc. | 3,145 | ||||||
182 | M&T Bank Corp. | 15,061 | ||||||
487 | SunTrust Banks, Inc. | 11,810 | ||||||
511 | U.S. Bancorp | 16,440 | ||||||
1,314 | Wells Fargo & Co. | 43,923 | ||||||
|
| |||||||
96,257 | ||||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
337 | Capital One Financial Corp. | 18,404 | ||||||
|
| |||||||
Diversified Financial Services — 2.5% |
| |||||||
1,795 | Bank of America Corp. | 14,680 | ||||||
495 | Citigroup, Inc. | 13,558 | ||||||
|
| |||||||
28,238 | ||||||||
|
| |||||||
Insurance — 12.1% |
| |||||||
45 | Alleghany Corp. (a) | 15,357 | ||||||
73 | Allied World Assurance Co. Holdings AG, (Switzerland) | 5,809 | ||||||
564 | American International Group, Inc. (a) | 18,105 | ||||||
— | (h) | Berkshire Hathaway, Inc., Class A (a) | 15,993 | |||||
164 | Endurance Specialty Holdings Ltd., (Bermuda) | 6,292 | ||||||
726 | Loews Corp. | 29,680 | ||||||
715 | Old Republic International Corp. | 5,926 | ||||||
247 | OneBeacon Insurance Group Ltd., Class A | 3,217 | ||||||
158 | Prudential Financial, Inc. | 7,628 | ||||||
224 | Travelers Cos., Inc. (The) | 14,307 | ||||||
427 | Unum Group | 8,172 | ||||||
153 | W.R. Berkley Corp. | 5,970 | ||||||
|
| |||||||
136,456 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
212 | Agree Realty Corp. | 4,698 | ||||||
694 | Cousins Properties, Inc. | 5,376 | ||||||
472 | CreXus Investment Corp. | 4,805 | ||||||
483 | Excel Trust, Inc. | 5,778 | ||||||
155 | Rayonier, Inc. | 6,973 | ||||||
|
| |||||||
27,630 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
203 | Brookfield Asset Management, Inc., (Canada), Class A | 6,709 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.5% |
| |||||||
279 | Capitol Federal Financial, Inc. | 3,315 | ||||||
508 | EverBank Financial Corp. (a) | 5,523 | ||||||
713 | People’s United Financial, Inc. | 8,277 | ||||||
|
| |||||||
17,115 | ||||||||
|
| |||||||
Total Financials | 381,308 | |||||||
|
| |||||||
Health Care — 11.2% |
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
104 | Covidien plc, (Ireland) | 5,564 | ||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
104 | Humana, Inc. | 8,077 | ||||||
411 | Lincare Holdings, Inc. | 13,974 | ||||||
134 | McKesson Corp. | 12,553 | ||||||
217 | National Healthcare Corp. | 9,811 | ||||||
|
| |||||||
44,415 | ||||||||
|
| |||||||
Pharmaceuticals — 6.8% |
| |||||||
272 | Bristol-Myers Squibb Co. | 9,779 | ||||||
301 | Johnson & Johnson | 20,342 | ||||||
383 | Merck & Co., Inc. | 15,990 | ||||||
1,313 | Pfizer, Inc. | 30,204 | ||||||
|
| |||||||
76,315 | ||||||||
|
| |||||||
Total Health Care | 126,294 | |||||||
|
| |||||||
Industrials — 4.6% |
| |||||||
Electrical Equipment — 0.8% |
| |||||||
191 | Emerson Electric Co. | 8,906 | ||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
289 | Carlisle Cos., Inc. | 15,302 | ||||||
|
| |||||||
Machinery — 0.9% |
| |||||||
206 | Illinois Tool Works, Inc. | 10,874 | ||||||
|
| |||||||
Professional Services — 1.3% |
| |||||||
56 | Dun & Bradstreet Corp. (The) | 3,992 | ||||||
227 | Equifax, Inc. | 10,569 | ||||||
|
| |||||||
14,561 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.3% |
| |||||||
155 | Air Lease Corp. (a) | 3,011 | ||||||
|
| |||||||
Total Industrials | 52,654 | |||||||
|
| |||||||
Information Technology — 3.5% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
484 | Cisco Systems, Inc. | 8,309 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
230 | Analog Devices, Inc. | 8,668 | ||||||
288 | Intel Corp. | 7,678 | ||||||
|
| |||||||
16,346 | ||||||||
|
| |||||||
Software — 1.4% |
| |||||||
498 | Microsoft Corp. | 15,218 | ||||||
|
| |||||||
Total Information Technology | 39,873 | |||||||
|
| |||||||
Materials — 4.6% |
| |||||||
Chemicals — 1.5% |
| |||||||
218 | Albemarle Corp. | 12,995 | ||||||
30 | Sherwin-Williams Co. (The) | 3,984 | ||||||
|
| |||||||
16,979 | ||||||||
|
| |||||||
Construction Materials — 1.0% |
| |||||||
145 | Martin Marietta Materials, Inc. | 11,453 | ||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
205 | Rock-Tenn Co., Class A | 11,155 | ||||||
|
| |||||||
Paper & Forest Products — 1.1% |
| |||||||
424 | MeadWestvaco Corp. | 12,199 | ||||||
|
| |||||||
Total Materials | 51,786 | |||||||
|
| |||||||
Telecommunication Services — 4.0% |
| |||||||
Diversified Telecommunication Services — 2.8% |
| |||||||
894 | AT&T, Inc. | 31,869 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.2% |
| |||||||
117 | Telephone & Data Systems, Inc. | 2,500 | ||||||
386 | Vodafone Group plc, (United Kingdom), ADR | 10,867 | ||||||
|
| |||||||
13,367 | ||||||||
|
| |||||||
Total Telecommunication Services | 45,236 | |||||||
|
| |||||||
Utilities — 7.9% |
| |||||||
Electric Utilities — 4.6% |
| |||||||
207 | NextEra Energy, Inc. | 14,264 | ||||||
320 | Northeast Utilities | 12,408 | ||||||
240 | Progress Energy, Inc. | 14,429 | ||||||
236 | Southern Co. (The) | 10,931 | ||||||
|
| |||||||
52,032 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 49 |
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Gas Utilities — 1.0% |
| |||||||
209 | Atmos Energy Corp. | 7,323 | ||||||
89 | ONEOK, Inc. | 3,774 | ||||||
|
| |||||||
11,097 | ||||||||
|
| |||||||
Multi-Utilities — 2.3% |
| |||||||
253 | PG&E Corp. | 11,453 | ||||||
219 | Sempra Energy | 15,050 | ||||||
|
| |||||||
26,503 | ||||||||
|
| |||||||
Total Utilities | 89,632 | |||||||
|
| |||||||
Total Common Stocks | 1,101,416 | |||||||
|
| |||||||
| Investment Company — 0.5% |
| ||||||
379 | Cohen & Steers Infrastructure Fund, Inc. | 6,526 | ||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
23,563 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 23,563 | ||||||
|
| |||||||
Total Investments — 99.9% | 1,131,505 | |||||||
Other Assets in Excess of | 634 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,132,139 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
J.P. Morgan Mid Cap/Multi-Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
ADR | — American Depositary Receipt | |||||
(a) | — Non-income producing security. | |||||
(b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |||||
(c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |||||
(g) | — Amount rounds to less than 0.1%. |
(h) | — Amount rounds to less than one thousand (shares or dollars). | |||||
(j) | — All or a portion of these securities are segregated for short sales. | |||||
(l) | — The rate shown is the current yield as of June 30, 2012. | |||||
(m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 51 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(Amounts in thousands, except per share amounts)
Growth Advantage Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 1,294,824 | $ | 341,131 | $ | 790,558 | $ | 1,380,457 | ||||||||
Investments in affiliates, at value | 55,818 | 8,465 | 30,451 | 62,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 1,350,642 | 349,596 | 821,009 | 1,443,252 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 14,465 | 6,315 | 3,729 | 1,730 | ||||||||||||
Fund shares sold | 3,116 | 938 | 1,957 | 1,596 | ||||||||||||
Dividends from non-affiliates | 371 | 311 | 707 | 473 | ||||||||||||
Dividends from affiliates | 6 | 2 | 4 | 7 | ||||||||||||
Securities lending income | — | — | — | (a) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 1,368,600 | 357,162 | 827,406 | 1,447,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | — | — | 193 | — | ||||||||||||
Investment securities purchased | 8,459 | 845 | 2,472 | 1,597 | ||||||||||||
Collateral for securities lending program | — | — | 1,138 | 3,821 | ||||||||||||
Fund shares redeemed | 3,349 | 6,475 | 1,400 | 13,207 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 698 | 179 | 401 | 704 | ||||||||||||
Administration fees | 94 | 23 | 47 | — | ||||||||||||
Shareholder servicing fees | 190 | 63 | 1 | 242 | ||||||||||||
Distribution fees | 57 | — | (a) | 2 | 129 | |||||||||||
Custodian and accounting fees | 11 | 6 | 5 | 11 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | 2 | 1 | ||||||||||
Other | 185 | 49 | 411 | 531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 13,043 | 7,640 | 6,072 | 20,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 1,355,557 | $ | 349,522 | $ | 821,334 | $ | 1,426,816 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Growth Advantage Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 1,148,832 | $ | 335,404 | $ | 710,889 | $ | 1,221,707 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (340 | ) | 1,332 | (206 | ) | (84 | ) | |||||||||
Accumulated net realized gains (losses) | (17,549 | ) | (1,428 | ) | (13,532 | ) | (36,970 | ) | ||||||||
Net unrealized appreciation (depreciation) | 224,614 | 14,214 | 124,183 | 242,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 1,355,557 | $ | 349,522 | $ | 821,334 | $ | 1,426,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 194,911 | $ | 455 | $ | 6,965 | $ | 538,323 | ||||||||
Class B | 2,327 | — | — | 9,948 | ||||||||||||
Class C | 27,469 | 125 | 1,244 | 22,190 | ||||||||||||
Class R2 | — | 57 | — | 230 | ||||||||||||
Class R5 | 468,064 | 58 | — | 14,837 | ||||||||||||
Class R6 | — | 28,251 | — | 13,982 | ||||||||||||
Select Class | 662,786 | 320,576 | 813,125 | 827,306 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,355,557 | $ | 349,522 | $ | 821,334 | $ | 1,426,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 20,544 | 27 | 225 | 27,572 | ||||||||||||
Class B | 266 | — | — | 674 | ||||||||||||
Class C | 3,133 | 7 | 40 | 1,292 | ||||||||||||
Class R2 | — | 3 | — | 11 | ||||||||||||
Class R5 | 48,286 | 3 | — | 701 | ||||||||||||
Class R6 | — | 1,640 | — | 660 | ||||||||||||
Select Class | 68,850 | 18,657 | 26,190 | 39,109 | ||||||||||||
Net Asset Value (b): | ||||||||||||||||
Class A — Redemption price per share | $ | 9.49 | $ | 17.16 | $ | 30.97 | $ | 19.52 | ||||||||
Class B — Offering price per share (c) | 8.76 | — | — | 14.76 | ||||||||||||
Class C — Offering price per share (c) | 8.77 | 17.03 | 30.75 | 17.17 | ||||||||||||
Class R2 — Offering and redemption price per share | — | 17.10 | — | 20.83 | ||||||||||||
Class R5 — Offering and redemption price per share | 9.69 | 17.23 | — | 21.18 | ||||||||||||
Class R6 — Offering and redemption price per share | — | 17.23 | — | 21.19 | ||||||||||||
Select Class — Offering and redemption price per share | 9.63 | 17.18 | 31.05 | 21.15 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 10.02 | $ | 18.11 | $ | 32.69 | $ | 20.60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 1,070,210 | $ | 326,917 | $ | 666,375 | $ | 1,138,294 | ||||||||
Cost of investments in affiliates | 55,818 | 8,465 | 30,451 | 62,795 | ||||||||||||
Value of securities on loan | — | — | 1,140 | 3,831 |
(a) | Amount rounds to less than $1,000. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 53 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except per share amounts)
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 7,494,701 | $ | 466,151 | $ | 1,107,942 | ||||||
Investments in affiliates, at value | 307,131 | 61,615 | 23,563 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 7,801,832 | 527,766 | 1,131,505 | |||||||||
Deposits at broker for securities sold short | — | 447,003 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 60,017 | 11 | 2,888 | |||||||||
Fund shares sold | 17,642 | 6 | 1,971 | |||||||||
Dividends from non-affiliates | 11,352 | 337 | 1,838 | |||||||||
Dividends from affiliates | 32 | 10 | 4 | |||||||||
Securities lending income | 1 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 7,890,876 | 975,133 | 1,138,206 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Securities sold short, at value | — | 460,231 | — | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 392 | — | |||||||||
Investment securities purchased | 40,910 | — | 2,127 | |||||||||
Interest expense to non-affiliates on securities sold short | — | 46 | — | |||||||||
Collateral for securities lending program | 3,735 | — | — | |||||||||
Fund shares redeemed | 29,639 | 116 | 2,854 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 3,397 | 501 | 524 | |||||||||
Shareholder servicing fees | 822 | 4 | 149 | |||||||||
Distribution fees | 660 | 15 | 112 | |||||||||
Custodian and accounting fees | 44 | 11 | 7 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 4 | — | (a) | 1 | ||||||||
Other | 2,118 | 177 | 293 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 81,329 | 461,493 | 6,067 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 7,809,547 | $ | 513,640 | $ | 1,132,139 | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 6,254,438 | $ | 557,822 | $ | 1,005,657 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 72,280 | (3,153 | ) | 9,188 | ||||||||
Accumulated net realized gains (losses) | (165,001 | ) | (92,521 | ) | (26,652 | ) | ||||||
Net unrealized appreciation (depreciation) | 1,647,830 | 51,492 | 143,946 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 7,809,547 | $ | 513,640 | $ | 1,132,139 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,986,930 | $ | 19,759 | $ | 206,816 | ||||||
Class B | 57,100 | 1,401 | — | |||||||||
Class C | 370,781 | 15,677 | 117,937 | |||||||||
Class R2 | 14,824 | — | — | |||||||||
Institutional Class | 3,543,900 | — | 384,525 | |||||||||
Select Class | 1,836,012 | 476,803 | 422,861 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 7,809,547 | $ | 513,640 | $ | 1,132,139 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 77,007 | 2,039 | 10,360 | |||||||||
Class B | 2,269 | 151 | — | |||||||||
Class C | 14,747 | 1,686 | 5,923 | |||||||||
Class R2 | 589 | — | — | |||||||||
Institutional Class | 135,038 | — | 19,232 | |||||||||
Select Class | 70,587 | 48,571 | 21,145 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 25.80 | $ | 9.69 | $ | 19.96 | ||||||
Class B — Offering price per share (c) | 25.16 | 9.29 | — | |||||||||
Class C — Offering price per share (c) | 25.14 | 9.30 | 19.91 | |||||||||
Class R2 — Offering and redemption price per share | 25.18 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 26.24 | — | 19.99 | |||||||||
Select Class — Offering and redemption price per share | 26.01 | 9.82 | 20.00 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 27.23 | $ | 10.23 | $ | 21.07 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 5,846,871 | $ | 434,789 | $ | 963,996 | ||||||
Cost of investments in affiliates | 307,131 | 61,615 | 23,563 | |||||||||
Value of securities on loan | 3,701 | — | — | |||||||||
Proceeds received from securities sold short | — | 480,361 | — |
(a) | Amount rounds to less than $1,000. |
(b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 55 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(Amounts in thousands)
Growth Advantage Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from non-affiliates | $ | 10,190 | $ | 4,337 | $ | 9,221 | $ | 14,646 | ||||||||
Dividend income from affiliates | 34 | 15 | 24 | 50 | ||||||||||||
Income from securities lending (net) | 109 | — | 32 | 180 | ||||||||||||
Other income | — | — | — | 58 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 10,333 | 4,352 | 9,277 | 14,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 7,640 | 1,612 | 3,936 | 9,621 | ||||||||||||
Administration fees | 1,031 | 217 | 531 | 1,299 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 436 | 1 | 11 | 1,462 | ||||||||||||
Class B | 19 | — | — | 99 | ||||||||||||
Class C | 167 | 1 | 4 | 179 | ||||||||||||
Class R2 | — | — | (a) | — | 1 | |||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 436 | 1 | 11 | 1,462 | ||||||||||||
Class B | 6 | — | — | 33 | ||||||||||||
Class C | 55 | — | (a) | 2 | 60 | |||||||||||
Class R2 | — | — | (a) | — | — | (a) | ||||||||||
Class R5 | 126 | — | (a) | — | 2 | |||||||||||
Select Class | 1,813 | 590 | 1,501 | 2,124 | ||||||||||||
Custodian and accounting fees | 51 | 27 | 30 | 75 | ||||||||||||
Interest expense to affiliates | — | (a) | — | — | — | |||||||||||
Professional fees | 55 | 35 | 42 | 49 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 11 | 2 | 6 | 12 | ||||||||||||
Printing and mailing costs | 99 | 11 | 299 | 325 | ||||||||||||
Registration and filing fees | 77 | 65 | 74 | 5 | ||||||||||||
Transfer agent fees | 361 | 10 | 1,435 | 1,515 | ||||||||||||
Other | 88 | 13 | 6 | 21 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 12,471 | 2,585 | 7,888 | 18,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (145 | ) | (154 | ) | (2,456 | ) | (2,543 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 12,326 | 2,431 | 5,432 | 15,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (1,993 | ) | 1,921 | 3,845 | (867 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 36,525 | (1,412 | ) | 7,873 | 73,405 | |||||||||||
Futures | — | — | — | 979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 36,525 | (1,412 | ) | 7,873 | 74,384 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments in non-affiliates | (18,846 | ) | 13,816 | (3,327 | ) | (186,393 | ) | |||||||||
Futures | — | — | — | (173 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | (18,846 | ) | 13,816 | (3,327 | ) | (186,566 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 17,679 | 12,404 | 4,546 | (112,182 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 15,686 | $ | 14,325 | $ | 8,391 | $ | (113,049 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from affiliates | $ | — | $ | 12 | $ | — | ||||||
Dividend income from non-affiliates | 139,475 | 7,388 | 23,912 | |||||||||
Dividend income from affiliates | 284 | 73 | 35 | |||||||||
Income from securities lending (net) | 25 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 139,784 | 7,473 | 23,947 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 43,973 | 6,504 | 5,993 | |||||||||
Administration fees | 5,931 | 457 | 808 | |||||||||
Distribution fees: | ||||||||||||
Class A | 4,628 | 61 | 513 | |||||||||
Class B | 515 | 18 | — | |||||||||
Class C | 2,597 | 138 | 868 | |||||||||
Class R2 | 47 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 4,628 | 61 | 513 | |||||||||
Class B | 172 | 6 | — | |||||||||
Class C | 866 | 46 | 289 | |||||||||
Class R2 | 23 | — | — | |||||||||
Institutional Class | 2,947 | — | 314 | |||||||||
Select Class | 3,856 | 1,188 | 718 | |||||||||
Custodian and accounting fees | 246 | 76 | 45 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 105 | 64 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 73 | 2 | 7 | |||||||||
Printing and mailing costs | 1,079 | 32 | 184 | |||||||||
Registration and filing fees | 277 | 44 | 83 | |||||||||
Transfer agent fees | 9,620 | 291 | 1,200 | |||||||||
Other | 146 | 8 | 7 | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 6,489 | — | |||||||||
Interest expense to non-affiliates on securities sold short | — | 682 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 81,729 | 16,167 | 11,598 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (14,427 | ) | (2,330 | ) | (1,835 | ) | ||||||
Less earnings credits | — | — | (a) | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 67,302 | 13,837 | 9,763 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 72,482 | (6,364 | ) | 14,184 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 226,074 | 27,887 | 35,802 | |||||||||
Securities sold short | — | (853 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 226,074 | 27,034 | 35,802 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 80,566 | (57,524 | ) | 1,096 | ||||||||
Securities sold short | — | 30,986 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 80,566 | (26,538 | ) | 1,096 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 306,640 | 496 | 36,898 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 379,122 | $ | (5,868 | ) | $ | 51,082 | |||||
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 57 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
Growth Advantage Fund | Mid Cap Core Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Period Ended 6/30/2011 (a) | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (1,993 | ) | $ | (2,651 | ) | $ | 1,921 | $ | 44 | ||||||
Net realized gain (loss) | 36,525 | 80,245 | (1,412 | ) | 78 | |||||||||||
Change in net unrealized appreciation (depreciation) | (18,846 | ) | 181,810 | 13,816 | 398 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 15,686 | 259,404 | 14,325 | 520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | — | (b) | — | (b) | ||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | — | (b) | — | |||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | — | (b) | — | |||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | — | (b) | — | (b) | ||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class R6 (c) | ||||||||||||||||
From net investment income | — | — | — | (b) | — | |||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (632 | ) | (1 | ) | ||||||||||
From net realized gains | — | — | (94 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (726 | ) | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 123,715 | 157,627 | 244,141 | 91,263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 139,401 | 417,031 | 257,740 | 91,782 | ||||||||||||
Beginning of period | 1,216,156 | 799,125 | 91,782 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,355,557 | $ | 1,216,156 | $ | 349,522 | $ | 91,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (340 | ) | $ | (37 | ) | $ | 1,332 | $ | 44 | ||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was November 30, 2010. |
(b) | Amount rounds to less than $1,000. |
(c) | Commencement of offering of class of shares effective January 31, 2011 for Mid Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 3,845 | $ | 2,229 | $ | (867 | ) | $ | (4,513 | ) | ||||||
Net realized gain (loss) | 7,873 | 27,793 | 74,384 | 267,778 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (3,327 | ) | 96,239 | (186,566 | ) | 276,234 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 8,391 | 126,261 | (113,049 | ) | 539,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (15 | ) | (5 | ) | — | — | ||||||||||
From net realized gains | — | — | (55,641 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net realized gains | — | — | (1,640 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | (a) | — | (a) | — | — | ||||||||||
From net realized gains | — | — | (2,514 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net realized gains | — | — | (16 | ) | — | |||||||||||
Class R5 (b) | ||||||||||||||||
From net realized gains | — | — | (5 | ) | — | |||||||||||
Class R6 (b) | ||||||||||||||||
From net realized gains | — | — | (5 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (3,722 | ) | (1,984 | ) | — | — | ||||||||||
From net realized gains | — | — | (74,559 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (3,737 | ) | (1,989 | ) | (134,380 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 244,461 | (16,990 | ) | (101,508 | ) | (53,988 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 249,115 | 107,282 | (348,937 | ) | 485,511 | |||||||||||
Beginning of period | 572,219 | 464,937 | 1,775,753 | 1,290,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 821,334 | $ | 572,219 | $ | 1,426,816 | $ | 1,775,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (206 | ) | $ | (220 | ) | $ | (84 | ) | $ | (122 | ) | ||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than $1,000. |
(b) | Commencement of offering of class of shares effective November 1, 2011 for Mid Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 59 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 72,482 | $ | 62,082 | $ | (6,364 | ) | $ | (8,614 | ) | ||||||
Net realized gain (loss) | 226,074 | 261,794 | 27,034 | 12,061 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 80,566 | 1,311,629 | (26,538 | ) | 3,429 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 379,122 | 1,635,505 | (5,868 | ) | 6,876 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (12,100 | ) | (15,422 | ) | — | — | ||||||||||
Class B | ||||||||||||||||
From net investment income | — | (167 | ) | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (616 | ) | (1,171 | ) | — | — | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (67 | ) | (36 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (33,157 | ) | (29,944 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (14,296 | ) | (13,423 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (60,236 | ) | (60,163 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 714,827 | 111,762 | (26,939 | ) | (35,976 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,033,713 | 1,687,104 | (32,807 | ) | (29,100 | ) | ||||||||||
Beginning of period | 6,775,834 | 5,088,730 | 546,447 | 575,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,809,547 | $ | 6,775,834 | $ | 513,640 | $ | 546,447 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 72,280 | $ | 60,033 | $ | (3,153 | ) | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Value Advantage Fund | ||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 14,184 | $ | 10,539 | ||||
Net realized gain (loss) | 35,802 | 43,953 | ||||||
Change in net unrealized appreciation (depreciation) | 1,096 | 101,318 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 51,082 | 155,810 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (2,164 | ) | (1,878 | ) | ||||
Class C | ||||||||
From net investment income | (619 | ) | (513 | ) | ||||
Institutional Class | ||||||||
From net investment income | (4,920 | ) | (3,215 | ) | ||||
Select Class | ||||||||
From net investment income | (3,577 | ) | (2,578 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (11,280 | ) | (8,184 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | 173,496 | 285,229 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 213,298 | 432,855 | ||||||
Beginning of period | 918,841 | 485,986 | ||||||
|
|
|
| |||||
End of period | $ | 1,132,139 | $ | 918,841 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 9,188 | $ | 5,361 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 61 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Growth Advantage Fund | Mid Cap Core Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Period Ended 6/30/2011 (a) | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 81,189 | $ | 92,600 | $ | 463 | $ | 296 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | (b) | ||||||||||
Cost of shares redeemed | (65,978 | ) | (59,032 | ) | (281 | ) | (33 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 15,211 | $ | 33,568 | $ | 182 | $ | 263 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 158 | $ | 267 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (1,004 | ) | (1,177 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (846 | ) | $ | (910 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 15,180 | $ | 11,077 | $ | 50 | $ | 100 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Cost of shares redeemed | (8,713 | ) | (7,860 | ) | (24 | ) | (9 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 6,467 | $ | 3,217 | $ | 26 | $ | 91 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | (b) | $ | 50 | |||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Cost of shares redeemed | — | — | — | — | (b) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | — | (b) | $ | 50 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 289,698 | $ | 67,907 | $ | — | $ | 50 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | (b) | ||||||||||
Cost of shares redeemed | (4,352 | ) | (762 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 285,346 | $ | 67,145 | $ | — | (b) | $ | 50 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 33,949 | $ | 50 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Cost of shares redeemed | — | — | (6,403 | ) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 27,546 | $ | 50 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 124,637 | $ | 418,656 | $ | 282,102 | $ | 94,382 | ||||||||
Dividends and distributions reinvested | — | — | 9 | 1 | ||||||||||||
Cost of shares redeemed | (307,100 | ) | (364,049 | ) | (65,724 | ) | (3,624 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (182,463 | ) | $ | 54,607 | $ | 216,387 | $ | 90,759 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 123,715 | $ | 157,627 | $ | 244,141 | $ | 91,263 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Growth Advantage Fund | Mid Cap Core Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Period Ended 6/30/2011 (a) | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 8,808 | 10,834 | 28 | 18 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
Redeemed | (7,290 | ) | (6,865 | ) | (17 | ) | (2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,518 | 3,969 | 11 | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 19 | 32 | — | — | ||||||||||||
Redeemed | (120 | ) | (152 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (101 | ) | (120 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,759 | 1,351 | 2 | 6 | ||||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Redeemed | (1,026 | ) | (981 | ) | (1 | ) | — | (b) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 733 | 370 | 1 | 6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | — | (b) | 3 | |||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Redeemed | — | — | — | — | (b) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | — | (b) | 3 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 29,732 | 7,917 | — | 3 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
Redeemed | (477 | ) | (85 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 29,255 | 7,832 | — | (b) | 3 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Issued | — | — | 2,008 | 3 | ||||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Redeemed | — | — | (371 | ) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 1,637 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 13,293 | 46,982 | 17,322 | 5,510 | ||||||||||||
Reinvested | — | — | — | (b) | — | (a) | ||||||||||
Redeemed | (33,452 | ) | (46,450 | ) | (3,965 | ) | (210 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (20,159 | ) | 532 | 13,357 | 5,300 | |||||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was November 30, 2010. |
(b) | Amount rounds to less than 1,000 (shares or dollars). |
(c) | Commencement of offering of class of shares effective January 31, 2011 for Mid Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 63 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 5,617 | $ | 2,423 | $ | 56,755 | $ | 75,693 | ||||||||
Dividends and distributions reinvested | 15 | 5 | 51,675 | — | ||||||||||||
Cost of shares redeemed | (1,592 | ) | (1,487 | ) | (161,251 | ) | (160,643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 4,040 | $ | 941 | $ | (52,821 | ) | $ | (84,950 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 386 | $ | 693 | ||||||||
Dividends and distributions reinvested | — | — | 1,556 | — | ||||||||||||
Cost of shares redeemed | — | — | (7,602 | ) | (10,361 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (5,660 | ) | $ | (9,668 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,031 | $ | 443 | $ | 2,483 | $ | 3,672 | ||||||||
Dividends and distributions reinvested | — | (a) | — | (a) | 2,079 | — | ||||||||||
Cost of shares redeemed | (204 | ) | (113 | ) | (6,708 | ) | (6,894 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 827 | $ | 330 | $ | (2,146 | ) | $ | (3,222 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 149 | $ | 31 | ||||||||
Dividends and distributions reinvested | — | — | 16 | — | ||||||||||||
Cost of shares redeemed | — | — | (20 | ) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | 145 | $ | 31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 16,731 | $ | — | ||||||||
Dividends and distributions reinvested | — | — | 5 | — | ||||||||||||
Cost of shares redeemed | — | — | (1,084 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | 15,652 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 15,116 | $ | — | ||||||||
Dividends and distributions reinvested | — | — | 5 | — | ||||||||||||
Cost of shares redeemed | — | — | (388 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 14,733 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 389,366 | $ | 269,128 | $ | 195,789 | $ | 247,747 | ||||||||
Dividends and distributions reinvested | 3,142 | 447 | 62,923 | — | ||||||||||||
Cost of shares redeemed | (152,914 | ) | (287,836 | ) | (330,123 | ) | (203,926 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 239,594 | $ | (18,261 | ) | $ | (71,411 | ) | $ | 43,821 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 244,461 | $ | (16,990 | ) | $ | (101,508 | ) | $ | (53,988 | ) | |||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 186 | 84 | 2,826 | 3,594 | ||||||||||||
Reinvested | 1 | — | (a) | 2,951 | — | |||||||||||
Redeemed | (55 | ) | (52 | ) | (8,087 | ) | (7,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 132 | 32 | (2,310 | ) | (4,374 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 26 | 41 | ||||||||||||
Reinvested | — | — | 117 | — | ||||||||||||
Redeemed | — | — | (489 | ) | (641 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (346 | ) | (600 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 33 | 15 | 137 | 189 | ||||||||||||
Reinvested | — | (a) | — | (a) | 135 | — | ||||||||||
Redeemed | (7 | ) | (4 | ) | (378 | ) | (379 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 26 | 11 | (106 | ) | (190 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 6 | 1 | ||||||||||||
Reinvested | — | — | 1 | — | ||||||||||||
Redeemed | — | — | (1 | ) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 6 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Issued | — | — | 749 | — | ||||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | (48 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 701 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | — | — | 677 | — | ||||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | (17 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 660 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 13,099 | 9,351 | 9,090 | 11,401 | ||||||||||||
Reinvested | 105 | 15 | 3,322 | — | ||||||||||||
Redeemed | (5,154 | ) | (11,406 | ) | (14,607 | ) | (9,364 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 8,050 | (2,040 | ) | (2,195 | ) | 2,037 | ||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than 1,000 (shares or dollars). |
(b) | Commencement of offering of class of shares effective November 1, 2011 for Mid Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 443,021 | $ | 373,327 | $ | 5,323 | $ | 34,632 | ||||||||
Dividends and distributions reinvested | 11,492 | 14,615 | — | — | ||||||||||||
Cost of shares redeemed | (520,453 | ) | (621,660 | ) | (14,467 | ) | (100,820 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (65,940 | ) | $ | (233,718 | ) | $ | (9,144 | ) | $ | (66,188 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 333 | $ | 626 | $ | 11 | $ | 22 | ||||||||
Dividends and distributions reinvested | — | 148 | — | — | ||||||||||||
Cost of shares redeemed | (34,648 | ) | (34,335 | ) | (2,045 | ) | (4,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (34,315 | ) | $ | (33,561 | ) | $ | (2,034 | ) | $ | (4,353 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 48,613 | $ | 37,081 | $ | 572 | $ | 1,079 | ||||||||
Dividends and distributions reinvested | 474 | 873 | — | — | ||||||||||||
Cost of shares redeemed | (64,672 | ) | (65,800 | ) | (6,619 | ) | (18,536 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (15,585 | ) | $ | (27,846 | ) | $ | (6,047 | ) | $ | (17,457 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 10,239 | $ | 5,542 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 59 | 28 | — | — | ||||||||||||
Cost of shares redeemed | (2,629 | ) | (1,307 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 7,669 | $ | 4,263 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,125,771 | $ | 789,825 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 25,512 | 22,919 | — | — | ||||||||||||
Cost of shares redeemed | (575,416 | ) | (526,461 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | 575,867 | $ | 286,283 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 675,718 | $ | 449,654 | $ | 42,277 | $ | 155,618 | ||||||||
Dividends and distributions reinvested | 10,362 | 9,285 | — | — | ||||||||||||
Cost of shares redeemed | (438,949 | ) | (342,598 | ) | (51,991 | ) | (103,596 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 247,131 | $ | 116,341 | $ | (9,714 | ) | $ | 52,022 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 714,827 | $ | 111,762 | $ | (26,939 | ) | $ | (35,976 | ) | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18,306 | 16,395 | 546 | 3,576 | ||||||||||||
Reinvested | 500 | 636 | — | — | ||||||||||||
Redeemed | (21,746 | ) | (27,300 | ) | (1,486 | ) | (10,335 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (2,940 | ) | (10,269 | ) | (940 | ) | (6,759 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 14 | 29 | 1 | 2 | ||||||||||||
Reinvested | — | 7 | — | — | ||||||||||||
Redeemed | (1,497 | ) | (1,559 | ) | (218 | ) | (465 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (1,483 | ) | (1,523 | ) | (217 | ) | (463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 2,044 | 1,660 | 60 | 115 | ||||||||||||
Reinvested | 21 | 39 | — | — | ||||||||||||
Redeemed | (2,794 | ) | (3,011 | ) | (705 | ) | (1,973 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (729 | ) | (1,312 | ) | (645 | ) | (1,858 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 428 | 245 | — | — | ||||||||||||
Reinvested | 3 | 1 | — | — | ||||||||||||
Redeemed | (110 | ) | (55 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 321 | 191 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 45,939 | 34,031 | — | — | ||||||||||||
Reinvested | 1,094 | 983 | — | — | ||||||||||||
Redeemed | (23,648 | ) | (22,926 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 23,385 | 12,088 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 27,581 | 19,629 | 4,266 | 15,949 | ||||||||||||
Reinvested | 448 | 401 | — | — | ||||||||||||
Redeemed | (18,067 | ) | (15,059 | ) | (5,300 | ) | (10,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 9,962 | 4,971 | (1,034 | ) | 5,313 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 67 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
Value Advantage Fund | ||||||||
Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 54,549 | $ | 119,805 | ||||
Dividends and distributions reinvested | 2,006 | 1,727 | ||||||
Cost of shares redeemed | (89,323 | ) | (81,151 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | (32,768 | ) | $ | 40,381 | |||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 11,596 | $ | 22,682 | ||||
Dividends and distributions reinvested | 513 | 413 | ||||||
Cost of shares redeemed | (30,037 | ) | (26,534 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | (17,928 | ) | $ | (3,439 | ) | ||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 136,991 | $ | 138,756 | ||||
Dividends and distributions reinvested | 4,597 | 2,906 | ||||||
Cost of shares redeemed | (56,466 | ) | (20,173 | ) | ||||
Redemptions in-kind | — | (41,498 | ) | |||||
|
|
|
| |||||
Change in net assets from Institutional Class capital transactions | $ | 85,122 | $ | 79,991 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 260,984 | $ | 196,760 | ||||
Dividends and distributions reinvested | 2,687 | 1,855 | ||||||
Cost of shares redeemed | (124,601 | ) | (30,319 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | 139,070 | $ | 168,296 | ||||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | 173,496 | $ | 285,229 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 2,947 | 6,732 | ||||||
Reinvested | 112 | 96 | ||||||
Redeemed | (4,870 | ) | (4,517 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (1,811 | ) | 2,311 | |||||
|
|
|
| |||||
Class C | ||||||||
Issued | 620 | 1,279 | ||||||
Reinvested | 29 | 23 | ||||||
Redeemed | (1,655 | ) | (1,501 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (1,006 | ) | (199 | ) | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 7,210 | 7,736 | ||||||
Reinvested | 258 | 162 | ||||||
Redeemed | (3,118 | ) | (1,098 | ) | ||||
Redemptions in-kind | — | (2,189 | ) | |||||
|
|
|
| |||||
Change in Institutional Class Shares | 4,350 | 4,611 | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 13,542 | 11,074 | ||||||
Reinvested | 150 | 103 | ||||||
Redeemed | (6,701 | ) | (1,687 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 6,991 | 9,490 | ||||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 69 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||
Investment operations | ||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Year Ended June 30, 2012 | $ | 9.28 | $ | (0.03 | )(e)(f) | $ | 0.24 | $ | 0.21 | |||||||
Year Ended June 30, 2011 | 6.76 | (0.04 | )(e) | 2.56 | 2.52 | |||||||||||
Year Ended June 30, 2010 | 5.88 | (0.03 | )(e) | 0.91 | 0.88 | |||||||||||
Year Ended June 30, 2009 | 8.14 | (0.03 | )(e) | (2.23 | ) | (2.26 | ) | |||||||||
Year Ended June 30, 2008 | 8.18 | (0.05 | )(e) | 0.01 | (0.04 | ) | ||||||||||
Class B | ||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(e)(f) | 0.22 | 0.15 | |||||||||||
Year Ended June 30, 2011 | 6.31 | (0.07 | )(e) | 2.37 | 2.30 | |||||||||||
Year Ended June 30, 2010 | 5.51 | (0.06 | )(e) | 0.86 | 0.80 | |||||||||||
Year Ended June 30, 2009 | 7.67 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | |||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | — | (g) | (0.09 | ) | |||||||||
Class C | ||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(e)(f) | 0.23 | 0.16 | |||||||||||
Year Ended June 30, 2011 | 6.31 | (0.08 | )(e) | 2.38 | 2.30 | |||||||||||
Year Ended June 30, 2010 | 5.52 | (0.06 | )(e) | 0.85 | 0.79 | |||||||||||
Year Ended June 30, 2009 | 7.68 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | |||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | 0.01 | (0.08 | ) | ||||||||||
Class R5 | ||||||||||||||||
Year Ended June 30, 2012 | 9.44 | 0.01 | (e)(f) | 0.24 | 0.25 | |||||||||||
Year Ended June 30, 2011 | 6.86 | — | (e)(g) | 2.58 | 2.58 | |||||||||||
Year Ended June 30, 2010 | 5.93 | — | (e)(g) | 0.93 | 0.93 | |||||||||||
January 8, 2009 (h) through June 30, 2009 | 5.37 | — | (e)(g) | 0.56 | 0.56 | |||||||||||
Select Class | ||||||||||||||||
Year Ended June 30, 2012 | 9.39 | (0.02 | )(e)(f) | 0.26 | 0.24 | |||||||||||
Year Ended June 30, 2011 | 6.83 | (0.02 | )(e) | 2.58 | 2.56 | |||||||||||
Year Ended June 30, 2010 | 5.93 | (0.01 | )(e) | 0.91 | 0.90 | |||||||||||
Year Ended June 30, 2009 | 8.18 | (0.01 | )(e) | (2.24 | ) | (2.25 | ) | |||||||||
Year Ended June 30, 2008 | 8.20 | (0.03 | )(e) | 0.01 | (0.02 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $(0.05), $(0.09), $(0.09), $(0.01) and $(0.03) for Class A, Class B, Class C, Class R5 and Select Class Shares, respectively and the net investment income (loss) ratio would have been (0.56)%, (1.08)%, (1.03)%, (0.12)% and (0.37)% for Class A, Class B, Class C, Class R5 and Select Class Shares, respectively. |
(g) | Amount rounds to less than $0.01. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 9.49 | 2.26 | % | $ | 194,911 | 1.25 | % | (0.37 | )%(f) | 1.30 | % | 86 | % | |||||||||||||
9.28 | 37.28 | 176,492 | 1.25 | (0.45 | ) | 1.31 | 96 | |||||||||||||||||||
6.76 | 14.97 | 101,814 | 1.31 | (0.41 | ) | 1.31 | 102 | |||||||||||||||||||
5.88 | (27.76 | ) | 71,841 | 1.35 | (0.48 | ) | 1.42 | 119 | ||||||||||||||||||
8.14 | (0.49 | ) | 70,546 | 1.34 | (0.58 | ) | 1.47 | 118 | ||||||||||||||||||
8.76 | 1.74 | 2,327 | 1.75 | (0.89 | )(f) | 1.80 | 86 | |||||||||||||||||||
8.61 | 36.45 | 3,157 | 1.75 | (0.94 | ) | 1.81 | 96 | |||||||||||||||||||
6.31 | 14.52 | 3,070 | 1.81 | (0.91 | ) | 1.81 | 102 | |||||||||||||||||||
5.51 | (28.16 | ) | 3,304 | 1.87 | (1.02 | ) | 1.92 | 119 | ||||||||||||||||||
7.67 | (1.16 | ) | 4,340 | 1.91 | (1.16 | ) | 1.94 | 118 | ||||||||||||||||||
8.77 | 1.86 | 27,469 | 1.75 | (0.84 | )(f) | 1.80 | 86 | |||||||||||||||||||
8.61 | 36.45 | 20,676 | 1.75 | (0.95 | ) | 1.81 | 96 | |||||||||||||||||||
6.31 | 14.31 | 12,811 | 1.81 | (0.91 | ) | 1.81 | 102 | |||||||||||||||||||
5.52 | (28.13 | ) | 9,300 | 1.87 | (1.02 | ) | 1.91 | 119 | ||||||||||||||||||
7.68 | (1.03 | ) | 14,499 | 1.88 | (1.16 | ) | 1.89 | 118 | ||||||||||||||||||
9.69 | 2.65 | 468,064 | 0.85 | 0.07 | (f) | 0.85 | 86 | |||||||||||||||||||
9.44 | 37.61 | 179,677 | 0.86 | (0.05 | ) | 0.86 | 96 | |||||||||||||||||||
6.86 | 15.68 | 76,767 | 0.86 | 0.05 | 0.86 | 102 | ||||||||||||||||||||
5.93 | 10.43 | 46,312 | 0.90 | (0.08 | ) | 1.06 | 119 | |||||||||||||||||||
9.63 | 2.56 | 662,786 | 1.05 | (0.18 | )(f) | 1.05 | 86 | |||||||||||||||||||
9.39 | 37.48 | 836,154 | 1.06 | (0.27 | ) | 1.06 | 96 | |||||||||||||||||||
6.83 | 15.18 | 604,663 | 1.06 | (0.16 | ) | 1.06 | 102 | |||||||||||||||||||
5.93 | (27.51 | ) | 441,345 | 1.10 | (0.24 | ) | 1.17 | 119 | ||||||||||||||||||
8.18 | (0.24 | ) | 399,777 | 1.09 | (0.41 | ) | 1.12 | 118 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 71 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Core Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 17.19 | $ | 0.08 | (e) | $ | (0.10 | ) | $ | (0.02 | ) | $ | — | (f) | $ | (0.01 | ) | $ | (0.01 | ) | ||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | 0.01 | (e) | 2.18 | 2.19 | — | (f) | — | — | (f) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.15 | — | (e)(f) | (0.11 | ) | (0.11 | ) | — | (f) | (0.01 | ) | (0.01 | ) | |||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | (0.04 | )(e) | 2.19 | 2.15 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.17 | 0.04 | (e) | (0.10 | ) | (0.06 | ) | — | (f) | (0.01 | ) | (0.01 | ) | |||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | (0.02 | )(e) | 2.19 | 2.17 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.23 | 0.15 | (e) | (0.09 | ) | 0.06 | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | 0.05 | (e) | 2.19 | 2.24 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.24 | 0.21 | (e) | (0.15 | ) | 0.06 | (0.06 | ) | (0.01 | ) | (0.07 | ) | ||||||||||||||||
January 31, 2011 (j) through June 30, 2011 | 16.36 | 0.05 | (e) | 0.83 | 0.88 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.22 | 0.13 | (e) | (0.12 | ) | 0.01 | (0.04 | ) | (0.01 | ) | (0.05 | ) | ||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | 0.04 | (e) | 2.19 | 2.23 | (0.01 | ) | — | (0.01 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Amount rounds to less than $0.01. |
(g) | Commencement of operations. |
(h) | Certain non-recurring expenses incurred by the Fund were not annualized for the period ended June 30, 2011. |
(i) | Ratios are disproportionate between classes due to the size of net assets and fixed expenses. |
(j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 17.16 | (0.13 | )% | $ | 455 | 1.24 | % | 0.50 | % | 1.31 | % | 44 | % | |||||||||||||
17.19 | 14.70 | 276 | 1.24 | (h) | 0.11 | (h) | 5.79 | (h)(i) | 13 | |||||||||||||||||
17.03 | (0.65 | ) | 125 | 1.74 | (0.02 | ) | 1.81 | 44 | ||||||||||||||||||
17.15 | 14.33 | 99 | 1.75 | (h) | (0.39 | )(h) | 6.49 | (h)(i) | 13 | |||||||||||||||||
17.10 | (0.36 | ) | 57 | 1.49 | 0.22 | 1.57 | 44 | |||||||||||||||||||
17.17 | 14.53 | 57 | 1.49 | (h) | (0.17 | )(h) | 6.84 | (h)(i) | 13 | |||||||||||||||||
17.23 | 0.33 | 58 | 0.79 | �� | 0.92 | 0.86 | 44 | |||||||||||||||||||
17.23 | 15.00 | 57 | 0.80 | (h) | 0.52 | (h) | 6.17 | (h)(i) | 13 | |||||||||||||||||
17.23 | 0.33 | 28,251 | 0.74 | 1.18 | 0.78 | 44 | ||||||||||||||||||||
17.24 | 5.38 | 53 | 0.75 | (h) | 0.68 | (h) | 5.52 | (h)(i) | 13 | |||||||||||||||||
17.18 | 0.06 | 320,576 | 0.99 | 0.76 | 1.06 | 44 | ||||||||||||||||||||
17.22 | 14.84 | 91,240 | 1.00 | (h) | 0.41 | (h) | 3.41 | (h)(i) | 13 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 73 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 31.29 | $ | 0.10 | (e)(f) | $ | (0.34 | ) | $ | (0.24 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | |||||||||
Year Ended June 30, 2011 | 22.95 | 0.04 | (e) | 8.36 | 8.40 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
November 2, 2009 (g) through June 30, 2010 | 21.55 | 0.05 | 1.41 | 1.46 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 31.16 | (0.05 | )(e)(f) | (0.35 | ) | (0.40 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.93 | (0.12 | )(e) | 8.37 | 8.25 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
November 2, 2009 (g) through June 30, 2010 | 21.55 | (0.03 | ) | 1.41 | 1.38 | — | (h) | — | — | (h) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 31.36 | 0.19 | (e)(f) | (0.33 | ) | (0.14 | ) | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.97 | 0.14 | (e) | 8.37 | 8.51 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 18.97 | 0.12 | 4.00 | 4.12 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 28.63 | 0.18 | (8.37 | ) | (8.19 | ) | (0.17 | ) | (1.30 | ) | (1.47 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 37.93 | 0.11 | (2.80 | ) | (2.69 | ) | (0.11 | ) | (6.50 | ) | (6.61 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $0.05, $(0.10) and $0.14 for Class A, Class C and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.18%, (0.33)% and 0.48% for Class A, Class C and Select Class Shares, respectively. |
(g) | Commencement of offering of class of shares. |
(h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 30.97 | (0.76 | )% | $ | 6,965 | 1.24 | % | 0.34 | %(f) | 1.54 | % | 55 | % | |||||||||||||
31.29 | 36.60 | 2,918 | 1.24 | 0.14 | 1.53 | 88 | ||||||||||||||||||||
22.95 | 6.77 | 1,394 | 1.24 | 0.30 | 1.44 | 56 | ||||||||||||||||||||
30.75 | (1.29 | ) | 1,244 | 1.75 | (0.18 | )(f) | 2.03 | 55 | ||||||||||||||||||
31.16 | 35.98 | 447 | 1.74 | (0.40 | ) | 2.06 | 88 | |||||||||||||||||||
22.93 | 6.40 | 65 | 1.74 | (0.23 | ) | 1.92 | 56 | |||||||||||||||||||
31.05 | (0.42 | ) | 813,125 | 0.89 | 0.64 | (f) | 1.30 | 55 | ||||||||||||||||||
31.36 | 37.09 | 568,854 | 0.89 | 0.50 | 1.27 | 88 | ||||||||||||||||||||
22.97 | 21.72 | 463,478 | 0.89 | 0.55 | 1.17 | 56 | ||||||||||||||||||||
18.97 | (28.02 | ) | 195,785 | 0.90 | 0.94 | 1.20 | 107 | |||||||||||||||||||
28.63 | (8.19 | ) | 189,589 | 0.91 | 0.32 | 1.12 | 79 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 75 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2012 | $ | 23.30 | $ | (0.05 | )(e)(f) | $ | (1.72 | ) | $ | (1.77 | ) | $ | (2.01 | ) | ||||||
Year Ended June 30, 2011 | 16.35 | (0.09 | )(e) | 7.04 | 6.95 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.68 | (0.09 | )(e) | 2.76 | 2.67 | — | ||||||||||||||
Year Ended June 30, 2009 | 20.46 | (0.07 | )(e) | (6.33 | ) | (6.40 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 24.89 | (0.17 | )(e) | (0.45 | ) | (0.62 | ) | (3.81 | ) | |||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2012 | 18.29 | (0.12 | )(e)(f) | (1.40 | ) | (1.52 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 12.90 | (0.16 | )(e) | 5.55 | 5.39 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.85 | (0.14 | )(e) | 2.19 | 2.05 | — | ||||||||||||||
Year Ended June 30, 2009 | 16.45 | (0.13 | )(e) | (5.09 | ) | (5.22 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 20.88 | (0.26 | )(e) | (0.36 | ) | (0.62 | ) | (3.81 | ) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2012 | 20.88 | (0.13 | )(e)(f) | (1.57 | ) | (1.70 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 14.73 | (0.18 | )(e) | 6.33 | 6.15 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.39 | (0.16 | )(e) | 2.50 | 2.34 | — | ||||||||||||||
Year Ended June 30, 2009 | 18.70 | (0.15 | )(e) | (5.78 | ) | (5.93 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 23.21 | (0.29 | )(e) | (0.41 | ) | (0.70 | ) | (3.81 | ) | |||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2012 | 24.73 | (0.07 | )(e)(f) | (1.82 | ) | (1.89 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 17.38 | (0.13 | )(e) | 7.48 | 7.35 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.56 | (0.12 | )(e) | 2.94 | 2.82 | — | ||||||||||||||
June 19, 2009 (g) through June 30, 2009 | 14.56 | — | (e)(h) | — | (h) | — | (h) | — | ||||||||||||
Class R5 | ||||||||||||||||||||
November 1, 2011 (g) through June 30, 2012 | 21.75 | 0.04 | (e)(f) | 1.40 | 1.44 | (2.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
November 1, 2011 (g) through June 30, 2012 | 21.75 | 0.08 | (e)(f) | 1.37 | 1.45 | (2.01 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.02 | (e)(f) | (1.83 | ) | (1.81 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 17.47 | (0.03 | )(e) | 7.53 | 7.50 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.57 | (0.04 | )(e) | 2.94 | 2.90 | — | ||||||||||||||
Year Ended June 30, 2009 | 21.68 | (0.03 | )(e) | (6.70 | ) | (6.73 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 26.10 | (0.12 | )(e) | (0.49 | ) | (0.61 | ) | (3.81 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $(0.09), $(0.15), $(0.17), $(0.12), less than $0.01, $0.03 and $(0.03) for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively and the net investment income (loss) ratio would have been (0.46)%, (0.99)%, (0.97)%, (0.57)%, (0.03)%, 0.24% and (0.14)% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
(g) | Commencement of offering of class of shares. |
(h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 19.52 | (6.61 | )% | $ | 538,323 | 1.24 | % | (0.23 | )%(f) | 1.38 | % | 70 | % | |||||||||||||
23.30 | 42.51 | 696,334 | 1.24 | (0.44 | ) | 1.36 | 79 | |||||||||||||||||||
16.35 | 19.52 | 560,054 | 1.24 | (0.53 | ) | 1.42 | 82 | |||||||||||||||||||
13.68 | (30.97 | ) | 520,201 | 1.24 | (0.48 | ) | 1.56 | 96 | ||||||||||||||||||
20.46 | (3.22 | ) | 384,225 | 1.24 | (0.75 | ) | 1.39 | 95 | ||||||||||||||||||
14.76 | (7.08 | ) | 9,948 | 1.75 | (0.77 | )(f) | 1.88 | 70 | ||||||||||||||||||
18.29 | 41.78 | 18,648 | 1.77 | (0.97 | ) | 1.86 | 79 | |||||||||||||||||||
12.90 | 18.89 | 20,893 | 1.77 | (1.07 | ) | 1.92 | 82 | |||||||||||||||||||
10.85 | (31.35 | ) | 29,963 | 1.88 | (1.14 | ) | 2.03 | 96 | ||||||||||||||||||
16.45 | (3.90 | ) | 69,186 | 1.88 | (1.38 | ) | 1.89 | 95 | ||||||||||||||||||
17.17 | (7.06 | ) | 22,190 | 1.75 | (0.75 | )(f) | 1.88 | 70 | ||||||||||||||||||
20.88 | 41.75 | 29,187 | 1.77 | (0.97 | ) | 1.86 | 79 | |||||||||||||||||||
14.73 | 18.89 | 23,389 | 1.77 | (1.06 | ) | 1.92 | 82 | |||||||||||||||||||
12.39 | (31.38 | ) | 25,624 | 1.88 | (1.13 | ) | 2.04 | 96 | ||||||||||||||||||
18.70 | (3.85 | ) | 27,785 | 1.88 | (1.38 | ) | 1.89 | 95 | ||||||||||||||||||
20.83 | (6.72 | ) | 230 | 1.40 | (0.35 | )(f) | 1.63 | 70 | ||||||||||||||||||
24.73 | 42.29 | 121 | 1.40 | (0.59 | ) | 1.60 | 79 | |||||||||||||||||||
17.38 | 19.37 | 63 | 1.40 | (0.69 | ) | 1.67 | 82 | |||||||||||||||||||
14.56 | 0.00 | 83 | 1.22 | (0.31 | ) | 1.94 | 96 | |||||||||||||||||||
21.18 | 7.71 | 14,837 | 0.78 | 0.31 | (f) | 0.92 | 70 | |||||||||||||||||||
21.19 | 7.76 | 13,982 | 0.73 | 0.58 | (f) | 0.87 | 70 | |||||||||||||||||||
21.15 | (6.31 | ) | 827,306 | 0.93 | 0.09 | (f) | 1.13 | 70 | ||||||||||||||||||
24.97 | 42.93 | 1,031,463 | 0.93 | (0.13 | ) | 1.10 | 79 | |||||||||||||||||||
17.47 | 19.90 | 685,843 | 0.93 | (0.22 | ) | 1.17 | 82 | |||||||||||||||||||
14.57 | (30.74 | ) | 631,380 | 0.98 | (0.23 | ) | 1.30 | 96 | ||||||||||||||||||
21.68 | (3.02 | ) | 539,292 | 0.99 | (0.49 | ) | 1.13 | 95 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 77 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 24.76 | $ | 0.20 | (e) | $ | 1.00 | $ | 1.20 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | |||||||||||
Year Ended June 30, 2011 | 18.91 | 0.18 | (e) | 5.85 | 6.03 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.24 | 0.19 | (e) | 3.48 | 3.67 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.91 | 0.28 | (e) | (5.92 | ) | (5.64 | ) | (0.34 | ) | (0.69 | ) | (1.03 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.71 | 0.16 | (3.78 | ) | (3.62 | ) | (0.12 | ) | (2.06 | ) | (2.18 | ) | ||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.10 | 0.07 | (e) | 0.99 | 1.06 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 18.38 | 0.07 | (e) | 5.69 | 5.76 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 14.89 | 0.10 | (e) | 3.39 | 3.49 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.39 | 0.20 | (e) | (5.79 | ) | (5.59 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.11 | 0.03 | (3.69 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | (e) | 0.98 | 1.05 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.44 | 0.07 | (e) | 5.69 | 5.76 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 14.94 | 0.10 | (e) | 3.40 | 3.50 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.45 | 0.20 | (e) | (5.80 | ) | (5.60 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.17 | 0.04 | (3.70 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.27 | 0.14 | (e) | 0.97 | 1.11 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.63 | 0.12 | (e) | 5.76 | 5.88 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.06 | 0.15 | (e) | 3.42 | 3.57 | — | — | — | ||||||||||||||||||||
November 3, 2008 (f) through June 30, 2009 | 16.34 | 0.20 | (e) | (0.30 | ) | (0.10 | ) | (0.49 | ) | (0.69 | ) | (1.18 | ) | |||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 25.19 | 0.32 | (e) | 1.01 | 1.33 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 19.22 | 0.30 | (e) | 5.95 | 6.25 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.43 | 0.29 | (e) | 3.52 | 3.81 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.31 | 0.38 | (e) | (6.06 | ) | (5.68 | ) | (0.51 | ) | (0.69 | ) | (1.20 | ) | |||||||||||||||
Year Ended June 30, 2008 | 28.17 | 0.31 | (3.85 | ) | (3.54 | ) | (0.26 | ) | (2.06 | ) | (2.32 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.26 | (e) | 1.01 | 1.27 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 19.07 | 0.24 | (e) | 5.90 | 6.14 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.34 | 0.24 | (e) | 3.49 | 3.73 | — | (g) | — | — | (g) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.14 | 0.34 | (e) | (6.01 | ) | (5.67 | ) | (0.44 | ) | (0.69 | ) | (1.13 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.96 | 0.27 | (3.85 | ) | (3.58 | ) | (0.18 | ) | (2.06 | ) | (2.24 | ) |
(a) | Annualized for periods less than one year. |
(b) | Not annualized for periods less than one year. |
(c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(e) | Calculated based upon average shares outstanding. |
(f) | Commencement of offering of class of shares. |
(g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
$ | 25.80 | 4.92 | % | $ | 1,986,930 | 1.24 | % | 0.83 | % | 1.41 | % | 30 | % | |||||||||||||
24.76 | 31.96 | 1,979,270 | 1.23 | 0.81 | 1.39 | 41 | ||||||||||||||||||||
18.91 | 24.08 | 1,705,572 | 1.23 | 1.04 | 1.40 | 34 | ||||||||||||||||||||
15.24 | (25.49 | ) | 1,600,044 | 1.25 | 1.71 | 1.42 | 47 | |||||||||||||||||||
21.91 | (13.70 | ) | 2,661,377 | 1.25 | 0.66 | 1.42 | 31 | |||||||||||||||||||
25.16 | 4.40 | 57,100 | 1.75 | 0.30 | 1.91 | 30 | ||||||||||||||||||||
24.10 | 31.33 | 90,427 | 1.74 | 0.30 | 1.89 | 41 | ||||||||||||||||||||
18.38 | 23.44 | 96,966 | 1.74 | 0.53 | 1.90 | 34 | ||||||||||||||||||||
14.89 | (25.89 | ) | 108,114 | 1.75 | 1.21 | 1.92 | 47 | |||||||||||||||||||
21.39 | (14.14 | ) | 163,091 | 1.75 | 0.15 | 1.92 | 31 | |||||||||||||||||||
25.14 | 4.38 | 370,781 | 1.75 | 0.32 | 1.91 | 30 | ||||||||||||||||||||
24.13 | 31.29 | 373,415 | 1.74 | 0.30 | 1.89 | 41 | ||||||||||||||||||||
18.44 | 23.43 | 309,513 | 1.74 | 0.53 | 1.90 | 34 | ||||||||||||||||||||
14.94 | (25.88 | ) | 299,956 | 1.75 | 1.20 | 1.92 | 47 | |||||||||||||||||||
21.45 | (14.11 | ) | 523,722 | 1.75 | 0.14 | 1.92 | 31 | |||||||||||||||||||
25.18 | 4.65 | 14,824 | 1.49 | 0.59 | 1.66 | 30 | ||||||||||||||||||||
24.27 | 31.66 | 6,500 | 1.49 | 0.50 | 1.65 | 41 | ||||||||||||||||||||
18.63 | 23.71 | 1,441 | 1.49 | 0.77 | 1.65 | 34 | ||||||||||||||||||||
15.06 | (0.24 | ) | 294 | 1.50 | 2.12 | 1.69 | 47 | |||||||||||||||||||
26.24 | 5.43 | 3,543,900 | 0.74 | 1.33 | 1.01 | 30 | ||||||||||||||||||||
25.19 | 32.66 | 2,812,296 | 0.74 | 1.29 | 0.99 | 41 | ||||||||||||||||||||
19.22 | 24.68 | 1,913,930 | 0.74 | 1.52 | 1.00 | 34 | ||||||||||||||||||||
15.43 | (25.15 | ) | 1,424,004 | 0.75 | 2.26 | 1.02 | 47 | |||||||||||||||||||
22.31 | (13.25 | ) | 1,777,057 | 0.75 | 1.16 | 1.02 | 31 | |||||||||||||||||||
26.01 | 5.20 | 1,836,012 | 0.98 | 1.09 | 1.16 | 30 | ||||||||||||||||||||
24.97 | 32.29 | 1,513,926 | 0.98 | 1.05 | 1.14 | 41 | ||||||||||||||||||||
19.07 | 24.35 | 1,061,308 | 0.98 | 1.29 | 1.15 | 34 | ||||||||||||||||||||
15.34 | (25.31 | ) | 766,965 | 1.00 | 2.05 | 1.18 | 47 | |||||||||||||||||||
22.14 | (13.46 | ) | 721,777 | 1.00 | 0.90 | 1.16 | 31 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 79 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Return of capital | Total distributions | ||||||||||||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 9.81 | $ | (0.14 | )(e) | $ | 0.02 | $ | (0.12 | ) | $ | — | $ | — | $ | — | ||||||||||||
Year Ended June 30, 2011 | 9.71 | (0.16 | )(e) | 0.26 | 0.10 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.21 | (0.17 | )(e) | (0.33 | ) | (0.50 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.23 | (0.08 | )(e) | 0.06 | (0.02 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.24 | 0.28 | (e) | (0.74 | ) | (0.46 | ) | (0.54 | ) | (0.01 | ) | (0.55 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.47 | (0.20 | )(e) | 0.02 | (0.18 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2011 | 9.44 | (0.23 | )(e) | 0.26 | 0.03 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.01 | (0.23 | )(e) | (0.34 | ) | (0.57 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.10 | (0.15 | )(e) | 0.06 | (0.09 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.17 | (e) | (0.70 | ) | (0.53 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.48 | (0.20 | )(e) | 0.02 | (0.18 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2011 | 9.46 | (0.23 | )(e) | 0.25 | 0.02 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.02 | (0.23 | )(e) | (0.33 | ) | (0.56 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.12 | (0.15 | )(e) | 0.05 | (0.10 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.19 | (e) | (0.71 | ) | (0.52 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.91 | (0.12 | )(e) | 0.03 | (0.09 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2011 | 9.79 | (0.14 | )(e) | 0.26 | 0.12 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.27 | (0.14 | )(e) | (0.34 | ) | (0.48 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.27 | (0.05 | )(e) | 0.05 | — | (f) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.31 | 0.30 | (e) | (0.73 | ) | (0.43 | ) | (0.60 | ) | (0.01 | ) | (0.61 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for short sales) for Class A are 1.48% and 1.94% for the year ended June 30, 2012, 1.49% and 1.95% for 2011, 1.49% and 1.94% for 2010, 1.50% and 1.95% for 2009 and 1.51% and 1.93% for 2008; for Class B are 2.23% and 2.45 for the year ended June 30, 2012, 2.24% and 2.45% for 2011, 2.24% and 2.44% for 2010, 2.25% and 2.45% for 2009 and 2.26% and 2.43% for 2008; for Class C are 2.23% and 2.44 for the year ended June 30, 2012, 2.24% and 2.45% for 2011, 2.24% and 2.44% for 2010, 2.25% and 2.45% for 2009 and 2.26% and 2.43% for 2008; for Select Class are 1.23% and 1.69% for the year ended June 30, 2012, 1.24% and 1.70% for 2011, 1.24% and 1.69% for 2010, 1.25% and 1.70% for 2009 and 1.25% and 1.67% for 2008, respectively. |
(d) | Commencing with the period ended June 30, 2009, the Fund presented portfolio turnover in two ways, one including short sales and the other excluding short sales. For periods prior to June 30, 2009, the Fund’s portfolio turnover calculation excluded short sales. |
(e) | Calculated based upon average shares outstanding. |
(f) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (b)(c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (c) | Portfolio turnover rate (excluding short sales) (d) | Portfolio turnover rate (including short sales) (d) | |||||||||||||||||||||||
$ | 9.69 | (1.22 | )% | $ | 19,759 | 2.86 | % | (1.42 | )% | 3.32 | % | 151 | % | 316 | % | |||||||||||||||
9.81 | 1.03 | 29,216 | 2.92 | (1.65 | ) | 3.38 | 145 | 339 | ||||||||||||||||||||||
9.71 | (4.90 | ) | 94,549 | 2.94 | (1.65 | ) | 3.39 | 146 | 348 | |||||||||||||||||||||
10.21 | (0.20 | ) | 67,884 | 2.84 | (0.79 | ) | 3.29 | 175 | 350 | |||||||||||||||||||||
10.23 | (4.00 | ) | 77,838 | 2.52 | 2.62 | 2.94 | 116 | — | ||||||||||||||||||||||
9.29 | (1.90 | ) | 1,401 | 3.61 | (2.18 | ) | 3.83 | 151 | 316 | |||||||||||||||||||||
9.47 | 0.32 | 3,484 | 3.67 | (2.47 | ) | 3.88 | 145 | 339 | ||||||||||||||||||||||
9.44 | (5.69 | ) | 7,849 | 3.69 | (2.39 | ) | 3.89 | 146 | 348 | |||||||||||||||||||||
10.01 | (0.89 | ) | 12,766 | 3.59 | (1.55 | ) | 3.79 | 175 | 350 | |||||||||||||||||||||
10.10 | (4.77 | ) | 16,402 | 3.28 | 1.66 | 3.45 | 116 | — | ||||||||||||||||||||||
9.30 | (1.90 | ) | 15,677 | 3.61 | (2.17 | ) | 3.82 | 151 | 316 | |||||||||||||||||||||
9.48 | 0.21 | 22,094 | 3.67 | (2.46 | ) | 3.88 | 145 | 339 | ||||||||||||||||||||||
9.46 | (5.59 | ) | 39,610 | 3.70 | (2.39 | ) | 3.89 | 146 | 348 | |||||||||||||||||||||
10.02 | (0.99 | ) | 61,467 | 3.59 | (1.54 | ) | 3.79 | 175 | 350 | |||||||||||||||||||||
10.12 | (4.71 | ) | 90,603 | 3.28 | 1.79 | 3.45 | 116 | — | ||||||||||||||||||||||
9.82 | (0.91 | ) | 476,803 | 2.61 | (1.17 | ) | 3.07 | 151 | 316 | |||||||||||||||||||||
9.91 | 1.23 | 491,653 | 2.67 | (1.39 | ) | 3.13 | 145 | 339 | ||||||||||||||||||||||
9.79 | (4.67 | ) | 433,539 | 2.70 | (1.39 | ) | 3.15 | 146 | 348 | |||||||||||||||||||||
10.27 | 0.00 | 528,478 | 2.59 | (0.45 | ) | 3.04 | 175 | 350 | ||||||||||||||||||||||
10.27 | (3.73 | ) | 933,631 | 2.27 | 2.79 | 2.69 | 116 | — |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 81 |
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 19.07 | $ | 0.25 | (c) | $ | 0.84 | $ | 1.09 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | |||||||||||
Year Ended June 30, 2011 | 15.22 | 0.23 | (c) | 3.79 | 4.02 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.23 | (c) | 3.17 | 3.40 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.38 | 0.30 | (c) | (4.40 | ) | (4.10 | ) | (0.20 | ) | (0.07 | ) | (0.27 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.45 | 0.35 | (3.19 | ) | (2.84 | ) | (0.24 | ) | (0.99 | ) | (1.23 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.01 | 0.16 | (c) | 0.84 | 1.00 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.17 | 0.14 | (c) | 3.77 | 3.91 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.97 | 0.15 | (c) | 3.17 | 3.32 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.25 | 0.23 | (c) | (4.34 | ) | (4.11 | ) | (0.10 | ) | (0.07 | ) | (0.17 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.31 | 0.26 | (3.18 | ) | (2.92 | ) | (0.15 | ) | (0.99 | ) | (1.14 | ) | ||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.11 | 0.35 | (c) | 0.83 | 1.18 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.24 | 0.32 | (c) | 3.79 | 4.11 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.31 | (c) | 3.18 | 3.49 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.40 | 0.37 | (c) | (4.42 | ) | (4.05 | ) | (0.27 | ) | (0.07 | ) | (0.34 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.47 | 0.44 | (3.19 | ) | (2.75 | ) | (0.33 | ) | (0.99 | ) | (1.32 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.12 | 0.30 | (c) | 0.83 | 1.13 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.27 | 0.28 | (c) | 3.79 | 4.07 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.04 | 0.27 | (c) | 3.19 | 3.46 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.44 | 0.34 | (c) | (4.42 | ) | (4.08 | ) | (0.25 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.52 | 0.37 | (3.17 | ) | (2.80 | ) | (0.29 | ) | (0.99 | ) | (1.28 | ) |
(a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
(c) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 19.96 | 5.83 | % | $ | 206,816 | 1.25 | % | 1.34 | % | 1.41 | % | 49 | % | |||||||||||||
19.07 | 26.45 | 232,103 | 1.24 | 1.28 | 1.34 | 33 | �� | |||||||||||||||||||
15.22 | 28.35 | 150,081 | 1.24 | 1.52 | 1.38 | 45 | ||||||||||||||||||||
12.01 | (24.82 | ) | 112,739 | 1.25 | 2.45 | 1.50 | 70 | |||||||||||||||||||
16.38 | (14.42 | ) | 152,696 | 1.25 | 1.87 | 1.43 | 103 | |||||||||||||||||||
19.91 | 5.32 | 117,937 | 1.75 | 0.84 | 1.91 | 49 | ||||||||||||||||||||
19.01 | 25.82 | 131,743 | 1.74 | 0.78 | 1.84 | 33 | ||||||||||||||||||||
15.17 | 27.72 | 108,165 | 1.74 | 1.01 | 1.88 | 45 | ||||||||||||||||||||
11.97 | (25.19 | ) | 97,723 | 1.75 | 1.86 | 1.99 | 70 | |||||||||||||||||||
16.25 | (14.86 | ) | 182,093 | 1.75 | 1.36 | 1.93 | 103 | |||||||||||||||||||
19.99 | 6.36 | 384,525 | 0.75 | 1.86 | 1.01 | 49 | ||||||||||||||||||||
19.11 | 27.06 | 284,433 | 0.74 | 1.79 | 0.94 | 33 | ||||||||||||||||||||
15.24 | 29.03 | 156,531 | 0.74 | 2.04 | 0.98 | 45 | ||||||||||||||||||||
12.01 | (24.41 | ) | 70,825 | 0.75 | 3.11 | 1.15 | 70 | |||||||||||||||||||
16.40 | (13.97 | ) | 19,872 | 0.75 | 2.37 | 1.03 | 103 | |||||||||||||||||||
20.00 | 6.09 | 422,861 | 1.00 | 1.62 | 1.16 | 49 | ||||||||||||||||||||
19.12 | 26.75 | 270,562 | 0.99 | 1.53 | 1.09 | 33 | ||||||||||||||||||||
15.27 | 28.70 | 71,209 | 0.99 | 1.77 | 1.13 | 45 | ||||||||||||||||||||
12.04 | (24.62 | ) | 51,000 | 1.00 | 2.75 | 1.25 | 70 | |||||||||||||||||||
16.44 | (14.19 | ) | 49,262 | 1.00 | 2.18 | 1.18 | 103 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 83 |
Table of Contents
AS OF JUNE 30, 2012
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), an open-end management investment company, was organized as a Massachusetts business trust on September 23, 1997.
J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.
The following are 7 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
Classes Offered | Trust | Diversified/Non-Diversified | ||||
Growth Advantage Fund | Class A, Class B, Class C, Class R5 and Select Class | JPMMFIT | Diversified | |||
Mid Cap Core Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM I | Diversified | |||
Mid Cap Equity Fund | Class A, Class C, and Select Class | JPM I | Diversified | |||
Mid Cap Growth Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
Mid Cap Value Fund | Class A, Class B, Class C, Class R2, Institutional Class and Select Class | JPMFMFG | Diversified | |||
Multi-Cap Market Neutral Fund | Class A, Class B, Class C, and Select Class | JPM II | Diversified | |||
Value Advantage Fund | Class A, Class C, Institutional Class and Select Class | JPM I | Diversified |
The Mid Cap Core Fund commenced operations on November 30, 2010.
Class R6 Shares commenced operations on January 31, 2011 for the Mid Cap Core Fund.
Class R5 Shares and Class R6 Shares commenced operations on November 1, 2011 for the Mid Cap Growth Fund.
The investment objective of Growth Advantage Fund is to seek to provide long-term capital growth.
The investment objective of Mid Cap Core Fund is to seek long-term capital appreciation.
The investment objective of Mid Cap Equity Fund is to seek long-term capital growth.
The investment objective of Mid Cap Growth Fund is to seek growth of capital and secondarily, current income by investing primarily in equity securities.
The investment objective of Mid Cap Value Fund is to seek growth from capital appreciation.
The investment objective of Multi-Cap Market Neutral Fund is to seek long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
The investment objective of Value Advantage Fund is to seek to provide long-term total return from a combination of income and capital gains.
Effective November 1, 2009, Class B Shares of the Growth Advantage Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they automatically convert to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices
84 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
Table of Contents
received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) , a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., (“JPMAM”) which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Office. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis, except for North American, Central American, South American and Caribbean equity securities held in their portfolios, by utilizing the quotations of an independent pricing service, unless a Fund’s Advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:
Ÿ | Level 1 — quoted prices in active markets for identical securities |
Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 85 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Growth Advantage Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,340,800 | $ | 9,842 | $ | — | $ | 1,350,642 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Core Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 349,596 | $ | — | $ | — | $ | 349,596 | ||||||||
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|
|
|
|
|
|
| |||||||||
Mid Cap Equity Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 819,251 | $ | 1,758 | $ | — | $ | 821,009 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Growth Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,437,126 | $ | 6,126 | $ | — | $ | 1,443,252 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Value Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 7,801,832 | $ | — | $ | — | $ | 7,801,832 | ||||||||
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|
|
|
|
|
|
| |||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 527,643 | $ | 123 | $ | — | $ | 527,766 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities (b) | $ | (460,231 | ) | $ | — | $ | — | $ | (460,231 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Value Advantage Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,112,104 | $ | 19,401 | $ | — | $ | 1,131,505 | ||||||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of certain ADRs, the report value of which are an evaluated price. Please refer to the SOIs for industry specifics of portfolio holdings. |
(b) | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
(c) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of an equity security (D.E. Master Blenders N.V. (Netherlands)). Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
B. Short Sales — The Multi-Cap Market Neutral Fund engages in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.
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The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the SOI. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. The net income or fee is included as interest income or interest expense, respectively, on securities sold short in the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on record date. Dividends on short positions are recorded on the Statements of Operations as dividend expense on securities sold short on ex-dividend date.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the security declines between those dates.
As of June 30, 2012, the Fund had outstanding short sales as listed on its SOI.
C. Futures Contracts — The Mid Cap Growth Fund uses index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Fund also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
The table below discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2012 (amounts in thousands):
Mid Cap Growth Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Long | $ | 52,340 | (a) | |
Ending Notional Balance Long | — |
(a) | Average for the period July 1, 2011 through July 31, 2011. |
D. Securities Lending — Each Fund (except Mid Cap Core Fund, Multi-Cap Market Neutral Fund and Value Advantage Fund) may lend securities to brokers approved by the Advisor in order to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”) serves as lending agent for the Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund and Mid Cap Value Fund pursuant to a Securities Lending Agreement (the “GSAL Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
For the year ended June 30, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands).
Growth Advantage Fund | $ | 14 | ||
Mid Cap Equity Fund | 7 | |||
Mid Cap Growth Fund | 19 | |||
Mid Cap Value Fund | 7 |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2012, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
Value of Securities on Loan | Cash Collateral Posted by Borrowers | Total Value of Collateral Investments | ||||||||||
Mid Cap Equity Fund | $ | 1,140 | $ | 1,138 | * | $ | 1,138 | |||||
Mid Cap Growth Fund | 3,831 | 3,821 | * | 3,821 | ||||||||
Mid Cap Value Fund | 3,701 | 3,735 | * | 3,735 |
* | Subsequent to June 30, 2012, additional collateral was received from borrowers. |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GSAL has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Growth Advantage Fund | $ | 12 | ||
Mid Cap Equity Fund | 5 | |||
Mid Cap Growth Fund | 16 | |||
Mid Cap Value Fund | 6 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, less dividend expense on securities sold short, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to
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shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
H. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid at least annually, except for the Mid Cap Equity Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund, which are generally declared and paid at least quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
Paid-in Capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) On | ||||||||||
Growth Advantage Fund | $ | (2,006 | ) | $ | 1,690 | $ | 316 | |||||
Mid Cap Core Fund | 1 | (1 | ) | — | (a) | |||||||
Mid Cap Equity Fund | (1 | ) | (94 | ) | 95 | |||||||
Mid Cap Growth Fund | (1,874 | ) | 905 | 969 | ||||||||
Mid Cap Value Fund | 1 | 1 | (2 | ) | ||||||||
Multi-Cap Market Neutral Fund | (3,020 | ) | 3,248 | (228 | ) | |||||||
Value Advantage Fund | 1 | 923 | (924 | ) |
(a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to investments in partnerships (Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund and Value Advantage Fund), net operating loss (Growth Advantage Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund), prior year undistributed income adjustment (Mid Cap Core Fund and Mid Cap Value Fund), distribution reclassifications (Mid Cap Core Fund) and distributions from investments in real estate investment trusts (Mid Cap Growth Fund)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Growth Advantage Fund | 0.65 | % | ||
Mid Cap Core Fund | 0.65 | |||
Mid Cap Equity Fund | 0.65 | |||
Mid Cap Growth Fund | 0.65 | |||
Mid Cap Value Fund | 0.65 | |||
Multi-Cap Market Neutral Fund | 1.25 | |||
Value Advantage Fund | 0.65 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
Class A | Class B | Class C | Class R2 | |||||||||||||
Growth Advantage Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||
Mid Cap Core Fund | 0.25 | n/a | 0.75 | 0.50 | % | |||||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
Mid Cap Growth Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Mid Cap Value Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.75 | 0.75 | n/a | ||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.75 | n/a |
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2012, the Distributor retained the following amounts (in thousands):
Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 47 | $ | 2 | ||||
Mid Cap Core Fund | 1 | — | ||||||
Mid Cap Equity Fund | 5 | — | (a) | |||||
Mid Cap Growth Fund | 17 | 4 | ||||||
Mid Cap Value Fund | 95 | 18 | ||||||
Multi-Cap Market Neutral Fund | 1 | 4 | ||||||
Value Advantage Fund | 19 | 3 |
(a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class B | Class C | Class R2 | Class R5 | Institutional Class | Select Class | ||||||||||||||||||||||
Growth Advantage Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||
Mid Cap Core Fund | 0.25 | n/a | 0.25 | 0.25 | % | 0.05 | n/a | 0.25 | ||||||||||||||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Mid Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | |||||||||||||||||||||
Mid Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | ||||||||||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | 0.25 |
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest,
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taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||||||||||||||||||
Growth Advantage Fund | 1.25 | % | 1.75 | % | 1.75 | % | n/a | 0.90 | % | n/a | n/a | 1.10 | % | |||||||||||||||||||
Mid Cap Core Fund | 1.25 | n/a | 1.75 | 1.50 | % | 0.80 | 0.75 | % | n/a | 1.00 | ||||||||||||||||||||||
Mid Cap Equity Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | n/a | 0.90 | ||||||||||||||||||||||||
Mid Cap Growth Fund | 1.24 | 1.74 | 1.74 | 1.40 | 0.79 | 0.74 | n/a | 0.93 | ||||||||||||||||||||||||
Mid Cap Value Fund | 1.24 | 1.75 | 1.75 | 1.50 | n/a | n/a | 0.75 | % | 0.99 | |||||||||||||||||||||||
Multi-Cap Market Neutral Fund | 1.75 | 2.50 | 2.50 | n/a | n/a | n/a | n/a | 1.50 | ||||||||||||||||||||||||
Value Advantage Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | 0.75 | 1.00 |
Prior to November 1, 2011, the contractual expense limitations for Class B and Class C Shares of the Mid Cap Growth Fund were 1.77% and 1.77%, respectively.
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2012. The contractual expense limitation percentages in the table above are in place until at least October 31, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Growth Advantage Fund | $ | — | $ | — | $ | 102 | $ | 102 | ||||||||
Mid Cap Core Fund | 45 | 87 | — | 132 | ||||||||||||
Mid Cap Equity Fund | 447 | 461 | 1,510 | 2,418 | ||||||||||||
Mid Cap Growth Fund | 653 | 1,110 | 712 | 2,475 | ||||||||||||
Mid Cap Value Fund | 5,267 | 5,445 | 3,286 | 13,998 | ||||||||||||
Multi-Cap Market Neutral Fund | 110 | 151 | 1,104 | 1,365 | ||||||||||||
Value Advantage Fund | 834 | 634 | 314 | 1,782 | ||||||||||||
Voluntary Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Multi-Cap Market Neutral Fund | $ | 592 | $ | 120 | $ | 145 | $ | 857 |
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2012 was as follows (excluding the waiver disclosed in Note 2.D. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Growth Advantage Fund | $ | 43 | ||
Mid Cap Core Fund | 22 | |||
Mid Cap Equity Fund | 38 | |||
Mid Cap Growth Fund | 68 | |||
Mid Cap Value Fund | 429 | |||
Multi-Cap Market Neutral Fund | 108 | |||
Value Advantage Fund | 53 |
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2012 certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the year ended June 30, 2012, the Funds did not incur any brokerage commissions with brokers-dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Growth Advantage Fund | $ | 1,066,631 | $ | 1,000,178 | $ | — | $ | — | ||||||||
Mid Cap Core Fund | 345,802 | 105,169 | — | — | ||||||||||||
Mid Cap Equity Fund | 560,268 | 326,141 | — | — | ||||||||||||
Mid Cap Growth Fund | 1,016,218 | 1,179,084 | — | — | ||||||||||||
Mid Cap Value Fund | 2,610,160 | 1,998,753 | — | — | ||||||||||||
Multi-Cap Market Neutral Fund | 708,152 | 744,005 | 733,323 | 775,656 | ||||||||||||
Value Advantage Fund | 625,019 | 445,378 | — | — |
During the year ended June 30, 2012, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 1,134,613 | $ | 262,629 | $ | 46,600 | $ | 216,029 | ||||||||
Mid Cap Core Fund | 336,173 | 30,120 | 16,697 | 13,423 | ||||||||||||
Mid Cap Equity Fund | 708,812 | 130,412 | 18,215 | 112,197 | ||||||||||||
Mid Cap Growth Fund | 1,210,550 | 300,825 | 68,123 | 232,702 | ||||||||||||
Mid Cap Value Fund | 6,183,803 | 1,744,195 | 126,166 | 1,618,029 | ||||||||||||
Multi-Cap Market Neutral Fund | 500,811 | 50,655 | 23,700 | 26,955 | ||||||||||||
Value Advantage Fund | 1,000,321 | 150,212 | 19,028 | 131,184 |
For all of the Funds, the difference between the book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and partnership basis outstanding (Value Advantage Fund).
The tax character of distributions paid during the fiscal year ended June 30, 2012 was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Mid Cap Core Fund | $ | 724 | $ | 2 | $ | 726 | ||||||
Mid Cap Equity Fund | 3,720 | 17 | 3,737 | |||||||||
Mid Cap Growth Fund | — | 134,380 | 134,380 | |||||||||
Mid Cap Value Fund | 60,236 | — | 60,236 | |||||||||
Value Advantage Fund | 11,280 | — | 11,280 |
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The tax character of distributions paid during the fiscal period ended June 30, 2011 was as follows (amounts in thousands):
Ordinary Income | Total Distributions Paid | |||||||
Mid Cap Core Fund | $ | 1 | $ | 1 | ||||
Mid Cap Equity Fund | 1,989 | 1,989 | ||||||
Mid Cap Value Fund | 60,163 | 60,163 | ||||||
Value Advantage Fund | 8,184 | 8,184 |
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary | Current Long-Term Capital Gain or (Tax Basis Capital | Unrealized Appreciation | ||||||||||
Growth Advantage Fund | $ | — | $ | 4,862 | $ | 216,029 | ||||||
Mid Cap Core Fund | 1,331 | (636 | ) | 13,423 | ||||||||
Mid Cap Equity Fund | — | 2,640 | 112,197 | |||||||||
Mid Cap Growth Fund | — | 64,857 | 232,702 | |||||||||
Mid Cap Value Fund | 72,495 | (126,184 | ) | 1,618,029 | ||||||||
Multi-Cap Market Neutral Fund | — | (65,985 | ) | 38,531 | ||||||||
Value Advantage Fund | 9,249 | (13,485 | ) | 131,184 |
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, post-October loss deferrals (Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund), late-year loss deferrals (Growth Advantage Fund and Multi-Cap Market Neutral Fund), trustee deferred compensation (Mid Cap Core Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Value Advantage Fund) and partnership basis outstanding (Value Advantage Fund).
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Mid Cap Core Fund | $ | 636 | $ | — |
As of June 30, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
2016 | 2017 | 2018 | Total | |||||||||||||
Mid Cap Value Fund | $ | — | $ | 8,833 | $ | 117,351 | $ | 126,184 | * | |||||||
Multi-Cap Market Neutral Fund | 65,985 | — | — | 65,985 | ||||||||||||
Value Advantage Fund | — | — | 13,485 | 13,485 |
During the year ended June 30, 2012, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
Growth Advantage Fund | $ | 46,640 | ||
Mid Cap Equity Fund | 8,278 | |||
Mid Cap Growth Fund | 25,462 | |||
Mid Cap Value Fund | 206,356 | |||
Multi-Cap Market Neutral Fund | 32,291 | |||
Value Advantage Fund | 40,231 |
During the year ended June 30, 2012, the following Funds had capital loss carryforwards disallowed (amounts in thousands):
Mid Cap Growth Fund | $ | 64,482 | * |
* | Amount includes capital loss carryforwards from business combinations, which may be limited in future years under Internal Revenue Code Sections 381-384. |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 93 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Net capital losses and net specified gains (losses) incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2012, the following Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
Late Year Ordinary Loss Deferral | Short-Term | Long-Term | ||||||||||
Growth Advantage Fund | $ | 326 | $ | 13,825 | $ | — | ||||||
Mid Cap Equity Fund | — | 4,185 | — | |||||||||
Mid Cap Growth Fund | — | 27,885 | — | |||||||||
Mid Cap Value Fund | — | 9,016 | — | |||||||||
Multi-Cap Market Neutral Fund | 3,117 | 13,576 | — | |||||||||
Value Advantage Fund | — | 456 | — |
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012 or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Growth Advantage Fund, Mid Cap Core Fund and Mid Cap Equity Fund.
In addition, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, own in the aggregate more than 10% of the net assets of the Funds as follows:
J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Growth Advantage Fund | n/a | 20.1 | % | |||||
Multi-Cap Market Neutral Fund | 87.8 | % | n/a | |||||
Value Advantage Fund | n/a | 23.7 |
Additionally, Mid Cap Equity Fund and Mid Cap Growth Fund each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
As of June 30, 2012, the Multi-Cap Market Neutral Fund pledged substantially all of its assets for securities sold short to Credit Suisse Group, who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.
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8. Transfers-In-Kind
Pursuant to procedures approved by the Board of Trustees, on March 29, 2011, an affiliate of the Value Advantage Fund redeemed Institutional Class Shares and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities.
Value (000’s) | Realized Gains/(Losses) (000’s) | Type | ||||||||||
Institutional Class | $ | 41,498 | $ | 14,315 | * | Redemption-In-Kind |
* | Gains resulting from this in-kind transaction are not realized for tax purposes. |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Mutual Fund Investment Trust, J.P. Morgan Fleming Mutual Fund Group, Inc., JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Growth Advantage Fund, JPMorgan Mid Cap Core Fund, JPMorgan Mid Cap Equity Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Mid Cap Value Fund, JPMorgan Multi-Cap Market Neutral Fund and JPMorgan Value Advantage Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Mid Cap Equity Fund, JPMorgan Value Advantage Fund (each a separate fund of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund (each a separate fund of JPMorgan Trust II), JPMorgan Growth Advantage Fund (a separate fund of J.P. Morgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (a separate fund of J.P. Morgan Fleming Mutual Fund Group, Inc.) at June 30, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, and the financial position of JPMorgan Mid Cap Core Fund (a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) at June 30, 2012, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year then ended and for the period November 30, 2010 (commencement of operations) through June 30, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 169 | None. | |||
John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 169 | None. | |||
Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 169 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 169 | Trustee, Carleton College (2003-present). | |||
William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 97 |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 169 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 169 | None. | |||
Interested Trustees | ||||||
Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). |
(1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (169 funds). |
* | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
*** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008. | |
Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
* | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012, and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,107.40 | $ | 6.50 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,104.70 | 9.11 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,104.50 | 9.10 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,108.70 | 4.46 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,108.20 | 5.50 | 1.05 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.27 | 1.05 | ||||||||||||
Mid Cap Core Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,067.80 | 6.38 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,065.00 | 8.93 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,066.70 | 7.66 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 |
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Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Core Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,070.20 | $ | 4.07 | 0.79 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,070.90 | 3.81 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,069.10 | 5.09 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,090.40 | 6.44 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,087.70 | 9.03 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,092.60 | 4.63 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.44 | 4.47 | 0.89 | ||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,078.50 | 6.36 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | 1.23 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,075.80 | 8.93 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.26 | 8.67 | 1.73 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,075.80 | 8.93 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.26 | 8.67 | 1.73 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,077.60 | 7.18 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.97 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,081.20 | 4.04 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,081.70 | 3.78 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.23 | 3.67 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,080.20 | 4.76 | 0.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.29 | 4.62 | 0.92 | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,102.10 | 6.43 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | 1.23 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,099.20 | 9.08 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,099.30 | 9.08 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Value Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,101.00 | $ | 7.78 | 1.49 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,104.80 | 3.87 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,103.50 | 5.13 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.99 | 4.92 | 0.98 | ||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,015.70 | 14.63 | 2.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,010.34 | 14.60 | 2.92 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,012.00 | 18.46 | 3.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,006.51 | 18.41 | 3.69 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,012.00 | 18.36 | 3.67 | ||||||||||||
Hypothetical | 1,000.00 | 1,006.61 | 18.31 | 3.67 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,016.60 | 13.34 | 2.66 | ||||||||||||
Hypothetical | 1,000.00 | 1,011.64 | 13.30 | 2.66 | ||||||||||||
Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,097.30 | 6.47 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,094.60 | 9.06 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,100.20 | 3.86 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,098.90 | 5.17 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
102 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 |
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
Dividends Received Deduction | ||||
Mid Cap Core Fund | 100.00 | % | ||
Mid Cap Equity Fund | 100.00 | |||
Mid Cap Value Fund | 100.00 | |||
Value Advantage Fund | 100.00 |
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended June 30, 2012 (amounts in thousands):
Long-Term Distribution | ||||
Mid Cap Core Fund | $ | 2 | ||
Mid Cap Equity Fund | 17 | |||
Mid Cap Growth Fund | 134,380 |
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
Qualified Dividend Income | ||||
Mid Cap Core Fund | $ | 724 | ||
Mid Cap Equity Fund | 3,720 | |||
Mid Cap Value Fund | 60,236 | |||
Value Advantage Fund | 11,280 |
JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 103 |
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Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
© JPMorgan Chase & Co., 2012. All rights reserved. June 2012. | AN-MC-612 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is John F. Finn. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES |
2012 – $29,950 |
2011 – $30,800 |
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES |
2012 – $11,830 |
2011 – $11,800 |
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES |
2012 – $8,050 |
2011 – $8,100 |
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2012 and 2011, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES |
2012 – Not applicable |
2011 – Not applicable |
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the
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services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2012 – 0.0%
2011 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two calendar year ends were:
2011 - $28.5 million
2010 - $32.0 million
These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
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Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
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The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
J.P. Morgan Fleming Mutual Fund Group, Inc.
By: | /s/ Patricia A. Maleski | |
Patricia A. Maleski | ||
President and Principal Executive Officer | ||
September 6, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Patricia A. Maleski | |
Patricia A. Maleski | ||
President and Principal Executive Officer | ||
September 6, 2012 | ||
By: | /s/ Joy C. Dowd | |
Joy C. Dowd | ||
Treasurer and Principal Financial Officer | ||
September 6, 2012 |