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: 811-22903
J.P. Morgan Exchange-Traded Fund Trust
(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, Esq.
J.P. Morgan Investment Management Inc.
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
With copies to:
Elizabeth A. Davin, Esq. | Jon S. Rand Esq. | |
JPMorgan Chase & Co. | Dechert LLP | |
460 Polaris Parkway | 1095 Avenue of the Americas | |
Westerville, OH 43082 | New York, NY 10036 |
Registrant’s telephone number, including area code: (844) 457-6383
Date of fiscal year end: October 31
Date of reporting period: November 1, 2015 through April 30, 2016
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.
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).
Semi-Annual Report
JPMorgan Exchange-Traded Funds
April 30, 2016 (Unaudited)
JPMorgan Diversified Return Emerging Markets Equity ETF
JPMorgan Diversified Return Europe Currency Hedged ETF
JPMorgan Diversified Return Europe Equity ETF
JPMorgan Diversified Return Global Equity ETF
JPMorgan Diversified Return International Currency Hedged ETF
JPMorgan Diversified Return International Equity ETF
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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 of 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 Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not NAV) through a brokerage account, and are not individually redeemed from a Fund. Shares may only be redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
June 27, 2016
Dear Shareholder,
I am pleased to report that JPMorgan Exchange Traded Funds (ETFs) met their performance objectives with positive returns and a favorable risk profile for the six months ended April 30, 2016. Four of our seven ETFs outperformed their market-capitalization weighted benchmark indexes for the semi-annual period, while the remaining three ETFs had less than six months of performance since inception. Meanwhile, our Diversified Return Global Equity ETF (JPGE) earned an award for “Most Innovative Equity ETF — Performance” at the Fund Action ETF Awards Ceremony this past February.1 While it is inevitable, of course, that our results will not stand out in every investment environment, our record to date testifies, above all, to the effectiveness of our risk framework, which systematically diversifies exposures across economic sectors and geographic regions.
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“The individual investor should act consistently as an investor and not as a speculator.”
- Benjamin Graham, economist and pioneer of value investing |
Dimensions of Diversification
Our ETFs make innovative use of one of the most proven and durable investment approaches: diversification.2 Diversification has shown its worth in virtually every market condition and, today, amid slowing growth in China, weakness in commodities prices, a halting global recovery, and investor apprehension
1 | Only funds with their management/advisory company or team based in the USA or Canada were eligible for the Fund Action ETF US Performance Awards 2016. The ETF awards were judged based on performance and/or asset flows over a 12month period ending in September 2015. As well as performance data, judges also considered the management firm’s and fund’s reputation in the market place — they also gave credit to managers who have shown innovation in new products and fee offerings, etc. The awards were only given to those firms who demonstrated solid performance, positive asset flows and real credibility among advisors and investors. There was no minimum asset size required for any category. The judging panel was comprised of representatives from Fund Action and industry experts. The judges were carefully selected for their wealth of experience and expertise, as well as their absence of conflicts of interest. Judging decisions were based on a number of metrics including performance, asset flows, innovation, analyst feedback, infrastructural quality and other qualitative information and structural criteria. For the 12 months ended September 30, 2015, the JPMorgan Diversified Return Global Equity ETF returned -3.62%. |
2 | Diversification does not guarantee investment returns and does not eliminate risk of loss of investment. |
over future interest rate increases in the U.S. and the fallout from the U.K. referendum on exiting the European Union, the approach seems as pertinent as ever. Indeed, the uncertainties we observed in last fall’s shareholder letter have deepened. As we noted then, “we believe it’s likely that this period of relatively high market volatility will continue,” dictating the cautious “risk-adjusted” positioning characteristic of broad diversification. Our ETF strategy advances the time-tested precept. The traditional application diversifies across asset classes. The “smart beta” methodology of our underlying indexes diversifies within asset classes as well.
Smart beta methodologies have evolved out of the practice of modeling portfolios to mimic well-known equity indexes, which weight securities according to their market capitalization. These methodologies seek to avoid common risks inherent in traditional indexes, such as concentration in overvalued securities or sectors, by tracking indexes that gain exposure to return factors that have supported portfolios through volatile periods, such as underpriced stocks and stocks that have tended to hold their value in unstable markets. Our recent research, presented in “Smart Beta: Evolution, not Revolution” (available at www.jpmorganetfs.com), examines the strategy in greater detail and explains how it improves upon conventional index investing.
Toward a Steadier Course
The gains achieved since inception by our hedged and unhedged global and regional ETFs, along with your support, have encouraged us to extend our research and broaden our range of ETF solutions to provide what we believe to be unparalleled diversification for equity portfolios. That diversification, we believe, offers the surest means to stay on track through turbulent markets and reap the rewards of long-term compounding. We appreciate and honor your trust, and we look forward to smoothing your path to long-term portfolio growth for many years to come.
If you have any questions, please visit www.jpmorganetfs.com or call J.P. Morgan Exchange Traded Funds at 1-844-457-6383.
Sincerely yours,
Robert F. Deutsch
President, J.P. Morgan Exchange Traded Funds
J.P. Morgan Asset Management
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 1 |
JPMorgan Diversified Return Emerging Markets Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Emerging Markets Equity ETF* | 1.35% | |||
Market Price** | 0.60% | |||
FTSE Emerging Diversified Factor Index (net of foreign withholding taxes) | 1.87% | |||
FTSE Emerging Index (net of foreign withholding taxes) | 0.88% | |||
MSCI Emerging Markets Index (net of foreign withholding taxes) | -0.13% | |||
Net Assets as of 4/30/2016 | $ | 26,664,311 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return Emerging Markets Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the FTSE Emerging Diversified Factor Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which provides emerging markets equity exposure, diversified across emerging market regions and super-sectors. The Underlying Index uses a proprietary multi-factor stock selection process that utilizes the following characteristics: value, momentum and quality. The Underlying Index methodology includes quarterly rebalancing and liquidity screens.
HOW DID THE MARKET PERFORM?
Prices for emerging market equities generally fell during the six months ended April 30, 2016, which proved to be an extremely volatile period. This performance masks significant dispersion in performance among sectors and regions. The sharp rise in basic materials and crude oil prices in the early part of 2016 helped the commodities sector to lead the broader market for the reporting period. On the flip side, the defensives and industrials sectors fell during the reporting period, reflecting an investor shift to higher risk sectors in early 2016.
On a regional basis, equity prices in the China/India/Pakistan region fell during the reporting period and proved to be a significant drag on emerging market equity returns given that China was the center of investor worries. Investors also sold stocks in India in favor of rebounding cyclical markets elsewhere. Not surprisingly, commodity dependent Latin America and Europe/Middle East/Africa performed strongly in U.S. dollar terms, combining improved investor sentiment and currency strength.
At their low in January, emerging market equity valuations as a whole fell to 1.2 times greater than book value, a level rarely seen over the past 30 years in emerging markets. Since then, a sharp rebound in commodity prices and a diminished focus on China risk led to a significant rally that pushed equity prices higher to roughly 1.4 times greater than book value, which was still a level that the Fund’s managers considered attractive in historical terms.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute return for the six months ended April 30, 2016, and underperformed the Underlying Index by 0.52%, but outperformed both the FTSE Emerging Index and the MSCI Emerging Markets Index, broader market capitalization weighted indexes.
Because the Fund’s holdings were closely aligned with those of the Underlying Index, variances in relative performance due to security selection and/or sector allocation were not significant. The majority of the Fund’s deviations from the Underlying Index were related to issues around local market access in certain countries, differences in the net asset value calculations and foreign exchange pricing between the Underlying Index and the Fund, and fees and operating expenses incurred by the Fund.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and Underlying Index’s largest allocations of assets were to China/India/Pakistan and Europe/Middle East/Africa and the smallest allocations were to ASEAN (Indonesia, Malaysia, Philippines and Thailand) and North Asia (Taiwan). In terms of sectors, the Fund’s and Underlying Index’s largest weightings were in the financials and industrials sectors, while the smallest weightings were in the commodities and defensives sectors.
2 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | iShares MSCI India ETF | 8.6 | % | |||||
2. | Tencent Holdings Ltd. | 3.0 | ||||||
3. | China Mobile Ltd. | 2.9 | ||||||
4. | Taiwan Semiconductor Manufacturing Co., Ltd. | 2.7 | ||||||
5. | Hon Hai Precision Industry Co., Ltd. | 1.8 | ||||||
6. | Ambev S.A. | 1.5 | ||||||
7. | Gazprom OAO | 1.3 | ||||||
8. | America Movil SAB de CV | 1.2 | ||||||
9. | Fomento Economico Mexicano SAB de CV | 1.2 | ||||||
10. | China Construction Bank Corp. | 1.2 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||||
China | 19.3 | % | ||||
Taiwan | 18.1 | |||||
India | 8.5 | |||||
South Africa | 8.1 | |||||
Brazil | 7.1 | |||||
Russia | 6.1 | |||||
Mexico | 6.0 | |||||
Malaysia | 5.9 | |||||
Indonesia | 5.1 | |||||
Thailand | 3.4 | |||||
Philippines | 3.0 | |||||
Turkey | 2.3 | |||||
Chile | 2.0 | |||||
Poland | 1.4 | |||||
United Arab Emirates | 1.3 | |||||
Other (each less than 1%) | 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 net asset value was $44.44 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $44.14 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of April 30, 2016. The Fund’s composition is subject to change. |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 3 |
JPMorgan Diversified Return Emerging Markets Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 | ||||||||||||||||
INCEPTION DATE | 6 MONTH | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return Emerging Markets Equity ETF | ||||||||||||||||
Net Asset Value | 1/07/2015 | 1.35 | % | -16.66 | % | -6.40 | % | |||||||||
Market Price | 0.60 | -17.70 | -6.86 |
LIFE OF FUND PERFORMANCE (1/07/15 TO 4/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on January 7, 2015.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return Emerging Markets Equity ETF, the FTSE Emerging Diversified Factor Index, the FTSE Emerging Index, and the MSCI Emerging Markets Index from January 7, 2015 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the FTSE Emerging Diversified Factor Index, the FTSE Emerging Index and the MSCI Emerging Markets Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The FTSE Emerging Diversified Factor Index is an index comprised of equity securities from emerging markets selected to represent a diversified set of factor characteristics, originally developed by the adviser and its holdings are selected by the index provider primarily from the constituents of the FTSE Emerging Index. The FTSE Emerging Index
is part of the FTSE Global Equity Index Series. The series includes large and mid cap securities from advanced and secondary emerging markets, classified in accordance with FTSE’s transparent Country Classification Review Process. The FTSE Emerging Index provides investors with a comprehensive means of measuring the performance of the most liquid companies in the emerging markets. FTSE International Limited is the index provider for the two FTSE indexes. The MSCI Emerging Markets Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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.
4 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return Europe Currency Hedged ETF
FUND COMMENTARY
FOR THE PERIOD APRIL 1, 2016 (FUND INCEPTION DATE) THROUGH APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Europe Currency Hedged ETF*. | 1.08% | |||
Market Price** | 1.08% | |||
FTSE Developed Europe Diversified Factor 100% Hedged to USD Index (net of foreign withholding taxes) | 1.38% | |||
FTSE Developed Europe Diversified Factor Index (net of foreign withholding taxes) | 1.37% | |||
FTSE Developed Europe Index (net of foreign withholding taxes) | 2.39% | |||
Net Assets as of 4/30/2016 | $ | 25,272,638 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return Europe Currency Hedged ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed Europe Diversified Factor 100% Hedged to USD Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks large and mid-cap equity securities in Europe and is diversified across industries. The Underlying Index uses a proprietary multifactor security selection process that measures valuation, momentum and quality. The Underlying Index methodology includes quarterly rebalancing. The Underlying Index attempts to minimize the impact of exchange rate fluctuations by hedging out European currency exposure.
HOW DID THE MARKET PERFORM?
European equity markets experienced increased volatility in 2016 amid investor concerns about continued economic weakness in the European Union (EU) and slowing growth in China. Prices for European equities fell sharply in January, though healthy corporate earnings provided some support for stocks.
In March 2016, the European Central Bank expanded both the size and scope of its asset purchase program, pushed deposit rates further negative and extended a program aimed at boosting bank lending. By the end of April, equity markets in Europe had rebounded somewhat as China’s economy appeared to stabilize and the data showed strength in European output. Meanwhile, negotiations between Greece and its creditors remain unresolved and threatened additional European Union (EU) loans to help the country meet July debt repayments. Also, a June referendum on Britain’s potential exit from the EU added further economic uncertainty. For the period April 1, 2016 to April 30, 2016, the FTSE Developed Europe Index returned 2.39%.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the period April 1, 2016 to April 30, 2016. During the period, the Fund’s performance deviated by -0.30% from the Underlying Index and by -0.31% from the FTSE Developed Europe Diversified Factor Index, which holds the same securities as the Underlying Index but, employs no currency hedge. The Fund also underperformed the FTSE Developed Europe Net Index, which is a more traditional market capitalization weighted index.
Because the Fund’s holdings were closely aligned with those of the Underlying Index, variances in performance relative to the Underlying Index were not significant. The majority of the Fund’s deviation against the Underlying Index was due to differences in valuations because of the timing of the local market closings and the net asset value calculations, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
HOW WAS THE FUND POSITIONED?
By seeking to track the Underlying Index, the Fund seeks to deliver risk-adjusted returns by avoiding undue concentrations of risk that tend to characterize more traditional market-cap weighted indexes. The Underlying Index’s weightings are structured to distribute risk evenly across 10 economic sectors. A multi-factor stock screen is then used to identify the most attractive stocks in each sector, while avoiding the least attractive stocks.
* | 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 net asset value was $25.27 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $25.27 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 5 |
JPMorgan Diversified Return Europe Currency Hedged ETF
FUND COMMENTARY
FOR THE PERIOD APRIL 1, 2016 (FUND INCEPTION DATE) THROUGH APRIL 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 | ||||||||
INCEPTION DATE | SINCE INCEPTION | |||||||
JPMorgan Diversified Return Europe Currency Hedged ETF | ||||||||
Net Asset Value | 4/01/2016 | 1.08 | % | |||||
Market Price | 1.08 |
LIFE OF FUND PERFORMANCE (4/01/16 TO 4/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on April 1, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return Europe Currency Hedged ETF, the FTSE Developed Europe Diversified Factor 100% Hedged to USD Index, the FTSE Developed Europe Diversified Factor Index, and the FTSE Developed Europe Index from April 1, 2016 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the FTSE Developed Europe Diversified Factor 100% Hedged to USD Index, the FTSE Developed Europe Diversified Factor Index, and the FTSE Developed Europe Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The FTSE Developed Europe Diversified Factor 100% Hedged to USD Index and the FTSE Developed Europe Diversified Factor Index are indexes comprised of equity securities from developed Europe selected to represent a diversified set of factor characteristics, originally developed by the adviser, and their equity holdings
are selected by the index provider primarily from the constituents of the FTSE Developed Europe Index. The FTSE Developed Europe Diversified Factor 100% Hedged to USD Index represents European stock performance with the foreign currency risk of the index securities hedged against the U.S. dollar on a monthly basis. These two indexes include large and mid cap stocks providing coverage of developed European markets. FTSE Developed Europe Index is a market capitalization weighted index representing the performance of large and mid cap companies in developed European markets. FTSE International Limited is the index provider for the three indexes. Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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.
6 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return Europe Equity ETF
FUND COMMENTARY
FOR THE PERIOD DECEMBER 18, 2015 (FUND INCEPTION DATE) THROUGH APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Europe Equity ETF* | 3.55% | |||
Market Price** | 3.59% | |||
FTSE Developed Europe Diversified Factor Index (net of foreign withholding taxes) | 3.26% | |||
FTSE Developed Europe Index (net of foreign withholding taxes) | 1.41% | |||
MSCI Europe Index (net of foreign withholding taxes) | 1.37% | |||
Net Assets as of 4/30/2016 | $ | 56,945,975 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return Europe Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed Europe Diversified Factor Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks large and mid-cap equity securities in Europe, diversified across industries. The Underlying Index uses a proprietary multifactor security selection process that measures the following characteristics: valuation, momentum and quality. The Underlying Index methodology includes quarterly rebalancing and liquidity screens.
HOW DID THE MARKET PERFORM?
European equity markets experienced increased volatility in 2016 amid investor concerns about continued economic weakness in the European Union (EU) and slowing growth in China. Prices for European equities fell sharply in January, though healthy corporate earnings provided some support for stocks.
In March 2016, the European Central Bank expanded both the size and scope of its asset purchase program, pushed deposit rates further negative and extended a program aimed at boosting bank lending. By the end of April, equity markets in Europe had rebounded somewhat as China’s economy appeared to stabilize and the data showed strength in European output. Meanwhile, negotiations between Greece and its creditors remain unresolved and threatened additional EU loans to help the country meet July debt repayments. Also, a June referendum on Britain’s potential exit from the EU added further economic uncertainty. For the period December 18, 2015 to April 30, 2016, the FTSE Developed Europe Index returned 1.41% and the MSCI Europe Index (net of foreign withholding taxes) returned 1.37%.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the period December 18, 2015 to April 30, 2016. During the period, the Fund outperformed the Underlying Index. The Fund also outperformed the FTSE Developed Europe Index and the MSCI Europe Index, which are more traditional market capitalization weighted indexes.
Because the Fund’s holdings were closely aligned with those of the Underlying Index, variances in performance relative to the Underlying Index were not significant. The majority of the Fund’s deviation against the Underlying Index was due to differences in valuations because of the timing of the local market closings and the net asset value calculations, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
Relative to market-cap weighted indexes, the Fund’s and Underlying Index’s sector allocation approach contributed to performance, most notably from an underweight position in the financials sector. The Fund and its Underlying Index also saw small positive returns from the combination of the multi-factor screening and equal stock weighting approach, again most prominently in the financials sector.
HOW WAS THE FUND POSITIONED?
By seeking to track the Underlying Index, the Fund seeks to deliver superior risk-adjusted returns by avoiding undue concentrations of risk that tend to characterize more traditional market-cap weighted indexes. The Underlying Index’s weightings are structured to distribute risk evenly across 10 economic sectors. At the end of the reporting period, the Fund’s largest country weightings were in the U.K., France and Germany, while its smallest positions were in the U.S., Ireland and Luxembourg. The Fund’s largest sector weightings were in utilities, health technology and communications, while its smallest positions were in distribution services, health services and consumer durables. A multi-factor stock screen is then used to identify the most attractive stocks in each sector based on these factors, while avoiding the least attractive stocks.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 7 |
JPMorgan Diversified Return Europe Equity ETF
FUND COMMENTARY
FOR THE PERIOD DECEMBER 18, 2015 (FUND INCEPTION DATE) THROUGH APRIL 30, 2016 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Vodafone Group plc | 2.4 | % | |||||
2. | SAP SE | 2.3 | ||||||
3. | Iberdrola S.A. | 2.1 | ||||||
4. | Novartis AG | 2.0 | ||||||
5. | GlaxoSmithKline plc | 1.9 | ||||||
6. | Swisscom AG | 1.8 | ||||||
7. | Roche Holding AG | 1.7 | ||||||
8. | National Grid plc | 1.4 | ||||||
9. | British American Tobacco plc | 1.3 | ||||||
10. | TOTAL S.A. | 1.3 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||
United Kingdom | 25.6 | % | ||
France | 14.6 | |||
Germany | 11.7 | |||
Switzerland | 11.3 | |||
Spain | 7.5 | |||
Sweden | 7.3 | |||
Netherlands | 4.6 | |||
Finland | 4.1 | |||
Italy | 3.0 | |||
Denmark | 2.9 | |||
Belgium | 2.6 | |||
Norway | 2.1 | |||
Other (each less than 1%) | 2.7 |
* | 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 net asset value was $51.77 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $51.79 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of April 30, 2016. The Fund’s composition is subject to change. |
8 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 | ||||||||
INCEPTION DATE | SINCE INCEPTION | |||||||
JPMorgan Diversified Return Europe Equity ETF | ||||||||
Net Asset Value | 12/18/2015 | 3.55 | % | |||||
Market Price | 3.59 |
LIFE OF FUND PERFORMANCE (12/18/15 TO 4/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on December 18, 2015.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return Europe Equity ETF, the FTSE Developed Europe Diversified Factor Index, the FTSE Developed Europe Index, and the MSCI Europe Index from December 18, 2015 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the FTSE Developed Europe Diversified Factor Index, the FTSE Developed Europe Index, and the MSCI Europe Net Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The FTSE Developed Europe Diversified Factor Index is an index comprised of equity securities from the developed Europe market selected to represent a diversified set of factor characteristics, originally developed by the adviser, and its equity holdings are selected by the index provider primarily from the constituents of the FTSE Developed Europe Index. The FTSE Developed Europe Diversified Factor Index includes large and mid-cap stocks providing coverage of developed European
markets. The FTSE Developed Europe Index is a market capitalization weighted index representing the performance of large and mid-cap companies in developed European markets. FTSE International Limited is the index provider for these two indexes. The MSCI Europe Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. The MSCI Europe Index consists of the following 15 developed market country indices: Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland, and the United Kingdom.Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 9 |
JPMorgan Diversified Return Global Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Global Equity ETF* | 2.46% | |||
Market Price** | 2.16% | |||
FTSE Developed Diversified Factor Index (net of foreign withholding taxes) | 2.99% | |||
FTSE Developed Index (net of foreign withholding taxes) | -1.02% | |||
MSCI World Index (net of foreign withholding taxes) | -1.05% | |||
Net Assets as of April 30, 2016 | $ | 60,936,333 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return Global Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed Diversified Factor Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which provides exposure to large and mid-cap equity securities in developed global markets, diversified across global regions and industries. The Underlying Index uses a proprietary multi-factor selection process that utilizes the following characteristics: relative valuation, price momentum, low volatility and specific market capitalization. The Underlying Index’s methodology includes quarterly rebalancing and liquidity screens.
HOW DID THE MARKET PERFORM?
Financial market volatility rose sharply in the first two months of 2016 amid investor concerns about economic stability in China, falling global oil prices and uncertainty about the direction of central bank interest rate policy in the U.S. However, the U.S. Federal Reserve responded to global conditions by adopting a more accommodative policy stance and central banks in China, Japan and the European Union took further steps to stabilize markets and extend economic expansion. By the end of March, global prices for both equities and crude oil had rebounded from mid-February lows.
HOW DID THE FUND PERFORM?
For the six months ended April 30, 2016, the Fund posted a positive absolute performance but experienced a deviation of -0.53% relative to the Underlying Index.
On an absolute basis, the Fund’s and the Underlying Index’s positions in the heath care and industrials sectors were leading contributors to performance for the six month reporting period, while their positions in the financials and technology sectors were the sole detractors from performance.
Because the Fund’s holdings were closely aligned with those of the Underlying Index, variances in relative performance due to security selection and/or sector allocation were not significant. The majority of the Fund’s deviation against the Underlying Index was due to specific country trading limits, differences in valuations because of the timing of the local market closings and the net asset value calculations, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and the Underlying Index’s largest allocation of assets was to North American markets — particularly the U.S. — with smaller allocations to Asia, Europe and Japan. In terms of sectors, the Fund’s and the Underlying Index’s largest average weighting were in the consumer goods, consumer services and health care sectors, while the smallest weightings were in the oil & gas, basic materials and telecommunications sectors.
10 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Samsung Electronics Co., Ltd. | 0.5 | % | |||||
2. | CSL Ltd. | 0.5 | ||||||
3. | Scentre Group | 0.4 | ||||||
4. | Transurban Group | 0.4 | ||||||
5. | POSCO | 0.4 | ||||||
6. | NAVER Corp. | 0.4 | ||||||
7. | Singapore Telecommunications Ltd. | 0.4 | ||||||
8. | Wesfarmers Ltd. | 0.4 | ||||||
9. | Toyota Motor Corp. | 0.4 | ||||||
10. | CK Hutchison Holdings Ltd. | 0.4 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||||
United States | 25.7 | % | ||||
Japan | 21.4 | |||||
South Korea | 9.4 | |||||
Australia | 9.3 | |||||
France | 4.2 | |||||
United Kingdom | 4.1 | |||||
Hong Kong | 4.0 | |||||
Sweden | 2.8 | |||||
Germany | 2.8 | |||||
Canada | 2.6 | |||||
Singapore | 2.5 | |||||
Spain | 2.2 | |||||
Switzerland | 2.1 | |||||
Netherlands | 1.4 | |||||
Norway | 1.1 | |||||
Other (each less than 1%) | 4.4 |
* | 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 net asset value was $50.78 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $50.78 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of April 30, 2016. The Fund’s composition is subject to change. |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 11 |
JPMorgan Diversified Return Global Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 (Unaudited) | ||||||||||||||||
INCEPTION DATE | 6 MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return Global Equity ETF | ||||||||||||||||
Net Asset Value | 6/16/2014 | 2.46 | % | -0.97 | % | 2.23 | % | |||||||||
Market Price | 2.16 | -0.94 | 2.23 |
LIFE OF FUND PERFORMANCE (6/16/14 TO 4/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on June 16, 2014.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return Global Equity ETF, the FTSE Developed Diversified Factor Index, the FTSE Developed Index, and the MSCI World Index from June 16, 2014 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the FTSE Developed Diversified Factor Index, the FTSE Developed Index and the MSCI World Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The FTSE Developed Diversified Factor Index is an index comprised of equity securities from developed global markets selected to represent a diversified set of factor characteristics, originally developed by the adviser and its holdings are selected by the index provider primarily from the constituents of the FTSE Developed Index. The FTSE Developed Index is a market-capitalization weighted index
representing the performance of large and mid cap companies in Developed markets. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization. FTSE International Limited is the index provider for the two indexes. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return International Currency Hedged ETF
FUND COMMENTARY
FOR THE PERIOD APRIL 1, 2016 (FUND INCEPTION DATE) THROUGH APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return International Currency Hedged ETF* | 0.20% | |||
Market Price** | 0.28% | |||
FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index (net of foreign withholding taxes) | 1.71% | |||
FTSE Developed ex North America Diversified Factor Index (net of foreign withholding taxes) | 2.05% | |||
FTSE Developed ex North America Index (net of foreign withholding taxes) | 2.75% | |||
Net Assets as of 4/30/2016 | $ | 25,044,447 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return International Currency Hedged ETF (the “Fund”) seeks results that closely correspond, before fees and expenses, to the performance of the FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks large- and mid-cap equity securities in developed markets outside North America. The Underlying Index uses a proprietary multi-factor selection process that measures the following characteristics: relative valuation, price momentum, low volatility and specific market capitalization. The Underlying Index attempts to minimize the impact of exchange rate fluctuations by hedging currency exposure against the U.S. dollar.
HOW DID THE MARKET PERFORM?
For the 30 days ended April 30, 2016, developed market equity prices generally rose as increased stimulus measures from the European Central Bank, improved economic data in China, strength in global oil prices and accommodative interest rate policy from the U.S. Federal Reserve drove investors toward equity assets. The FTSE Developed ex North America Index returned 2.75% the reporting period.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute return for the period April 1, 2016 to April 30, 2016. In terms of relative performance, the Fund’s performance deviated from the Underlying Index by -1.51% and deviated from the FTSE Developed ex North America Diversified Factor Index by -1.85%. The Fund also underperformed the FTSE Developed ex North America Index.
Because the Fund’s holdings were closely aligned with those of the Underlying Index, variances in relative performance to the Underlying Index were not significant. The majority of the Fund’s deviation against the Underlying Index was due to differences in valuations because of the timing of the local market closings and the net asset value calculations, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
HOW WAS THE FUND POSITIONED?
By seeking to track the Underlying Index, the Fund seeks to deliver superior risk-adjusted returns by avoiding undue concentrations of risk that tend to characterize more traditional market-cap weighted indexes. The Underlying Index’s weightings are structured to distribute risk evenly across 10 sectors. A multi-factor stock screen is then used to identify the most attractive stocks in each sector, while avoiding the least attractive stocks.
* | 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 net asset value was $25.04 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $25.07 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 13 |
JPMorgan Diversified Return International Currency Hedged ETF
FUND COMMENTARY
FOR THE PERIOD APRIL 1, 2016 (FUND INCEPTION DATE) THROUGH APRIL 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 | ||||||||
INCEPTION DATE | SINCE INCEPTION | |||||||
JPMorgan Diversified Return International Currency Hedged ETF | ||||||||
Net Asset Value | 4/01/2016 | 0.20 | % | |||||
Market Price | 0.28 |
LIFE OF FUND PERFORMANCE (4/01/16 TO 04/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on April 1, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return International Currency Hedged ETF, the FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index, the FTSE Developed ex North America Diversified Factor Index, and the FTSE Developed ex North America Index from April 1, 2016 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index, the FTSE Developed ex North America Diversified Factor Index, and the FTSE Developed ex North America Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.The FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index and the FTSE Developed ex North America Diversified Factor Index are indexes comprised of equity securities from developed global markets (excluding North America) selected to represent a diversified set of factor characteristics, originally developed by the adviser, and their equity holdings are selected by the index provider primarily
from the constituents of the FTSE Developed ex North America Index. The FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index represents international stock performance with the foreign currency risk of the index securities hedged against the U.S. dollar on a monthly basis. These two indexes include large and mid-cap stocks providing coverage of developed markets outside of North America. The FTSE Developed ex North America Index a market capitalization weighted index representing the performance of large and mid-cap companies in developed markets, excluding the US and Canada. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization. FTSE International Limited is the index provider for the three indexes. Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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.
14 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return International Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return International Equity ETF* | 0.05% | |||
Market Price** | 0.13% | |||
FTSE Developed ex North America Diversified Factor Index (net of foreign withholding taxes) | 0.67% | |||
FTSE Developed ex North America Index (net of foreign withholding taxes) | -2.85% | |||
MSCI EAFE Index (net of foreign withholding taxes) | -3.07% | |||
Net Assets as of 4/30/16 | $ | 260,511,858 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return International Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed ex North America Diversified Factor Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks large- and mid-cap equity securities in developed markets outside North America, diversified across sectors and international regions. The Underlying Index uses a proprietary multi-factor selection process that measures the following characteristics: relative valuation, price momentum, low volatility and specific market capitalization. The Underlying Index methodology includes quarterly rebalancing and liquidity screens.
HOW DID THE MARKET PERFORM?
Financial market volatility rose sharply in the first two months of 2016 amid investor concerns about economic stability in China, falling global oil prices and uncertainty about the direction of central bank interest rate policy in the U.S. However, the U.S. Federal Reserve responded to global conditions by adopting a more accommodative policy stance and central banks in China, Japan and the European Union took further steps to stabilize markets and extend economic expansion. By the end of March, global prices for both equities and crude oil had rebounded from mid-February lows.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the six months ended April 30, 2016. During the period, the Fund experienced a deviation of -0.62% relative to the Underlying Index but outperformed the MSCI EAFE Index (net of foreign withholding taxes) and the FTSE Developed ex-North America Index, which are more traditional market capitalization weighted indexes.
The Fund’s and the Underlying Index’s positions in the financials and technology sectors were leading detractors from absolute performance, while the Fund’s and the Underlying Index’s positions in the health care and oil & gas sectors were leading contributors to absolute performance.
The majority of the Fund’s deviation against the Underlying Index was due to specific country trading limits, differences in valuations because of the timing of the local market closings and the net asset value calculations, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
Relative to market-cap weighted indexes, the Fund’s and Underlying Index’s multi-factor filter contributed to performance across all regions and in most economic sectors, particularly in basic materials, financials and health care. The Fund’s and Underlying Index’s allocation detracted from performance relative to the market-cap weighted indexes, mostly due to an underweight position in the consumer goods sector, an overweight to the oil & gas sector, an overweight position in the Pacific region (excluding Japan) and an underweight position in Europe (excluding the U.K.)
HOW WAS THE FUND POSITIONED?
By seeking to track the Underlying Index, the Fund seeks to deliver superior risk-adjusted returns by avoiding undue concentrations of risk that tend to characterize more traditional market-cap weighted indexes. The Underlying Index’s weightings are structured to distribute risk evenly across 10 sectors. A multi-factor stock screen is then used to identify the most attractive stocks in each regional sector, while avoiding the least attractive stocks. During the reporting period, the largest average sector weightings for the Fund and the Underlying Index were in the consumer services, consumer goods and health care sectors, while the smallest sector weightings were in the technology, basic materials and oil & gas sectors. The largest average regional weighting was in the Asia Pacific, excluding Japan, while the smallest weighting was in the U.K.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 15 |
JPMorgan Diversified Return International Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Royal Dutch Shell plc | 0.8 | % | |||||
2. | GlaxoSmithKline plc | 0.8 | ||||||
3. | BP plc | 0.8 | ||||||
4. | Vodafone Group plc | 0.6 | ||||||
5. | Shire plc | 0.6 | ||||||
6. | AstraZeneca plc | 0.5 | ||||||
7. | WPP plc | 0.5 | ||||||
8. | BT Group plc | 0.5 | ||||||
9. | National Grid plc | 0.5 | ||||||
10. | Unilever plc | 0.5 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||||
Japan | 24.2 | % | ||||
United Kingdom | 22.0 | |||||
South Korea | 9.4 | |||||
Australia | 8.7 | |||||
Hong Kong | 5.1 | |||||
France | 5.0 | |||||
Germany | 4.2 | |||||
Singapore | 3.0 | |||||
Sweden | 2.7 | |||||
Netherlands | 2.4 | |||||
Spain | 2.2 | |||||
Switzerland | 2.1 | |||||
Finland | 1.7 | |||||
Denmark | 1.5 | |||||
Norway | 1.3 | |||||
Italy | 1.2 | |||||
Belgium | 1.1 | |||||
Other (each less than 1%) | 2.2 |
* | 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 net asset value was $50.10 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $50.03 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of April 30, 2016. The Fund’s composition is subject to change. |
16 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 | ||||||||||||||||
INCEPTION DATE | 6 MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return International Equity ETF | ||||||||||||||||
Net Asset Value | 11/05/2014 | 0.05 | % | -4.40 | % | 1.80 | % | |||||||||
Market Price | 0.13 | -4.76 | 1.70 |
LIFE OF FUND PERFORMANCE (11/05/14 TO 4/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on November 5, 2014.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return International Equity ETF, the FTSE Developed ex North America Diversified Factor Index, the FTSE Developed ex North America Index, and the MSCI EAFE Index from November 5, 2014 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the FTSE Developed ex North America Diversified Factor Index, the FTSE Developed ex North America Index and the MSCI EAFE Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The FTSE Developed ex North America Diversified Factor Index is an index comprised of equity securities from developed global markets (excluding North America) selected to represent a diversified set of factor characteristics, originally developed by the adviser. The FTSE Developed ex North America Index is part of a
range of indices designed to help investors benchmark their international investments. The index comprises large and mid cap stocks providing coverage of developed markets, excluding the U.S. and Canada. The index is derived from the FTSE Global Equity Index Series (GEIS), which covers 98% of the world’s investable market capitalization. FTSE International Limited is the index provider for the two indexes. The MSCI EAFE Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.
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.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 17 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 87.6% |
| ||||||
Brazil — 4.4% |
| |||||||
72,491 | Ambev S.A. | 404,689 | ||||||
8,689 | Banco do Brasil S.A. | 55,101 | ||||||
4,327 | Banco Santander Brasil S.A. | 23,389 | ||||||
5,803 | BB Seguridade Participacoes S.A. | 50,483 | ||||||
16,576 | BM&F Bovespa S.A. — Bolsa de Valores Mercadorias e Futuros | 82,512 | ||||||
5,091 | Centrais Eletricas Brasileiras S.A. (a) | 11,517 | ||||||
2,089 | CETIP S.A. — Mercados Organizados | 25,608 | ||||||
5,667 | Cia de Saneamento Basico do Estado de Sao Paulo | 43,352 | ||||||
9,984 | Cielo S.A. | 96,814 | ||||||
4,026 | EDP — Energias do Brasil S.A. | 14,855 | ||||||
8,876 | Embraer S.A. | 51,538 | ||||||
3,229 | Equatorial Energia S.A. | 39,695 | ||||||
4,399 | Estacio Participacoes S.A. | 15,298 | ||||||
2,906 | Fibria Celulose S.A. | 25,602 | ||||||
2,406 | Grupo BTG Pactual | 13,628 | ||||||
11,408 | JBS S.A. | 30,085 | ||||||
23,582 | Kroton Educacional S.A. | 87,903 | ||||||
806 | M Dias Branco S.A. | 18,256 | ||||||
918 | Porto Seguro S.A. | 7,415 | ||||||
775 | Smiles S.A. | 9,023 | ||||||
2,292 | Sul America S.A. | 11,043 | ||||||
3,463 | Tractebel Energia S.A. | 38,293 | ||||||
1,572 | Transmissora Alianca de Energia Eletrica S.A. | 9,187 | ||||||
|
| |||||||
1,165,286 | ||||||||
|
| |||||||
Chile — 1.9% | ||||||||
39,898 | AES Gener S.A. | 19,997 | ||||||
48,177 | Aguas Andinas S.A., Class A | 27,913 | ||||||
230,002 | Banco de Chile | 25,215 | ||||||
417 | Banco de Credito e Inversiones | 17,931 | ||||||
586,932 | Banco Santander Chile S.A. | 28,242 | ||||||
17,530 | Cencosud S.A. | 47,115 | ||||||
2,463 | Cia Cervecerias Unidas S.A. | 27,597 | ||||||
118,620 | Colbun S.A. | 31,966 | ||||||
55,755 | Empresa Nacional de Electricidad S.A. | 51,316 | ||||||
13,500 | Empresas CMPC S.A. | 30,170 | ||||||
55,755 | Endesa Americas S.A. (a) | 26,133 | ||||||
337,376 | Enersis Americas S.A. | 57,326 | ||||||
337,376 | Enersis Chile S.A. (a) | 41,317 | ||||||
1,509,798 | Itau CorpBanca | 13,723 | ||||||
7,544 | SACI Falabella | 58,385 | ||||||
|
| |||||||
504,346 | ||||||||
|
| |||||||
China — 19.9% | ||||||||
12,000 | 3SBio, Inc. (a) | 14,486 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
China — continued | ||||||||
6,000 | Agile Property Holdings Ltd. | 3,407 | ||||||
134,000 | Agricultural Bank of China Ltd., Class H | 48,362 | ||||||
20,000 | Air China Ltd., Class H | 15,142 | ||||||
10,000 | Anhui Conch Cement Co., Ltd., Class H | 26,351 | ||||||
10,000 | ANTA Sports Products Ltd. | 25,472 | ||||||
17,500 | BAIC Motor Corp., Ltd., Class H | 14,717 | ||||||
404,000 | Bank of China Ltd., Class H | 163,578 | ||||||
44,000 | Bank of Communications Co., Ltd., Class H | 27,732 | ||||||
12,000 | BBMG Corp., Class H | 8,770 | ||||||
4,500 | Beijing Enterprises Holdings Ltd. | 23,469 | ||||||
54,000 | Beijing Enterprises Water Group Ltd. | 32,207 | ||||||
24,000 | Beijing Jingneng Clean Energy Co., Ltd., Class H | 7,572 | ||||||
61,000 | Belle International Holdings Ltd. | 37,201 | ||||||
1,500 | Biostime International Holdings Ltd. | 4,167 | ||||||
32,000 | Brilliance China Automotive Holdings Ltd. | 31,563 | ||||||
9,000 | CAR, Inc. (a) | 10,218 | ||||||
116,000 | CGN Power Co., Ltd., Class H | 37,015 | ||||||
12,000 | China BlueChemical Ltd. | 2,777 | ||||||
46,000 | China Cinda Asset Management Co., Ltd., Class H (a) | 15,063 | ||||||
42,000 | China CITIC Bank Corp., Ltd., Class H (a) | 26,340 | ||||||
36,000 | China Communications Construction Co., Ltd., Class H | 43,212 | ||||||
24,000 | China Communications Services Corp., Ltd., Class H | 11,328 | ||||||
9,500 | China Conch Venture Holdings Ltd. | 19,222 | ||||||
488,000 | China Construction Bank Corp., Class H | 309,942 | ||||||
22,000 | China COSCO Holdings Co., Ltd., Class H (a) | 8,590 | ||||||
33,000 | China Dongxiang Group Co., Ltd. | 6,797 | ||||||
20,000 | China Eastern Airlines Corp., Ltd., Class H (a) | 10,934 | ||||||
18,000 | China Everbright Bank Co., Ltd., Class H | 8,162 | ||||||
4,000 | China Everbright Ltd. | 7,896 | ||||||
12,000 | China Foods Ltd. (a) | 4,407 | ||||||
19,500 | China Galaxy Securities Co., Ltd., Class H | 17,103 | ||||||
12,000 | China Gas Holdings Ltd. | 17,325 | ||||||
9,000 | China Hongqiao Group Ltd. | 6,587 | ||||||
13,000 | China Huarong Asset Management Co., Ltd. (a) | 4,584 | ||||||
45,000 | China Huishan Dairy Holdings Co., Ltd. | 16,799 | ||||||
5,400 | China International Marine Containers Group Co., Ltd., Class H | 8,427 | ||||||
24,000 | China Jinmao Holdings Group Ltd. | 6,871 | ||||||
39,000 | China Life Insurance Co., Ltd., Class H | 89,839 | ||||||
29,000 | China Longyuan Power Group Corp., Ltd., Class H | 20,064 | ||||||
6,000 | China Machinery Engineering Corp., Class H | 4,076 | ||||||
16,000 | China Medical System Holdings Ltd. | 20,763 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
China — continued |
| |||||||
25,000 | China Merchants Bank Co., Ltd., Class H | 54,766 | ||||||
10,329 | China Merchants Holdings International Co., Ltd. | 30,638 | ||||||
33,500 | China Minsheng Banking Corp., Ltd., Class H | 31,466 | ||||||
66,500 | China Mobile Ltd. | 763,471 | ||||||
36,000 | China Molybdenum Co., Ltd., Class H | 6,048 | ||||||
24,000 | China National Building Material Co., Ltd., Class H | 12,374 | ||||||
20,000 | China Overseas Land & Investment Ltd. | 63,485 | ||||||
13,400 | China Pacific Insurance Group Co., Ltd., Class H | 46,986 | ||||||
40,000 | China Power International Development Ltd. | 17,073 | ||||||
15,000 | China Railway Construction Corp., Ltd., Class H | 19,069 | ||||||
31,000 | China Railway Group Ltd., Class H | 24,537 | ||||||
10,000 | China Resources Beer Holdings Co. Ltd. | 21,974 | ||||||
12,000 | China Resources Cement Holdings Ltd. | 3,948 | ||||||
8,000 | China Resources Gas Group Ltd. | 22,639 | ||||||
14,000 | China Resources Land Ltd. | 34,394 | ||||||
24,000 | China Resources Power Holdings Co., Ltd. | 40,422 | ||||||
29,500 | China Shenhua Energy Co., Ltd., Class H | 49,673 | ||||||
10,000 | China Shipping Development Co., Ltd., Class H | 7,101 | ||||||
24,000 | China South City Holdings Ltd. | 4,593 | ||||||
22,000 | China Southern Airlines Co., Ltd., Class H | 13,795 | ||||||
12,000 | China State Construction International Holdings Ltd. | 18,693 | ||||||
7,800 | China Taiping Insurance Holdings Co., Ltd. (a) | 15,894 | ||||||
196,000 | China Telecom Corp., Ltd., Class H | 97,033 | ||||||
22,000 | China Traditional Chinese Medicine Co., Ltd. (a) | 10,322 | ||||||
7,200 | China Vanke Co., Ltd., Class H | 17,971 | ||||||
12,000 | China Zhongwang Holdings Ltd. | 5,976 | ||||||
9,900 | Chongqing Changan Automobile Co., Ltd., Class B | 17,119 | ||||||
18,000 | Chongqing Rural Commercial Bank Co., Ltd., Class H | 9,461 | ||||||
54,000 | CITIC Ltd. | 78,748 | ||||||
12,000 | CITIC Securities Co., Ltd., Class H | 26,374 | ||||||
137,000 | CNOOC Ltd. | 169,239 | ||||||
14,000 | COSCO Pacific Ltd. | 14,888 | ||||||
30,000 | Country Garden Holdings Co., Ltd. | 11,837 | ||||||
56,000 | CSPC Pharmaceutical Group Ltd. | 49,772 | ||||||
3,500 | Dalian Wanda Commercial Properties Co., Ltd., Class H | 22,913 | ||||||
36,000 | Datang International Power Generation Co., Ltd., Class H | 10,227 | ||||||
36,000 | Dongfeng Motor Group Co., Ltd., Class H | 39,340 | ||||||
10,000 | ENN Energy Holdings Ltd. | 48,776 | ||||||
21,000 | Evergrande Real Estate Group Ltd. | 15,518 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
China — continued |
| |||||||
15,000 | Far East Horizon Ltd. | 11,907 | ||||||
19,576 | Fosun International Ltd. | 27,049 | ||||||
5,600 | Fuyao Glass Industry Group Co., Ltd., Class H (a) | 12,622 | ||||||
112,000 | GCL-Poly Energy Holdings Ltd. | 16,691 | ||||||
60,000 | Geely Automobile Holdings Ltd. | 29,825 | ||||||
8,200 | GF Securities Co., Ltd., Class H | 18,611 | ||||||
130,000 | GOME Electrical Appliances Holding Ltd. | 16,673 | ||||||
38,000 | Great Wall Motor Co., Ltd., Class H | 28,587 | ||||||
6,000 | Greentown China Holdings Ltd. | 4,459 | ||||||
8,700 | Guangdong Electric Power Development Co., Ltd., Class B | 4,923 | ||||||
32,000 | Guangdong Investment Ltd. | 45,186 | ||||||
20,000 | Guangshen Railway Co., Ltd., Class H | 10,360 | ||||||
26,000 | Guangzhou Automobile Group Co., Ltd., Class H | 30,214 | ||||||
2,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co., Ltd., Class H | 4,237 | ||||||
4,800 | Guangzhou R&F Properties Co., Ltd. | 6,694 | ||||||
15,000 | Haier Electronics Group Co., Ltd. | 25,193 | ||||||
6,000 | Haitian International Holdings Ltd. | 10,237 | ||||||
18,400 | Haitong Securities Co., Ltd., Class H | 30,408 | ||||||
32,000 | Huadian Fuxin Energy Corp., Ltd., Class H | 6,971 | ||||||
22,000 | Huadian Power International Corp., Ltd., Class H | 11,281 | ||||||
54,000 | Huaneng Power International, Inc., Class H | 38,516 | ||||||
24,000 | Huaneng Renewables Corp., Ltd., Class H | 7,082 | ||||||
9,200 | Huatai Securities Co., Ltd., Class H (a) | 19,406 | ||||||
385,000 | Industrial & Commercial Bank of China Ltd., Class H | 206,129 | ||||||
12,000 | Jiangsu Expressway Co., Ltd., Class H | 15,770 | ||||||
6,000 | Kingboard Chemical Holdings Ltd. | 11,540 | ||||||
26,000 | Kunlun Energy Co., Ltd. | 22,571 | ||||||
6,718 | KWG Property Holding Ltd. | 4,347 | ||||||
2,100 | Lao Feng Xiang Co., Ltd., Class B | 7,976 | ||||||
12,000 | Lee & Man Paper Manufacturing Ltd. | 7,865 | ||||||
2,100 | Legend Holdings Corp., Class H | 5,074 | ||||||
15,500 | Li Ning Co., Ltd. (a) | 6,722 | ||||||
9,000 | Longfor Properties Co., Ltd. | 12,626 | ||||||
19,000 | Luye Pharma Group Ltd. (a) | 13,184 | ||||||
23,000 | Metallurgical Corp of China Ltd., Class H | 6,911 | ||||||
4,200 | New China Life Insurance Co., Ltd., Class H | 13,692 | ||||||
12,000 | Nine Dragons Paper Holdings Ltd. | 8,598 | ||||||
34,000 | People’s Insurance Co., Group of China Ltd., Class H (The) | 13,674 | ||||||
20,000 | PICC Property & Casualty Co., Ltd., Class H | 36,381 | ||||||
26,500 | Ping An Insurance Group Company of China Ltd., Class H | 124,367 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 19 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
China — continued |
| |||||||
7,000 | Shandong Chenming Paper Holdings Ltd., Class H | 5,511 | ||||||
24,000 | Shandong Weigao Group Medical Polymer Co., Ltd., Class H | 14,408 | ||||||
4,500 | Shanghai Fosun Pharmaceutical Group Co., Ltd., Class H | 12,203 | ||||||
3,000 | Shanghai Industrial Holdings Ltd. | 6,821 | ||||||
1,900 | Shanghai Jinjiang International Hotels Development Co., Ltd. | 5,751 | ||||||
2,600 | Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd., Class B | 8,674 | ||||||
1,600 | Shanghai Mechanical and Electrical Industry Co., Ltd., Class B | 3,652 | ||||||
7,800 | Shanghai Pharmaceuticals Holding Co., Ltd., Class H | 16,533 | ||||||
8,500 | Shengjing Bank Co., Ltd., Class H | 11,568 | ||||||
6,000 | Shenzhen Expressway Co., Ltd., Class H | 5,325 | ||||||
9,544 | Shenzhen International Holdings Ltd. | 15,574 | ||||||
12,000 | Shenzhen Investment Ltd. | 4,841 | ||||||
7,000 | Shenzhou International Group Holdings Ltd. | 36,187 | ||||||
6,000 | Shimao Property Holdings Ltd. | 8,281 | ||||||
50,000 | Sino Biopharmaceutical Ltd. | 35,430 | ||||||
12,000 | Sinofert Holdings Ltd. | 1,637 | ||||||
21,000 | Sino-Ocean Land Holdings Ltd. | 9,444 | ||||||
9,000 | Sinopec Engineering Group Co., Ltd., Class H | 8,348 | ||||||
18,000 | Sinopec Oilfield Service Corp., Class H (a) | 3,932 | ||||||
24,000 | Sinopec Shanghai Petrochemical Co., Ltd., Class H | 11,773 | ||||||
12,400 | Sinopharm Group Co., Ltd., Class H | 53,000 | ||||||
18,000 | Sinotrans Ltd., Class H | 8,319 | ||||||
10,000 | SOHO China Ltd. | 5,028 | ||||||
10,000 | Sunac China Holdings Ltd. | 6,393 | ||||||
39,000 | Tencent Holdings Ltd. | 793,584 | ||||||
20,000 | Tianhe Chemicals Group Ltd. (a) | — | ||||||
9,000 | TravelSky Technology Ltd., Class H | 16,725 | ||||||
3,600 | Xinjiang Goldwind Science & Technology Co., Ltd., Class H | 5,929 | ||||||
2,800 | Yantai Changyu Pioneer Wine Co., Ltd., Class B | 8,850 | ||||||
36,000 | Yuexiu Property Co., Ltd. | 5,226 | ||||||
9,000 | Zhaojin Mining Industry Co., Ltd. | 7,777 | ||||||
12,000 | Zhejiang Expressway Co., Ltd., Class H | 12,245 | ||||||
7,500 | Zhongsheng Group Holdings Ltd. | 3,841 | ||||||
4,500 | Zhuzhou CSR Times Electric Co., Ltd., Class H | 25,604 | ||||||
44,000 | Zijin Mining Group Co., Ltd., Class H | 14,679 | ||||||
7,200 | ZTE Corp., Class H | 11,202 | ||||||
|
| |||||||
5,305,944 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Colombia — 0.1% |
| |||||||
4,953 | Cementos Argos S.A. | 20,134 | ||||||
14,351 | Isagen S.A. ESP | 20,680 | ||||||
|
| |||||||
40,814 | ||||||||
|
| |||||||
Czech Republic — 0.3% |
| |||||||
2,554 | CEZ A/S | 49,876 | ||||||
132 | Komercni banka A/S | 27,149 | ||||||
|
| |||||||
77,025 | ||||||||
|
| |||||||
Egypt — 0.2% |
| |||||||
8,820 | Commercial International Bank Egypt SAE GDR | 44,875 | ||||||
9,001 | Talaat Moustafa Group | 6,761 | ||||||
|
| |||||||
51,636 | ||||||||
|
| |||||||
Greece — 0.4% |
| |||||||
14,460 | Eurobank Ergasias S.A. (a) | 12,202 | ||||||
400 | FF Group | 8,244 | ||||||
3,610 | Hellenic Telecommunications Organization S.A. | 35,145 | ||||||
1,180 | JUMBO S.A. | 15,456 | ||||||
750 | Motor Oil Hellas Corinth Refineries S.A. (a) | 8,554 | ||||||
3,060 | OPAP S.A. | 23,132 | ||||||
|
| |||||||
102,733 | ||||||||
|
| |||||||
Hungary — 0.5% |
| |||||||
6,568 | Magyar Telekom Telecommunications plc | 11,408 | ||||||
529 | MOL Hungarian Oil & Gas plc | 32,323 | ||||||
1,596 | OTP Bank plc | 42,289 | ||||||
2,189 | Richter Gedeon Nyrt | 43,486 | ||||||
|
| |||||||
129,506 | ||||||||
|
| |||||||
Indonesia — 5.0% |
| |||||||
250,800 | Adaro Energy Tbk PT | 13,824 | ||||||
386,400 | Astra International Tbk PT | 196,081 | ||||||
164,800 | Bank Central Asia Tbk PT | 162,641 | ||||||
127,400 | Bank Mandiri Persero Tbk PT | 92,610 | ||||||
100,800 | Bank Negara Indonesia Persero Tbk PT | 34,900 | ||||||
146,500 | Bank Rakyat Indonesia Persero Tbk PT | 114,488 | ||||||
141,600 | Charoen Pokphand Indonesia Tbk PT | 39,728 | ||||||
131,200 | Global Mediacom Tbk PT | 11,498 | ||||||
9,200 | Gudang Garam Tbk PT | 48,213 | ||||||
22,100 | Indocement Tunggal Prakarsa Tbk PT | 32,922 | ||||||
22,500 | Indofood CBP Sukses Makmur Tbk PT | 26,011 | ||||||
86,000 | Indofood Sukses MakmurIndofood CBP Sukses Makmur Tbk PT | 46,224 | ||||||
96,300 | Media Nusantara Citra Tbk PT | 17,067 | ||||||
216,700 | Perusahaan Gas Negara Persero Tbk PT | 42,822 | ||||||
49,900 | Semen Indonesia Persero Tbk PT | 37,299 | ||||||
110,700 | Surya Citra Media Tbk PT | 26,745 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Indonesia — continued |
| |||||||
15,600 | Tambang Batubara Bukit Asam Persero Tbk PT | 8,298 | ||||||
1,036,700 | Telekomunikasi Indonesia Persero Tbk PT | 278,139 | ||||||
22,500 | Unilever Indonesia Tbk PT | 72,467 | ||||||
25,400 | United Tractors Tbk PT | 28,753 | ||||||
59,300 | XL Axiata Tbk PT | 15,803 | ||||||
|
| |||||||
1,346,533 | ||||||||
|
| |||||||
Malaysia — 5.8% |
| |||||||
24,400 | AirAsia Bhd | 11,845 | ||||||
25,800 | AMMB Holdings Bhd | 29,881 | ||||||
39,300 | Astro Malaysia Holdings Bhd | 27,797 | ||||||
62,100 | Bumi Armada Bhd | 12,539 | ||||||
71,600 | CIMB Group Holdings Bhd | 85,438 | ||||||
35,400 | Gamuda Bhd | 43,044 | ||||||
54,100 | Genting Malaysia Bhd | 61,813 | ||||||
10,000 | HAP Seng Consolidated Bhd | 19,608 | ||||||
8,568 | Hong Leong Bank Bhd | 29,492 | ||||||
52,600 | IJM Corp. Bhd | 46,453 | ||||||
10,400 | Kuala Lumpur Kepong Bhd | 63,680 | ||||||
72,394 | Malayan Banking Bhd | 165,277 | ||||||
54,300 | Maxis Bhd | 77,702 | ||||||
24,400 | MISC Bhd | 52,779 | ||||||
49,000 | Petronas Chemicals Group Bhd | 84,165 | ||||||
5,100 | Petronas Dagangan Bhd | 31,124 | ||||||
13,600 | Petronas Gas Bhd | 76,464 | ||||||
11,700 | PPB Group Bhd | 48,376 | ||||||
42,200 | Public Bank Bhd | 201,861 | ||||||
12,085 | RHB Capital Bhd | 18,915 | ||||||
65,200 | SapuraKencana Petroleum Bhd | 27,440 | ||||||
72,900 | Tenaga Nasional Bhd | 267,796 | ||||||
24,100 | UEM Sunrise Bhd | 6,272 | ||||||
21,300 | Westports Holdings Bhd | 22,588 | ||||||
115,900 | YTL Corp. Bhd | 46,254 | ||||||
|
| |||||||
1,558,603 | ||||||||
|
| |||||||
Mexico — 5.9% |
| |||||||
35,772 | Alfa SAB de CV, Class A | 67,283 | ||||||
4,429 | Alpek SAB de CV, Class A | 7,422 | ||||||
8,055 | Alsea SAB de CV | 30,877 | ||||||
461,022 | America Movil SAB de CV | 326,380 | ||||||
4,336 | Arca Continental SAB de CV | 29,910 | ||||||
3,116 | El Puerto de Liverpool SAB de CV | 35,411 | ||||||
24,462 | Fibra Uno Administracion SA de CV REIT | 58,110 | ||||||
33,482 | Fomento Economico Mexicano SAB de CV | 312,116 | ||||||
10,686 | Gentera SAB de CV | 21,205 | ||||||
2,579 | Gruma SAB de CV, Class B | 37,592 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Mexico — continued |
| |||||||
2,559 | Grupo Aeroportuario del Centro Norte SAB de CV, Class B | 14,838 | ||||||
4,350 | Grupo Aeroportuario del Pacifico SAB de CV, Class B | 41,074 | ||||||
3,087 | Grupo Aeroportuario del Sureste SAB de CV, Class B | 47,541 | ||||||
6,390 | Grupo Carso SAB de CV | 30,779 | ||||||
4,595 | Grupo Comercial Chedraui SA de CV | 13,004 | ||||||
21,593 | Grupo Financiero Banorte SAB de CV, Class O | 122,771 | ||||||
14,130 | Grupo Financiero Santander Mexico SAB de CV, Class B | 25,920 | ||||||
7,931 | Grupo Lala SAB de CV, Class B | 21,210 | ||||||
2,574 | Industrias Bachoco SAB de CV | 10,787 | ||||||
2,243 | Industrias CH SAB de CV, Class B (a) | 9,342 | ||||||
13,933 | Kimberly-Clark de Mexico SAB de CV, Class A | 33,122 | ||||||
4,988 | Megacable Holdings SAB de CV | 23,066 | ||||||
9,654 | OHL Mexico SAB de CV (a) | 15,863 | ||||||
2,486 | Promotora y Operadora de Infraestructura SAB de CV | 31,516 | ||||||
87,100 | Wal-Mart de Mexico SAB de CV | 215,261 | ||||||
|
| |||||||
1,582,400 | ||||||||
|
| |||||||
Philippines — 3.0% |
| |||||||
36,040 | Aboitiz Equity Ventures, Inc. | 50,949 | ||||||
33,000 | Aboitiz Power Corp. | 31,570 | ||||||
68,000 | Alliance Global Group Inc. | 20,995 | ||||||
4,010 | Ayala Corp. | 65,859 | ||||||
69,900 | Ayala Land, Inc. | 51,574 | ||||||
20,710 | Bank of the Philippine Islands | 39,955 | ||||||
19,670 | BDO Unibank, Inc. | 41,904 | ||||||
78,000 | DMCI Holdings, Inc. | 20,712 | ||||||
160,200 | Energy Development Corp. | 20,122 | ||||||
600 | Globe Telecom, Inc. | 28,031 | ||||||
795 | GT Capital Holdings Inc. | 23,142 | ||||||
43,680 | JG Summit Holdings, Inc. | 75,771 | ||||||
54,300 | LT Group Inc. | 17,813 | ||||||
5,700 | Manila Electric Co. | 41,694 | ||||||
194,000 | Megaworld Corp. | 15,561 | ||||||
16,946 | Metropolitan Bank & Trust Co. | 29,344 | ||||||
1,550 | Philippine Long Distance Telephone Co. | 56,665 | ||||||
6,080 | SM Investments Corp. | 122,145 | ||||||
104,100 | SM Prime Holdings, Inc. | 50,199 | ||||||
|
| |||||||
804,005 | ||||||||
|
| |||||||
Poland — 1.4% |
| |||||||
858 | Asseco Poland S.A. | 13,022 | ||||||
4,929 | Bank Millennium S.A. | 6,457 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 21 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Poland — continued |
| |||||||
228 | Bank Zachodni WBK S.A. | 15,856 | ||||||
315 | Ciech S.A. (a) | 5,840 | ||||||
3,378 | Cyfrowy Polsat S.A. | 21,507 | ||||||
3,444 | Enea S.A. | 10,648 | ||||||
4,513 | Energa S.A. | 14,704 | ||||||
1,214 | Eurocash S.A. | 17,345 | ||||||
570 | Grupa Azoty S.A. | 12,977 | ||||||
1,074 | Grupa Lotos S.A. (a) | 8,350 | ||||||
101 | mBank S.A. (a) | 8,533 | ||||||
11,848 | PGE Polska Grupa Energetyczna S.A. | 40,912 | ||||||
3,923 | Polski Koncern Naftowy Orlen S.A. | 70,753 | ||||||
19,788 | Polskie Gornictwo Naftowe i Gazownictwo S.A. | 26,357 | ||||||
7,099 | Powszechna Kasa Oszczednosci Bank Polski S.A. (a) | 45,491 | ||||||
4,500 | Powszechny Zaklad Ubezpieczen S.A. | 40,731 | ||||||
5,826 | Synthos S.A. | 6,212 | ||||||
16,746 | Tauron Polska Energia S.A. | 12,981 | ||||||
|
| |||||||
378,676 | ||||||||
|
| |||||||
Russia — 5.6% |
| |||||||
6,726 | Aeroflot — Russian Airlines PJSC (a) | 8,056 | ||||||
134,636 | Gazprom OAO | 350,781 | ||||||
268,212 | Inter RAO UES PJSC | 7,445 | ||||||
5,909 | Lukoil PJSC | 251,307 | ||||||
17,455 | Magnitogorsk Iron & Steel Works OJSC | 6,404 | ||||||
1,518 | MegaFon GDR | 17,485 | ||||||
581 | MMC Norilsk Nickel PJSC | 84,427 | ||||||
15,772 | Mobile TeleSystems PJSC | 61,668 | ||||||
11,137 | Moscow Exchange MICEX-RTS PJSC | 17,578 | ||||||
13,739 | Novatek OAO | 130,206 | ||||||
10,627 | Novolipetsk Steel OAO | 14,643 | ||||||
870 | PhosAgro OAO GDR | 13,485 | ||||||
14,258 | Rosneft OAO (a) | 77,351 | ||||||
15,903 | Rostelecom PJSC (a) | 24,217 | ||||||
1,511,347 | RusHydro PJSC (a) | 16,115 | ||||||
125,091 | Sberbank of Russia PJSC (a) | 238,815 | ||||||
1,978 | Severstal PAO | 22,210 | ||||||
45,433 | Sistema JSFC (a) | 13,653 | ||||||
84,370 | Surgutneftegas OAO (a) | 44,437 | ||||||
17,397 | Tatneft PAO, Class S (a) | 91,722 | ||||||
4,136 | Uralkali PJSC (a) | 10,434 | ||||||
|
| |||||||
1,502,439 | ||||||||
|
| |||||||
South Africa — 8.1% |
| |||||||
4,921 | AngloGold Ashanti Ltd. (a) | 79,997 | ||||||
4,476 | AVI Ltd. | 27,758 | ||||||
2,748 | Barclays Africa Group Ltd. | 27,827 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
South Africa — continued |
| |||||||
2,628 | Barloworld Ltd. | 15,171 | ||||||
3,850 | Bidvest Group Ltd. (The) | 97,815 | ||||||
2,810 | Brait S.E. (a) | 31,440 | ||||||
438 | Capitec Bank Holdings Ltd. | 18,174 | ||||||
3,381 | Clicks Group Ltd. | 24,694 | ||||||
2,743 | Discovery Ltd. | 24,550 | ||||||
25,582 | FirstRand Ltd. | 82,223 | ||||||
4,623 | Fortress Income Fund Ltd., Class A REIT | 5,199 | ||||||
4,623 | Fortress Income Fund Ltd., Class B REIT | 12,232 | ||||||
3,158 | Foschini Group Ltd. (The) | 33,925 | ||||||
9,424 | Gold Fields Ltd. | 43,602 | ||||||
22,717 | Growthpoint Properties Ltd. | 40,201 | ||||||
2,085 | Hyprop Investments Ltd. | 17,979 | ||||||
2,016 | Imperial Holdings Ltd. | 21,066 | ||||||
856 | JSE Ltd. | 9,932 | ||||||
876 | Liberty Holdings Ltd. | 8,605 | ||||||
8,700 | MMI Holdings Ltd. | 14,499 | ||||||
1,326 | Mondi Ltd. | 25,531 | ||||||
27,781 | MTN Group Ltd. | 290,826 | ||||||
6,960 | Nampak Ltd. | 11,905 | ||||||
1,662 | Nedbank Group Ltd. | 21,239 | ||||||
23,356 | Netcare Ltd. | 59,555 | ||||||
3,219 | Pick n Pay Stores Ltd. | 16,699 | ||||||
5,170 | PPC Ltd. | 5,447 | ||||||
32,627 | Redefine Properties Ltd. REIT | 28,163 | ||||||
1,908 | Resilient Ltd. REIT | 18,229 | ||||||
5,658 | RMB Holdings Ltd. | 23,132 | ||||||
15,318 | Sanlam Ltd. | 74,390 | ||||||
316 | Santam Ltd. | 5,213 | ||||||
6,018 | Sappi Ltd. (a) | 26,100 | ||||||
6,761 | Sasol Ltd. | 221,153 | ||||||
6,694 | Shoprite Holdings Ltd. | 80,562 | ||||||
2,466 | SPAR Group Ltd. (The) | 36,855 | ||||||
10,510 | Standard Bank Group Ltd. | 94,383 | ||||||
37,540 | Steinhoff International Holdings NV | 234,833 | ||||||
3,970 | Super Group Ltd. (a) | 11,473 | ||||||
4,944 | Telkom SA SOC Ltd. | 19,712 | ||||||
1,713 | Tongaat Hulett Ltd. | 14,165 | ||||||
6,239 | Truworths International Ltd. | 46,588 | ||||||
5,253 | Vodacom Group Ltd. | 61,076 | ||||||
13,957 | Woolworths Holdings Ltd. | 89,873 | ||||||
|
| |||||||
2,153,991 | ||||||||
|
| |||||||
Taiwan — 18.1% | ||||||||
90,000 | Advanced Semiconductor Engineering, Inc. | 86,601 | ||||||
5,000 | Advantech Co., Ltd. | 35,239 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Taiwan — continued |
| |||||||
11,000 | Asustek Computer, Inc. | 96,430 | ||||||
11,000 | Catcher Technology Co., Ltd. | 76,987 | ||||||
91,000 | Cathay Financial Holding Co., Ltd. | 101,901 | ||||||
63,390 | Chang Hwa Commercial Bank Ltd. | 33,046 | ||||||
33,000 | Cheng Shin Rubber Industry Co., Ltd. | 68,474 | ||||||
6,000 | Cheng Uei Precision Industry Co., Ltd. | 7,699 | ||||||
8,065 | Chicony Electronics Co., Ltd. | 19,320 | ||||||
47,000 | China Airlines Ltd. (a) | 15,341 | ||||||
12,000 | China Motor Corp. | 8,398 | ||||||
71,000 | Chunghwa Telecom Co., Ltd. | 239,713 | ||||||
66,000 | Compal Electronics, Inc. | 38,741 | ||||||
189,811 | CTBC Financial Holding Co., Ltd. | 96,192 | ||||||
32,000 | Delta Electronics Inc. | 148,228 | ||||||
85,388 | E.Sun Financial Holding Co., Ltd. | 47,262 | ||||||
3,114 | Eclat Textile Co., Ltd. | 35,444 | ||||||
37,000 | Eva Airways Corp. (a) | 18,314 | ||||||
69,680 | Far Eastern New Century Corp. | 52,036 | ||||||
30,000 | Far EasTone Telecommunications Co., Ltd. | 67,647 | ||||||
5,000 | Feng TAY Enterprise Co., Ltd. | 21,484 | ||||||
103,109 | First Financial Holding Co., Ltd. | 50,425 | ||||||
65,000 | Formosa Chemicals & Fibre Corp. | 165,632 | ||||||
27,000 | Formosa Petrochemical Corp. | 76,582 | ||||||
73,000 | Formosa Plastics Corp. | 181,296 | ||||||
15,300 | Foxconn Technology Co., Ltd. | 31,474 | ||||||
82,000 | Fubon Financial Holding Co., Ltd. | 99,328 | ||||||
199,900 | Hon Hai Precision Industry Co., Ltd. | 476,175 | ||||||
7,000 | Hotai Motor Co., Ltd. | 68,930 | ||||||
11,000 | HTC Corp. | 27,960 | ||||||
90,672 | Hua Nan Financial Holdings Co., Ltd. | 43,930 | ||||||
38,000 | Inotera Memories, Inc. (a) | 34,393 | ||||||
48,000 | Inventec Corp. | 31,650 | ||||||
2,000 | Largan Precision Co., Ltd. | 139,608 | ||||||
32,285 | Lite-On Technology Corp. | 39,214 | ||||||
122,233 | Mega Financial Holding Co., Ltd. | 86,626 | ||||||
85,000 | Nan Ya Plastics Corp. | 166,121 | ||||||
5,737 | Nanya Technology Corp. | 6,674 | ||||||
9,000 | Novatek Microelectronics Corp. | 31,360 | ||||||
28,000 | Pegatron Corp. | 58,986 | ||||||
46,000 | Pou Chen Corp. | 57,826 | ||||||
10,000 | President Chain Store Corp. | 70,704 | ||||||
40,000 | Quanta Computer, Inc. | 64,295 | ||||||
7,000 | Realtek Semiconductor Corp. | 19,548 | ||||||
87,287 | Shin Kong Financial Holding Co., Ltd. | 17,616 | ||||||
67,165 | Siliconware Precision Industries Co., Ltd. | 99,446 | ||||||
117,572 | SinoPac Financial Holdings Co., Ltd. | 34,740 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Taiwan — continued | ||||||||
18,000 | Synnex Technology International Corp. | 17,828 | ||||||
102,000 | Taishin Financial Holding Co., Ltd. | 38,480 | ||||||
45,621 | Taiwan Business Bank | 11,751 | ||||||
94,000 | Taiwan Cooperative Financial Holding Co., Ltd. | 41,453 | ||||||
31,000 | Taiwan Mobile Co., Ltd. | 102,187 | ||||||
158,000 | Taiwan Semiconductor Manufacturing Co., Ltd. | 725,910 | ||||||
33,000 | Teco Electric and Machinery Co., Ltd. | 26,018 | ||||||
4,000 | TPK Holding Co., Ltd. | 8,361 | ||||||
3,000 | Transcend Information, Inc. | 8,418 | ||||||
20,000 | Unimicron Technology Corp. | 9,542 | ||||||
83,000 | Uni-President Enterprises Corp. | 149,416 | ||||||
180,000 | United Microelectronics Corp. | 66,774 | ||||||
13,000 | Vanguard International Semiconductor Corp. | 19,809 | ||||||
49,000 | Walsin Lihwa Corp. (a) | 12,806 | ||||||
16,000 | Wan Hai Lines Ltd. | 8,781 | ||||||
38,000 | Wistron Corp. | 22,433 | ||||||
121,665 | Yuanta Financial Holding Co., Ltd. | 40,044 | ||||||
16,000 | Yulon Motor Co., Ltd. | 14,029 | ||||||
|
| |||||||
4,819,076 | ||||||||
|
| |||||||
Thailand — 3.4% | ||||||||
7,200 | Airports of Thailand PCL NVDR | 80,717 | ||||||
6,600 | Bangkok Bank PCL NVDR | 30,933 | ||||||
7,400 | Bumrungrad Hospital PCL NVDR | 42,949 | ||||||
20,200 | Central Pattana PCL NVDR | 30,460 | ||||||
84,300 | CP ALL PCL NVDR | 110,219 | ||||||
8,400 | Delta Electronics Thailand PCL NVDR | 17,280 | ||||||
4,900 | Electricity Generating PCL NVDR | 24,838 | ||||||
8,800 | Glow Energy PCL NVDR | 22,229 | ||||||
77,100 | Home Product Center PCL NVDR | 17,727 | ||||||
26,200 | Indorama Ventures PCL NVDR | 21,301 | ||||||
25,200 | Intouch Holdings PCL | 37,954 | ||||||
167,600 | IRPC PCL NVDR | 24,420 | ||||||
16,200 | Kasikornbank PCL NVDR | 76,809 | ||||||
47,500 | Krung Thai Bank PCL NVDR | 23,736 | ||||||
54,200 | Land & Houses PCL NVDR | 13,093 | ||||||
33,600 | Minor International PCL NVDR | 35,761 | ||||||
27,700 | PTT Global Chemical PCL NVDR | 49,379 | ||||||
7,500 | Ratchaburi Electricity Generating Holding PCL NVDR | 10,829 | ||||||
5,150 | Siam Cement (The) PCL NVDR | 71,823 | ||||||
21,100 | Siam Commercial Bank (The) PCL NVDR | 80,412 | ||||||
12,800 | Thai Airways International PCL NVDR | 5,305 | ||||||
14,400 | Thai Oil PCL NVDR | 27,162 | ||||||
41,200 | Thai Union Frozen Products PCL NVDR | 24,347 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 23 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Thailand — continued | ||||||||
295,300 | TMB Bank PCL NVDR | 19,221 | ||||||
|
| |||||||
898,904 | ||||||||
|
| |||||||
Turkey — 2.3% |
| |||||||
17,806 | Akbank TAS | 54,711 | ||||||
2,509 | Arcelik A/S | 16,845 | ||||||
936 | Aselsan Elektronik Sanayi Ve Ticaret A/S | 6,675 | ||||||
1,139 | Aygaz A/S | 4,694 | ||||||
3,311 | BIM Birlesik Magazalar A/S | 72,864 | ||||||
16,500 | Emlak Konut Gayrimenkul Yatirim Ortakligi A/S REIT | 17,733 | ||||||
6,093 | Enka Insaat ve Sanayi A/S | 10,577 | ||||||
15,264 | Eregli Demir ve Celik Fabrikalari TAS | 25,461 | ||||||
1,013 | Ford Otomotiv Sanayi A/S | 13,618 | ||||||
6,948 | Haci Omer Sabanci Holding A/S | 25,066 | ||||||
7,086 | KOC Holding A/S | 37,024 | ||||||
510 | Koza Altin Isletmeleri A/S | 3,339 | ||||||
6,054 | Petkim Petrokimya Holding A/S | 8,887 | ||||||
1,746 | TAV Havalimanlari Holding A/S | 10,175 | ||||||
1,733 | Tofas Turk Otomobil Fabrikasi A/S | 13,710 | ||||||
1,374 | Tupras Turkiye Petrol Rafinerileri A/S | 36,240 | ||||||
7,761 | Turk Hava Yollari AO (a) | 19,127 | ||||||
8,364 | Turk Telekomunikasyon A/S | 20,200 | ||||||
159 | Turk Traktor ve Ziraat Makineleri A/S | 4,709 | ||||||
12,583 | Turkcell Iletisim Hizmetleri A/S (a) | 54,452 | ||||||
18,330 | Turkiye Garanti Bankasi A/S | 56,424 | ||||||
5,322 | Turkiye Halk Bankasi A/S | 20,439 | ||||||
11,490 | Turkiye Is Bankasi, Class C | 20,146 | ||||||
7,851 | Turkiye Sise ve Cam Fabrikalari A/S | 10,966 | ||||||
8,940 | Turkiye Vakiflar Bankasi Tao, Class D | 15,778 | ||||||
2,267 | Ulker Biskuvi Sanayi A/S | 18,050 | ||||||
7,404 | Yapi ve Kredi Bankasi A/S | 11,320 | ||||||
|
| |||||||
609,230 | ||||||||
|
| |||||||
United Arab Emirates — 1.3% |
| |||||||
14,561 | Abu Dhabi Commercial Bank PJSC | 26,063 | ||||||
32,412 | Air Arabia PJSC | 10,922 | ||||||
24,951 | Aldar Properties PJSC | 18,383 | ||||||
56,247 | Dana Gas PJSC (a) | 8,681 | ||||||
6,894 | Dubai Investments PJSC | 4,076 | ||||||
7,785 | Dubai Islamic Bank PJSC | 12,287 | ||||||
37,737 | Dubai Parks & Resorts PJSC (a) | 13,599 | ||||||
16,522 | Emaar Malls Group PJSC | 12,933 | ||||||
29,639 | Emaar Properties PJSC | 54,241 | ||||||
27,520 | Emirates Telecommunications Group Co., PJSC | 141,613 | ||||||
8,780 | First Gulf Bank PJSC | 30,730 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United Arab Emirates — continued | ||||||||
8,543 | Union National Bank PJSC | 8,304 | ||||||
|
| |||||||
341,832 | ||||||||
|
| |||||||
Total Common Stocks | 23,372,979 | |||||||
|
| |||||||
| Exchange Traded Fund — 8.5% |
| ||||||
India — 8.5% |
| |||||||
83,869 | iShares MSCI India ETF | 2,269,495 | ||||||
|
| |||||||
Total Exchange Traded Fund | 2,269,495 | |||||||
|
| |||||||
| Preferred Stocks — 3.4% |
| ||||||
Brazil — 2.7% |
| |||||||
34,116 | Banco Bradesco S.A. | 257,612 | ||||||
1,812 | Braskem S.A. | 12,966 | ||||||
3,910 | Centrais Eletricas Brasileiras S.A.(a) | 14,631 | ||||||
600 | Cia de Transmissao de Energia Eletrica Paulista | 9,902 | ||||||
12,498 | Cia Energetica de Minas Gerais | 24,820 | ||||||
1,710 | Cia Paranaense de Energia | 14,086 | ||||||
28,772 | Itau Unibanco Holding S.A. | 275,234 | ||||||
33,073 | Itausa — Investimentos Itau S.A. | 82,797 | ||||||
3,827 | Suzano Papel e Celulose S.A., Class A | 14,655 | ||||||
|
| |||||||
706,703 | ||||||||
|
| |||||||
Chile — 0.1% |
| |||||||
1,123 | Sociedad Quimica y Minera de Chile S.A., Class B | 23,996 | ||||||
|
| |||||||
Colombia — 0.2% |
| |||||||
3,971 | Bancolombia S.A. | 37,749 | ||||||
36,037 | Grupo Aval Acciones y Valores S.A. | 15,054 | ||||||
|
| |||||||
52,803 | ||||||||
|
| |||||||
Russia — 0.4% |
| |||||||
18 | AK Transneft OAO (a) | 55,682 | ||||||
94,197 | Surgutneftegas OAO (a) | 61,069 | ||||||
|
| |||||||
116,751 | ||||||||
|
| |||||||
Total Preferred Stocks | 900,253 | |||||||
|
| |||||||
Total Investments — 99.5% | 26,542,727 | |||||||
Other Assets in Excess of | 121,584 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 26,664,311 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
24 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
Summary of Investments by Industry, April 30, 2016
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Commercial Banks | 15.9 | % | ||
Exchange Traded Fund | 8.6 | |||
Wireless Telecommunication Services | 6.9 | |||
Oil, Gas & Consumable Fuels | 5.6 | |||
Semiconductors & Semiconductor Equipment | 5.0 | |||
Diversified Telecommunication Services | 3.4 | |||
Beverages | 3.0 | |||
Internet Software & Services | 3.0 | |||
Chemicals | 3.0 | |||
Food & Staples Retailing | 2.7 | |||
Electronic Equipment & Instruments | 2.7 | |||
Industrial Conglomerates | 2.7 | |||
Insurance | 2.6 | |||
Diversified Financial Services | 2.6 | |||
Electric Utilities | 2.6 | |||
Food Products | 2.3 | |||
Computers & Peripherals | 2.0 | |||
Real Estate Management & Development | 1.9 | |||
Automobiles | 1.6 | |||
Independent Power Producers & Energy Trader | 1.6 | |||
Transportation Infrastructure | 1.2 | |||
Metals & Mining | 1.2 | |||
Household Durables | 1.0 | |||
Others (each less than 1.0%) | 16.9 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 25 |
JPMorgan Diversified Return Europe Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Company — 99.8% |
| ||||||
Exchange Traded Fund — 99.8% | ||||||||
487,260 | JPMorgan Diversified Return Europe Equity ETF (b) | 25,230,908 | ||||||
|
| |||||||
Total Exchange Traded Fund | 25,230,908 | |||||||
|
| |||||||
Total Investments — 99.8% | 25,230,908 | |||||||
Other Assets in Excess of | 41,730 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 25,272,638 | ||||||
|
|
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
CONTRACTS TO BUY (c) | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT APRIL 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
2,728,441 | CHF | Goldman Sachs | 05/05/2016 | 2,846,567 | 2,844,808 | (1,759 | ) | |||||||||||||||
25,048 | CHF | Goldman Sachs | 06/03/2016 | 26,146 | 26,149 | 3 | ||||||||||||||||
4,721,602 | DKK | Goldman Sachs | 05/05/2016 | 726,590 | 726,542 | (48 | ) | |||||||||||||||
43,510 | DKK | Goldman Sachs | 06/03/2016 | 6,701 | 6,701 | — | ||||||||||||||||
11,064,697 | EUR | Goldman Sachs | 05/05/2016 | 12,672,929 | 12,671,557 | (1,372 | ) | |||||||||||||||
104,950 | EUR | Goldman Sachs | 06/03/2016 | 120,245 | 120,297 | 52 | ||||||||||||||||
4,492,178 | GBP | Goldman Sachs | 05/05/2016 | 6,580,591 | 6,563,849 | (16,742 | ) | |||||||||||||||
41,757 | GBP | Goldman Sachs | 06/03/2016 | 61,015 | 61,018 | 3 | ||||||||||||||||
4,173,142 | NOK | Goldman Sachs | 05/05/2016 | 518,251 | 518,273 | 22 | ||||||||||||||||
15,465,101 | SEK | Goldman Sachs | 05/05/2016 | 1,927,717 | 1,926,154 | (1,563 | ) | |||||||||||||||
476,705 | SEK | Goldman Sachs | 06/03/2016 | 59,478 | 59,436 | (42 | ) | |||||||||||||||
25,546,230 | 25,524,784 | (21,446 | ) | |||||||||||||||||||
|
|
CONTRACTS TO SELL (c) | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT APRIL 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
2,728,441 | CHF | Goldman Sachs | 05/05/2016 | 2,844,809 | 2,810,573 | (34,236 | ) | |||||||||||||||
2,771,645 | CHF | Goldman Sachs | 06/03/2016 | 2,893,515 | 2,895,468 | 1,953 | ||||||||||||||||
4,721,602 | DKK | Goldman Sachs | 05/05/2016 | 726,542 | 717,224 | (9,318 | ) | |||||||||||||||
4,738,707 | DKK | Goldman Sachs | 06/03/2016 | 729,819 | 730,127 | 308 | ||||||||||||||||
11,064,697 | EUR | Goldman Sachs | 05/05/2016 | 12,671,558 | 12,509,331 | (162,227 | ) | |||||||||||||||
11,370,725 | EUR | Goldman Sachs | 06/03/2016 | 13,033,437 | 13,034,123 | 686 | ||||||||||||||||
4,492,178 | GBP | Goldman Sachs | 05/05/2016 | 6,563,849 | 6,433,210 | (130,639 | ) | |||||||||||||||
4,523,329 | GBP | Goldman Sachs | 06/03/2016 | 6,609,871 | 6,626,603 | 16,732 | ||||||||||||||||
4,173,142 | NOK | Goldman Sachs | 05/05/2016 | 518,273 | 512,765 | (5,508 | ) | |||||||||||||||
4,283,856 | NOK | Goldman Sachs | 06/03/2016 | 531,953 | 531,871 | (82 | ) | |||||||||||||||
15,465,102 | SEK | Goldman Sachs | 05/05/2016 | 1,926,154 | 1,901,870 | (24,284 | ) | |||||||||||||||
15,433,754 | SEK | Goldman Sachs | 06/03/2016 | 1,924,283 | 1,925,698 | 1,415 | ||||||||||||||||
50,974,063 | 50,628,863 | (345,200 | ) | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
26 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.6% |
| ||||||
Austria — 0.9% |
| |||||||
1,452 | ANDRITZ AG | 81,504 | ||||||
8,612 | OMV AG | 259,137 | ||||||
5,227 | voestalpine AG | 188,617 | ||||||
|
| |||||||
529,258 | ||||||||
|
| |||||||
Belgium — 2.6% |
| |||||||
101 | Ackermans & van Haaren NV | 13,166 | ||||||
1,740 | Ageas | 68,377 | ||||||
1,773 | Anheuser-Busch InBev NV | 219,949 | ||||||
3,257 | bpost S.A. | 91,977 | ||||||
3,124 | Colruyt S.A. | 180,136 | ||||||
605 | Delhaize Group | 63,577 | ||||||
872 | Groupe Bruxelles Lambert S.A. | 77,150 | ||||||
1,208 | KBC Groep NV | 67,965 | ||||||
9,439 | Proximus SADP | 318,131 | ||||||
1,695 | Solvay S.A. | 171,722 | ||||||
4,299 | Umicore S.A. | 214,605 | ||||||
|
| |||||||
1,486,755 | ||||||||
|
| |||||||
Denmark — 2.9% |
| |||||||
2,110 | Chr. Hansen Holding A/S | 131,392 | ||||||
2,640 | DSV A/S | 111,139 | ||||||
2,588 | ISS A/S | 98,304 | ||||||
13,015 | Novo Nordisk A/S, Class B | 726,685 | ||||||
3,301 | Tryg A/S | 62,375 | ||||||
6,445 | Vestas Wind Systems A/S | 461,347 | ||||||
398 | William Demant Holding A/S (a) | 40,926 | ||||||
|
| |||||||
1,632,168 | ||||||||
|
| |||||||
Finland — 4.0% |
| |||||||
2,038 | Elisa OYJ | 76,205 | ||||||
17,390 | Fortum OYJ | 262,182 | ||||||
4,322 | Kone OYJ, Class B | 197,484 | ||||||
3,674 | Metso OYJ | 88,497 | ||||||
12,400 | Neste OYJ | 397,354 | ||||||
52,835 | Nokia OYJ | 311,913 | ||||||
2,607 | Orion OYJ, Class B | 91,049 | ||||||
6,370 | Sampo OYJ, Class A | 278,632 | ||||||
18,963 | Stora Enso OYJ, Class R | 165,796 | ||||||
13,134 | UPM-Kymmene OYJ | 251,413 | ||||||
4,046 | Wartsila OYJ Abp | 173,645 | ||||||
|
| |||||||
2,294,170 | ||||||||
|
| |||||||
France — 14.5% |
| |||||||
681 | Aeroports de Paris | 85,717 | ||||||
1,552 | Air Liquide S.A. | 176,023 | ||||||
1,499 | Arkema S.A. | 119,646 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
France — continued |
| |||||||
4,355 | Atos SE | 387,626 | ||||||
2,970 | AXA S.A. | 74,992 | ||||||
1,334 | BNP Paribas S.A. | 70,648 | ||||||
2,302 | Bouygues S.A. | 76,816 | ||||||
2,082 | Bureau Veritas S.A. | 49,350 | ||||||
5,709 | Capital Gemini S.A. | 532,896 | ||||||
5,542 | Carrefour S.A. | 157,011 | ||||||
629 | Christian Dior SE | 110,529 | ||||||
1,551 | Cie Generale des Etablissements Michelin | 162,003 | ||||||
4,214 | CNP Assurances | 71,808 | ||||||
4,003 | Credit Agricole S.A. | 44,308 | ||||||
2,265 | Danone S.A. | 158,694 | ||||||
4,238 | Dassault Systemes | 331,483 | ||||||
1,441 | Eiffage S.A. | 114,635 | ||||||
16,380 | Electricite de France S.A. | 235,330 | ||||||
16,039 | Engie S.A. | 264,540 | ||||||
1,583 | Essilor International S.A. | 204,930 | ||||||
5,268 | Eutelsat Communications S.A. | 163,670 | ||||||
839 | Fonciere Des Regions REIT | 79,374 | ||||||
374 | Gecina S.A. REIT | 54,047 | ||||||
1,310 | Imerys S.A. | 96,742 | ||||||
911 | Ingenico Group S.A. | 107,388 | ||||||
3,937 | Lagardere SCA | 104,480 | ||||||
2,341 | Legrand S.A. | 133,432 | ||||||
1,175 | L’Oreal S.A. | 213,435 | ||||||
640 | LVMH Moet Hennessy Louis Vuitton SE | 106,632 | ||||||
16,556 | Natixis S.A. | 91,355 | ||||||
30,579 | Orange S.A. | 508,040 | ||||||
3,497 | Publicis Groupe S.A. | 258,790 | ||||||
3,136 | Sanofi | 258,491 | ||||||
1,155 | Schneider Electric SE | 75,523 | ||||||
1,883 | SCOR SE | 64,146 | ||||||
839 | Societe BIC S.A. | 119,125 | ||||||
2,188 | Sodexo S.A. | 221,041 | ||||||
6,543 | Technip S.A. | 383,488 | ||||||
1,419 | Thales S.A. | 122,798 | ||||||
15,016 | TOTAL S.A. | 758,924 | ||||||
276 | Unibail-Rodamco SE REIT | 73,981 | ||||||
1,758 | Valeo S.A. | 278,853 | ||||||
12,950 | Veolia Environnement S.A. | 318,125 | ||||||
1,430 | Vinci S.A. | 106,805 | ||||||
7,205 | Vivendi S.A. | 138,411 | ||||||
|
| |||||||
8,266,081 | ||||||||
|
| |||||||
Germany — 10.8% |
| |||||||
442 | Allianz SE | 75,197 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 27 |
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Germany — continued |
| |||||||
1,232 | Axel Springer SE | 68,890 | ||||||
6,026 | BASF SE | 498,538 | ||||||
1,165 | Bayer AG | 134,636 | ||||||
1,967 | Bayerische Motoren Werke AG | 181,975 | ||||||
3,232 | Brenntag AG | 189,844 | ||||||
639 | Continental AG | 140,717 | ||||||
2,575 | Daimler AG | 179,418 | ||||||
465 | Deutsche Boerse AG | 38,264 | ||||||
3,148 | Deutsche Post AG | 92,467 | ||||||
4,798 | Deutsche Telekom AG | 84,221 | ||||||
2,771 | Deutsche Wohnen AG | 84,964 | ||||||
5,193 | Evonik Industries AG | 164,766 | ||||||
861 | Fielmann AG | 63,621 | ||||||
1,494 | Fraport AG Frankfurt Airport Services Worldwide | 90,571 | ||||||
3,948 | Fresenius Medical Care AG & Co., KGaA | 343,624 | ||||||
6,349 | Fresenius SE & Co., KGaA | 462,961 | ||||||
838 | Hannover Rueck SE | 95,802 | ||||||
948 | HOCHTIEF AG | 121,792 | ||||||
1,221 | HUGO BOSS AG | 77,920 | ||||||
34,155 | Infineon Technologies AG | 487,311 | ||||||
7,458 | K+S AG | 186,155 | ||||||
508 | MAN SE | 55,138 | ||||||
944 | MTU Aero Engines AG | 89,253 | ||||||
373 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 69,343 | ||||||
2,993 | ProSiebenSat.1 Media SE | 152,898 | ||||||
16,865 | SAP SE | 1,323,253 | ||||||
922 | Siemens AG | 96,486 | ||||||
3,025 | Symrise AG | 200,773 | ||||||
2,049 | Talanx AG | 68,192 | ||||||
13,431 | Telefonica Deutschland Holding AG | 68,337 | ||||||
3,818 | United Internet AG | 186,618 | ||||||
|
| |||||||
6,173,945 | ||||||||
|
| |||||||
Ireland — 0.4% |
| |||||||
1,135 | DCC plc | 100,669 | ||||||
1,100 | Ryanair Holdings plc ADR | 89,045 | ||||||
2,038 | Smurfit Kappa Group plc | 54,096 | ||||||
|
| |||||||
243,810 | ||||||||
|
| |||||||
Italy — 3.0% |
| |||||||
3,914 | Atlantia SpA | 109,101 | ||||||
35,135 | Eni SpA | 574,001 | ||||||
7,448 | Mediobanca SpA | 61,353 | ||||||
71,697 | Snam SpA | 438,458 | ||||||
83,734 | Terna Rete Elettrica Nazionale SpA | 472,952 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Italy — continued |
| |||||||
27,679 | UnipolSai SpA | 64,771 | ||||||
|
| |||||||
1,720,636 | ||||||||
|
| |||||||
Luxembourg — 0.4% |
| |||||||
724 | RTL Group S.A. | 60,619 | ||||||
6,081 | SES S.A. | 166,138 | ||||||
|
| |||||||
226,757 | ||||||||
|
| |||||||
Netherlands — 4.6% |
| |||||||
2,663 | Akzo Nobel NV | 189,198 | ||||||
5,267 | ASML Holding NV | 509,088 | ||||||
1,960 | Boskalis Westminster | 81,738 | ||||||
1,674 | Heineken Holding NV | 138,200 | ||||||
1,341 | Heineken NV | 125,823 | ||||||
3,631 | ING Groep NV | 44,492 | ||||||
10,276 | Koninklijke Ahold NV | 223,753 | ||||||
3,171 | Koninklijke DSM NV | 194,626 | ||||||
47,101 | Koninklijke KPN NV | 185,092 | ||||||
2,882 | Koninklijke Philips NV | 79,194 | ||||||
2,302 | NN Group NV | 79,909 | ||||||
1,265 | OCI NV (a) | 24,997 | ||||||
189 | Randstad Holding NV | 10,156 | ||||||
17,117 | RELX NV | 287,457 | ||||||
4,838 | Unilever NV | 212,534 | ||||||
6,281 | Wolters Kluwer NV | 239,261 | ||||||
|
| |||||||
2,625,518 | ||||||||
|
| |||||||
Norway — 2.1% |
| |||||||
8,899 | DNB ASA | 113,875 | ||||||
4,522 | Gjensidige Forsikring ASA | 77,420 | ||||||
11,339 | Marine Harvest ASA | 176,732 | ||||||
5,613 | Norsk Hydro ASA | 24,422 | ||||||
12,332 | Orkla ASA | 107,658 | ||||||
26,599 | Telenor ASA | 457,667 | ||||||
5,501 | Yara International ASA | 220,029 | ||||||
|
| |||||||
1,177,803 | ||||||||
|
| |||||||
Portugal — 0.9% |
| |||||||
97,878 | EDP — Energias de Portugal S.A. | 347,964 | ||||||
10,438 | Galp Energia SGPS S.A. | 143,413 | ||||||
|
| |||||||
491,377 | ||||||||
|
| |||||||
Spain — 7.5% |
| |||||||
6,304 | Abertis Infraestructuras S.A. | 106,427 | ||||||
1,088 | Acciona S.A. | 87,314 | ||||||
14,002 | Acerinox S.A. (a) | 165,913 | ||||||
2,782 | ACS Actividades de Construccion y Servicios S.A. | 92,270 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Spain — continued |
| |||||||
509 | Aena S.A. (a) | 72,714 | ||||||
2,882 | Amadeus IT Holding S.A., Class A | 131,421 | ||||||
6,984 | Banco Santander S.A. | 35,467 | ||||||
12,982 | Enagas S.A. | 396,342 | ||||||
18,989 | Endesa S.A. | 399,528 | ||||||
6,097 | Ferrovial S.A. (a) | 131,544 | ||||||
7,369 | Gamesa Corp. Tecnologica S.A. (a) | 145,523 | ||||||
16,575 | Gas Natural SDG S.A. | 345,640 | ||||||
8,501 | Grifols S.A. | 185,350 | ||||||
167,242 | Iberdrola S.A. | 1,190,558 | ||||||
14,816 | Mapfre S.A. | 37,690 | ||||||
4,336 | Red Electrica Corp. S.A. | 387,789 | ||||||
26,974 | Repsol S.A. | 355,424 | ||||||
|
| |||||||
4,266,914 | ||||||||
|
| |||||||
Sweden — 7.3% |
| |||||||
3,981 | Alfa Laval AB | 62,813 | ||||||
8,680 | Assa Abloy AB, Class B | 182,386 | ||||||
6,625 | Atlas Copco AB, Class A | 171,636 | ||||||
10,573 | Boliden AB | 184,925 | ||||||
5,084 | Hennes & Mauritz AB, Class B | 181,043 | ||||||
1,838 | Hexagon AB, Class B | 73,419 | ||||||
3,981 | Industrivarden AB, Class C | 72,565 | ||||||
2,684 | Investor AB, Class B | 98,610 | ||||||
16,301 | Nordea Bank AB | 158,448 | ||||||
7,953 | Securitas AB, Class B | 125,755 | ||||||
7,060 | Skandinaviska Enskilda Banken AB, Class A | 67,498 | ||||||
6,139 | Skanska AB, Class B | 135,309 | ||||||
4,511 | SKF AB, Class B | 83,127 | ||||||
16,971 | Svenska Cellulosa AB SCA, Class B | 535,463 | ||||||
14,663 | Svenska Handelsbanken AB, Class A | 195,607 | ||||||
12,637 | Swedbank AB, Class A | 272,817 | ||||||
20,194 | Tele2 AB, Class B | 192,948 | ||||||
78,004 | Telefonaktiebolaget LM Ericsson, Class B | 632,021 | ||||||
127,576 | TeliaSonera AB | 610,141 | ||||||
5,272 | Trelleborg AB, Class B | 96,277 | ||||||
|
| |||||||
4,132,808 | ||||||||
|
| |||||||
Switzerland — 11.2% |
| |||||||
4,665 | ABB Ltd. | 98,759 | ||||||
691 | Baloise Holding AG | 85,654 | ||||||
88 | Banque Cantonale Vaudoise | 60,761 | ||||||
3 | Chocoladefabriken Lindt & Spruengli AG | 18,382 | ||||||
9,353 | Clariant AG | 177,207 | ||||||
341 | EMS-Chemie Holding AG | 168,750 | ||||||
97 | Galenica AG | 142,007 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Switzerland — continued |
| |||||||
596 | Geberit AG | 229,300 | ||||||
108 | Givaudan S.A. | 213,177 | ||||||
120 | Helvetia Holding AG | 64,631 | ||||||
673 | Kuehne + Nagel International AG | 97,124 | ||||||
839 | Lonza Group AG | 139,935 | ||||||
5,644 | Nestle S.A. | 421,267 | ||||||
14,622 | Novartis AG | 1,112,767 | ||||||
762 | Pargesa Holding S.A. | 53,019 | ||||||
174 | Partners Group Holding AG | 71,765 | ||||||
726 | PSP Swiss Property AG | 70,019 | ||||||
3,775 | Roche Holding AG | 955,110 | ||||||
837 | Schindler Holding AG | 152,649 | ||||||
76 | SGS S.A. | 167,571 | ||||||
21 | Sika AG | 89,501 | ||||||
1,099 | Sonova Holding AG | 147,132 | ||||||
581 | Swiss Life Holding AG | 146,945 | ||||||
955 | Swiss Prime Site AG | 83,721 | ||||||
814 | Swiss Re AG | 72,347 | ||||||
1,994 | Swisscom AG | 1,013,308 | ||||||
515 | Syngenta AG | 206,600 | ||||||
4,058 | UBS Group AG | 70,347 | ||||||
263 | Zurich Insurance Group AG | 59,013 | ||||||
|
| |||||||
6,388,768 | ||||||||
|
| |||||||
United Kingdom — 25.5% |
| |||||||
10,231 | 3i Group plc | 70,963 | ||||||
3,015 | Admiral Group plc | 81,944 | ||||||
263 | AstraZeneca plc | 15,089 | ||||||
12,365 | BAE Systems plc | 86,267 | ||||||
2,860 | Berkeley Group Holdings plc | 125,327 | ||||||
77,211 | BP plc | 425,386 | ||||||
12,510 | British American Tobacco plc | 762,764 | ||||||
7,115 | British Land Co., plc (The) REIT | 74,861 | ||||||
58,182 | BT Group plc, Class A | 377,142 | ||||||
7,801 | Bunzl plc | 232,845 | ||||||
5,963 | Capital & Counties Properties plc | 30,852 | ||||||
24,027 | Compass Group plc | 427,883 | ||||||
2,926 | Croda International plc | 128,898 | ||||||
1,552 | Daily Mail & General Trust plc, Class A | 15,857 | ||||||
1,476 | Derwent London plc REIT | 70,940 | ||||||
12,829 | Direct Line Insurance Group plc | 67,963 | ||||||
9,700 | Dixons Carphone plc | 60,382 | ||||||
14,486 | DS Smith plc | 80,793 | ||||||
4,136 | easyJet plc | 89,145 | ||||||
5,162 | Experian plc | 94,592 | ||||||
51,436 | GlaxoSmithKline plc | 1,099,318 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 29 |
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
United Kingdom — continued |
| |||||||
8,954 | Hammerson plc REIT | 76,628 | ||||||
7,801 | Howden Joinery Group plc | 56,429 | ||||||
9,749 | HSBC Holdings plc | 64,606 | ||||||
3,279 | ICAP plc | 22,480 | ||||||
5,466 | IMI plc | 74,802 | ||||||
3,268 | Imperial Brands plc | 177,692 | ||||||
3,721 | Inchcape plc | 36,909 | ||||||
6,503 | Inmarsat plc | 88,480 | ||||||
14,930 | Intu Properties plc REIT | 66,486 | ||||||
54,955 | ITV plc | 181,147 | ||||||
16,522 | John Wood Group plc | 151,145 | ||||||
4,403 | Johnson Matthey plc | 186,093 | ||||||
44,704 | Kingfisher plc | 238,172 | ||||||
6,105 | Land Securities Group plc REIT | 101,120 | ||||||
32,387 | Legal & General Group plc | 105,838 | ||||||
1,245 | London Stock Exchange Group plc | 49,454 | ||||||
44,407 | Marks & Spencer Group plc | 275,459 | ||||||
11,582 | Meggitt plc | 69,635 | ||||||
10,516 | Melrose Industries plc | 57,459 | ||||||
1,495 | Micro Focus International plc | 33,440 | ||||||
8,721 | Mondi plc | 167,047 | ||||||
54,120 | National Grid plc | 772,220 | ||||||
5,502 | Next plc | 409,494 | ||||||
51,757 | Old Mutual plc | 140,715 | ||||||
1,397 | Provident Financial plc | 59,584 | ||||||
3,809 | Prudential plc | 75,188 | ||||||
1,737 | Randgold Resources Ltd. | 173,506 | ||||||
5,744 | Reckitt Benckiser Group plc | 559,576 | ||||||
16,081 | RELX plc | 284,896 | ||||||
6,249 | Rentokil Initial plc | 16,104 | ||||||
13,488 | Rexam plc | 123,357 | ||||||
332 | Rightmove plc | 18,763 | ||||||
24,345 | Royal Dutch Shell plc, Class B | 639,177 | ||||||
12,365 | Royal Mail plc | 88,071 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United Kingdom — continued |
| |||||||
43,319 | Sage Group plc (The) | 375,225 | ||||||
14,177 | Segro plc REIT | 86,620 | ||||||
2,091 | Severn Trent plc | 68,168 | ||||||
13,830 | Sky plc | 190,108 | ||||||
22,496 | Smith & Nephew plc | 380,955 | ||||||
5,719 | Smiths Group plc | 92,810 | ||||||
746 | SSE plc | 16,482 | ||||||
32,536 | Taylor Wimpey plc | 87,768 | ||||||
2,959 | Travis Perkins plc | 80,056 | ||||||
15,464 | Unilever plc | 690,963 | ||||||
15,356 | United Utilities Group plc | 211,162 | ||||||
420,532 | Vodafone Group plc | 1,354,891 | ||||||
4,612 | Whitbread plc | 261,418 | ||||||
44,042 | William Hill plc | 201,639 | ||||||
15,079 | WPP plc | 352,286 | ||||||
|
| |||||||
14,510,934 | ||||||||
|
| |||||||
Total Common Stocks | 56,167,702 | |||||||
|
| |||||||
| Preferred Stocks — 0.8% |
| ||||||
Germany — 0.8% |
| |||||||
2,495 | FUCHS PETROLUB SE | 106,838 | ||||||
2,958 | Henkel AG & Co., KGaA | 337,861 | ||||||
|
| |||||||
444,699 | ||||||||
|
| |||||||
Total Preferred Stocks | 444,699 | |||||||
|
| |||||||
Total Investments — 99.4% | 56,612,401 | |||||||
Other Assets in Excess of | 333,574 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 56,945,975 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
30 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
Summary of Investments by Industry, April 30, 2016
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Pharmaceuticals | 8.0 | % | ||
Diversified Telecommunication Services | 6.9 | |||
Oil, Gas & Consumable Fuels | 6.8 | |||
Electric Utilities | 6.0 | |||
Chemicals | 5.8 | |||
Media | 3.8 | |||
Insurance | 3.7 | |||
Software | 3.6 | |||
Food Products | 2.8 | |||
Wireless Telecommunication Services | 2.7 | |||
Household Products | 2.5 | |||
Multi-Utilities | 2.4 | |||
Machinery | 2.2 | |||
Gas Utilities | 2.1 | |||
Commercial Banks | 2.0 | |||
Hotels, Restaurants & Leisure | 2.0 | |||
Semiconductors & Semiconductor Equipment | 1.9 | |||
Energy Equipment & Services | 1.9 | |||
Trading Companies & Distributors | 1.8 | |||
Communications Equipment | 1.7 | |||
Tobacco | 1.7 | |||
Electrical Equipment | 1.6 | |||
Construction & Engineering | 1.5 | |||
Metals & Mining | 1.4 | |||
Health Care Providers & Services | 1.4 | |||
Health Care Equipment & Supplies | 1.4 | |||
Multiline Retail | 1.2 | |||
Commercial Services & Supplies | 1.2 | |||
Auto Components | 1.2 | |||
Food & Staples Retailing | 1.1 | |||
Real Estate Investment Trusts (REITs) | 1.1 | |||
Specialty Retail | 1.1 | |||
Paper & Forest Products | 1.0 | |||
Others (each less than 1.0%) | 12.5 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 31 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% | |||||||
Australia — 9.2% |
| |||||||
14,973 | AGL Energy Ltd. | 207,398 | ||||||
20,049 | Amcor Ltd. | 233,750 | ||||||
8,512 | Ansell Ltd. | 128,474 | ||||||
26,160 | APA Group | 173,268 | ||||||
28,689 | Asciano Ltd. | 192,329 | ||||||
3,934 | ASX Ltd. | 130,222 | ||||||
49,004 | Aurizon Holdings Ltd. | 158,323 | ||||||
25,531 | Boral Ltd. | 124,263 | ||||||
23,587 | Brambles Ltd. | 222,785 | ||||||
7,114 | Caltex Australia Ltd. | 174,601 | ||||||
2,293 | Cochlear Ltd. | 187,559 | ||||||
3,772 | CSL Ltd. | 300,585 | ||||||
35,075 | CSR Ltd. | 90,562 | ||||||
23,587 | Dexus Property Group REIT | 150,396 | ||||||
3,483 | Flight Centre Travel Group Ltd. | 103,709 | ||||||
48,164 | GPT Group REIT (The) | 183,433 | ||||||
24,120 | Harvey Norman Holdings Ltd. | 81,684 | ||||||
17,032 | Healthscope Ltd. | 35,077 | ||||||
58,889 | Incitec Pivot Ltd. | 143,109 | ||||||
41,231 | Mirvac Group REIT | 58,335 | ||||||
8,531 | Orica Ltd. | 98,572 | ||||||
39,932 | Origin Energy Ltd. | 164,101 | ||||||
25,144 | Qantas Airways Ltd. | 61,307 | ||||||
3,492 | Ramsay Health Care Ltd. | 171,723 | ||||||
73,877 | Scentre Group REIT | 262,229 | ||||||
12,307 | Sonic Healthcare Ltd. | 180,599 | ||||||
28,254 | Star Entertainment Grp Ltd. | 120,644 | ||||||
6,683 | Suncorp Group Ltd. | 63,209 | ||||||
40,613 | Sydney Airport | 209,404 | ||||||
43,344 | Tabcorp Holdings Ltd. | 145,384 | ||||||
45,504 | Tatts Group Ltd. | 129,670 | ||||||
54,207 | Telstra Corp. Ltd. | 220,101 | ||||||
29,686 | Transurban Group | 260,488 | ||||||
7,595 | Wesfarmers Ltd. | 245,932 | ||||||
5,438 | Woodside Petroleum Ltd. | 116,428 | ||||||
14,499 | WorleyParsons Ltd. | 76,195 | ||||||
|
| |||||||
5,605,848 | ||||||||
|
| |||||||
Austria — 0.2% |
| |||||||
4,320 | OMV AG | 129,990 | ||||||
|
| |||||||
Belgium — 0.9% |
| |||||||
1,024 | Ageas | 40,240 | ||||||
2,063 | Colruyt S.A. | 118,956 | ||||||
349 | Delhaize Group | 36,675 | ||||||
1,092 | Groupe Bruxelles Lambert S.A. | 96,615 | ||||||
3,744 | Proximus SADP | 126,188 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Belgium — continued |
| |||||||
1,090 | Solvay S.A. | 110,429 | ||||||
461 | UCB S.A. | 34,579 | ||||||
|
| |||||||
563,682 | ||||||||
|
| |||||||
Canada — 2.6% |
| |||||||
1,344 | Agrium, Inc. | 115,815 | ||||||
3,532 | BCE, Inc. | 165,636 | ||||||
1,284 | Canadian Tire Corp., Ltd., Class A | 139,862 | ||||||
4,396 | Fortis, Inc. | 139,444 | ||||||
5,628 | Husky Energy, Inc. | 70,916 | ||||||
3,165 | Imperial Oil Ltd. | 104,962 | ||||||
1,042 | Loblaw Cos., Ltd. | 57,494 | ||||||
5,148 | Metro, Inc., Class A | 172,284 | ||||||
1,491 | National Bank of Canada | 53,285 | ||||||
3,273 | Potash Corp of Saskatchewan, Inc. | 57,911 | ||||||
4,356 | RioCan REIT | 94,709 | ||||||
3,817 | Rogers Communications, Inc., Class B | 148,457 | ||||||
5,592 | Shaw Communications, Inc., Class B | 103,488 | ||||||
3,434 | TransCanada Corp. | 142,593 | ||||||
|
| |||||||
1,566,856 | ||||||||
|
| |||||||
Denmark — 0.8% |
| |||||||
300 | Carlsberg A/S, Class B | 29,245 | ||||||
1,862 | Chr. Hansen Holding A/S | 115,949 | ||||||
2,145 | DSV A/S | 90,300 | ||||||
1,692 | H Lundbeck A/S (a) | 56,535 | ||||||
15,289 | TDC A/S | 78,284 | ||||||
1,595 | Vestas Wind Systems A/S | 114,173 | ||||||
|
| |||||||
484,486 | ||||||||
|
| |||||||
Finland — 0.8% |
| |||||||
5,548 | Fortum OYJ | 83,645 | ||||||
5,329 | Neste OYJ | 170,766 | ||||||
2,424 | Sampo OYJ, Class A | 106,029 | ||||||
6,609 | Stora Enso OYJ, Class R | 57,783 | ||||||
3,757 | UPM-Kymmene OYJ | 71,917 | ||||||
|
| |||||||
490,140 | ||||||||
|
| |||||||
France — 4.1% |
| |||||||
594 | Arkema S.A. | 47,411 | ||||||
1,776 | Atos SE | 158,077 | ||||||
1,886 | Capital Gemini S.A. | 176,045 | ||||||
1,441 | Casino Guichard Perrachon S.A. | 85,761 | ||||||
564 | Christian Dior SE | 99,107 | ||||||
2,218 | Dassault Systemes | 173,485 | ||||||
1,054 | Essilor International S.A. | 136,447 | ||||||
4,129 | Eutelsat Communications S.A. | 128,283 | ||||||
297 | Iliad S.A. | 64,942 |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
France — continued |
| |||||||
730 | Ingenico Group S.A. | 86,051 | ||||||
1,731 | Lagardere SCA | 45,937 | ||||||
221 | L’Oreal S.A. | 40,144 | ||||||
6,469 | Orange S.A. | 107,476 | ||||||
696 | Pernod Ricard S.A. | 75,179 | ||||||
1,356 | Publicis Groupe S.A. | 100,349 | ||||||
1,250 | Sanofi | 103,034 | ||||||
1,741 | SCOR SE | 59,309 | ||||||
1,116 | Sodexo S.A. | 112,743 | ||||||
5,366 | STMicroelectronics NV | 32,992 | ||||||
3,573 | Suez Environnement Co. | 65,850 | ||||||
1,957 | Thales S.A. | 169,355 | ||||||
2,267 | TOTAL S.A. | 114,576 | ||||||
752 | Valeo S.A. | 119,282 | ||||||
2,484 | Veolia Environnement S.A. | 61,021 | ||||||
422 | Vinci S.A. | 31,519 | ||||||
5,302 | Vivendi S.A. | 101,853 | ||||||
|
| |||||||
2,496,228 | ||||||||
|
| |||||||
Germany — 2.8% |
| |||||||
721 | BASF SE | 59,649 | ||||||
1,308 | Beiersdorf AG | 117,453 | ||||||
3,252 | Evonik Industries AG | 103,181 | ||||||
1,536 | Fraport AG Frankfurt Airport Services Worldwide | 93,117 | ||||||
1,920 | Fresenius Medical Care AG & Co., KGaA | 167,112 | ||||||
2,476 | Fresenius SE & Co., KGaA | 180,546 | ||||||
1,502 | Hannover Rueck SE | 171,711 | ||||||
254 | HUGO BOSS AG | 16,209 | ||||||
10,850 | Infineon Technologies AG | 154,804 | ||||||
792 | Linde AG | 121,178 | ||||||
1,440 | Merck KGaA | 135,615 | ||||||
1,694 | SAP SE | 132,914 | ||||||
1,186 | Symrise AG | 78,717 | ||||||
3,109 | United Internet AG | 151,963 | ||||||
|
| |||||||
1,684,169 | ||||||||
|
| |||||||
Hong Kong — 4.0% |
| |||||||
35,000 | Cathay Pacific Airways Ltd. | 55,802 | ||||||
18,000 | Cheung Kong Infrastructure Holdings Ltd. | 169,874 | ||||||
17,760 | Cheung Kong Property Holdings Ltd. | 121,292 | ||||||
20,260 | CK Hutchison Holdings Ltd. | 242,383 | ||||||
21,000 | CLP Holdings Ltd. | 194,145 | ||||||
12,300 | Hang Seng Bank Ltd. | 223,006 | ||||||
94,700 | Hong Kong & China Gas Co., Ltd. | 176,283 | ||||||
6,500 | Johnson Electric Holdings Ltd. | 19,209 | ||||||
36,500 | Link REIT | 221,441 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Hong Kong — continued |
| |||||||
36,000 | MTR Corp., Ltd. | 177,981 | ||||||
94,000 | New World Development Co., Ltd. | 93,484 | ||||||
168,000 | PCCW Ltd. | 113,716 | ||||||
19,500 | Power Assets Holdings Ltd. | 185,525 | ||||||
1,752,000 | Semiconductor Manufacturing International Corp. (a) | 144,029 | ||||||
12,500 | Swire Pacific Ltd., Class A | 135,607 | ||||||
72,000 | Xinyi Glass Holdings Ltd. | 49,045 | ||||||
272,000 | Xinyi Solar Holdings Ltd. | 107,209 | ||||||
|
| |||||||
2,430,031 | ||||||||
|
| |||||||
Israel — 0.2% |
| |||||||
1,788 | Check Point Software Technologies Ltd. (a) | 148,172 | ||||||
|
| |||||||
Italy — 0.8% |
| |||||||
7,420 | Eni SpA | 121,220 | ||||||
28,668 | Parmalat SpA | 79,965 | ||||||
21,075 | Snam SpA | 128,883 | ||||||
25,656 | Terna Rete Elettrica Nazionale SpA | 144,912 | ||||||
|
| |||||||
474,980 | ||||||||
|
| |||||||
Japan — 21.1% |
| |||||||
8,000 | Ajinomoto Co., Inc. | 184,402 | ||||||
60,000 | ANA Holdings Co., Ltd. | 167,540 | ||||||
47,000 | Aozora Bank Ltd. | 166,757 | ||||||
2,000 | Bank of Kyoto Ltd. (The) | 13,415 | ||||||
9,600 | Brother Industries Ltd. | 108,829 | ||||||
6,600 | Canon, Inc. | 184,554 | ||||||
5,400 | Capcom Co., Ltd. | 124,391 | ||||||
8,000 | Chiba Bank Ltd. (The) | 40,400 | ||||||
8,400 | Chubu Electric Power Co., Inc. | 110,646 | ||||||
8,700 | Chugoku Electric Power Co., Inc. (The) | 112,913 | ||||||
16,000 | Concordia Financial Group Ltd. | 77,053 | ||||||
6,000 | Cosmo Energy Holdings Co., Ltd. | 76,131 | ||||||
2,900 | Credit Saison Co., Ltd. | 53,326 | ||||||
10,700 | Daicel Corp. | 133,664 | ||||||
8,900 | Daiichi Sankyo Co., Ltd. | 209,750 | ||||||
800 | Daito Trust Construction Co., Ltd. | 113,146 | ||||||
33,000 | DIC Corp. | 75,910 | ||||||
13,000 | Dowa Holdings Co., Ltd. | 81,451 | ||||||
2,200 | East Japan Railway Co. | 193,547 | ||||||
10,000 | Ebara Corp. | 45,531 | ||||||
4,800 | Electric Power Development Co., Ltd. | 144,663 | ||||||
3,800 | FamilyMart Co., Ltd. | 200,544 | ||||||
23,000 | Fuji Electric Co., Ltd. | 97,870 | ||||||
4,600 | FUJIFILM Holdings Corp. | 188,822 | ||||||
22,000 | Fujikura Ltd. | 106,640 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 33 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Japan — continued |
| |||||||
13,000 | Fukuoka Financial Group, Inc. | 44,440 | ||||||
5,000 | Hankyu Hanshin Holdings, Inc. | 31,693 | ||||||
1,700 | Hikari Tsushin, Inc. | 127,334 | ||||||
6,100 | Hokkaido Electric Power Co., Inc. (a) | 55,602 | ||||||
7,200 | Hokuriku Electric Power Co. | 94,300 | ||||||
3,200 | Ibiden Co., Ltd. | 40,271 | ||||||
7,500 | Idemitsu Kosan Co., Ltd. | 160,217 | ||||||
16,700 | Inpex Corp. | 132,763 | ||||||
14,700 | ITOCHU Corp. | 186,817 | ||||||
5,000 | Japan Airlines Co., Ltd. | 179,972 | ||||||
3,600 | Japan Petroleum Exploration Co., Ltd. | 83,806 | ||||||
44,500 | JX Holdings, Inc. | 191,257 | ||||||
18,000 | Kaneka Corp. | 150,655 | ||||||
61,000 | Kawasaki Kisen Kaisha Ltd. | 130,065 | ||||||
8,300 | KDDI Corp. | 239,087 | ||||||
11,000 | Keisei Electric Railway Co., Ltd. | 151,336 | ||||||
1,700 | Konami Holdings Corp. | 53,600 | ||||||
15,300 | Konica Minolta, Inc. | 132,063 | ||||||
11,900 | Kuraray Co., Ltd. | 150,869 | ||||||
7,600 | Kyowa Hakko Kirin Co., Ltd. | 135,113 | ||||||
1,000 | Mabuchi Motor Co., Ltd. | 49,777 | ||||||
30,900 | Marubeni Corp. | 164,025 | ||||||
800 | MEIJI Holdings Co., Ltd. | 61,650 | ||||||
10,700 | Mitsubishi Corp. | 179,852 | ||||||
9,800 | Mitsubishi Tanabe Pharma Corp. | 174,484 | ||||||
16,000 | Mitsui OSK Lines Ltd. | 34,001 | ||||||
74,800 | Mizuho Financial Group, Inc. | 112,119 | ||||||
2,100 | Mochida Pharmaceutical Co., Ltd. | 156,173 | ||||||
8,000 | NH Foods Ltd. | 178,315 | ||||||
800 | Nihon M&A Center, Inc. | 46,072 | ||||||
10,000 | Nippon Kayaku Co., Ltd. | 107,361 | ||||||
6,900 | Nippon Paper Industries Co., Ltd. | 132,588 | ||||||
1,900 | Nippon Shokubai Co., Ltd. | 98,412 | ||||||
4,300 | Nippon Telegraph & Telephone Corp. | 192,426 | ||||||
8,400 | Nippon Television Holdings, Inc. | 135,307 | ||||||
10,800 | Nipro Corp. | 105,208 | ||||||
8,200 | Nissan Motor Co., Ltd. | 72,767 | ||||||
2,600 | Nisshin Steel Co., Ltd. | 34,807 | ||||||
1,500 | Nissin Foods Holdings Co., Ltd. | 69,635 | ||||||
2,700 | Nomura Real Estate Holdings Inc. | 49,343 | ||||||
900 | Nomura Research Institute Ltd. | 31,572 | ||||||
3,400 | NTT Data Corp. | 177,006 | ||||||
8,000 | NTT DOCOMO, Inc. | 191,872 | ||||||
15,000 | Oji Holdings Corp. | 61,598 | ||||||
47,000 | Osaka Gas Co., Ltd. | 169,443 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Japan — continued |
| |||||||
2,100 | Otsuka Corp. | 100,145 | ||||||
5,000 | Otsuka Holdings Co., Ltd. | 194,923 | ||||||
34,800 | Resona Holdings, Inc. | 123,027 | ||||||
11,800 | Ricoh Co., Ltd. | 120,253 | ||||||
1,600 | Rohm Co., Ltd. | 69,241 | ||||||
1,600 | Sankyo Co., Ltd. | 60,578 | ||||||
1,700 | Sawai Pharmaceutical Co., Ltd. | 109,514 | ||||||
12,000 | SCREEN Holdings Co., Ltd. | 92,583 | ||||||
1,000 | SCSK Corp. | 36,271 | ||||||
8,400 | Sekisui Chemical Co., Ltd. | 104,984 | ||||||
12,000 | Sekisui House Ltd. | 208,360 | ||||||
31,200 | Seven Bank Ltd. | 132,575 | ||||||
1,300 | Shimamura Co., Ltd. | 175,492 | ||||||
600 | Shionogi & Co., Ltd. | 30,625 | ||||||
60,000 | Showa Denko K.K. | 62,427 | ||||||
16,800 | Showa Shell Sekiyu K.K. | 175,320 | ||||||
3,800 | SoftBank Group Corp. | 204,328 | ||||||
59,100 | Sojitz Corp. | 118,095 | ||||||
4,700 | Square Enix Holdings Co., Ltd. | 120,319 | ||||||
34,000 | Sumitomo Osaka Cement Co., Ltd. | 146,585 | ||||||
2,500 | Suzuken Co., Ltd. | 85,670 | ||||||
1,200 | Taisho Pharmaceutical Holdings Co., Ltd. | 98,563 | ||||||
2,300 | Takeda Pharmaceutical Co., Ltd. | 109,852 | ||||||
25,000 | Teijin Ltd. | 89,506 | ||||||
13,200 | Tohoku Electric Power Co., Inc. | 168,762 | ||||||
7,200 | Tokyo Broadcasting System Holdings Inc. | 99,030 | ||||||
20,200 | Tokyo Electric Power Co., Inc. (a) | 108,189 | ||||||
3,700 | Tokyo Tatemono Co., Ltd. | 48,853 | ||||||
8,300 | Tokyu Fudosan Holdings Corp. | 56,430 | ||||||
16,000 | TonenGeneral Sekiyu K.K. | 151,547 | ||||||
17,000 | Toppan Printing Co., Ltd. | 145,356 | ||||||
14,000 | Tosoh Corp. | 63,991 | ||||||
4,800 | Toyo Suisan Kaisha Ltd. | 169,525 | ||||||
3,300 | Toyota Industries Corp. | 143,180 | ||||||
4,800 | Toyota Motor Corp. | 243,311 | ||||||
4,800 | Tsumura & Co. | 123,518 | ||||||
67,000 | Ube Industries Ltd. | 127,252 | ||||||
1,400 | West Japan Railway Co. | 84,513 | ||||||
5,200 | Yokohama Rubber Co., Ltd. (The) | 87,176 | ||||||
|
| |||||||
12,858,837 | ||||||||
|
| |||||||
Netherlands — 1.4% |
| |||||||
598 | Boskalis Westminster | 24,939 | ||||||
732 | Gemalto NV | 47,582 | ||||||
1,393 | Heineken Holding NV | 115,002 | ||||||
6,756 | Koninklijke Ahold NV | 147,107 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Netherlands — continued |
| |||||||
29,607 | Koninklijke KPN NV | 116,346 | ||||||
2,909 | NN Group NV | 100,979 | ||||||
6,540 | RELX NV | 109,831 | ||||||
4,765 | Wolters Kluwer NV | 181,512 | ||||||
|
| |||||||
843,298 | ||||||||
|
| |||||||
New Zealand — 0.4% |
| |||||||
16,235 | Contact Energy Ltd. | 57,603 | ||||||
72,036 | Spark New Zealand Ltd. | 186,269 | ||||||
|
| |||||||
243,872 | ||||||||
|
| |||||||
Norway — 1.0% |
| |||||||
9,910 | Marine Harvest ASA | 154,459 | ||||||
13,217 | Orkla ASA | 115,384 | ||||||
6,701 | Statoil ASA | 117,946 | ||||||
6,924 | Telenor ASA | 119,136 | ||||||
2,992 | Yara International ASA | 119,674 | ||||||
|
| |||||||
626,599 | ||||||||
|
| |||||||
Portugal — 0.2% |
| |||||||
35,172 | EDP — Energias de Portugal S.A. | 125,039 | ||||||
|
| |||||||
Singapore — 2.5% |
| |||||||
20,900 | Ascendas Real Estate Investment Trust REIT | 38,144 | ||||||
62,800 | CapitaLand Mall Trust REIT | 96,408 | ||||||
39,100 | ComfortDelGro Corp., Ltd. | 83,803 | ||||||
10,400 | DBS Group Holdings Ltd. | 117,635 | ||||||
348,000 | Golden Agri-Resources Ltd. | 103,235 | ||||||
144,000 | Hutchison Port Holdings Trust, Class U | 63,926 | ||||||
39,500 | Keppel Corp., Ltd. | 157,851 | ||||||
48,500 | Sembcorp Industries Ltd. | 103,670 | ||||||
12,000 | Singapore Airlines Ltd. | 102,438 | ||||||
48,000 | Singapore Press Holdings Ltd. | 144,489 | ||||||
86,600 | Singapore Telecommunications Ltd. | 247,710 | ||||||
10,700 | Venture Corp., Ltd. | 66,539 | ||||||
69,400 | Wilmar International Ltd. | 190,640 | ||||||
|
| |||||||
1,516,488 | ||||||||
|
| |||||||
South Korea — 9.3% |
| |||||||
2,284 | Celltrion, Inc. (a) | 200,953 | ||||||
409 | CJ CheilJedang Corp. | 135,859 | ||||||
489 | CJ Corp. | 91,520 | ||||||
2,300 | GS Holdings Corp. | 111,037 | ||||||
3,093 | Hankook Tire Co., Ltd. | 143,866 | ||||||
282 | Hanmi Pharm Co., Ltd. | 146,961 | ||||||
998 | Hanmi Science Co., Ltd. | 118,343 | ||||||
11,825 | Hanon Systems | 106,456 | ||||||
6,069 | Hanwha Chemical Corp. | 132,901 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
South Korea — continued |
| |||||||
1,057 | Hyundai Mobis Co., Ltd. | 240,892 | ||||||
3,067 | Hyundai Steel Co. | 168,230 | ||||||
8,810 | Industrial Bank of Korea | 93,646 | ||||||
1,761 | Kakao Corp. | 154,911 | ||||||
3,165 | Kia Motors Corp. | 132,745 | ||||||
4,308 | Korea Electric Power Corp. | 234,005 | ||||||
2,724 | Korea Gas Corp. | 98,554 | ||||||
282 | Korea Zinc Co., Ltd. | 122,284 | ||||||
2,583 | Korean Air Lines Co., Ltd. (a) | 65,994 | ||||||
6,939 | KT Corp. | 185,875 | ||||||
1,966 | KT&G Corp. | 211,807 | ||||||
8,498 | LG Display Co., Ltd. | 176,892 | ||||||
1,879 | LG Electronics, Inc. | 95,613 | ||||||
15,818 | LG Uplus Corp. | 155,171 | ||||||
561 | Lotte Chemical Corp. | 143,094 | ||||||
442 | Lotte Shopping Co., Ltd. | 105,233 | ||||||
437 | NAVER Corp. | 258,987 | ||||||
1,240 | POSCO | 259,799 | ||||||
294 | Samsung Electronics Co., Ltd. | 320,410 | ||||||
1,332 | Samsung Fine Chemicals Co., Ltd. | 43,766 | ||||||
769 | Samsung SDS Co., Ltd. | 114,663 | ||||||
144 | Shinsegae Co., Ltd. | 26,627 | ||||||
885 | SK Holdings Co., Ltd. | 173,451 | ||||||
8,338 | SK Hynix, Inc. | 204,513 | ||||||
1,667 | SK Innovation Co., Ltd. | 225,141 | ||||||
941 | SK Telecom Co., Ltd. | 170,885 | ||||||
2,196 | SKC Co., Ltd. | 53,801 | ||||||
2,052 | S-Oil Corp. | 155,958 | ||||||
6,063 | Woori Bank | 55,707 | ||||||
|
| |||||||
5,636,550 | ||||||||
|
| |||||||
Spain — 2.1% |
| |||||||
3,600 | Acerinox S.A. (a) | 42,657 | ||||||
2,885 | ACS Actividades de Construccion y Servicios S.A. | 95,686 | ||||||
4,047 | Enagas S.A. | 123,555 | ||||||
6,326 | Endesa S.A. | 133,099 | ||||||
5,811 | Ferrovial S.A. (a) | 125,373 | ||||||
5,301 | Gamesa Corp. Tecnologica S.A. (a) | 104,685 | ||||||
5,759 | Gas Natural SDG S.A. | 120,093 | ||||||
5,088 | Grifols S.A. | 110,935 | ||||||
18,723 | Iberdrola S.A. | 133,285 | ||||||
1,464 | Red Electrica Corp. S.A. | 130,932 | ||||||
7,029 | Repsol S.A. | 92,618 | ||||||
8,842 | Telefonica S.A. | 96,725 | ||||||
|
| |||||||
1,309,643 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 35 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Sweden — 2.8% |
| |||||||
1,360 | Autoliv, Inc. | 166,559 | ||||||
7,524 | Boliden AB | 131,597 | ||||||
2,165 | Getinge AB, Class B | 45,852 | ||||||
3,306 | Hexagon AB, Class B | 132,058 | ||||||
3,312 | Investor AB, Class B | 121,683 | ||||||
12,492 | Securitas AB, Class B | 197,527 | ||||||
7,200 | Skanska AB, Class B | 158,694 | ||||||
5,760 | Svenska Cellulosa AB SCA, Class B | 181,737 | ||||||
8,388 | Svenska Handelsbanken AB, Class A | 111,897 | ||||||
2,805 | Swedish Match AB | 89,092 | ||||||
12,265 | Tele2 AB, Class B | 117,189 | ||||||
2,450 | Telefonaktiebolaget LM Ericsson, Class B | 19,851 | ||||||
24,179 | TeliaSonera AB | 115,638 | ||||||
6,303 | Trelleborg AB, Class B | 115,105 | ||||||
|
| |||||||
1,704,479 | ||||||||
|
| |||||||
Switzerland — 2.0% |
| |||||||
988 | Baloise Holding AG | 122,469 | ||||||
6,846 | Clariant AG | 129,708 | ||||||
3,075 | Garmin Ltd. (Switzerland) | 131,087 | ||||||
84 | Givaudan S.A. | 165,805 | ||||||
254 | Kuehne & Nagel International AG | 36,656 | ||||||
1,104 | Lonza Group AG | 184,134 | ||||||
1,476 | Novartis AG | 112,327 | ||||||
796 | Sonova Holding AG | 106,567 | ||||||
304 | Swiss Life Holding AG | 76,887 | ||||||
417 | Swiss Prime Site AG | 36,557 | ||||||
276 | Swisscom AG | 140,257 | ||||||
|
| |||||||
1,242,454 | ||||||||
|
| |||||||
United Kingdom — 4.1% |
| |||||||
7,292 | Antofagasta plc | 51,644 | ||||||
11,131 | Barratt Developments plc | 86,682 | ||||||
796 | Berkeley Group Holdings plc | 34,881 | ||||||
11,735 | BP plc | 64,653 | ||||||
7,599 | British Land Co., plc (The) REIT | 79,953 | ||||||
15,886 | BT Group plc, Class A | 102,975 | ||||||
5,832 | Bunzl plc | 174,074 | ||||||
7,041 | Direct Line Insurance Group plc | 37,301 | ||||||
1,381 | easyJet plc | 29,765 | ||||||
6,263 | GlaxoSmithKline plc | 133,856 | ||||||
4,836 | Hammerson plc REIT | 41,386 | ||||||
8,138 | Inmarsat plc | 110,726 | ||||||
442 | Johnson Matthey plc | 18,681 | ||||||
6,889 | Land Securities Group plc REIT | 114,106 | ||||||
1,709 | Mondi plc | 32,735 | ||||||
1,464 | Next plc | 108,960 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United Kingdom — continued |
| |||||||
4,089 | Persimmon plc | 118,933 | ||||||
15,900 | Rexam plc | 145,417 | ||||||
5,831 | Royal Mail plc | 41,532 | ||||||
20,321 | Sage Group plc (The) | 176,019 | ||||||
1,497 | Severn Trent plc | 48,803 | ||||||
7,680 | Smith & Nephew plc | 130,056 | ||||||
41,666 | Taylor Wimpey plc | 112,397 | ||||||
2,921 | Travis Perkins plc | 79,028 | ||||||
8,444 | United Utilities Group plc | 116,115 | ||||||
33,802 | Vodafone Group plc | 108,905 | ||||||
9,564 | William Hill plc | 43,787 | ||||||
5,412 | WPP plc | 126,439 | ||||||
|
| |||||||
2,469,809 | ||||||||
|
| |||||||
United States — 25.4% |
| |||||||
1,092 | Airgas, Inc. | 155,544 | ||||||
240 | Alleghany Corp. (a) | 125,107 | ||||||
2,256 | Alliant Energy Corp. | 159,093 | ||||||
1,761 | Allstate Corp. (The) | 114,553 | ||||||
3,073 | Amdocs Ltd. | 173,747 | ||||||
2,728 | Ameren Corp. | 130,944 | ||||||
2,602 | American Water Works Co., Inc. | 189,322 | ||||||
10,265 | Annaly Capital Management, Inc. REIT | 106,962 | ||||||
1,162 | Anthem, Inc. | 163,575 | ||||||
1,200 | Ashland, Inc. | 133,920 | ||||||
1,884 | Assurant, Inc. | 159,330 | ||||||
5,188 | AT&T, Inc. | 201,398 | ||||||
2,376 | AutoNation, Inc. (a) | 120,345 | ||||||
180 | AutoZone, Inc. (a) | 137,741 | ||||||
2,580 | Avery Dennison Corp. | 187,334 | ||||||
2,762 | Avnet, Inc. | 113,573 | ||||||
2,712 | Axis Capital Holdings Ltd. | 144,468 | ||||||
1,228 | Becton, Dickinson & Co. | 198,027 | ||||||
3,072 | Bemis Co., Inc. | 154,153 | ||||||
3,007 | Broadridge Financial Solutions, Inc. | 179,939 | ||||||
612 | C.R. Bard, Inc. | 129,848 | ||||||
4,308 | CA Technologies, Inc. | 127,775 | ||||||
1,419 | Celanese Corp., Class A | 100,323 | ||||||
4,586 | CenturyLink, Inc. | 141,937 | ||||||
2,465 | CF Industries Holdings, Inc. | 81,518 | ||||||
2,163 | Chevron Corp. | 221,015 | ||||||
1,764 | Church & Dwight Co., Inc. | 163,523 | ||||||
1,312 | Cigna Corp. | 181,764 | ||||||
2,412 | Cincinnati Financial Corp. | 159,216 | ||||||
2,052 | Cintas Corp. | 184,229 | ||||||
925 | CMS Energy Corp. | 37,629 | ||||||
1,764 | CNA Financial Corp. | 55,742 |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
United States — continued |
| |||||||
350 | Columbia Pipeline Group, Inc. | 8,967 | ||||||
2,676 | Commerce Bancshares, Inc. | 125,290 | ||||||
2,090 | Computer Sciences Corp. | 69,242 | ||||||
2,920 | ConocoPhillips | 139,547 | ||||||
1,276 | Constellation Brands, Inc., Class A | 199,133 | ||||||
2,090 | CSRA, Inc. | 54,256 | ||||||
2,150 | Darden Restaurants, Inc. | 133,837 | ||||||
424 | DaVita HealthCare Partners, Inc. (a) | 31,334 | ||||||
2,460 | DENTSPLY SIRONA Inc. | 146,616 | ||||||
1,921 | Dr. Pepper Snapple Group, Inc. | 174,638 | ||||||
1,608 | DST Systems, Inc. | 194,053 | ||||||
2,138 | DTE Energy Co. | 190,624 | ||||||
1,729 | Eastman Chemical Co. | 132,061 | ||||||
1,092 | Edgewell Personal Care Co. | 89,620 | ||||||
972 | Everest Re Group Ltd. (Bermuda) | 179,723 | ||||||
3,048 | Eversource Energy | 172,029 | ||||||
2,105 | Fidelity National Information Services, Inc. | 138,509 | ||||||
1,095 | First Solar, Inc. (a) | 61,145 | ||||||
2,473 | Foot Locker, Inc. | 151,941 | ||||||
595 | Four Corners Property Trust, Inc. REIT | 10,561 | ||||||
24,468 | Frontier Communications Corp. | 136,042 | ||||||
1,020 | Genuine Parts Co. | 97,889 | ||||||
1,824 | Harris Corp. | 145,938 | ||||||
2,404 | Hasbro, Inc. | 203,475 | ||||||
1,228 | Helmerich & Payne, Inc. | 81,195 | ||||||
1,164 | Henry Schein, Inc. (a) | 196,367 | ||||||
1,577 | Hess Corp. | 94,021 | ||||||
3,403 | HollyFrontier Corp. | 121,147 | ||||||
3,932 | Hormel Foods Corp. | 151,579 | ||||||
1,443 | IAC/Interactive Corp. | 66,869 | ||||||
4,218 | Intel Corp. | 127,721 | ||||||
1,308 | International Flavors & Fragrances, Inc. | 156,267 | ||||||
4,611 | Jabil Circuit, Inc. | 80,047 | ||||||
1,504 | JM Smucker Co. (The) | 190,978 | ||||||
1,125 | Johnson & Johnson | 126,090 | ||||||
1,418 | L-3 Communications Holdings, Inc., Class 3 | 186,510 | ||||||
1,188 | Laboratory Corp. of America Holdings (a) | 148,880 | ||||||
3,984 | Leggett & Platt, Inc. | 196,371 | ||||||
2,606 | Level 3 Communications, Inc. (a) | 136,190 | ||||||
5,184 | Liberty Interactive Corp. QVC Group, Class A (a) | 135,821 | ||||||
1,252 | McCormick & Co., Inc. (Non-Voting) | 117,412 | ||||||
1,932 | Molson Coors Brewing Co., Class B | 184,757 | ||||||
1,474 | Motorola Solutions, Inc. | 110,830 | ||||||
2,376 | Murphy Oil Corp. | 84,918 | ||||||
4,128 | Newell Rubbermaid, Inc. | 187,989 | ||||||
2,552 | Newfield Exploration Co. (a) | 92,510 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United States — continued |
| |||||||
350 | NiSource, Inc. | 7,949 | ||||||
986 | Northrop Grumman Corp. | 203,372 | ||||||
4,479 | NVIDIA Corp. | 159,139 | ||||||
92 | NVR, Inc. (a) | 152,839 | ||||||
3,406 | Old Republic International Corp. | 62,977 | ||||||
2,868 | Patterson Cos., Inc. | 124,328 | ||||||
2,184 | Pinnacle West Capital Corp. | 158,667 | ||||||
1,562 | PPG Industries, Inc. | 172,429 | ||||||
408 | Quest Diagnostics, Inc. | 30,669 | ||||||
1,494 | Raytheon Co. | 188,767 | ||||||
1,482 | RenaissanceRe Holdings Ltd. | 164,369 | ||||||
2,978 | Republic Services, Inc., Class A | 140,174 | ||||||
1,476 | SBA Communications Corp., Class A (a) | 152,087 | ||||||
2,621 | SCANA Corp. | 180,036 | ||||||
996 | Scripps Networks Interactive, Inc., Class A | 62,101 | ||||||
3,205 | Southwest Airlines Co. | 142,975 | ||||||
33,181 | Sprint Corp. (a) | 113,811 | ||||||
3,937 | Synopsys, Inc. (a) | 187,086 | ||||||
3,256 | TECO Energy, Inc. | 90,419 | ||||||
2,783 | TEGNA, Inc. | 65,011 | ||||||
4,776 | TELUS Corp. | 151,208 | ||||||
987 | Tesoro Corp. | 78,654 | ||||||
3,039 | Thomson Reuters Corp. | 125,077 | ||||||
4,800 | T-Mobile US, Inc. (a) | 188,544 | ||||||
2,376 | Torchmark Corp. | 137,547 | ||||||
3,089 | Total System Services, Inc. | 157,972 | ||||||
1,480 | Tyson Foods, Inc., Class A | 97,414 | ||||||
1,312 | Universal Health Services, Inc., Class B | 175,388 | ||||||
3,763 | Verizon Communications, Inc. | 191,687 | ||||||
3,082 | W.R. Berkley Corp. (Ireland) | 172,592 | ||||||
1,828 | Walt Disney Co. (The) | 188,759 | ||||||
936 | Waters Corp. (a) | 121,830 | ||||||
578 | Westlake Chemical Corp. | 29,010 | ||||||
2,208 | Wyndham Worldwide Corp. | 156,658 | ||||||
4,321 | Xcel Energy, Inc. | 172,970 | ||||||
2,977 | Xylem Inc. | 124,379 | ||||||
471 | Zimmer Biomet Holdings, Inc. | 54,528 | ||||||
|
| |||||||
15,477,955 | ||||||||
|
| |||||||
Total Common Stocks | 60,129,605 | |||||||
|
| |||||||
Total Investments — 98.7% | 60,129,605 | |||||||
Other Assets in Excess of | 806,728 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 60,936,333 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 37 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2016
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Oil, Gas & Consumable Fuels | 7.1 | % | ||
Chemicals | 6.4 | |||
Diversified Telecommunication Services | 5.7 | |||
Electric Utilities | 4.8 | |||
Pharmaceuticals | 4.2 | |||
Insurance | 3.8 | |||
Food Products | 3.3 | |||
Health Care Providers & Services | 3.3 | |||
IT Services | 3.1 | |||
Media | 2.9 | |||
Wireless Telecommunication Services | 2.7 | |||
Commercial Banks | 2.5 | |||
Semiconductors & Semiconductor Equipment | 2.5 | |||
Household Durables | 2.4 | |||
Real Estate Investment Trusts (REITs) | 2.4 | |||
Software | 2.1 | |||
Health Care Equipment & Supplies | 2.1 | |||
Road & Rail | 1.9 | |||
Multi-Utilities | 1.9 | |||
Trading Companies & Distributors | 1.8 | |||
Electronic Equipment & Instruments | 1.8 | |||
Auto Components | 1.8 | |||
Gas Utilities | 1.6 | |||
Hotels, Restaurants & Leisure | 1.6 | |||
Metals & Mining | 1.6 | |||
Real Estate Management & Development | 1.5 | |||
Commercial Services & Supplies | 1.5 | |||
Specialty Retail | 1.4 | |||
Airlines | 1.3 | |||
Beverages | 1.3 | |||
Aerospace & Defense | 1.2 | |||
Food & Staples Retailing | 1.1 | |||
Internet Software & Services | 1.1 | |||
Transportation Infrastructure | 1.0 | |||
Others (each less than 1.0%) | 13.3 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Company — 99.9% |
| ||||||
Exchange Traded Fund — 99.9% | ||||||||
499,739 | JPMorgan Diversified Return International Equity ETF (b) | $ | 25,021,932 | |||||
|
| |||||||
Total Exchange Traded Fund | 25,021,932 | |||||||
|
| |||||||
Total Investments — 99.9% | 25,021,932 | |||||||
Other Assets in Excess of | 22,515 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 25,044,447 | ||||||
|
|
Forward Foreign Currency Exchange Contracts | ||||||||||||||||||||||
CONTRACTS TO BUY (c) | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT APRIL 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
3,106,696 | AUD | Goldman Sachs | 05/05/2016 | 2,371,025 | 2,361,681 | (9,344 | ) | |||||||||||||||
248,944 | AUD | Goldman Sachs | 06/03/2016 | 189,665 | 189,010 | (655 | ) | |||||||||||||||
424,530 | CHF | Goldman Sachs | 05/05/2016 | 442,911 | 442,636 | (275 | ) | |||||||||||||||
2,177,610 | DKK | Goldman Sachs | 05/05/2016 | 335,105 | 335,083 | (22 | ) | |||||||||||||||
4,221,855 | EUR | Goldman Sachs | 05/05/2016 | 4,835,259 | 4,834,969 | (290 | ) | |||||||||||||||
181,686 | EUR | Goldman Sachs | 06/03/2016 | 208,222 | 208,253 | 31 | ||||||||||||||||
3,883,196 | GBP | Goldman Sachs | 05/05/2016 | 5,687,603 | 5,674,021 | (13,582 | ) | |||||||||||||||
56,315 | GBP | Goldman Sachs | 06/03/2016 | 82,289 | 82,293 | 4 | ||||||||||||||||
10,498,160 | HKD | Goldman Sachs | 05/05/2016 | 1,353,344 | 1,353,469 | 125 | ||||||||||||||||
424,527 | HKD | Goldman Sachs | 06/03/2016 | 54,747 | 54,748 | 1 | ||||||||||||||||
644,121,007 | JPY | Goldman Sachs | 05/05/2016 | 6,019,503 | 6,054,474 | 34,971 | ||||||||||||||||
8,925,335 | JPY | Goldman Sachs | 06/03/2016 | 83,901 | 83,956 | 55 | ||||||||||||||||
2,792,453,855 | KRW | Goldman Sachs | 05/05/2016 | 2,443,211 | 2,450,633 | 7,422 | ||||||||||||||||
91,387,419 | KRW | Goldman Sachs | 06/03/2016 | 79,957 | 80,166 | 209 | ||||||||||||||||
2,646,971 | NOK | Goldman Sachs | 05/05/2016 | 328,663 | 328,734 | 71 | ||||||||||||||||
256,667 | NZD | Goldman Sachs | 05/05/2016 | 179,475 | 179,168 | (307 | ) | |||||||||||||||
13,819 | NZD | Goldman Sachs | 06/03/2016 | 9,650 | 9,631 | (19 | ) | |||||||||||||||
5,452,788 | SEK | Goldman Sachs | 05/05/2016 | 679,691 | 679,136 | (555 | ) | |||||||||||||||
77,443 | SEK | Goldman Sachs | 06/03/2016 | 9,653 | 9,656 | 3 | ||||||||||||||||
1,048,878 | SGD | Goldman Sachs | 05/05/2016 | 780,386 | 779,811 | (575 | ) | |||||||||||||||
103,082 | SGD | Goldman Sachs | 06/03/2016 | 76,654 | 76,578 | (76 | ) | |||||||||||||||
26,250,912 | 26,268,104 | 17,192 | ||||||||||||||||||||
|
| |||||||||||||||||||||
CONTRACTS TO SELL (c) | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT APRIL 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
3,106,696 | AUD | Goldman Sachs | 05/05/2016 | 2,361,681 | 2,415,061 | 53,380 | ||||||||||||||||
3,095,219 | AUD | Goldman Sachs | 06/03/2016 | 2,350,041 | 2,359,207 | 9,166 | ||||||||||||||||
424,530 | CHF | Goldman Sachs | 05/05/2016 | 442,636 | 437,308 | (5,328 | ) | |||||||||||||||
458,061 | CHF | Goldman Sachs | 06/03/2016 | 478,202 | 478,515 | 313 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 39 |
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
CONTRACTS TO SELL (c) | CURRENCY | COUNTERPARTY | SETTLEMENT DATE | SETTLEMENT VALUE | VALUE AT APRIL 30, 2016 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||||||
2,177,610 | DKK | Goldman Sachs | 05/05/2016 | 335,083 | 330,785 | (4,298 | ) | |||||||||||||||
2,375,498 | DKK | Goldman Sachs | 06/03/2016 | 365,856 | 365,994 | 138 | ||||||||||||||||
4,221,855 | EUR | Goldman Sachs | 05/05/2016 | 4,834,969 | 4,773,079 | (61,890 | ) | |||||||||||||||
4,206,267 | EUR | Goldman Sachs | 06/03/2016 | 4,821,338 | 4,821,601 | 263 | ||||||||||||||||
3,883,196 | GBP | Goldman Sachs | 05/05/2016 | 5,674,021 | 5,560,981 | (113,040 | ) | |||||||||||||||
4,016,057 | GBP | Goldman Sachs | 06/03/2016 | 5,868,603 | 5,883,434 | 14,831 | ||||||||||||||||
10,498,160 | HKD | Goldman Sachs | 05/05/2016 | 1,353,469 | 1,353,121 | (348 | ) | |||||||||||||||
10,498,160 | HKD | Goldman Sachs | 06/03/2016 | 1,353,871 | 1,353,704 | (167 | ) | |||||||||||||||
644,121,007 | JPY | Goldman Sachs | 05/05/2016 | 6,054,475 | 5,858,496 | (195,979 | ) | |||||||||||||||
676,375,153 | JPY | Goldman Sachs | 06/03/2016 | 6,362,293 | 6,325,874 | (36,419 | ) | |||||||||||||||
2,792,453,855 | KRW | Goldman Sachs | 05/05/2016 | 2,450,632 | 2,456,195 | 5,563 | ||||||||||||||||
2,771,492,335 | KRW | Goldman Sachs | 06/03/2016 | 2,431,175 | 2,422,527 | (8,648 | ) | |||||||||||||||
2,646,971 | NOK | Goldman Sachs | 05/05/2016 | 328,734 | 325,128 | (3,606 | ) | |||||||||||||||
2,703,239 | NOK | Goldman Sachs | 06/03/2016 | 335,678 | 335,625 | (53 | ) | |||||||||||||||
256,667 | NZD | Goldman Sachs | 05/05/2016 | 179,168 | 178,642 | (526 | ) | |||||||||||||||
256,667 | NZD | Goldman Sachs | 06/03/2016 | 178,879 | 179,085 | 206 | ||||||||||||||||
5,452,788 | SEK | Goldman Sachs | 05/05/2016 | 679,855 | 671,287 | (8,568 | ) | |||||||||||||||
5,514,645 | SEK | Goldman Sachs | 06/03/2016 | 687,567 | 688,076 | 509 | ||||||||||||||||
1,048,878 | SGD | Goldman Sachs | 05/05/2016 | 779,810 | 779,325 | (485 | ) | |||||||||||||||
1,048,878 | SGD | Goldman Sachs | 06/03/2016 | 779,201 | 779,614 | 413 | ||||||||||||||||
51,487,237 | 51,132,664 | (354,573 | ) | |||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
40 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.9% |
| ||||||
Australia — 8.6% |
| |||||||
77,162 | AGL Energy Ltd. | 1,068,805 | ||||||
52,260 | Ansell Ltd. | 788,775 | ||||||
155,584 | APA Group | 1,030,497 | ||||||
46,736 | Asciano Ltd. | 313,315 | ||||||
69,936 | Bendigo & Adelaide Bank Ltd. | 492,336 | ||||||
72,019 | Boral Ltd. | 350,528 | ||||||
47,382 | Brambles Ltd. | 447,534 | ||||||
25,072 | Caltex Australia Ltd. | 615,348 | ||||||
13,242 | Cochlear Ltd. | 1,083,150 | ||||||
15,339 | CSL Ltd. | 1,222,343 | ||||||
153,559 | CSR Ltd. | 396,483 | ||||||
149,553 | Dexus Property Group REIT | 953,579 | ||||||
37,909 | Downer EDI Ltd. | 106,430 | ||||||
77,131 | DUET Group | 131,781 | ||||||
245,335 | GPT Group REIT (The) | 934,362 | ||||||
38,795 | Harvey Norman Holdings Ltd. | 131,381 | ||||||
377,583 | Healthscope Ltd. | 777,633 | ||||||
266,916 | Incitec Pivot Ltd. | 648,643 | ||||||
8,388 | Orica Ltd. | 96,920 | ||||||
243,001 | Origin Energy Ltd. | 998,617 | ||||||
22,204 | Ramsay Health Care Ltd. | 1,091,904 | ||||||
69,718 | Sonic Healthcare Ltd. | 1,023,075 | ||||||
205,230 | Sydney Airport | 1,058,182 | ||||||
294,832 | Tabcorp Holdings Ltd. | 988,924 | ||||||
255,528 | Tatts Group Ltd. | 728,163 | ||||||
274,558 | Telstra Corp. Ltd. | 1,114,808 | ||||||
90,012 | TPG Telecom Ltd. | 729,556 | ||||||
132,661 | Transurban Group | 1,164,073 | ||||||
351,991 | Vicinity Centres REIT | 884,763 | ||||||
35,321 | Wesfarmers Ltd. | 1,143,722 | ||||||
|
| |||||||
22,515,630 | ||||||||
|
| |||||||
Austria — 0.5% | ||||||||
21,424 | OMV AG | 644,652 | ||||||
18,557 | voestalpine AG | 669,630 | ||||||
|
| |||||||
1,314,282 | ||||||||
|
| |||||||
Belgium — 1.1% | ||||||||
5,302 | Ageas | 208,352 | ||||||
14,248 | Colruyt S.A. | 821,568 | ||||||
4,628 | Groupe Bruxelles Lambert S.A. | 409,461 | ||||||
25,799 | Proximus SADP | 869,529 | ||||||
11,588 | Umicore S.A. | 578,471 | ||||||
|
| |||||||
2,887,381 | ||||||||
|
| |||||||
Denmark — 1.5% | ||||||||
11,548 | Chr. Hansen Holding A/S | 719,107 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Denmark — continued | ||||||||
5,780 | DSV A/S | 243,327 | ||||||
15,132 | H Lundbeck A/S (a) | 505,605 | ||||||
3,809 | ISS A/S | 144,684 | ||||||
148,457 | TDC A/S | 760,140 | ||||||
11,094 | Vestas Wind Systems A/S | 794,132 | ||||||
5,885 | William Demant Holding A/S (a) | 605,151 | ||||||
|
| |||||||
3,772,146 | ||||||||
|
| |||||||
Finland — 1.7% | ||||||||
13,691 | Elisa OYJ | 511,936 | ||||||
16,640 | Fortum OYJ | 250,874 | ||||||
14,924 | Kesko OYJ, Class B | 596,940 | ||||||
34,208 | Neste OYJ | 1,096,185 | ||||||
5,557 | Nokian Renkaat OYJ | 205,254 | ||||||
11,901 | Orion OYJ, Class B | 415,641 | ||||||
17,732 | Sampo OYJ, Class A | 775,621 | ||||||
24,019 | UPM-Kymmene OYJ | 459,776 | ||||||
|
| |||||||
4,312,227 | ||||||||
|
| |||||||
France — 4.9% | ||||||||
2,390 | Arkema S.A. | 190,762 | ||||||
12,688 | Atos SE | 1,129,322 | ||||||
11,185 | Capital Gemini S.A. | 1,044,043 | ||||||
4,166 | Christian Dior SE | 732,055 | ||||||
12,375 | Dassault Systemes | 967,934 | ||||||
2,399 | Eiffage S.A. | 190,847 | ||||||
6,869 | Essilor International S.A. | 889,237 | ||||||
21,577 | Eutelsat Communications S.A. | 670,369 | ||||||
1,424 | Iliad S.A. | 311,370 | ||||||
5,617 | Ingenico S.A. | 662,122 | ||||||
22,733 | Lagardere SCA | 603,288 | ||||||
7,084 | Orange S.A. | 117,694 | ||||||
9,724 | Publicis Groupe S.A. | 719,611 | ||||||
22,573 | SCOR SE | 768,969 | ||||||
2,756 | Sodexo S.A. | 278,423 | ||||||
11,657 | Thales S.A. | 1,008,775 | ||||||
15,898 | TOTAL S.A. | 803,501 | ||||||
3,536 | Valeo S.A. | 560,879 | ||||||
7,852 | Vinci S.A. | 586,456 | ||||||
31,504 | Vivendi S.A. | 605,205 | ||||||
|
| |||||||
12,840,862 | ||||||||
|
| |||||||
Germany — 3.9% | ||||||||
6,436 | Axel Springer SE | 359,884 | ||||||
8,684 | Beiersdorf AG | 779,786 | ||||||
12,261 | Brenntag AG | 720,197 | ||||||
22,368 | Evonik Industries AG | 709,701 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 41 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Germany — continued | ||||||||
11,440 | Fraport AG Frankfurt Airport Services Worldwide | 693,527 | ||||||
11,591 | Fresenius Medical Care AG & Co., KGaA | 1,008,852 | ||||||
13,932 | Fresenius SE & Co., KGaA | 1,015,902 | ||||||
9,360 | Hannover Rueck SE | 1,070,049 | ||||||
61,878 | Infineon Technologies AG | 882,853 | ||||||
10,454 | K+S AG | 260,936 | ||||||
8,006 | Merck KGaA | 753,984 | ||||||
2,649 | SAP SE | 207,844 | ||||||
7,230 | Suedzucker AG | 127,668 | ||||||
2,917 | Symrise AG | 193,606 | ||||||
101,241 | Telefonica Deutschland Holding AG | 515,113 | ||||||
18,360 | United Internet AG | 897,408 | ||||||
|
| |||||||
10,197,310 | ||||||||
|
| |||||||
Hong Kong — 5.0% | ||||||||
218,000 | Cathay Pacific Airways Ltd. | 347,568 | ||||||
110,000 | Cheung Kong Infrastructure Holdings Ltd. | 1,038,116 | ||||||
80,042 | CK Hutchison Holdings Ltd. | 957,592 | ||||||
108,000 | CLP Holdings Ltd. | 998,462 | ||||||
624,000 | FIH Mobile Ltd. | 267,176 | ||||||
104,000 | First Pacific Co., Ltd. | 65,859 | ||||||
564,100 | Hong Kong & China Gas Co., Ltd. | 1,050,064 | ||||||
177,500 | Link REIT | 1,076,871 | ||||||
206,500 | MTR Corp., Ltd. | 1,020,920 | ||||||
296,000 | New World Development Co., Ltd. | 294,375 | ||||||
1,681,000 | PCCW Ltd. | 1,137,841 | ||||||
105,500 | Power Assets Holdings Ltd. | 1,003,736 | ||||||
8,737,000 | Semiconductor Manufacturing International Corp. (a) | 718,252 | ||||||
78,000 | Swire Pacific Ltd., Class A | 846,192 | ||||||
155,500 | Techtronic Industries Co., Ltd. | 582,918 | ||||||
94,000 | Wheelock & Co., Ltd. | 435,183 | ||||||
648,000 | Xinyi Solar Holdings Ltd. | 255,410 | ||||||
288,000 | Yue Yuen Industrial Holdings Ltd. | 1,049,018 | ||||||
|
| |||||||
13,145,553 | ||||||||
|
| |||||||
Ireland — 0.3% | ||||||||
9,759 | Kerry Group plc, Class A | 870,239 | ||||||
|
| |||||||
Italy — 1.2% |
| |||||||
68,635 | Davide Campari-Milano SpA | 663,953 | ||||||
206,856 | Parmalat SpA | 576,995 | ||||||
129,385 | Snam SpA | 791,245 | ||||||
184,297 | Terna Rete Elettrica Nazionale SpA | 1,040,959 | ||||||
|
| |||||||
3,073,152 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Japan — 24.0% | ||||||||
46,800 | Alfresa Holdings Corp. | 901,230 | ||||||
221,000 | Aozora Bank Ltd. | 784,111 | ||||||
31,200 | Brother Industries Ltd. | 353,694 | ||||||
7,000 | Calsonic Kansei Corp. | 47,811 | ||||||
26,000 | Canon Marketing Japan, Inc. | 465,979 | ||||||
30,500 | Canon, Inc. | 852,864 | ||||||
37,000 | Capcom Co., Ltd. | 852,307 | ||||||
3,700 | Central Japan Railway Co. | 648,150 | ||||||
88,000 | Chiba Bank Ltd. (The) | 444,402 | ||||||
40,600 | Chubu Electric Power Co., Inc. | 534,790 | ||||||
62,900 | Chugoku Electric Power Co., Inc. (The) | 816,348 | ||||||
41,600 | COMSYS Holdings Corp. | 625,480 | ||||||
161,100 | Concordia Financial Group Ltd. (a) | 775,824 | ||||||
10,600 | Credit Saison Co., Ltd. | 194,916 | ||||||
67,700 | Daicel Corp. | 845,705 | ||||||
1,500 | Daito Trust Construction Co., Ltd. | 212,148 | ||||||
44,000 | Denka Co., Ltd. | 185,220 | ||||||
281,000 | DIC Corp. | 646,386 | ||||||
25,900 | Electric Power Development Co., Ltd. | 780,576 | ||||||
20,800 | FamilyMart Co., Ltd. | 1,097,712 | ||||||
104,000 | Fuji Electric Co., Ltd. | 442,546 | ||||||
26,100 | FUJIFILM Holdings Corp. | 1,071,360 | ||||||
156,000 | Fujikura Ltd. | 756,173 | ||||||
57,000 | Gunma Bank Ltd. (The) | 225,681 | ||||||
52,000 | Hachijuni Bank Ltd. (The) | 227,336 | ||||||
149,000 | Hankyu Hanshin Holdings, Inc. | 944,438 | ||||||
12,100 | Hikari Tsushin, Inc. | 906,318 | ||||||
6,800 | Hitachi Capital Corp. | 145,232 | ||||||
36,400 | Hitachi Chemical Co., Ltd. | 611,292 | ||||||
36,400 | Hitachi High-Technologies Corp. | 984,899 | ||||||
11,400 | Hokkaido Electric Power Co., Inc. (a) | 103,911 | ||||||
46,800 | Hokuriku Electric Power Co. | 612,952 | ||||||
41,500 | Idemitsu Kosan Co., Ltd. | 886,533 | ||||||
102,200 | Inpex Corp. | 812,475 | ||||||
21,600 | Itochu Techno-Solutions Corp. | 423,281 | ||||||
30,600 | Japan Airlines Co., Ltd. | 1,101,425 | ||||||
21,600 | Japan Petroleum Exploration Co., Ltd. | 502,836 | ||||||
244,500 | JX Holdings, Inc. | 1,050,839 | ||||||
111,000 | Kaneka Corp. | 929,039 | ||||||
364,000 | Kawasaki Kisen Kaisha Ltd. | 776,127 | ||||||
36,000 | KDDI Corp. | 1,037,006 | ||||||
93,300 | Konica Minolta, Inc. | 805,326 | ||||||
42,300 | Kuraray Co., Ltd. | 536,281 | ||||||
20,800 | Lintec Corp. | 398,734 | ||||||
22,000 | Lion Corp. | 270,693 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Japan — continued | ||||||||
21,400 | Matsui Securities Co., Ltd. | 184,431 | ||||||
41,600 | Medipal Holdings Corp. | 658,163 | ||||||
15,600 | Miraca Holdings, Inc. | 662,955 | ||||||
54,000 | Mitsubishi Gas Chemical Co., Inc. | 296,126 | ||||||
53,300 | Mitsubishi Tanabe Pharma Corp. | 948,980 | ||||||
338,300 | Mizuho Financial Group, Inc. | 507,082 | ||||||
15,000 | Mochida Pharmaceutical Co., Ltd. | 1,115,522 | ||||||
51,000 | NH Foods Ltd. | 1,136,759 | ||||||
42,000 | Nippo Corp. | 696,385 | ||||||
112,000 | Nippon Express Co., Ltd. | 511,103 | ||||||
35,800 | Nippon Paper Industries Co., Ltd. | 687,920 | ||||||
11,700 | Nippon Shokubai Co., Ltd. | 606,012 | ||||||
25,900 | Nippon Telegraph & Telephone Corp. | 1,159,034 | ||||||
57,200 | Nippon Television Holdings, Inc. | 921,378 | ||||||
78,100 | Nipro Corp. | 760,808 | ||||||
62,300 | Nisshin Seifun Group, Inc. | 1,019,919 | ||||||
11,300 | Nissin Foods Holdings Co., Ltd. | 524,580 | ||||||
14,400 | Nomura Real Estate Holdings Inc. | 263,164 | ||||||
11,000 | Nomura Research Institute Ltd. | 385,881 | ||||||
47,600 | NTT DOCOMO, Inc. | 1,141,638 | ||||||
260,000 | Osaka Gas Co., Ltd. | 937,345 | ||||||
4,500 | Otsuka Corp. | 214,597 | ||||||
192,500 | Resona Holdings, Inc. | 680,538 | ||||||
64,100 | Ricoh Co., Ltd. | 653,238 | ||||||
5,200 | Sawai Pharmaceutical Co., Ltd. | 334,983 | ||||||
62,000 | Sekisui House Ltd. | 1,076,527 | ||||||
88,400 | Seven Bank Ltd. | 375,630 | ||||||
9,500 | Shikoku Electric Power Co., Inc. | 117,264 | ||||||
25,900 | Shimachu Co., Ltd. | 602,793 | ||||||
9,000 | Shimamura Co., Ltd. | 1,214,942 | ||||||
93,600 | Showa Shell Sekiyu K.K. | 976,782 | ||||||
41,600 | SKY Perfect JSAT Holdings, Inc. | 221,451 | ||||||
22,900 | SoftBank Group Corp. | 1,231,344 | ||||||
379,500 | Sojitz Corp. | 758,329 | ||||||
198,000 | Sumitomo Osaka Cement Co., Ltd. | 853,641 | ||||||
16,100 | Suzuken Co., Ltd. | 551,717 | ||||||
155,000 | Taisei Corp. | 1,057,958 | ||||||
3,700 | Taisho Pharmaceutical Holdings Co., Ltd. | 303,903 | ||||||
17,000 | Toho Gas Co., Ltd. | 116,071 | ||||||
31,800 | Tohoku Electric Power Co., Inc. | 406,562 | ||||||
93,300 | Tokyo Electric Power Co., Inc. (a) | 499,705 | ||||||
104,000 | TonenGeneral Sekiyu K.K. | 985,058 | ||||||
26,300 | Toyo Suisan Kaisha Ltd. | 928,857 | ||||||
20,200 | Toyota Industries Corp. | 876,436 | ||||||
31,100 | Tsumura & Co. | 800,291 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Japan — continued | ||||||||
411,000 | Ube Industries Ltd. | 780,608 | ||||||
15,200 | West Japan Railway Co. | 917,567 | ||||||
13,000 | Yamaguchi Financial Group Inc. | 120,833 | ||||||
15,700 | Yamaha Corp. | 450,592 | ||||||
36,300 | Yokohama Rubber Co., Ltd. (The) | 608,556 | ||||||
|
| |||||||
62,470,344 | ||||||||
|
| |||||||
Luxembourg — 0.1% |
| |||||||
47,100 | Samsonite International S.A. | 151,476 | ||||||
|
| |||||||
Netherlands — 2.6% |
| |||||||
11,902 | Boskalis Westminster | 496,352 | ||||||
10,971 | Heineken Holding NV | 905,734 | ||||||
22,306 | Koninklijke Ahold NV | 485,698 | ||||||
13,918 | NN Group NV | 483,132 | ||||||
4,998 | OCI NV (a) | 98,762 | ||||||
22,514 | QIAGEN NV (a) | 506,357 | ||||||
45,294 | RELX NV | 760,652 | ||||||
83,290 | Royal Dutch Shell plc, Class A | 2,181,639 | ||||||
22,783 | Wolters Kluwer NV | 867,869 | ||||||
|
| |||||||
6,786,195 | ||||||||
|
| |||||||
New Zealand — 0.7% | ||||||||
111,174 | Fletcher Building Ltd. | 646,276 | ||||||
428,220 | Spark New Zealand Ltd. | 1,107,279 | ||||||
|
| |||||||
1,753,555 | ||||||||
|
| |||||||
Norway — 1.3% | ||||||||
47,674 | Marine Harvest ASA | 743,057 | ||||||
57,408 | Norsk Hydro ASA | 249,781 | ||||||
17,576 | Orkla ASA | 153,437 | ||||||
41,238 | Statoil ASA | 725,842 | ||||||
45,865 | Telenor ASA | 789,161 | ||||||
18,717 | Yara International ASA | 748,643 | ||||||
|
| |||||||
3,409,921 | ||||||||
|
| |||||||
Portugal — 0.6% | ||||||||
214,916 | EDP — Energias de Portugal S.A. | 764,045 | ||||||
51,064 | Galp Energia SGPS S.A. | 701,593 | ||||||
|
| |||||||
1,465,638 | ||||||||
|
| |||||||
Singapore — 2.9% | ||||||||
109,100 | Ascendas Real Estate Investment Trust REIT | 199,117 | ||||||
468,400 | CapitaLand Mall Trust REIT | 719,065 | ||||||
150,300 | ComfortDelGro Corp., Ltd. | 322,137 | ||||||
2,339,200 | Golden Agri-Resources Ltd. | 693,927 | ||||||
936,000 | Hutchison Port Holdings Trust, Class U | 415,520 | ||||||
172,400 | Keppel Corp., Ltd. | 688,950 | ||||||
208,000 | Sembcorp Industries Ltd. | 444,603 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 43 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Singapore — continued | ||||||||
83,200 | Sembcorp Marine Ltd. | 102,793 | ||||||
260,000 | Singapore Press Holdings Ltd. | 782,652 | ||||||
383,500 | Singapore Telecommunications Ltd. | 1,096,960 | ||||||
175,100 | StarHub Ltd. | 430,132 | ||||||
223,700 | Suntec REIT | 279,497 | ||||||
58,500 | Venture Corp., Ltd. | 363,789 | ||||||
399,300 | Wilmar International Ltd. | 1,096,868 | ||||||
|
| |||||||
7,636,010 | ||||||||
|
| |||||||
South Korea — 9.3% | ||||||||
4,621 | Celltrion, Inc. (a) | 406,570 | ||||||
1,620 | CJ CheilJedang Corp. | 538,121 | ||||||
4,054 | CJ Corp. | 758,737 | ||||||
15,916 | GS Holdings Corp. | 768,376 | ||||||
7,065 | Hanmi Science Co., Ltd. | 837,768 | ||||||
14,604 | Hanwha Chemical Corp. | 319,803 | ||||||
2,491 | Hyosung Corp. | 266,511 | ||||||
2,708 | Hyundai Department Store Co., Ltd. | 349,435 | ||||||
17,570 | Hyundai Steel Co. | 963,742 | ||||||
57,660 | Industrial Bank of Korea | 612,893 | ||||||
7,442 | Kakao Corp. | 654,657 | ||||||
17,886 | Kangwon Land, Inc. | 669,509 | ||||||
20,535 | Korea Electric Power Corp. | 1,115,436 | ||||||
17,314 | Korea Gas Corp. | 626,417 | ||||||
1,605 | Korea Zinc Co., Ltd. | 695,977 | ||||||
33,267 | KT Corp. | 891,126 | ||||||
11,069 | KT&G Corp. | 1,192,521 | ||||||
12,065 | LG Corp. | 719,069 | ||||||
41,907 | LG Display Co., Ltd. | 872,323 | ||||||
98,540 | LG Uplus Corp. | 966,653 | ||||||
1,715 | Lotte Chemical Corp. | 437,444 | ||||||
2,243 | Lotte Shopping Co., Ltd. | 534,022 | ||||||
1,249 | NAVER Corp. | 740,217 | ||||||
5,559 | POSCO | 1,164,695 | ||||||
1,161 | Samsung Electronics Co., Ltd. | 1,265,294 | ||||||
1,563 | Samsung SDS Co., Ltd. | 233,053 | ||||||
996 | Shinsegae Co., Ltd. | 184,167 | ||||||
4,984 | SK Holdings Co., Ltd. | 976,812 | ||||||
37,147 | SK Hynix, Inc. | 911,135 | ||||||
3,326 | SK Innovation Co., Ltd. | 449,201 | ||||||
47,632 | SK Networks Co., Ltd. | 282,915 | ||||||
4,792 | SK Telecom Co., Ltd. | 870,224 | ||||||
14,664 | SKC Co., Ltd. | 359,262 | ||||||
9,614 | S-Oil Corp. | 730,695 | ||||||
38,474 | Woori Bank | 353,501 | ||||||
1,868 | Yuhan Corp. | 477,132 | ||||||
|
| |||||||
24,195,413 | ||||||||
|
|
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Spain — 2.2% | ||||||||
3,072 | Acciona S.A. | 246,534 | ||||||
46,228 | Acerinox S.A. | 547,767 | ||||||
2,132 | Corp. Financiera Alba S.A. | 87,446 | ||||||
27,404 | Enagas S.A. | 836,647 | ||||||
42,017 | Endesa S.A. | 884,036 | ||||||
42,440 | Ferrovial S.A. | 915,651 | ||||||
19,039 | Gamesa Corp. Tecnologica S.A. | 375,983 | ||||||
25,318 | Gas Natural SDG S.A. | 527,959 | ||||||
122,369 | Iberdrola S.A. | 871,117 | ||||||
3,321 | Red Electrica Corp. S.A. | 297,013 | ||||||
10,146 | Repsol S.A. | 133,689 | ||||||
|
| |||||||
5,723,842 | ||||||||
|
| |||||||
Sweden — 2.6% | ||||||||
48,467 | Boliden AB | 847,704 | ||||||
4,855 | Hexagon AB, Class B | 193,932 | ||||||
24,752 | Investor AB, Class B | 909,391 | ||||||
57,357 | Securitas AB, Class B | 906,943 | ||||||
35,979 | Skanska AB, Class B | 793,008 | ||||||
15,964 | Svenska Cellulosa AB SCA, Class B | 503,690 | ||||||
7,492 | Swedish Match AB | 237,960 | ||||||
91,941 | Tele2 AB, Class B | 878,471 | ||||||
61,932 | Telefonaktiebolaget LM Ericsson, Class B | 501,799 | ||||||
158,650 | TeliaSonera AB | 758,755 | ||||||
19,352 | Trelleborg AB, Class B | 353,406 | ||||||
|
| |||||||
6,885,059 | ||||||||
|
| |||||||
Switzerland — 2.1% | ||||||||
6,561 | Baloise Holding AG | 813,279 | ||||||
1 | Chocoladefabriken Lindt & Spruengli AG | 73,207 | ||||||
32,505 | Clariant AG | 615,859 | ||||||
25,586 | Coca-Cola HBC AG | 524,466 | ||||||
271 | EMS-Chemie Holding AG | 134,109 | ||||||
1,302 | Kuehne & Nagel International AG | 187,899 | ||||||
4,558 | Lonza Group AG | 760,221 | ||||||
10,822 | Novartis AG | 823,579 | ||||||
2,659 | Sonova Holding AG | 355,981 | ||||||
1,820 | Swiss Re AG | 161,759 | ||||||
1,820 | Swisscom AG | 924,885 | ||||||
|
| |||||||
5,375,244 | ||||||||
|
| |||||||
United Kingdom — 21.8% | ||||||||
35,257 | Admiral Group plc | 958,241 | ||||||
112,462 | Antofagasta plc | 796,488 | ||||||
87,356 | ARM Holdings plc | 1,199,041 | ||||||
24,130 | AstraZeneca plc | 1,384,405 | ||||||
65,936 | Babcock International Group plc | 914,997 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
United Kingdom — continued | ||||||||
116,894 | Barratt Developments plc | 910,304 | ||||||
19,765 | Berkeley Group Holdings plc | 866,115 | ||||||
368,112 | BP plc | 2,028,077 | ||||||
108,058 | British Land Co., plc (The) REIT | 1,136,935 | ||||||
203,428 | BT Group plc, Class A | 1,318,639 | ||||||
38,064 | Bunzl plc | 1,136,138 | ||||||
35,989 | Capita plc | 527,311 | ||||||
20,243 | Carnival plc | 1,009,701 | ||||||
365,814 | Centrica plc | 1,277,508 | ||||||
140,972 | Cobham plc | 318,063 | ||||||
14,519 | Croda International plc | 639,601 | ||||||
66,669 | Direct Line Insurance Group plc | 353,189 | ||||||
43,215 | easyJet plc | 931,429 | ||||||
81,485 | GKN plc | 332,535 | ||||||
96,885 | GlaxoSmithKline plc | 2,070,678 | ||||||
112,680 | Hammerson plc REIT | 964,309 | ||||||
25,750 | Hikma Pharmaceuticals plc | 830,199 | ||||||
32,354 | IMI plc | 442,761 | ||||||
22,878 | Imperial Tobacco Group plc | 1,243,955 | ||||||
24,292 | Inchcape plc | 240,953 | ||||||
20,488 | Informa plc | 196,284 | ||||||
64,792 | Inmarsat plc | 881,567 | ||||||
11,270 | InterContinental Hotels Group plc | 450,408 | ||||||
145,553 | Intu Properties plc REIT | 648,174 | ||||||
67,808 | John Wood Group plc | 620,315 | ||||||
26,252 | Johnson Matthey plc | 1,109,542 | ||||||
74,274 | Land Securities Group plc REIT | 1,230,235 | ||||||
198,372 | Legal & General Group plc | 648,261 | ||||||
91,681 | Meggitt plc | 551,221 | ||||||
55,070 | Merlin Entertainments plc | 347,862 | ||||||
58,600 | Mondi plc | 1,122,460 | ||||||
90,479 | National Grid plc | 1,291,014 | ||||||
5,963 | Next plc | 443,804 | ||||||
41,396 | Pennon Group plc | 491,944 | ||||||
36,458 | Persimmon plc | 1,060,424 | ||||||
66,289 | Petrofac Ltd. | 821,290 | ||||||
6,364 | Randgold Resources Ltd. | 635,691 | ||||||
10,916 | Reckitt Benckiser Group plc | 1,063,428 | ||||||
51,432 | RELX plc | 911,185 | ||||||
122,201 | Rexam plc | 1,117,617 | ||||||
45,967 | Royal Mail plc | 327,404 | ||||||
116,439 | Sage Group plc (The) | 1,008,584 | ||||||
103,837 | Segro plc REIT | 634,433 | ||||||
32,028 | Severn Trent plc | 1,044,127 | ||||||
22,723 | Shire plc | 1,417,966 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
United Kingdom — continued | ||||||||
67,921 | Sky plc | 933,647 | ||||||
75,494 | Smith & Nephew plc | 1,278,442 | ||||||
60,844 | Smiths Group plc | 987,402 | ||||||
57,033 | SSE plc | 1,260,066 | ||||||
394,164 | Taylor Wimpey plc | 1,063,283 | ||||||
36,495 | Travis Perkins plc | 987,375 | ||||||
28,693 | Unilever plc | 1,282,062 | ||||||
72,128 | United Utilities Group plc | 991,844 | ||||||
508,612 | Vodafone Group plc | 1,638,671 | ||||||
19,308 | Whitbread plc | 1,094,418 | ||||||
57,569 | WPP plc | 1,344,965 | ||||||
|
| |||||||
56,768,987 | ||||||||
|
| |||||||
Total Common Stocks | 257,550,466 | |||||||
|
| |||||||
Total Investments — 98.9% | 257,550,466 | |||||||
Other Assets in Excess of | 2,961,392 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 260,511,858 | ||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 45 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
Summary of Investments by Industry, April 30, 2016
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Oil, Gas & Consumable Fuels | 7.4 | % | ||
Diversified Telecommunication Services | 5.7 | |||
Chemicals | 5.5 | |||
Pharmaceuticals | 5.2 | |||
Electric Utilities | 4.5 | |||
Food Products | 3.8 | |||
Real Estate Investment Trusts (REITs) | 3.4 | |||
Media | 3.2 | |||
Health Care Providers & Services | 3.0 | |||
Metals & Mining | 2.9 | |||
Wireless Telecommunication Services | 2.8 | |||
Insurance | 2.4 | |||
Gas Utilities | 2.3 | |||
Semiconductors & Semiconductor Equipment | 2.2 | |||
Commercial Banks | 2.2 | |||
Hotels, Restaurants & Leisure | 2.2 | |||
Household Durables | 2.2 | |||
Electronic Equipment & Instruments | 2.1 | |||
Construction & Engineering | 2.1 | |||
Health Care Equipment & Supplies | 1.9 | |||
Trading Companies & Distributors | 1.9 | |||
Road & Rail | 1.9 | |||
IT Services | 1.6 | |||
Multi-Utilities | 1.5 | |||
Industrial Conglomerates | 1.4 | |||
Specialty Retail | 1.4 | |||
Transportation Infrastructure | 1.3 | |||
Commercial Services & Supplies | 1.2 | |||
Software | 1.2 | |||
Real Estate Management & Development | 1.2 | |||
Food & Staples Retailing | 1.2 | |||
Energy Equipment & Services | 1.0 | |||
Tobacco | 1.0 | |||
Computers & Peripherals | 1.0 | |||
Auto Components | 1.0 | |||
Others (each less than 1.0%) | 13.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Exchange-Traded Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
ADR | AmericanDepositary Receipt | |
AUD | AustralianDollar | |
CHF | SwissFranc | |
DKK | DanishKrone | |
ETF | ExchangeTraded Fund | |
EUR | Euro | |
GBP | BritishPound | |
GDR | GlobalDepositary Receipt | |
HKD | HongKong Dollar | |
JPY | JapaneseYen | |
KRW | KoreanWon | |
MSCI | MorganStanley Capital International | |
NOK | NorwegianKrone | |
NVDR | Non-VotingDepositary Receipt | |
NZD | NewZealand Dollar | |
REIT | RealEstate Investment Trust | |
SEK | SwedishKrona | |
SGD | SingaporeDollar | |
(a) | Non-incomeproducing security. | |
(b) | Investmentin affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
(c) | Non-deliverableforwards. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 47 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2016 (Unaudited)
JPMorgan Diversified Return Emerging Markets Equity ETF | JPMorgan Diversified Return Europe Currency Hedged ETF | JPMorgan Diversified Return Europe Equity ETF | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 26,542,727 | $ | — | $ | 56,612,401 | ||||||
Investments in affiliates, at value | — | 25,230,908 | — | |||||||||
Cash | 126,735 | 176,537 | 66,360 | |||||||||
Restricted cash | — | — | 5,700 | |||||||||
Foreign currency, at value | 56,524 | — | 4,313 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 3,178 | 235,462 | — | |||||||||
Fund shares sold | �� | — | — | 25,918,146 | ||||||||
Dividends from non-affiliates | 28,369 | — | 95,431 | |||||||||
Due from Adviser | — | 18,982 | 16,426 | |||||||||
Deferred offering costs | — | 12,356 | — | |||||||||
Tax reclaims | — | — | 26,628 | |||||||||
Prepaid Expenses | 2,822 | — | — | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 21,174 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 26,760,355 | 25,695,419 | 82,745,405 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 387,820 | — | |||||||||
Investment securities purchased | 3,337 | — | 25,726,742 | |||||||||
Accrued Liabilities: | ||||||||||||
Professional fees | 59,493 | 24,257 | 48,099 | |||||||||
Custodian and Transfer Agent fees | 7,034 | 49 | 11,671 | |||||||||
Advisory fees | 15,025 | — | — | |||||||||
Administrator fees | 1,855 | 633 | 2,195 | |||||||||
Accounting fees | 1,639 | 130 | 452 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1,082 | 1,155 | 1,246 | |||||||||
Other | 6,579 | 8,737 | 9,025 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 96,044 | 422,781 | 25,799,430 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 26,664,311 | $ | 25,272,638 | $ | 56,945,975 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in Capital | $ | 36,796,054 | $ | 25,836,785 | $ | 55,298,612 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 81,312 | (3,652 | ) | 354,971 | ||||||||
Accumulated net realized gains (losses) | (6,789,062 | ) | (2,184 | ) | 138,282 | |||||||
Net unrealized appreciation (depreciation) | (3,423,993 | ) | (558,311 | ) | 1,154,110 | |||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 26,664,311 | $ | 25,272,638 | $ | 56,945,975 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | ||||||||||||
(unlimited number of shares authorized — no par value) | 600,000 | 1,000,000 | 1,100,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 44.44 | $ | 25.27 | $ | 51.77 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 29,967,289 | $ | — | $ | 55,459,603 | ||||||
Cost of investments in affiliates | — | 25,422,573 | — | |||||||||
Cost of foreign currency | 55,945 | — | 4,304 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return Global Equity ETF | JPMorgan Diversified Return International Currency Hedged ETF | JPMorgan Diversified Return International Equity ETF | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 60,129,605 | $ | — | $ | 257,550,466 | ||||||
Investments in affiliates, at value | — | 25,021,932 | — | |||||||||
Cash | 445,112 | 8,646 | 1,376,307 | |||||||||
Restricted cash | — | — | 50,400 | |||||||||
Foreign currency, at value | 127,471 | — | 105,963 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 354,906 | 1,410 | |||||||||
Fund shares sold | — | — | 30,130,029 | |||||||||
Dividends from non-affiliates | 194,076 | — | 891,878 | |||||||||
Due from Adviser | 129,352 | 16,283 | 112,502 | |||||||||
Deferred offering costs | — | 34,781 | — | |||||||||
Tax reclaims | 26,957 | — | 85,028 | |||||||||
Prepaid Expenses | 2,879 | — | 2,360 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 127,674 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 61,055,452 | 25,564,222 | 290,306,343 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 465,055 | — | |||||||||
Investment securities purchased | — | — | 29,579,369 | |||||||||
Accrued Liabilities: | ||||||||||||
Professional fees | 101,536 | 47,711 | 109,043 | |||||||||
Custodian and Transfer Agent fees | 799 | 69 | 54,117 | |||||||||
Administrator fees | 4,223 | 635 | 14,636 | |||||||||
Accounting fees | 1,639 | 131 | 3,013 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2,454 | 1,155 | 9,297 | |||||||||
Other | 8,468 | 5,019 | 25,010 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 119,119 | 519,775 | 29,794,485 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 60,936,333 | $ | 25,044,447 | $ | 260,511,858 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in Capital | $ | 59,685,756 | $ | 25,789,485 | $ | 254,474,159 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 408,850 | (3,659 | ) | 1,612,623 | ||||||||
Accumulated net realized gains (losses) | (1,089,098 | ) | (8,406 | ) | (1,756,362 | ) | ||||||
Net unrealized appreciation (depreciation) | 1,930,825 | (732,973 | ) | 6,181,438 | ||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 60,936,333 | $ | 25,044,447 | $ | 260,511,858 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | ||||||||||||
(unlimited number of shares authorized — no par value) | 1,200,000 | 1,000,000 | 5,200,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 50.78 | $ | 25.04 | $ | 50.10 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 58,208,416 | $ | — | $ | 251,400,615 | ||||||
Cost of investments in affiliates | — | 25,417,524 | — | |||||||||
Cost of foreign currency | 125,046 | — | 105,270 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 49 |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2016 (Unaudited)
JPMorgan Diversified Return Emerging Markets Equity ETF | JPMorgan Diversified Return Europe Currency Hedged ETF (a) | JPMorgan Diversified Return Europe Equity ETF (b) | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 252,826 | $ | — | $ | 439,903 | ||||||
Interest income from affiliates | 225 | — | 2 | |||||||||
Foreign taxes withheld | (20,859 | ) | — | (48,542 | ) | |||||||
|
|
|
|
|
| |||||||
Total Investment Income | 232,192 | — | 391,363 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 63,632 | 2,459 | 24,747 | |||||||||
Administration fees (Note 3.B) | 12,293 | 633 | 7,012 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 14,122 | 1,155 | 3,411 | |||||||||
Professional fees | 80,887 | 8,339 | 55,122 | |||||||||
Printing and mailing costs | 2,948 | 1,238 | 3,755 | |||||||||
Custodian and Transfer Agent fees | 54,882 | 78 | 42,015 | |||||||||
Registration and filing fees | 86 | 187 | 443 | |||||||||
Interest expense from affiliates | 75 | — | 6 | |||||||||
Insurance expense | 9,692 | 621 | 560 | |||||||||
Offering costs | 3,506 | 3,562 | 6,131 | |||||||||
Accounting fees | 7,360 | 130 | 1,444 | |||||||||
Other | 43,433 | 3,129 | 13,110 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 292,916 | 21,531 | 157,756 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.D) | (75,925 | ) | (3,092 | ) | (31,759 | ) | ||||||
Less expense reimbursements from affiliates (Note 3.D) | (137,217 | ) | (14,787 | ) | (73,423 | ) | ||||||
Less expense reimbursements from non-affiliates (Note 3.C) | (14,700 | ) | — | (17,100 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 65,074 | 3,652 | 35,474 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 167,118 | (3,652 | ) | 355,889 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | (4,124,067 | ) | — | 137,763 | ||||||||
Investments in affiliates | — | (2,184 | ) | — | ||||||||
Futures | 13,768 | — | — | |||||||||
Foreign currency translations | 13,346 | — | 519 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (4,096,953 | ) | (2,184 | ) | 138,282 | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 2,701,862 | — | 1,152,798 | |||||||||
Investments in affiliates | — | (191,665 | ) | — | ||||||||
Foreign currency translations | 2,534 | (366,646 | ) | 1,312 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 2,704,396 | (558,311 | ) | 1,154,110 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (1,392,557 | ) | (560,495 | ) | 1,292,392 | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (1,225,439 | ) | $ | (564,147 | ) | $ | 1,648,281 | ||||
|
|
|
|
|
|
(a) | Commencement of operations was April 1, 2016. |
(b) | Commencement of operations was December 18, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return Global Equity ETF | JPMorgan Diversified Return International Currency Hedged ETF (a) | JPMorgan Diversified Return International Equity ETF | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 833,601 | $ | — | $ | 2,463,324 | ||||||
Interest income from affiliates | 51 | — | 142 | |||||||||
Foreign taxes withheld | (75,310 | ) | — | (235,191 | ) | |||||||
|
|
|
|
|
| |||||||
Total Investment Income | 758,342 | — | 2,228,275 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 66,142 | 2,016 | 166,463 | |||||||||
Administration fees (Note 3.B) | 23,425 | 635 | 58,956 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 23,263 | 1,155 | 52,400 | |||||||||
Professional fees | 99,381 | 8,339 | 177,746 | |||||||||
Printing and mailing costs | 5,940 | 1,238 | 14,406 | |||||||||
Custodian and Transfer Agent fees | 24,406 | 72 | 124,209 | |||||||||
Registration and filing fees | 240 | 31 | 1,870 | |||||||||
Interest expense from affiliates | 68 | — | 45 | |||||||||
Insurance expense | 19,790 | 621 | 30,770 | |||||||||
Offering costs | — | 4,591 | 223 | |||||||||
Accounting fees | 9,954 | 131 | 12,698 | |||||||||
Other | 41,081 | 3,129 | 54,893 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 313,690 | 21,958 | 694,679 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.D) | (89,567 | ) | (2,651 | ) | (225,418 | ) | ||||||
Less expense reimbursements from affiliates (Note 3.D) | (103,998 | ) | (15,648 | ) | (63,019 | ) | ||||||
Less expense reimbursements from non-affiliates (Note 3.C) | (15,400 | ) | — | (108,000 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 104,725 | 3,659 | 298,242 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 653,617 | (3,659 | ) | 1,930,033 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | (733,314 | ) | — | (1,565,398 | ) | |||||||
Investments in affiliates | — | (8,406 | ) | — | ||||||||
Foreign currency translations | 13,681 | — | 1,720 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (719,633 | ) | (8,406 | ) | (1,563,678 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 2,040,843 | — | 6,457,911 | |||||||||
Investments in affiliates | — | (395,592 | ) | — | ||||||||
Foreign currency translations | 10,662 | (337,381 | ) | 36,025 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 2,051,505 | (732,973 | ) | 6,493,936 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 1,331,872 | (741,379 | ) | 4,930,258 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,985,489 | $ | (745,038 | ) | $ | 6,860,291 | |||||
|
|
|
|
|
|
(a) | Commencement of operations was April 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 51 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Diversified Return Emerging Markets Equity ETF | JPMorgan Diversified Return Europe Currency Hedged ETF | |||||||||||
Period Ended April 30, 2016 (Unaudited) | Period Ended October 31, 2015 (a) | Period Ended April 30, 2016 (b) (Unaudited) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||
Net investment income (loss) | $ | 167,118 | $ | 980,553 | $ | (3,652 | ) | |||||
Net realized gain (loss) | (4,096,953 | ) | (3,629,485 | ) | (2,184 | ) | ||||||
Change in net unrealized appreciation/depreciation | 2,704,396 | (6,128,389 | ) | (558,311 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | (1,225,439 | ) | (8,777,321 | ) | (564,147 | ) | ||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
From net investment income | (1,050,481 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | (1,050,481 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets resulting from capital transactions | (7,245,443 | ) | 44,962,995 | 25,836,785 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | (9,521,363 | ) | 36,185,674 | 25,272,638 | ||||||||
Beginning of period | 36,185,674 | — | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 26,664,311 | $ | 36,185,674 | $ | 25,272,638 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 81,312 | $ | 964,675 | $ | (3,652 | ) | |||||
|
|
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||
Proceeds from shares issued | $ | — | $ | 58,386,392 | $ | 25,836,785 | ||||||
Cost of shares redeemed | (7,245,443 | ) | (13,423,397 | ) | — | |||||||
|
|
|
|
|
| |||||||
Total change in net assets resulting from capital transactions | $ | (7,245,443 | ) | $ | 44,962,995 | $ | 25,836,785 | |||||
|
|
|
|
|
| |||||||
SHARE TRANSACTIONS: | ||||||||||||
Issued | — | 1,100,000 | 1,000,000 | |||||||||
Redeemed | (200,000 | ) | (300,000 | ) | — | |||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in shares from share transactions | (200,000 | ) | 800,000 | 1,000,000 | ||||||||
|
|
|
|
|
|
(a) | Commencement of operations was January 7, 2015. |
(b) | Commencement of operations was April 1, 2016. |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return Europe Equity ETF | JPMorgan Diversified Return Global Equity ETF | |||||||||||
Period Ended April 30, 2016 (a) (Unaudited) | Period Ended April 30, 2016 (Unaudited) | Year ended October 31, 2015 | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||
Net investment income (loss) | $ | 355,889 | $ | 653,617 | $ | 964,790 | ||||||
Net realized gain (loss) | 138,282 | (719,633 | ) | (286,219 | ) | |||||||
Change in net unrealized appreciation/depreciation | 1,154,110 | 2,051,505 | 257,942 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | 1,648,281 | 1,985,489 | 936,513 | |||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
From net investment income | (918 | ) | (1,057,128 | ) | (288,042 | ) | ||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | (918 | ) | (1,057,128 | ) | (288,042 | ) | ||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets resulting from capital transactions | 55,298,612 | 9,477,938 | 25,034,796 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | 56,945,975 | 10,406,299 | 25,683,267 | |||||||||
Beginning of period | — | 50,530,034 | 24,846,767 | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 56,945,975 | $ | 60,936,333 | $ | 50,530,034 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (Distributions in excess of) net investment income | $ | 354,971 | $ | 408,850 | $ | 812,361 | ||||||
|
|
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||
Proceeds from shares issued | $ | 55,298,612 | $ | 9,477,938 | $ | 25,034,796 | ||||||
|
|
|
|
|
| |||||||
Total change in net assets resulting from capital transactions | $ | 55,298,612 | $ | 9,477,938 | $ | 25,034,796 | ||||||
|
|
|
|
|
| |||||||
SHARE TRANSACTIONS: | ||||||||||||
Issued | 1,100,000 | 200,000 | 500,000 | |||||||||
|
|
|
|
|
| |||||||
Net increase in shares from share transactions | 1,100,000 | 200,000 | 500,000 | |||||||||
|
|
|
|
|
|
(a) | Commencement of operations was December 18, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 53 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Diversified Return International Currency Hedged ETF | JPMorgan Diversified Return International Equity ETF | |||||||||||
Period Ended April 30, 2016 (a) (Unaudited) | Period Ended April 30, 2016 (Unaudited) | Period Ended October 31, 2015 (b) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||
Net investment income (loss) | $ | (3,659 | ) | $ | 1,930,033 | $ | 1,875,555 | |||||
Net realized gain (loss) | (8,406 | ) | (1,563,678 | ) | (187,378 | ) | ||||||
Change in net unrealized appreciation/depreciation | (732,973 | ) | 6,493,936 | (312,498 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | (745,038 | ) | 6,860,291 | 1,375,679 | ||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
From net investment income | — | (2,154,090 | ) | (44,215 | ) | |||||||
|
|
|
|
|
| |||||||
Total Distributions to Shareholders | — | (2,154,090 | ) | (44,215 | ) | |||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets resulting from capital transactions | 25,789,485 | 163,692,050 | 90,782,143 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | 25,044,447 | 168,398,251 | 92,113,607 | |||||||||
Beginning of period | — | 92,113,607 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 25,044,447 | $ | 260,511,858 | $ | 92,113,607 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (3,659 | ) | $ | 1,612,623 | $ | 1,836,680 | |||||
|
|
|
|
|
| |||||||
CAPITAL SHARE TRANSACTIONS: | ||||||||||||
Proceeds from shares issued | $ | 25,789,485 | $ | 163,692,050 | $ | 90,782,143 | ||||||
|
|
|
|
|
| |||||||
Total change in net assets resulting from capital transactions | $ | 25,789,485 | $ | 163,692,050 | $ | 90,782,143 | ||||||
|
|
|
|
|
| |||||||
SHARE TRANSACTIONS: | ||||||||||||
Issued | 1,000,000 | 3,400,000 | 1,800,000 | |||||||||
|
|
|
|
|
| |||||||
Net increase in shares from share transactions | 1,000,000 | 3,400,000 | 1,800,000 | |||||||||
|
|
|
|
|
|
(a) | Commencement of operations was April 1, 2016. |
(b) | Commencement of operations was November 5, 2014. |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 55 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net asset value, end of period | Market price, end of period | ||||||||||||||||||||||
JPMorgan Diversified Return Emerging Markets Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2016 (Unaudited) | $ | 45.23 | $ | 0.24 | $ | 0.28 | $ | 0.52 | $ | (1.31 | ) | $ | 44.44 | $ | 44.14 | |||||||||||||
January 7, 2015 (a) through October 31, 2015 | 50.00 | 1.29 | (6.06 | ) | (4.77 | ) | — | 45.23 | 45.27 | |||||||||||||||||||
JPMorgan Diversified Return Europe Currency Hedged ETF | ||||||||||||||||||||||||||||
April 1, 2016 (a) through April 30, 2016 (Unaudited) | 25.00 | (0.01 | ) | 0.28 | 0.27 | — | 25.27 | 25.27 | ||||||||||||||||||||
JPMorgan Diversified Return Europe Equity ETF | ||||||||||||||||||||||||||||
December 18, 2015 (a) through April 30, 2016 (Unaudited) | 50.00 | 0.79 | 0.98 | 1.77 | — | 51.77 | 51.79 | |||||||||||||||||||||
JPMorgan Diversified Return Global Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2016 (Unaudited) | 50.53 | 0.58 | 0.63 | 1.21 | (0.96 | ) | 50.78 | 50.78 | ||||||||||||||||||||
Year ended October 31, 2015 | 49.69 | 1.08 | 0.08 | (i) | 1.16 | (0.32 | ) | 50.53 | 50.67 | |||||||||||||||||||
June 16, 2014 (a) through October 31, 2014 | 50.00 | 0.38 | (0.69 | ) | (0.31 | ) | — | 49.69 | 50.09 | |||||||||||||||||||
JPMorgan Diversified Return International Currency Hedged ETF | ||||||||||||||||||||||||||||
April 1, 2016 (a) through April 30, 2016 (Unaudited) | 25.00 | (0.01 | ) | 0.05 | 0.04 | — | 25.04 | 25.07 | ||||||||||||||||||||
JPMorgan Diversified Return International Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2016 (Unaudited) | 51.17 | 0.67 | (0.66 | ) | 0.01 | (1.08 | ) | 50.10 | 50.03 | |||||||||||||||||||
November 5, 2014 (a) October 31, 2015 | 50.00 | 1.39 | (0.07 | ) | 1.32 | (0.15 | ) | 51.17 | 51.05 |
(a) | Commencement of operations. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Market price total return is calculated assuming an initial investment made at the beginning of the period market price, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The market price presented to calculate the market price total return is the mid-point of the bid/ask spread at the close of business on the NYSE Arca, Inc. |
(f) | Annualized for periods less than one year, unless otherwise indicated. |
(g) | Certain non-recurring expenses incurred by the Fund were not annualized for the periods indicated. |
(h) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from the numerator are amounts relating to in-kind transactions. |
(i) | Calculation of the net realized and unrealized gains (losses) per share do not correlate with the Fund’s net realized and unrealized gains (losses) presented on the Statements of Operations due to timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
(j) | Amount rounds to less than 0.1%. |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (f) | ||||||||||||||||||||||||||
Total return (c)(d) | Market | Net assets, end of period | Net expenses (g) | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c)(h) | ||||||||||||||||||||
1.35 | % | 0.60 | % | $ | 26,664,311 | 0.45 | % | 1.16 | % | 2.03 | %(g) | 19 | % | |||||||||||||
(9.54 | ) | (9.46 | ) | 36,185,674 | 0.45 | 3.18 | 2.07 | (g) | 46 | |||||||||||||||||
1.08 | 1.08 | 25,272,638 | 0.49 | (0.49 | ) | 2.89 | (g) | — | (j) | |||||||||||||||||
3.55 | 3.59 | 56,945,975 | 0.43 | 4.35 | 1.93 | (g) | 6 | |||||||||||||||||||
2.46 | 2.16 | 60,936,333 | 0.38 | 2.37 | 1.14 | (g) | 10 | |||||||||||||||||||
2.36 | 1.82 | 50,530,034 | 0.38 | 2.16 | 1.52 | 18 | ||||||||||||||||||||
(0.62 | ) | 0.18 | 24,846,767 | 0.38 | 2.01 | 5.19 | (g) | 14 | ||||||||||||||||||
0.20 | 0.28 | 25,044,447 | 0.49 | (0.49 | ) | 2.94 | (g) | — | (j) | |||||||||||||||||
0.05 | 0.13 | 260,511,858 | 0.43 | 2.78 | 1.00 | (g) | 13 | |||||||||||||||||||
2.65 | 2.40 | 92,113,607 | 0.43 | 2.72 | 1.33 | (g) | 20 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 57 |
AS OF APRIL 30, 2016 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-ended management investment company.
The following are 6 separate funds of the Trust (collectively, the “Funds”) covered in this report:
Diversified/Non-Diversified | ||
JPMorgan Diversified Return Emerging Markets Equity ETF | Diversified | |
JPMorgan Diversified Return Europe Currency Hedged ETF | Diversified | |
JPMorgan Diversified Return Europe Equity ETF | Diversified | |
JPMorgan Diversified Return Global Equity ETF | Diversified | |
JPMorgan Diversified Return International Currency Hedged ETF | Diversified | |
JPMorgan Diversified Return International Equity ETF | Diversified |
The JPMorgan Diversified Return Emerging Markets Equity ETF (the “Emerging Markets Equity ETF”) commenced operations on January 7, 2015. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the FTSE Emerging Diversified Factor Index.
The JPMorgan Diversified Return Europe Currency Hedged ETF (the “Europe Currency Hedged ETF”) commenced operations as of April 1, 2016. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed Europe Diversified Factor 100% Hedged to USD Index.
The JPMorgan Diversified Return Europe Equity ETF (the “Europe Equity ETF”) commenced operations as of December 18, 2015. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed Europe Diversified Factor Index.
The JPMorgan Diversified Return Global Equity ETF (the “Global Equity ETF”) commenced operations as of June 16, 2014. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed Diversified Factor Index.
The JPMorgan Diversified Return International Currency Hedged ETF (the “International Currency Hedged ETF”) commenced operations as of April 1, 2016. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed ex North America Diversified Factor 100% Hedged to USD Index.
The JPMorgan Diversified Return International Equity ETF (the “International Equity ETF”) commenced operations as of November 5, 2014. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the FTSE Developed ex North America Diversified Factor Index.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as the Adviser (“Adviser”) and Administrator (the “Administrator”) to the Funds. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Funds’ administrator. Effective April 1, 2016, JPMFM merged into JPMIM and JPMIM, became the Funds’ administrator under the Administration Agreement.
Shares of each Fund are listed and traded on the NYSE Arca, Inc. Market prices for the Funds’ shares may be different from their net asset value (“NAV”). The Funds issue and redeem their shares on a continuous basis, through SEI Investments Distribution Co. (the “Distributor” or “SIDCO”), at NAV in large blocks of shares, typically 100,000 shares for all funds, except for the Europe Currency Hedged ETF and the International Currency Hedged ETF which trade in blocks of 50,000 shares, referred to as “Creation Units.” Creation Units are issued and redeemed principally in-kind for a basket of securities and a cash amount (except for the Emerging Markets Equity ETF, whose shares are created and redeemed partially in cash). Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Funds (each, an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of the U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described
58 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices, and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include 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. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the 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. 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.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the NAV of the Funds are calculated on a valuation date. Certain foreign equity instruments, including investments with equity reference obligations, are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post-closing, but prior to the time the NAVs are calculated.
Swaps and other derivatives are valued utilizing market quotations from approved Pricing Services.
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 valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ 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 the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments:
Emerging Markets Equity ETF | ||||||||||||||||
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 1,165,286 | $ | — | $ | — | $ | 1,165,286 | ||||||||
Chile | 504,346 | — | — | 504,346 | ||||||||||||
China | 8,674 | 5,297,270 | — | 5,305,944 | ||||||||||||
Colombia | 40,814 | — | — | 40,814 | ||||||||||||
Czech Republic | — | 77,025 | — | 77,025 | ||||||||||||
Egypt | 51,636 | — | — | 51,636 | ||||||||||||
Greece | 16,798 | 85,935 | — | 102,733 | ||||||||||||
Hungary | — | 129,506 | — | 129,506 | ||||||||||||
Indonesia | — | 1,346,533 | — | 1,346,533 | ||||||||||||
Malaysia | 340,853 | 1,217,750 | — | 1,558,603 | ||||||||||||
Mexico | 1,582,400 | — | — | 1,582,400 | ||||||||||||
Philippines | — | 804,005 | — | 804,005 | ||||||||||||
Poland | 19,434 | 359,242 | — | 378,676 | ||||||||||||
Russia | 38,562 | 1,463,877 | — | 1,502,439 |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 59 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
Emerging Markets Equity ETF (continued) | ||||||||||||||||
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
South Africa | $ | 120,158 | $ | 2,033,833 | $ | — | $ | 2,153,991 | ||||||||
Taiwan | — | 4,819,076 | — | 4,819,076 | ||||||||||||
Thailand | — | 898,904 | — | 898,904 | ||||||||||||
Turkey | 4,694 | 604,536 | — | 609,230 | ||||||||||||
United Arab Emirates | 149,917 | 191,915 | — | 341,832 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 4,043,572 | 19,329,407 | — | 23,372,979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Exchange Traded Fund | ||||||||||||||||
India | 2,269,495 | — | — | 2,269,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Exchange Traded Fund | 2,269,495 | — | — | 2,269,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 706,703 | — | — | 706,703 | ||||||||||||
Chile | 23,996 | — | — | 23,996 | ||||||||||||
Colombia | 52,803 | — | — | 52,803 | ||||||||||||
Russia | — | 116,751 | — | 116,751 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | 783,502 | 116,751 | — | 900,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 7,096,569 | $ | 19,446,158 | $ | — | $ | 26,542,727 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 2 to level 1 in the amount of $2,891,441 are due to the non-application of fair value factors to certain securities as of April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Europe Currency Hedged ETF
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | $ | 25,230,908 | $ | — | $ | — | $ | 25,230,908 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 21,174 | $ | — | $ | 21,174 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 387,820 | $ | — | $ | 387,820 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among any levels during the period ended April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Europe Equity ETF | ||||||||||||||||
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | — | $ | 529,258 | $ | — | $ | 529,258 | ||||||||
Belgium | — | 1,486,755 | — | 1,486,755 | ||||||||||||
Denmark | — | 1,632,168 | — | 1,632,168 | ||||||||||||
Finland | — | 2,294,170 | — | 2,294,170 | ||||||||||||
France | — | 8,266,081 | — | 8,266,081 | ||||||||||||
Germany | — | 6,173,945 | — | 6,173,945 | ||||||||||||
Ireland | 89,045 | 154,765 | — | 243,810 | ||||||||||||
Italy | — | 1,720,636 | — | 1,720,636 | ||||||||||||
Luxembourg | — | 226,757 | — | 226,757 | ||||||||||||
Netherlands | 212,534 | 2,412,984 | — | 2,625,518 | ||||||||||||
Norway | — | 1,177,803 | — | 1,177,803 | ||||||||||||
Portugal | — | 491,377 | — | 491,377 | ||||||||||||
Spain | — | 4,266,914 | — | 4,266,914 |
60 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
Europe Equity ETF (continued) | ||||||||||||||||
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Sweden | $ | — | $ | 4,132,808 | $ | — | $ | 4,132,808 | ||||||||
Switzerland | — | 6,388,768 | — | 6,388,768 | ||||||||||||
United Kingdom | — | 14,510,934 | — | 14,510,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 301,579 | 55,866,123 | — | 56,167,702 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Germany | — | 444,699 | — | 444,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Preferred Stocks | — | 444,699 | — | 444,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 301,579 | $ | 56,310,822 | $ | — | $ | 56,612,401 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among any levels during the period ended April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Global Equity ETF
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 5,605,848 | $ | — | $ | 5,605,848 | ||||||||
Austria | — | 129,990 | — | 129,990 | ||||||||||||
Belgium | — | 563,682 | — | 563,682 | ||||||||||||
Canada | 1,566,856 | — | — | 1,566,856 | ||||||||||||
Denmark | — | 484,486 | — | 484,486 | ||||||||||||
Finland | — | 490,140 | — | 490,140 | ||||||||||||
France | — | 2,496,228 | — | 2,496,228 | ||||||||||||
Germany | — | 1,684,169 | — | 1,684,169 | ||||||||||||
Hong Kong | — | 2,430,031 | — | 2,430,031 | ||||||||||||
Israel | 148,172 | — | — | 148,172 | ||||||||||||
Italy | 79,965 | 395,015 | — | 474,980 | ||||||||||||
Japan | 77,053 | 12,781,784 | — | 12,858,837 | ||||||||||||
Netherlands | — | 843,298 | — | 843,298 | ||||||||||||
New Zealand | — | 243,872 | — | 243,872 | ||||||||||||
Norway | — | 626,599 | — | 626,599 | ||||||||||||
Portugal | — | 125,039 | — | 125,039 | ||||||||||||
Singapore | — | 1,516,488 | — | 1,516,488 | ||||||||||||
South Korea | — | 5,636,550 | — | 5,636,550 | ||||||||||||
Spain | — | 1,309,643 | — | 1,309,643 | ||||||||||||
Sweden | 166,559 | 1,537,920 | — | 1,704,479 | ||||||||||||
Switzerland | 131,087 | 1,111,367 | — | 1,242,454 | ||||||||||||
United Kingdom | — | 2,469,809 | — | 2,469,809 | ||||||||||||
United States | 15,477,955 | — | — | 15,477,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 17,647,647 | 42,481,958 | — | 60,129,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 17,647,647 | $ | 42,481,958 | $ | — | $ | 60,129,605 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 2 to level 1 in the amount of $1,887,852 are due to the non-application of fair value factors to certain securities as of April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 61 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
International Currency Hedged ETF
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | $ | 25,021,932 | $ | — | $ | — | $ | 25,021,932 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 127,674 | $ | — | $ | 127,674 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 465,055 | $ | — | $ | 465,055 | ||||||||
|
|
|
|
|
|
|
|
There were no significant transfers among any levels during the period ended April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
International Equity ETF
Level 1 Quoted Prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 22,515,630 | $ | — | $ | 22,515,630 | ||||||||
Austria | — | 1,314,282 | — | 1,314,282 | ||||||||||||
Belgium | — | 2,887,381 | — | 2,887,381 | ||||||||||||
Denmark | — | 3,772,146 | — | 3,772,146 | ||||||||||||
Finland | — | 4,312,227 | — | 4,312,227 | ||||||||||||
France | — | 12,840,862 | — | 12,840,862 | ||||||||||||
Germany | — | 10,197,310 | — | 10,197,310 | ||||||||||||
Hong Kong | — | 13,145,553 | — | 13,145,553 | ||||||||||||
Ireland | — | 870,239 | — | 870,239 | ||||||||||||
Italy | 576,995 | 2,496,157 | — | 3,073,152 | ||||||||||||
Japan | 775,824 | 61,694,520 | — | 62,470,344 | ||||||||||||
Luxembourg | — | 151,476 | — | 151,476 | ||||||||||||
Netherlands | — | 6,786,195 | — | 6,786,195 | ||||||||||||
New Zealand | — | 1,753,555 | — | 1,753,555 | ||||||||||||
Norway | — | 3,409,921 | — | 3,409,921 | ||||||||||||
Portugal | — | 1,465,638 | — | 1,465,638 | ||||||||||||
Singapore | — | 7,636,010 | — | 7,636,010 | ||||||||||||
South Korea | 669,509 | 23,525,904 | — | 24,195,413 | ||||||||||||
Spain | 87,446 | 5,636,396 | — | 5,723,842 | ||||||||||||
Sweden | — | 6,885,059 | — | 6,885,059 | ||||||||||||
Switzerland | — | 5,375,244 | — | 5,375,244 | ||||||||||||
United Kingdom | — | 56,768,987 | — | 56,768,987 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 2,109,774 | 255,440,692 | — | 257,550,466 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 2,109,774 | $ | 255,440,692 | $ | — | $ | 257,550,466 | ||||||||
|
|
|
|
|
|
|
|
Transfers from level 2 to level 1 in the amount of $6,618,443 are due to the non-application of fair value factors to certain securities as of April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds. As of April 30, 2016, the Funds had no investments in restricted securities other than securities sold to the Funds under rule 144A and/or Regulation S under the Securities Act.
C. Forward Foreign Currency Exchange Contracts — The Europe Currency Hedged ETF and International Currency Hedged ETF may be exposed to foreign currency risks associated with portfolio investments and therefore used forward foreign currency exchange contracts to hedge or manage these exposures. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are
62 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollar without the delivery of foreign currency.
The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.
The Funds’ forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions). As of April 30, 2016, the Funds did not receive or post collateral for forward foreign currency exchange contracts.
D. Summary of Derivatives Information
The following table presents the value of derivatives held as of April 30, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
Europe Currency Hedged ETF
Derivative Contracts | Statements of Assets and Liabilities | |||||
Gross Assets: | Forward Foreign Currency Exchange Contracts | |||||
Foreign exchange contracts | Receivables | $ | 21,174 | |||
|
| |||||
Gross Liabilities: | ||||||
Foreign exchange contracts | Payables | $ | (387,820 | ) | ||
|
|
The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of April 30, 2016.
Counterparty | Gross Amount of Derivative Assets Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due To Counterparty (not Less than zero) | ||||||||||||
Goldman Sachs | $ | 21,174 | $ | (21,174 | ) | $ | — | $ | — |
Counterparty | Gross Amount of Derivative Liabilities Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due To Counterparty (not Less than zero) | ||||||||||||
Goldman Sachs | $ | 387,820 | $ | (21,174 | ) | $ | — | $ | 366,646 |
(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
The following table presents the value of derivatives held as of April 30, 2016, by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
International Currency Hedged ETF
Derivative Contracts | Statements of Assets and Liabilities | |||||
Gross Assets: | Forward Foreign Currency Exchange Contracts | |||||
Foreign exchange contracts | Receivables | $ | 127,674 | |||
|
| |||||
Gross Liabilities: | ||||||
Foreign exchange contracts | Payables | $ | (465,055 | ) | ||
|
|
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 63 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
The following table presents the Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of April 30, 2016.
Counterparty | Gross Amount of Derivative Assets Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due To Counterparty (not Less than zero) | ||||||||||||
Goldman Sachs | $ | 127,674 | $ | (127,674 | ) | $ | — | $ | — |
Counterparty | Gross Amount of Derivative Liabilities Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due To Counterparty (not Less than zero) | ||||||||||||
Goldman Sachs | $ | 465,055 | $ | (127,674 | ) | $ | — | $ | 337,381 |
(a) | For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statements of Assets and Liabilities. |
The following tables present the effect of derivatives on the Statements of Operations for the period ended April 30, 2016, by primary underlying risk exposure:
Europe Currency Hedged ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | — | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | (366,646 | ) | |
|
|
The following tables present the effect of derivatives on the Statements of Operations for the period ended April 30, 2016, by primary underlying risk exposure:
International Currency Hedged ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | — | ||
|
|
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | (337,381 | ) | |
|
|
64 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
Derivatives Volume
The table below discloses the volume of the Fund’s forward foreign currency contracts activity for the period April 1, 2016 (commencement of operations) through April 30, 2016. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Europe Currency Hedged ETF | International Currency Hedged ETF | |||||||
Forward Foreign Currency Exchange Contracts: | ||||||||
Average Settlement Value Purchased | $ | 25,524,784 | $ | 26,264,064 | ||||
Average Settlement Value Sold | 50,628,862 | 51,132,664 | ||||||
Ending Value Purchased | 25,524,784 | 26,264,064 | ||||||
Ending Value Sold | 50,628,862 | 51,132,664 |
The Funds’ derivatives contracts held at April 30, 2016, are not accounted for as hedging instruments under GAAP.
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in the foreign exchange rates from changes in the market prices of securities held. Accordingly, such changes are included within Change in net unrealized appreciation/deprecation on investments on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and withholding taxes recorded on the Funds’ books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. The reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statement of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statement of Operations.
F. Investment Transactions with Affiliates — Europe Currency Hedged ETF and International Currency Hedged ETF invest in Underlying Funds advised by the Adviser or its affiliates pursuant to Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the following to be affiliated issuers. Included in the Realized Gain (Loss) amounts in the table below are distributions of realized capital gains, if any, received from the Underlying Funds:
For the period ended April 30, 2016 | ||||||||||||||||||||||||||||
Affiliate | Value at April 1, 2016 | Purchase Cost | Sales Proceeds | Realized Gain/(Loss) | Dividend Income | Shares at April 30, 2016 | Value at April 30, 2016 | |||||||||||||||||||||
Europe Currency Hedged ETF | ||||||||||||||||||||||||||||
JPMorgan Diversified Return Europe Equity ETF | $ | — | $ | 25,660,219 | $ | 235,462 | $ | (2,184 | ) | $ | — | 487,260 | $ | 25,230,908 | ||||||||||||||
International Currency Hedged ETF | ||||||||||||||||||||||||||||
JPMorgan Diversified Return International Equity ETF | — | 25,871,076 | 445,147 | (8,406 | ) | — | 499,739 | 25,021,932 |
G. Offering and Organizational Costs — Total offering costs incurred in connection with the offering of shares of each Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Trust, if any, were recorded as an expense at the time the Fund commenced operations. Approximate offering costs incurred by the Funds were as follows:
Emerging Markets Equity ETF | $ | 3,506 | ||
Europe Currency Hedged ETF | 15,918 | |||
Europe Equity ETF | 6,131 | |||
International Currency Hedged ETF | 39,372 | |||
International Equity ETF | 223 |
For the period ended April 30, 2016, total offering costs amortized were as follows:
Emerging Markets Equity ETF | $ | 3,506 | ||
Europe Currency Hedged ETF | 3,562 | |||
Europe Equity ETF | 6,131 | |||
International Currency Hedged ETF | 4,591 | |||
International Equity ETF | 223 |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 65 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
H. 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, is recorded on the ex-dividend date or when a fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned 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 the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
I. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.
J. 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 shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined as of April 30, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s 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 Funds’ Federal tax returns for the prior three fiscal years, or since inception if shorter, remains subject to examination by the Internal Revenue Service.
K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid annually. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser supervises the investments of each Fund and 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:
Emerging Markets Equity ETF | 0.44 | % | ||
Europe Currency Hedged ETF | 0.33 | % | ||
Europe Equity ETF | 0.30 | % | ||
Global Equity ETF | 0.24 | % | ||
International Currency Hedged ETF | 0.27 | % | ||
International Equity ETF | 0.24 | % |
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.D.
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 accrued daily and paid monthly at an annual rate of 0.085% of the average daily net assets of each Fund in the Trust covered by the Administration Agreement.
The Administrator waived administration fees as authorized in Note 3.D.
C. Custodian and Transfer Agent Fees — JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, provides portfolio custody and transfer agency services to the Funds. The amounts paid directly to JPMCB by the Funds for custody services are included in the Custodian and Transfer Agent fees on the Statements of Operations. With respect to the transfer agency services provided by JPMCB for each creation or redemption transaction, the Authorized Participant will generally be responsible for such associated expenses; during the period, the Funds paid no transfer agency fees to JPMCB.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Funds for these transactions.
66 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
For the period ended April 30, 2016, the transaction fees paid by the Authorized Participants that were used to reimburse custodian fees were as follows:
Emerging Markets Equity ETF | $ | 14,700 | ||
Europe Currency Hedged ETF | — | |||
Europe Equity ETF | 17,100 | |||
Global Equity ETF | 15,400 | |||
International Currency Hedged ETF | — | |||
International Equity ETF | 108,000 |
Restricted cash on the Statement of Assets and Liabilities is cash received from Authorized Participants for the reimbursement of creation and/or redemption of Fund shares.
Interest income, earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
D. Waivers and Reimbursements — The Adviser has 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, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the below table:
Expense Cap | ||||
Emerging Markets Equity ETF | 0.45 | % | ||
Europe Currency Hedged ETF | 0.49 | % | ||
Europe Equity ETF | 0.43 | % | ||
Global Equity ETF | 0.38 | % | ||
International Currency Hedged ETF | 0.49 | % | ||
International Equity ETF | 0.43 | % |
The expense limitation agreements were in effect for the period ended April 30, 2016. The contractual expense limitation percentages in the table above are in place until at least February 28, 2019.
For the period ended April 30, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each Fund as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Total | Contractual Reimbursements | |||||||||||||
Emerging Markets Equity ETF | $ | 63,632 | $ | 12,293 | $ | 75,925 | $ | 151,917 | ||||||||
Europe Currency Hedged ETF | 2,459 | 633 | 3,092 | 14,787 | ||||||||||||
Europe Equity ETF | 24,747 | 7,012 | 31,759 | 90,523 | ||||||||||||
Global Equity ETF | 66,142 | 23,425 | 89,567 | 119,398 | ||||||||||||
International Currency Hedged ETF | 2,016 | 635 | 2,651 | 15,648 | ||||||||||||
International Equity ETF | 166,463 | 58,956 | 225,419 | 171,019 |
Contractual reimbursements include reimbursements outlined in Note 3.C.
E. Other — Certain officers of the Trust are affiliated with the Adviser. 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. The Funds, along with other affiliated funds, make 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 Funds’ Statements of Operations.
During the period ended April 30, 2016, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 67 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
4. Investment Transactions
During the period ended April 30, 2016, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Emerging Markets Equity ETF | $ | 5,437,611 | $ | 8,931,004 | ||||
Europe Currency Hedged ETF | 12,625 | 235,462 | ||||||
Europe Equity ETF | 2,210,342 | 1,486,296 | ||||||
Global Equity ETF | 5,834,166 | 5,694,839 | ||||||
International Currency Hedged ETF | 24,139 | 445,147 | ||||||
International Equity ETF | 33,445,158 | 18,749,160 |
During the period ended April 30, 2016, there were no purchases or sales of U.S. Government securities.
For the period ended April 30, 2016, in-kind transactions associated with creations and redemptions were:
In-Kind Purchases | In-Kind Sales | Realized gain (loss) | ||||||||||
Emerging Markets Equity ETF | $ | — | $ | 4,464,473 | $ | (1,357,504 | ) | |||||
Europe Currency Hedged ETF | 25,647,594 | — | — | |||||||||
Europe Equity ETF | 54,597,795 | — | — | |||||||||
Global Equity ETF | 8,474,181 | — | — | |||||||||
International Currency Hedged ETF | 25,846,937 | — | — | |||||||||
International Equity ETF | 146,369,734 | — | — |
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at April 30, 2016 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||||
Emerging Markets Equity ETF | $ | 29,967,289 | $ | 788,669 | $ | (4,213,231 | ) | $ | (3,424,562 | ) | ||||||
Europe Currency Hedged ETF | 25,422,573 | — | (191,665 | ) | (191,665 | ) | ||||||||||
Europe Equity ETF | 55,459,603 | 1,633,158 | (480,360 | ) | 1,152,798 | |||||||||||
Global Equity ETF | 58,208,416 | 5,462,843 | (3,541,654 | ) | 1,921,189 | |||||||||||
International Currency Hedged ETF | 25,417,524 | — | (395,592 | ) | (395,592 | ) | ||||||||||
International Equity ETF | 251,400,615 | 11,976,686 | (5,826,835 | ) | 6,149,851 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in passive foreign investment companies, wash sale loss deferrals and investments in real estate investment trusts.
As of October 31, 2015, the Funds had net capital loss carryforwards, with no expiration dates, as follows:
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
Emerging Markets Equity ETF | $ | (2,593,357 | ) | $ | — | |||
Global Equity ETF | (315,285 | ) | — | |||||
International Equity ETF | (173,778 | ) | — |
6. Capital Share Transactions
The Trust issues and redeems shares of the Funds only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statements of Changes in Net Assets.
Shares of the Funds may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a DTC Participant; which, in either case, must have executed an agreement with the Distributor.
Creation Units of a Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of equity securities and other instruments (“Deposit Instruments”) and cash as described in the Funds’ registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105% of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
For more information about Creation Unit transactions please refer to the Funds’ Statement of Additional information.
68 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
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. The Funds’ maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2016, the Adviser owned shares representing more than 10% of net assets of the following Funds:
% Ownership | ||||
Emerging Markets Equity ETF | 80 | % | ||
Europe Currency Hedged ETF | 97 | % | ||
Europe Equity ETF | 47 | % | ||
Global Equity ETF | 41 | % | ||
International Currency Hedged ETF | 96 | % |
Each Fund may have elements of risk not typically associated with investment in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the year depending on a Fund’s benchmark index (each an “underlying index”). Such concentrations may subject the Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
As of April 30, 2016, the following Funds had non-U.S. country allocations representing greater than 10% of total investments as follows:
China | France | Germany | Japan | Taiwan | Switzerland | United Kingdom | ||||||||||||||||||||||
Emerging Markets Equity ETF | 19.3 | % | — | % | — | % | — | % | 18.1 | % | — | % | — | % | ||||||||||||||
Europe Equity ETF | — | 14.6 | 11.7 | — | — | 11.3 | 25.6 | |||||||||||||||||||||
Global Equity ETF | — | — | — | 21.4 | — | — | — | |||||||||||||||||||||
International Equity ETF | — | — | — | 24.2 | — | — | 22.0 |
As of April 30, 2016, a significant portion of the Funds’ net assets consisted of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
Premium/Discount Risk — Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Fund’s holdings. During such periods, investors may incur significant losses if shares are sold.
Index Tracking Risk — A Fund may not track the return of the underlying index for a number of reasons and therefore may not achieve its investment objective. For example, the Fund incurs a number of operating expenses not applicable to its Underlying Index, and incurs costs in buying and selling securities, especially when rebalancing the Fund’s securities holdings to reflect changes in the composition of the underlying index. Additionally, a Funds calculates its NAV based on fair value prices and the value of the underlying index is based on securities’ closing prices on a local foreign market exchange. To the extent of the previously outlined items, each Fund’s return differs from the return of the underlying index.
8. Related Party Transactions
The Distributor or its agent distributes Creation Units for each Fund on an agency basis. The Distributor does not maintain a secondary market in shares of each Fund. The Distributor has no role in determining the investment policies of the Funds or the securities that are purchased or sold by the Funds. SIDCO receives no fee for its distribution services under the Distribution Agreement.
The Funds may use related party broker-dealers. For the period ended April 30, 2016, the Funds incurred no brokerage commissions with broker-dealers affiliated with the Adviser or Trust.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 69 |
FOR THE PERIODS INDICATED (Unaudited)
The table below indicates the number of trading days in which the Funds traded within the range of the premium/discount noted. The number of days in each range is also shown as a percentage of the total trading days for the period covered in the table. All information within the table is based on historical performance. Past performance cannot be used to predict future results. Shareholders may pay more than NAV when they buy fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market prices.
Emerging Markets Equity ETF (a) | Europe Currency Hedged ETF (b) | Europe Equity ETF (c) | ||||||||||||||||||||||
Range of Premium/(Discount) | Day Count | Percentge | Day Count | Percentge | Day Count | Percentge | ||||||||||||||||||
Greater than 1.5% and Less than or equal to 2.0% | 2 | 0.60 | % | — | — | — | — | |||||||||||||||||
Greater than 1.0% and Less than or equal to 1.5% | 20 | 6.02 | % | — | — | 1 | 1.09 | % | ||||||||||||||||
Greater than 0.5% and Less than or equal to 1.0% | 101 | 30.42 | % | 1 | 5.00 | % | 20 | 21.74 | % | |||||||||||||||
Between 0.5% and –0.5% | 114 | 34.35 | % | 18 | 90.00 | % | 71 | 77.17 | % | |||||||||||||||
Less than –0.5% and greater than or equal to –1.0% | 70 | 21.08 | % | 1 | 5.00 | % | — | — | ||||||||||||||||
Less than –1.0% and greater than or equal to –1.5% | 20 | 6.02 | % | — | — | — | — | |||||||||||||||||
Less than –1.5% and greater than or equal to –2.0% | 5 | 1.51 | % | — | — | — | — | |||||||||||||||||
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332 | 100.00 | % | 20 | 100.00 | % | 92 | 100.00 | % | ||||||||||||||||
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Global Equity ETF (d) | International Currency Hedged ETF (b) | International Equity ETF (e) | ||||||||||||||||||||||
Range of Premium/(Discount) | Day Count | Percentge | Day Count | Percentge | Day Count | Percentge | ||||||||||||||||||
Greater than 1.0% and Less than or equal to 1.5% | — | — | — | — | 1 | 0.27 | % | |||||||||||||||||
Greater than 0.5% and Less than or equal to 1.0% | 33 | 6.96 | % | — | — | 119 | 31.90 | % | ||||||||||||||||
Between 0.5% and –0.5% | 438 | 92.41 | % | 20 | 100.00 | % | 250 | 67.03 | % | |||||||||||||||
Less than –0.5% and greater than or equal to –1.0% | 2 | 0.42 | % | — | — | 3 | 0.80 | % | ||||||||||||||||
Less than –1.0% and greater than or equal to –1.5% | 1 | 0.21 | % | — | — | — | — | |||||||||||||||||
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474 | 100.00 | % | 20 | 100.00 | % | 373 | 100.00 | % | ||||||||||||||||
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(a) | For the period January 7, 2015 (fund inception date) to April 30, 2016. |
(b) | For the period April 1, 2016 (fund inception date) to April 30, 2016. |
(c) | For the period December 18, 2015 (fund inception date) to April 30, 2016. |
(d) | For the period June 16, 2014 (fund inception date) to April 30, 2016. |
(e) | For the period November 5, 2014 (fund inception date) to April 30, 2016. |
70 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses, in addition to brokerage commissions on your purchases and sales of Fund shares. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, November 1, 2015 and continued to hold your shares at the end of the reporting period, April 30, 2016.
Actual Expenses
For the 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 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 in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value 11/1/2015 | Ending Account Value 4/30/2016 | Annualized Expense Ratios | Expenses Paid During Period | |||||||||||||
JPMorgan Diversified Return Emerging Markets Equity ETF | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,013.50 | 0.45 | % | $ | 2.26 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.62 | 0.45 | 2.27 | ||||||||||||
JPMorgan Diversified Return Europe Currency Hedged ETF | ||||||||||||||||
Actual Fund Return (2) | $ | 1,000.00 | $ | 1,010.80 | 0.49 | % | $ | 1.82 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.43 | 0.49 | 2.46 | ||||||||||||
JPMorgan Diversified Return Europe Equity ETF | ||||||||||||||||
Actual Fund Return (3) | $ | 1,000.00 | $ | 1,035.50 | 0.43 | % | $ | 0.39 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.71 | 0.43 | 2.18 | ||||||||||||
JPMorgan Diversified Return Global Equity ETF | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,024.60 | 0.38 | % | $ | 1.91 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.97 | 0.38 | 1.91 | ||||||||||||
JPMorgan Diversified Return International Currency Hedged ETF | ||||||||||||||||
Actual Fund Return (2) | $ | 1,000.00 | $ | 1,002.00 | 0.49 | % | $ | 0.43 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.43 | 0.49 | 2.46 | ||||||||||||
JPMorgan Diversified Return International Equity ETF | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,000.50 | 0.43 | % | $ | 2.14 | ||||||||
Hypothetical 5% Return (1) | 1,000.00 | 1,022.72 | 0.43 | 2.16 |
(1) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
(2) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 32/366 (to reflect the period since the commencement of operations). |
(3) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 135/366 (to reflect the period since the commencement of operations). |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 71 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
For the JPMorgan Diversified Europe Currency Hedged ETF, the JPMorgan Diversified Return Europe Equity ETF and the JPMorgan Diversified Return International Currency Hedged ETF
On June 1, 2015 for JPMorgan Diversified Return International Currency Hedged ETF and on September 8 – 9, 2015 for JPMorgan Diversified Return Europe Currency Hedged ETF and JPMorgan Diversified Return Europe Equity ETF, the Board of the Trust, a statutory Trust organized under the laws of the State of Delaware, held an in-person meeting and approved the initial Investment Advisory Agreements (each, an “Agreement”) for the JPMorgan Diversified Return Europe Currency Hedged ETF, the JPMorgan Diversified Return Europe Equity ETF, and the JPMorgan Diversified Return International Currency Hedged ETF (each, a Fund and collectively the “Funds”). The approvals included the approval of a majority of Trustees who are not interested persons of the Trust or the Adviser. Such Trustees are considered Independent Trustees as defined by the 1940 Act. In connection with the approval of the Agreement for each Fund, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel, during which the Trustees had the opportunity to ask questions and request additional information. Before voting on each proposed Agreement, the Trustees reviewed the Agreement with representatives of the Adviser and with counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Agreement. The Trustees also discussed each proposed Agreement in an executive session with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve the Agreement for each Fund.
The Trustees considered information provided with respect to each Fund and the approval of each Agreement. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. The Trustees determined that the proposed compensation to be received by the Adviser from each Fund under the Agreement was fair and reasonable and that the initial approval of each Agreement was in the best interests of each Fund and its potential shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
In connection with the approval of the initial Agreement, the Trustees considered the materials furnished specifically in connection with the approval of the Agreement, as well as other relevant information furnished to the Trustees, both in connection with the approvals of the Agreements and at other meetings. The Trustees considered the background and experience of the Adviser’s senior management and investment per-
sonnel, as well as the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund. The Trustees also considered the investment strategy and the underlying indices for the Funds, and the infrastructure supporting the portfolio management teams. In addition, the Trustees considered information about the structure and distribution strategies of the Funds, how they fit within the Trust’s lineup, and how they will be positioned against identified peers.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser gained from experience as Trustees of the Trust and in the financial industry generally. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Trust, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services to be provided to the Funds by the Adviser.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Trust.
The Trustees also considered that the fees that the Administrator, an affiliate of the Adviser, will earn from the Funds for providing administrative services. The Trustees also considered the fees paid to JPMCB, also an affiliate of the Adviser, for custody, transfer agency and other related services. The Trustees also considered the process under which those fees had been reviewed and approved and also the benefit of the Funds complex to the Adviser.
Economies of Scale
The Trustees considered the extent to which each Fund will benefit from economies of scale. The Trustees noted that the Adviser has implemented fee waivers and expense limitations. The Trustees also noted that neither the proposed investment advisory fee schedule nor the proposed administration agreement for the Funds contains breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints. The Trustees noted that because the Funds are newly formed, they would not at this time be able to take advantage of any breakpoints. With respect to the administration agreement, the Trustees also considered the fact that the Funds would benefit from economies of scale for the broader J.P. Morgan mutual fund complex because the administration fee had been set at a level consistent with the lower effective rate of the mutual funds, which includes breakpoints.
72 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
The Trustees concluded that shareholders of the Funds will generally benefit from the lower expense ratios that resulted from a combination of these factors.
Investment Performance
The Trustees considered each Fund’s investment strategy and processes, including the fact that each Fund seeks performance that closely corresponds to its Index, the portfolio management teams and competitive positioning against identified peer funds, and concluded that the prospects for competitive future performance were acceptable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate that will be paid by each Fund to the Adviser. The Trustees also considered the differences in the advisory fees between the hedged and unhedged versions of the Funds. They considered information prepared by Broadridge Investor Communications Solutions Inc. using data from Lipper Inc., an independent
provider or investment company, concerning management fee rates paid by other funds in the same category as the Funds. The Trustees also noted that the Adviser does not currently manage other mutual funds or institutional accounts with the same or similar strategies proposed for the Funds. The Trustees also reviewed information about other projected expenses and the expense ratios for the Funds. The Trustees considered the projected fee waiver and/or expense reimbursement arrangements proposed for the Funds (which had an initial term of three years) and considered the net advisory fee rate after taking into account any projected waivers and/or reimbursements.
The Trustees noted that each Fund’s estimated net advisory fees and total expenses were in line with identified peer funds. The Trustees also noted that because the Funds were not yet operational, no profitability information was available. After considering the factors identified above, in light of the information, the Trustees concluded that the advisory fees were reasonable.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 73 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
Renewal 15(c) Disclosure — JPMorgan Diversified Return Emerging Markets Equity ETF, JPMorgan Diversified Return Global Equity ETF and JPMorgan Diversified Return International Equity ETF
The Board of Trustees meets regularly throughout the year and considers factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held a meeting in person December 15-16, 2015, at which the Trustees considered the continuation of the investment advisory agreements for JPMorgan Diversified Return Emerging Markets Equity ETF, JPMorgan Diversified Return Global Equity ETF and JPMorgan Diversified Return International Equity ETF (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). In advance of the December 15-16, 2015 meeting, the Trustees met telephonically to discuss certain information that had been provided in advance in connection with its consideration of the Advisory Agreements. At the December 15-16, 2015 meeting, the Board reviewed additional information that had been provided in response to the Trustees’ request and considered, among other factors, performance, expense and related information for the Funds. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of benchmarks and analyses by the Adviser of the Funds’ performance. In addition, in preparation for the December meeting, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge Investor Communications Solutions Inc. (“Broadridge”) using data from Lipper Inc., an independent provider of investment company data. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.
The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of the Advisory Agreement was in the best interests of the Fund and its shareholders.
The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under its respective Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund, and noted that the Board met with portfolio management personnel over the course of the year. The Trustees also considered the investment strategies and the underlying indices for the Funds, and the infrastructure supporting the portfolio management teams. In addition, the Trustees considered information about the structure and distribution strategies of the Funds, how they fit within the J.P. Morgan Fund Complex, and how they are positioned against identified peers. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of administrative services provided by JPMorgan Funds Management, Inc. (“JPMFM”),1 an affiliate of the Adviser.
The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates gained from their experience as Trustees of the Trust and in the financial industry generally. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to continue to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them.
1 | JPMorgan Funds Management, Inc. merged into the Adviser as of April 1, 2016 and the Adviser began providing administration services for the Funds under the same administration agreement. |
74 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to each Fund by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. They also noted that the Funds were relatively new and small and that, according to the data provided, were not yet profitable to the Adviser and its affiliates in the aggregate. Based on their review, the Trustees concluded that the profitability to the Adviser and its affiliates under each Advisory Agreement and the related agreements was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds.
The Trustees also considered the fees that JPMFM earned from the Funds for providing administrative services. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the fees paid to J.P. Morgan Chase Bank, N.A. (“JPMCB”), also an affiliate of the Adviser, for custody, transfer agency and other related services for each Fund and considered the process under which the fees had been reviewed and approved.
Economies of Scale
The Trustees considered the extent to which each Fund may benefit from economies of scale. The Trustees also noted that the Adviser has implemented fee waivers and expense limitations (“Fee Waivers”), which allow a Fund’s shareholders to share potential economies of scale from the Fund’s inception. The Trustees noted that neither the investment advisory fee
schedule nor the administration agreement for the Funds contains breakpoints, but that fees are competitive with their peer funds. The Trustees noted that because the Funds are relatively small, they had not yet reached an asset level where economies of scale could be shared through breakpoints. They concluded that the current fee structure was reasonable in light of the Fee Waivers that the Adviser has in place, which serve to limit the overall net expense ratio of each Fund at competitive levels. With respect to the administration agreement, the Trustees also considered the management representation that the Funds had the potential to benefit from economies of scale for the broader J.P. Morgan fund complex because the administration fee had been set at a level consistent with the effective rate of the J.P. Morgan mutual funds, which includes breakpoints, and which management believes is lower than the Funds could have achieved on their own. The Trustees concluded that shareholders of the Funds will generally benefit from the lower expense ratios that resulted from the combination of these factors.
Fees Relative to Adviser’s Other Clients
The Adviser does not manage any other accounts with substantially similar investment strategies as the Funds. The Trustees requested and received and considered information about the nature and extent of investment advisory services and fee rates offered to other investment companies advised by the Adviser in the same asset class as each Fund, including the difference between the other investment companies and the Funds. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees considered each Fund’s investment strategy and processes, including the fact that each Fund seeks performance that closely corresponds to the performance of its underlying index, and the portfolio management teams and competitive positioning against peer funds, as identified by management.
As part of this review, the Trustees also reviewed each Fund’s performance against its Underlying Index and considered each Fund’s performance compared to the performance of its Underlying Index with the information provided for the Funds at regular Board meetings by the Adviser. The Trustees considered that the Funds have relatively short track records (15 months or less) and that no relative performance to a peer group selected by Broadridge comparison was available. After consideration, the Trustees determined that each Fund’s performance was in line with its underlying index, consistent with its investment objective.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 75 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
information prepared by Lipper concerning management fee rates paid by other funds in a peer universe made up of funds with the same Lipper investment classification and objective (the “Universe Group”) as each Fund. The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the Fee Waivers currently in place for each Fund and considered the net advisory fee rate after taking into account any such Fee Waivers. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds.
The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios are summarized below:
The Trustees noted that the JPMorgan Diversified Return Emerging Markets Equity ETF’s net advisory fee and actual total
expenses were each in the first quintile of the Universe Group. After considering this, as well as the other factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the JPMorgan Diversified Return Global Equity ETF’s net advisory fee was in the first quintile and actual total expenses were in the second quintile of the Universe Group. After considering this, as well as the other factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
The Trustees noted that the JPMorgan Diversified Return International Equity ETF’s net advisory fee was in the first quintile and actual total expenses were in the third quintile of the Universe Group. After considering this, as well as the other factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
76 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
J.P. Morgan Exchange-Traded Funds are distributed by SEI Investments Distribution Co. (One Freedom Valley Dr., Oaks, PA 19456), which is not affiliated with JPMorgan Chase & Co. or any of its affiliates.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the 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.
The 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 Fund’s Forms N-Q is 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 1-844-457-6383 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 1-844-457-6383 and on the Fund’s website at www.jpmorganfunds.com. 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 Fund to the Adviser. A copy of the Fund’s 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 Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s 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.
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., 2015. All rights reserved. April 2016. | SAN-ETF-416 |
Semi-Annual Report
JPMorgan Exchange-Traded Funds
April 30, 2016 (Unaudited)
JPMorgan Diversified Return U.S. Equity ETF
President’s Letter | 1 | |||
Fund Commentary | 2 | |||
Schedule of Portfolio Investments | 5 | |||
Financial Statements | 14 | |||
Notes to Financial Statements | 20 | |||
Supplemental Information | 24 | |||
Schedule of Shareholder Expenses | 25 |
Investments in the 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 of 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 the Fund.
Prospective investors should refer to the Fund’s prospectus for a discussion of the Fund’s investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about the Fund, including management fees and other expenses. Please read it carefully before investing.
Shares are bought and sold throughout the day on an exchange at market price (not NAV) through a brokerage account, and are not individually redeemed from the Fund. Shares may only be redeemed directly from the Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.
June 27, 2016
Dear Shareholder,
I am pleased to report that JPMorgan Exchange Traded Funds (ETFs) met their performance objectives with positive returns and a favorable risk profile for the six months ended April 30, 2016. Four of our seven ETFs outperformed their market-capitalization weighted benchmark indexes for the semi-annual period, while the remaining three ETFs had less than six months of performance since inception. Meanwhile, our Diversified Return Global Equity ETF (JPGE) earned an award for “Most Innovative Equity ETF — Performance” at the Fund Action ETF Awards Ceremony this past February.1 While it is inevitable, of course, that our results will not stand out in every investment environment, our record to date testifies, above all, to the effectiveness of our risk framework, which systematically diversifies exposures across economic sectors and geographic regions.
![]() |
“The individual investor should act consistently as an investor and not as a speculator.”
- Benjamin Graham, economist and pioneer of value investing |
Dimensions of Diversification
Our ETFs make innovative use of one of the most proven and durable investment approaches: diversification.2 Diversification has shown its worth in virtually every market condition and, today, amid slowing growth in China, weakness in commodities
1 | Only funds with their management/advisory company or team based in the USA or Canada were eligible for the Fund Action ETF US Performance Awards 2016. The ETF awards were judged based on performance and/or asset flows over a 12 month period ending in September 2015. As well as performance data, judges also considered the management firm’s and fund’s reputation in the market place — they also gave credit to managers who have shown innovation in new products and fee offerings, etc. The awards were only given to those firms who demonstrated solid performance, positive asset flows and real credibility among advisors and investors. There was no minimum asset size required for any category. The judging panel was comprised of representatives from Fund Action and industry experts. The judges were carefully selected for their wealth of experience and expertise, as well as their absence of conflicts of interest. Judging decisions were based on a number of metrics including performance, asset flows, innovation, analyst feedback, infrastructural quality and other qualitative information and structural criteria. For the 12 months ended September 30, 2015, the JPMorgan Diversified Return Global Equity ETF returned -3.62%. |
2 | Diversification does not guarantee investment returns and does not eliminate risk of loss of investment. |
prices, a halting global recovery, and investor apprehension over future interest rate increases in the U.S. and the fallout from the U.K. referendum on exiting the European Union, the approach seems as pertinent as ever. Indeed, the uncertainties we observed in last fall’s shareholder letter have deepened. As we noted then, “we believe it’s likely that this period of relatively high market volatility will continue,” dictating the cautious “risk-adjusted” positioning characteristic of broad diversification. Our ETF strategy advances the time-tested precept. The traditional application diversifies across asset classes. The “smart beta” methodology of our underlying indexes diversifies within asset classes as well.
Smart beta methodologies have evolved out of the practice of modeling portfolios to mimic well-known equity indexes, which weight securities according to their market capitalization. These methodologies seek to avoid common risks inherent in traditional indexes, such as concentration in overvalued securities or sectors, by tracking indexes that gain exposure to return factors that have supported portfolios through volatile periods, such as underpriced stocks and stocks that have tended to hold their value in unstable markets. Our recent research, presented in “Smart Beta: Evolution, not Revolution” (available at www.jpmorganetfs.com), examines the strategy in greater detail and explains how it improves upon conventional index investing.
Toward a Steadier Course
The gains achieved since inception by our hedged and unhedged global and regional ETFs, along with your support, have encouraged us to extend our research and broaden our range of ETF solutions to provide what we believe to be unparalleled diversification for equity portfolios. That diversification, we believe, offers the surest means to stay on track through turbulent markets and reap the rewards of long-term compounding. We appreciate and honor your trust, and we look forward to smoothing your path to long-term portfolio growth for many years to come.
If you have any questions, please visit www.jpmorganetfs.com or call J.P. Morgan Exchange Traded Funds at 1-844-457-6383.
Sincerely yours,
Robert F. Deutsch
President, J.P. Morgan Exchange Traded Funds
J.P. Morgan Asset Management
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 1 |
JPMorgan Diversified Return U.S. Equity ETF
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return U.S. Equity ETF* | 3.18% | |||
Market Price** | 3.18% | |||
Russell 1000 Diversified Factor Index | 3.37% | |||
Russell 1000 Index | 0.22% | |||
Net Assets as of 4/30/2016 | $33,347,265 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return U.S. Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Russell 1000 Diversified Factor Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks large and mid cap equity securities in the U.S. The Underlying Index used a proprietary multi-factor selection process that utilizes the following characteristics: relative valuation, price momentum and quality. The Underlying Index security selection process then seeks to exclude the least attractive stocks based on these characteristics. The Underlying Index’s methodology includes quarterly rebalancing, liquidity screens and turnover controls.
HOW DID THE MARKET PERFORM?
Overall, U.S. equity markets experienced a significant increase in volatility during the six-month reporting period. While equity prices rose slightly through the end of 2015, the beginning of 2016 was marked by a prolonged sell-off of equities, driven by falling oil prices and investor uncertainty about both the health of China’s economy and U.S. interest rate policy.
By March, market volatility declined somewhat as economic data showed signs of stability in China, oil prices rebounded and the U.S. Federal Reserve Chairwoman Janet Yellen reassured investors that interest rate policy would remain accommodative. By the end of April, leading U.S. equity indexes
returned to positive territory for the year to date. For the six months ended April 30, 2016, the Russell 1000 Index returned 0.22%.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance but experienced a deviation of -0.19% relative to the Underlying Index for the six months ended April 30, 2016.
On an absolute basis, the Fund’s and the Underlying Index’s positions in the telecommunications and utilities sector and the industrials sector were leading contributors to performance for the six month period, while the Fund’s and Underlying Index’s positions in the consumer services and technology sectors were the largest detractors from absolute performance.
Because the Fund’s holdings were closely aligned with those of the Underlying Index, variances in relative performance due to security selection and/or sector allocation were not significant. The majority of the Fund’s deviation against the Underlying Index was due to the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s and the Underlying Index’s largest weightings were in the consumer goods sector and the telecommunications and utilities sector and the smallest weightings were in the oil, gas and basic materials sector and the industrials sector.
2 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | C.R. Bard, Inc. | 0.6 | % | |||||
2. | DTE Energy Co. | 0.6 | ||||||
3. | Public Service Enterprise Group, Inc. | 0.6 | ||||||
4. | Duke Energy Corp. | 0.6 | ||||||
5. | Southern Co. (The) | 0.6 | ||||||
6. | Campbell Soup Co. | 0.6 | ||||||
7. | Consolidated Edison, Inc. | 0.6 | ||||||
8. | WEC Energy Group, Inc. | 0.6 | ||||||
9. | Edison International, Inc. | 0.6 | ||||||
10. | SCANA Corp. | 0.6 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Consumer Discretionary | 16.9 | % | ||
Health Care | 15.4 | |||
Utilities | 13.3 | |||
Information Technology | 13.0 | |||
Consumer Staples | 11.8 | |||
Financials | 9.5 | |||
Industrials | 8.2 | |||
Materials | 6.4 | |||
Energy | 3.9 | |||
Telecommunication Services | 1.6 |
* | 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 net asset value was $55.58 as of April 30, 2016. |
** | Market price cumulative return is calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return is the midpoint of the bid/ask spread at the close of business on the NYSE Arca. The midpoint price was $55.61 as of April 30, 2016. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Percentages indicated are based on total investments as of April 30, 2016. The Fund’s composition is subject to change. |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 3 |
JPMorgan Diversified Return U.S. Equity ETF
FUND COMMENTARY
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2016 | ||||||||||||
INCEPTION DATE | 6 MONTHS ENDED 4/30/16 | SINCE INCEPTION | ||||||||||
JPMorgan Diversified Return U.S. Equity ETF | ||||||||||||
Net Asset Value | 9/29/2015 | 3.18 | % | 11.70 | % | |||||||
Market Price | 3.18 | % | 11.76 | % |
LIFE OF FUND PERFORMANCE (9/29/15 to 4/30/16)
The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or 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 1-844-457-6383.
Fund commenced operations on September 29, 2015.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return U.S. Equity ETF, the Russell 1000 Diversified Factor Index, and the Russell 1000 Index from September 29, 2015 to April 30, 2016. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Russell 1000 Diversified Factor Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable.
The Russell 1000 Diversified Factor Index is an index comprised of U.S. equity securities selected to represent a diversified set of factor characteristics, originally developed by the adviser and its holdings are selected by the index provider primarily from the constituents of the Russell 1000 Index. Frank Russell Company is the index provider. The Russell 1000 Index is an unmanaged index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. Investors cannot invest directly in an index.
Fund performance reflects 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 may pay on Fund distributions or redemption or sale 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.
4 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.7% |
| ||||||
Consumer Discretionary — 16.9% |
| |||||||
Auto Components — 1.3% |
| |||||||
833 | Delphi Automotive plc (United Kingdom) | 61,334 | ||||||
5,810 | Gentex Corp. | 93,192 | ||||||
2,025 | Goodyear Tire & Rubber Co. (The) | 58,664 | ||||||
2,280 | Johnson Controls, Inc. | 94,392 | ||||||
1,013 | Lear Corp. | 116,627 | ||||||
|
| |||||||
424,209 | ||||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
4,565 | Ford Motor Co. | 61,902 | ||||||
1,728 | General Motors Co. | 54,950 | ||||||
1,694 | Harley-Davidson, Inc. | 81,024 | ||||||
|
| |||||||
197,876 | ||||||||
|
| |||||||
Distributors — 0.6% |
| |||||||
1,944 | Genuine Parts Co. | 186,566 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
5 | Graham Holdings Co., Class B | 2,383 | ||||||
1,671 | H&R Block, Inc. | 33,821 | ||||||
|
| |||||||
36,204 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.2% |
| |||||||
838 | Brinker International, Inc. | 38,816 | ||||||
1,418 | Carnival Corp. | 69,553 | ||||||
55 | Chipotle Mexican Grill, Inc., Class A (a) | 23,153 | ||||||
713 | Darden Restaurants, Inc. | 44,384 | ||||||
137 | Domino’s Pizza, Inc. | 16,561 | ||||||
391 | Dunkin’ Brands Group, Inc. | 18,182 | ||||||
1,792 | International Game Technology plc (United Kingdom) | 31,073 | ||||||
701 | Las Vegas Sands Corp. | 31,650 | ||||||
903 | McDonald’s Corp. | 114,221 | ||||||
371 | Norwegian Cruise Line Holdings Ltd. (a) | 18,138 | ||||||
119 | Panera Bread Co., Class A (a) | 25,524 | ||||||
505 | Royal Caribbean Cruises Ltd. | 39,087 | ||||||
821 | Speedway Motorsports, Inc. | 14,384 | ||||||
1,774 | Starbucks Corp. | 99,752 | ||||||
576 | Starwood Hotels & Resorts Worldwide, Inc. | 47,163 | ||||||
744 | Wyndham Worldwide Corp. | 52,787 | ||||||
814 | Yum! Brands, Inc. | 64,762 | ||||||
|
| |||||||
749,190 | ||||||||
|
| |||||||
Household Durables — 2.3% |
| |||||||
2,505 | DR Horton, Inc. | 75,300 | ||||||
1,068 | Garmin Ltd. (Switzerland) | 45,529 | ||||||
598 | GoPro, Inc., Class A (a) | 7,559 | ||||||
700 | Harman International Industries, Inc. | 53,732 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Durables — continued |
| |||||||
2,821 | Leggett & Platt, Inc. | 139,047 | ||||||
1,403 | Lennar Corp., Class A | 63,570 | ||||||
388 | Mohawk Industries, Inc. (a) | 74,740 | ||||||
2,258 | Newell Rubbermaid, Inc. | 102,829 | ||||||
52 | NVR, Inc. (a) | 86,387 | ||||||
3,002 | PulteGroup, Inc. | 55,207 | ||||||
100 | TopBuild Corp. (a) | 3,122 | ||||||
347 | Whirlpool Corp. | 60,427 | ||||||
|
| |||||||
767,449 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.5% |
| |||||||
431 | Expedia, Inc. | 49,897 | ||||||
2,130 | Liberty Interactive Corp. QVC Group, Class A (a) | 55,806 | ||||||
241 | Netflix, Inc. (a) | 21,697 | ||||||
36 | Priceline Group, Inc. (The) (a) | 48,372 | ||||||
|
| |||||||
175,772 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.6% |
| |||||||
1,821 | Hasbro, Inc. | 154,129 | ||||||
443 | Polaris Industries, Inc. | 43,361 | ||||||
|
| |||||||
197,490 | ||||||||
|
| |||||||
Media — 3.0% |
| |||||||
5 | Cable One, Inc. | 2,295 | ||||||
917 | Cablevision Systems Corp., Class A (a) | 30,619 | ||||||
825 | CBS Corp. (Non-Voting), Class B | 46,126 | ||||||
1,293 | Comcast Corp., Class A | 78,563 | ||||||
564 | DISH Network Corp., Class A (a) | 27,800 | ||||||
1,496 | EW Scripps Co. (The), Class A (a) | 22,709 | ||||||
4,111 | Interpublic Group of Cos., Inc. (The) | 94,306 | ||||||
156 | John Wiley & Sons, Inc., Class A | 7,736 | ||||||
53 | Liberty Braves Group, Class A (a) | 829 | ||||||
134 | Liberty Media Group, Class A (a) | 2,452 | ||||||
536 | Liberty SiriusXM Group, Class A (a) | 17,565 | ||||||
1,026 | Omnicom Group, Inc. | 85,127 | ||||||
550 | Scripps Networks Interactive, Inc., Class A | 34,292 | ||||||
23,115 | Sirius XM Holdings, Inc. (a) | 91,304 | ||||||
3,192 | Starz (a) | 86,854 | ||||||
1,603 | TEGNA, Inc. | 37,446 | ||||||
275 | Time Warner Cable, Inc. | 58,330 | ||||||
604 | Time Warner, Inc. | 45,385 | ||||||
2,207 | Twenty-First Century Fox, Inc. | 66,475 | ||||||
1,953 | Twenty-First Century Fox, Inc., Class A | 59,098 | ||||||
637 | Viacom, Inc., Class B | 26,053 | ||||||
725 | Walt Disney Co. (The) | 74,864 | ||||||
|
| |||||||
996,228 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 5 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Multiline Retail — 1.1% |
| |||||||
452 | Dillard’s, Inc., Class A | 31,843 | ||||||
852 | Dollar General Corp. | 69,787 | ||||||
832 | Dollar Tree, Inc. (a) | 66,319 | ||||||
789 | Kohl’s Corp. | 34,953 | ||||||
959 | Macy’s, Inc. | 37,967 | ||||||
676 | Nordstrom, Inc. | 34,564 | ||||||
1,137 | Target Corp. | 90,391 | ||||||
|
| |||||||
365,824 | ||||||||
|
| |||||||
Specialty Retail — 3.4% |
| |||||||
293 | Advance Auto Parts, Inc. | 45,737 | ||||||
886 | AutoNation, Inc. (a) | 44,876 | ||||||
56 | AutoZone, Inc. (a) | 42,853 | ||||||
611 | Bed Bath & Beyond, Inc. (a) | 28,851 | ||||||
701 | Best Buy Co., Inc. | 22,488 | ||||||
649 | CarMax, Inc. (a) | 34,365 | ||||||
738 | Dick’s Sporting Goods, Inc. | 34,199 | ||||||
1,545 | Foot Locker, Inc. | 94,925 | ||||||
584 | GameStop Corp., Class A | 19,155 | ||||||
1,005 | Gap, Inc. (The) | 23,296 | ||||||
890 | GNC Holdings, Inc., Class A | 21,680 | ||||||
655 | Home Depot, Inc. (The) | 87,698 | ||||||
1,125 | L Brands, Inc. | 88,076 | ||||||
1,028 | Lowe’s Cos., Inc. | 78,149 | ||||||
272 | O’Reilly Automotive, Inc. (a) | 71,449 | ||||||
1,248 | Ross Stores, Inc. | 70,861 | ||||||
182 | Signet Jewelers Ltd. (Bermuda) | 19,758 | ||||||
1,959 | Staples, Inc. | 19,982 | ||||||
498 | Tiffany & Co. | 35,532 | ||||||
1,148 | TJX Co., Inc. (The) | 87,041 | ||||||
546 | Tractor Supply Co. | 51,684 | ||||||
199 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 41,448 | ||||||
383 | Urban Outfitters, Inc. (a) | 11,613 | ||||||
779 | Williams-Sonoma, Inc. | 45,790 | ||||||
|
| |||||||
1,121,506 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
1,673 | Coach, Inc. | 67,372 | ||||||
1,595 | Hanesbrands, Inc. | 46,303 | ||||||
570 | lululemon athletica, Inc. (a) | 37,363 | ||||||
1,737 | NIKE, Inc., Class B | 102,379 | ||||||
626 | Skechers U.S.A., Inc., Class A (a) | 20,689 | ||||||
598 | Under Armour, Inc., Class A (a) | 26,276 | ||||||
598 | Under Armour, Inc., Class C (a) | 24,398 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — continued |
| |||||||
1,217 | V.F. Corp. | 76,732 | ||||||
|
| |||||||
401,512 | ||||||||
|
| |||||||
Total Consumer Discretionary | 5,619,826 | |||||||
|
| |||||||
Consumer Staples — 11.8% |
| |||||||
Beverages — 2.7% |
| |||||||
1,192 | Brown-Forman Corp., Class B | 114,813 | ||||||
2,696 | Coca-Cola Co. (The) | 120,781 | ||||||
1,749 | Coca-Cola Enterprises, Inc. | 91,788 | ||||||
720 | Constellation Brands, Inc., Class A | 112,363 | ||||||
1,688 | Dr. Pepper Snapple Group, Inc. | 153,456 | ||||||
1,256 | Molson Coors Brewing Co., Class B | 120,111 | ||||||
384 | Monster Beverage Corp. (a) | 55,380 | ||||||
1,360 | PepsiCo, Inc. | 140,026 | ||||||
|
| |||||||
908,718 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
798 | Costco Wholesale Corp. | 118,208 | ||||||
968 | CVS Health Corp. | 97,284 | ||||||
1,397 | Kroger Co. (The) | 49,440 | ||||||
1,743 | Sysco Corp. | 80,300 | ||||||
565 | Walgreens Boots Alliance, Inc. | 44,793 | ||||||
1,181 | Wal-Mart Stores, Inc. | 78,973 | ||||||
355 | Weis Markets, Inc. | 16,160 | ||||||
|
| |||||||
485,158 | ||||||||
|
| |||||||
Food Products — 4.2% |
| |||||||
110 | Bunge Ltd. (Bermuda) | 6,875 | ||||||
3,087 | Campbell Soup Co. | 190,499 | ||||||
1,203 | ConAgra Foods, Inc. | 53,606 | ||||||
2,563 | General Mills, Inc. | 157,214 | ||||||
1,758 | Hershey Co. (The) | 163,687 | ||||||
4,190 | Hormel Foods Corp. | 161,524 | ||||||
964 | JM Smucker Co. (The) | 122,409 | ||||||
1,678 | Kellogg Co. | 128,887 | ||||||
737 | Kraft Heinz Co. (The) | 57,538 | ||||||
1,882 | McCormick & Co., Inc. (Non-Voting) | 176,494 | ||||||
397 | Mead Johnson Nutrition Co., Class A | 34,599 | ||||||
2,021 | Mondelez International, Inc., Class A | 86,822 | ||||||
1,001 | Tyson Foods, Inc., Class A | 65,886 | ||||||
|
| |||||||
1,406,040 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
1,486 | Clorox Co. (The) | 186,092 | ||||||
1,918 | Colgate-Palmolive Co. | 136,025 | ||||||
422 | Energizer Holdings, Inc. | 18,353 | ||||||
1,007 | Kimberly-Clark Corp. | 126,066 |
SEE NOTES TO FINANCIAL STATEMENTS.
6 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Household Products — continued |
| |||||||
1,636 | Procter & Gamble Co. (The) | 131,076 | ||||||
|
| |||||||
597,612 | ||||||||
|
| |||||||
Personal Products — 0.6% |
| |||||||
1,042 | Edgewell Personal Care Co. | 85,517 | ||||||
1,214 | Estee Lauder Cos., Inc. (The), Class A | 116,386 | ||||||
298 | Nu Skin Enterprises, Inc., Class A | 12,149 | ||||||
|
| |||||||
214,052 | ||||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
1,749 | Altria Group, Inc. | 109,680 | ||||||
1,151 | Philip Morris International, Inc. | 112,936 | ||||||
2,157 | Reynolds American, Inc. | 106,987 | ||||||
|
| |||||||
329,603 | ||||||||
|
| |||||||
Total Consumer Staples | 3,941,183 | |||||||
|
| |||||||
Energy — 3.9% |
| |||||||
Energy Equipment & Services — 1.2% |
| |||||||
630 | Baker Hughes, Inc. | 30,467 | ||||||
890 | Diamond Offshore Drilling, Inc. (a) | 21,592 | ||||||
1,059 | FMC Technologies, Inc. (a) | 32,289 | ||||||
720 | Halliburton Co. | 29,743 | ||||||
535 | Helmerich & Payne, Inc. | 35,374 | ||||||
839 | Nabors Industries Ltd. (Bermuda) | 8,222 | ||||||
1,883 | National Oilwell Varco, Inc. | 67,863 | ||||||
1,941 | Noble Corp. plc (United Kingdom) | 21,798 | ||||||
862 | Oceaneering International, Inc. | 31,592 | ||||||
1,029 | Patterson-UTI Energy, Inc. | 20,323 | ||||||
1,201 | Schlumberger Ltd. | 96,509 | ||||||
1,151 | Seadrill Ltd. (United Kingdom) (a) | 5,502 | ||||||
242 | Superior Energy Services, Inc. (a) | 4,080 | ||||||
|
| |||||||
405,354 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.7% |
| |||||||
1,953 | Chesapeake Energy Corp. (a) | 13,417 | ||||||
638 | Chevron Corp. | 65,191 | ||||||
706 | Columbia Pipeline Group, Inc. | 18,088 | ||||||
814 | ConocoPhillips | 38,901 | ||||||
526 | Continental Resources, Inc. (a) | 19,599 | ||||||
1,121 | Exxon Mobil Corp. | 99,096 | ||||||
298 | Gulfport Energy Corp. (a) | 9,327 | ||||||
842 | Hess Corp. | 50,200 | ||||||
1,426 | HollyFrontier Corp. | 50,765 | ||||||
1,660 | Kinder Morgan, Inc. | 29,482 | ||||||
1,336 | Marathon Oil Corp. | 18,824 | ||||||
1,062 | Marathon Petroleum Corp. | 41,503 | ||||||
1,036 | Murphy Oil Corp. | 37,027 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels— continued |
| |||||||
813 | Noble Energy, Inc. | 29,357 | ||||||
965 | Occidental Petroleum Corp. | 73,967 | ||||||
2,599 | ONEOK, Inc. | 93,954 | ||||||
472 | Phillips 66 | 38,756 | ||||||
2,159 | Spectra Energy Corp. | 67,512 | ||||||
548 | Tesoro Corp. | 43,670 | ||||||
649 | Valero Energy Corp. | 38,207 | ||||||
754 | Williams Cos., Inc. (The) | 14,620 | ||||||
|
| |||||||
891,463 | ||||||||
|
| |||||||
Total Energy | 1,296,817 | |||||||
|
| |||||||
Financials — 9.5% |
| |||||||
Banks — 1.3% |
| |||||||
449 | Bank of Hawaii Corp. | 30,716 | ||||||
992 | BB&T Corp. | 35,097 | ||||||
7 | Comerica, Inc. | 311 | ||||||
194 | Cullen/Frost Bankers, Inc. | 12,414 | ||||||
1,657 | Fifth Third Bancorp | 30,340 | ||||||
3,296 | Huntington Bancshares, Inc. | 33,158 | ||||||
2,392 | KeyCorp | 29,398 | ||||||
292 | M&T Bank Corp. | 34,549 | ||||||
1,133 | People’s United Financial, Inc. | 17,562 | ||||||
566 | PNC Financial Services Group, Inc. (The) | 49,683 | ||||||
82 | Popular, Inc. | 2,437 | ||||||
746 | SunTrust Banks, Inc. | 31,138 | ||||||
211 | Synovus Financial Corp. | 6,575 | ||||||
1,403 | U.S. Bancorp | 59,894 | ||||||
837 | Wells Fargo & Co. | 41,833 | ||||||
71 | Zions Bancorporation | 1,954 | ||||||
|
| |||||||
417,059 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
235 | Ameriprise Financial, Inc. | 22,537 | ||||||
902 | Bank of New York Mellon Corp. (The) | 36,296 | ||||||
122 | BlackRock, Inc., Class A | 43,472 | ||||||
320 | Eaton Vance Corp. | 11,050 | ||||||
397 | Federated Investors, Inc., Class B | 12,545 | ||||||
184 | Goldman Sachs Group, Inc. | 30,196 | ||||||
951 | Invesco Ltd. (Bermuda) | 29,491 | ||||||
618 | Northern Trust Corp. | 43,927 | ||||||
401 | Raymond James Financial, Inc. | 20,920 | ||||||
1,445 | SEI Investments Co. | 69,476 | ||||||
476 | State Street Corp. | 29,655 | ||||||
659 | T. Rowe Price Group, Inc. | 49,616 | ||||||
910 | TD Ameritrade Holding Corp. | 27,145 | ||||||
|
| |||||||
426,326 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 7 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Consumer Finance — 0.5% |
| |||||||
440 | American Express Co. | 28,789 | ||||||
482 | Capital One Financial Corp. | 34,892 | ||||||
754 | Discover Financial Services | 42,428 | ||||||
3,578 | SLM Corp. (a) | 24,223 | ||||||
796 | Synchrony Financial (a) | 24,334 | ||||||
|
| |||||||
154,666 | ||||||||
|
| |||||||
Diversified Financial Services — 0.6% |
| |||||||
353 | CME Group, Inc., Class A | 32,444 | ||||||
631 | FactSet Research Systems, Inc. | 95,123 | ||||||
146 | Intercontinental Exchange, Inc. | 35,045 | ||||||
349 | Moody’s Corp. | 33,406 | ||||||
457 | Voya Financial, Inc. | 14,839 | ||||||
|
| |||||||
210,857 | ||||||||
|
| |||||||
Insurance — 3.0% |
| |||||||
958 | Aflac, Inc. | 66,073 | ||||||
726 | Allstate Corp. (The) | 47,226 | ||||||
271 | American Financial Group, Inc. | 18,729 | ||||||
923 | American International Group, Inc. | 51,522 | ||||||
559 | Aon plc (United Kingdom) | 58,762 | ||||||
554 | Assurant, Inc. | 46,852 | ||||||
425 | Chubb Ltd. | 50,090 | ||||||
898 | Cincinnati Financial Corp. | 59,277 | ||||||
109 | Erie Indemnity Co., Class A | 10,289 | ||||||
264 | Everest Re Group Ltd. (Bermuda) | 48,814 | ||||||
966 | FNF Group | 30,815 | ||||||
871 | Genworth Financial, Inc., Class A (a) | 2,988 | ||||||
909 | Hartford Financial Services Group, Inc. (The) | 40,341 | ||||||
268 | Kemper Corp. | 8,297 | ||||||
679 | Lincoln National Corp. | 29,503 | ||||||
828 | Marsh & McLennan Cos., Inc. | 52,288 | ||||||
34 | Mercury General Corp. | 1,799 | ||||||
550 | MetLife, Inc. | 24,805 | ||||||
691 | Principal Financial Group, Inc. | 29,492 | ||||||
1,746 | Progressive Corp. (The) | 56,920 | ||||||
560 | Prudential Financial, Inc. | 43,478 | ||||||
210 | Reinsurance Group of America, Inc., Class A | 19,996 | ||||||
1,060 | Torchmark Corp. | 61,363 | ||||||
400 | Travelers Cos., Inc. (The) | 43,960 | ||||||
757 | W.R. Berkley Corp. (Ireland) | 42,392 | ||||||
1,722 | XL Group plc, Class A (Ireland) | 56,361 | ||||||
|
| |||||||
1,002,432 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
167 | Alexandria Real Estate Equities, Inc. | 15,523 | ||||||
4,440 | Annaly Capital Management, Inc. | 46,265 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
325 | AvalonBay Communities, Inc. | 57,457 | ||||||
383 | Boston Properties, Inc. | 49,353 | ||||||
79 | Camden Property Trust | 6,378 | ||||||
116 | Care Capital Properties, Inc. | 3,094 | ||||||
1,522 | Chimera Investment Corp. | 21,612 | ||||||
287 | Corporate Office Properties Trust | 7,370 | ||||||
481 | Crown Castle International Corp. | 41,789 | ||||||
685 | Digital Realty Trust, Inc. | 60,266 | ||||||
202 | Duke Realty Corp. | 4,418 | ||||||
440 | Equity Residential | 29,951 | ||||||
232 | Essex Property Trust, Inc. | 51,144 | ||||||
245 | Extra Space Storage, Inc. | 20,813 | ||||||
391 | Federal Realty Investment Trust | 59,463 | ||||||
234 | Four Corners Property Trust, Inc. | 4,154 | ||||||
946 | General Growth Properties, Inc. | 26,516 | ||||||
347 | Iron Mountain, Inc. | 12,676 | ||||||
1,250 | Kimco Realty Corp. | 35,150 | ||||||
62 | Liberty Property Trust | 2,164 | ||||||
322 | Macerich Co. (The) | 24,498 | ||||||
222 | NorthStar Realty Europe Corp. | 2,648 | ||||||
665 | NorthStar Realty Finance Corp. | 8,505 | ||||||
641 | Prologis, Inc. | 29,108 | ||||||
238 | Public Storage | 58,265 | ||||||
672 | Rayonier, Inc. | 16,585 | ||||||
427 | Realty Income Corp. | 25,278 | ||||||
526 | Senior Housing Properties Trust | 9,247 | ||||||
246 | Simon Property Group, Inc. | 49,488 | ||||||
79 | Taubman Centers, Inc. | 5,487 | ||||||
467 | Ventas, Inc. | 29,010 | ||||||
152 | Vornado Realty Trust | 14,551 | ||||||
502 | Weingarten Realty Investors | 18,534 | ||||||
463 | �� | Welltower, Inc. | 32,141 | |||||
127 | Weyerhaeuser Co. | 4,079 | ||||||
|
| |||||||
882,980 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (b) |
| |||||||
427 | CBRE Group, Inc., Class A (a) | 12,652 | ||||||
30 | Jones Lang LaSalle, Inc. | 3,455 | ||||||
|
| |||||||
16,107 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
3,295 | New York Community Bancorp, Inc. | 49,524 | ||||||
|
| |||||||
Total Financials | 3,159,951 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
8 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care — 15.2% |
| |||||||
Biotechnology — 1.4% |
| |||||||
499 | Amgen, Inc. | 78,992 | ||||||
503 | Baxalta, Inc. | 21,101 | ||||||
146 | Biogen, Inc. (a) | 40,148 | ||||||
626 | Celgene Corp. (a) | 64,735 | ||||||
1,050 | Gilead Sciences, Inc. | 92,620 | ||||||
328 | Incyte Corp. (a) | 23,705 | ||||||
1,108 | Medivation, Inc. (a) | 64,042 | ||||||
116 | Myriad Genetics, Inc. (a) | 4,176 | ||||||
127 | Regeneron Pharmaceuticals, Inc. (a) | 47,842 | ||||||
364 | United Therapeutics Corp. (a) | 38,293 | ||||||
|
| |||||||
475,654 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.7% |
| |||||||
2,297 | Abbott Laboratories | 89,353 | ||||||
2,523 | Baxter International, Inc. | 111,567 | ||||||
766 | Becton, Dickinson & Co. | 123,525 | ||||||
820 | Boston Scientific Corp. (a) | 17,974 | ||||||
978 | C.R. Bard, Inc. | 207,502 | ||||||
1,463 | DENTSPLY SIRONA, Inc. | 87,195 | ||||||
965 | Edwards Lifesciences Corp. (a) | 102,493 | ||||||
1,544 | Hill-Rom Holdings, Inc. | 74,652 | ||||||
1,280 | Hologic, Inc. (a) | 42,995 | ||||||
71 | Intuitive Surgical Inc. (a) | 44,472 | ||||||
1,403 | Medtronic plc (Ireland) | 111,048 | ||||||
1,896 | St. Jude Medical, Inc. | 144,475 | ||||||
1,299 | Stryker Corp. | 141,604 | ||||||
10 | Teleflex, Inc. | 1,558 | ||||||
1,216 | Varian Medical Systems, Inc. (a) | 98,715 | ||||||
1,577 | Zimmer Biomet Holdings, Inc. | 182,569 | ||||||
|
| |||||||
1,581,697 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.0% |
| |||||||
760 | Aetna, Inc. | 85,325 | ||||||
611 | Anthem, Inc. | 86,010 | ||||||
897 | Cardinal Health, Inc. | 70,379 | ||||||
810 | Centene Corp. (a) | 50,188 | ||||||
644 | Cigna Corp. | 89,220 | ||||||
2,476 | DaVita HealthCare Partners, Inc. (a) | 182,976 | ||||||
1,300 | Express Scripts Holding Co. (a) | 95,849 | ||||||
1,032 | HCA Holdings, Inc. (a) | 83,200 | ||||||
1,079 | Henry Schein, Inc. (a) | 182,027 | ||||||
428 | Humana, Inc. | 75,786 | ||||||
1,384 | Laboratory Corp. of America Holdings (a) | 173,443 | ||||||
373 | McKesson Corp. | 62,597 | ||||||
1,922 | Quest Diagnostics, Inc. | 144,477 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — continued |
| |||||||
112 | Tenet Healthcare Corp. (a) | 3,549 | ||||||
778 | UnitedHealth Group, Inc. | 102,447 | ||||||
1,378 | Universal Health Services, Inc., Class B | 184,211 | ||||||
|
| |||||||
1,671,684 | ||||||||
|
| |||||||
Health Care Technology — 0.3% |
| |||||||
1,826 | Cerner Corp. (a) | 102,512 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
278 | Illumina, Inc. (a) | 37,527 | ||||||
113 | Mettler-Toledo International, Inc. (a) | 40,449 | ||||||
933 | Thermo Fisher Scientific, Inc. | 134,585 | ||||||
1,242 | Waters Corp. (a) | 161,659 | ||||||
|
| |||||||
374,220 | ||||||||
|
| |||||||
Pharmaceuticals — 2.7% |
| |||||||
1,192 | AbbVie, Inc. | 72,712 | ||||||
259 | Allergan plc (Ireland) (a) | 56,089 | ||||||
1,482 | Bristol-Myers Squibb Co. | 106,971 | ||||||
1,234 | Eli Lilly & Co. | 93,204 | ||||||
92 | Jazz Pharmaceuticals plc (Ireland) (a) | 13,864 | ||||||
1,678 | Johnson & Johnson | 188,070 | ||||||
1,790 | Merck & Co., Inc. | 98,164 | ||||||
1,065 | Mylan N.V. (a) | 44,421 | ||||||
3,834 | Pfizer, Inc. | 125,410 | ||||||
2,134 | Zoetis, Inc., Class A | 100,362 | ||||||
|
| |||||||
899,267 | ||||||||
|
| |||||||
Total Health Care | 5,105,034 | |||||||
|
| |||||||
Industrials — 8.3% |
| |||||||
Aerospace & Defense — 1.7% |
| |||||||
348 | Boeing Co. (The) | 46,910 | ||||||
358 | General Dynamics Corp. | 50,306 | ||||||
558 | Honeywell International, Inc. | 63,763 | ||||||
403 | L-3 Communications Holdings, Inc., Class 3 | 53,007 | ||||||
269 | Lockheed Martin Corp. | 62,510 | ||||||
275 | Northrop Grumman Corp. | 56,721 | ||||||
470 | Raytheon Co. | 59,385 | ||||||
566 | Rockwell Collins, Inc. | 49,916 | ||||||
710 | Textron, Inc. | 27,463 | ||||||
244 | TransDigm Group, Inc. (a) | 55,600 | ||||||
403 | United Technologies Corp. | 42,061 | ||||||
|
| |||||||
567,642 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.4% |
| |||||||
676 | C.H. Robinson Worldwide, Inc. | 47,976 | ||||||
718 | United Parcel Service, Inc., Class B | 75,440 | ||||||
|
| |||||||
123,416 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 9 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Airlines — 0.6% |
| |||||||
314 | Alaska Air Group, Inc. | 22,115 | ||||||
730 | American Airlines Group, Inc. | 25,324 | ||||||
1,064 | Delta Air Lines, Inc. | 44,337 | ||||||
1,797 | JetBlue Airways Corp. (a) | 35,562 | ||||||
1,125 | Southwest Airlines Co. | 50,186 | ||||||
605 | United Continental Holdings, Inc. (a) | 27,715 | ||||||
|
| |||||||
205,239 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
908 | Masco Corp. | 27,885 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.1% |
| |||||||
511 | ADT Corp. | 21,452 | ||||||
861 | Cintas Corp. | 77,300 | ||||||
1,454 | Herman Miller, Inc. | 43,867 | ||||||
1,988 | Pitney Bowes, Inc. | 41,688 | ||||||
1,766 | Republic Services, Inc., Class A | 83,126 | ||||||
311 | Stericycle, Inc. (a) | 29,719 | ||||||
130 | Tyco International plc (Ireland) | 5,008 | ||||||
1,199 | Waste Management, Inc. | 70,489 | ||||||
|
| |||||||
372,649 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
306 | Chicago Bridge & Iron Co., N.V. | 12,316 | ||||||
719 | Fluor Corp. | 39,301 | ||||||
60 | KBR, Inc. | 934 | ||||||
|
| |||||||
52,551 | ||||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
187 | Acuity Brands, Inc. | 45,607 | ||||||
454 | Eaton Corp. plc (Ireland) | 28,725 | ||||||
589 | Emerson Electric Co. | 32,177 | ||||||
361 | Hubbell, Inc., Class B | 38,179 | ||||||
384 | Rockwell Automation, Inc. | 43,573 | ||||||
|
| |||||||
188,261 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.5% |
| |||||||
391 | 3M Co. | 65,446 | ||||||
578 | Danaher Corp. | 55,921 | ||||||
1,824 | General Electric Co. | 56,088 | ||||||
|
| |||||||
177,455 | ||||||||
|
| |||||||
Machinery — 2.0% |
| |||||||
754 | AGCO Corp. | 40,316 | ||||||
514 | Caterpillar, Inc. | 39,948 | ||||||
118 | Crane Co. | 6,557 | ||||||
496 | Cummins, Inc. | 58,047 | ||||||
600 | Deere & Co. | 50,466 | ||||||
666 | Dover Corp. | 43,756 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — continued |
| |||||||
479 | Flowserve Corp. | 23,380 | ||||||
559 | Illinois Tool Works, Inc. | 58,427 | ||||||
632 | Ingersoll-Rand plc (Ireland) | 41,421 | ||||||
1,775 | ITT Corp. | 68,107 | ||||||
1,834 | Manitowoc Co., Inc. | 10,454 | ||||||
589 | PACCAR, Inc. | 34,698 | ||||||
300 | Parker-Hannifin Corp. | 34,806 | ||||||
95 | SPX Corp. (a) | 1,530 | ||||||
95 | SPX FLOW, Inc. (a) | 2,846 | ||||||
1,078 | Stanley Black & Decker, Inc. | 120,650 | ||||||
287 | Terex Corp. | 6,856 | ||||||
644 | Trinity Industries, Inc. | 12,565 | ||||||
|
| |||||||
654,830 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
55 | Dun & Bradstreet Corp. (The) | 6,073 | ||||||
558 | Nielsen Holdings plc | 29,094 | ||||||
305 | Robert Half International, Inc. | 11,684 | ||||||
289 | Verisk Analytics, Inc., Class A (a) | 22,421 | ||||||
|
| |||||||
69,272 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
386 | Avis Budget Group, Inc. (a) | 9,689 | ||||||
1,067 | CSX Corp. | 29,097 | ||||||
558 | J.B. Hunt Transport Services, Inc. | 46,247 | ||||||
398 | Norfolk Southern Corp. | 35,864 | ||||||
335 | Ryder System, Inc. | 23,088 | ||||||
511 | Union Pacific Corp. | 44,574 | ||||||
|
| |||||||
188,559 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
934 | Fastenal Co. | 43,702 | ||||||
305 | United Rentals, Inc. (a) | 20,413 | ||||||
154 | W.W. Grainger, Inc. | 36,116 | ||||||
|
| |||||||
100,231 | ||||||||
|
| |||||||
Total Industrials | 2,727,990 | |||||||
|
| |||||||
Information Technology — 12.9% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
3,320 | Cisco Systems, Inc. | 91,267 | ||||||
522 | F5 Networks, Inc. (a) | 54,680 | ||||||
1,719 | Harris Corp. | 137,537 | ||||||
1,510 | Juniper Networks, Inc. | 35,334 | ||||||
11 | Motorola Solutions, Inc. | 827 | ||||||
820 | QUALCOMM, Inc. | 41,426 | ||||||
|
| |||||||
361,071 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
10 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Computers & Peripherals — 1.5% |
| |||||||
445 | 3D Systems Corp. (a) | 7,872 | ||||||
1,192 | Apple, Inc. | 111,738 | ||||||
1,832 | Diebold, Inc. | 48,127 | ||||||
4,966 | EMC Corp. | 129,662 | ||||||
1,170 | Hewlett Packard Enterprise Co. | 19,492 | ||||||
4,636 | HP, Inc. | 56,884 | ||||||
612 | Lexmark International, Inc., Class A | 23,623 | ||||||
1,284 | NetApp, Inc. | 30,354 | ||||||
559 | SanDisk Corp. (a) | 41,998 | ||||||
612 | Western Digital Corp. | 25,009 | ||||||
|
| |||||||
494,759 | ||||||||
|
| |||||||
Electronic Equipment & Instruments — 0.7% |
| |||||||
1,250 | Amphenol Corp., Class A | 69,788 | ||||||
1,269 | AVX Corp. | 16,776 | ||||||
2,444 | Corning, Inc. | 45,629 | ||||||
378 | Ingram Micro, Inc., Class A (a) | 13,211 | ||||||
1,388 | Leidos Holdings, Inc. | 68,859 | ||||||
374 | VeriFone Systems, Inc. (a) | 10,644 | ||||||
|
| |||||||
224,907 | ||||||||
|
| |||||||
Internet Software & Services — 1.6% |
| |||||||
673 | Akamai Technologies, Inc. (a) | 34,316 | ||||||
126 | Alphabet, Inc., Class A (a) | 89,193 | ||||||
106 | Alphabet, Inc., Class C (a) | 73,459 | ||||||
1,805 | eBay, Inc. (a) | 44,096 | ||||||
482 | Facebook, Inc., Class A (a) | 56,674 | ||||||
2,120 | IAC/Interactive Corp. (a) | 98,241 | ||||||
1,298 | VeriSign, Inc. (a) | 112,147 | ||||||
962 | Yahoo!, Inc. (a) | 35,209 | ||||||
|
| |||||||
543,335 | ||||||||
|
| |||||||
IT Services — 2.7% |
| |||||||
485 | Accenture plc (Ireland), Class A | 54,766 | ||||||
125 | Alliance Data Systems Corp. (a) | 25,414 | ||||||
635 | Automatic Data Processing, Inc. | 56,160 | ||||||
1,360 | Cognizant Technology Solutions Corp., Class A (a) | 79,383 | ||||||
792 | Computer Sciences Corp. | 26,239 | ||||||
792 | CSRA, Inc. | 20,560 | ||||||
980 | DST Systems, Inc. | 118,266 | ||||||
966 | Fidelity National Information Services, Inc. | 63,563 | ||||||
728 | Fiserv, Inc. (a) | 71,140 | ||||||
158 | FleetCor Technologies, Inc. (a) | 24,440 | ||||||
408 | Gartner, Inc. (a) | 35,565 | ||||||
330 | Global Payments, Inc. | 23,819 | ||||||
881 | International Business Machines Corp. | 128,573 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — continued |
| |||||||
511 | MasterCard, Inc., Class A | 49,562 | ||||||
1,059 | Paychex, Inc. | 55,195 | ||||||
367 | Teradata Corp. (a) | 9,285 | ||||||
160 | Total System Services, Inc. | 8,183 | ||||||
474 | Visa, Inc., Class A | 36,612 | ||||||
994 | Western Union Co. (The) | 19,880 | ||||||
|
| |||||||
906,605 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
1,538 | Analog Devices, Inc. | 86,620 | ||||||
2,835 | Applied Materials, Inc. | 58,032 | ||||||
533 | Broadcom Ltd. | 77,685 | ||||||
494 | First Solar, Inc. (a) | 27,585 | ||||||
4,392 | Intel Corp. | 132,990 | ||||||
692 | KLA-Tencor Corp. | 48,398 | ||||||
942 | Lam Research Corp. | 71,969 | ||||||
2,522 | Linear Technology Corp. | 112,178 | ||||||
3,205 | Marvell Technology Group Ltd. (Bermuda) | 31,986 | ||||||
1,469 | Maxim Integrated Products, Inc. | 52,473 | ||||||
1,269 | Microchip Technology, Inc. | 61,661 | ||||||
1,347 | Micron Technology, Inc. (a) | 14,480 | ||||||
2,073 | NVIDIA Corp. | 73,654 | ||||||
474 | Qorvo, Inc. (a) | 21,344 | ||||||
530 | Skyworks Solutions, Inc. | 35,415 | ||||||
604 | SunPower Corp., Class A (a) | 12,164 | ||||||
1,284 | Teradyne, Inc. | 24,280 | ||||||
1,614 | Texas Instruments, Inc. | 92,063 | ||||||
1,734 | Xilinx, Inc. | 74,701 | ||||||
|
| |||||||
1,109,678 | ||||||||
|
| |||||||
Software — 2.0% |
| |||||||
1,628 | Activision Blizzard, Inc. | 56,117 | ||||||
947 | Adobe Systems, Inc. (a) | 89,226 | ||||||
1,707 | CA, Inc. | 50,630 | ||||||
1,836 | Cadence Design Systems, Inc. (a) | 42,577 | ||||||
428 | Citrix Systems, Inc. (a) | 35,028 | ||||||
762 | Electronic Arts, Inc. (a) | 47,130 | ||||||
1,007 | Intuit, Inc. | 101,596 | ||||||
2,127 | Microsoft Corp. | 106,073 | ||||||
1,282 | Oracle Corp. | 51,101 | ||||||
822 | Red Hat, Inc. (a) | 60,310 | ||||||
2,337 | Symantec Corp. | 38,899 | ||||||
|
| |||||||
678,687 | ||||||||
|
| |||||||
Total Information Technology | 4,319,042 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 11 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Materials — 6.4% | ||||||||
Chemicals — 4.5% | ||||||||
350 | Air Products & Chemicals, Inc. | 51,062 | ||||||
900 | Airgas, Inc. | 128,196 | ||||||
774 | Albemarle Corp. | 51,208 | ||||||
1,337 | Ashland, Inc. | 149,209 | ||||||
636 | Cabot Corp. | 31,030 | ||||||
1,427 | Celanese Corp., Class A | 100,889 | ||||||
801 | CF Industries Holdings, Inc. | 26,489 | ||||||
228 | Chemours Co. (The) | 2,079 | ||||||
1,132 | Dow Chemical Co. (The) | 59,555 | ||||||
848 | E.I. du Pont de Nemours & Co. | 55,892 | ||||||
450 | Eastman Chemical Co. | 34,371 | ||||||
1,062 | Ecolab, Inc. | 122,109 | ||||||
294 | FMC Corp. | 12,718 | ||||||
2,019 | Huntsman Corp. | 31,779 | ||||||
1,104 | International Flavors & Fragrances, Inc. | 131,895 | ||||||
473 | LyondellBasell Industries N.V., Class A | 39,103 | ||||||
1,175 | Monsanto Co. | 110,074 | ||||||
1,564 | Mosaic Co. (The) | 43,776 | ||||||
903 | PPG Industries, Inc. | 99,682 | ||||||
1,344 | Praxair, Inc. | 157,866 | ||||||
28 | RPM International, Inc. | 1,415 | ||||||
184 | Sherwin-Williams Co. (The) | 52,865 | ||||||
104 | Valspar Corp. (The) | 11,096 | ||||||
|
| |||||||
1,504,358 | ||||||||
|
| |||||||
Construction Materials — 0.2% | ||||||||
178 | Martin Marietta Materials, Inc. | 30,123 | ||||||
241 | Vulcan Materials Co. | 25,939 | ||||||
|
| |||||||
56,062 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% | ||||||||
1,091 | Ball Corp. | 77,875 | ||||||
673 | Bemis Co., Inc. | 33,771 | ||||||
259 | Crown Holdings, Inc. (a) | 13,717 | ||||||
962 | Sealed Air Corp. | 45,560 | ||||||
|
| |||||||
170,923 | ||||||||
|
| |||||||
Metals & Mining — 1.0% | ||||||||
3,301 | Alcoa, Inc. | 36,872 | ||||||
182 | Compass Minerals International, Inc. | 13,643 | ||||||
1,368 | Freeport-McMoRan, Inc. (a) | 19,152 | ||||||
1,775 | Newmont Mining Corp. | 62,072 | ||||||
1,696 | Nucor Corp. | 84,427 | ||||||
247 | Reliance Steel & Aluminum Co. | 18,270 | ||||||
170 | Royal Gold, Inc. | 10,645 | ||||||
680 | Southern Copper Corp. | 20,176 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — continued | ||||||||
3,300 | United States Steel Corp. | 63,063 | ||||||
|
| |||||||
328,320 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% | ||||||||
379 | Domtar Corp. | 14,645 | ||||||
1,079 | International Paper Co. | 46,688 | ||||||
|
| |||||||
61,333 | ||||||||
|
| |||||||
Total Materials | 2,120,996 | |||||||
|
| |||||||
Telecommunication Services — 1.6% | ||||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
4,678 | AT&T, Inc. | 181,600 | ||||||
1,086 | CenturyLink, Inc. | 33,612 | ||||||
280 | Frontier Communications Corp. | 1,557 | ||||||
3,228 | Verizon Communications, Inc. | 164,434 | ||||||
12,758 | Windstream Holdings, Inc. | 110,739 | ||||||
|
| |||||||
491,942 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
851 | Telephone & Data Systems, Inc. | 25,164 | ||||||
8 | T-Mobile US, Inc. (a) | 315 | ||||||
236 | United States Cellular Corp. (a) | 10,063 | ||||||
|
| |||||||
35,542 | ||||||||
|
| |||||||
Total Telecommunication Services | 527,484 | |||||||
|
| |||||||
Utilities — 13.2% | ||||||||
Electric Utilities — 5.9% | ||||||||
2,545 | American Electric Power Co., Inc. | 161,607 | ||||||
2,450 | Duke Energy Corp. | 193,011 | ||||||
2,665 | Edison International, Inc. | 188,442 | ||||||
2,360 | Entergy Corp. | 177,425 | ||||||
3,313 | Eversource Energy | 186,986 | ||||||
4,218 | Exelon Corp. | 148,010 | ||||||
421 | FirstEnergy Corp. | 13,720 | ||||||
1,577 | NextEra Energy, Inc. | 185,424 | ||||||
2,488 | Pinnacle West Capital Corp. | 180,753 | ||||||
4,014 | PPL Corp. | 151,087 | ||||||
3,807 | Southern Co. (The) | 190,731 | ||||||
4,504 | Xcel Energy, Inc. | 180,295 | ||||||
|
| |||||||
1,957,491 | ||||||||
|
| |||||||
Gas Utilities — 0.2% | ||||||||
3,070 | Questar Corp. | 76,965 | ||||||
|
| |||||||
Independent Power Producers & Energy Trader — 0.1% |
| |||||||
2,614 | NRG Energy, Inc. | 39,471 | ||||||
|
| |||||||
Multi-Utilities — 7.0% | ||||||||
718 | Alliant Energy Corp. | 50,633 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Multi-Utilities — continued | ||||||||
3,698 | Ameren Corp. | 177,504 | ||||||
6,065 | CenterPoint Energy, Inc. | 130,094 | ||||||
4,501 | CMS Energy Corp. | 183,101 | ||||||
2,546 | Consolidated Edison, Inc. | 189,932 | ||||||
2,550 | Dominion Resources, Inc. | 182,248 | ||||||
2,240 | DTE Energy Co. | 199,718 | ||||||
6,720 | NiSource, Inc. | 152,611 | ||||||
2,570 | PG&E Corp. | 149,574 | ||||||
4,314 | Public Service Enterprise Group, Inc. | 199,005 | ||||||
2,740 | SCANA Corp. | 188,211 | ||||||
1,719 | Sempra Energy | 177,659 | ||||||
6,479 | TECO Energy, Inc. | 179,922 | ||||||
3,241 | WEC Energy Group, Inc. | 188,660 | ||||||
|
| |||||||
2,348,872 | ||||||||
|
| |||||||
Total Utilities | 4,422,799 | |||||||
|
| |||||||
Total Common Stocks | 33,241,122 | |||||||
|
| |||||||
Total Investments — 99.7% | 33,241,122 | |||||||
Other Assets in Excess of | 106,143 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 33,347,265 | ||||||
|
|
Percentages indicated are based on net assets.
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS:
PLC | PublicLimited Company | |
REIT | RealEstate Investment Trust | |
(a) | Non-incomeproducing security. | |
(b) | Amountrounds to less than 0.1%. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 13 |
STATEMENT OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2016 (Unaudited)
JPMorgan Diversified Return U.S. Equity ETF | ||||
ASSETS: | ||||
Investments in non-affiliates, at value | $ | 33,241,122 | ||
Cash | 110,421 | |||
Restricted cash | 1,450 | |||
Receivables: | ||||
Dividends from non-affiliates | 28,109 | |||
Due from Adviser | 22,101 | |||
Deferred offering costs | 5,191 | |||
|
| |||
Total Assets | 33,408,394 | |||
|
| |||
LIABILITIES: | ||||
Accrued Liabilities: | ||||
Professional fees | 56,489 | |||
Trustees’ and Chief Compliance Officer’s fees | 1,715 | |||
Accounting fees | 479 | |||
Custodian and Transfer Agent fees | 1,692 | |||
Other | 754 | |||
|
| |||
Total Liabilities | 61,129 | |||
|
| |||
Net Assets | $ | 33,347,265 | ||
|
| |||
NET ASSETS: | ||||
Paid-in Capital | $ | 31,957,933 | ||
Accumulated undistributed (distributions in excess of) net investment income | 170,082 | |||
Accumulated net realized gains (losses) | 42,070 | |||
Net unrealized appreciation (depreciation) | 1,177,180 | |||
|
| |||
Total Net Assets | $ | 33,347,265 | ||
|
| |||
Outstanding number of shares | 600,000 | |||
|
| |||
Net asset value, per share | $ | 55.58 | ||
|
| |||
Cost of investments in non-affiliates | $ | 32,063,942 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
STATEMENT OF OPERATIONS
FOR THE SIX MONTHS ENDED APRIL 30, 2016 (Unaudited)
JPMorgan Diversified Return U.S. Equity ETF | ||||
INVESTMENT INCOME: | ||||
Dividend income from non-affiliates | $ | 328,469 | ||
Interest income from affiliates | 42 | |||
|
| |||
Total Investment Income | 328,511 | |||
|
| |||
EXPENSES: | ||||
Investment advisory fees (Note 3.A) | 31,074 | |||
Administration fees (Note 3.B) | 11,484 | |||
Custodian and Transfer Agent fees | 6,341 | |||
Professional fees | 71,495 | |||
Trustees’ and Chief Compliance Officer’s fees | 9,381 | |||
Registration and filing fees | 1,357 | |||
Printing and mailing costs | 6,328 | |||
Offering costs | 13,328 | |||
Insurance expense | 750 | |||
Accounting fees | 2,364 | |||
Other | 17,960 | |||
|
| |||
Total expenses | 171,862 | |||
|
| |||
Less fees waived (Note 3.D) | (42,558 | ) | ||
Less expense reimbursements from affiliates (Note 3.D) | (87,181 | ) | ||
Less expense reimbursements from non-affiliates (Note 3.C) | (2,900 | ) | ||
|
| |||
Net expenses | 39,223 | |||
|
| |||
Net investment income (loss) | 289,288 | |||
|
| |||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||
Net realized gain (loss) on transactions from: | ||||
Investments in non-affiliates | 42,592 | |||
|
| |||
Net realized gain (loss) | 42,592 | |||
|
| |||
Change in net unrealized appreciation/depreciation on: | ||||
Investments in non-affiliates | 360,854 | |||
|
| |||
Change in net unrealized appreciation/depreciation | 360,854 | |||
|
| |||
Net realized/unrealized gains (losses) | 403,446 | |||
|
| |||
Change in net assets resulting from operations | $ | 692,734 | ||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 15 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Diversified Return U.S. Equity ETF | ||||||||
Six Months Ended April 30, 2016 (Unaudited) | Period Ended October 31, | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 289,288 | $ | 10,819 | ||||
Net realized gain (loss) | 42,592 | (522 | ) | |||||
Change in net unrealized appreciation/depreciation | 360,854 | 816,326 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 692,734 | 826,623 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
From net investment income | (130,025 | ) | — | |||||
|
|
|
| |||||
Total distributions to shareholders | (130,025 | ) | — | |||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 21,957,933 | 10,000,000 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 22,520,642 | 10,826,623 | ||||||
|
|
|
| |||||
Beginning of period | 10,826,623 | — | ||||||
|
|
|
| |||||
End of period | $ | 33,347,265 | $ | 10,826,623 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 170,082 | $ | 10,819 | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS: | ||||||||
Proceeds from shares issued | 21,957,933 | 10,000,000 | ||||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 21,957,933 | $ | 10,000,000 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Issued | 400,000 | 200,000 | ||||||
|
|
|
| |||||
Net increase in shares from share transactions | 400,000 | 200,000 | ||||||
|
|
|
|
(a) | Commencement of operations was September 29, 2015. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 17 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net Investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net asset value, end of period | Market price, end of period | ||||||||||||||||||||||
JPMorgan Diversified Return U.S. Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2016 (Unaudited) | $ | 54.13 | $ | 0.57 | $ | 1.14 | $ | 1.71 | $ | (0.26 | ) | $ | 55.58 | $ | 55.61 | |||||||||||||
September 29, 2015 (a) through October 31, 2015 | 50.00 | 0.06 | 4.07 | 4.13 | — | 54.13 | 54.16 |
(a) | Commencement of operations. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | 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. |
(e) | Market price total return is calculated assuming an initial investment made at the beginning of the period market price, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The market price presented to calculate the market price total return is the mid-point of the bid/ask spread at the close of business on the NYSE Arca, Inc. |
(f) | Annualized for periods less than one year, unless otherwise indicated. |
(g) | Certain non-recurring expenses incurred by the Fund were not annualized for the periods indicated. |
(h) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from the numerator are amounts relating to in-kind transactions. |
(i) | Amount rounds to less than 0.1%. |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (f) | ||||||||||||||||||||||||||
Total return (c)(d) | Market price total return (c)(e) | Net assets, end of period | Net expenses (g) | Net | Expenses without waivers and reimbursements (g) | Portfolio turnover rate (c)(h) | ||||||||||||||||||||
3.18 | % | 3.18 | % | $ | 33,347,265 | 0.29 | % | 2.14 | % | 1.27 | % | 13 | % | |||||||||||||
8.26 | 8.32 | 10,826,623 | 0.29 | 1.20 | 5.75 | — | (i) |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 19 |
AS OF APRIL 30, 2016 (Unaudited)
1. Organization
J.P. Morgan Exchange-Traded Fund Trust (the “Trust”) was formed on February 25, 2010, and is governed by a Declaration of Trust as amended and restated February 19, 2014, and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-ended management investment company. JPMorgan Diversified Return U.S. Equity ETF (the “Fund” or the “U.S. Equity ETF”) is a separate diversified series of the Trust covered in this report.
The Fund commenced operations on September 29, 2015. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the Russell 1000 Diversified Factor Index.
J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as the Adviser (“Adviser”) and Administrator (the “Administrator”) to the Fund. Prior to April 1, 2016, JPMorgan Funds Management, Inc. (“JPMFM”) served as the Fund’s administrator. Effective April 1, 2016, JPMFM merged into JPMIM, and JPMIM became the Fund’s administrator under the Administration Agreement.
Shares of the Fund are listed and traded on the NYSE Arca, Inc. Market price for the Fund’s shares may be different from its net asset value (“NAV”). The Fund issues and redeems its shares on a continuous basis, through SEI Investments Distribution Co. (the “Distributor” or “SIDCO”), at NAV in large blocks of shares, typically 100,000 shares, referred to as “Creation Units.” Creation Units are issued and redeemed principally in-kind for a basket of securities and a cash amount. Shares are generally traded in the secondary market in amounts less than a Creation Unit at market prices that change throughout the day. Only individuals or institutions that have entered into an authorized participant agreement with the Distributor may do business directly with the Fund (each an “Authorized Participant”).
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Fund in the preparation of its financial statements. The Fund is an investment company and, accordingly, follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of the U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — The valuation of the investments is in accordance with GAAP and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices, and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instruments are traded before the net asset value (“NAV”) of the Fund is calculated on a valuation date.
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 valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s 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 the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
20 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
All portfolio holdings designated as Level 1 are disclosed individually on the Schedule of Portfolio Investments (“SOIs”). Please refer to the SOIs for industry class specifics of the portfolio holdings.
There were no transfers among any levels during the period ended April 30, 2016. Transfers between fair value levels are valued utilizing values as of the beginning of the period.
B. Restricted Securities — Certain securities held by the Fund may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities act of 1933 (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Fund. As of April 30, 2016, the Fund had no investments in restricted securities.
C. Offering and Organizational Costs — Total offering costs of $18,519 incurred in connection with the offering of shares of the Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Trust, if any, were recorded as an expense at the time it commenced operations.
D. 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, is recorded on the ex-dividend date or when a fund first learns of the dividend.
To the extent such information is publicly available, the Fund records distributions received in excess of income earned 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 Fund adjusts the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds.
F. Federal Income Taxes — The Fund is treated as a separate taxable entity for Federal income tax purposes. The 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 shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Fund’s tax positions for all open tax years and has determined as of April 30, 2016, no liability for income tax is required in the Fund’s financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. 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.
G. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid annually. Net realized capital gains, if any, are distributed by the Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. 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.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser supervises the investments of the Fund and is paid a fee for such services. The fee is accrued daily and paid monthly at an annual rate of 0.23% of the Fund’s average daily net assets.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.D.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.085% of the Fund’s average daily net assets in the Trust covered by the Administration Agreement.
The Administrator waived administration fees as authorized in Note 3.D.
C. Custodian and Transfer Agent Fees — JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, provides portfolio custody and transfer agency services to the Fund. The amounts paid directly to JPMCB by the Fund for custody services are included in the Custodian and Transfer Agent fees on the Statement of Operations. With respect to the transfer agency services provided by JPMCB for each creation or redemption transaction, the Authorized Participant will generally be responsible for such associated expenses; during the period, the Fund paid no transfer agency fees to JPMCB.
Additionally, Authorized Participants generally pay transaction fees associated with the creation and redemption of Fund shares. These fees are used to offset certain custodian charges incurred by the Fund for these transactions.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 21 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2016 (Unaudited) (continued)
For the period ended April 30, 2016, the transaction fees paid by the Authorized Participants that were used to reimburse custodian fees of the Fund were $2,900.
Restricted cash on the Statement of Assets and Liabilities is cash received from Authorized Participants for the reimbursement of creation and/or redemption of Fund shares.
Interest income, earned on cash balances at the custodian, if any, is included as Interest income from affiliates in the Statement of Operations.
Interest expense paid to the custodian related to overdrafts, if any, is included in Interest expense to affiliates in the Statement of Operations.
D. Waivers and Reimbursements — The Adviser has contractually agreed to waive fees and/or reimburse the Fund to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, and extraordinary expenses) exceed 0.29% of the Fund’s average daily net assets.
The expense limitation agreements were in effect for the period ended April 30, 2016. The contractual expense limitation percentage is in place until at least February 28, 2019.
For the period ended April 30, 2016, the Fund’s service providers waived fees and/or reimbursed expenses for the Fund as follows. None of these parties expect the Fund to repay any such waived fees and/or reimbursed expenses in future years.
Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Total | Contractual Reimbursements | |||||||||||||
$ | 31,074 | $ | 11,484 | $ | 42,558 | $ | 90,081 |
Contractual Reimbursements include reimbursements outlined in Note 3.C.
E. Other — Certain officers of the Trust are affiliated with the Adviser. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Fund for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Fund in accordance with Federal securities regulations. The 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 Fund’s Statement of Operations.
During the period ended April 30, 2016, the Fund may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
4. Investment Transactions
During the period ended April 30, 2016, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
$ | 25,408,170 | $ | 3,366,426 |
During the period ended April 30, 2016, there were no purchases or sales of U.S. Government securities.
For the period ended April 30, 2016, in-kind transactions associated with creations and redemptions were $21,958,000 and $0, respectively.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at April 30, 2016, were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||||
$ | 32,063,942 | $ | 2,064,428 | $ | (887,248 | ) | $ | 1,177,180 |
There is no difference between book and tax basis appreciation (depreciation) on investments.
As of October 31, 2015, the Fund had net capital loss carryforwards, with no expiration dates, as follows:
Capital Loss Carryforward Character | ||||||||
Short-Term | Long-Term | |||||||
$ | (522 | ) | $ | — |
6. Capital Share Transactions
The Trust issues and redeems shares of the Fund only in Creation Units through the Distributor at NAV. Capital shares transactions detail can be found in the Statement of Changes in Net Assets.
22 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
Shares of the Fund may only be purchased or redeemed by Authorized Participants. An Authorized Participant is either (1) a “Participating Party” or other participant in the clearing process through the Continuous Net Settlement System of the National Securities Clearing Corporation (“NSCC”); or (2) a “DTC Participant”; which, in either case, must have executed an agreement with the Distributor.
Creation Units of the Fund may be created in advance of receipt by the Trust of all or a portion of the applicable basket of equity securities and other instruments (“Deposit Instruments”) and cash as described in the Fund’s registration statement. In these instances, the initial Deposit Instruments and cash must be deposited in an amount equal to the sum of the cash amount, plus at least 105% of the market value of undelivered Deposit Instruments. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
For more information about Creation Unit transactions please refer to the Fund’s Statement of Additional information.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Fund enters into contracts that contain a variety of representations which provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.
As of April 30, 2016, the Adviser owned 77% of the outstanding shares of the Fund.
Premium/Discount Risk — Disruptions to creations and redemptions, the existence of significant market volatility or potential lack of an active trading market for the Shares (including through a trading halt), as well as other factors, may result in Shares trading significantly above (at a premium) or below (at a discount) to the NAV or to the intraday value of the Fund’s holdings. During such periods, investors may incur significant losses if shares are sold.
Index Tracking Risk — The Fund may not track the return of the Underlying Index for a number of reasons and therefore may not achieve its investment objective. For example, the Fund incurs a number of operating expenses not applicable to the Underlying Index, and incurs costs in buying and selling securities, especially when rebalancing a Fund’s securities holdings to reflect changes in the composition of the Underlying Index.
8. Related Party Transactions
The Distributor or its agent distributes Creation Units for the Fund on an agency basis. The Distributor does not maintain a secondary market in shares of the Fund. The Distributor has no role in determining the investment policies of the Fund or the securities that are purchased or sold by the Fund. SIDCO receives no fee for its distribution services under the Distribution Agreement.
The Fund may use related party broker-dealers. For the period ended April 30, 2016, the Fund incurred no brokerage commissions with broker-dealers affiliated with the Adviser or Trust.
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 23 |
FOR THE PERIOD INDICATED (Unaudited)
The table below indicates the number of trading days in which the Fund traded within the range of the premium/discount noted. The number of days in each range is also shown as a percentage of the total trading days for the period covered in the table. All information within the table is based on historical performance. Past performance cannot be used to predict future results. Shareholders may pay more than NAV when they buy fund shares and receive less than NAV when they sell those shares because shares are bought and sold at current market prices.
U.S. Equity ETF (a) | ||||||||
Range of Premium/( Discount) | Day Count | Percentage | ||||||
Between 0.50% and -0.50% | 149 | 100.00% | ||||||
|
|
|
| |||||
149 | 100.00% | |||||||
|
|
|
|
(a) | For the period September 29, 2015 (fund inception date) to April 30, 2016. |
24 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2016 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, you incur 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 Fund and to compare these ongoing costs with the ongoing costs of investing in other funds. The examples assume that you had a $1,000 investment at the beginning of the reporting period, November 1, 2015 and continued to hold your shares at the end of the reporting period, April 30, 2016.
Actual Expenses
For the 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 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 in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s 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 Fund and other Funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value 11/1/2015 | Ending Account Value 4/30/2016 | Annualized Expense Ratios | Expenses Paid During Period (1) | |||||||||||||
JPMorgan Diversified Return U.S. Equity ETF | ||||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 1,031.80 | 0.29 | % | $ | 1.47 | ||||||||
Hypothetical 5% Return | 1,000.00 | 1,023.42 | 0.29 | % | 1.46 |
(1) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
APRIL 30, 2016 | JPMORGAN EXCHANGE-TRADED FUNDS | 25 |
J.P. Morgan Exchange-Traded Funds are distributed by SEI Investments Distribution Co. (One Freedom Valley Dr., Oaks, PA 19456), which is not affiliated with JPMorgan Chase & Co. or any of its affiliates.
Contact J.P. Morgan Exchange-Traded Funds at 1-844-457-6383 (844-4JPM ETF) for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the fund before investing. The prospectus contains this and other information about the 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.
The 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 Fund’s Forms N-Q is 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 1-844-457-6383 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 1-844-457-6383 and on the Fund’s website at www.jpmorganfunds.com. 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 Fund to the Adviser. A copy of the Fund’s 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 Fund’s website at www.jpmorganfunds.com no later than August 31 of each year. The Fund’s 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.
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., 2015. All rights reserved. April 2016. | SAR-ETF-0416 |
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.
Not applicable to a semi-annual 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.
(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)).
(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 to a semi-annual report.
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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
(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.
Not applicable to a semi-annual report.
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.
Not applicable to a semi-annual report.
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)).
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.
Not applicable.
(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.
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 Exchange-Traded Fund Trust
By: | /s/ Robert F. Deutsch | |
Robert F. Deutsch | ||
President and Principal Executive Officer | ||
June 30, 2016 |
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/ Robert F. Deutsch | |
Robert F. Deutsch | ||
President and Principal Executive Officer | ||
June 30, 2016 |
By: | /s/ Lauren A. Paino | |
Lauren A. Paino | ||
Treasurer and Principal Financial Officer | ||
June 30, 2016 |