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. JPMorgan Chase & Co. 1111 Polaris Parkway Columbus, OH 43240 | Jon S. Rand, Esq. Dechert LLP 1095 Avenue of the Americas 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, 2017 through April 30, 2018
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).
[Insert Semi—Annual Report for the period ended April 30, 2018].
Semi-Annual Report
JPMorgan Exchange-Traded Funds
April 30, 2018 (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
JPMorgan Diversified Return U.S. Equity ETF
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
JPMorgan Diversified Return U.S. Small Cap Equity ETF
JPMorgan U.S. Dividend ETF
JPMorgan U.S. Minimum Volatility ETF
JPMorgan U.S. Momentum Factor ETF
JPMorgan U.S. Quality Factor ETF
JPMorgan U.S. Value Factor ETF
CONTENTS
President’s Letter | 1 | |||
Market Overview | 2 | |||
3 | ||||
6 | ||||
8 | ||||
11 | ||||
JPMorgan Diversified Return International Currency Hedged ETF | 14 | |||
17 | ||||
20 | ||||
23 | ||||
26 | ||||
29 | ||||
32 | ||||
35 | ||||
38 | ||||
41 | ||||
Schedules of Portfolio Investments | 44 | |||
Financial Statements | 129 | |||
Financial Highlights | 146 | |||
Notes to Financial Statements | 152 | |||
Schedule of Shareholder Expenses | 173 | |||
175 | ||||
Board Approval of Investment Advisory Agreements | 177 |
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’ prospectuses 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 at net asset value) 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 3, 2018 (Unaudited)
Dear Shareholder,
As we’ve grown our ETF business, which recently surpassed $4.4 billion in assets under management, we have done so by providing investors with additional investment choices and tools to build stronger portfolios. We have broadened your tool set to include targeted exposures with our expanded suite of ETFs. For investors looking to target specific exposures within a diversified portfolio, I’m pleased to announce that we launched five single factor equity strategies and three alternative beta strategies during the six months ended April 30, 2018. Each of these strategies can be used to enhance returns or address a specific client need, like reducing volatility or diversifying away from traditional investments.
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“We have broadened your tool set to include targeted exposures with our expanded suite of ETFs.” |
While global financial markets largely had strong performance during the first half of the reporting period, the month of February 2018 was notable for a spike in U.S. Treasury bond yields, a sharp sell-off in equity markets and a return of market volatility that was largely absent in first half of the reporting period. As we expect volatility to return, we believe our ETFs can provide solutions for investors in changing markets. Our JPMorgan Minimum Volatility ETF (JMIN), whose underlying index is designed to distribute risk among sectors and stocks in
order to seek to minimize the overall portfolio volatility, generated a positive return at a competitive price of 12 basis points (net of fee waivers and expense reimbursements) for the period since inception on November 8, 2017 to April 30, 2018. One of our new alternative beta ETFs, JPMorgan Managed Futures Strategy ETF (JPMF), which provides broad exposure to managed futures strategies, may be an additional source of diversification in a rising interest rate environment. I’m also pleased to announce that JPMF earned Best New Alternatives ETF at the fifth annual ETF.com Awards held in March 2018.1
We are proud to bring J.P. Morgan’s experience and quantitative beta investment capabilities to the ETF market place. We are committed to building solutions that address your needs and help you build stronger portfolios. Thank you for your belief in our Firm and our process.
Sincerely,
Joanna M. Gallegos
President, J.P. Morgan Exchange-Traded Funds
J.P. Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
1 | ETF.com Award winners are selected by a majority vote of the ETF.com Awards Selection Committee, a group of independent ETF experts. Voting was completed by Jan. 20, 2018, and results were announced at the ETF.com U.S. Awards Dinner on March 22, 2018. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 1 |
Six Months Ended April 30, 2018 (Unaudited)
Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.
Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in oil output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.
Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked by a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in prices for equities and bonds. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.
In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility through April 2018 erased much of the stock market gains made in late 2017 for these markets.
Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to equity and bond prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.
2 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return Emerging Markets Equity ETF
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Emerging Markets Equity ETF | ||||
Net Asset Value* | 5.01% | |||
Market Price** | 4.81% | |||
JP Morgan Diversified Factor Emerging Markets Equity Index (net of foreign withholding taxes) | 5.90% | |||
FTSE Emerging Index (net of foreign withholding taxes) | 4.86% | |||
Morgan Stanley Capital International (MSCI) Emerging Markets Index (net of foreign withholding taxes) | 4.80% | |||
Net Assets as of 4/30/2018 | $ | 234,485,760 |
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 JP Morgan Diversified Factor Emerging Markets Equity 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.
HOW DID THE FUND PERFORM?
For the six months ended April 30, 2018, the Fund posted a positive absolute return and had a performance deviation of -0.89% from the Underlying Index. The Fund and the Underlying Index outperformed the FTSE Emerging Index and the MSCI Emerging Markets Index, both of which are more traditional 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 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.
The Fund’s and the Underlying Index’s allocations to the financials and oil & gas sectors were leading contributors to absolute performance, while their allocations to the consumer goods and industrials sectors were leading detractors from absolute performance. The Fund’s and the Underlying Index’s allocations to Asia, Europe, the Middle East and Africa were leading contributors to absolute performance, while their allocation to Latin America was the smallest contributors to absolute performance.
Relative to the FTSE Emerging Index, the Fund’s and the Underlying Index’s security selection in the oil & gas and basic materials sectors was a leading contributor to performance, while the Fund’s and the Underlying Index’s security selection in the telecommunications and consumer goods sectors was a leading detractor from relative performance. The Fund’s and the Underlying Index’s security selection in Asia was a leading contributor to relative performance, while their security selection in Europe, the Middle East and Africa detracted from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest sector allocations were in the financials and technology sectors, while its smallest allocations were in the health care and utilities sectors. The Fund’s largest regional allocation was in Asia and its smallest allocation was in Latin America.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 3 |
JPMorgan Diversified Return Emerging Markets Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Alibaba Group Holding Ltd., ADR | 3.0 | % | |||||
2. | Taiwan Semiconductor Manufacturing Co. Ltd. | 2.8 | ||||||
3. | Tencent Holdings Ltd. | 2.8 | ||||||
4. | Naspers Ltd., Class N | 2.7 | ||||||
5. | China Mobile Ltd. | 2.5 | ||||||
6. | Hon Hai Precision Industry Co. Ltd. | 1.6 | ||||||
7. | America Movil SAB de CV, Series L | 1.5 | ||||||
8. | PTT PCL | 1.4 | ||||||
9. | Tenaga Nasional Bhd. | 1.4 | ||||||
10. | China Construction Bank Corp., Class H | 1.2 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||
China | 25.0 | % | ||
Taiwan | 14.4 | |||
Brazil | 10.3 | |||
South Africa | 8.1 | |||
Thailand | 7.9 | |||
India | 6.9 | |||
Malaysia | 6.0 | |||
Russia | 4.6 | |||
Mexico | 3.1 | |||
Indonesia | 2.7 | |||
Chile | 1.8 | |||
Philippines | 1.8 | |||
Poland | 1.7 | |||
Turkey | 1.2 | |||
United Arab Emirates | 1.0 | |||
Others (each less than 1.0%) | 3.5 |
* | 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 $58.62 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $58.73 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
4 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return Emerging Markets Equity ETF | ||||||||||||||||
Net Asset Value | January 7, 2015 | 5.01% | 16.62% | 7.09% | ||||||||||||
Market Price | 4.81% | 16.22% | 7.15% |
LIFE OF FUND PERFORMANCE (1/07/15 TO 4/30/18)
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 JP Morgan Diversified Factor Emerging Markets Equity Index, the FTSE Emerging Index, and the MSCI Emerging Markets Index from January 7, 2015 to April 30, 2018. 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 JP Morgan Diversified Factor Emerging Markets Equity 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor Emerging Markets Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor Emerging Markets Equity Index. The FTSE Emerging Index is a market-capitalization weighted index and 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 FTSE index. 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 5 |
JPMorgan Diversified Return Europe Currency Hedged ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Europe Currency Hedged ETF | ||||
Net Asset Value* | 0.55% | |||
Market Price** | 0.34% | |||
JP Morgan Diversified Factor Europe Currency Hedged (USD) Index (net of foreign withholding taxes) (formerly named the FTSE Developed Europe Diversified Factor 100% Hedged to USD Index). | 1.29% | |||
JP Morgan Diversified Factor Europe Equity Index (net of foreign withholding taxes) (formerly FTSE Developed Europe Diversified Factor Index) | 3.08% | |||
FTSE Developed Europe Index (net of foreign withholding taxes) | 2.68% | |||
Net Assets as of 4/30/2018 | $ | 30,019,577 |
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 JP Morgan Diversified Factor Europe Currency Hedged (USD) Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is composed of large cap and mid cap equity securities of companies from developed Europe, diversified across industries and international regions. The Underlying Index uses a proprietary multifactor selection process that measures the following characteristics: valuation, momentum and quality. The Underlying Index methodology includes quarterly rebalancing. In addition to reflecting European stock performance, the Underlying Index attempts to minimize the impact of exchange rate fluctuations by hedging European currency exposure versus the U.S. dollar on a monthly basis. The Fund seeks to achieve its investment objective by investing a substantial portion of its assets in the JPMorgan Diversified Return Europe Equity ETF.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the six months ended April 30, 2018, and experienced a performance deviation of -0.74% from the Underlying Index. The Fund and the Underlying Index underperformed both the JP Morgan Diversified Factor International Equity Index, which is not hedged to the U.S. dollar, and the FTSE Developed Europe Index, which is a more traditional market capitalization weighted index that is not hedged to the U.S. dollar.
The Fund’s and the Underlying Index’s allocations to the oil & gas sector and the basic materials sector were leading contributors to absolute performance, while their allocation to the health care sector was the sole sector detractor from absolute performance. The Fund’s and the Underlying Index’s allocations to the U.K. and Finland were leading contributors to absolute performance, while their allocations to Sweden and Switzerland were the leading detractors from absolute performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest sector allocations were in the consumer goods and health care sectors, while its smallest allocations were in the oil & gas and financials sectors. The Fund’s largest country allocations were in the U.K. and Germany and its smallest allocations were in Portugal and Ireland.
* | 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 $28.59 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $28.57 as of April 30, 2018. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
6 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | | SINCE INCEPTION |
| |||||||||||
JPMorgan Diversified Return Europe Currency Hedged ETF | ||||||||||||||||
Net Asset Value | April 1, 2016 | 0.55% | 9.09% | 12.93% | ||||||||||||
Market Price | 0.34% | 8.98% | 12.87% |
LIFE OF FUND PERFORMANCE (4/01/16 TO 4/30/18)
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 JP Morgan Diversified Factor Europe Currency Hedged (USD) Index, the JP Morgan Diversified Factor Europe Equity Index, and the FTSE Developed Europe Index from April 1, 2016 to April 30, 2018. 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 JP Morgan Diversified Factor Europe Currency Hedged (USD) Index, the JP Morgan Diversified Factor Europe Equity 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor Europe Currency Hedged (USD) Index and the JP Morgan Diversified Factor Europe Equity Index and developed the proprietary factors on which the indexes are based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor Europe Currency Hedged (USD) Index and
JP Morgan Diversified Factor Europe Equity Index. The JP Morgan Diversified Factor Europe Currency hedged (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. The two JP Morgan 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 FTSE 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.
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 over-seas 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, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 7 |
JPMorgan Diversified Return Europe Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Europe Equity ETF | ||||
Net Asset Value* | 2.57% | |||
Market Price** | 2.32% | |||
JP Morgan Diversified Factor Europe Equity Index (net of foreign withholding taxes) (formerly the FTSE Developed Europe Diversified Factor Index) | 3.08% | |||
FTSE Developed Europe Index (net of foreign withholding taxes) | -0.99% | |||
Morgan Stanley Capital International (MSCI) Europe Index (net of foreign withholding taxes) | 2.47% | |||
Net Assets as of 4/30/2018 . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . | $ | 79,162,429 |
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 JP Morgan Diversified Factor Europe Equity Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is composed of large cap and mid cap equity securities of companies in developed 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.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the six months ended April 30, 2018, and had a deviation of -0.51% from the Underlying Index. Both the Fund and the Underlying Index outperformed the FTSE Developed Europe Index and the MSCI Europe Index, both of 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 the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
The Fund’s and the Underlying Index’s allocations to the oil & gas sector and the basic materials sector were leading contributors to absolute performance, while their allocation to the health care sector was the sole sector detractor from absolute performance. The Fund’s and the Underlying Index’s allocations to the U.K. and Finland were leading contributors to absolute performance, while their allocations to Sweden and Switzerland were the leading detractors from absolute performance.
Relative to the FTSE Developed Europe Index, the Fund’s and the Underlying Index’s security selection in the oil & gas and industrials sectors was a leading contributor to performance, while the Fund’s and the Underlying Index’s security selection in the technology sector was a leading detractor from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest sector allocations were in the consumer goods and health care sectors, while its smallest allocations were in the oil & gas and financials sectors. The Fund’s largest country allocations were in the U.K. and Germany and its smallest allocations were in Portugal and Ireland.
8 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | SAP SE (Germany) | 2.4 | % | |||||
2. | Iberdrola SA (Spain) | 2.1 | ||||||
3. | Vodafone Group plc (United Kingdom) | 1.9 | ||||||
4. | Capgemini SE (France) | 1.7 | ||||||
5. | Novartis AG (Registered) (Switzerland) | 1.7 | ||||||
6. | GlaxoSmithKline plc (United Kingdom) | 1.6 | ||||||
7. | ASML Holding NV (Netherlands) | 1.5 | ||||||
8. | Royal Dutch Shell plc, Class B (Netherlands) | 1.5 | ||||||
9. | Neste OYJ (Finland) | 1.4 | ||||||
10. | Swisscom AG (Registered) (Switzerland) | 1.4 |
SUMMARY OF INVESTMENTS BY COUNTRY**** | ||||
United Kingdom | 23.5 | % | ||
France | 14.1 | |||
Germany | 12.5 | |||
Switzerland | 10.8 | |||
Spain | 8.5 | |||
Netherlands | 6.3 | |||
Finland | 5.5 | |||
Sweden | 5.4 | |||
Italy | 3.0 | |||
Denmark | 2.9 | |||
Norway | 2.6 | |||
Belgium | 1.6 | |||
Portugal | 1.2 | |||
Austria | 1.1 | |||
Others (each less than 1.0%) | 1.0 |
* | 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 $60.89 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $61.02 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 9 |
JPMorgan Diversified Return Europe Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return Europe Equity ETF | ||||||||||||||||
Net Asset Value | December 18, 2015 | 2.57% | 15.21% | 11.12% | ||||||||||||
Market Price | 2.32% | 15.36% | 11.21% |
LIFE OF FUND PERFORMANCE (12/18/15 TO 4/30/18)
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 JP Morgan Diversified Factor Europe Equity Index, the FTSE Developed Europe Index, and the MSCI Europe Index from December 18, 2015 to April 30, 2018. 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 JP Morgan Diversified Factor Europe Equity Index, the FTSE Developed Europe Index, and the MSCI 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor Europe Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor Europe Equity Index. The JP Morgan Diversified Factor Europe Equity 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 the FTSE index. 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. Investors can-not 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 over-seas 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.
10 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return Global Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return Global Equity ETF | ||||
Net Asset Value* | 3.81% | |||
Market Price** | 3.50% | |||
JP Morgan Diversified Factor Global Developed Equity Index (net of foreign withholding taxes) (formerly the FTSE Developed Diversified Factor Index | 4.46% | |||
FTSE Developed Index (net of foreign withholding taxes) | 3.51% | |||
Morgan Stanley Capital International (MSCI) World Index (net of foreign withholding taxes) | 3.39% | |||
Net Assets as of 4/30/2018 | $ | 230,390,166 |
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 JP Morgan Diversified Factor Global Developed Equity 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. During the reporting period, the Underlying Index used a proprietary multi-factor selection process that utilized the following characteristics: valuation, momentum, volatility and market capitalization. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
For the six months ended April 30, 2018, the Fund posted a positive absolute performance and experienced a performance deviation of -0.65% relative to the Underlying Index. The Fund and the Underlying Index outperformed the FTSE Developed Index (net of foreign withholding taxes) and the MSCI World Index (net of foreign withholding taxes), both of which are more traditional 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 deviation against the Underlying
Index was due to specific 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.
The Fund’s and the Underlying Index’s positions in the oil & gas and consumer services sectors were leading contributors to absolute performance, while their positions in the utilities and telecommunications sectors were the smallest contributors to absolute performance.
The Fund’s and the Underlying Index’s allocations to Japan and North America were the largest contributors to absolute performance, while the Fund’s allocations to Europe and the Asia Pacific region, excluding Japan, were the smallest contributors to absolute performance.
Relative to the FTSE Developed Index, the Fund’s and the Underlying Index’s security selection in the consumer goods and oil & gas sectors were leading contributors to performance. The Fund’s and the Underlying Index’s security selection in the consumer services and technology sectors was a leading detractor from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocation was to North American markets — particularly the U.S. — with modestly smaller allocations to Asia, Japan and Europe. In terms of sectors, the Fund’s largest allocations were in the consumer goods and industrials sectors, while the smallest allocations were in the telecommunications and oil & gas sectors.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 11 |
JPMorgan Diversified Return Global Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Samsung Electronics Co. Ltd. (South Korea) | 0.6 | % | |||||
2. | CSL Ltd. (Australia) | 0.5 | ||||||
3. | SK Hynix, Inc. (South Korea) | 0.5 | ||||||
4. | Wesfarmers Ltd. (Australia) | 0.4 | ||||||
5. | Chevron Corp. (United States) | 0.4 | ||||||
6. | Johnson & Johnson. (United States) | 0.4 | ||||||
7. | Intel Corp. (United States) | 0.4 | ||||||
8. | POSCO (South Korea) | 0.4 | ||||||
9. | CK Hutchison Holdings Ltd. (Hong Kong) | 0.4 | ||||||
10. | Toyota Motor Corp. (Japan) | 0.4 |
PORTFOLIO COMPOSITION BY COUNTRY**** | ||||
United States | 26.5 | % | ||
Japan | 22.1 | |||
South Korea | 9.2 | |||
Australia | 6.8 | |||
Hong Kong | 4.4 | |||
France | 4.3 | |||
Canada | 3.6 | |||
Germany | 3.3 | |||
United Kingdom | 3.0 | |||
Sweden | 2.5 | |||
Singapore | 2.2 | |||
Switzerland | 1.8 | |||
Spain | 1.7 | |||
Netherlands | 1.5 | |||
Finland | 1.2 | |||
Norway | 1.0 | |||
Italy | 1.0 | |||
Denmark | 1.0 | |||
Others (each less than 1.0%) | 2.8 | |||
Short-Term Investment | 0.1 |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $62.27 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $62.23 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
12 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return Global Equity ETF | ||||||||||||||||
Net Asset Value | June 16, 2014 | 3.81% | 14.62% | 7.62% | ||||||||||||
Market Price | 3.50% | 14.72% | 7.59% |
LIFE OF FUND PERFORMANCE (6/16/14 TO 4/30/18)
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 JP Morgan Diversified Factor Global Developed Equity Index, the FTSE Developed Index, and the MSCI World Index from June 16, 2014 to April 30, 2018. 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 JP Morgan Diversified Factor Global Developed Equity 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor Global Developed Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor Global Developed Equity 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 FTSE index. 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 can not 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 over-seas 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, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 13 |
JPMorgan Diversified Return International Currency Hedged ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return International Currency Hedged ETF | ||||
Net Asset Value* | 1.83% | |||
Market Price** | 1.97% | |||
JP Morgan Diversified Factor International Currency Hedged (USD) Index (net of foreign withholding taxes) | 2.55% | |||
JP Morgan Diversified Factor International Equity Index (net of foreign withholding taxes) | 4.70% | |||
FTSE Developed ex North America Index (net of foreign withholding taxes) | 3.71% | |||
Net Assets as of 4/30/2018 | $ | 34,575,449 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return International Currency Hedged ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor International Currency Hedged (USD) Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is composed of large and mid cap equity securities in developed markets outside North America. During the reporting period, the Underlying Index used a proprietary multi-factor selection process that measures the following characteristics: valuation, momentum, volatility and market capitalization. In addition to reflecting international stock performance, the Underlying Index attempts to minimize the impact of exchange rate fluctuations by hedging currency exposure against the U.S. dollar on a monthly basis. The Fund seeks to achieve its investment objective by investing a substantial portion of its assets in the JPMorgan Diversified Return International Equity ETF.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute return for the six months ended April 30, 2018 and its performance deviated from the Underlying Index by -0.72%. The Fund and the Underlying Index underperformed the non-hedged FTSE Developed ex
North America Diversified Factor Index and the FTSE Developed ex North America Index, which is a traditional market capitalization weighted index that is not hedged to the U.S. dollar.
Because the Fund’s holdings 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 performance of the currency hedge, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
Relative to the FTSE Developed ex North America Index, the Fund’s and the Underlying Index’s security selection and overweight positions in the utilities sector and their security selection and underweight position in the industrials sectors were leading detractors from performance, while the Fund’s and the Underlying Index’s security selection in the consumer goods and basic materials sectors was a leading contributor to performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest sector allocations were in the consumer goods and industrials sectors, while the smallest sector allocations were in the oil & gas and telecommunications sectors. The largest regional allocation was in the Asia Pacific region, excluding Japan, while the smallest regional allocation was in the U.K.
14 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
* | 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 $30.07 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, |
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 $29.95 as of April 30, 2018. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 15 |
JPMorgan Diversified Return International Currency Hedged ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return International Currency Hedged ETF | ||||||||||||||||
Net Asset Value | April 1, 2016 | 1.83% | 10.27% | 12.90% | ||||||||||||
Market Price | 1.97% | 9.52% | 12.68% |
LIFE OF FUND PERFORMANCE (4/01/16 TO 4/30/18)
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 JP Morgan Diversified Factor International Currency Hedged (USD) Index, the JP Morgan Diversified Factor International Equity Index, and the FTSE Developed ex North America Index from April 1, 2016 to April 30, 2018. 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 JP Morgan Diversified Factor International Currency Hedged (USD) Index, the JP Morgan Diversified Factor International Equity 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor International Currency Hedged (USD) Index and the JP Morgan Diversified Factor International Equity Index and developed the proprietary factors on which the indexes are based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor International Currency Hedged (USD) Index and JP Morgan
Diversified Factor International Equity Index. The JP Morgan Diversified Factor International Currency Hedged (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 stocks 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 FTSE 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.
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 over-seas 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.
16 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return International Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return International Equity ETF | ||||
Net Asset Value* | 4.05% | |||
Market Price** | 3.93% | |||
JP Morgan Diversified Factor International Equity Index (formerly FTSE Developed ex North America Diversified Factor Index) (net of foreign withholding taxes) | 4.70% | |||
FTSE Developed ex North America Index (net of foreign withholding taxes) | 3.71% | |||
Morgan Stanley Capital International (MSCI) Europe, Australasia and Far East Index (EAFE) (net of foreign withholding taxes) | 3.41% | |||
Net Assets as of 4/30/2018 | $ | 1,541,054,899 |
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 JP Morgan Diversified Factor International Equity Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is composed of large cap and mid cap equity securities in developed markets outside North America, diversified across sectors and international regions. During the reporting period, the Underlying Index used a proprietary multi-factor selection process that measures the following characteristics: valuation, momentum, volatility and specific market capitalization. The Underlying Index methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the six months ended April 30, 2018, and its performance deviated by -0.65% from the performance of the Underlying Index. The Fund and the Underlying Index outperformed both the FTSE Developed ex North America Index and the MSCI EAFE 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 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 trading limits, the net asset value calculations, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund.
The Fund’s and the Underlying Index’s positions in the oil & gas sector and the health care sector were leading contributors to absolute performance, while their position in the technology sector was the sole sector detractor from absolute performance.
Relative to FTSE Developed ex North America Index, the Fund’s and the Underlying Index’s security selection in the health care and industrials sectors was a leading contributor to performance, while the Fund’s and the Underlying Index’s security selection in the technology and basic materials sectors was a leading detractor from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocations were in the consumer goods and consumer services sectors, while the smallest allocations were in the oil & gas and telecommunications sectors. By region, the Fund’s largest allocations were in the Asia Pacific region, excluding Japan, and Europe, excluding the U.K. The Fund had modestly smaller allocations to Japan and the U.K.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 17 |
JPMorgan Diversified Return International Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Royal Dutch Shell plc, Class A (Netherlands) | 0.9 | % | |||||
2. | BP plc (United Kingdom) | 0.9 | ||||||
3. | Samsung Electronics Co. Ltd. (South Korea) | 0.8 | ||||||
4. | GlaxoSmithKline plc (United Kingdom) | 0.6 | ||||||
5. | GKN plc (United Kingdom) | 0.5 | ||||||
6. | AstraZeneca plc (United Kingdom) | 0.5 | ||||||
7. | Vodafone Group plc (United Kingdom) | 0.5 | ||||||
8. | Diageo plc (United Kingdom) | 0.5 | ||||||
9. | Shire plc (United States) | 0.5 | ||||||
10. | BT Group plc (United Kingdom) | 0.5 |
SUMMARY OF INVESTMENTS BY COUNTRY**** | ||||
Japan | 24.7 | % | ||
United Kingdom | 18.3 | |||
South Korea | 10.6 | |||
Australia | 6.4 | |||
France | 5.7 | |||
Hong Kong | 5.3 | |||
Germany | 4.0 | |||
Sweden | 3.2 | |||
Singapore | 2.9 | |||
Switzerland | 2.4 | |||
Netherlands | 2.3 | |||
Spain | 2.1 | |||
Finland | 1.7 | |||
Norway | 1.5 | |||
Italy | 1.3 | |||
Denmark | 1.3 | |||
Belgium | 1.1 | |||
United States | 1.0 | |||
Others (each less than 1.0%) | 4.0 | |||
Short-Term Investment | 0.2 |
* | 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 $60.20 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $60.31 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
18 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return International Equity ETF | ||||||||||||||||
Net Asset Value | November 5, 2014 | 4.05% | 14.35% | 7.43% | ||||||||||||
Market Price | 3.93% | 14.23% | 7.48% |
LIFE OF FUND PERFORMANCE (11/5/14 TO 4/30/18)
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 JP Morgan Diversified Factor International Equity Index, the FTSE Developed ex North America Index, and the MSCI EAFE Index from November 5, 2014 to April 30, 2018. 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 JP Morgan Diversified Factor International Equity 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor International Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor International Equity Index. The FTSE Developed ex North America Index is
a market-capitalization weighted index representing the performance of large- and mid-cap stocks in 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 FTSE index. 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, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 19 |
JPMorgan Diversified Return U.S. Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
Reporting Period Return: | ||||
JPMorgan Diversified Return U.S. Equity ETF | ||||
Net Asset Value* | 3.31% | |||
Market Price** | 3.29% | |||
JP Morgan Diversified Factor US Equity Index (formerly Russell 1000 Diversified Factor Index) | 3.45% | |||
Russell 1000 Index | 3.83% | |||
Net Assets as of 4/30/2018 | $ | 501,751,449 |
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 JP Morgan Diversified Factor US Equity Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is composed of large cap and mid cap equity securities of U.S. companies. The Underlying Index uses a rules based proprietary multi-factor selection process that utilizes the following characteristics: valuation, momentum and quality. During the reporting period, the Underlying Index security selection process sought to exclude the least attractive stocks based on these characteristics. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance for the six months ended April 30, 2018, and its performance deviated by -0.14% from the Underlying Index. Both the Fund and the Underlying Index underperformed the Russell 1000 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
During the reporting period, the Fund’s and the Underlying Index’s positions in the consumer services and technology sectors were leading contributors to absolute performance during the reporting period, while the Fund’s and the Underlying Index’s position in the utilities sector detracted from absolute performance.
Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s overweight position and in the utilities sector and their security selection in the consumer services sector were leading detractors from performance, while their security selection in the health care sector was a leading contributor to relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s and the Underlying Index’s largest allocations were in the consumer goods and health care sectors, while the smallest allocations were in the telecommunications and oil & gas sectors.
20 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Dr Pepper Snapple Group, Inc. | 0.6 | % | |||||
2. | CMS Energy Corp. | 0.6 | ||||||
3. | American Water Works Co., Inc. | 0.6 | ||||||
4. | IAC/InterActiveCorp | 0.6 | ||||||
5. | Xcel Energy, Inc. | 0.6 | ||||||
6. | Exelon Corp. | 0.6 | ||||||
7. | American Electric Power Co., Inc. | 0.6 | ||||||
8. | Duke Energy Corp. | 0.6 | ||||||
9. | Public Service Enterprise Group, Inc. | 0.6 | ||||||
10. | Edison International | 0.6 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Health Care | 16.3 | % | ||
Consumer Discretionary | 16.1 | |||
Information Technology | 13.7 | |||
Utilities | 12.5 | |||
Consumer Staples | 10.5 | |||
Industrials | 8.5 | |||
Financials | 8.3 | |||
Materials | 6.2 | |||
Energy | 4.3 | |||
Telecommunication Services | 1.6 | |||
Real Estate | 1.5 | |||
Short-Term Investment | 0.5 |
* | 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 $69.69 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $69.72 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 21 |
JPMorgan Diversified Return U.S. Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return U.S. Equity ETF | ||||||||||||||||
Net Asset Value | September 29, 2015 | 3.31% | 10.97% | 14.93% | ||||||||||||
Market Price | 3.29% | 10.96% | 14.95% |
LIFE OF FUND PERFORMANCE (9/29/15 TO 4/30/18)
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 JP Morgan Diversified Factor US Equity Index, and the Russell 1000 Index from September 29, 2015 to April 30, 2018. 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 JP Morgan Diversified Factor US Equity 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor US Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor US Equity Index. The Russell 1000 Index is a market-capitalization weighted 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.
22 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return U.S. Mid Cap Equity ETF | ||||
Net Asset Value* | 3.17% | |||
Market Price** | 3.15% | |||
JP Morgan Diversified Factor US Mid Cap Equity Index | 3.36% | |||
Russell Midcap Index | 3.69% | |||
Net Assets as of 4/30/2018 | $ | 94,734,477 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return U.S. Mid Cap Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Mid Cap Equity Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks mid cap equity securities of U.S. companies. The Underlying Index uses a proprietary multi-factor selection process that utilizes the following characteristics: relative valuation, momentum and quality. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance and its performance deviated by -0.19% from the Underlying Index for the six months ended April 30, 2018. The Fund and the Underlying Index underperformed the Russell Midcap 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
During the reporting period, the Fund’s and the Underlying Index’s positions in the consumer services and technology sectors were leading contributors to absolute performance during the reporting period, while the Fund’s and the Underlying Index’s positions in the utilities and basic materials sectors detracted from absolute performance.
Relative to the Russell Midcap Index, the Fund’s and the Underlying Index’s overweight position in the utilities sector and their security selection in the consumer services sector were leading detractors from performance, while their security selection and underweight position in industrials sector and their underweight position in the financials sector were leading contributors to performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s and the Underlying Index’s largest allocations were in the industrials and financials sectors and the smallest allocations were in the telecommunications and oil & gas sectors.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 23 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Copart, Inc. | 0.6 | % | |||||
2. | Zoetis, Inc. | 0.6 | ||||||
3. | Edison International | 0.6 | ||||||
4. | Entergy Corp. | 0.6 | ||||||
5. | WEC Energy Group, Inc. | 0.6 | ||||||
6. | Eversource Energy | 0.6 | ||||||
7. | Sempra Energy | 0.6 | ||||||
8. | Great Plains Energy, Inc. | 0.5 | ||||||
9. | Public Service Enterprise Group, Inc. | 0.5 | ||||||
10. | PPL Corp. | 0.5 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Consumer Discretionary | 15.8 | % | ||
Information Technology | 14.5 | |||
Health Care | 13.0 | |||
Utilities | 12.8 | |||
Industrials | 12.0 | |||
Financials | 10.6 | |||
Materials | 6.6 | |||
Consumer Staples | 6.1 | |||
Real Estate | 4.1 | |||
Energy | 3.9 | |||
Telecommunication Services | 0.2 | |||
Short-Term Investment | 0.4 |
* | 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 $63.16 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $63.17 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
24 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return U.S. Mid Cap Equity ETF | ||||||||||||||||
Net Asset Value | May 11, 2016 | 3.17% | 10.13% | 13.90% | ||||||||||||
Market Price | 3.15% | 10.14% | 13.91% |
LIFE OF FUND PERFORMANCE (5/11/16 TO 4/30/18)
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 May 11, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return U.S. Mid Cap Equity ETF, JP Morgan Diversified Factor US Mid Cap Equity Index, and the Russell Midcap Index from May 11, 2016 to April 30, 2018. 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 JP Morgan Diversified Factor US Mid Cap Equity Index and Russell Midcap 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor US Mid Cap Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor US Mid Cap Equity Index. The Russell Midcap Index is a market-capitalization weighted index which measures the performance of the 800 smallest companies in the Russell 1000 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 25 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Return U.S. Small Cap Equity ETF | ||||
Net Asset Value* | 2.32% | |||
Market Price** | 2.21% | |||
JP Morgan Diversified Factor US Small Cap Equity Index | 2.49% | |||
Russell 2000 Index | 3.27% | |||
Net Assets as of 4/30/2018 | $ | 70,480,754 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Return U.S. Small Cap Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Small Cap Equity Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which tracks small cap equity securities of U.S. companies. The Underlying Index uses a proprietary multi-factor selection process that utilizes the following characteristics: relative valuation, momentum and quality. During the reporting period, 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.
HOW DID THE FUND PERFORM?
The Fund posted a positive absolute performance and a performance deviation of -0.17% relative to the Underlying Index for the six months ended April 30, 2018. Both the Fund and the Underlying Index underperformed the Russell 2000 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
During the reporting period, the Fund’s and the Underlying Index’s positions in the consumer services and health care sectors were leading contributors to absolute performance, while the Fund’s and the Underlying Index’s positions in the utilities and basic materials sectors detracted from absolute performance during the reporting period.
Relative to the Russell 2000 Index, the Fund’s and the Underlying Index’s overweight position in the utilities sector and their underweight position and security selection in the health care sector were leading detractors from performance, while their underweight position in the financial sector and their security selection and overweight position in the consumer services sector contributed to relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocations were in the consumer goods and industrials sectors and its smallest allocations were in the telecommunications and oil & gas sectors
26 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Boston Beer Co., Inc. (The), Class A | 0.9 | % | |||||
2. | Webster Financial Corp. | 0.7 | ||||||
3. | Vonage Holdings Corp. | 0.7 | ||||||
4. | Black Hills Corp. | 0.7 | ||||||
5. | Columbia Sportswear Co. | 0.7 | ||||||
6. | USANA Health Sciences, Inc. | 0.7 | ||||||
7. | Steven Madden Ltd. | 0.7 | ||||||
8. | West Pharmaceutical Services, Inc. | 0.7 | ||||||
9. | ICU Medical, Inc. | 0.7 | ||||||
10. | MAXIMUS, Inc. | 0.7 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Consumer Discretionary | 20.8 | % | ||
Industrials | 13.9 | |||
Information Technology | 13.6 | |||
Health Care | 12.3 | |||
Utilities | 11.3 | |||
Consumer Staples | 8.3 | |||
Materials | 6.6 | |||
Financials | 6.1 | |||
Energy | 3.3 | |||
Real Estate | 1.9 | |||
Telecommunication Services | 1.5 | |||
Short-Term Investment | 0.4 |
* | 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 $29.37 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $29.39 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 27 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Return U.S. Small Cap Equity ETF | ||||||||||||||||
Net Asset Value | November 15, 2016 | 2.32% | 9.19% | 12.48% | ||||||||||||
Market Price | 2.21% | 9.14% | 12.53% |
LIFE OF FUND PERFORMANCE (11/15/16 TO 4/30/18)
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 15, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return U.S. Small Cap Equity ETF, the JP Morgan Diversified Factor US Small Cap Equity Index, and the Russell 2000 Index from November 15, 2016 to April 30, 2018. 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 JP Morgan Diversified Factor US Small Cap Equity Index and Russell 2000 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 Fund’s adviser is a sponsor of the JP Morgan Diversified Factor US Small Cap Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor US Small Cap Equity Index. The Russell 2000 Index is an unmanaged index, measuring performance of the 2000 smallest stocks (on the basis of capitalization) 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.
28 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan U.S. Dividend ETF | ||||
Net Asset Value* | 0.90% | |||
Market Price** | 0.94% | |||
JP Morgan US Dividend Index | 0.99% | |||
Russell 1000 Index | 3.10% | |||
Net Assets as of 4/30/2018 | $ | 26,145,997 |
INVESTMENT OBJECTIVE***
The JPMorgan U.S. Dividend ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Dividend Index. (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which consists of large and mid cap U.S. equity securities selected to represent dividend factor characteristics. The Underlying Index uses a proprietary selection process that seeks to identify companies within each sector that have higher dividend yields over a rolling twelve month period. Within each sector, individual equity securities are also weighted to diversify risk. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
For the period from inception on November 8, 2017 to April 30, 2018, the Fund posted a positive absolute performance and experienced a performance deviation of –0.09% relative to the Underlying Index. The Fund and the Underlying Index underperformed the Russell 1000 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
On an absolute basis, the Fund’s and the Underlying Index’s allocations to the consumer services and oil & gas sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the financials and utilities sectors were leading detractors from performance.
Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selection in the financial services sector and their overweight position in the utilities sector were leading detractors from performance. The Fund’s and the Underlying Index’s security selection in the consumer services and oil & gas sectors was a leading contributor to relative performance.
Leading individual detractors from performance relative to the Russell 1000 Index included the Fund’s and the Underlying Index’s underweight positions in Amazon.com Inc. and Cisco Systems Inc. and their overweight positions in Macquarie Infrastructure Corp. Shares of Amazon.com, an online retailer, rose amid continued sales and earnings growth. Shares of Cisco Systems, a provider of technology networking products and services, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter. Shares of Macquarie Infrastructure, a provider of storage and transport of bulk petroleum products, fell after the company reduced its quarterly dividend in February 2018.
Leading individual contributors to performance relative to the Russell 1000 Index included the Funds’ and the Underlying Index’s overweight positions in Macy’s Inc. and Kohl’s Corp. and their underweight position in Apple Inc. Shares of Macy’s, a department store retailer, rose after a broad sell-off in the retail sector made the company’s relatively high dividend more attractive to investors. Shares of Kohl’s, a department store retailer, rose after the company reported better-than-expected earnings and sales for the fourth quarter of 2018. Shares of Apple, a maker of smartphones and other consumer electronics that was not held in the Fund, fell amid increased market volatility and investor concerns about the high valuation of the shares.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocations were in the utilities and consumer goods sectors and the smallest allocations were in the telecommunications and oil & gas sectors.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 29 |
JPMorgan U.S. Dividend ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Microsoft Corp. | 0.8 | % | |||||
2. | PBF Energy, Inc., Class A | 0.7 | ||||||
3. | Intel Corp. | 0.7 | ||||||
4. | Occidental Petroleum Corp. | 0.7 | ||||||
5. | AES Corp. | 0.7 | ||||||
6. | Great Plains Energy, Inc. | 0.7 | ||||||
7. | PG&E Corp. | 0.7 | ||||||
8. | Verizon Communications, Inc. | 0.7 | ||||||
9. | Chevron Corp. | 0.7 | ||||||
10. | VF Corp. | 0.7 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Utilities | 17.8 | % | ||
Consumer Discretionary | 16.6 | |||
Real Estate | 10.6 | |||
Materials | 9.1 | |||
Consumer Staples | 8.8 | |||
Health Care | 8.5 | |||
Industrials | 7.7 | |||
Information Technology | 6.7 | |||
Energy | 5.6 | |||
Financials | 4.8 | |||
Telecommunication Services | 3.5 | |||
Short-Term Investment | 0.3 |
* | 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 $24.90 as of April 30, 2018. |
** | Market price 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 $24.91 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
30 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan U.S. Dividend ETF | ||||||||
Net Asset Value | November 8, 2017 | 0.90% | ||||||
Market Price | 0.94% |
LIFE OF FUND PERFORMANCE (11/8/17 TO 4/30/18)
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 8, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Dividend ETF, the JP Morgan US Dividend Index, and the Russell 1000 Index from November 8, 2017 to April 30, 2018. 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 JP Morgan US Dividend 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 Fund’s adviser is a sponsor of the JP Morgan US Dividend Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Dividend Index. The Russell 1000 Index is a market-capitalization weighted 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 31 |
JPMorgan U.S. Minimum Volatility ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Minimum Volatility ETF | ||||
Net Asset Value* | 1.96% | |||
Market Price** | 2.00% | |||
JP Morgan US Minimum Volatility Index | 2.03% | |||
Russell 1000 Index | 3.10% | |||
Net Assets as of 4/30/2018 | $ | 26,553,151 |
INVESTMENT OBJECTIVE***
The JPMorgan Minimum Volatility ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Minimum Volatility Index (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which consists of large and mid cap U.S. equity securities selected to represent minimum volatility factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a volatility factor to identify equity securities to reduce volatility, while avoiding large weightings to single securities. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
For the period from inception on November 8, 2017 to April 30, 2018, the Fund posted a positive absolute performance and experienced a performance deviation of -0.07% relative to the Underlying Index. The Fund and the Underlying Index underperformed the Russell 1000 Index, which is a more traditional market capitalization weighted equity index.
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 operating expenses, fees and tax management of the Fund’s portfolio.
In terms of absolute performance, the Fund’s and the Underlying Index’s allocations to the health care and consumer services sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the consumer goods and utilities sectors were leading detractors from absolute performance.
Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s overweight allocation to the utilities sector and their security selection in the financials sector were leading detractors from performance during the reporting period. The Fund’s and the Underlying Index’s security selection in the technology and health care sectors was a leading contributors to performance relative to the Russell 1000 Index.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocations were to the health care and consumer goods sectors, while its smallest allocations were to the telecommunications and oil & gas sectors.
32 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Valero Energy Corp.. | 0.7 | % | |||||
2. | Phillips 66 | 0.7 | ||||||
3. | Intuit, Inc.. | 0.7 | ||||||
4. | Southern Co. (The). | 0.6 | ||||||
5. | Estee Lauder Cos., Inc. (The). | 0.6 | ||||||
6. | American Electric Power Co., Inc.. | 0.6 | ||||||
7. | Ecolab, Inc.. | 0.6 | ||||||
8. | Duke Energy Corp. | 0.6 | ||||||
9. | NextEra Energy, Inc. | 0.6 | ||||||
10. | Occidental Petroleum Corp.. | 0.6 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Health Care | 21.5 | % | ||
Utilities | 17.4 | |||
Consumer Staples | 15.6 | |||
Financials | 9.0 | |||
Consumer Discretionary | 8.0 | |||
Industrials | 7.1 | |||
Materials | 5.6 | |||
Energy | 5.3 | |||
Information Technology | 5.1 | |||
Telecommunication Services | 3.3 | |||
Real Estate | 1.8 | |||
Short-Term Investment | 0.3 |
* | 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 $25.29 as of April 30, 2018. |
** | Market price 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 $25.3 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 33 |
JPMorgan U.S. Minimum Volatility ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan U.S. Minimum Volatility ETF | ||||||||
Net Asset Value | November 8, 2017 | 1.96% | ||||||
Market Price | 2.00% |
LIFE OF FUND PERFORMANCE (11/8/17 TO 4/30/18)
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 8, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Minimum Volatility ETF, the JP Morgan US Minimum Volatility Index, and the Russell 1000 Index from November 8, 2017 to April 30, 2018. 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 JP Morgan US Minimum Volatility 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 Fund’s adviser is a sponsor of the JP Morgan US Minimum Volatility Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Minimum Volatility Index. The Russell 1000 Index is a market-capitalization weighted 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.
34 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Momentum Factor ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan U.S. Momentum Factor ETF* | 4.70% | |||
Market Price** | 4.78% | |||
JP Morgan US Momentum Factor Index | 4.82% | |||
Russell 1000 Index | 3.10% | |||
Net Assets as of 4/30/2018 | $ | 27,331,961 |
INVESTMENT OBJECTIVE***
The JPMorgan U.S. Momentum Factor ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Momentum Factor Index. (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which is composed of U.S. large and mid cap securities selected to represent positive momentum factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a momentum factor to identify the companies that have had better recent performance compared with other companies. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
For the period from inception on November 8, 2017 to April 30, 2018, the Fund posted a positive absolute performance and experienced a performance deviation of -0.12% relative to the Underlying Index. Both the Fund and the Underlying Index outperformed the Russell 1000 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
On an absolute basis, the Fund’s and the Underlying Index’s allocations to the oil & gas and consumer services sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the basic materials and utilities sectors were leading detractors from performance.
Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selection in the industrials and oil & gas sectors was a leading contributor to performance, while the Fund’s and the Underlying Index’s security selection in the basic materials and telecommunications sectors was a leading detractor from relative performance.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest positions were in the technology and financials sectors and its smallest positions were in the telecommunications and basic materials sectors.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 35 |
JPMorgan U.S. Momentum Factor ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Amazon.com, Inc. | 2.1 | % | |||||
2. | Microsoft Corp. | 2.0 | ||||||
3. | Facebook, Inc., Class A | 1.9 | ||||||
4. | Apple, Inc. | 1.9 | ||||||
5. | Visa, Inc., Class A | 1.8 | ||||||
6. | UnitedHealth Group, Inc. | 1.7 | ||||||
7. | Alphabet, Inc., Class A | 1.7 | ||||||
8. | Home Depot, Inc. (The) | 1.6 | ||||||
9. | Johnson & Johnson | 1.6 | ||||||
10. | Boeing Co. (The) | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Information Technology | 27.5 | % | ||
Consumer Discretionary | 16.0 | |||
Financials | 13.5 | |||
Health Care | 12.7 | |||
Industrials | 9.9 | |||
Energy | 6.2 | |||
Consumer Staples | 3.6 | |||
Utilities | 2.9 | |||
Materials | 2.8 | |||
Real Estate | 2.4 | |||
Telecommunication Services | 1.9 | |||
Short-Term Investment | 0.6 |
* | 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 $26.03 as of April 30, 2018. |
** | Market price 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 $26.05 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
36 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan U.S. Momentum Factor ETF |
| |||||||
Net Asset Value | November 8, 2017 | 4.70% | ||||||
Market Price | 4.78% |
LIFE OF FUND PERFORMANCE (11/8/17 TO 4/30/18)
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 8, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Momentum Factor ETF, the JP Morgan US Momentum Factor Index, and the Russell 1000 Index from November 8, 2017 to April 30, 2018. 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 JP Morgan US Momentum 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 Fund’s adviser is a sponsor of the JP Morgan US Momentum Factor Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Momentum Factor Index. The Russell 1000 Index is a market-capitalization weighted 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 37 |
JPMorgan U.S. Quality Factor ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan U.S. Quality Factor ETF | ||||
Net Asset Value* | 3.26% | |||
Market Price** | 3.30% | |||
JP Morgan US Quality Factor Index | 3.34% | |||
Russell 1000 Index | 3.10% | |||
Net Assets as of 4/30/2018 | $ | 26,896,201 |
INVESTMENT OBJECTIVE***
The JPMorgan U.S. Quality Factor ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Quality Factor Index. (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which consists of large and mid cap U.S. equity securities selected to represent quality factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a quality factor to identify higher quality companies as measures by profitability, quality of earnings and solvency. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
For the period from inception on November 8, 2017 to April 30, 2018, the Fund posted a positive absolute performance and experienced a performance deviation of –0.08% relative to the Underlying Index. Both the Fund and the Underlying Index outperformed the Russell 1000 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
On an absolute basis, the Fund’s and the Underlying Index’s allocations to the consumer goods and utilities sectors were leading detractors from performance, while the Fund’s and the Underlying Index’s allocations to the consumer services and telecommunications sectors were leading contributors to performance.
Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selection in the health care and financial services sectors was a leading detractor from relative performance. The Fund’s and the Underlying Index’s security selection in the industrials and technology sectors was a leading contributor to performance.
Leading individual contributors to performance relative to the Russell 1000 Index included the Fund’s and the Underlying Index’s underweight positions in General Electric Co. and Apple Inc. and their overweight position in Boeing Co. Shares of General Electric, an industrial conglomerate not held in the Fund, fell amid an ongoing corporate restructuring. Shares of Apple, a maker of smartphones and other consumer electronics, fell amid increased financial market volatility and investor concerns about the high valuation of the shares. Shares of Boeing, an aircraft and aerospace company, rose amid continued growth in revenue and earnings.
Leading individual detractors from performance relative to the Russell 1000 Index included the Fund’s and the Underlying Index’s underweight positions in Amazon.com Inc., Netflix Inc. and Cisco Systems Inc. Shares of Amazon.com, an online retailer not held in the Fund, rose amid continued sales and earnings growth. Shares of Netflix, a provider of online subscription entertainment that was not held in the Fund, rose amid continued growth in subscriptions, revenue and earnings. Shares of Cisco Systems, a provider of technology networking products and services, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocations were in the technology and financials sectors and its smallest allocations were in the telecommunications and basic materials sectors.
38 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Microsoft Corp. | 2.0 | % | |||||
2. | Facebook, Inc., Class A | 1.9 | ||||||
3. | Berkshire Hathaway, Inc., Class B | 1.9 | ||||||
4. | Alphabet, Inc., Class A | 1.9 | ||||||
5. | Apple, Inc. | 1.8 | ||||||
6. | Home Depot, Inc. (The) | 1.8 | ||||||
7. | Johnson & Johnson | 1.7 | ||||||
8. | Intel Corp. | 1.6 | ||||||
9. | Pfizer, Inc. | 1.6 | ||||||
10. | Exxon Mobil Corp. | 1.6 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Information Technology | 26.0 | % | ||
Financials | 13.8 | |||
Health Care | 13.2 | |||
Consumer Discretionary | 12.6 | |||
Industrials | 9.6 | |||
Consumer Staples | 8.7 | |||
Energy | 5.8 | |||
Utilities | 2.9 | |||
Real Estate | 2.8 | |||
Materials | 2.4 | |||
Telecommunication Services | 1.8 | |||
Short-Term Investment | 0.4 |
* | 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 $25.62 as of April 30, 2018. |
** | Market price 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 $25.63 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 39 |
JPMorgan U.S. Quality Factor ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan U.S. Quality Factor ETF | ||||||||
Net Asset Value | November 8, 2017 | 3.26% | ||||||
Market Price | 3.30% |
LIFE OF FUND PERFORMANCE (11/8/17 TO 4/30/18)
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 8, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Quality Factor ETF, the JP Morgan US Quality Factor Index, and the Russell 1000 Index from November 8, 2017 to April 30, 2018. 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 JP Morgan US Quality 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
Fund’s adviser is a sponsor of the JP Morgan US Quality Factor Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Quality Factor Index. The Russell 1000 Index is a market-capitalization weighted 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.
40 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Value Factor ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan U.S. Value Factor ETF | ||||
Net Asset Value* | 2.28% | |||
Market Price** | 2.36% | |||
JP Morgan US Value Factor Index | 2.57% | |||
Russell 1000 Index | 3.10% | |||
Net Assets as of 4/30/2018 | $ | 26,599,567 |
INVESTMENT OBJECTIVE***
The JPMorgan U.S. Value Factor ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Value Factor Index. (the “Underlying Index”).
INVESTMENT APPROACH
The Fund is passively managed to the Underlying Index, which consists of large and mid cap U.S. equity securities selected to represent value factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a value factor to identify companies of higher relative value as measured by book yield, earnings yield, dividend yield and cash flow yield. The Underlying Index’s methodology includes quarterly rebalancing.
HOW DID THE FUND PERFORM?
For the period from inception on November 8, 2017 to April 30, 2018, the Fund posted a positive absolute performance and experienced a performance deviation of –0.29% relative to the Underlying Index. The Fund and the Underlying Index underperformed the Russell 1000 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 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 operating expenses, fees and tax management of the Fund’s portfolio.
On an absolute basis, the Fund’s and the Underlying Index’s allocations to the oil & gas and telecommunications sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the utilities and industrials sectors were leading detractors from performance.
Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selection in the consumer services and
financials sectors was a leading detractor from performance. The Fund’s and the Underlying Index’s security selection in the consumer goods and health care sectors was a leading contributor to relative performance.
Leading individual detractors from performance relative to the Russell 1000 Index, included the Fund’s and the Underlying Index’s underweight positions in Amazon.com Inc. and Netflix Inc. and their overweight position in General Electric Co. Shares of Amazon.com, an online retailer that was not held in the Fund, rose amid continued sales and earnings growth. Shares of Netflix, a provider of online subscription entertainment that was not held in the Fund, rose amid continued growth in subscriptions, revenue and earnings. Shares of General Electric, an industrial conglomerate, fell amid an ongoing corporate restructuring.
Leading individual contributors to performance relative to the Russell 1000 Index included the Fund’s and the Underlying Index’s overweight position in Cisco Systems Inc. and their underweight positions in Alphabet Inc. and Philip Morris International Inc. Shares of Cisco Systems, a provider of technology networking products and services, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter. Shares of Alphabet, the parent company of online services and technology company Google Inc., which was not held in the Fund, fell amid an increase in financial market volatility and investor concerns about high valuation of the shares. Shares of Philip Morris International, a maker of tobacco and nicotine products that was not held in the Fund, fell after the company reported lower-than-expected earnings for the fourth quarter of 2017.
HOW WAS THE FUND POSITIONED?
During the reporting period, the Fund’s largest allocations were in the technology and financials sectors and its smallest allocations were in the telecommunications and utilities sectors.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 41 |
JPMorgan U.S. Value Factor ETF
FUND COMMENTARY
Period November 8, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
1. | Microsoft Corp. | 2.1 | % | |||||
2. | Intel Corp. | 2.0 | ||||||
3. | Apple, Inc. | 1.9 | ||||||
4. | Wells Fargo & Co. | 1.9 | ||||||
5. | Cisco Systems, Inc. | 1.8 | ||||||
6. | Exxon Mobil Corp. | 1.7 | ||||||
7. | Pfizer, Inc. | 1.7 | ||||||
8. | Chevron Corp. | 1.6 | ||||||
9. | Johnson & Johnson | 1.6 | ||||||
10. | UnitedHealth Group, Inc. | 1.4 |
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
Information Technology | 20.2 | % | ||
Financials | 15.2 | |||
Health Care | 14.2 | |||
Consumer Discretionary | 14.1 | |||
Industrials | 12.8 | |||
Energy | 6.4 | |||
Consumer Staples | 5.6 | |||
Materials | 3.8 | |||
Utilities | 3.1 | |||
Real Estate | 2.4 | |||
Telecommunication Services | 1.9 | |||
Short-Term Investment | 0.3 |
* | 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 $25.33 as of April 30, 2018. |
** | Market price 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 $25.35 as of April 30, 2018. |
*** | 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, 2018. The Fund’s composition is subject to change. |
42 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | SINCE INCEPTION | |||||||
JPMorgan U.S. Value Factor ETF | ||||||||
Net Asset Value | November 8, 2017 | 2.28% | ||||||
Market Price | 2.36% |
LIFE OF FUND PERFORMANCE (11/8/17 TO 4/30/18)
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 8, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Value Factor ETF, the JP Morgan US Value Factor Index, and the Russell 1000 Index from November 8, 2017 to April 30, 2018. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan US Value Factor Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The
Fund’s adviser is a sponsor of the JP Morgan US Value Factor Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Value Factor Index. The Russell 1000 Index is a market-capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. Investors cannot invest directly in an index.
Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or redemption or sale of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 43 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.6% | ||||||||
Brazil — 10.3% |
| |||||||
20,738 | AES Tiete Energia SA | 67,544 | ||||||
11,000 | Alpargatas SA (Preference) | 49,015 | ||||||
339,888 | Ambev SA (Preference) | 2,262,557 | ||||||
7,556 | Azul SA (Preference)* | 77,993 | ||||||
94,776 | B3 SA — Brasil Bolsa Balcao | 683,117 | ||||||
42,931 | Banco Bradesco SA | 392,644 | ||||||
165,039 | Banco Bradesco SA (Preference) | 1,626,269 | ||||||
9,776 | Banco BTG Pactual SA | 63,905 | ||||||
62,845 | Banco do Brasil SA | 658,732 | ||||||
8,556 | Banco do Estado do Rio Grande do Sul SA (Preference), Class B | 48,847 | ||||||
19,554 | Banco Santander Brasil SA | 212,888 | ||||||
33,725 | BB Seguridade Participacoes SA | 264,836 | ||||||
11,199 | Bradespar SA (Preference) | 113,166 | ||||||
11,504 | Braskem SA (Preference), Class A | 149,186 | ||||||
69,388 | CCR SA | 238,081 | ||||||
41,776 | Centrais Eletricas Brasileiras SA* | 227,412 | ||||||
30,556 | Centrais Eletricas Brasileiras SA (Preference)* | 197,648 | ||||||
2,305 | Cia de Gas de Sao Paulo — COMGAS (Preference) | 38,629 | ||||||
45,515 | Cia de Saneamento Basico do Estado de Sao Paulo | 455,514 | ||||||
6,248 | Cia de Transmissao de Energia Eletrica Paulista (Preference) | 120,762 | ||||||
10,224 | Cia Energetica de Minas Gerais | 22,443 | ||||||
124,053 | Cia Energetica de Minas Gerais (Preference) | 299,580 | ||||||
13,566 | Cia Paranaense de Energia (Preference) | 104,169 | ||||||
35,000 | Cia Siderurgica Nacional SA* | 88,319 | ||||||
56,860 | Cielo SA | 312,120 | ||||||
11,888 | Cosan SA Industria e Comercio | 135,637 | ||||||
39,904 | EDP — Energias do Brasil SA | 157,989 | ||||||
23,444 | Energisa SA | 221,711 | ||||||
18,695 | Engie Brasil Energia SA | 198,786 | ||||||
22,692 | Equatorial Energia SA | 460,615 | ||||||
20,328 | Estacio Participacoes SA | 184,003 | ||||||
13,851 | Fibria Celulose SA | 271,785 | ||||||
26,087 | Fleury SA | 194,431 | ||||||
58,008 | Gerdau SA (Preference) | 275,535 | ||||||
6,523 | Grendene SA | 50,777 | ||||||
556 | Guararapes Confeccoes SA | 21,815 | ||||||
28,888 | Hypera SA | 259,177 | ||||||
4,757 | IRB Brasil Resseguros S/A | 63,876 | ||||||
152,670 | Itau Unibanco Holding SA (Preference) | 2,216,922 | ||||||
197,773 | Itausa — Investimentos Itau SA (Preference) | 764,965 | ||||||
83,227 | JBS SA | 208,115 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Brazil — continued | ||||||||
47,234 | Klabin SA | 285,707 | ||||||
121,320 | Kroton Educacional SA | 487,261 | ||||||
37,028 | Localiza Rent a Car SA* | 293,839 | ||||||
55,875 | Lojas Renner SA | 518,365 | ||||||
6,760 | M Dias Branco SA* | 84,867 | ||||||
5,776 | Magazine Luiza SA | 175,051 | ||||||
14,437 | Natura Cosmeticos SA | 133,194 | ||||||
35,900 | Odontoprev SA | 154,024 | ||||||
179,770 | Petroleo Brasileiro SA* | 1,269,556 | ||||||
229,024 | Petroleo Brasileiro SA (Preference)* | 1,502,333 | ||||||
4,627 | Porto Seguro SA | 59,766 | ||||||
12,769 | Sao Martinho SA | 61,782 | ||||||
4,445 | Smiles Fidelidade SA | 91,547 | ||||||
10,772 | Sul America SA | 66,541 | ||||||
56,293 | Telefonica Brasil SA (Preference) | 793,649 | ||||||
107,892 | TIM Participacoes SA | 490,922 | ||||||
25,106 | Transmissora Alianca de Energia Eletrica SA | 153,293 | ||||||
23,299 | Usinas Siderurgicas de Minas Gerais SA (Preference), Class A | 72,227 | ||||||
192,928 | Vale SA | 2,678,148 | ||||||
10,000 | Via Varejo SA | 84,323 | ||||||
48,245 | WEG SA | 244,723 | ||||||
|
| |||||||
24,162,633 | ||||||||
|
| |||||||
Chile — 1.8% | ||||||||
358,146 | Aguas Andinas SA, Class A | 238,018 | ||||||
1,259,738 | Banco de Chile | 208,033 | ||||||
2,275 | Banco de Credito e Inversiones | 171,845 | ||||||
3,027,550 | Banco Santander Chile | 251,341 | ||||||
11,511 | Cia Cervecerias Unidas SA | 159,318 | ||||||
947,545 | Colbun SA | 235,774 | ||||||
19,997 | Embotelladora Andina SA (Preference), Class B | 99,499 | ||||||
67,192 | Empresas CMPC SA | 274,022 | ||||||
25,375 | Empresas COPEC SA | 414,243 | ||||||
3,691,159 | Enel Americas SA | 843,112 | ||||||
3,588,921 | Enel Chile SA | 446,860 | ||||||
42,924 | Enel Generacion Chile SA | 34,098 | ||||||
26,414 | Latam Airlines Group SA | 405,081 | ||||||
28,236 | Parque Arauco SA | 87,476 | ||||||
5,724 | Sociedad Quimica y Minera de Chile SA (Preference), Class B | 313,478 | ||||||
|
| |||||||
4,182,198 | ||||||||
|
| |||||||
China — 25.0% | ||||||||
4,400 | 58.com, Inc., ADR* | 384,516 | ||||||
42,000 | Agile Group Holdings Ltd. | 82,849 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
China — continued | ||||||||
793,000 | Agricultural Bank of China Ltd., Class H | 447,103 | ||||||
104,000 | Air China Ltd., Class H | 137,103 | ||||||
39,400 | Alibaba Group Holding Ltd., ADR* | 7,034,476 | ||||||
164,000 | Aluminum Corp. of China Ltd., Class H* | 92,625 | ||||||
48,000 | Angang Steel Co. Ltd., Class H | 51,452 | ||||||
52,000 | Anhui Conch Cement Co. Ltd., Class H | 324,557 | ||||||
73,000 | ANTA Sports Products Ltd. | 416,552 | ||||||
1,800 | Autohome, Inc., ADR | 175,590 | ||||||
151,000 | AviChina Industry & Technology Co. Ltd., Class H | 95,206 | ||||||
84,000 | BAIC Motor Corp. Ltd., Class H (a) (b) | 81,085 | ||||||
8,900 | Baidu, Inc., ADR* | 2,233,010 | ||||||
2,368,000 | Bank of China Ltd., Class H | 1,285,424 | ||||||
242,000 | Bank of Communications Co. Ltd., Class H | 198,025 | ||||||
105,000 | BBMG Corp., Class H | 47,891 | ||||||
74,000 | Beijing Capital International Airport Co. Ltd., Class H | 100,786 | ||||||
22,000 | Beijing Enterprises Holdings Ltd. | 109,888 | ||||||
488,000 | Beijing Enterprises Water Group Ltd. | 283,324 | ||||||
40,700 | BOE Technology Group Co. Ltd., Class B | 17,556 | ||||||
168,000 | Brilliance China Automotive Holdings Ltd. | 299,127 | ||||||
34,500 | BYD Electronic International Co. Ltd. | 52,606 | ||||||
1,294,000 | CGN Power Co. Ltd., Class H (a) (b) | 352,879 | ||||||
126,000 | China Agri-Industries Holdings Ltd. | 52,885 | ||||||
78,000 | China BlueChemical Ltd., Class H | 20,500 | ||||||
289,000 | China Cinda Asset Management Co. Ltd., Class H | 103,146 | ||||||
256,000 | China CITIC Bank Corp. Ltd., Class H | 183,001 | ||||||
87,000 | China Coal Energy Co. Ltd., Class H | 37,717 | ||||||
193,000 | China Communications Construction Co. Ltd., Class H | 222,371 | ||||||
108,000 | China Communications Services Corp. Ltd., Class H | 67,805 | ||||||
68,000 | China Conch Venture Holdings Ltd. | 211,110 | ||||||
2,759,000 | China Construction Bank Corp., Class H | 2,890,491 | ||||||
92,000 | China Eastern Airlines Corp. Ltd., Class H | 75,998 | ||||||
94,000 | China Everbright Bank Co., Ltd., Class H | 46,976 | ||||||
114,000 | China Everbright International Ltd. | 159,903 | ||||||
28,000 | China Everbright Ltd. | 61,616 | ||||||
84,000 | China Evergrande Group* | 266,076 | ||||||
115,000 | China Galaxy Securities Co. Ltd., Class H | 75,536 | ||||||
297,000 | China Huarong Asset Management Co. Ltd., Class H (a) (b) | 102,289 | ||||||
20,800 | China International Capital Corp. Ltd., Class H (a) (b) | 47,062 | ||||||
174,000 | China Jinmao Holdings Group Ltd. | 98,497 |
SHARES | INVESTMENTS | VALUE($) | ||||||
China — continued | ||||||||
230,000 | China Life Insurance Co. Ltd., Class H | 652,271 | ||||||
1,200 | China Lodging Group Ltd., ADR | 167,592 | ||||||
144,000 | China Longyuan Power Group Corp. Ltd., Class H | 141,440 | ||||||
41,000 | China Machinery Engineering Corp., Class H | 23,820 | ||||||
137,000 | China Medical System Holdings Ltd. | 335,482 | ||||||
117,500 | China Merchants Bank Co. Ltd., Class H | 512,347 | ||||||
56,000 | China Merchants Port Holdings Co. Ltd. | 125,124 | ||||||
27,800 | China Merchants Securities Co. Ltd., Class H (a) (b) | 38,937 | ||||||
164,000 | China Minsheng Banking Corp. Ltd., Class H | 153,471 | ||||||
605,500 | China Mobile Ltd. | 5,768,293 | ||||||
156,000 | China Molybdenum Co. Ltd., Class H* | 117,229 | ||||||
166,250 | China National Building Material Co. Ltd., Class H | 194,229 | ||||||
74,000 | China Oilfield Services Ltd., Class H | 73,829 | ||||||
114,000 | China Overseas Land & Investment Ltd. | 381,972 | ||||||
77,600 | China Pacific Insurance Group Co. Ltd., Class H | 342,424 | ||||||
1,062,000 | China Petroleum & Chemical Corp., Class H | 1,034,239 | ||||||
504,000 | China Power International Development Ltd. | 135,104 | ||||||
82,500 | China Railway Construction Corp. Ltd., Class H | 97,699 | ||||||
166,000 | China Railway Group Ltd., Class H | 133,054 | ||||||
69,000 | China Railway Signal & Communication Corp. Ltd., Class H (a) (b) | 53,794 | ||||||
207,000 | China Reinsurance Group Corp., Class H | 43,610 | ||||||
74,000 | China Resources Cement Holdings Ltd. | 77,632 | ||||||
92,000 | China Resources Gas Group Ltd. | 338,340 | ||||||
82,000 | China Resources Land Ltd. | 307,970 | ||||||
192,000 | China Resources Pharmaceutical Group Ltd. (a) (b) | 265,432 | ||||||
218,000 | China Resources Power Holdings Co. Ltd. | 418,149 | ||||||
144,500 | China Shenhua Energy Co. Ltd., Class H | 354,438 | ||||||
102,000 | China South City Holdings Ltd. | 22,178 | ||||||
112,000 | China Southern Airlines Co. Ltd., Class H | 120,597 | ||||||
76,000 | China State Construction International Holdings Ltd. | 98,842 | ||||||
43,800 | China Taiping Insurance Holdings Co. Ltd. | 146,475 | ||||||
1,610,000 | China Telecom Corp. Ltd., Class H | 780,419 | ||||||
248,000 | China Traditional Chinese Medicine Holdings Co. Ltd. | 213,251 | ||||||
40,600 | China Vanke Co. Ltd., Class H | 167,794 | ||||||
58,800 | China Zhongwang Holdings Ltd. | 32,945 | ||||||
50,800 | Chongqing Changan Automobile Co. Ltd., Class B | 47,451 | ||||||
84,000 | Chongqing Rural Commercial Bank Co. Ltd., Class H | 64,258 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 45 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
China — continued | ||||||||
104,000 | CIFI Holdings Group Co. Ltd. | 81,895 | ||||||
26,000 | CIMC Enric Holdings Ltd. | 26,894 | ||||||
214,000 | CITIC Ltd. | 326,350 | ||||||
69,500 | CITIC Securities Co. Ltd., Class H | 169,422 | ||||||
666,000 | CNOOC Ltd. | 1,126,681 | ||||||
60,000 | COSCO SHIPPING Energy Transportation Co. Ltd., Class H | 29,628 | ||||||
108,500 | COSCO SHIPPING Holdings Co. Ltd., Class H* | 55,112 | ||||||
76,000 | COSCO SHIPPING Ports Ltd. | 66,840 | ||||||
218,000 | Country Garden Holdings Co. Ltd. | 444,516 | ||||||
172,000 | CRRC Corp. Ltd., Class H | 152,027 | ||||||
502,000 | CSPC Pharmaceutical Group Ltd. | 1,278,623 | ||||||
123,000 | Dali Foods Group Co. Ltd. (a) (b) | 85,147 | ||||||
330,000 | Datang International Power Generation Co. Ltd., Class H | 108,082 | ||||||
15,200 | Dongfang Electric Corp. Ltd., Class H* | 11,858 | ||||||
174,000 | Dongfeng Motor Group Co. Ltd., Class H | 192,415 | ||||||
83,000 | ENN Energy Holdings Ltd. | 776,177 | ||||||
66,000 | Far East Horizon Ltd. | 65,491 | ||||||
94,076 | Fosun International Ltd. | 199,911 | ||||||
30,800 | Fuyao Glass Industry Group Co. Ltd., Class H (a) (b) | 105,862 | ||||||
288,000 | Geely Automobile Holdings Ltd. | 757,449 | ||||||
48,200 | GF Securities Co. Ltd., Class H | 84,861 | ||||||
185,500 | Great Wall Motor Co. Ltd., Class H | 192,401 | ||||||
23,000 | Greentown China Holdings Ltd. | 30,310 | ||||||
336,000 | Guangdong Investment Ltd. | 520,072 | ||||||
86,000 | Guangshen Railway Co. Ltd., Class H | 49,869 | ||||||
138,000 | Guangzhou Automobile Group Co. Ltd., Class H | 252,777 | ||||||
26,000 | Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H | 100,023 | ||||||
31,200 | Guangzhou R&F Properties Co. Ltd., Class H | 74,181 | ||||||
25,400 | Guotai Junan Securities Co. Ltd., Class H* (a) (b) | 59,539 | ||||||
26,000 | Haitian International Holdings Ltd. | 69,194 | ||||||
105,600 | Haitong Securities Co. Ltd., Class H | 144,187 | ||||||
9,000 | Health and Happiness H&H International Holdings Ltd.* | 64,642 | ||||||
43,000 | Hengan International Group Co. Ltd. | 382,414 | ||||||
184,000 | Huadian Power International Corp. Ltd., Class H | 74,669 | ||||||
492,000 | Huaneng Power International, Inc., Class H | 325,163 | ||||||
214,000 | Huaneng Renewables Corp. Ltd., Class H | 95,038 | ||||||
53,400 | Huatai Securities Co. Ltd., Class H (a) (b) | 108,166 | ||||||
2,427,000 | Industrial & Commercial Bank of China Ltd., Class H | 2,130,619 |
SHARES | INVESTMENTS | VALUE($) | ||||||
China — continued | ||||||||
42,900 | Inner Mongolia Yitai Coal Co. Ltd., Class B | 55,600 | ||||||
56,000 | Jiangsu Expressway Co. Ltd., Class H | 76,783 | ||||||
49,000 | Jiangxi Copper Co. Ltd., Class H | 69,663 | ||||||
114,000 | Kunlun Energy Co. Ltd. | 97,609 | ||||||
38,236 | KWG Property Holding Ltd. | 51,506 | ||||||
16,900 | Legend Holdings Corp., Class H (a) (b) | 56,410 | ||||||
96,500 | Li Ning Co. Ltd.* | 108,655 | ||||||
11,010 | Livzon Pharmaceutical Group, Inc., Class H | 79,305 | ||||||
32,000 | Logan Property Holdings Co. Ltd. | 46,917 | ||||||
44,500 | Longfor Properties Co. Ltd. | 133,088 | ||||||
188,000 | Luye Pharma Group Ltd. | 199,316 | ||||||
74,000 | Maanshan Iron & Steel Co. Ltd., Class H* | 36,323 | ||||||
125,000 | Metallurgical Corp. of China Ltd., Class H | 39,914 | ||||||
3,100 | Momo, Inc., ADR* | 108,190 | ||||||
26,800 | New China Life Insurance Co. Ltd., Class H | 124,952 | ||||||
26,000 | Orient Securities Co. Ltd., Class H (a) (b) | 22,356 | ||||||
257,000 | People’s Insurance Co. Group of China Ltd. (The), Class H | 120,992 | ||||||
866,000 | PetroChina Co. Ltd., Class H | 638,129 | ||||||
140,000 | PICC Property & Casualty Co. Ltd., Class H | 250,624 | ||||||
156,000 | Ping An Insurance Group Co. of China Ltd., Class H | 1,524,338 | ||||||
56,000 | Poly Property Group Co. Ltd. | 26,028 | ||||||
177,000 | Postal Savings Bank of China Co. Ltd., Class H (a) (b) | 121,263 | ||||||
19,600 | Red Star Macalline Group Corp. Ltd., Class H (a) (b) | 26,319 | ||||||
19,800 | Shandong Chenming Paper Holdings Ltd., Class B | 27,980 | ||||||
14,000 | Shandong Chenming Paper Holdings Ltd., Class H | 21,258 | ||||||
192,000 | Shandong Weigao Group Medical Polymer Co. Ltd., Class H | 117,991 | ||||||
55,000 | Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H | 298,339 | ||||||
20,000 | Shanghai Industrial Holdings Ltd. | 52,446 | ||||||
97,100 | Shanghai Pharmaceuticals Holding Co. Ltd., Class H | 265,051 | ||||||
36,544 | Shenzhen International Holdings Ltd. | 79,845 | ||||||
94,829 | Shenzhen Investment Ltd. | 38,327 | ||||||
43,000 | Shenzhou International Group Holdings Ltd. | 469,398 | ||||||
36,500 | Shimao Property Holdings Ltd. | 96,545 | ||||||
74,000 | Sinofert Holdings Ltd.* | 8,807 | ||||||
86,000 | Sino-Ocean Group Holding Ltd. | 59,715 | ||||||
62,000 | Sinopec Engineering Group Co. Ltd., Class H | 63,922 | ||||||
144,000 | Sinopec Shanghai Petrochemical Co. Ltd., Class H | 95,617 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
China — continued | ||||||||
88,000 | Sinotrans Ltd., Class H | 50,420 | ||||||
27,000 | Sinotruk Hong Kong Ltd. | 31,634 | ||||||
58,000 | SOHO China Ltd. | 29,782 | ||||||
66,000 | Sunac China Holdings Ltd. | 280,350 | ||||||
27,800 | Sunny Optical Technology Group Co. Ltd. | 453,630 | ||||||
133,300 | Tencent Holdings Ltd. | 6,553,418 | ||||||
20,000 | Tianhe Chemicals Group Ltd.* (a) (b)‡ | — | ||||||
19,100 | Vipshop Holdings Ltd., ADR* | 295,668 | ||||||
82,000 | Weichai Power Co. Ltd., Class H | 94,927 | ||||||
39,500 | Wuxi Biologics Cayman, Inc.* (a) (b) | 358,302 | ||||||
22,440 | Xinjiang Goldwind Science & Technology Co. Ltd., Class H | 42,493 | ||||||
95,200 | Yangzijiang Shipbuilding Holdings Ltd. | 83,133 | ||||||
84,000 | Yanzhou Coal Mining Co. Ltd., Class H | 105,111 | ||||||
186,000 | Yuexiu Property Co. Ltd. | 41,847 | ||||||
1,300 | YY, Inc., ADR* | 125,307 | ||||||
64,000 | Zhejiang Expressway Co. Ltd., Class H | 65,723 | ||||||
38,000 | Zhongsheng Group Holdings Ltd. | 108,934 | ||||||
22,500 | Zhuzhou CRRC Times Electric Co. Ltd., Class H | 119,292 | ||||||
238,000 | Zijin Mining Group Co. Ltd., Class H | 107,957 | ||||||
56,400 | Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H | 24,226 | ||||||
|
| |||||||
58,508,920 | ||||||||
|
| |||||||
Colombia — 0.4% | ||||||||
12,470 | Bancolombia SA | 149,518 | ||||||
22,030 | Bancolombia SA (Preference) | 262,890 | ||||||
281,292 | Ecopetrol SA | 309,436 | ||||||
53,025 | Interconexion Electrica SA ESP | 271,453 | ||||||
|
| |||||||
993,297 | ||||||||
|
| |||||||
Czech Republic — 0.4% | ||||||||
20,640 | CEZ A/S | 527,819 | ||||||
3,512 | Komercni banka A/S | 151,523 | ||||||
23,889 | Moneta Money Bank A/S (a) (b) | 85,868 | ||||||
|
| |||||||
765,210 | ||||||||
|
| |||||||
Egypt — 0.2% | ||||||||
47,927 | Commercial International Bank Egypt SAE | 254,769 | ||||||
9,333 | Eastern Tobacco | 108,512 | ||||||
24,477 | Egyptian Financial Group-Hermes Holding Co. | 36,227 | ||||||
4,443 | ElSewedy Electric Co. | 63,284 | ||||||
46,306 | Talaat Moustafa Group | 35,661 | ||||||
|
| |||||||
498,453 | ||||||||
|
| |||||||
Greece — 0.4% | ||||||||
64,524 | Alpha Bank AE* | 170,460 | ||||||
89,128 | Eurobank Ergasias SA* | 112,498 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Greece — continued | ||||||||
8,035 | JUMBO SA | 147,077 | ||||||
3,214 | Motor Oil Hellas Corinth Refineries SA | 76,580 | ||||||
6,026 | Mytilineos Holdings SA | 72,663 | ||||||
263,318 | National Bank of Greece SA* | 109,471 | ||||||
16,548 | OPAP SA | 198,003 | ||||||
|
| |||||||
886,752 | ||||||||
|
| |||||||
Hong Kong — 0.8% | ||||||||
64,400 | China Gas Holdings Ltd. | 228,213 | ||||||
531,000 | GCL-Poly Energy Holdings Ltd.* | 65,682 | ||||||
74,000 | Haier Electronics Group Co. Ltd. | 256,023 | ||||||
27,500 | Kingboard Chemical Holdings Ltd. | 111,878 | ||||||
41,500 | Kingboard Laminates Holdings Ltd. | 55,315 | ||||||
64,000 | Lee & Man Paper Manufacturing Ltd. | 70,495 | ||||||
67,000 | Nine Dragons Paper Holdings Ltd. | 99,928 | ||||||
477,000 | Sino Biopharmaceutical Ltd. | 1,004,471 | ||||||
|
| |||||||
1,892,005 | ||||||||
|
| |||||||
Hungary — 0.3% | ||||||||
24,825 | MOL Hungarian Oil & Gas plc | 286,872 | ||||||
11,562 | OTP Bank Nyrt | 504,143 | ||||||
|
| |||||||
791,015 | ||||||||
|
| |||||||
India — 6.9% | ||||||||
11,238 | Adani Enterprises Ltd. | 23,395 | ||||||
7,696 | Adani Green Energy Ltd.*‡ | 2,254 | ||||||
35,717 | Adani Ports & Special Economic Zone Ltd. | 217,469 | ||||||
50,558 | Ashok Leyland Ltd. | 124,007 | ||||||
30,834 | Aurobindo Pharma Ltd. | 295,828 | ||||||
4,028 | Avenue Supermarts Ltd.* (a) (b) | 89,395 | ||||||
5,259 | Bajaj Auto Ltd. | 231,739 | ||||||
5,309 | Bajaj Finance Ltd. | 151,074 | ||||||
1,201 | Bajaj Finserv Ltd. | 98,344 | ||||||
812 | Bajaj Holdings & Investment Ltd. | 32,857 | ||||||
8,112 | Bharat Forge Ltd. | 93,767 | ||||||
41,776 | Bharat Petroleum Corp. Ltd. | 241,609 | ||||||
1,727 | Britannia Industries Ltd. | 142,550 | ||||||
3,633 | Canara Bank | 14,361 | ||||||
53,000 | Coal India Ltd. | 225,811 | ||||||
8,924 | Divi’s Laboratories Ltd. | 159,574 | ||||||
23,006 | GAIL India Ltd. | 111,792 | ||||||
23,006 | HCL Technologies Ltd. | 362,023 | ||||||
5,924 | Hero MotoCorp Ltd. | 330,305 | ||||||
37,816 | Hindalco Industries Ltd. | 132,430 | ||||||
25,744 | Hindustan Petroleum Corp. Ltd. | 116,994 | ||||||
43,449 | Hindustan Unilever Ltd. | 978,623 | ||||||
9,850 | Hindustan Zinc Ltd. | 48,121 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 47 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
India — continued | ||||||||
49,609 | Housing Development Finance Corp. Ltd. | 1,397,069 | ||||||
5,671 | IDFC Ltd. | 4,962 | ||||||
9,955 | Indiabulls Housing Finance Ltd. | 194,001 | ||||||
97,200 | Indian Oil Corp. Ltd. | 235,210 | ||||||
77,874 | Infosys Ltd. | 1,395,681 | ||||||
5,832 | InterGlobe Aviation Ltd. (a) (b) | 122,222 | ||||||
15,270 | Jindal Steel & Power Ltd. | 57,147 | ||||||
43,935 | JSW Energy Ltd. | 55,364 | ||||||
50,398 | JSW Steel Ltd. | 243,912 | ||||||
13,584 | L&T Finance Holdings Ltd. | 35,030 | ||||||
14,685 | Larsen & Toubro Ltd. | 307,269 | ||||||
7,586 | LIC Housing Finance Ltd. | 61,820 | ||||||
9,147 | Mahindra & Mahindra Financial Services Ltd. | 72,079 | ||||||
26,198 | Mahindra & Mahindra Ltd. | 341,478 | ||||||
8,417 | Mangalore Refinery & Petrochemicals Ltd. | 13,565 | ||||||
7,325 | Maruti Suzuki India Ltd. | 963,888 | ||||||
3,254 | Mphasis Ltd. | 50,349 | ||||||
283,699 | NHPC Ltd. | 120,659 | ||||||
31,815 | NMDC Ltd. | 59,270 | ||||||
227,745 | NTPC Ltd. | 586,123 | ||||||
128,957 | Oil & Natural Gas Corp. Ltd. | 347,899 | ||||||
11,490 | Oil India Ltd. | 39,899 | ||||||
26,001 | Petronet LNG Ltd. | 88,114 | ||||||
19,327 | Power Finance Corp. Ltd. | 25,344 | ||||||
88,305 | Power Grid Corp. of India Ltd. | 274,296 | ||||||
15,144 | Punjab National Bank* | 21,544 | ||||||
8,610 | Rajesh Exports Ltd. | 87,842 | ||||||
116,513 | Reliance Communications Ltd.* | 26,514 | ||||||
132,167 | Reliance Industries Ltd. | 1,899,416 | ||||||
62,967 | Reliance Power Ltd.* | 34,718 | ||||||
74,874 | Rural Electrification Corp. Ltd. | 142,519 | ||||||
4,895 | Shriram Transport Finance Co. Ltd. | 117,619 | ||||||
20,075 | Tata Consultancy Services Ltd. | 1,059,693 | ||||||
11,466 | Tata Steel Ltd. | 101,521 | ||||||
20,547 | Tech Mahindra Ltd. | 205,565 | ||||||
18,655 | Titan Co. Ltd. | 273,570 | ||||||
13,201 | Torrent Power Ltd. | 48,537 | ||||||
23,474 | Vakrangee Ltd. | 35,023 | ||||||
70,361 | Vedanta Ltd. | 312,318 | ||||||
47,229 | Wipro Ltd. | 195,919 | ||||||
53,519 | Yes Bank Ltd. | 288,887 | ||||||
|
| |||||||
16,168,177 | ||||||||
|
| |||||||
Indonesia — 2.7% | ||||||||
1,655,300 | Adaro Energy Tbk. PT | 216,763 | ||||||
1,142,500 | Bank Central Asia Tbk. PT | 1,806,616 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Indonesia — continued | ||||||||
359,900 | Bank Danamon Indonesia Tbk. PT | 171,558 | ||||||
2,244,000 | Bank Mandiri Persero Tbk. PT | 1,136,709 | ||||||
879,600 | Bank Negara Indonesia Persero Tbk. PT | 506,400 | ||||||
6,189,100 | Bank Rakyat Indonesia Persero Tbk. PT | 1,427,011 | ||||||
532,200 | Bukit Asam Persero Tbk. PT | 123,037 | ||||||
883,300 | Bumi Serpong Damai Tbk. PT | 106,662 | ||||||
66,600 | Gudang Garam Tbk. PT | 330,860 | ||||||
197,600 | United Tractors Tbk. PT | 482,121 | ||||||
256,300 | Vale Indonesia Tbk. PT* | 57,626 | ||||||
|
| |||||||
6,365,363 | ||||||||
|
| |||||||
Malaysia — 6.0% | ||||||||
214,100 | AirAsia Bhd. | 209,158 | ||||||
124,700 | Alliance Bank Malaysia Bhd. | 137,666 | ||||||
227,200 | AMMB Holdings Bhd. | 224,396 | ||||||
432,700 | Bumi Armada Bhd.* | 92,231 | ||||||
771,255 | CIMB Group Holdings Bhd. | 1,405,577 | ||||||
285,200 | Gamuda Bhd. | 372,403 | ||||||
76,268 | Hong Leong Bank Bhd. | 367,699 | ||||||
700,108 | Malayan Banking Bhd. | 1,919,324 | ||||||
565,100 | Maxis Bhd. | 836,913 | ||||||
190,700 | MISC Bhd. | 346,273 | ||||||
8,300 | Nestle Malaysia Bhd. | 291,560 | ||||||
363,200 | Petronas Chemicals Group Bhd. | 780,295 | ||||||
43,000 | Petronas Dagangan Bhd. | 295,172 | ||||||
82,400 | PPB Group Bhd. | 404,072 | ||||||
233,200 | Press Metal Aluminium Holdings Bhd. | 284,516 | ||||||
364,600 | Public Bank Bhd. | 2,206,185 | ||||||
128,400 | RHB Bank Bhd. | 172,648 | ||||||
466,700 | Sime Darby Bhd. | 316,061 | ||||||
415,500 | Sime Darby Property Bhd. | 157,429 | ||||||
808,600 | Tenaga Nasional Bhd. | 3,255,970 | ||||||
|
| |||||||
14,075,548 | ||||||||
|
| |||||||
Mexico — 3.1% | ||||||||
3,909,327 | America Movil SAB de CV, Series L | 3,616,254 | ||||||
13,112 | Banco del Bajio SA (a) (b) | 27,967 | ||||||
83,753 | Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Class B | 123,914 | ||||||
154,696 | Fibra Uno Administracion SA de CV, REIT | 256,172 | ||||||
16,007 | Gruma SAB de CV, Class B | 195,726 | ||||||
18,611 | Grupo Aeroportuario del Centro Norte SAB de CV | 98,170 | ||||||
24,344 | Grupo Aeroportuario del Pacifico SAB de CV, Class B | 252,889 | ||||||
5,176 | Grupo Elektra SAB de CV | 141,530 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Mexico — continued | ||||||||
121,001 | Grupo Financiero Banorte SAB de CV, Class O | 756,723 | ||||||
111,913 | Grupo Financiero Inbursa SAB de CV, Class O | 186,282 | ||||||
201,825 | Grupo Mexico SAB de CV, Series B | 668,216 | ||||||
7,494 | Industrias Penoles SAB de CV | 157,473 | ||||||
80,280 | Infraestructura Energetica Nova SAB de CV | 353,751 | ||||||
23,628 | Megacable Holdings SAB de CV | 108,563 | ||||||
59,117 | Mexichem SAB de CV | 184,760 | ||||||
47,170 | Nemak SAB de CV (a) (b) | 35,411 | ||||||
10,931 | Regional SAB de CV | 69,577 | ||||||
|
| |||||||
7,233,378 | ||||||||
|
| |||||||
Pakistan — 0.0% (c) | ||||||||
20,600 | Habib Bank Ltd. | 34,705 | ||||||
26,800 | Oil & Gas Development Co. Ltd. | 38,728 | ||||||
|
| |||||||
73,433 | ||||||||
|
| |||||||
Peru — 0.1% | ||||||||
11,668 | Cia de Minas Buenaventura SAA, ADR | 186,105 | ||||||
|
| |||||||
Philippines — 1.8% | ||||||||
532,200 | Alliance Global Group, Inc.* | 134,047 | ||||||
32,665 | Ayala Corp. | 607,602 | ||||||
185,100 | Bank of the Philippine Islands | 374,649 | ||||||
238,490 | BDO Unibank, Inc. | 604,916 | ||||||
507,800 | Bloomberry Resorts Corp. | 120,287 | ||||||
141,710 | International Container Terminal Services, Inc. | 231,667 | ||||||
59,130 | Jollibee Foods Corp. | 324,954 | ||||||
53,770 | Manila Electric Co. | 333,800 | ||||||
1,368,500 | Megaworld Corp. | 118,753 | ||||||
2,876,400 | Metro Pacific Investments Corp. | 282,902 | ||||||
158,156 | Metropolitan Bank & Trust Co. | 259,038 | ||||||
23,560 | PLDT, Inc. | 659,356 | ||||||
152,920 | Semirara Mining & Power Corp. | 91,162 | ||||||
|
| |||||||
4,143,133 | ||||||||
|
| |||||||
Poland — 1.7% | ||||||||
4,293 | Alior Bank SA* | 86,368 | ||||||
4,386 | Asseco Poland SA | 54,763 | ||||||
28,937 | Bank Millennium SA | 70,491 | ||||||
7,571 | Bank Pekao SA | 251,258 | ||||||
1,394 | Bank Zachodni WBK SA | 147,064 | ||||||
1,588 | CCC SA | 116,654 | ||||||
4,835 | CD Projekt SA | 170,625 | ||||||
11,724 | Cyfrowy Polsat SA | 85,508 | ||||||
3,629 | Dino Polska SA* (a) (b) | 97,609 | ||||||
28,025 | Enea SA | 83,017 | ||||||
5,377 | Grupa Lotos SA | 84,237 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Poland — continued | ||||||||
3,005 | Jastrzebska Spolka Weglowa SA* | 70,464 | ||||||
7,945 | KGHM Polska Miedz SA | 210,598 | ||||||
952 | KRUK SA | 62,133 | ||||||
112 | LPP SA | 291,271 | ||||||
598 | mBank SA | 72,811 | ||||||
86,364 | Orange Polska SA* | 129,294 | ||||||
93,129 | PGE Polska Grupa Energetyczna SA | 276,867 | ||||||
13,773 | PLAY Communications SA (a) (b) | 115,917 | ||||||
18,035 | Polski Koncern Naftowy ORLEN SA | 459,349 | ||||||
99,201 | Polskie Gornictwo Naftowe i Gazownictwo SA | 174,111 | ||||||
41,078 | Powszechna Kasa Oszczednosci Bank Polski SA | 487,684 | ||||||
26,207 | Powszechny Zaklad Ubezpieczen SA | 318,599 | ||||||
135,093 | Tauron Polska Energia SA* | 90,155 | ||||||
|
| |||||||
4,006,847 | ||||||||
|
| |||||||
Qatar — 0.5% | ||||||||
4,553 | Barwa Real Estate Co. | 44,204 | ||||||
7,109 | Doha Bank QPSC | 52,893 | ||||||
17,197 | Masraf Al Rayan QSC | 168,074 | ||||||
10,876 | Ooredoo QPSC | 236,606 | ||||||
3,544 | Qatar Electricity & Water Co. QSC | 192,725 | ||||||
2,884 | Qatar Islamic Bank SAQ | 84,762 | ||||||
10,938 | Qatar National Bank QPSC | 452,744 | ||||||
|
| |||||||
1,232,008 | ||||||||
|
| |||||||
Russia — 4.6% | ||||||||
41,276 | Aeroflot PJSC | 94,304 | ||||||
143,612 | Alrosa PJSC | 204,135 | ||||||
1,096 | Bashneft PJSC (Preference) | 31,885 | ||||||
33,712,684 | Federal Grid Co. Unified Energy System PJSC | 93,755 | ||||||
603,846 | Gazprom PJSC | 1,396,213 | ||||||
3,936,795 | Inter RAO UES PJSC | 249,967 | ||||||
26,793 | LUKOIL PJSC | 1,770,014 | ||||||
100,712 | Magnitogorsk Iron & Steel Works PJSC | 77,589 | ||||||
2,637 | MMC Norilsk Nickel PJSC | 450,428 | ||||||
129,824 | Mobile TeleSystems PJSC | 613,285 | ||||||
65,938 | Moscow Exchange MICEX-RTS PJSC | 126,132 | ||||||
61,537 | Novatek PJSC | 752,181 | ||||||
49,797 | Novolipetsk Steel PJSC | 127,141 | ||||||
6,137 | PhosAgro PJSC, GDR (b) | 88,496 | ||||||
2,398 | Polyus PJSC, GDR(b) | 76,208 | ||||||
66,989 | Rosneft Oil Co. PJSC | 406,909 | ||||||
3,789,531 | ROSSETI PJSC | 50,082 | ||||||
109,635 | Rostelecom PJSC | 114,127 | ||||||
14,302,284 | RusHydro PJSC | 168,953 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 49 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Russia — continued | ||||||||
503,664 | Sberbank of Russia PJSC | 1,795,308 | ||||||
10,694 | Severstal PJSC | 171,461 | ||||||
364,116 | Sistema PJSC FC | 64,833 | ||||||
410,563 | Surgutneftegas OJSC | 191,634 | ||||||
442,564 | Surgutneftegas OJSC (Preference) | 217,794 | ||||||
85,899 | Tatneft PJSC | 912,680 | ||||||
88 | Transneft PJSC (Preference) | 240,538 | ||||||
239,899,643 | VTB Bank PJSC | 205,114 | ||||||
|
| |||||||
10,691,166 | ||||||||
|
| |||||||
Singapore — 0.0% (c) | ||||||||
20,400 | Yanlord Land Group Ltd. | 26,014 | ||||||
|
| |||||||
South Africa — 8.1% | ||||||||
6,237 | African Rainbow Minerals Ltd. | 51,232 | ||||||
3,417 | Anglo American Platinum Ltd. | 91,696 | ||||||
1,847 | Assore Ltd. | 45,550 | ||||||
24,464 | AVI Ltd. | 223,758 | ||||||
30,435 | Barclays Africa Group Ltd. | 445,790 | ||||||
12,326 | Barloworld Ltd. | 167,254 | ||||||
19,882 | Bidvest Group Ltd. (The) | 389,472 | ||||||
2,495 | Capitec Bank Holdings Ltd. | 177,629 | ||||||
18,824 | Clicks Group Ltd. | 322,688 | ||||||
12,352 | Coronation Fund Managers Ltd. | 73,508 | ||||||
18,886 | Dis-Chem Pharmacies Ltd. (a) (b) | 56,908 | ||||||
16,011 | Discovery Ltd. | 222,311 | ||||||
15,287 | Exxaro Resources Ltd. | 135,595 | ||||||
148,875 | FirstRand Ltd. | 797,304 | ||||||
53,867 | Fortress REIT Ltd., REIT | 74,133 | ||||||
35,886 | Fortress REIT Ltd., Class B, REIT | 50,094 | ||||||
16,508 | Foschini Group Ltd. (The) | 284,028 | ||||||
47,319 | Gold Fields Ltd. | 179,649 | ||||||
131,486 | Growthpoint Properties Ltd., REIT | 306,959 | ||||||
22,788 | Harmony Gold Mining Co. Ltd. | 46,499 | ||||||
11,733 | Hyprop Investments Ltd., REIT | 107,305 | ||||||
9,480 | Imperial Holdings Ltd. | 182,358 | ||||||
13,145 | Investec Ltd. | 103,692 | ||||||
3,966 | JSE Ltd. | 62,209 | ||||||
85,636 | KAP Industrial Holdings Ltd. | 60,536 | ||||||
3,175 | Kumba Iron Ore Ltd. | 67,826 | ||||||
5,521 | Liberty Holdings Ltd. | 58,700 | ||||||
48,431 | MMI Holdings Ltd. | 86,216 | ||||||
6,801 | Mondi Ltd. | 198,579 | ||||||
18,680 | Mr Price Group Ltd. | 409,911 | ||||||
26,272 | Naspers Ltd., Class N | 6,400,373 | ||||||
9,803 | Nedbank Group Ltd. | 233,782 |
SHARES | INVESTMENTS | VALUE($) | ||||||
South Africa — continued | ||||||||
26,121 | Pick n Pay Stores Ltd. | 168,545 | ||||||
32,007 | Rand Merchant Investment Holdings Ltd. | 105,999 | ||||||
240,760 | Redefine Properties Ltd., REIT | 231,392 | ||||||
30,818 | Remgro Ltd. | 554,836 | ||||||
14,451 | Resilient REIT Ltd., REIT | 78,544 | ||||||
9,754 | Reunert Ltd. | 60,767 | ||||||
31,318 | RMB Holdings Ltd. | 196,435 | ||||||
79,825 | Sanlam Ltd. | 504,256 | ||||||
31,969 | Sappi Ltd. | 204,016 | ||||||
32,081 | Sasol Ltd. | 1,146,811 | ||||||
34,154 | Shoprite Holdings Ltd. | 679,522 | ||||||
88,991 | Sibanye Gold Ltd. | 78,006 | ||||||
14,496 | SPAR Group Ltd. (The) | 245,903 | ||||||
58,790 | Standard Bank Group Ltd. | 1,008,284 | ||||||
21,356 | Super Group Ltd.* | 63,443 | ||||||
41,178 | Telkom SA SOC Ltd. | 188,054 | ||||||
8,598 | Tongaat Hulett Ltd. | 62,327 | ||||||
32,730 | Truworths International Ltd. | 267,587 | ||||||
41,017 | Tsogo Sun Holdings Ltd. | 74,978 | ||||||
79,104 | Vodacom Group Ltd. | 989,799 | ||||||
33,395 | Vukile Property Fund Ltd., REIT | 60,280 | ||||||
|
| |||||||
19,083,328 | ||||||||
|
| |||||||
Taiwan — 14.4% | ||||||||
255,000 | Acer, Inc. | 194,474 | ||||||
299,500 | ASE Industrial Holding Co. Ltd.* | 812,866 | ||||||
211,000 | Asia Cement Corp. | 225,174 | ||||||
66,000 | Asustek Computer, Inc. | 616,811 | ||||||
800,000 | AU Optronics Corp. | 329,885 | ||||||
158,000 | Capital Securities Corp. | 59,735 | ||||||
68,000 | Catcher Technology Co. Ltd. | 754,132 | ||||||
629,000 | Cathay Financial Holding Co. Ltd. | 1,128,273 | ||||||
469,000 | Chang Hwa Commercial Bank Ltd. | 269,974 | ||||||
37,000 | Cheng Uei Precision Industry Co. Ltd. | 48,026 | ||||||
52,300 | Chicony Electronics Co. Ltd. | 128,853 | ||||||
284,000 | China Airlines Ltd.* | 103,597 | ||||||
1,089,000 | China Development Financial Holding Corp. | 411,749 | ||||||
195,470 | China Life Insurance Co. Ltd. | 211,781 | ||||||
378,000 | Compal Electronics, Inc. | 246,211 | ||||||
1,443,395 | CTBC Financial Holding Co. Ltd. | 1,029,376 | ||||||
765,715 | E.Sun Financial Holding Co. Ltd. | 541,478 | ||||||
92,000 | Epistar Corp. | 125,210 | ||||||
214,000 | Eva Airways Corp. | 114,916 | ||||||
186,000 | Evergreen Marine Corp. Taiwan Ltd.* | 94,080 | ||||||
426,000 | Far Eastern New Century Corp. | 406,592 | ||||||
37,000 | Feng TAY Enterprise Co. Ltd. | 167,780 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Taiwan — continued | ||||||||
763,100 | First Financial Holding Co. Ltd. | 524,637 | ||||||
309,000 | Formosa Chemicals & Fibre Corp. | 1,135,312 | ||||||
123,000 | Formosa Petrochemical Corp. | 501,882 | ||||||
437,000 | Formosa Plastics Corp. | 1,533,539 | ||||||
99,533 | Foxconn Technology Co. Ltd. | 247,129 | ||||||
585,000 | Fubon Financial Holding Co. Ltd. | 1,000,852 | ||||||
20,000 | Globalwafers Co. Ltd. | 322,651 | ||||||
1,372,490 | Hon Hai Precision Industry Co. Ltd. | 3,817,419 | ||||||
67,000 | HTC Corp.* | 135,835 | ||||||
649,360 | Hua Nan Financial Holdings Co. Ltd. | 392,690 | ||||||
784,000 | Innolux Corp. | 291,747 | ||||||
277,000 | Inventec Corp. | 209,867 | ||||||
203,000 | Lite-On Technology Corp.* | 267,881 | ||||||
135,000 | MediaTek, Inc.* | 1,535,437 | ||||||
866,233 | Mega Financial Holding Co. Ltd. | 764,717 | ||||||
508,000 | Nan Ya Plastics Corp. | 1,391,405 | ||||||
70,737 | Nanya Technology Corp. | 220,196 | ||||||
51,000 | Novatek Microelectronics Corp. | 214,074 | ||||||
66,000 | Oriental Union Chemical Corp. | 70,773 | ||||||
186,000 | Pegatron Corp. | 433,654 | ||||||
290,000 | Pou Chen Corp. | 362,667 | ||||||
243,000 | Quanta Computer, Inc. | 441,804 | ||||||
42,000 | Realtek Semiconductor Corp.* | 158,832 | ||||||
615,287 | Shin Kong Financial Holding Co. Ltd. | 250,066 | ||||||
809,785 | SinoPac Financial Holdings Co. Ltd. | 291,414 | ||||||
120,200 | Synnex Technology International Corp. | 172,631 | ||||||
747,973 | Taishin Financial Holding Co. Ltd. | 363,456 | ||||||
320,113 | Taiwan Business Bank | 98,373 | ||||||
326,000 | Taiwan Cement Corp. | 447,998 | ||||||
691,674 | Taiwan Cooperative Financial Holding Co. Ltd. | 401,906 | ||||||
874,000 | Taiwan Semiconductor Manufacturing Co. Ltd. | 6,657,557 | ||||||
27,000 | Transcend Information, Inc.* | 76,136 | ||||||
82,000 | Vanguard International Semiconductor Corp. | 166,215 | ||||||
282,000 | Walsin Lihwa Corp. | 191,738 | ||||||
69,000 | Wan Hai Lines Ltd. | 39,794 | ||||||
248,661 | Wistron Corp. | 197,736 | ||||||
907,665 | Yuanta Financial Holding Co. Ltd. | 433,185 | ||||||
|
| |||||||
33,784,178 | ||||||||
|
| |||||||
Thailand — 7.9% | ||||||||
225,700 | Advanced Info Service PCL | 1,486,051 | ||||||
560,200 | Airports of Thailand PCL | 1,253,326 | ||||||
42,900 | Bangkok Bank PCL | 273,226 | ||||||
18,800 | Bangkok Bank PCL, NVDR | 114,466 | ||||||
561,400 | Banpu PCL | 342,777 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Thailand — continued | ||||||||
65,900 | Bumrungrad Hospital PCL | 395,654 | ||||||
292,000 | Central Pattana PCL | 745,147 | ||||||
769,900 | CP ALL PCL | 2,118,281 | ||||||
53,800 | Electricity Generating PCL | 379,327 | ||||||
335,600 | Energy Absolute PCL | 379,490 | ||||||
83,300 | Glow Energy PCL | 226,908 | ||||||
829,800 | Home Product Center PCL | 392,597 | ||||||
221,500 | Indorama Ventures PCL | 420,412 | ||||||
247,400 | Intouch Holdings PCL, NVDR | 450,147 | ||||||
1,317,200 | IRPC PCL | 293,119 | ||||||
729,500 | Krung Thai Bank PCL | 419,054 | ||||||
773,600 | Land & Houses PCL, NVDR | 269,266 | ||||||
177,700 | PTT Exploration & Production PCL | 753,047 | ||||||
261,700 | PTT Global Chemical PCL | 808,812 | ||||||
1,843,000 | PTT PCL | 3,270,215 | ||||||
156,900 | Ratchaburi Electricity Generating Holding PCL | 259,649 | ||||||
110,600 | Siam Cement PCL (The) (Registered) | 1,636,689 | ||||||
284,400 | Siam Commercial Bank PCL (The) | 1,180,494 | ||||||
131,700 | Thai Oil PCL | 392,063 | ||||||
2,526,600 | TMB Bank PCL | 188,226 | ||||||
|
| |||||||
18,448,443 | ||||||||
|
| |||||||
Turkey — 1.2% | ||||||||
96,587 | Akbank Turk A/S | 200,966 | ||||||
9,195 | Aselsan Elektronik Sanayi ve Ticaret A/S | 56,918 | ||||||
16,951 | BIM Birlesik Magazalar A/S | 288,008 | ||||||
88,069 | Emlak Konut Gayrimenkul Yatirim Ortakligi A/S, REIT | 52,772 | ||||||
29,154 | Enka Insaat ve Sanayi A/S | 35,081 | ||||||
76,854 | Eregli Demir ve Celik Fabrikalari TAS | 191,846 | ||||||
4,909 | Ford Otomotiv Sanayi A/S | 67,581 | ||||||
42,498 | Haci Omer Sabanci Holding A/S | 100,505 | ||||||
50,161 | KOC Holding A/S | 169,462 | ||||||
3,584 | Migros Ticaret A/S* | 20,133 | ||||||
32,725 | Petkim Petrokimya Holding A/S | 57,837 | ||||||
20,006 | Soda Sanayii A/S | 23,813 | ||||||
10,318 | TAV Havalimanlari Holding A/S | 55,537 | ||||||
7,617 | Tekfen Holding A/S | 28,825 | ||||||
9,444 | Tofas Turk Otomobil Fabrikasi A/S | 58,198 | ||||||
7,071 | Tupras Turkiye Petrol Rafinerileri A/S | 180,750 | ||||||
42,631 | Turk Hava Yollari AO* | 176,094 | ||||||
139,376 | Turkcell Iletisim Hizmetleri A/S | 479,896 | ||||||
99,027 | Turkiye Garanti Bankasi A/S | 224,240 | ||||||
28,843 | Turkiye Halk Bankasi A/S | 59,013 | ||||||
66,697 | Turkiye Is Bankasi, Class C | 101,064 | ||||||
46,497 | Turkiye Sinai Kalkinma Bankasi A/S | 16,058 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 51 |
JPMorgan Diversified Return Emerging Markets Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Turkey — continued | ||||||||
47,346 | Turkiye Sise ve Cam Fabrikalari A/S | 52,613 | ||||||
49,227 | Turkiye Vakiflar Bankasi TAO, Class D | 72,432 | ||||||
37,534 | Yapi ve Kredi Bankasi A/S | 36,759 | ||||||
|
| |||||||
2,806,401 | ||||||||
|
| |||||||
United Arab Emirates — 1.0% | ||||||||
89,253 | Abu Dhabi Commercial Bank PJSC | 170,471 | ||||||
175,546 | Air Arabia PJSC | 58,306 | ||||||
140,241 | Aldar Properties PJSC | 80,054 | ||||||
76,938 | DAMAC Properties Dubai Co. PJSC | 57,867 | ||||||
406,169 | Dana Gas PJSC | 109,472 | ||||||
9,955 | DP World Ltd. | 221,499 | ||||||
69,446 | Dubai Investments PJSC | 35,922 | ||||||
55,587 | Dubai Islamic Bank PJSC | 83,233 | ||||||
37,774 | Emaar Development PJSC* | 57,075 | ||||||
93,525 | Emaar Malls PJSC | 56,525 | ||||||
159,043 | Emaar Properties PJSC | 250,700 | ||||||
176,523 | Emirates Telecommunications Group Co. PJSC | 822,462 | ||||||
125,457 | First Abu Dhabi Bank PJSC | 422,888 | ||||||
|
| |||||||
2,426,474 | ||||||||
|
| |||||||
Total Common Stocks | 233,430,479 | |||||||
|
| |||||||
Short-Term Investments — 0.4% | ||||||||
Investment Companies — 0.4% | ||||||||
947,561 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 947,561 | ||||||
|
| |||||||
Total Investments — 100.0% (Cost $209,816,804) | 234,378,040 | |||||||
Other Assets Less Liabilities — 0.0% (c) | 107,720 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 234,485,760 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations | ||
ADR | — American Depositary Receipt | |
GDR | — Global Depositary Receipt | |
NVDR | — Non-Voting Depositary Receipt | |
OJSC | — Open Joint Stock Company | |
PJSC | — Public Joint Stock Company | |
Preference | — A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | — Real Estate Investment Trust |
* | — Non-income producing security. | |
‡ | — Value determined using significant unobservable inputs. | |
(a) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(b) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | — Represents less than 0.05% of net assets. | |
(d) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(e) | — The rate shown was the current yield as of April 30, 2018. |
Summary of Investments by Industry, April 30, 2018
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
INDUSTRY | PERCENTAGE | |||
Banks | 19.3 | % | ||
Oil, Gas & Consumable Fuels | 10.6 | |||
Internet Software & Services | 7.1 | |||
Wireless Telecommunication Services | 6.7 | |||
Semiconductors & Semiconductor Equipment | 4.4 | |||
Electric Utilities | 3.8 | |||
Chemicals | 3.5 | |||
Metals & Mining | 3.5 | |||
Media | 2.9 | |||
Insurance | 2.8 | |||
Electronic Equipment, Instruments & Components | 2.3 | |||
Real Estate Management & Development | 2.1 | |||
Pharmaceuticals | 1.8 | |||
Food & Staples Retailing | 1.7 | |||
Technology Hardware, Storage & Peripherals | 1.7 | |||
Diversified Financial Services | 1.6 | |||
Independent Power and Renewable Electricity Producers | 1.6 | |||
Automobiles | 1.6 | |||
IT Services | 1.5 | |||
Diversified Telecommunication Services | 1.3 | |||
Transportation Infrastructure | 1.3 | |||
Construction Materials | 1.3 | |||
Capital Markets | 1.2 | |||
Beverages | 1.1 | |||
Textiles, Apparel & Luxury Goods | 1.1 | |||
Industrial Conglomerates | 1.0 | |||
Others (each less than 1.0%) | 11.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return Europe Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Exchange Traded Funds — 100.0% | ||||||||
United States — 100.0% | ||||||||
491,466 | JPMorgan Diversified Return Europe Equity ETF (a) (Cost $25,656,882) | 30,028,573 | ||||||
|
| |||||||
Total Investments — 100.0% | 30,028,573 | |||||||
Liabilities in excess of other assets — 0.0% (b) | (8,996 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 30,019,577 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(b) | — Represents less than 0.05% of net assets |
Forward foreign currency exchange contracts outstanding as of April 30, 2018: | ||||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||||||
GBP | 5,012,112 | USD | 6,899,918 | Citibank, NA | 5/3/2018 | 557 | ||||||||||||||||||
USD | 3,184,405 | CHF | 3,042,221 | Goldman Sachs International | 5/3/2018 | 114,272 | ||||||||||||||||||
USD | 799,565 | DKK | 4,835,169 | Citibank, NA | 5/3/2018 | 15,814 | ||||||||||||||||||
USD | 74,080 | DKK | 448,023 | Royal Bank of Canada | 5/3/2018 | 1,458 | ||||||||||||||||||
USD | 15,484,036 | EUR | 12,564,407 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | 310,199 | ||||||||||||||||||
USD | 62,928 | EUR | 51,026 | Royal Bank of Canada | 5/3/2018 | 1,304 | ||||||||||||||||||
USD | 7,101,720 | GBP | 5,058,605 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | 137,235 | ||||||||||||||||||
USD | 20,005 | GBP | 14,188 | Royal Bank of Canada | 5/3/2018 | 471 | ||||||||||||||||||
USD | 841,473 | NOK | 6,598,404 | Royal Bank of Canada | 5/3/2018 | 18,935 | ||||||||||||||||||
USD | 17,081 | SEK | 142,889 | Barclays Bank plc | 5/3/2018 | 762 | ||||||||||||||||||
USD | 1,635,681 | SEK | 13,665,362 | Citibank, NA | 5/3/2018 | 74,980 | ||||||||||||||||||
USD | 3,203,858 | CHF | 3,162,962 | Goldman Sachs International | 6/5/2018 | 2,560 | ||||||||||||||||||
USD | 14,853,222 | EUR | 12,265,810 | Australia & New Zealand Banking Group Ltd. | 6/5/2018 | 2,355 | ||||||||||||||||||
USD | 343,873 | EUR | 283,596 | BNP Paribas | 6/5/2018 | 509 | ||||||||||||||||||
USD | 817,015 | EUR | 674,630 | Goldman Sachs International | 6/5/2018 | 204 | ||||||||||||||||||
USD | 160,344 | GBP | 116,258 | Royal Bank of Canada | 6/5/2018 | 26 | ||||||||||||||||||
USD | 732,819 | NOK | 5,865,879 | Citibank, NA | 6/5/2018 | 733 | ||||||||||||||||||
USD | 35,702 | NOK | 285,778 | Goldman Sachs International | 6/5/2018 | 36 | ||||||||||||||||||
USD | 16,617 | NOK | 132,946 | Royal Bank of Canada | 6/5/2018 | 25 | ||||||||||||||||||
USD | 1,571,752 | SEK | 13,718,177 | Citibank, NA | 6/5/2018 | 984 | ||||||||||||||||||
USD | 69,151 | SEK | 603,462 | Goldman Sachs International | 6/5/2018 | 53 | ||||||||||||||||||
USD | 858,851 | DKK | 5,283,191 | Citibank, NA | 6/6/2018 | 149 | ||||||||||||||||||
USD | 18,960 | DKK | 116,487 | Goldman Sachs International | 6/6/2018 | 27 | ||||||||||||||||||
USD | 9,136 | DKK | 56,197 | TD Bank Financial Group | 6/6/2018 | 2 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total unrealized appreciation | 683,650 | |||||||||||||||||||||||
|
| |||||||||||||||||||||||
CHF | 3,042,221 | USD | 3,073,709 | Goldman Sachs International | 5/3/2018 | (3,576 | ) | |||||||||||||||||
DKK | 5,283,191 | USD | 856,709 | Citibank, NA | 5/3/2018 | (337 | ) | |||||||||||||||||
EUR | 12,265,810 | USD | 14,818,326 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | (5,099 | ) | |||||||||||||||||
EUR | 319,502 | USD | 393,840 | Goldman Sachs International | 5/3/2018 | (7,982 | ) | |||||||||||||||||
EUR | 30,120 | USD | 37,106 | Royal Bank of Canada | 5/3/2018 | (730 | ) | |||||||||||||||||
GBP | 60,682 | USD | 85,254 | Royal Bank of Canada | 5/3/2018 | (1,710 | ) | |||||||||||||||||
NOK | 5,865,879 | USD | 732,035 | Citibank, NA | 5/3/2018 | (811 | ) | |||||||||||||||||
NOK | 732,525 | USD | 93,415 | Goldman Sachs International | 5/3/2018 | (2,100 | ) | |||||||||||||||||
SEK | 13,415,522 | USD | 1,533,408 | Citibank, NA | 5/3/2018 | (1,241 | ) |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 53 |
JPMorgan Diversified Return Europe Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||||||
SEK | 392,729 | USD | 47,012 | Goldman Sachs International | 5/3/2018 | (2,159 | ) | |||||||||||||||||
USD | 402,780 | GBP | 292,170 | BNP Paribas | 6/5/2018 | (120 | ) | |||||||||||||||||
USD | 6,909,881 | GBP | 5,012,112 | Citibank, NA | 6/5/2018 | (1,757 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total unrealized depreciation | (27,622 | ) | ||||||||||||||||||||||
|
| |||||||||||||||||||||||
Net unrealized appreciation | 656,028 | |||||||||||||||||||||||
|
|
CHF | — Swiss Franc | |
DKK | — Danish Krone | |
ETF | — Exchange Traded Fund | |
EUR | — Euro | |
GBP | — British Pound | |
NOK | — Norwegian Krone | |
SEK | — Swedish Krona | |
USD | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.1% | ||||||||
Austria — 1.1% |
| |||||||
1,734 | ANDRITZ AG | 93,205 | ||||||
7,029 | OMV AG | 435,342 | ||||||
6,044 | voestalpine AG | 318,865 | ||||||
|
| |||||||
847,412 | ||||||||
|
| |||||||
Belgium — 1.6% | ||||||||
4,165 | bpost SA | 91,389 | ||||||
3,668 | Colruyt SA | 206,403 | ||||||
1,042 | Groupe Bruxelles Lambert SA | 119,108 | ||||||
10,808 | Proximus SADP | 331,202 | ||||||
1,991 | Solvay SA | 276,889 | ||||||
4,742 | Umicore SA | 263,743 | ||||||
|
| |||||||
1,288,734 | ||||||||
|
| |||||||
Denmark — 2.9% | ||||||||
2,917 | Chr Hansen Holding A/S | 264,423 | ||||||
1,096 | Coloplast A/S, Class B | 92,846 | ||||||
2,173 | Danske Bank A/S | 75,625 | ||||||
3,121 | DSV A/S | 247,170 | ||||||
1,447 | ISS A/S | 50,463 | ||||||
15,380 | Novo Nordisk A/S, Class B | 723,290 | ||||||
1,884 | Novozymes A/S, Class B | 88,572 | ||||||
4,581 | Orsted A/S (a) (b) | 301,593 | ||||||
2,884 | Tryg A/S | 68,260 | ||||||
2,979 | Vestas Wind Systems A/S | 192,717 | ||||||
5,199 | William Demant Holding A/S* | 202,614 | ||||||
|
| |||||||
2,307,573 | ||||||||
|
| |||||||
Finland — 5.4% | ||||||||
6,376 | Elisa OYJ | 281,835 | ||||||
28,708 | Fortum OYJ | 660,365 | ||||||
3,082 | Kesko OYJ, Class B | 180,974 | ||||||
5,076 | Kone OYJ, Class B | 252,102 | ||||||
13,480 | Neste OYJ | 1,135,105 | ||||||
788 | Nokia OYJ | 4,728 | ||||||
3,436 | Orion OYJ, Class B | 104,216 | ||||||
7,530 | Sampo OYJ, Class A | 407,235 | ||||||
22,548 | Stora Enso OYJ, Class R | 444,751 | ||||||
15,525 | UPM-Kymmene OYJ | 553,957 | ||||||
13,613 | Wartsila OYJ Abp | 289,036 | ||||||
|
| |||||||
4,314,304 | ||||||||
|
| |||||||
France — 14.0% | ||||||||
803 | Aeroports de Paris | 176,759 | ||||||
2,051 | Air Liquide SA | 266,581 | ||||||
2,148 | Arkema SA | 281,376 | ||||||
4,926 | Atos SE | 665,011 | ||||||
3,549 | AXA SA | 101,497 |
SHARES | INVESTMENTS | VALUE($) | ||||||
France — continued |
| |||||||
1,581 | BNP Paribas SA | 122,052 | ||||||
2,750 | Bouygues SA | 140,264 | ||||||
2,487 | Bureau Veritas SA | 65,030 | ||||||
9,933 | Capgemini SE | 1,366,442 | ||||||
1,881 | Casino Guichard Perrachon SA | 97,570 | ||||||
1,821 | Cie Generale des Etablissements Michelin SCA | 256,074 | ||||||
1,104 | Cie Plastic Omnium SA | 53,055 | ||||||
4,984 | CNP Assurances | 127,659 | ||||||
5,325 | Credit Agricole SA | 87,689 | ||||||
2,661 | Danone SA | 215,556 | ||||||
874 | Dassault Systemes SE | 113,262 | ||||||
1,715 | Eiffage SA | 204,139 | ||||||
11,333 | Engie SA | 198,798 | ||||||
622 | Eurazeo SA | 54,634 | ||||||
1,834 | Eutelsat Communications SA | 39,719 | ||||||
2,141 | Faurecia SA | 174,832 | ||||||
1,006 | Fonciere Des Regions, REIT | 112,510 | ||||||
584 | Gecina SA, REIT | 101,237 | ||||||
148 | Hermes International | 95,703 | ||||||
1,084 | Imerys SA | 98,939 | ||||||
1,630 | Ingenico Group SA | 142,581 | ||||||
537 | Kering SA | 310,653 | ||||||
1,954 | Klepierre SA, REIT | 79,975 | ||||||
4,655 | Lagardere SCA | 133,138 | ||||||
2,748 | Legrand SA | 213,830 | ||||||
827 | L’Oreal SA | 199,133 | ||||||
1,068 | LVMH Moet Hennessy Louis Vuitton SE | 371,677 | ||||||
7,033 | Natixis SA | 57,762 | ||||||
38,446 | Orange SA | 698,934 | ||||||
1,144 | Orpea | 146,599 | ||||||
1,155 | Pernod Ricard SA | 191,829 | ||||||
2,195 | Renault SA | 237,898 | ||||||
420 | Rubis SCA | 32,679 | ||||||
1,137 | Safran SA | 133,359 | ||||||
4,409 | Sanofi | 348,586 | ||||||
1,379 | Schneider Electric SE* | 124,999 | ||||||
2,375 | SCOR SE | 96,314 | ||||||
189 | SEB SA | 36,213 | ||||||
1,929 | Societe Generale SA | 105,572 | ||||||
2,569 | Sodexo SA | 254,404 | ||||||
1,688 | Thales SA | 213,969 | ||||||
14,238 | TOTAL SA | 894,883 | ||||||
335 | Unibail-Rodamco SE, REIT | 80,423 | ||||||
6,227 | Valeo SA | 416,333 | ||||||
6,322 | Veolia Environnement SA | 149,570 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 55 |
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
France — continued |
| |||||||
1,704 | Vinci SA | 170,372 | ||||||
|
| |||||||
11,058,073 | ||||||||
|
| |||||||
Germany — 12.4% | ||||||||
525 | Allianz SE (Registered) | 124,175 | ||||||
2,038 | Axel Springer SE | 166,938 | ||||||
7,122 | BASF SE | 740,998 | ||||||
2,979 | Bayer AG (Registered) | 356,049 | ||||||
2,309 | Bayerische Motoren Werke AG | 256,719 | ||||||
3,603 | CECONOMY AG | 40,375 | ||||||
856 | Continental AG | 227,983 | ||||||
3,001 | Covestro AG (a) (b) | 272,685 | ||||||
3,023 | Daimler AG (Registered) | 237,663 | ||||||
1,013 | Deutsche Boerse AG | 136,237 | ||||||
14,629 | Deutsche Lufthansa AG (Registered) | 425,195 | ||||||
3,757 | Deutsche Post AG (Registered) | 163,071 | ||||||
1,511 | Deutsche Wohnen SE | 71,311 | ||||||
10,933 | E.ON SE | 119,714 | ||||||
6,517 | Evonik Industries AG | 231,550 | ||||||
1,025 | Fielmann AG | 84,172 | ||||||
1,764 | Fraport AG Frankfurt Airport Services Worldwide | 170,712 | ||||||
4,664 | Fresenius Medical Care AG & Co. KGaA | 473,260 | ||||||
2,949 | FUCHS PETROLUB SE (Preference) | 158,347 | ||||||
993 | Hannover Rueck SE | 139,463 | ||||||
777 | Hella GmbH & Co. KGaA | 47,926 | ||||||
3,495 | Henkel AG & Co. KGaA (Preference) | 444,161 | ||||||
543 | HOCHTIEF AG | 99,080 | ||||||
1,455 | HUGO BOSS AG | 136,400 | ||||||
43,995 | Infineon Technologies AG | 1,126,524 | ||||||
806 | LEG Immobilien AG | 92,934 | ||||||
611 | MAN SE | 70,425 | ||||||
1,119 | MTU Aero Engines AG | 192,480 | ||||||
5,342 | ProSiebenSat.1 Media SE | 193,797 | ||||||
17,186 | SAP SE | 1,909,462 | ||||||
1,094 | Siemens AG (Registered) | 138,932 | ||||||
2,446 | Talanx AG | 110,205 | ||||||
9,366 | TUI AG | 211,802 | ||||||
8,127 | Uniper SE | 251,280 | ||||||
1,044 | United Internet AG (Registered) | 67,482 | ||||||
2,077 | Vonovia SE | 104,068 | ||||||
|
| |||||||
9,793,575 | ||||||||
|
| |||||||
Ireland — 0.1% | ||||||||
1,649 | Smurfit Kappa Group plc | 70,294 | ||||||
|
| |||||||
Italy — 3.0% | ||||||||
4,681 | Assicurazioni Generali SpA | 94,458 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Italy — continued |
| |||||||
4,666 | Atlantia SpA | 154,444 | ||||||
52,696 | Enel SpA | 334,289 | ||||||
31,864 | Eni SpA | 622,890 | ||||||
25,513 | Intesa Sanpaolo SpA | 97,050 | ||||||
8,881 | Mediobanca Banca di Credito Finanziario SpA | 107,616 | ||||||
3,914 | Recordati SpA | 139,615 | ||||||
98,982 | Terna Rete Elettrica Nazionale SpA | 594,083 | ||||||
17,804 | Unione di Banche Italiane SpA | 91,703 | ||||||
39,711 | UnipolSai Assicurazioni SpA | 106,722 | ||||||
|
| |||||||
2,342,870 | ||||||||
|
| |||||||
Luxembourg — 0.3% | ||||||||
86 | Eurofins Scientific SE | 46,388 | ||||||
1,306 | RTL Group SA | 107,470 | ||||||
7,139 | SES SA, FDR | 110,147 | ||||||
|
| |||||||
264,005 | ||||||||
|
| |||||||
Netherlands — 6.2% | ||||||||
2,889 | ABN AMRO Group NV, CVA (a) (b) | 89,592 | ||||||
2,628 | Akzo Nobel NV | 237,987 | ||||||
6,224 | ASML Holding NV | 1,184,949 | ||||||
964 | ASR Nederland NV | 45,466 | ||||||
1,540 | Heineken Holding NV | 156,326 | ||||||
1,591 | Heineken NV | 167,493 | ||||||
5,256 | ING Groep NV | 88,566 | ||||||
14,851 | Koninklijke Ahold Delhaize NV | 358,273 | ||||||
3,750 | Koninklijke DSM NV | 387,573 | ||||||
39,358 | Koninklijke KPN NV | 122,491 | ||||||
9,093 | Koninklijke Philips NV | 384,872 | ||||||
2,751 | NN Group NV | 131,841 | ||||||
227 | Randstad Holding NV | 14,611 | ||||||
32,429 | Royal Dutch Shell plc, Class B | 1,157,678 | ||||||
7,426 | Wolters Kluwer NV | 401,820 | ||||||
|
| |||||||
4,929,538 | ||||||||
|
| |||||||
Norway — 2.6% | ||||||||
1,685 | Aker BP ASA | 55,267 | ||||||
10,513 | DNB ASA | 196,608 | ||||||
5,385 | Gjensidige Forsikring ASA | 85,235 | ||||||
13,949 | Marine Harvest ASA | 303,640 | ||||||
31,649 | Norsk Hydro ASA | 197,678 | ||||||
17,380 | Orkla ASA | 160,855 | ||||||
17,216 | Statoil ASA | 440,260 | ||||||
27,143 | Telenor ASA | 600,781 | ||||||
|
| |||||||
2,040,324 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
56 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Portugal — 1.1% | ||||||||
115,701 | EDP — Energias de Portugal SA | 429,247 | ||||||
19,525 | Galp Energia SGPS SA | 374,744 | ||||||
5,921 | Jeronimo Martins SGPS SA | 103,837 | ||||||
|
| |||||||
907,828 | ||||||||
|
| |||||||
South Africa — 0.4% | ||||||||
10,242 | Mondi plc | 285,107 | ||||||
|
| |||||||
Spain — 8.4% | ||||||||
7,899 | Abertis Infraestructuras SA | 174,148 | ||||||
1,296 | Acciona SA | 108,406 | ||||||
3,472 | ACS Actividades de Construccion y Servicios SA | 146,327 | ||||||
706 | Aena SME SA (a) (b) | 145,527 | ||||||
3,429 | Amadeus IT Group SA | 250,179 | ||||||
8,261 | Banco Santander SA | 53,374 | ||||||
15,784 | Enagas SA | 458,778 | ||||||
18,305 | Endesa SA | 426,877 | ||||||
17,628 | Gas Natural SDG SA | 444,360 | ||||||
10,744 | Grifols SA | 301,238 | ||||||
210,874 | Iberdrola SA | 1,629,201 | ||||||
5,313 | Industria de Diseno Textil SA | 164,693 | ||||||
5,138 | Mediaset Espana Comunicacion SA | 49,172 | ||||||
6,516 | Merlin Properties Socimi SA, REIT | 100,541 | ||||||
20,508 | Red Electrica Corp. SA | 427,190 | ||||||
31,254 | Repsol SA | 596,414 | ||||||
11,776 | Siemens Gamesa Renewable Energy SA | 201,659 | ||||||
98,002 | Telefonica SA | 998,688 | ||||||
|
| |||||||
6,676,772 | ||||||||
|
| |||||||
Sweden — 5.4% | ||||||||
4,749 | Alfa Laval AB | 117,484 | ||||||
6,353 | Atlas Copco AB, Class A* | 248,443 | ||||||
8,192 | Boliden AB* | 283,850 | ||||||
5,936 | Electrolux AB, Series B | 156,216 | ||||||
5,971 | Hennes & Mauritz AB, Class B | 102,608 | ||||||
8,039 | Hexagon AB, Class B | 464,163 | ||||||
6,891 | Husqvarna AB, Class B | 66,277 | ||||||
2,368 | ICA Gruppen AB | 73,527 | ||||||
3,507 | Industrivarden AB, Class C | 73,838 | ||||||
2,666 | Investor AB, Class B | 116,062 | ||||||
2,667 | Kinnevik AB, Class B | 96,112 | ||||||
318 | L E Lundbergforetagen AB, Class B | 21,524 | ||||||
19,143 | Nordea Bank AB | 194,697 | ||||||
9,405 | Securitas AB, Class B | 151,969 | ||||||
8,412 | Skandinaviska Enskilda Banken AB, Class A | 78,972 | ||||||
7,307 | Skanska AB, Class B | 142,308 | ||||||
5,384 | SKF AB, Class B | 108,998 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Sweden — continued |
| |||||||
14,934 | Swedbank AB, Class A | 324,415 | ||||||
32,038 | Tele2 AB, Class B | 415,274 | ||||||
150,790 | Telia Co. AB | 742,446 | ||||||
6,291 | Trelleborg AB, Class B | 147,013 | ||||||
6,467 | Volvo AB, Class B | 109,592 | ||||||
|
| |||||||
4,235,788 | ||||||||
|
| |||||||
Switzerland — 10.7% | ||||||||
5,552 | ABB Ltd. (Registered) | 129,448 | ||||||
1,525 | Adecco Group AG (Registered) | 100,993 | ||||||
820 | Baloise Holding AG (Registered) | 129,974 | ||||||
84 | Banque Cantonale Vaudoise (Registered) | 66,944 | ||||||
9,154 | Clariant AG (Registered) | 211,323 | ||||||
254 | DKSH Holding AG | 20,371 | ||||||
401 | EMS-Chemie Holding AG (Registered) | 247,675 | ||||||
1,573 | Ferguson plc | 120,409 | ||||||
285 | Flughafen Zurich AG (Registered) | 59,517 | ||||||
706 | Geberit AG (Registered) | 301,273 | ||||||
112 | Givaudan SA (Registered) | 249,317 | ||||||
140 | Helvetia Holding AG (Registered) | 83,162 | ||||||
797 | Kuehne + Nagel International AG (Registered) | 124,090 | ||||||
3,911 | Logitech International SA (Registered) | 144,485 | ||||||
1,820 | Lonza Group AG (Registered)* | 444,684 | ||||||
6,672 | Nestle SA (Registered) | 516,880 | ||||||
17,286 | Novartis AG (Registered) | 1,330,578 | ||||||
1,050 | Pargesa Holding SA | 98,269 | ||||||
203 | Partners Group Holding AG | 148,062 | ||||||
4,463 | Roche Holding AG | 991,623 | ||||||
995 | Schindler Holding AG | 205,454 | ||||||
89 | SGS SA (Registered) | 216,150 | ||||||
24 | Sika AG | 174,149 | ||||||
2,354 | Sonova Holding AG (Registered) | 387,924 | ||||||
163 | Straumann Holding AG (Registered) | 110,649 | ||||||
681 | Swiss Life Holding AG (Registered) | 238,227 | ||||||
778 | Swiss Prime Site AG (Registered) | 72,894 | ||||||
961 | Swiss Re AG | 91,554 | ||||||
2,360 | Swisscom AG (Registered) | 1,131,933 | ||||||
1,677 | Temenos Group AG (Registered) | 211,013 | ||||||
234 | Vifor Pharma AG | 36,928 | ||||||
309 | Zurich Insurance Group AG* | 98,706 | ||||||
|
| |||||||
8,494,658 | ||||||||
|
| |||||||
United Kingdom — 23.3% | ||||||||
12,100 | 3i Group plc | 156,189 | ||||||
2,081 | Admiral Group plc | 56,949 | ||||||
16,119 | Anglo American plc | 379,268 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 57 |
JPMorgan Diversified Return Europe Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
United Kingdom — continued |
| |||||||
5,571 | AstraZeneca plc | 389,983 | ||||||
14,741 | BAE Systems plc | 123,680 | ||||||
4,428 | Bellway plc | 201,768 | ||||||
5,122 | Berkeley Group Holdings plc | 286,750 | ||||||
91,276 | BP plc | 677,995 | ||||||
14,791 | British American Tobacco plc | 811,249 | ||||||
140,218 | BT Group plc | 481,276 | ||||||
8,219 | Bunzl plc | 238,323 | ||||||
27,314 | Compass Group plc | 585,961 | ||||||
4,391 | Croda International plc | 268,609 | ||||||
6,491 | Diageo plc | 231,564 | ||||||
17,265 | DS Smith plc | 123,678 | ||||||
12,387 | easyJet plc | 270,031 | ||||||
6,154 | Experian plc | 141,002 | ||||||
13,495 | GKN plc | 85,689 | ||||||
60,803 | GlaxoSmithKline plc | 1,219,536 | ||||||
10,670 | Hammerson plc, REIT | 80,435 | ||||||
11,532 | HSBC Holdings plc | 114,812 | ||||||
6,516 | IMI plc | 97,662 | ||||||
2,172 | Imperial Brands plc | 77,713 | ||||||
8,205 | Inchcape plc | 81,971 | ||||||
13,053 | Informa plc | 132,524 | ||||||
18,553 | Inmarsat plc | 95,850 | ||||||
25,586 | International Consolidated Airlines Group SA | 221,171 | ||||||
94,558 | ITV plc | 196,716 | ||||||
61,547 | J Sainsbury plc | 261,154 | ||||||
302 | Johnson Matthey plc | 13,649 | ||||||
52,505 | Kingfisher plc | 218,969 | ||||||
38,597 | Legal & General Group plc | 142,953 | ||||||
10,749 | Meggitt plc | 69,636 | ||||||
58,644 | National Grid plc | 678,508 | ||||||
6,506 | Next plc | 469,969 | ||||||
2,441 | Pennon Group plc | 23,192 | ||||||
5,759 | Persimmon plc | 215,130 | ||||||
6,793 | Reckitt Benckiser Group plc | 532,898 | ||||||
20,233 | RELX NV | 430,500 | ||||||
19,009 | RELX plc | 406,279 | ||||||
28,110 | Rentokil Initial plc | 118,594 | ||||||
5,645 | Rio Tinto plc | 307,686 | ||||||
14,740 | Royal Mail plc | 117,551 | ||||||
46,096 | Sage Group plc (The) | 400,928 | ||||||
964 | Schroders plc | 43,612 | ||||||
17,675 | Segro plc, REIT | 156,844 | ||||||
12,104 | Severn Trent plc | 322,303 | ||||||
26,595 | Smith & Nephew plc | 509,322 |
SHARES | INVESTMENTS | VALUE($) | ||||||
United Kingdom — continued |
| |||||||
6,818 | Smiths Group plc | 149,391 | ||||||
23,561 | SSE plc | 447,155 | ||||||
21,735 | Tate & Lyle plc | 171,659 | ||||||
50,099 | Taylor Wimpey plc | 131,938 | ||||||
5,718 | Unilever NV, CVA | 327,805 | ||||||
18,279 | Unilever plc | 1,025,307 | ||||||
34,137 | United Utilities Group plc | 348,108 | ||||||
511,044 | Vodafone Group plc | 1,491,337 | ||||||
5,456 | Whitbread plc | 321,016 | ||||||
51,728 | William Hill plc | 208,059 | ||||||
63,600 | Wm Morrison Supermarkets plc | 212,117 | ||||||
17,709 | WPP plc | 303,889 | ||||||
|
| |||||||
18,405,812 | ||||||||
|
| |||||||
United States — 0.2% | ||||||||
2,911 | Carnival plc | 189,201 | ||||||
|
| |||||||
Total Common Stocks | 78,451,868 | |||||||
|
| |||||||
Total Investments — 99.1% | 78,451,868 | |||||||
Other Assets Less Liabilities — 0.9% | 710,561 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 79,162,429 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(b) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. |
Abbreviations
CVA | — Dutch Certification | |
FDR | — Fiduciary Depositary Receipt | |
OYJ | — Public Limited Company | |
Preference | — A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | — Real Estate Investment Trust | |
SCA | — Limited partnership with share capital |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Summary of Investments by Industry, April 30, 2018
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 | 8.7 | % | ||
Pharmaceuticals | 7.2 | |||
Diversified Telecommunication Services | 7.0 | |||
Electric Utilities | 6.8 | |||
Chemicals | 5.9 | |||
Software | 3.4 | |||
Insurance | 3.2 | |||
Semiconductors & Semiconductor Equipment | 2.9 | |||
IT Services | 2.9 | |||
Wireless Telecommunication Services | 2.4 | |||
Banks | 2.4 | |||
Professional Services | 2.3 | |||
Hotels, Restaurants & Leisure | 2.3 | |||
Machinery | 2.2 | |||
Health Care Equipment & Supplies | 2.2 | |||
Personal Products | 2.0 | |||
Food & Staples Retailing | 1.9 | |||
Metals & Mining | 1.9 | |||
Media | 1.8 | |||
Food Products | 1.7 | |||
Paper & Forest Products | 1.6 | |||
Auto Components | 1.6 | |||
Multi-Utilities | 1.5 | |||
Household Durables | 1.4 | |||
Household Products | 1.2 | |||
Construction & Engineering | 1.2 | |||
Airlines | 1.2 | |||
Textiles, Apparel & Luxury Goods | 1.2 | |||
Transportation Infrastructure | 1.1 | |||
Tobacco | 1.1 | |||
Electrical Equipment | 1.1 | |||
Beverages | 1.0 | |||
Others (each less than 1.0%) | 13.7 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 59 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.4% | ||||||||
Australia — 6.7% |
| |||||||
44,457 | AGL Energy Ltd. | 724,536 | ||||||
24,323 | Ansell Ltd. | 475,222 | ||||||
51,242 | APA Group | 320,786 | ||||||
10,970 | ASX Ltd. | 482,272 | ||||||
50,548 | Aurizon Holdings Ltd. | 170,106 | ||||||
74,924 | Boral Ltd. | 385,581 | ||||||
19,380 | Caltex Australia Ltd. | 450,678 | ||||||
9,160 | CIMIC Group Ltd. | 311,704 | ||||||
5,140 | Cochlear Ltd. | 748,022 | ||||||
20,395 | Computershare Ltd. | 259,456 | ||||||
12,826 | Crown Resorts Ltd. | 124,488 | ||||||
8,418 | CSL Ltd. | 1,078,254 | ||||||
96,177 | CSR Ltd. | 405,808 | ||||||
72,302 | Dexus, REIT | 514,179 | ||||||
11,341 | Flight Centre Travel Group Ltd. | 475,093 | ||||||
161,648 | GPT Group (The), REIT | 586,154 | ||||||
94,072 | Harvey Norman Holdings Ltd. | 247,972 | ||||||
233,922 | Healthscope Ltd. | 426,191 | ||||||
47,623 | Incitec Pivot Ltd. | 135,522 | ||||||
383,291 | Mirvac Group, REIT | 643,231 | ||||||
108,486 | Origin Energy Ltd.* | 792,032 | ||||||
154,067 | Qantas Airways Ltd. | 666,306 | ||||||
10,368 | Ramsay Health Care Ltd. | 504,048 | ||||||
86,737 | Scentre Group, REIT | 262,164 | ||||||
35,164 | Sonic Healthcare Ltd. | 623,466 | ||||||
115,419 | Star Entertainment Grp Ltd. (The) | 456,745 | ||||||
73,490 | Sydney Airport | 393,472 | ||||||
289,366 | Telstra Corp. Ltd. | 688,004 | ||||||
41,031 | Transurban Group | 357,532 | ||||||
24,937 | Treasury Wine Estates Ltd. | 356,200 | ||||||
28,877 | Wesfarmers Ltd. | 950,041 | ||||||
7,636 | Woolworths Group Ltd. | 159,713 | ||||||
29,634 | WorleyParsons Ltd. | 361,202 | ||||||
|
| |||||||
15,536,180 | ||||||||
|
| |||||||
Austria — 0.3% | ||||||||
10,998 | OMV AG | 681,162 | ||||||
|
| |||||||
Belgium — 0.8% | ||||||||
2,064 | Ageas | 110,409 | ||||||
6,597 | Colruyt SA | 371,222 | ||||||
4,180 | Groupe Bruxelles Lambert SA | 477,803 | ||||||
14,135 | Proximus SADP | 433,155 | ||||||
1,953 | Solvay SA | 271,605 | ||||||
1,157 | UCB SA | 87,138 | ||||||
|
| |||||||
1,751,332 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Bermuda — 0.2% | ||||||||
4,232 | RenaissanceRe Holdings Ltd. | 575,721 | ||||||
|
| |||||||
Canada — 3.6% | ||||||||
8,460 | ARC Resources Ltd. | 94,355 | ||||||
12,559 | BCE, Inc. | 532,996 | ||||||
4,569 | Canadian Tire Corp. Ltd., Class A | 622,675 | ||||||
4,270 | CGI Group, Inc., Class A* | 247,430 | ||||||
14,151 | Fortis, Inc. | 475,025 | ||||||
34,005 | Husky Energy, Inc. | 475,665 | ||||||
18,471 | Hydro One Ltd. (a) (b) | 293,332 | ||||||
13,435 | Imperial Oil Ltd. | 417,820 | ||||||
21,927 | Inter Pipeline Ltd. | 395,350 | ||||||
8,879 | Loblaw Cos. Ltd. | 451,574 | ||||||
17,078 | Metro, Inc. | 541,889 | ||||||
13,830 | RioCan, REIT | 251,513 | ||||||
13,056 | Rogers Communications, Inc., Class B | 616,320 | ||||||
20,922 | Shaw Communications, Inc., Class B | 430,026 | ||||||
10,955 | Suncor Energy, Inc. | 418,934 | ||||||
15,254 | Teck Resources Ltd., Class B | 382,909 | ||||||
15,749 | TELUS Corp. | 563,625 | ||||||
10,840 | Thomson Reuters Corp. | 435,897 | ||||||
4,988 | Tourmaline Oil Corp. | 93,820 | ||||||
14,226 | TransCanada Corp. | 603,188 | ||||||
|
| |||||||
8,344,343 | ||||||||
|
| |||||||
Chile — 0.0% (c) | ||||||||
1,256 | Antofagasta plc | 16,781 | ||||||
|
| |||||||
China — 0.4% | ||||||||
527,700 | Semiconductor Manufacturing International Corp.* | 678,671 | ||||||
630,000 | Xinyi Solar Holdings Ltd. | 287,062 | ||||||
|
| |||||||
965,733 | ||||||||
|
| |||||||
Denmark — 1.0% | ||||||||
3,851 | Carlsberg A/S, Class B | 430,664 | ||||||
6,023 | Chr Hansen Holding A/S | 545,979 | ||||||
3,314 | H Lundbeck A/S | 191,986 | ||||||
6,815 | Orsted A/S (a) (b) | 448,669 | ||||||
78,593 | TDC A/S* | 639,985 | ||||||
|
| |||||||
2,257,283 | ||||||||
|
| |||||||
Finland — 1.2% | ||||||||
10,576 | Elisa OYJ | 467,486 | ||||||
26,141 | Fortum OYJ | 601,316 | ||||||
2,103 | Kesko OYJ, Class B | 123,488 | ||||||
9,309 | Neste OYJ | 783,879 | ||||||
3,214 | Sampo OYJ, Class A | 173,819 | ||||||
21,229 | Stora Enso OYJ, Class R | 418,734 |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Finland — continued |
| |||||||
3,300 | UPM-Kymmene OYJ | 117,749 | ||||||
|
| |||||||
2,686,471 | ||||||||
|
| |||||||
France — 4.3% | ||||||||
4,296 | Alstom SA | 195,590 | ||||||
4,139 | Arkema SA | 542,187 | ||||||
4,211 | Atos SE | 568,486 | ||||||
5,423 | Bouygues SA | 276,601 | ||||||
5,448 | Capgemini SE | 749,459 | ||||||
6,425 | Casino Guichard Perrachon SA | 333,275 | ||||||
5,102 | Danone SA | 413,292 | ||||||
5,277 | Dassault Systemes SE | 683,847 | ||||||
4,197 | Eiffage SA | 499,576 | ||||||
14,903 | Eutelsat Communications SA | 322,754 | ||||||
5,961 | Faurecia SA | 486,769 | ||||||
1,949 | Iliad SA | 390,391 | ||||||
2,735 | Ingenico Group SA | 239,239 | ||||||
11,137 | Lagardere SCA | 318,531 | ||||||
26,551 | Orange SA | 482,687 | ||||||
2,924 | Pernod Ricard SA | 485,636 | ||||||
4,501 | Sanofi | 355,859 | ||||||
5,573 | SCOR SE | 226,003 | ||||||
3,815 | Sodexo SA | 377,793 | ||||||
5,754 | Thales SA | 729,370 | ||||||
8,376 | TOTAL SA | 526,446 | ||||||
2,621 | Vinci SA | 262,057 | ||||||
15,449 | Vivendi SA | 407,417 | ||||||
|
| |||||||
9,873,265 | ||||||||
|
| |||||||
Germany — 3.3% | ||||||||
2,019 | BASF SE | 210,064 | ||||||
4,166 | Beiersdorf AG | 471,334 | ||||||
3,979 | Covestro AG (a) (b) | 361,551 | ||||||
17,269 | Deutsche Lufthansa AG (Registered) | 501,928 | ||||||
12,648 | Evonik Industries AG | 449,386 | ||||||
5,051 | Fraport AG Frankfurt Airport Services Worldwide | 488,813 | ||||||
5,719 | Fresenius Medical Care AG & Co. KGaA | 580,312 | ||||||
7,422 | Fresenius SE & Co. KGaA | 565,217 | ||||||
4,830 | Hannover Rueck SE | 678,352 | ||||||
2,199 | Henkel AG & Co. KGaA (Preference) | 279,459 | ||||||
24,773 | Infineon Technologies AG | 634,330 | ||||||
4,605 | Merck KGaA | 449,864 | ||||||
1,102 | Rheinmetall AG | 144,011 | ||||||
5,315 | SAP SE | 590,527 | ||||||
24,657 | Telefonica Deutschland Holding AG | 117,676 | ||||||
12,139 | TUI AG | 274,511 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Germany — continued |
| |||||||
14,997 | Uniper SE | 463,695 | ||||||
4,499 | United Internet AG (Registered) | 290,805 | ||||||
|
| |||||||
7,551,835 | ||||||||
|
| |||||||
Hong Kong — 4.4% | ||||||||
39,300 | ASM Pacific Technology Ltd. | 538,541 | ||||||
143,000 | Cathay Pacific Airways Ltd. | 229,601 | ||||||
72,260 | CK Hutchison Holdings Ltd. | 854,464 | ||||||
58,000 | CK Infrastructure Holdings Ltd. | 457,760 | ||||||
79,000 | CLP Holdings Ltd. | 820,342 | ||||||
32,500 | Hang Seng Bank Ltd. | 823,222 | ||||||
381,647 | Hong Kong & China Gas Co. Ltd. | 797,431 | ||||||
731,200 | Hutchison Port Holdings Trust | 243,783 | ||||||
7,200 | Jardine Matheson Holdings Ltd. | 435,987 | ||||||
7,900 | Jardine Strategic Holdings Ltd. | 298,978 | ||||||
26,500 | Johnson Electric Holdings Ltd. | 92,261 | ||||||
94,500 | Link RE, REIT | 835,203 | ||||||
121,500 | MTR Corp. Ltd. | 682,679 | ||||||
384,000 | New World Development Co. Ltd. | 563,144 | ||||||
516,000 | PCCW Ltd. | 318,967 | ||||||
89,500 | Power Assets Holdings Ltd. | 666,519 | ||||||
46,000 | Swire Pacific Ltd., Class A | 454,540 | ||||||
391,000 | WH Group Ltd. (a) (b) | 404,793 | ||||||
380,000 | Xinyi Glass Holdings Ltd. | 546,288 | ||||||
|
| |||||||
10,064,503 | ||||||||
|
| |||||||
Israel — 0.2% | ||||||||
5,949 | Check Point Software Technologies Ltd.* | 574,138 | ||||||
|
| |||||||
Italy — 1.0% | ||||||||
4,769 | Buzzi Unicem SpA | 120,411 | ||||||
78,231 | Enel SpA | 496,276 | ||||||
72,021 | Italgas SpA | 466,056 | ||||||
92,352 | Parmalat SpA | 336,803 | ||||||
8,993 | Recordati SpA | 320,786 | ||||||
86,635 | Terna Rete Elettrica Nazionale SpA | 519,977 | ||||||
|
| |||||||
2,260,309 | ||||||||
|
| |||||||
Japan — 21.9% | ||||||||
7,200 | Aisin Seiki Co. Ltd. | 390,059 | ||||||
17,000 | ANA Holdings, Inc. | 672,930 | ||||||
16,800 | Aozora Bank Ltd. | 677,739 | ||||||
27,500 | Brother Industries Ltd. | 589,863 | ||||||
18,900 | Canon, Inc. | 650,145 | ||||||
23,200 | Capcom Co. Ltd. | 443,478 | ||||||
3,800 | Central Japan Railway Co. | 761,461 | ||||||
37,500 | Chubu Electric Power Co., Inc. | 587,923 | ||||||
39,000 | Chugoku Electric Power Co., Inc. (The) | 487,908 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 61 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Japan — continued |
| |||||||
9,600 | COMSYS Holdings Corp. | 267,069 | ||||||
19,400 | Cosmo Energy Holdings Co. Ltd. | 639,098 | ||||||
18,900 | Credit Saison Co. Ltd. | 338,490 | ||||||
2,000 | Dai Nippon Printing Co. Ltd. | 43,064 | ||||||
16,800 | Daiichi Sankyo Co. Ltd. | 574,988 | ||||||
3,400 | Daito Trust Construction Co. Ltd. | 567,341 | ||||||
11,300 | DIC Corp. | 383,465 | ||||||
8,100 | Dowa Holdings Co. Ltd. | 304,405 | ||||||
6,000 | Ebara Corp. | 229,173 | ||||||
18,200 | Electric Power Development Co. Ltd. | 494,959 | ||||||
43,000 | Fuji Electric Co. Ltd. | 306,690 | ||||||
16,800 | FUJIFILM Holdings Corp. | 675,630 | ||||||
71,500 | Fujikura Ltd. | 488,563 | ||||||
5,000 | Fujitsu Ltd. | 30,312 | ||||||
6,600 | Gree, Inc. | 36,467 | ||||||
11,300 | Hankyu Hanshin Holdings, Inc. | 444,515 | ||||||
4,800 | Hikari Tsushin, Inc. | 778,100 | ||||||
10,900 | Hitachi High-Technologies Corp. | 508,383 | ||||||
14,200 | Hokkaido Electric Power Co., Inc. | 94,235 | ||||||
28,200 | Hokuriku Electric Power Co. | 287,769 | ||||||
17,800 | Idemitsu Kosan Co. Ltd. | 695,373 | ||||||
56,600 | Inpex Corp. | 723,564 | ||||||
36,700 | ITOCHU Corp. | 733,942 | ||||||
16,300 | Japan Airlines Co. Ltd. | 643,271 | ||||||
11,800 | Japan Petroleum Exploration Co. Ltd. | 307,064 | ||||||
114,400 | JXTG Holdings, Inc. | 745,747 | ||||||
53,000 | Kaneka Corp. | 523,707 | ||||||
43,800 | Kansai Electric Power Co., Inc. (The) | 612,840 | ||||||
17,400 | Kawasaki Kisen Kaisha Ltd. | 402,379 | ||||||
27,900 | KDDI Corp. | 748,937 | ||||||
15,700 | Keisei Electric Railway Co. Ltd. | 511,184 | ||||||
8,200 | K’s Holdings Corp. | 118,269 | ||||||
35,200 | Kuraray Co. Ltd. | 586,227 | ||||||
37,300 | Kyushu Electric Power Co., Inc. | 462,148 | ||||||
2,000 | Lawson, Inc. | 132,122 | ||||||
90,700 | Marubeni Corp. | 681,117 | ||||||
3,100 | Miraca Holdings, Inc. | 120,683 | ||||||
8,100 | Mitsubishi Gas Chemical Co., Inc. | 189,827 | ||||||
27,000 | Mitsubishi Tanabe Pharma Corp. | 512,819 | ||||||
391,100 | Mizuho Financial Group, Inc. | 707,593 | ||||||
6,100 | Mochida Pharmaceutical Co. Ltd. | 429,795 | ||||||
10,200 | NH Foods Ltd. | 445,603 | ||||||
12,300 | Nihon M&A Center, Inc. | 358,995 | ||||||
22,300 | Nikon Corp. | 388,031 | ||||||
2,400 | Nippon Express Co. Ltd. | 181,320 | ||||||
28,100 | Nippon Kayaku Co. Ltd. | 351,609 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Japan — continued |
| |||||||
21,600 | Nippon Paper Industries Co. Ltd. | 413,687 | ||||||
6,200 | Nippon Shokubai Co. Ltd. | 421,291 | ||||||
14,400 | Nippon Telegraph & Telephone Corp. | 683,355 | ||||||
34,900 | Nipro Corp. | 502,313 | ||||||
54,200 | Nissan Motor Co. Ltd. | 570,210 | ||||||
15,400 | Nisshin Steel Co. Ltd. | 203,797 | ||||||
6,300 | Nissin Foods Holdings Co. Ltd. | 463,895 | ||||||
23,600 | Nomura Real Estate Holdings, Inc. | 584,016 | ||||||
9,000 | Nomura Research Institute Ltd. | 463,543 | ||||||
35,200 | NTT Data Corp. | 379,350 | ||||||
27,900 | NTT DOCOMO, Inc. | 720,769 | ||||||
52,000 | Oji Holdings Corp. | 365,799 | ||||||
30,300 | Osaka Gas Co. Ltd. | 652,479 | ||||||
14,800 | Otsuka Corp. | 685,794 | ||||||
1,000 | Otsuka Holdings Co. Ltd. | 52,283 | ||||||
11,000 | Sankyo Co. Ltd. | 385,629 | ||||||
6,800 | Sawai Pharmaceutical Co. Ltd. | 293,866 | ||||||
13,700 | SBI Holdings, Inc. | 345,450 | ||||||
3,400 | SCREEN Holdings Co. Ltd. | 278,102 | ||||||
8,100 | SCSK Corp. | 346,648 | ||||||
10,900 | Sega Sammy Holdings, Inc. | 179,051 | ||||||
31,700 | Sekisui Chemical Co. Ltd. | 560,775 | ||||||
37,800 | Sekisui House Ltd. | 692,821 | ||||||
16,800 | Seven Bank Ltd. | 56,405 | ||||||
4,300 | Shimamura Co. Ltd. | 500,405 | ||||||
19,900 | Shimizu Corp. | 196,887 | ||||||
400 | Showa Denko KK | 13,308 | ||||||
52,100 | Showa Shell Sekiyu KK | 735,683 | ||||||
14,900 | Skylark Co. Ltd. | 219,171 | ||||||
9,200 | SoftBank Group Corp. | 702,960 | ||||||
195,800 | Sojitz Corp. | 644,527 | ||||||
15,200 | Square Enix Holdings Co. Ltd. | 630,006 | ||||||
31,700 | Sumitomo Dainippon Pharma Co. Ltd. | 576,522 | ||||||
98,000 | Sumitomo Osaka Cement Co. Ltd. | 448,647 | ||||||
10,400 | Suzuken Co. Ltd. | 447,184 | ||||||
7,600 | Taisei Corp. | 409,989 | ||||||
3,700 | Taisho Pharmaceutical Holdings Co. Ltd. | 353,907 | ||||||
36,000 | Takashimaya Co. Ltd. | 309,148 | ||||||
9,500 | Takeda Pharmaceutical Co. Ltd. | 400,045 | ||||||
23,000 | Teijin Ltd. | 432,420 | ||||||
11,900 | Terumo Corp. | 673,312 | ||||||
41,600 | Tohoku Electric Power Co., Inc. | 537,241 | ||||||
23,400 | Tokyo Broadcasting System Holdings, Inc. | 520,132 | ||||||
113,600 | Tokyo Electric Power Co. Holdings, Inc.* | 540,026 | ||||||
22,400 | Tokyo Gas Co. Ltd. | 601,111 | ||||||
15,900 | Tokyo Tatemono Co. Ltd. | 242,144 |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Japan — continued |
| |||||||
11,400 | Tokyu Corp. | 191,364 | ||||||
42,000 | Tokyu Fudosan Holdings Corp. | 330,519 | ||||||
57,000 | Toppan Printing Co. Ltd. | 476,644 | ||||||
14,300 | Toyo Suisan Kaisha Ltd. | 563,039 | ||||||
9,400 | Toyota Industries Corp. | 554,327 | ||||||
12,800 | Toyota Motor Corp. | 839,327 | ||||||
15,300 | Tsumura & Co. | 554,996 | ||||||
21,800 | Ube Industries Ltd. | 664,119 | ||||||
84,800 | Yamada Denki Co. Ltd. | 443,545 | ||||||
18,400 | Yokohama Rubber Co. Ltd. (The) | 433,248 | ||||||
|
| |||||||
50,555,619 | ||||||||
|
| |||||||
Netherlands — 1.5% | ||||||||
1,882 | Boskalis Westminster | 55,753 | ||||||
3,461 | Gemalto NV* | 208,474 | ||||||
3,912 | Heineken Holding NV | 397,109 | ||||||
4,571 | Koninklijke DSM NV | 472,426 | ||||||
123,636 | Koninklijke KPN NV | 384,784 | ||||||
11,858 | Koninklijke Philips NV | 501,904 | ||||||
9,232 | NN Group NV | 442,441 | ||||||
6,827 | Royal Dutch Shell plc, Class A | 237,520 | ||||||
13,204 | Wolters Kluwer NV | 714,466 | ||||||
|
| |||||||
3,414,877 | ||||||||
|
| |||||||
New Zealand — 0.3% | ||||||||
61,477 | Contact Energy Ltd. | 232,004 | ||||||
212,088 | Spark New Zealand Ltd. | 515,042 | ||||||
|
| |||||||
747,046 | ||||||||
|
| |||||||
Norway — 1.0% | ||||||||
32,406 | Marine Harvest ASA | 705,410 | ||||||
43,223 | Orkla ASA | 400,037 | ||||||
9,156 | Statoil ASA | 234,144 | ||||||
25,343 | Telenor ASA | 560,939 | ||||||
10,520 | Yara International ASA | 443,719 | ||||||
|
| |||||||
2,344,249 | ||||||||
|
| |||||||
Portugal — 0.4% | ||||||||
135,803 | EDP — Energias de Portugal SA | 503,824 | ||||||
24,532 | Galp Energia SGPS SA | 470,844 | ||||||
|
| |||||||
974,668 | ||||||||
|
| |||||||
Singapore — 2.2% | ||||||||
293,000 | CapitaLand Mall Trust, REIT | 462,696 | ||||||
270,900 | ComfortDelGro Corp. Ltd. | 457,222 | ||||||
868,700 | Golden Agri-Resources Ltd. | 225,242 | ||||||
122,200 | Keppel Corp. Ltd. | 749,472 | ||||||
188,500 | Sembcorp Industries Ltd. | 434,195 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Singapore — continued |
| |||||||
51,100 | Singapore Airlines Ltd. | 416,944 | ||||||
158,200 | Singapore Press Holdings Ltd. | 323,272 | ||||||
316,600 | Singapore Telecommunications Ltd. | 837,437 | ||||||
34,600 | Venture Corp. Ltd. | 541,181 | ||||||
229,200 | Wilmar International Ltd. | 560,721 | ||||||
|
| |||||||
5,008,382 | ||||||||
|
| |||||||
South Africa — 0.1% | ||||||||
10,180 | Mondi plc | 283,382 | ||||||
|
| |||||||
South Korea — 9.2% | ||||||||
6,098 | Celltrion Healthcare Co. Ltd.* | 506,814 | ||||||
1,283 | CJ CheilJedang Corp. | 410,204 | ||||||
1,887 | E-MART, Inc. | 475,024 | ||||||
7,617 | GS Holdings Corp. | 436,007 | ||||||
10,068 | Hankook Tire Co. Ltd. | 464,975 | ||||||
680 | Hanmi Pharm Co. Ltd. | 294,376 | ||||||
4,060 | Hanmi Science Co. Ltd. | 293,826 | ||||||
12,998 | Hanon Systems | 132,004 | ||||||
22,269 | Hanwha Chemical Corp. | 598,644 | ||||||
11,100 | Hanwha Techwin Co. Ltd.* | 248,821 | ||||||
1,093 | Hyosung Corp. | 133,718 | ||||||
1,733 | Hyundai Construction Equipment Co. Ltd.* | 305,792 | ||||||
1,627 | Hyundai Electric & Energy System Co. Ltd.* | 142,732 | ||||||
9,605 | Hyundai Engineering & Construction Co. Ltd. | 568,840 | ||||||
48 | Hyundai Robotics Co. Ltd.* | 18,860 | ||||||
10,290 | Hyundai Steel Co. | 581,597 | ||||||
29,024 | Industrial Bank of Korea | 455,149 | ||||||
6,018 | Kakao Corp. | 619,228 | ||||||
11,190 | Kia Motors Corp. | 345,488 | ||||||
22,693 | Korea Electric Power Corp. | 793,841 | ||||||
8,523 | Korea Gas Corp.* | 435,640 | ||||||
722 | Korea Zinc Co. Ltd. | 292,213 | ||||||
9,278 | Korean Air Lines Co. Ltd. | 294,862 | ||||||
7,703 | KT&G Corp. | 704,380 | ||||||
5,819 | LG Corp. | 440,177 | ||||||
26,273 | LG Display Co. Ltd. | 573,648 | ||||||
4,781 | LG Electronics, Inc. | 453,329 | ||||||
48,083 | LG Uplus Corp. | 550,469 | ||||||
1,710 | Lotte Chemical Corp. | 658,481 | ||||||
4,092 | LOTTE Fine Chemical Co. Ltd. | 260,550 | ||||||
243 | NAVER Corp. | 162,043 | ||||||
2,496 | POSCO | 860,024 | ||||||
1,171 | Samsung Biologics Co. Ltd.* (a) (b) | 531,858 | ||||||
529 | Samsung Electronics Co. Ltd.‡ | 1,311,185 | ||||||
1,703 | Samsung SDS Co. Ltd. | 386,817 | ||||||
1,485 | Shinsegae, Inc. | 576,378 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 63 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
South Korea — continued |
| |||||||
2,821 | SK Holdings Co. Ltd. | 772,190 | ||||||
13,234 | SK Hynix, Inc. | 1,040,775 | ||||||
4,000 | SK Innovation Co. Ltd. | 732,985 | ||||||
3,153 | SK Telecom Co. Ltd. | 673,679 | ||||||
7,048 | SKC Co. Ltd. | 249,664 | ||||||
6,266 | S-Oil Corp. | 642,633 | ||||||
43,897 | Woori Bank | 655,358 | ||||||
|
| |||||||
21,085,278 | ||||||||
|
| |||||||
Spain — 1.7% | ||||||||
2,297 | Acciona SA | 192,136 | ||||||
4,549 | Acerinox SA | 63,884 | ||||||
1,053 | ACS Actividades de Construccion y Servicios SA | 44,379 | ||||||
2,805 | Aena SME SA (a) (b) | 578,191 | ||||||
4,767 | Cellnex Telecom SA (a) (b) | 127,847 | ||||||
17,453 | Enagas SA | 507,289 | ||||||
20,613 | Gas Natural SDG SA | 519,605 | ||||||
19,103 | Grifols SA | 535,605 | ||||||
62,994 | Iberdrola SA | 486,688 | ||||||
14,600 | Red Electrica Corp. SA | 304,124 | ||||||
27,986 | Repsol SA | 534,052 | ||||||
|
| |||||||
3,893,800 | ||||||||
|
| |||||||
Sweden — 2.5% | ||||||||
18,534 | Arjo AB, Class B* | 54,908 | ||||||
4,393 | Autoliv, Inc. | 588,882 | ||||||
14,726 | Boliden AB* | 510,250 | ||||||
1,398 | Essity AB, Class B | 35,460 | ||||||
12,438 | Getinge AB, Class B | 115,885 | ||||||
10,561 | Hexagon AB, Class B | 609,781 | ||||||
10,093 | Investor AB, Class B | 439,389 | ||||||
4,540 | Lundin Petroleum AB* | 125,154 | ||||||
33,336 | Securitas AB, Class B | 538,653 | ||||||
23,130 | Skanska AB, Class B | 450,471 | ||||||
8,300 | Svenska Cellulosa AB SCA, Class B | 91,920 | ||||||
12,576 | Swedish Match AB | 564,162 | ||||||
48,972 | Tele2 AB, Class B | 634,771 | ||||||
103,658 | Telia Co. AB | 510,382 | ||||||
19,504 | Trelleborg AB, Class B | 455,784 | ||||||
|
| |||||||
5,725,852 | ||||||||
|
| |||||||
Switzerland — 1.8% | ||||||||
3,166 | Baloise Holding AG (Registered) | 501,826 | ||||||
167 | Barry Callebaut AG (Registered) | 299,812 | ||||||
21,259 | Clariant AG (Registered) | 490,771 | ||||||
815 | Kuehne + Nagel International AG (Registered) | 126,892 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Switzerland — continued |
| |||||||
3,918 | Logitech International SA (Registered) | 144,743 | ||||||
280 | Lonza Group AG (Registered)* | 68,413 | ||||||
4,725 | Novartis AG (Registered) | 363,704 | ||||||
3,110 | Sonova Holding AG (Registered) | 512,509 | ||||||
242 | Straumann Holding AG (Registered) | 164,276 | ||||||
1,278 | Swiss Life Holding AG (Registered) | 447,068 | ||||||
2,170 | Swiss Prime Site AG (Registered) | 203,316 | ||||||
912 | Swisscom AG (Registered) | 437,425 | ||||||
2,563 | Vifor Pharma AG | 404,470 | ||||||
|
| |||||||
4,165,225 | ||||||||
|
| |||||||
United Kingdom — 3.0% | ||||||||
4,060 | Bellway plc | 184,999 | ||||||
72,258 | BP plc | 536,730 | ||||||
3,159 | Bunzl plc | 91,600 | ||||||
11,954 | Coca-Cola European Partners plc | 468,597 | ||||||
5,245 | easyJet plc | 114,339 | ||||||
23,240 | Hammerson plc, REIT | 175,192 | ||||||
26,355 | Inmarsat plc | 136,157 | ||||||
35,941 | International Consolidated Airlines Group SA | 310,682 | ||||||
54,871 | Kingfisher plc | 228,836 | ||||||
18,230 | Land Securities Group plc, REIT | 247,476 | ||||||
3,956 | Persimmon plc | 147,778 | ||||||
20,567 | RELX NV | 437,607 | ||||||
64,660 | Rentokil Initial plc | 272,796 | ||||||
45,800 | Royal Mail plc | 365,253 | ||||||
48,944 | Sage Group plc (The) | 425,699 | ||||||
15,674 | Segro plc, REIT | 139,087 | ||||||
7,346 | Severn Trent plc | 195,608 | ||||||
26,808 | Smith & Nephew plc | 513,401 | ||||||
32,063 | Tate & Lyle plc | 253,227 | ||||||
114,791 | Taylor Wimpey plc | 302,307 | ||||||
34,184 | United Utilities Group plc | 348,587 | ||||||
98,986 | Vodafone Group plc | 288,862 | ||||||
27,622 | William Hill plc | 111,100 | ||||||
156,029 | Wm Morrison Supermarkets plc | 520,383 | ||||||
|
| |||||||
6,816,303 | ||||||||
|
| |||||||
United States — 26.4% | ||||||||
23,383 | AGNC Investment Corp., REIT | 442,406 | ||||||
2,942 | Air Products & Chemicals, Inc. | 477,457 | ||||||
4,919 | Alaska Air Group, Inc. | 319,391 | ||||||
13,236 | Alcoa Corp. | 677,683 | ||||||
876 | Alleghany Corp. | 503,411 | ||||||
15,427 | Alliant Energy Corp. | 662,590 | ||||||
5,724 | Allstate Corp. (The) | 559,922 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
United States — continued |
| |||||||
9,966 | Amdocs Ltd. | 670,214 | ||||||
9,226 | Ameren Corp. | 540,828 | ||||||
6,174 | American Electric Power Co., Inc. | 432,057 | ||||||
295 | American Water Works Co., Inc. | 25,541 | ||||||
4,017 | Andeavor | 555,631 | ||||||
40,480 | Annaly Capital Management, Inc., REIT | 419,778 | ||||||
3,573 | ANSYS, Inc.* | 577,611 | ||||||
10,704 | Antero Resources Corp.* | 203,376 | ||||||
3,063 | Anthem, Inc. | 722,837 | ||||||
9,197 | Aramark | 343,876 | ||||||
4,238 | Arrow Electronics, Inc.* | 316,748 | ||||||
6,560 | Ashland Global Holdings, Inc. | 434,141 | ||||||
2,093 | Assurant, Inc. | 194,272 | ||||||
22,589 | AT&T, Inc. | 738,660 | ||||||
8,290 | AutoNation, Inc.* | 382,915 | ||||||
6,947 | Avangrid, Inc. | 366,176 | ||||||
5,868 | Avery Dennison Corp. | 615,025 | ||||||
9,087 | Avnet, Inc. | 356,483 | ||||||
8,808 | Axis Capital Holdings Ltd. | 517,030 | ||||||
7,637 | Baxter International, Inc. | 530,771 | ||||||
3,239 | Becton Dickinson and Co. | 751,027 | ||||||
10,391 | Bemis Co., Inc. | 449,619 | ||||||
6,904 | Broadridge Financial Solutions, Inc. | 740,178 | ||||||
7,780 | Brown & Brown, Inc. | 211,849 | ||||||
15,837 | CA, Inc. | 551,128 | ||||||
7,384 | Carnival Corp. | 465,635 | ||||||
2,386 | Carnival plc | 155,079 | ||||||
6,349 | Celanese Corp., Series A | 689,946 | ||||||
17,078 | CenterPoint Energy, Inc. | 432,586 | ||||||
37,090 | CenturyLink, Inc. | 689,132 | ||||||
7,203 | Chevron Corp. | 901,167 | ||||||
12,272 | Church & Dwight Co., Inc. | 566,966 | ||||||
2,294 | Cigna Corp. | 394,155 | ||||||
6,200 | Cincinnati Financial Corp. | 436,108 | ||||||
4,120 | Cintas Corp. | 701,636 | ||||||
9,509 | CMS Energy Corp. | 448,730 | ||||||
6,292 | CNA Financial Corp. | 317,494 | ||||||
9,420 | Commerce Bancshares, Inc. | 598,358 | ||||||
6,159 | Consolidated Edison, Inc. | 493,521 | ||||||
3,338 | Constellation Brands, Inc., Class A | 778,188 | ||||||
7,157 | Darden Restaurants, Inc. | 664,599 | ||||||
2,309 | DaVita, Inc.* | 144,982 | ||||||
9,040 | DENTSPLY SIRONA, Inc. | 455,074 | ||||||
4,273 | Dr Pepper Snapple Group, Inc. | 512,589 | ||||||
6,064 | DTE Energy Co. | 639,146 |
SHARES | INVESTMENTS | VALUE($) | ||||||
United States — continued |
| |||||||
6,062 | Eastman Chemical Co. | 618,809 | ||||||
2,557 | Everest Re Group Ltd. | 594,937 | ||||||
10,830 | Eversource Energy | 652,508 | ||||||
7,238 | Fidelity National Information Services, Inc. | 687,393 | ||||||
8,871 | Flex Ltd.* | 115,323 | ||||||
8,158 | Foot Locker, Inc. | 351,447 | ||||||
9,952 | Garmin Ltd. | 583,884 | ||||||
21,401 | Gentex Corp. | 486,659 | ||||||
4,172 | Genuine Parts Co. | 368,471 | ||||||
4,433 | Harris Corp. | 693,410 | ||||||
6,302 | Hasbro, Inc. | 555,143 | ||||||
7,004 | Henry Schein, Inc.* | 532,304 | ||||||
11,108 | HollyFrontier Corp. | 674,145 | ||||||
14,080 | Hormel Foods Corp. | 510,400 | ||||||
3,058 | IAC/InterActiveCorp* | 495,824 | ||||||
3,532 | Ingredion, Inc. | 427,690 | ||||||
16,746 | Intel Corp. | 864,429 | ||||||
2,395 | International Flavors & Fragrances, Inc. | 338,318 | ||||||
7,590 | International Paper Co. | 391,340 | ||||||
10,216 | Interpublic Group of Cos., Inc. (The) | 240,995 | ||||||
4,744 | IQVIA Holdings, Inc.* | 454,285 | ||||||
9,923 | Jabil, Inc. | 263,952 | ||||||
4,423 | JM Smucker Co. (The) | 504,576 | ||||||
6,910 | Johnson & Johnson | 874,046 | ||||||
3,402 | L3 Technologies, Inc. | 666,384 | ||||||
4,057 | Laboratory Corp. of America Holdings* | 692,733 | ||||||
3,055 | Lam Research Corp. | 565,358 | ||||||
11,398 | Leggett & Platt, Inc. | 462,189 | ||||||
18,981 | Leucadia National Corp. | 456,303 | ||||||
2,079 | ManpowerGroup, Inc. | 199,002 | ||||||
4,498 | McCormick & Co., Inc. (Non-Voting) | 474,134 | ||||||
17,479 | MDU Resources Group, Inc. | 492,383 | ||||||
6,126 | Molson Coors Brewing Co., Class B | 436,416 | ||||||
2,961 | Murphy Oil Corp. | 89,156 | ||||||
28,525 | News Corp., Class A | 455,830 | ||||||
1,156 | NextEra Energy, Inc. | 189,480 | ||||||
10,857 | NiSource, Inc. | 264,802 | ||||||
2,037 | Northrop Grumman Corp. | 655,995 | ||||||
200 | NVR, Inc.* | 620,000 | ||||||
22,016 | Old Republic International Corp. | 449,126 | ||||||
2,372 | Phillips 66 | 264,027 | ||||||
7,429 | Pinnacle West Capital Corp. | 598,034 | ||||||
4,491 | Public Service Enterprise Group, Inc. | 234,206 | ||||||
17,151 | PulteGroup, Inc. | 520,704 | ||||||
4,554 | Quest Diagnostics, Inc. | 460,865 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 65 |
JPMorgan Diversified Return Global Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
United States — continued |
| |||||||
3,370 | Raytheon Co. | 690,648 | ||||||
10,289 | Republic Services, Inc. | 665,493 | ||||||
8,192 | SCANA Corp. | 301,220 | ||||||
10,751 | Southwest Airlines Co. | 567,975 | ||||||
88,250 | Sprint Corp.* | 495,083 | ||||||
7,767 | Synopsys, Inc.* | 664,156 | ||||||
10,044 | T-Mobile US, Inc.* | 607,762 | ||||||
11,364 | Toll Brothers, Inc. | 479,106 | ||||||
7,878 | Torchmark Corp. | 683,338 | ||||||
6,201 | Tyson Foods, Inc., Class A | 434,690 | ||||||
6,987 | United Continental Holdings, Inc.* | 471,902 | ||||||
4,397 | Universal Health Services, Inc., Class B | 502,137 | ||||||
4,140 | Valero Energy Corp. | 459,250 | ||||||
16,716 | Verizon Communications, Inc. | 824,935 | ||||||
3,572 | VMware, Inc., Class A* | 476,005 | ||||||
6,438 | Walmart, Inc. | 569,505 | ||||||
4,113 | Walt Disney Co. (The) | 412,657 | ||||||
3,313 | Waters Corp.* | 624,202 | ||||||
6,359 | Westlake Chemical Corp. | 680,222 | ||||||
8,734 | WR Berkley Corp. | 651,207 | ||||||
5,968 | Wyndham Worldwide Corp. | 681,605 | ||||||
13,858 | Xcel Energy, Inc. | 649,109 | ||||||
9,083 | Xylem, Inc. | 662,151 | ||||||
2,111 | Zimmer Biomet Holdings, Inc. | 243,124 | ||||||
|
| |||||||
60,800,619 | ||||||||
|
| |||||||
Total Common Stocks | 228,954,356 | |||||||
|
| |||||||
Short-Term Investments — 0.1% | ||||||||
Investment Companies — 0.1% | ||||||||
182,981 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 182,981 | ||||||
|
| |||||||
Total Investments — 99.5% | 229,137,337 | |||||||
Other Assets Less Liabilities — 0.5% | 1,252,829 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 230,390,166 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
‡ | — Value determined using significant unobservable inputs. | |
(a) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(b) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | — Represents less than 0.05% of net assets. | |
(d) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(e) | — The rate shown was the current yield as of April 30, 2018. |
Abbreviations
OYJ | — Public Limited Company | |
Preference | — A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference. | |
REIT | — Real Estate Investment Trust | |
SCA | — Limited partnership with share capital |
SEE NOTES TO FINANCIAL STATEMENTS.
66 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Summary of Investments by Industry, April 30, 2018
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 | 7.5 | % | ||
Electric Utilities | 6.3 | |||
Chemicals | 5.5 | |||
Diversified Telecommunication Services | 5.1 | |||
Insurance | 3.6 | |||
Food Products | 3.4 | |||
Pharmaceuticals | 3.2 | |||
Health Care Providers & Services | 3.2 | |||
Health Care Equipment & Supplies | 2.7 | |||
IT Services | 2.7 | |||
Software | 2.5 | |||
Wireless Telecommunication Services | 2.4 | |||
Household Durables | 2.4 | |||
Airlines | 2.3 | |||
Semiconductors & Semiconductor Equipment | 2.1 | |||
Food & Staples Retailing | 2.0 | |||
Multi-Utilities | 2.0 | |||
Hotels, Restaurants & Leisure | 1.9 | |||
Industrial Conglomerates | 1.8 | |||
Equity Real Estate Investment Trusts (REITs) | 1.8 | |||
Auto Components | 1.8 | |||
Banks | 1.7 | |||
Metals & Mining | 1.7 | |||
Beverages | 1.7 | |||
Gas Utilities | 1.7 | |||
Aerospace & Defense | 1.6 | |||
Electronic Equipment, Instruments & Components | 1.5 | |||
Media | 1.5 | |||
Construction & Engineering | 1.5 | |||
Road & Rail | 1.5 | |||
Technology Hardware, Storage & Peripherals | 1.5 | |||
Real Estate Management & Development | 1.3 | |||
Specialty Retail | 1.2 | |||
Commercial Services & Supplies | 1.2 | |||
Others (each less than 1.0%) | 14.2 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 67 |
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Exchange Traded Funds — 99.3% | ||||||||
United States — 99.3% | ||||||||
568,934 | JPMorgan Diversified Return International Equity ETF (a) | |||||||
(Cost $29,142,199) | 34,323,788 | |||||||
|
| |||||||
Total Investments — 99.3% | 34,323,788 | |||||||
Other Assets Less Liabilities — 0.7% | 251,661 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 34,575,449 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | — Affiliated company as defined under the Investment Company Act of 1940. |
Forward foreign currency exchange contracts outstanding as of April 30, 2018: | ||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||||
GBP | 5,049,733 | USD | 6,951,708 | Citibank, NA | 5/3/2018 | 561 | ||||||||||||||||
KRW | 28,802,134 | USD | 26,605 | Citibank, NA** | 5/3/2018 | 352 | ||||||||||||||||
USD | 2,207,241 | AUD | 2,876,855 | State Street Corp. | 5/3/2018 | 41,399 | ||||||||||||||||
USD | 554,804 | CHF | 530,058 | State Street Corp. | 5/3/2018 | 19,883 | ||||||||||||||||
USD | 448,573 | DKK | 2,712,630 | Citibank, NA | 5/3/2018 | 8,872 | ||||||||||||||||
USD | 117,698 | DKK | 707,168 | HSBC Bank, NA | 5/3/2018 | 3,070 | ||||||||||||||||
USD | 6,476,272 | EUR | 5,255,123 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | 129,742 | ||||||||||||||||
USD | 7,020,785 | GBP | 5,000,954 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | 135,671 | ||||||||||||||||
USD | 36,557 | GBP | 25,756 | BNP Paribas | 5/3/2018 | 1,097 | ||||||||||||||||
USD | 102,628 | GBP | 73,580 | Merrill Lynch International | 5/3/2018 | 1,326 | ||||||||||||||||
USD | 70,584 | GBP | 50,286 | Royal Bank of Canada | 5/3/2018 | 1,352 | ||||||||||||||||
USD | 13,233 | HKD | 103,773 | Citibank, NA | 5/3/2018 | 11 | ||||||||||||||||
USD | 1,783,293 | HKD | 13,981,402 | HSBC Bank, NA | 5/3/2018 | 1,857 | ||||||||||||||||
USD | 26,981 | KRW | 28,802,134 | Citibank, NA** | 5/3/2018 | 24 | ||||||||||||||||
USD | 33,830 | KRW | 36,113,092 | Goldman Sachs International** | 5/3/2018 | 31 | ||||||||||||||||
USD | 3,837,961 | KRW | 4,076,018,447 | Merrill Lynch International** | 5/3/2018 | 23,142 | ||||||||||||||||
USD | 449,384 | NOK | 3,523,843 | Royal Bank of Canada | 5/3/2018 | 10,112 | ||||||||||||||||
USD | 185,184 | NZD | 256,763 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | 4,527 | ||||||||||||||||
USD | 1,103,229 | SEK | 9,216,968 | Citibank, NA | 5/3/2018 | 50,573 | ||||||||||||||||
USD | 989,371 | SGD | 1,296,235 | State Street Corp. | 5/3/2018 | 11,800 | ||||||||||||||||
JPY | 3,980,993 | USD | 36,426 | Royal Bank of Canada | 5/8/2018 | 4 | ||||||||||||||||
JPY | 882,901,212 | USD | 8,072,883 | State Street Corp. | 5/8/2018 | 6,490 | ||||||||||||||||
USD | 8,547,406 | JPY | 906,801,991 | BNP Paribas | 5/8/2018 | 249,318 | ||||||||||||||||
USD | 39,311 | JPY | 4,217,633 | Royal Bank of Canada | 5/8/2018 | 716 | ||||||||||||||||
USD | 36,391 | JPY | 3,851,502 | State Street Corp. | 5/8/2018 | 1,146 | ||||||||||||||||
HKD | 177,247 | USD | 22,604 | HSBC Bank, NA | 6/5/2018 | — | (a) | |||||||||||||||
USD | 26,012 | AUD | 34,465 | HSBC Bank, NA | 6/5/2018 | 63 | ||||||||||||||||
USD | 127,879 | AUD | 169,452 | Merrill Lynch International | 6/5/2018 | 298 | ||||||||||||||||
USD | 2,058,326 | AUD | 2,727,227 | State Street Corp. | 6/5/2018 | 4,984 | ||||||||||||||||
USD | 154,038 | CHF | 152,076 | Goldman Sachs International | 6/5/2018 | 118 | ||||||||||||||||
USD | 520,873 | CHF | 514,238 | State Street Corp. | 6/5/2018 | 402 | ||||||||||||||||
USD | 6,196,613 | EUR | 5,117,172 | Australia & New Zealand Banking Group Ltd. | 6/5/2018 | 982 | ||||||||||||||||
USD | 79,369 | EUR | 65,456 | BNP Paribas | 6/5/2018 | 117 | ||||||||||||||||
USD | 298,884 | EUR | 246,797 | Goldman Sachs International | 6/5/2018 | 75 | ||||||||||||||||
USD | 91,113 | GBP | 66,062 | Royal Bank of Canada | 6/5/2018 | 15 | ||||||||||||||||
USD | 1,754,232 | HKD | 13,755,710 | HSBC Bank, NA | 6/5/2018 | 1 |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION) ($) | ||||||||||||||||||
USD | 101,685 | JPY | 11,075,189 | Merrill Lynch International | 6/5/2018 | 135 | ||||||||||||||||
USD | 3,634,750 | KRW | 3,884,493,288 | Merrill Lynch International** | 6/5/2018 | 5,242 | ||||||||||||||||
USD | 412,708 | NOK | 3,303,539 | Citibank, NA | 6/5/2018 | 413 | ||||||||||||||||
USD | 90,346 | NOK | 723,172 | Goldman Sachs International | 6/5/2018 | 91 | ||||||||||||||||
USD | 180,873 | NZD | 256,763 | BNP Paribas | 6/5/2018 | 238 | ||||||||||||||||
USD | 1,069,146 | SEK | 9,331,455 | Citibank, NA | 6/5/2018 | 670 | ||||||||||||||||
USD | 51,265 | SEK | 447,381 | Goldman Sachs International | 6/5/2018 | 39 | ||||||||||||||||
USD | 957,075 | SGD | 1,266,375 | HSBC Bank, NA | 6/5/2018 | 1,353 | ||||||||||||||||
USD | 44,583 | SGD | 58,991 | State Street Corp. | 6/5/2018 | 63 | ||||||||||||||||
USD | 555,933 | DKK | 3,419,798 | Citibank, NA | 6/6/2018 | 97 | ||||||||||||||||
|
| |||||||||||||||||||||
Total unrealized appreciation | 718,472 | |||||||||||||||||||||
|
| |||||||||||||||||||||
AUD | 81,256 | USD | 62,343 | Barclays Bank plc | 5/3/2018 | (1,169 | ) | |||||||||||||||
AUD | 47,489 | USD | 36,194 | Merrill Lynch International | 5/3/2018 | (442 | ) | |||||||||||||||
AUD | 20,882 | USD | 16,027 | Royal Bank of Canada | 5/3/2018 | (306 | ) | |||||||||||||||
AUD | 2,727,227 | USD | 2,058,213 | State Street Corp. | 5/3/2018 | (5,018 | ) | |||||||||||||||
CHF | 530,058 | USD | 536,012 | State Street Corp. | 5/3/2018 | (1,091 | ) | |||||||||||||||
DKK | 3,419,798 | USD | 554,546 | Citibank, NA | 5/3/2018 | (218 | ) | |||||||||||||||
EUR | 5,117,172 | USD | 6,182,055 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | (2,127 | ) | |||||||||||||||
EUR | 105,563 | USD | 129,771 | Goldman Sachs International | 5/3/2018 | (2,285 | ) | |||||||||||||||
EUR | 13,596 | USD | 16,851 | Merrill Lynch International | 5/3/2018 | (431 | ) | |||||||||||||||
EUR | 18,793 | USD | 23,151 | Royal Bank of Canada | 5/3/2018 | (456 | ) | |||||||||||||||
GBP | 9,499 | USD | 13,418 | Merrill Lynch International | 5/3/2018 | (340 | ) | |||||||||||||||
GBP | 21,934 | USD | 31,451 | Morgan Stanley | 5/3/2018 | (1,253 | ) | |||||||||||||||
GBP | 69,412 | USD | 97,518 | Royal Bank of Canada | 5/3/2018 | (1,954 | ) | |||||||||||||||
HKD | 128,921 | USD | 16,432 | Australia & New Zealand Banking Group Ltd. | 5/3/2018 | (6 | ) | |||||||||||||||
HKD | 13,956,254 | USD | 1,778,305 | HSBC Bank, NA | 5/3/2018 | (73 | ) | |||||||||||||||
KRW | 36,113,092 | USD | 33,812 | Goldman Sachs International** | 5/3/2018 | (13 | ) | |||||||||||||||
KRW | 4,076,018,447 | USD | 3,818,910 | Merrill Lynch International** | 5/3/2018 | (4,091 | ) | |||||||||||||||
NOK | 3,303,539 | USD | 412,267 | Citibank, NA | 5/3/2018 | (457 | ) | |||||||||||||||
NOK | 220,304 | USD | 28,094 | Goldman Sachs International | 5/3/2018 | (632 | ) | |||||||||||||||
NZD | 256,763 | USD | 180,896 | BNP Paribas | 5/3/2018 | (239 | ) | |||||||||||||||
SEK | 9,216,968 | USD | 1,053,509 | Citibank, NA | 5/3/2018 | (852 | ) | |||||||||||||||
SGD | 1,266,375 | USD | 956,433 | HSBC Bank, NA | 5/3/2018 | (1,381 | ) | |||||||||||||||
SGD | 29,860 | USD | 22,789 | Merrill Lynch International | 5/3/2018 | (270 | ) | |||||||||||||||
JPY | 15,759,807 | USD | 148,574 | Goldman Sachs International | 5/8/2018 | (4,357 | ) | |||||||||||||||
JPY | 3,504,293 | USD | 33,017 | Merrill Lynch International | 5/8/2018 | (950 | ) | |||||||||||||||
JPY | 8,724,821 | USD | 81,047 | Royal Bank of Canada | 5/8/2018 | (1,207 | ) | |||||||||||||||
KRW | 81,277,495 | USD | 76,050 | Merrill Lynch International** | 6/5/2018 | (108 | ) | |||||||||||||||
NZD | 21,752 | USD | 15,322 | Royal Bank of Canada | 6/5/2018 | (19 | ) | |||||||||||||||
USD | 498,419 | GBP | 361,546 | BNP Paribas | 6/5/2018 | (148 | ) | |||||||||||||||
USD | 6,961,746 | GBP | 5,049,733 | Citibank, NA | 6/5/2018 | (1,771 | ) | |||||||||||||||
USD | 21,112 | HKD | 165,561 | HSBC Bank, NA | 6/5/2018 | (1 | ) | |||||||||||||||
USD | 354,322 | JPY | 38,683,204 | Royal Bank of Canada | 6/5/2018 | (368 | ) | |||||||||||||||
USD | 8,087,044 | JPY | 882,901,212 | State Street Corp. | 6/5/2018 | (8,372 | ) | |||||||||||||||
DKK | 841,889 | USD | 136,869 | Royal Bank of Canada | 6/6/2018 | (33 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total unrealized depreciation | (42,438 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation |
| 676,034 | ||||||||||||||||||||
|
|
** | — Non-deliverable forward. | |
(a) | — Amount rounds to less than 1. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 69 |
JPMorgan Diversified Return International Currency Hedged ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Abbreviations
AUD | — Australian Dollar | |
CHF | — Swiss Franc | |
DKK | — Danish Krone | |
ETF | — Exchange Traded Fund | |
EUR | — Euro | |
GBP | — British Pound | |
HKD | — Hong Kong Dollar | |
JPY | — Japanese Yen | |
KRW | — South Korean Won | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
SEK | — Swedish Krona | |
SGD | — Singapore Dollar | |
USD | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
70 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.2% | ||||||||
Australia — 6.4% | ||||||||
337,104 | AGL Energy Ltd. | 5,493,935 | ||||||
262,518 | Ansell Ltd. | 5,129,066 | ||||||
114,861 | APA Group | 719,054 | ||||||
231,392 | Boral Ltd. | 1,190,810 | ||||||
45,030 | Caltex Australia Ltd. | 1,047,163 | ||||||
39,467 | Cochlear Ltd. | 5,743,619 | ||||||
121,243 | Computershare Ltd. | 1,542,398 | ||||||
105,383 | Crown Resorts Ltd. | 1,022,840 | ||||||
38,813 | CSL Ltd. | 4,971,520 | ||||||
821,175 | CSR Ltd. | 3,464,856 | ||||||
672,785 | Dexus, REIT | 4,784,544 | ||||||
618,690 | Downer EDI Ltd. | 3,184,260 | ||||||
1,319,663 | GPT Group (The), REIT | 4,785,245 | ||||||
691,944 | Harvey Norman Holdings Ltd. | 1,823,952 | ||||||
1,583,414 | Healthscope Ltd. | 2,884,878 | ||||||
284,507 | Incitec Pivot Ltd. | 809,628 | ||||||
211,208 | Macquarie Atlas Roads Group | 1,021,226 | ||||||
651,991 | Metcash Ltd. | 1,759,796 | ||||||
929,660 | Mirvac Group, REIT | 1,560,137 | ||||||
914,046 | Origin Energy Ltd.* | 6,673,250 | ||||||
1,014,301 | Qantas Airways Ltd. | 4,386,631 | ||||||
48,252 | Ramsay Health Care Ltd. | 2,345,805 | ||||||
306,106 | Sonic Healthcare Ltd. | 5,427,331 | ||||||
257,903 | Star Entertainment Grp Ltd. (The) | 1,020,595 | ||||||
1,637,280 | Tabcorp Holdings Ltd. | 5,383,945 | ||||||
1,965,148 | Telstra Corp. Ltd. | 4,672,384 | ||||||
668,781 | TPG Telecom Ltd. | 2,805,254 | ||||||
2,352,130 | Vicinity Centres, REIT | 4,306,691 | ||||||
1,053,866 | Vocus Group Ltd.* | 1,936,844 | ||||||
89,779 | Wesfarmers Ltd. | 2,953,692 | ||||||
152,897 | Woodside Petroleum Ltd. | 3,705,231 | ||||||
|
| |||||||
98,556,580 | ||||||||
|
| |||||||
Austria — 0.7% | ||||||||
96,041 | OMV AG | 5,948,308 | ||||||
92,479 | voestalpine AG | 4,878,938 | ||||||
|
| |||||||
10,827,246 | ||||||||
|
| |||||||
Belgium — 1.1% | ||||||||
77,911 | Colruyt SA | 4,384,152 | ||||||
31,933 | Groupe Bruxelles Lambert SA | 3,650,164 | ||||||
144,189 | Proximus SADP | 4,418,553 | ||||||
77,945 | Umicore SA | 4,335,189 | ||||||
|
| |||||||
16,788,058 | ||||||||
|
| |||||||
Chile — 0.4% | ||||||||
478,263 | Antofagasta plc | 6,390,037 | ||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
China — 0.3% | ||||||||
3,603,000 | FIH Mobile Ltd.* | 617,712 | ||||||
691,300 | Semiconductor Manufacturing International Corp.* | 889,076 | ||||||
5,508,400 | Xinyi Solar Holdings Ltd. | 2,509,921 | ||||||
|
| |||||||
4,016,709 | ||||||||
|
| |||||||
Denmark — 1.2% | ||||||||
60,637 | Chr Hansen Holding A/S | 5,496,684 | ||||||
6,457 | DSV A/S | 511,367 | ||||||
23,476 | H Lundbeck A/S | 1,360,004 | ||||||
10,266 | ISS A/S | 358,018 | ||||||
666,331 | TDC A/S* | 5,425,948 | ||||||
150,753 | William Demant Holding A/S* | 5,875,102 | ||||||
|
| |||||||
19,027,123 | ||||||||
|
| |||||||
Finland — 1.7% | ||||||||
109,934 | Elisa OYJ | 4,859,358 | ||||||
208,474 | Fortum OYJ | 4,795,488 | ||||||
80,087 | Kesko OYJ, Class B | 4,702,695 | ||||||
85,699 | Neste OYJ | 7,216,422 | ||||||
28,753 | Nokian Renkaat OYJ | 1,150,461 | ||||||
14,371 | Orion OYJ, Class B | 435,882 | ||||||
65,138 | UPM-Kymmene OYJ | 2,324,229 | ||||||
|
| |||||||
25,484,535 | ||||||||
|
| |||||||
France — 5.6% | ||||||||
32,678 | Arkema SA | 4,280,643 | ||||||
37,322 | Atos SE | 5,038,475 | ||||||
18,826 | Bouygues SA | 960,223 | ||||||
47,929 | Capgemini SE | 6,593,396 | ||||||
27,163 | Casino Guichard Perrachon SA | 1,408,989 | ||||||
15,691 | Cie Plastic Omnium SA | 754,070 | ||||||
43,937 | Dassault Systemes SE | 5,693,797 | ||||||
47,104 | Eiffage SA | 5,606,868 | ||||||
203,013 | Electricite de France SA | 2,849,027 | ||||||
43,924 | Eutelsat Communications SA | 951,263 | ||||||
36,477 | Faurecia SA | 2,978,672 | ||||||
7,898 | Fonciere Des Regions, REIT | 883,301 | ||||||
14,646 | Gecina SA, REIT | 2,538,891 | ||||||
8,898 | Iliad SA | 1,782,300 | ||||||
36,983 | Ingenico Group SA | 3,235,019 | ||||||
7,386 | Ipsen SA | 1,195,548 | ||||||
141,297 | Lagardere SCA | 4,041,252 | ||||||
263,903 | Orange SA | 4,797,659 | ||||||
19,672 | Orpea | 2,520,890 | ||||||
26,397 | Pernod Ricard SA | 4,384,174 | ||||||
114,320 | SCOR SE | 4,636,033 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 71 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
France — Continued | ||||||||
25,225 | Sodexo SA | 2,497,992 | ||||||
26,846 | Thales SA | 3,402,964 | ||||||
84,992 | TOTAL SA | 5,341,896 | ||||||
40,678 | Vinci SA | 4,067,137 | ||||||
168,338 | Vivendi SA | 4,439,370 | ||||||
|
| |||||||
86,879,849 | ||||||||
|
| |||||||
Germany — 4.0% | ||||||||
48,851 | Axel Springer SE | 4,001,512 | ||||||
46,624 | Beiersdorf AG | 5,274,960 | ||||||
50,559 | CECONOMY AG | 566,556 | ||||||
41,448 | Deutsche Telekom AG (Registered) | 725,490 | ||||||
124,836 | Evonik Industries AG | 4,435,447 | ||||||
55,235 | Fraport AG Frankfurt Airport Services Worldwide | 5,345,396 | ||||||
57,803 | Fresenius Medical Care AG & Co. KGaA | 5,865,321 | ||||||
41,216 | Hannover Rueck SE | 5,788,608 | ||||||
12,281 | Hella GmbH & Co. KGaA | 757,498 | ||||||
222,197 | Infineon Technologies AG | 5,689,514 | ||||||
41,748 | Merck KGaA | 4,078,375 | ||||||
43,607 | SAP SE | 4,844,985 | ||||||
51,638 | Suedzucker AG | 858,254 | ||||||
794,179 | Telefonica Deutschland Holding AG | 3,790,239 | ||||||
99,595 | TUI AG | 2,252,235 | ||||||
146,985 | Uniper SE | 4,544,656 | ||||||
46,821 | United Internet AG (Registered) | 3,026,398 | ||||||
|
| |||||||
61,845,444 | ||||||||
|
| |||||||
Hong Kong — 5.3% | ||||||||
335,900 | ASM Pacific Technology Ltd. | 4,602,950 | ||||||
1,457,000 | Cathay Pacific Airways Ltd. | 2,339,357 | ||||||
567,042 | CK Hutchison Holdings Ltd. | 6,705,191 | ||||||
579,500 | CK Infrastructure Holdings Ltd. | 4,573,652 | ||||||
628,500 | CLP Holdings Ltd. | 6,526,394 | ||||||
994,000 | First Pacific Co. Ltd. | 508,997 | ||||||
3,114,061 | Hong Kong & China Gas Co. Ltd. | 6,506,664 | ||||||
4,522,700 | Hutchison Port Holdings Trust | 1,507,873 | ||||||
34,000 | Jardine Matheson Holdings Ltd. | 2,058,827 | ||||||
67,200 | Jardine Strategic Holdings Ltd. | 2,543,208 | ||||||
755,000 | Link, REIT | 6,672,788 | ||||||
247,000 | Melco International Development Ltd. | 914,478 | ||||||
1,015,500 | MTR Corp. Ltd. | 5,705,851 | ||||||
8,050,000 | PCCW Ltd. | 4,976,124 | ||||||
742,000 | Power Assets Holdings Ltd. | 5,525,778 | ||||||
426,500 | Swire Pacific Ltd., Class A | 4,214,380 | ||||||
769,000 | Techtronic Industries Co. Ltd. | 4,504,950 | ||||||
403,000 | Wheelock & Co. Ltd. | 2,989,943 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Hong Kong — continued | ||||||||
2,970,000 | Xinyi Glass Holdings Ltd. | 4,269,670 | ||||||
1,289,000 | Yue Yuen Industrial Holdings Ltd. | 3,652,982 | ||||||
|
| |||||||
81,300,057 | ||||||||
|
| |||||||
Italy — 1.3% | ||||||||
703,414 | Davide Campari-Milano SpA | 5,269,239 | ||||||
49,056 | Eni SpA | 958,967 | ||||||
345,501 | Italgas SpA | 2,235,777 | ||||||
1,110,417 | Parmalat SpA | 4,049,638 | ||||||
68,471 | Recordati SpA | 2,442,404 | ||||||
916,695 | Terna Rete Elettrica Nazionale SpA | 5,501,938 | ||||||
|
| |||||||
20,457,963 | ||||||||
|
| |||||||
Japan — 24.5% | ||||||||
214,700 | Alfresa Holdings Corp. | 4,737,156 | ||||||
124,700 | ANA Holdings, Inc. | 4,936,138 | ||||||
118,800 | Aozora Bank Ltd. | 4,792,584 | ||||||
75,200 | Brother Industries Ltd. | 1,613,008 | ||||||
140,600 | Canon Marketing Japan, Inc. | 3,055,373 | ||||||
166,100 | Canon, Inc. | 5,713,706 | ||||||
276,200 | Capcom Co. Ltd. | 5,279,678 | ||||||
27,500 | Central Japan Railway Co. | 5,510,574 | ||||||
370,000 | Chubu Electric Power Co., Inc. | 5,800,843 | ||||||
371,800 | Chugoku Electric Power Co., Inc. (The) | 4,651,390 | ||||||
210,300 | COMSYS Holdings Corp. | 5,850,482 | ||||||
65,800 | Cosmo Energy Holdings Co. Ltd. | 2,167,662 | ||||||
61,500 | Credit Saison Co. Ltd. | 1,101,434 | ||||||
50,700 | Denka Co. Ltd. | 1,804,987 | ||||||
115,300 | DIC Corp. | 3,912,698 | ||||||
160,500 | Electric Power Development Co. Ltd. | 4,364,884 | ||||||
58,700 | Fuji Media Holdings, Inc. | 962,391 | ||||||
105,700 | FUJIFILM Holdings Corp. | 4,250,841 | ||||||
678,900 | Fujikura Ltd. | 4,638,953 | ||||||
348,000 | Gunma Bank Ltd. (The) | 2,030,992 | ||||||
343,600 | Hachijuni Bank Ltd. (The) | 1,814,544 | ||||||
136,800 | Hankyu Hanshin Holdings, Inc. | 5,381,384 | ||||||
37,200 | Hikari Tsushin, Inc. | 6,030,275 | ||||||
20,100 | Hitachi Capital Corp. | 537,102 | ||||||
61,500 | Hitachi Chemical Co. Ltd. | 1,348,928 | ||||||
90,200 | Hitachi High-Technologies Corp. | 4,206,990 | ||||||
183,800 | Hokuriku Electric Power Co. | 1,875,598 | ||||||
152,200 | Idemitsu Kosan Co. Ltd. | 5,945,832 | ||||||
55,500 | Iida Group Holdings Co. Ltd. | 1,081,939 | ||||||
471,500 | Inpex Corp. | 6,027,567 | ||||||
237,700 | Itochu Techno-Solutions Corp. | 4,913,724 | ||||||
147,900 | Japan Airlines Co. Ltd. | 5,836,793 |
SEE NOTES TO FINANCIAL STATEMENTS.
72 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Japan — continued | ||||||||
126,100 | Japan Petroleum Exploration Co. Ltd. | 3,281,425 | ||||||
955,900 | JXTG Holdings, Inc. | 6,231,289 | ||||||
49,800 | Kagome Co. Ltd. | 1,795,532 | ||||||
66,000 | Kajima Corp. | 635,850 | ||||||
482,000 | Kaneka Corp. | 4,762,769 | ||||||
200,800 | Kansai Electric Power Co., Inc. (The) | 2,809,547 | ||||||
107,200 | Kawasaki Kisen Kaisha Ltd. | 2,479,026 | ||||||
236,300 | KDDI Corp. | 6,343,144 | ||||||
36,000 | Keisei Electric Railway Co. Ltd. | 1,172,141 | ||||||
170,800 | K’s Holdings Corp. | 2,463,460 | ||||||
251,500 | Kuraray Co. Ltd. | 4,188,522 | ||||||
437,600 | Kyushu Electric Power Co., Inc. | 5,421,874 | ||||||
476,500 | Leopalace21 Corp. | 4,132,653 | ||||||
98,900 | Lintec Corp. | 2,861,962 | ||||||
215,900 | Matsui Securities Co. Ltd. | 2,104,951 | ||||||
294,800 | Mebuki Financial Group, Inc. | 1,144,243 | ||||||
182,800 | Medipal Holdings Corp. | 3,921,581 | ||||||
66,000 | Miraca Holdings, Inc. | 2,569,375 | ||||||
212,400 | Mitsubishi Gas Chemical Co., Inc. | 4,977,695 | ||||||
253,000 | Mitsubishi Tanabe Pharma Corp. | 4,805,302 | ||||||
222,400 | Mitsubishi UFJ Lease & Finance Co. Ltd. | 1,413,814 | ||||||
68,300 | Mochida Pharmaceutical Co. Ltd. | 4,812,292 | ||||||
24,300 | Nagoya Railroad Co. Ltd. | 636,445 | ||||||
54,400 | NH Foods Ltd. | 2,376,550 | ||||||
42,900 | Nichirei Corp. | 1,242,789 | ||||||
39,100 | Nifco, Inc. | 1,372,834 | ||||||
191,000 | Nippo Corp. | 4,380,568 | ||||||
51,900 | Nippon Express Co. Ltd. | 3,921,052 | ||||||
191,000 | Nippon Paper Industries Co. Ltd. | 3,658,069 | ||||||
46,100 | Nippon Shokubai Co. Ltd. | 3,132,499 | ||||||
130,500 | Nippon Telegraph & Telephone Corp. | 6,192,902 | ||||||
386,200 | Nipro Corp. | 5,558,549 | ||||||
102,100 | Nissan Motor Co. Ltd. | 1,074,140 | ||||||
300,900 | Nisshin Seifun Group, Inc. | 6,575,029 | ||||||
64,200 | Nissin Foods Holdings Co. Ltd. | 4,727,315 | ||||||
92,100 | Nomura Real Estate Holdings, Inc. | 2,279,146 | ||||||
46,600 | Nomura Research Institute Ltd. | 2,400,123 | ||||||
235,400 | NTT DOCOMO, Inc. | 6,081,326 | ||||||
113,000 | NTT Urban Development Corp. | 1,331,402 | ||||||
23,200 | Oracle Corp. Japan | 1,905,825 | ||||||
267,500 | Osaka Gas Co. Ltd. | 5,760,338 | ||||||
45,300 | Otsuka Corp. | 2,099,086 | ||||||
46,100 | Sankyo Co. Ltd. | 1,616,135 | ||||||
25,300 | Sapporo Holdings Ltd. | 723,895 | ||||||
45,600 | Sawai Pharmaceutical Co. Ltd. | 1,970,633 | ||||||
111,200 | SBI Holdings, Inc. | 2,803,941 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Japan — continued | ||||||||
47,300 | SCSK Corp. | 2,024,255 | ||||||
69,700 | Sega Sammy Holdings, Inc. | 1,144,941 | ||||||
185,100 | Sekisui Chemical Co. Ltd. | 3,274,433 | ||||||
321,800 | Sekisui House Ltd. | 5,898,140 | ||||||
74,900 | Shikoku Electric Power Co., Inc. | 954,984 | ||||||
120,000 | Shimachu Co. Ltd. | 3,873,892 | ||||||
23,100 | Shimamura Co. Ltd. | 2,688,223 | ||||||
440,200 | Showa Shell Sekiyu KK | 6,215,883 | ||||||
233,700 | SKY Perfect JSAT Holdings, Inc. | 1,064,977 | ||||||
127,000 | Skylark Co. Ltd. | 1,868,104 | ||||||
80,100 | SoftBank Group Corp. | 6,120,338 | ||||||
1,862,500 | Sojitz Corp. | 6,130,904 | ||||||
64,800 | Square Enix Holdings Co. Ltd. | 2,685,815 | ||||||
68,500 | Sumitomo Dainippon Pharma Co. Ltd. | 1,245,797 | ||||||
970,000 | Sumitomo Osaka Cement Co. Ltd. | 4,440,691 | ||||||
71,800 | Suzuken Co. Ltd. | 3,087,288 | ||||||
106,600 | Taisei Corp. | 5,750,639 | ||||||
29,500 | Taisho Pharmaceutical Holdings Co. Ltd. | 2,821,694 | ||||||
113,000 | Takashimaya Co. Ltd. | 970,381 | ||||||
93,200 | Teijin Ltd. | 1,752,241 | ||||||
87,900 | Tobu Railway Co. Ltd. | 2,798,893 | ||||||
44,300 | Toho Co. Ltd. | 1,477,682 | ||||||
48,700 | Toho Gas Co. Ltd. | 1,480,700 | ||||||
316,300 | Tohoku Electric Power Co., Inc. | 4,084,837 | ||||||
13,400 | Tokyo Century Corp. | 834,206 | ||||||
126,800 | Tokyu Fudosan Holdings Corp. | 997,853 | ||||||
126,100 | Toyo Suisan Kaisha Ltd. | 4,964,980 | ||||||
95,500 | Toyota Industries Corp. | 5,631,727 | ||||||
140,000 | Tsumura & Co. | 5,078,394 | ||||||
158,300 | Ube Industries Ltd. | 4,822,480 | ||||||
340,000 | Yamada Denki Co. Ltd. | 1,778,363 | ||||||
259,000 | Yamaguchi Financial Group, Inc. | 3,235,310 | ||||||
190,600 | Yokohama Rubber Co. Ltd. (The) | 4,487,885 | ||||||
127,800 | Zeon Corp. | 1,650,447 | ||||||
|
| |||||||
377,662,865 | ||||||||
|
| |||||||
Jordan — 0.3% | ||||||||
271,695 | Hikma Pharmaceuticals plc | 4,790,654 | ||||||
|
| |||||||
Luxembourg — 0.2% | ||||||||
42,477 | RTL Group SA | 3,495,412 | ||||||
|
| |||||||
Netherlands — 2.3% | ||||||||
17,695 | Boskalis Westminster | 524,202 | ||||||
56,249 | Heineken Holding NV | 5,709,867 | ||||||
12,134 | Koninklijke DSM NV | 1,254,083 | ||||||
90,258 | Koninklijke Philips NV | 3,820,281 | ||||||
82,057 | NN Group NV | 3,932,560 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 73 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Netherlands — continued | ||||||||
410,200 | Royal Dutch Shell plc, Class A | 14,271,357 | ||||||
112,308 | Wolters Kluwer NV | 6,076,964 | ||||||
|
| |||||||
35,589,314 | ||||||||
|
| |||||||
New Zealand — 0.6% | ||||||||
185,754 | Fisher & Paykel Healthcare Corp. Ltd. | 1,661,316 | ||||||
217,384 | Fletcher Building Ltd. | 962,799 | ||||||
2,018,740 | Spark New Zealand Ltd. | 4,902,375 | ||||||
36,807 | Xero Ltd.* | 1,047,048 | ||||||
|
| |||||||
8,573,538 | ||||||||
|
| |||||||
Norway — 1.5% | ||||||||
267,768 | Marine Harvest ASA | 5,828,740 | ||||||
387,747 | Norsk Hydro ASA | 2,421,850 | ||||||
417,468 | Orkla ASA | 3,863,746 | ||||||
140,361 | Statoil ASA | 3,589,411 | ||||||
126,494 | Telenor ASA | 2,799,806 | ||||||
95,906 | Yara International ASA | 4,045,179 | ||||||
|
| |||||||
22,548,732 | ||||||||
|
| |||||||
Portugal — 0.7% | ||||||||
1,178,076 | EDP — Energias de Portugal SA | 4,370,622 | ||||||
268,231 | Galp Energia SGPS SA | 5,148,172 | ||||||
50,502 | Jeronimo Martins SGPS SA | 885,653 | ||||||
|
| |||||||
10,404,447 | ||||||||
|
| |||||||
Singapore — 2.9% | ||||||||
953,900 | Ascendas, REIT | 1,913,610 | ||||||
617,300 | CapitaLand Commercial Trust, REIT | 843,354 | ||||||
2,651,400 | CapitaLand Mall Trust, REIT | 4,187,004 | ||||||
1,266,900 | ComfortDelGro Corp. Ltd. | 2,138,260 | ||||||
12,008,800 | Golden Agri-Resources Ltd. | 3,113,721 | ||||||
1,043,800 | Keppel Corp. Ltd. | 6,401,795 | ||||||
1,173,900 | Sembcorp Industries Ltd. | 2,703,987 | ||||||
1,367,300 | Singapore Press Holdings Ltd. | 2,793,990 | ||||||
2,513,200 | Singapore Telecommunications Ltd. | 6,647,655 | ||||||
1,189,500 | StarHub Ltd. | 2,029,189 | ||||||
1,514,300 | Suntec, REIT | 2,225,881 | ||||||
284,900 | Venture Corp. Ltd. | 4,456,139 | ||||||
1,979,000 | Wilmar International Ltd. | 4,841,480 | ||||||
|
| |||||||
44,296,065 | ||||||||
|
| |||||||
South Africa — 0.7% | ||||||||
473,454 | Mediclinic International plc | 4,356,629 | ||||||
239,572 | Mondi plc | 6,668,986 | ||||||
|
| |||||||
11,025,615 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
South Korea — 10.6% | ||||||||
60,892 | Celltrion Healthcare Co. Ltd.* | 5,060,825 | ||||||
9,314 | CJ CheilJedang Corp. | 2,977,899 | ||||||
4,787 | CJ Corp. | 725,202 | ||||||
20,400 | Daelim Industrial Co. Ltd. | 1,637,175 | ||||||
13,779 | E-MART, Inc. | 3,468,654 | ||||||
81,778 | GS Holdings Corp. | 4,681,079 | ||||||
15,296 | Hankook Tire Co. Ltd. | 706,423 | ||||||
162,136 | Hanwha Chemical Corp. | 4,358,605 | ||||||
44,013 | Hanwha Corp. | 1,636,394 | ||||||
8,403 | Hanwha Techwin Co. Ltd.* | 188,364 | ||||||
17,510 | Hyosung Corp. | 2,142,181 | ||||||
27,057 | Hyundai Department Store Co. Ltd. | 2,608,916 | ||||||
19,109 | Hyundai Engineering & Construction Co. Ltd. | 1,131,698 | ||||||
10,167 | Hyundai Mipo Dockyard Co. Ltd.* | 844,328 | ||||||
98,690 | Hyundai Steel Co. | 5,578,014 | ||||||
279,800 | Industrial Bank of Korea | 4,387,774 | ||||||
36,899 | Kakao Corp. | 3,796,757 | ||||||
97,700 | Kangwon Land, Inc. | 2,635,600 | ||||||
3,821 | KCC Corp. | 1,394,744 | ||||||
151,734 | Korea Electric Power Corp. | 5,307,925 | ||||||
88,700 | Korea Gas Corp.* | 4,533,762 | ||||||
6,714 | Korea Zinc Co. Ltd. | 2,717,341 | ||||||
71,276 | Korean Air Lines Co. Ltd. | 2,265,203 | ||||||
45,232 | KT&G Corp. | 4,136,120 | ||||||
71,676 | LG Corp. | 5,421,914 | ||||||
196,179 | LG Display Co. Ltd. | 4,283,395 | ||||||
430,420 | LG Uplus Corp. | 4,927,577 | ||||||
11,391 | Lotte Chemical Corp. | 4,386,410 | ||||||
1,766 | Mando Corp. | 373,627 | ||||||
4,000 | NAVER Corp. | 2,667,372 | ||||||
21,287 | POSCO | 7,334,667 | ||||||
7,342 | Samsung Biologics Co. Ltd.* (a) (b) | 3,334,670 | ||||||
5,026 | Samsung Electronics Co. Ltd.‡ | 12,457,486 | ||||||
4,540 | Samsung SDS Co. Ltd. | 1,031,208 | ||||||
13,400 | Shinsegae, Inc. | 5,200,989 | ||||||
22,335 | SK Holdings Co. Ltd. | 6,113,739 | ||||||
91,962 | SK Hynix, Inc. | 7,232,263 | ||||||
31,691 | SK Innovation Co. Ltd. | 5,807,260 | ||||||
349,039 | SK Networks Co. Ltd. | 1,830,205 | ||||||
25,560 | SK Telecom Co. Ltd. | 5,461,225 | ||||||
79,439 | SKC Co. Ltd. | 2,813,994 | ||||||
54,041 | S-Oil Corp. | 5,542,380 | ||||||
341,478 | Woori Bank | 5,098,079 | ||||||
12,491 | Yuhan Corp. | 2,668,144 | ||||||
|
| |||||||
162,907,587 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
74 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Spain — 2.1% | ||||||||
199,665 | Abertis Infraestructuras SA | 4,401,994 | ||||||
15,935 | Acciona SA | 1,332,905 | ||||||
176,989 | Acerinox SA | 2,485,551 | ||||||
66,630 | Cellnex Telecom SA (a) (b) | 1,786,966 | ||||||
11,432 | Corp. Financiera Alba SA | 711,441 | ||||||
163,647 | Enagas SA | 4,756,562 | ||||||
221,585 | Endesa SA | 5,167,410 | ||||||
40,169 | Ferrovial SA | 857,976 | ||||||
201,630 | Gas Natural SDG SA | 5,082,618 | ||||||
18,720 | Iberdrola SA | 144,630 | ||||||
258,080 | Repsol SA | 4,924,894 | ||||||
43,027 | Siemens Gamesa Renewable Energy SA | 736,819 | ||||||
|
| |||||||
32,389,766 | ||||||||
|
| |||||||
Sweden — 3.2% | ||||||||
289,936 | Arjo AB, Class B* | 858,946 | ||||||
170,800 | Boliden AB* | 5,918,157 | ||||||
100,723 | Hexagon AB, Class B | 5,815,638 | ||||||
87,185 | ICA Gruppen AB | 2,707,128 | ||||||
117,494 | Investor AB, Class B | 5,114,984 | ||||||
296,066 | Securitas AB, Class B | 4,783,924 | ||||||
187,963 | Skanska AB, Class B | 3,660,694 | ||||||
86,131 | Svenska Cellulosa AB SCA, Class B | 953,872 | ||||||
100,395 | Swedish Match AB | 4,503,741 | ||||||
478,875 | Tele2 AB, Class B | 6,207,138 | ||||||
1,023,609 | Telia Co. AB | 5,039,956 | ||||||
164,174 | Trelleborg AB, Class B | 3,836,543 | ||||||
|
| |||||||
49,400,721 | ||||||||
|
| |||||||
Switzerland — 2.3% | ||||||||
34,467 | Baloise Holding AG (Registered) | 5,463,189 | ||||||
165,728 | Clariant AG (Registered) | 3,825,883 | ||||||
170,761 | Coca-Cola HBC AG | 5,720,635 | ||||||
1,389 | EMS-Chemie Holding AG (Registered) | 857,906 | ||||||
3,714 | Flughafen Zurich AG (Registered) | 775,596 | ||||||
7,788 | Kuehne + Nagel International AG (Registered) | 1,212,560 | ||||||
12,966 | Lonza Group AG (Registered)* | 3,168,008 | ||||||
35,731 | Novartis AG (Registered) | 2,750,369 | ||||||
29,409 | Sonova Holding AG (Registered) | 4,846,420 | ||||||
9,045 | Swisscom AG (Registered) | 4,338,276 | ||||||
19,932 | Vifor Pharma AG | 3,145,494 | ||||||
|
| |||||||
36,104,336 | ||||||||
|
| |||||||
United Arab Emirates — 0.1% | ||||||||
35,804 | NMC Health plc | 1,749,495 | ||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
United Kingdom — 18.2% | ||||||||
129,053 | Admiral Group plc | 3,531,719 | ||||||
116,805 | AstraZeneca plc | 8,176,627 | ||||||
490,887 | Babcock International Group plc | 4,954,857 | ||||||
692,737 | Barratt Developments plc | 5,311,951 | ||||||
100,796 | Bellway plc | 4,592,907 | ||||||
118,238 | Berkeley Group Holdings plc | 6,619,436 | ||||||
1,776,966 | BP plc | 13,199,243 | ||||||
488,904 | British Land Co. plc (The), REIT | 4,514,985 | ||||||
2,269,329 | BT Group plc | 7,789,112 | ||||||
34,420 | Bunzl plc | 998,063 | ||||||
3,213,705 | Centrica plc | 6,804,585 | ||||||
1,134,321 | ConvaTec Group plc(a)(b) | 3,376,882 | ||||||
86,142 | Croda International plc | 5,269,532 | ||||||
223,627 | Diageo plc | 7,977,824 | ||||||
592,001 | Direct Line Insurance Group plc | 3,041,871 | ||||||
700,150 | DS Smith plc | 5,015,536 | ||||||
179,719 | easyJet plc | 3,917,791 | ||||||
1,311,793 | GKN plc | 8,329,434 | ||||||
445,675 | GlaxoSmithKline plc | 8,938,978 | ||||||
265,787 | Halma plc | 4,459,644 | ||||||
703,490 | Hammerson plc, REIT | 5,303,186 | ||||||
202,114 | IMI plc | 3,029,291 | ||||||
302,553 | Inchcape plc | 3,022,615 | ||||||
322,336 | Informa plc | 3,272,613 | ||||||
902,672 | Inmarsat plc | 4,663,448 | ||||||
71,723 | InterContinental Hotels Group plc | 4,525,106 | ||||||
324,249 | International Consolidated Airlines Group SA | 2,802,880 | ||||||
948,534 | Intu Properties plc, REIT | 2,550,319 | ||||||
616,591 | J Sainsbury plc | 2,616,301 | ||||||
633,613 | John Wood Group plc | 4,938,989 | ||||||
81,228 | Johnson Matthey plc | 3,671,051 | ||||||
243,366 | Land Securities Group plc, REIT | 3,303,740 | ||||||
738,624 | Meggitt plc | 4,785,071 | ||||||
23,253 | Melrose Industries plc | 72,913 | ||||||
315,341 | Merlin Entertainments plc(a)(b) | 1,595,222 | ||||||
343,646 | Micro Focus International plc | 5,925,533 | ||||||
662,631 | National Grid plc | 7,666,611 | ||||||
515,561 | Pennon Group plc | 4,898,464 | ||||||
182,754 | Persimmon plc | 6,826,856 | ||||||
251,663 | RELX NV | 5,354,670 | ||||||
294,993 | RELX plc | 6,304,887 | ||||||
1,173,861 | Rentokil Initial plc | 4,952,430 | ||||||
754,916 | Royal Mail plc | 6,020,425 | ||||||
674,214 | Sage Group plc (The) | 5,864,088 | ||||||
29,607 | Schroders plc | 1,339,438 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 75 |
JPMorgan Diversified Return International Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
United Kingdom — continued | ||||||||
719,126 | Segro plc, REIT | 6,381,352 | ||||||
210,833 | Severn Trent plc | 5,614,016 | ||||||
361,312 | Smith & Nephew plc | 6,919,502 | ||||||
299,872 | Smiths Group plc | 6,570,577 | ||||||
382,029 | SSE plc | 7,250,378 | ||||||
543,153 | Tate & Lyle plc | 4,289,713 | ||||||
71,939 | Travis Perkins plc | 1,252,728 | ||||||
542,144 | United Utilities Group plc | 5,528,443 | ||||||
2,736,916 | Vodafone Group plc | 7,986,911 | ||||||
32,235 | Whitbread plc | 1,896,617 | ||||||
1,437,567 | Wm Morrison Supermarkets plc | 4,794,524 | ||||||
|
| |||||||
280,611,885 | ||||||||
|
| |||||||
United States — 1.0% | ||||||||
101,226 | Carnival plc | 6,579,220 | ||||||
15,203 | QIAGEN NV* | 497,290 | ||||||
148,875 | Shire plc | 7,927,583 | ||||||
|
| |||||||
15,004,093 | ||||||||
|
| |||||||
Total Common Stocks | 1,528,128,126 | |||||||
|
| |||||||
NO. OF RIGHTS | ||||||||
Rights — 0.0% (c) | ||||||||
New Zealand — 0.0% (c) | ||||||||
76,280 | Fletcher Building Ltd., expiring 5/11/2018* | 80,227 | ||||||
|
| |||||||
SHARES | ||||||||
Short-term Investments — 0.2% | ||||||||
Investment Companies — 0.2% |
| |||||||
3,570,626 | JPMorgan U.S. Government Money | 3,570,626 | ||||||
|
| |||||||
Total Investments — 99.4% | 1,531,778,979 | |||||||
Other Assets Less Liabilities — 0.6% | 9,275,920 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 1,541,054,899 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
‡ | — Value determined using significant unobservable inputs. | |
(a) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(b) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | — Represents less than 0.05% of net assets. | |
(d) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(e) | — The rate shown was the current yield as of April 30, 2018. |
Abbreviations
OYJ | — Public Limited Company | |
REIT | — Real Estate Investment Trust | |
SCA | — Limited partnership with share capital |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Summary of Investments by Industry, April 30, 2018
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 | 8.0 | % | ||
Diversified Telecommunication Services | 5.8 | |||
Chemicals | 5.7 | |||
Electric Utilities | 5.2 | |||
Pharmaceuticals | 4.0 | |||
Equity Real Estate Investment Trusts (REITs) | 3.7 | |||
Food Products | 3.4 | |||
Health Care Providers & Services | 2.9 | |||
Health Care Equipment & Supplies | 2.9 | |||
Industrial Conglomerates | 2.7 | |||
Wireless Telecommunication Services | 2.6 | |||
Household Durables | 2.5 | |||
Metals & Mining | 2.5 | |||
Construction & Engineering | 2.3 | |||
Software | 2.2 | |||
Hotels, Restaurants & Leisure | 2.1 | |||
Auto Components | 2.0 | |||
Beverages | 1.9 | |||
Food & Staples Retailing | 1.9 | |||
Road & Rail | 1.8 | |||
Electronic Equipment, Instruments & Components | 1.8 | |||
Media | 1.7 | |||
Airlines | 1.7 | |||
Insurance | 1.7 | |||
Gas Utilities | 1.7 | |||
IT Services | 1.7 | |||
Technology Hardware, Storage & Peripherals | 1.6 | |||
Banks | 1.5 | |||
Semiconductors & Semiconductor Equipment | 1.4 | |||
Multi-Utilities | 1.3 | |||
Commercial Services & Supplies | 1.2 | |||
Professional Services | 1.2 | |||
Specialty Retail | 1.1 | |||
Water Utilities | 1.0 | |||
Real Estate Management & Development | 1.0 | |||
Short-Term Investment | 0.2 | |||
Others (each less than 1.0%) | 12.1 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 77 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.4% | ||||||||
Aerospace & Defense — 1.9% |
| |||||||
1,732 | Boeing Co. (The) | 577,726 | ||||||
4,590 | General Dynamics Corp. | 924,013 | ||||||
17,581 | Harris Corp. | 2,750,020 | ||||||
3,743 | L3 Technologies, Inc. | 733,179 | ||||||
2,858 | Lockheed Martin Corp. | 916,961 | ||||||
2,447 | Northrop Grumman Corp. | 788,032 | ||||||
4,438 | Raytheon Co. | 909,524 | ||||||
4,951 | Rockwell Collins, Inc. | 656,205 | ||||||
9,126 | Textron, Inc. | 567,090 | ||||||
5,897 | United Technologies Corp. | 708,524 | ||||||
|
| |||||||
9,531,274 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% | ||||||||
8,613 | CH Robinson Worldwide, Inc. | 792,655 | ||||||
3,216 | FedEx Corp. | 794,995 | ||||||
6,760 | United Parcel Service, Inc., Class B | 767,260 | ||||||
|
| |||||||
2,354,910 | ||||||||
|
| |||||||
Airlines — 0.7% | ||||||||
8,756 | Alaska Air Group, Inc. | 568,527 | ||||||
9,262 | American Airlines Group, Inc. | 397,618 | ||||||
13,540 | Delta Air Lines, Inc. | 707,059 | ||||||
22,969 | JetBlue Airways Corp.* | 440,775 | ||||||
14,332 | Southwest Airlines Co. | 757,159 | ||||||
7,777 | United Continental Holdings, Inc.* | 525,259 | ||||||
|
| |||||||
3,396,397 | ||||||||
|
| |||||||
Auto Components — 0.9% | ||||||||
1,188 | Adient plc | 72,813 | ||||||
14,609 | Aptiv plc | 1,235,629 | ||||||
4,922 | Delphi Technologies plc | 238,274 | ||||||
74,888 | Gentex Corp. | 1,702,953 | ||||||
7,363 | Lear Corp. | 1,376,660 | ||||||
|
| |||||||
4,626,329 | ||||||||
|
| |||||||
Automobiles — 0.7% | ||||||||
138,228 | Ford Motor Co. | 1,553,683 | ||||||
22,081 | General Motors Co. | 811,256 | ||||||
22,519 | Harley-Davidson, Inc. | 926,206 | ||||||
|
| |||||||
3,291,145 | ||||||||
|
| |||||||
Banks — 2.0% | ||||||||
16,724 | Bank of America Corp. | 500,382 | ||||||
5,769 | Bank of Hawaii Corp. | 485,807 | ||||||
12,625 | BB&T Corp. | 666,600 | ||||||
8,034 | Citigroup, Inc. | 548,481 | ||||||
9,082 | Citizens Financial Group, Inc. | 376,812 | ||||||
5,175 | Comerica, Inc. | 489,452 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Banks — continued | ||||||||
2,501 | Cullen/Frost Bankers, Inc. | 286,239 | ||||||
21,292 | Fifth Third Bancorp | 706,256 | ||||||
42,102 | Huntington Bancshares, Inc. | 627,741 | ||||||
19,789 | KeyCorp | 394,197 | ||||||
2,761 | M&T Bank Corp. | 503,247 | ||||||
33,765 | People’s United Financial, Inc. | 617,562 | ||||||
4,611 | PNC Financial Services Group, Inc. (The) | 671,408 | ||||||
1,056 | Popular, Inc. (Puerto Rico) | 48,882 | ||||||
22,382 | Regions Financial Corp. | 418,543 | ||||||
9,585 | SunTrust Banks, Inc. | 640,278 | ||||||
1,167 | SVB Financial Group* | 349,645 | ||||||
2,714 | Synovus Financial Corp. | 141,861 | ||||||
11,542 | US Bancorp | 582,294 | ||||||
10,627 | Wells Fargo & Co. | 552,179 | ||||||
7,749 | Zions Bancorp | 424,258 | ||||||
|
| |||||||
10,032,124 | ||||||||
|
| |||||||
Beverages — 2.8% | ||||||||
38,279 | Brown-Forman Corp., Class B | 2,145,155 | ||||||
61,598 | Coca-Cola Co. (The) | 2,661,650 | ||||||
9,676 | Constellation Brands, Inc., Class A | 2,255,766 | ||||||
25,872 | Dr Pepper Snapple Group, Inc. | 3,103,605 | ||||||
18,018 | Molson Coors Brewing Co., Class B | 1,283,602 | ||||||
5,599 | Monster Beverage Corp.* | 307,945 | ||||||
21,996 | PepsiCo, Inc. | 2,220,276 | ||||||
|
| |||||||
13,977,999 | ||||||||
|
| |||||||
Biotechnology — 1.6% | ||||||||
11,105 | AbbVie, Inc. | 1,072,188 | ||||||
8,937 | Amgen, Inc. | 1,559,328 | ||||||
3,261 | Biogen, Inc.* | 892,209 | ||||||
8,047 | Celgene Corp.* | 700,894 | ||||||
14,820 | Exelixis, Inc.* | 308,552 | ||||||
18,656 | Gilead Sciences, Inc. | 1,347,523 | ||||||
2,681 | Regeneron Pharmaceuticals, Inc.* | 814,166 | ||||||
7,233 | United Therapeutics Corp.* | 796,425 | ||||||
3,698 | Vertex Pharmaceuticals, Inc.* | 566,386 | ||||||
|
| |||||||
8,057,671 | ||||||||
|
| |||||||
Building Products — 0.1% | ||||||||
9,813 | Fortune Brands Home & Security, Inc. | 536,673 | ||||||
|
| |||||||
Capital Markets — 2.6% | ||||||||
3,024 | Ameriprise Financial, Inc. | 423,995 | ||||||
11,453 | Bank of New York Mellon Corp. (The) | 624,303 | ||||||
1,016 | BlackRock, Inc. | 529,844 | ||||||
5,486 | CBOE Global Markets, Inc. | 585,795 | ||||||
9,640 | Charles Schwab Corp. (The) | 536,755 |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Capital Markets — continued |
| |||||||
4,535 | CME Group, Inc. | 715,079 | ||||||
7,841 | E*TRADE Financial Corp.* | 475,792 | ||||||
4,121 | Eaton Vance Corp. | 224,141 | ||||||
8,210 | FactSet Research Systems, Inc. | 1,552,593 | ||||||
5,116 | Federated Investors, Inc., Class B | 135,421 | ||||||
7,337 | Franklin Resources, Inc. | 246,817 | ||||||
1,968 | Goldman Sachs Group, Inc. (The) | 469,033 | ||||||
9,429 | Intercontinental Exchange, Inc. | 683,225 | ||||||
12,095 | Invesco Ltd. | 350,392 | ||||||
2,232 | Moody’s Corp. | 362,030 | ||||||
8,328 | Morgan Stanley | 429,891 | ||||||
5,167 | Northern Trust Corp. | 551,577 | ||||||
5,148 | Raymond James Financial, Inc. | 462,033 | ||||||
3,859 | S&P Global, Inc. | 727,807 | ||||||
18,440 | SEI Investments Co. | 1,165,961 | ||||||
5,025 | State Street Corp. | 501,395 | ||||||
5,364 | T. Rowe Price Group, Inc. | 610,531 | ||||||
11,572 | TD Ameritrade Holding Corp. | 672,218 | ||||||
|
| |||||||
13,036,628 | ||||||||
|
| |||||||
Chemicals — 5.0% | ||||||||
13,459 | Air Products & Chemicals, Inc. | 2,184,261 | ||||||
7,531 | Albemarle Corp. | 730,206 | ||||||
23,327 | Ashland Global Holdings, Inc. | 1,543,781 | ||||||
8,057 | Cabot Corp. | 450,064 | ||||||
18,209 | Celanese Corp., Series A | 1,978,772 | ||||||
10,165 | CF Industries Holdings, Inc. | 394,402 | ||||||
8,149 | Chemours Co. (The) | 394,493 | ||||||
20,119 | DowDuPont, Inc. | 1,272,325 | ||||||
15,957 | Eastman Chemical Co. | 1,628,890 | ||||||
19,023 | Ecolab, Inc. | 2,753,960 | ||||||
8,468 | FMC Corp. | 675,154 | ||||||
25,806 | Huntsman Corp. | 768,245 | ||||||
14,166 | International Flavors & Fragrances, Inc. | 2,001,089 | ||||||
11,022 | LyondellBasell Industries NV, Class A | 1,165,356 | ||||||
22,078 | Monsanto Co. | 2,767,919 | ||||||
19,974 | Mosaic Co. (The) | 538,299 | ||||||
11,867 | PPG Industries, Inc. | 1,256,478 | ||||||
10,313 | Praxair, Inc. | 1,572,939 | ||||||
355 | RPM International, Inc. | 17,146 | ||||||
2,357 | Sherwin-Williams Co. (The) | 866,575 | ||||||
|
| |||||||
24,960,354 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.0% | ||||||||
11,034 | Cintas Corp. | 1,879,090 | ||||||
15,546 | Herman Miller, Inc. | 477,262 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Commercial Services & Supplies — continued |
| |||||||
25,415 | Pitney Bowes, Inc. | 259,741 | ||||||
22,558 | Republic Services, Inc. | 1,459,052 | ||||||
11,650 | Waste Management, Inc. | 947,029 | ||||||
|
| |||||||
5,022,174 | ||||||||
|
| |||||||
Communications Equipment — 1.0% | ||||||||
2,031 | Arista Networks, Inc.* | 537,301 | ||||||
32,888 | Cisco Systems, Inc. | 1,456,610 | ||||||
6,258 | F5 Networks, Inc.* | 1,020,617 | ||||||
32,834 | Juniper Networks, Inc. | 807,388 | ||||||
10,674 | Motorola Solutions, Inc. | 1,172,325 | ||||||
|
| |||||||
4,994,241 | ||||||||
|
| |||||||
Construction & Engineering — 0.0% (a) | ||||||||
2,137 | Fluor Corp. | 125,976 | ||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
5,662 | American Express Co. | 559,123 | ||||||
6,206 | Capital One Financial Corp. | 562,388 | ||||||
9,676 | Discover Financial Services | 689,415 | ||||||
45,723 | SLM Corp.* | 524,900 | ||||||
10,749 | Synchrony Financial | 356,544 | ||||||
|
| |||||||
2,692,370 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
1,038 | Ball Corp. | 41,613 | ||||||
8,651 | Bemis Co., Inc. | 374,329 | ||||||
3,337 | Crown Holdings, Inc.* | 166,316 | ||||||
13,745 | International Paper Co. | 708,692 | ||||||
12,235 | Sealed Air Corp. | 536,505 | ||||||
|
| |||||||
1,827,455 | ||||||||
|
| |||||||
Distributors — 0.4% | ||||||||
25,066 | Genuine Parts Co. | 2,213,829 | ||||||
|
| |||||||
Diversified Consumer Services — 0.0% (a) | ||||||||
64 | Graham Holdings Co., Class B | 38,595 | ||||||
4,736 | H&R Block, Inc. | 130,951 | ||||||
|
| |||||||
169,546 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
3,339 | Berkshire Hathaway, Inc., Class B* | 646,864 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
68,530 | AT&T, Inc. | 2,240,931 | ||||||
49,257 | Verizon Communications, Inc. | 2,430,833 | ||||||
107,483 | Windstream Holdings, Inc. | 166,599 | ||||||
|
| |||||||
4,838,363 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 79 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Electric Utilities — 6.5% |
| |||||||
49,319 | Alliant Energy Corp. | 2,118,251 | ||||||
41,922 | American Electric Power Co., Inc. | 2,933,702 | ||||||
36,530 | Duke Energy Corp. | 2,928,245 | ||||||
43,620 | Edison International | 2,857,982 | ||||||
30,282 | Entergy Corp. | 2,470,708 | ||||||
42,623 | Eversource Energy | 2,568,036 | ||||||
74,292 | Exelon Corp. | 2,947,907 | ||||||
5,416 | FirstEnergy Corp. | 186,310 | ||||||
14,652 | NextEra Energy, Inc. | 2,401,609 | ||||||
36,469 | PG&E Corp. | 1,681,221 | ||||||
28,850 | Pinnacle West Capital Corp. | 2,322,425 | ||||||
95,973 | PPL Corp. | 2,792,814 | ||||||
26,993 | Southern Co. (The) | 1,244,917 | ||||||
63,569 | Xcel Energy, Inc. | 2,977,572 | ||||||
|
| |||||||
32,431,699 | ||||||||
|
| |||||||
Electrical Equipment — 0.6% | ||||||||
9,554 | AMETEK, Inc. | 666,869 | ||||||
10,134 | Eaton Corp. plc | 760,354 | ||||||
7,578 | Emerson Electric Co. | 503,255 | ||||||
4,643 | Hubbell, Inc. | 482,222 | ||||||
4,933 | Rockwell Automation, Inc. | 811,627 | ||||||
|
| |||||||
3,224,327 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
11,634 | Amphenol Corp., Class A | 973,882 | ||||||
9,511 | AVX Corp. | 140,382 | ||||||
31,272 | Corning, Inc. | 844,970 | ||||||
|
| |||||||
1,959,234 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.7% | ||||||||
18,029 | Baker Hughes a GE Co. | 651,027 | ||||||
6,873 | Helmerich & Payne, Inc. | 478,017 | ||||||
20,758 | Nabors Industries Ltd. | 157,969 | ||||||
13,135 | National Oilwell Varco, Inc. | 507,931 | ||||||
10,967 | Oceaneering International, Inc. | 232,939 | ||||||
13,105 | Patterson-UTI Energy, Inc. | 280,709 | ||||||
17,406 | Schlumberger Ltd. | 1,193,355 | ||||||
|
| |||||||
3,501,947 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
4,829 | Alexandria Real Estate Equities, Inc. | 601,549 | ||||||
4,809 | American Tower Corp. | 655,755 | ||||||
4,178 | AvalonBay Communities, Inc. | 681,014 | ||||||
580 | Boston Properties, Inc. | 70,418 | ||||||
1,015 | Camden Property Trust | 86,681 | ||||||
3,685 | Corporate Office Properties Trust | 101,374 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
5,094 | Crown Castle International Corp. | 513,832 | ||||||
3,953 | Digital Realty Trust, Inc. | 417,793 | ||||||
2,601 | Duke Realty Corp. | 70,487 | ||||||
10,582 | Equity Residential | 653,015 | ||||||
566 | Essex Property Trust, Inc. | 135,665 | ||||||
706 | Federal Realty Investment Trust | 81,790 | ||||||
12,035 | GGP, Inc. | 240,580 | ||||||
21,195 | Host Hotels & Resorts, Inc. | 414,574 | ||||||
4,458 | Iron Mountain, Inc. | 151,304 | ||||||
990 | JBG SMITH Properties | 36,501 | ||||||
802 | Liberty Property Trust | 33,540 | ||||||
4,878 | Park Hotels & Resorts, Inc. | 140,389 | ||||||
8,231 | Prologis, Inc. | 534,274 | ||||||
8,635 | Rayonier, Inc. | 321,136 | ||||||
6,756 | Senior Housing Properties Trust | 105,191 | ||||||
3,166 | Simon Property Group, Inc. | 494,972 | ||||||
1,018 | Taubman Centers, Inc. | 56,988 | ||||||
1,964 | Vornado Realty Trust | 133,611 | ||||||
6,458 | Weingarten Realty Investors | 177,401 | ||||||
11,166 | Weyerhaeuser Co. | 410,685 | ||||||
|
| |||||||
7,320,519 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% | ||||||||
6,467 | Costco Wholesale Corp. | 1,275,034 | ||||||
17,821 | Kroger Co. (The) | 448,911 | ||||||
24,035 | Sysco Corp. | 1,503,149 | ||||||
17,230 | Walgreens Boots Alliance, Inc. | 1,144,933 | ||||||
17,204 | Walmart, Inc. | 1,521,866 | ||||||
4,414 | Weis Markets, Inc. | 203,132 | ||||||
|
| |||||||
6,097,025 | ||||||||
|
| |||||||
Food Products — 3.4% | ||||||||
38,293 | Archer-Daniels-Midland Co. | 1,737,736 | ||||||
9,301 | Bunge Ltd. | 671,811 | ||||||
39,411 | Campbell Soup Co. | 1,607,181 | ||||||
49,017 | Conagra Brands, Inc. | 1,817,060 | ||||||
29,465 | General Mills, Inc. | 1,288,799 | ||||||
19,739 | Hershey Co. (The) | 1,814,804 | ||||||
53,877 | Hormel Foods Corp. | 1,953,041 | ||||||
3,273 | JM Smucker Co. (The) | 373,384 | ||||||
23,529 | Kellogg Co. | 1,385,858 | ||||||
14,301 | Kraft Heinz Co. (The) | 806,290 | ||||||
2,995 | Lamb Weston Holdings, Inc. | 195,634 | ||||||
24,263 | McCormick & Co., Inc. (Non-Voting) | 2,557,563 | ||||||
12,738 | Tyson Foods, Inc., Class A | 892,934 | ||||||
|
| |||||||
17,102,095 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
80 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Health Care Equipment & Supplies — 5.4% |
| |||||||
34,223 | Abbott Laboratories | 1,989,383 | ||||||
4,245 | Align Technology, Inc.* | 1,060,613 | ||||||
28,016 | Baxter International, Inc. | 1,947,112 | ||||||
8,200 | Becton Dickinson and Co. | 1,901,334 | ||||||
56,110 | Boston Scientific Corp.* | 1,611,479 | ||||||
6,989 | Cooper Cos., Inc. (The) | 1,598,454 | ||||||
10,110 | Danaher Corp. | 1,014,235 | ||||||
25,189 | DENTSPLY SIRONA, Inc. | 1,268,014 | ||||||
7,249 | Edwards Lifesciences Corp.* | 923,233 | ||||||
19,709 | Hill-Rom Holdings, Inc. | 1,691,623 | ||||||
31,098 | Hologic, Inc.* | 1,206,291 | ||||||
6,679 | IDEXX Laboratories, Inc.* | 1,298,999 | ||||||
3,150 | Intuitive Surgical, Inc.* | 1,388,457 | ||||||
21,415 | Medtronic plc | 1,715,984 | ||||||
12,325 | Stryker Corp. | 2,088,102 | ||||||
128 | Teleflex, Inc. | 34,289 | ||||||
6,999 | Varex Imaging Corp.* | 251,894 | ||||||
21,095 | Varian Medical Systems, Inc.* | 2,438,371 | ||||||
12,369 | Zimmer Biomet Holdings, Inc. | 1,424,538 | ||||||
|
| |||||||
26,852,405 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.3% | ||||||||
8,341 | Aetna, Inc. | 1,493,456 | ||||||
10,534 | AmerisourceBergen Corp. | 954,170 | ||||||
6,859 | Anthem, Inc. | 1,618,655 | ||||||
11,738 | Cardinal Health, Inc. | 753,228 | ||||||
10,400 | Centene Corp.* | 1,129,232 | ||||||
9,413 | Cigna Corp. | 1,617,342 | ||||||
12,138 | CVS Health Corp. | 847,597 | ||||||
31,683 | DaVita, Inc.* | 1,989,376 | ||||||
15,639 | Express Scripts Holding Co.* | 1,183,872 | ||||||
12,743 | HCA Healthcare, Inc. | 1,220,015 | ||||||
27,680 | Henry Schein, Inc.* | 2,103,680 | ||||||
5,507 | Humana, Inc. | 1,620,049 | ||||||
16,179 | Laboratory Corp. of America Holdings* | 2,762,564 | ||||||
4,805 | McKesson Corp. | 750,589 | ||||||
24,771 | Quest Diagnostics, Inc. | 2,506,825 | ||||||
8,124 | UnitedHealth Group, Inc. | 1,920,514 | ||||||
17,582 | Universal Health Services, Inc., Class B | 2,007,864 | ||||||
|
| |||||||
26,479,028 | ||||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
12,982 | Cerner Corp.* | 756,201 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.3% | ||||||||
24,903 | Carnival Corp. | 1,570,383 | ||||||
9,044 | Darden Restaurants, Inc. | 839,826 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Hotels, Restaurants & Leisure — continued |
| |||||||
12,328 | Dunkin’ Brands Group, Inc. | 751,515 | ||||||
2,245 | Hilton Grand Vacations, Inc.* | 96,535 | ||||||
16,573 | Hilton Worldwide Holdings, Inc. | 1,306,615 | ||||||
22,899 | International Game Technology plc | 647,355 | ||||||
9,008 | Las Vegas Sands Corp. | 660,557 | ||||||
10,529 | Marriott International, Inc., Class A | 1,439,104 | ||||||
11,095 | McDonald’s Corp. | 1,857,747 | ||||||
19,257 | MGM Resorts International | 605,055 | ||||||
5,886 | Norwegian Cruise Line Holdings Ltd.* | 314,724 | ||||||
6,491 | Royal Caribbean Cruises Ltd. | 702,261 | ||||||
8,381 | Speedway Motorsports, Inc. | 147,925 | ||||||
31,640 | Starbucks Corp. | 1,821,515 | ||||||
9,555 | Wyndham Worldwide Corp. | 1,091,276 | ||||||
3,449 | Wynn Resorts Ltd. | 642,169 | ||||||
10,275 | Yum China Holdings, Inc. (China) | 439,359 | ||||||
21,188 | Yum! Brands, Inc. | 1,845,475 | ||||||
|
| |||||||
16,779,396 | ||||||||
|
| |||||||
Household Durables — 2.4% | ||||||||
26,514 | DR Horton, Inc. | 1,170,328 | ||||||
21,480 | Garmin Ltd. | 1,260,232 | ||||||
35,995 | Leggett & Platt, Inc. | 1,459,597 | ||||||
24,640 | Lennar Corp., Class A | 1,303,210 | ||||||
6,943 | Mohawk Industries, Inc.* | 1,457,197 | ||||||
814 | NVR, Inc.* | 2,523,400 | ||||||
53,089 | PulteGroup, Inc. | 1,611,782 | ||||||
7,290 | Whirlpool Corp. | 1,129,585 | ||||||
|
| |||||||
11,915,331 | ||||||||
|
| |||||||
Household Products — 1.7% | ||||||||
45,206 | Church & Dwight Co., Inc. | 2,088,517 | ||||||
18,966 | Clorox Co. (The) | 2,222,815 | ||||||
5,434 | Energizer Holdings, Inc. | 311,694 | ||||||
20,361 | Kimberly-Clark Corp. | 2,108,178 | ||||||
26,493 | Procter & Gamble Co. (The) | 1,916,504 | ||||||
|
| |||||||
8,647,708 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.5% | ||||||||
3,420 | 3M Co. | 664,814 | ||||||
7,275 | Honeywell International, Inc. | 1,052,547 | ||||||
3,692 | Roper Technologies, Inc. | 975,389 | ||||||
|
| |||||||
2,692,750 | ||||||||
|
| |||||||
Insurance — 2.8% | ||||||||
17,664 | Aflac, Inc. | 804,949 | ||||||
6,630 | Allstate Corp. (The) | 648,547 | ||||||
3,487 | American Financial Group, Inc. | 394,798 | ||||||
7,294 | Aon plc | 1,039,176 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 81 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Insurance — continued |
| |||||||
7,120 | Assurant, Inc. | 660,878 | ||||||
639 | Brighthouse Financial, Inc.* | 32,448 | ||||||
5,464 | Chubb Ltd. | 741,301 | ||||||
11,405 | Cincinnati Financial Corp. | 802,228 | ||||||
1,401 | Erie Indemnity Co., Class A | 163,595 | ||||||
2,323 | Everest Re Group Ltd. | 540,492 | ||||||
12,295 | FNF Group | 452,825 | ||||||
11,556 | Hartford Financial Services Group, Inc. (The) | 622,175 | ||||||
8,261 | Kemper Corp. | 557,618 | ||||||
4,414 | Lincoln National Corp. | 311,805 | ||||||
10,521 | Marsh & McLennan Cos., Inc. | 857,462 | ||||||
429 | Mercury General Corp. | 19,618 | ||||||
7,062 | MetLife, Inc. | 336,646 | ||||||
8,877 | Principal Financial Group, Inc. | 525,696 | ||||||
11,613 | Progressive Corp. (The) | 700,148 | ||||||
3,822 | Prudential Financial, Inc. | 406,355 | ||||||
2,690 | Reinsurance Group of America, Inc. | 401,886 | ||||||
13,487 | Torchmark Corp. | 1,169,862 | ||||||
5,134 | Travelers Cos., Inc. (The) | 675,634 | ||||||
2,034 | Willis Towers Watson plc | 302,069 | ||||||
9,879 | WR Berkley Corp. | 736,578 | ||||||
3,768 | XL Group Ltd. (Bermuda) | 209,463 | ||||||
|
| |||||||
14,114,252 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.6% | ||||||||
698 | Amazon.com, Inc.* | 1,093,159 | ||||||
457 | Booking Holdings, Inc.* | 995,346 | ||||||
2,212 | Netflix, Inc.* | 691,161 | ||||||
|
| |||||||
2,779,666 | ||||||||
|
| |||||||
Internet Software & Services — 2.1% | ||||||||
1,043 | Alphabet, Inc., Class A* | 1,062,379 | ||||||
1,157 | Alphabet, Inc., Class C* | 1,177,051 | ||||||
32,210 | eBay, Inc.* | 1,220,115 | ||||||
7,397 | Facebook, Inc., Class A* | 1,272,284 | ||||||
18,431 | IAC/InterActiveCorp* | 2,988,402 | ||||||
22,975 | VeriSign, Inc.* | 2,697,724 | ||||||
|
| |||||||
10,417,955 | ||||||||
|
| |||||||
IT Services — 3.0% | ||||||||
6,225 | Accenture plc, Class A | 941,220 | ||||||
5,532 | Automatic Data Processing, Inc. | 653,219 | ||||||
17,760 | Cognizant Technology Solutions Corp., Class A | 1,453,123 | ||||||
10,570 | DXC Technology Co. | 1,089,344 | ||||||
12,286 | Fidelity National Information Services, Inc. | 1,166,801 | ||||||
12,226 | Fiserv, Inc.* | 866,334 |
SHARES | INVESTMENTS | VALUE($) | ||||||
IT Services — continued |
| |||||||
8,925 | Gartner, Inc.* | 1,082,513 | ||||||
4,239 | Global Payments, Inc. | 479,219 | ||||||
7,604 | International Business Machines Corp. | 1,102,276 | ||||||
17,702 | Leidos Holdings, Inc. | 1,137,000 | ||||||
4,788 | Mastercard, Inc., Class A | 853,557 | ||||||
13,478 | Paychex, Inc. | 816,362 | ||||||
7,085 | PayPal Holdings, Inc.* | 528,612 | ||||||
4,723 | Teradata Corp.* | 193,265 | ||||||
7,475 | Total System Services, Inc. | 628,349 | ||||||
6,083 | Visa, Inc., Class A | 771,811 | ||||||
28,599 | Western Union Co. (The) | 564,830 | ||||||
10,205 | Worldpay, Inc.* | 828,850 | ||||||
|
| |||||||
15,156,685 | ||||||||
|
| |||||||
Leisure Products — 0.5% | ||||||||
23,474 | Hasbro, Inc. | 2,067,825 | ||||||
5,694 | Polaris Industries, Inc. | 596,845 | ||||||
|
| |||||||
2,664,670 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.7% | ||||||||
12,996 | Agilent Technologies, Inc. | 854,357 | ||||||
3,575 | Illumina, Inc.* | 861,325 | ||||||
15,271 | IQVIA Holdings, Inc.* | 1,462,351 | ||||||
1,454 | Mettler-Toledo International, Inc.* | 814,138 | ||||||
7,785 | Thermo Fisher Scientific, Inc. | 1,637,575 | ||||||
14,193 | Waters Corp.* | 2,674,103 | ||||||
|
| |||||||
8,303,849 | ||||||||
|
| |||||||
Machinery — 1.8% | ||||||||
260 | AGCO Corp. | 16,297 | ||||||
4,543 | Caterpillar, Inc. | 655,828 | ||||||
1,516 | Crane Co. | 126,798 | ||||||
3,756 | Cummins, Inc. | 600,434 | ||||||
5,186 | Deere & Co. | 701,821 | ||||||
8,441 | Dover Corp. | 782,481 | ||||||
8,715 | Fortive Corp. | 612,752 | ||||||
5,115 | Illinois Tool Works, Inc. | 726,432 | ||||||
8,126 | Ingersoll-Rand plc | 681,690 | ||||||
22,692 | ITT, Inc. | 1,109,412 | ||||||
7,573 | PACCAR, Inc. | 482,173 | ||||||
3,850 | Parker-Hannifin Corp. | 633,787 | ||||||
11,356 | Stanley Black & Decker, Inc. | 1,607,896 | ||||||
3,687 | Terex Corp. | 134,649 | ||||||
8,281 | Trinity Industries, Inc. | 263,915 | ||||||
|
| |||||||
9,136,365 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
82 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Media — 2.7% |
| |||||||
64 | Cable One, Inc. | 40,648 | ||||||
10,475 | CBS Corp. (Non-Voting), Class B | 515,370 | ||||||
2,815 | Charter Communications, Inc., Class A* | 763,681 | ||||||
32,743 | Comcast Corp., Class A | 1,027,803 | ||||||
2,818 | DISH Network Corp., Class A* | 94,544 | ||||||
18,845 | EW Scripps Co. (The), Class A | 209,745 | ||||||
40,440 | Interpublic Group of Cos., Inc. (The) | 953,980 | ||||||
2,011 | John Wiley & Sons, Inc., Class A | 132,625 | ||||||
6,896 | Liberty Media Corp.-Liberty SiriusXM, Class A* | 288,046 | ||||||
17,122 | Omnicom Group, Inc. | 1,261,207 | ||||||
166,524 | Sirius XM Holdings, Inc. | 1,054,097 | ||||||
32,168 | TEGNA, Inc. | 340,016 | ||||||
25,110 | Time Warner, Inc. | 2,380,428 | ||||||
30,556 | Twenty-First Century Fox, Inc., Class A | 1,117,127 | ||||||
32,547 | Twenty-First Century Fox, Inc., Class B | 1,173,970 | ||||||
22,775 | Viacom, Inc., Class B | 686,894 | ||||||
15,910 | Walt Disney Co. (The) | 1,596,250 | ||||||
|
| |||||||
13,636,431 | ||||||||
|
| |||||||
Metals & Mining — 0.8% | ||||||||
13,495 | Alcoa Corp. | 690,944 | ||||||
17,452 | Freeport-McMoRan, Inc. | 265,445 | ||||||
14,363 | Newmont Mining Corp. | 564,322 | ||||||
8,930 | Nucor Corp. | 550,267 | ||||||
3,173 | Reliance Steel & Aluminum Co. | 278,970 | ||||||
2,189 | Royal Gold, Inc. | 194,383 | ||||||
8,736 | Southern Copper Corp. (Peru) | 461,348 | ||||||
18,075 | Steel Dynamics, Inc. | 809,941 | ||||||
7,538 | United States Steel Corp. | 255,011 | ||||||
|
| |||||||
4,070,631 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.2% |
| |||||||
56,674 | Annaly Capital Management, Inc. | 587,710 | ||||||
19,429 | Chimera Investment Corp. | 339,813 | ||||||
|
| |||||||
927,523 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
13,843 | Dollar General Corp. | 1,336,265 | ||||||
6,773 | Dollar Tree, Inc.* | 649,463 | ||||||
10,015 | Kohl’s Corp. | 622,132 | ||||||
12,200 | Macy’s, Inc. | 379,054 | ||||||
8,689 | Nordstrom, Inc. | 439,316 | ||||||
10,497 | Target Corp. | 762,082 | ||||||
|
| |||||||
4,188,312 | ||||||||
|
| |||||||
Multi-Utilities — 5.5% | ||||||||
42,347 | Ameren Corp. | 2,482,381 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Multi-Utilities — continued |
| |||||||
101,708 | CenterPoint Energy, Inc. | 2,576,264 | ||||||
64,801 | CMS Energy Corp. | 3,057,959 | ||||||
32,670 | Consolidated Edison, Inc. | 2,617,847 | ||||||
37,152 | Dominion Energy, Inc. | 2,472,837 | ||||||
23,313 | DTE Energy Co. | 2,457,190 | ||||||
97,791 | NiSource, Inc. | 2,385,123 | ||||||
55,466 | Public Service Enterprise Group, Inc. | 2,892,552 | ||||||
34,957 | SCANA Corp. | 1,285,369 | ||||||
22,159 | Sempra Energy | 2,477,376 | ||||||
41,701 | WEC Energy Group, Inc. | 2,680,540 | ||||||
|
| |||||||
27,385,438 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.6% | ||||||||
7,055 | Andeavor | 975,848 | ||||||
9,816 | Apache Corp. | 401,965 | ||||||
24,982 | Chesapeake Energy Corp.* | 74,197 | ||||||
12,456 | Chevron Corp. | 1,558,370 | ||||||
11,861 | CNX Resources Corp.* | 176,254 | ||||||
18,690 | ConocoPhillips | 1,224,195 | ||||||
1,493 | CONSOL Energy, Inc.* | 46,955 | ||||||
12,355 | Devon Energy Corp. | 448,857 | ||||||
3,435 | Diamondback Energy, Inc.* | 441,226 | ||||||
22,694 | Exxon Mobil Corp. | 1,764,459 | ||||||
3,843 | Gulfport Energy Corp.* | 35,740 | ||||||
10,686 | Hess Corp. | 608,995 | ||||||
12,028 | HollyFrontier Corp. | 729,979 | ||||||
41,198 | Kinder Morgan, Inc. | 651,752 | ||||||
39,823 | Marathon Oil Corp. | 726,770 | ||||||
13,527 | Marathon Petroleum Corp. | 1,013,308 | ||||||
13,181 | Murphy Oil Corp. | 396,880 | ||||||
11,386 | Occidental Petroleum Corp. | 879,682 | ||||||
23,084 | ONEOK, Inc. | 1,390,119 | ||||||
13,481 | Phillips 66 | 1,500,570 | ||||||
14,419 | QEP Resources, Inc.* | 175,623 | ||||||
13,724 | Targa Resources Corp. | 644,616 | ||||||
14,386 | Valero Energy Corp. | 1,595,839 | ||||||
23,229 | Williams Cos., Inc. (The) | 597,682 | ||||||
|
| |||||||
18,059,881 | ||||||||
|
| |||||||
Paper & Forest Products — 0.0% (a) | ||||||||
4,870 | Domtar Corp. | 213,793 | ||||||
|
| |||||||
Personal Products — 0.8% | ||||||||
13,255 | Edgewell Personal Care Co.* | 583,883 | ||||||
13,127 | Estee Lauder Cos., Inc. (The), Class A | 1,943,977 | ||||||
3,073 | Herbalife Nutrition Ltd.* | 324,908 | ||||||
14,063 | Nu Skin Enterprises, Inc., Class A | 1,000,583 | ||||||
|
| |||||||
3,853,351 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 83 |
JPMorgan Diversified Return U.S. Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — 2.3% |
| |||||||
27,962 | Bristol-Myers Squibb Co. | 1,457,659 | ||||||
24,927 | Eli Lilly & Co. | 2,020,832 | ||||||
16,327 | Johnson & Johnson | 2,065,202 | ||||||
29,943 | Merck & Co., Inc. | 1,762,744 | ||||||
68,930 | Pfizer, Inc. | 2,523,527 | ||||||
20,566 | Zoetis, Inc. | 1,716,850 | ||||||
|
| |||||||
11,546,814 | ||||||||
|
| |||||||
Professional Services — 0.2% | ||||||||
714 | Dun & Bradstreet Corp. (The) | 82,332 | ||||||
4,455 | Equifax, Inc. | 499,183 | ||||||
2,805 | Nielsen Holdings plc | 88,217 | ||||||
3,915 | Robert Half International, Inc. | 237,836 | ||||||
1,718 | Verisk Analytics, Inc.* | 182,881 | ||||||
|
| |||||||
1,090,449 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
5,485 | CBRE Group, Inc., Class A* | 248,526 | ||||||
381 | Jones Lang LaSalle, Inc. | 64,583 | ||||||
|
| |||||||
313,109 | ||||||||
|
| |||||||
Road & Rail — 0.7% | ||||||||
7,946 | CSX Corp. | 471,913 | ||||||
7,175 | JB Hunt Transport Services, Inc. | 842,560 | ||||||
2,982 | Kansas City Southern | 317,971 | ||||||
5,121 | Norfolk Southern Corp. | 734,710 | ||||||
4,309 | Ryder System, Inc. | 290,556 | ||||||
6,669 | Union Pacific Corp. | 891,178 | ||||||
|
| |||||||
3,548,888 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
13,234 | Analog Devices, Inc. | 1,155,990 | ||||||
15,408 | Applied Materials, Inc. | 765,315 | ||||||
3,752 | Broadcom, Inc. | 860,784 | ||||||
16,530 | Cypress Semiconductor Corp. | 241,007 | ||||||
6,920 | First Solar, Inc.* | 490,697 | ||||||
20,885 | Intel Corp. | 1,078,084 | ||||||
8,893 | KLA-Tencor Corp. | 904,774 | ||||||
3,668 | Lam Research Corp. | 678,800 | ||||||
27,531 | Marvell Technology Group Ltd. (Bermuda) | 552,272 | ||||||
18,406 | Maxim Integrated Products, Inc. | 1,003,127 | ||||||
11,157 | Microchip Technology, Inc. | 933,395 | ||||||
17,180 | Micron Technology, Inc.* | 789,936 | ||||||
3,438 | NVIDIA Corp. | 773,206 | ||||||
16,224 | NXP Semiconductors NV (Netherlands)* | 1,701,898 | ||||||
33,633 | ON Semiconductor Corp.* | 742,617 | ||||||
8,941 | QUALCOMM, Inc. | 456,080 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
6,822 | Skyworks Solutions, Inc. | 591,877 | ||||||
16,377 | Teradyne, Inc. | 533,071 | ||||||
10,298 | Texas Instruments, Inc. | 1,044,526 | ||||||
2,250 | Versum Materials, Inc. | 79,155 | ||||||
13,462 | Xilinx, Inc. | 864,799 | ||||||
|
| |||||||
16,241,410 | ||||||||
|
| |||||||
Software — 3.0% | ||||||||
15,888 | Activision Blizzard, Inc. | 1,054,169 | ||||||
5,352 | Adobe Systems, Inc.* | 1,186,003 | ||||||
28,317 | CA, Inc. | 985,432 | ||||||
23,477 | Cadence Design Systems, Inc.* | 940,489 | ||||||
16,302 | Citrix Systems, Inc.* | 1,677,639 | ||||||
11,752 | Dell Technologies, Inc., Class V* | 843,441 | ||||||
9,670 | Electronic Arts, Inc.* | 1,140,867 | ||||||
7,965 | Intuit, Inc. | 1,471,852 | ||||||
17,754 | Microsoft Corp. | 1,660,354 | ||||||
20,520 | Oracle Corp. | 937,148 | ||||||
8,376 | Red Hat, Inc.* | 1,365,790 | ||||||
7,573 | Take-Two Interactive Software, Inc.* | 755,104 | ||||||
6,699 | VMware, Inc., Class A* | 892,709 | ||||||
|
| |||||||
14,910,997 | ||||||||
|
| |||||||
Specialty Retail — 2.4% | ||||||||
11,250 | AutoNation, Inc.* | 519,637 | ||||||
9,006 | Best Buy Co., Inc. | 689,229 | ||||||
1,586 | Burlington Stores, Inc.* | 215,458 | ||||||
11,327 | CarMax, Inc.* | 707,937 | ||||||
9,369 | Dick’s Sporting Goods, Inc. | 310,020 | ||||||
12,258 | Foot Locker, Inc. | 528,075 | ||||||
7,508 | GameStop Corp., Class A | 102,484 | ||||||
12,787 | Gap, Inc. (The) | 373,892 | ||||||
12,198 | Home Depot, Inc. (The) | 2,254,190 | ||||||
14,720 | Lowe’s Cos., Inc. | 1,213,370 | ||||||
11,082 | Ross Stores, Inc. | 895,980 | ||||||
7,502 | Signet Jewelers Ltd. | 291,678 | ||||||
14,822 | Tiffany & Co. | 1,524,146 | ||||||
15,461 | TJX Cos., Inc. (The) | 1,311,866 | ||||||
7,015 | Tractor Supply Co. | 477,020 | ||||||
4,929 | Urban Outfitters, Inc.* | 198,491 | ||||||
9,882 | Williams-Sonoma, Inc. | 472,360 | ||||||
|
| |||||||
12,085,833 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.0% |
| |||||||
6,248 | Apple, Inc. | 1,032,544 | ||||||
46,348 | Diebold Nixdorf, Inc. | 711,442 | ||||||
46,094 | Hewlett Packard Enterprise Co. | 785,903 |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Technology Hardware, Storage & Peripherals — continued |
| |||||||
55,858 | HP, Inc. | 1,200,388 | ||||||
10,976 | NetApp, Inc. | 730,782 | ||||||
6,550 | Western Digital Corp. | 516,075 | ||||||
|
| |||||||
4,977,134 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
34,377 | Hanesbrands, Inc. | 634,943 | ||||||
11,397 | Michael Kors Holdings Ltd.* | 779,783 | ||||||
20,501 | NIKE, Inc., Class B | 1,402,063 | ||||||
7,138 | PVH Corp. | 1,139,725 | ||||||
21,371 | Tapestry, Inc. | 1,149,119 | ||||||
7,732 | Under Armour, Inc., Class C* | 118,686 | ||||||
15,522 | VF Corp. | 1,255,264 | ||||||
|
| |||||||
6,479,583 | ||||||||
|
| |||||||
Tobacco — 0.6% | ||||||||
25,631 | Altria Group, Inc. | 1,438,155 | ||||||
16,546 | Philip Morris International, Inc. | 1,356,772 | ||||||
|
| |||||||
2,794,927 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
11,882 | Fastenal Co. | 593,981 | ||||||
3,918 | United Rentals, Inc.* | 587,700 | ||||||
1,969 | WW Grainger, Inc. | 553,978 | ||||||
|
| |||||||
1,735,659 | ||||||||
|
| |||||||
Water Utilities — 0.6% | ||||||||
34,697 | American Water Works Co., Inc. | 3,004,066 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
10,818 | Telephone & Data Systems, Inc. | 295,656 | ||||||
45,956 | T-Mobile US, Inc.* | 2,780,798 | ||||||
3,032 | United States Cellular Corp.* | 119,976 | ||||||
|
| |||||||
3,196,430 | ||||||||
|
| |||||||
Total Common Stocks | 498,926,088 | |||||||
|
| |||||||
Short-Term Investments — 0.5% | ||||||||
Investment Companies — 0.5% |
| |||||||
2,446,359 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (b) (c) | 2,446,359 | ||||||
|
| |||||||
Total Investments — 99.9% | 501,372,447 | |||||||
Other Assets Less Liabilities — 0.1% | 379,002 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 501,751,449 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Represents less than 0.05% of net assets. | |
(b) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(c) | — The rate shown was the current yield as of April 30, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 85 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.6% | ||||||||
Aerospace & Defense — 1.4% | ||||||||
2,443 | BWX Technologies, Inc. | 165,635 | ||||||
1,924 | Harris Corp. | 300,952 | ||||||
2,834 | Hexcel Corp. | 188,376 | ||||||
471 | Huntington Ingalls Industries, Inc. | 114,552 | ||||||
687 | L3 Technologies, Inc. | 134,570 | ||||||
707 | Orbital ATK, Inc. | 93,593 | ||||||
1,019 | Rockwell Collins, Inc. | 135,058 | ||||||
1,303 | Spirit AeroSystems Holdings, Inc., Class A | 104,722 | ||||||
2,083 | Textron, Inc. | 129,438 | ||||||
|
| |||||||
1,366,896 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% | ||||||||
1,829 | CH Robinson Worldwide, Inc. | 168,323 | ||||||
2,038 | Expeditors International of Washington, Inc. | 130,146 | ||||||
|
| |||||||
298,469 | ||||||||
|
| |||||||
Airlines — 0.8% | ||||||||
1,799 | Alaska Air Group, Inc. | 116,809 | ||||||
2,321 | American Airlines Group, Inc. | 99,641 | ||||||
1,487 | Copa Holdings SA, Class A (Panama) | 174,232 | ||||||
6,184 | JetBlue Airways Corp.* | 118,671 | ||||||
2,621 | Spirit Airlines, Inc.* | 93,622 | ||||||
1,606 | United Continental Holdings, Inc.* | 108,469 | ||||||
|
| |||||||
711,444 | ||||||||
|
| |||||||
Auto Components — 1.4% | ||||||||
1,825 | Adient plc | 111,854 | ||||||
2,159 | Aptiv plc | 182,608 | ||||||
3,165 | BorgWarner, Inc. | 154,895 | ||||||
719 | Delphi Technologies plc | 34,807 | ||||||
14,171 | Gentex Corp. | 322,249 | ||||||
5,174 | Goodyear Tire & Rubber Co. (The) | 129,919 | ||||||
1,455 | Lear Corp. | 272,041 | ||||||
1,145 | Visteon Corp.* | 142,484 | ||||||
|
| |||||||
1,350,857 | ||||||||
|
| |||||||
Automobiles — 0.4% | ||||||||
4,369 | Harley-Davidson, Inc. | 179,697 | ||||||
1,531 | Thor Industries, Inc. | 162,500 | ||||||
|
| |||||||
342,197 | ||||||||
|
| |||||||
Banks — 2.7% | ||||||||
1,378 | Associated Banc-Corp. | 36,448 | ||||||
963 | Bank of Hawaii Corp. | 81,094 | ||||||
1,431 | Bank of the Ozarks, Inc.* | 66,971 | ||||||
1,624 | BankUnited, Inc. | 64,327 | ||||||
1,966 | CIT Group, Inc. | 104,100 | ||||||
1,775 | Citizens Financial Group, Inc. | 73,645 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Banks — continued |
| |||||||
1,011 | Comerica, Inc. | 95,620 | ||||||
2,324 | Commerce Bancshares, Inc. | 147,620 | ||||||
831 | Cullen/Frost Bankers, Inc. | 95,108 | ||||||
1,374 | East West Bancorp, Inc. | 91,536 | ||||||
3,350 | Fifth Third Bancorp | 111,120 | ||||||
3,551 | First Horizon National Corp. | 64,983 | ||||||
607 | First Republic Bank | 56,372 | ||||||
4,346 | FNB Corp. | 56,498 | ||||||
8,643 | Huntington Bancshares, Inc. | 128,867 | ||||||
3,870 | KeyCorp | 77,090 | ||||||
565 | M&T Bank Corp. | 102,983 | ||||||
1,202 | PacWest Bancorp | 61,590 | ||||||
6,149 | People’s United Financial, Inc. | 112,465 | ||||||
1,382 | Popular, Inc. (Puerto Rico) | 63,973 | ||||||
779 | Prosperity Bancshares, Inc. | 55,909 | ||||||
5,089 | Regions Financial Corp. | 95,164 | ||||||
1,958 | SunTrust Banks, Inc. | 130,794 | ||||||
316 | SVB Financial Group* | 94,677 | ||||||
2,619 | Synovus Financial Corp. | 136,895 | ||||||
2,426 | TCF Financial Corp. | 60,238 | ||||||
1,320 | Webster Financial Corp. | 79,451 | ||||||
1,527 | Western Alliance Bancorp* | 90,062 | ||||||
1,514 | Zions Bancorp | 82,892 | ||||||
|
| |||||||
2,518,492 | ||||||||
|
| |||||||
Beverages — 1.0% | ||||||||
7,823 | Brown-Forman Corp., Class B | 438,401 | ||||||
1,762 | Dr Pepper Snapple Group, Inc. | 211,370 | ||||||
3,605 | Molson Coors Brewing Co., Class B | 256,820 | ||||||
|
| |||||||
906,591 | ||||||||
|
| |||||||
Biotechnology — 0.4% | ||||||||
3,693 | Exelixis, Inc.* | 76,888 | ||||||
2,566 | Ionis Pharmaceuticals, Inc.* | 110,415 | ||||||
1,797 | United Therapeutics Corp.* | 197,868 | ||||||
|
| |||||||
385,171 | ||||||||
|
| |||||||
Building Products — 0.8% | ||||||||
2,131 | Allegion plc | 164,471 | ||||||
2,693 | AO Smith Corp. | 165,216 | ||||||
658 | Armstrong World Industries, Inc.* | 36,848 | ||||||
1,950 | Fortune Brands Home & Security, Inc. | 106,645 | ||||||
688 | Lennox International, Inc. | 133,039 | ||||||
1,794 | Owens Corning | 117,489 | ||||||
819 | USG Corp.* | 32,948 | ||||||
|
| |||||||
756,656 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
86 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Capital Markets — 2.4% | ||||||||
495 | Affiliated Managers Group, Inc. | 81,606 | ||||||
767 | Ameriprise Financial, Inc. | 107,541 | ||||||
844 | CBOE Global Markets, Inc. | 90,122 | ||||||
2,052 | E*TRADE Financial Corp.* | 124,515 | ||||||
1,724 | Eaton Vance Corp. | 93,768 | ||||||
1,380 | FactSet Research Systems, Inc. | 260,972 | ||||||
2,638 | Federated Investors, Inc., Class B | 69,828 | ||||||
1,022 | Interactive Brokers Group, Inc., Class A | 75,832 | ||||||
1,509 | Invesco Ltd. | 43,716 | ||||||
1,276 | Lazard Ltd., Class A | 69,440 | ||||||
2,302 | Legg Mason, Inc. | 91,389 | ||||||
1,429 | LPL Financial Holdings, Inc. | 86,555 | ||||||
513 | MarketAxess Holdings, Inc. | 101,897 | ||||||
872 | Moody’s Corp. | 141,438 | ||||||
889 | MSCI, Inc. | 133,199 | ||||||
1,491 | Nasdaq, Inc. | 131,685 | ||||||
1,325 | Northern Trust Corp. | 141,444 | ||||||
1,262 | Raymond James Financial, Inc. | 113,265 | ||||||
2,424 | SEI Investments Co. | 153,270 | ||||||
923 | T. Rowe Price Group, Inc. | 105,056 | ||||||
1,713 | TD Ameritrade Holding Corp. | 99,508 | ||||||
|
| |||||||
2,316,046 | ||||||||
|
| |||||||
Chemicals — 3.4% | ||||||||
1,429 | Albemarle Corp. | 138,556 | ||||||
2,169 | Ashland Global Holdings, Inc. | 143,544 | ||||||
2,976 | Cabot Corp. | 166,239 | ||||||
2,248 | Celanese Corp., Series A | 244,290 | ||||||
2,656 | CF Industries Holdings, Inc. | 103,053 | ||||||
1,751 | Chemours Co. (The) | 84,766 | ||||||
2,745 | Eastman Chemical Co. | 280,210 | ||||||
1,994 | FMC Corp. | 158,982 | ||||||
4,799 | Huntsman Corp. | 142,866 | ||||||
1,604 | International Flavors & Fragrances, Inc. | 226,581 | ||||||
3,815 | Mosaic Co. (The) | 102,814 | ||||||
283 | NewMarket Corp. | 107,413 | ||||||
4,066 | Olin Corp. | 122,753 | ||||||
5,000 | RPM International, Inc. | 241,500 | ||||||
3,330 | Scotts Miracle-Gro Co. (The) | 278,321 | ||||||
8,345 | Valvoline, Inc. | 169,237 | ||||||
2,288 | Westlake Chemical Corp. | 244,747 | ||||||
3,392 | WR Grace & Co. | 232,148 | ||||||
|
| |||||||
3,188,020 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.4% | ||||||||
866 | Cintas Corp. | 147,480 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Commercial Services & Supplies — continued |
| |||||||
11,813 | Copart, Inc.* | 603,408 | ||||||
5,923 | KAR Auction Services, Inc. | 307,937 | ||||||
9,495 | Pitney Bowes, Inc. | 97,039 | ||||||
3,212 | Republic Services, Inc. | 207,752 | ||||||
|
| |||||||
1,363,616 | ||||||||
|
| |||||||
Communications Equipment — 1.3% | ||||||||
550 | Arista Networks, Inc.* | 145,502 | ||||||
295 | ARRIS International plc* | 7,965 | ||||||
6,144 | CommScope Holding Co., Inc.* | 234,824 | ||||||
1,614 | F5 Networks, Inc.* | 263,227 | ||||||
9,242 | Juniper Networks, Inc. | 227,261 | ||||||
3,070 | Motorola Solutions, Inc. | 337,178 | ||||||
|
| |||||||
1,215,957 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% | ||||||||
457 | Jacobs Engineering Group, Inc. | 26,547 | ||||||
2,405 | Quanta Services, Inc.* | 78,163 | ||||||
934 | Valmont Industries, Inc. | 132,721 | ||||||
|
| |||||||
237,431 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
757 | Eagle Materials, Inc. | 74,913 | ||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
242 | Credit Acceptance Corp.* | 80,063 | ||||||
1,678 | Discover Financial Services | 119,558 | ||||||
3,660 | Navient Corp. | 48,532 | ||||||
2,561 | Santander Consumer USA Holdings, Inc. | 47,250 | ||||||
6,637 | SLM Corp.* | 76,193 | ||||||
1,754 | Synchrony Financial | 58,180 | ||||||
|
| |||||||
429,776 | ||||||||
|
| |||||||
Containers & Packaging — 1.8% | ||||||||
1,489 | AptarGroup, Inc. | 139,222 | ||||||
3,014 | Avery Dennison Corp. | 315,897 | ||||||
1,962 | Bemis Co., Inc. | 84,896 | ||||||
2,203 | Berry Global Group, Inc.* | 121,165 | ||||||
3,125 | Crown Holdings, Inc.* | 155,750 | ||||||
7,983 | Graphic Packaging Holding Co. | 114,157 | ||||||
2,904 | International Paper Co. | 149,730 | ||||||
2,957 | Owens-Illinois, Inc.* | 60,116 | ||||||
1,315 | Packaging Corp. of America | 152,132 | ||||||
2,274 | Sealed Air Corp. | 99,715 | ||||||
3,555 | Silgan Holdings, Inc. | 99,789 | ||||||
1,722 | Sonoco Products Co. | 88,442 | ||||||
1,444 | WestRock Co. | 85,427 | ||||||
|
| |||||||
1,666,438 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 87 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Distributors — 0.5% | ||||||||
2,943 | Genuine Parts Co. | 259,926 | ||||||
71 | LKQ Corp.* | 2,202 | ||||||
1,823 | Pool Corp. | 253,051 | ||||||
|
| |||||||
515,179 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.8% | ||||||||
277 | Graham Holdings Co., Class B | 167,045 | ||||||
5,102 | H&R Block, Inc. | 141,070 | ||||||
6,443 | Service Corp. International | 235,234 | ||||||
4,822 | ServiceMaster Global Holdings, Inc.* | 243,993 | ||||||
|
| |||||||
787,342 | ||||||||
|
| |||||||
Diversified Financial Services — 0.1% | ||||||||
5,825 | Leucadia National Corp. | 140,033 | ||||||
|
| |||||||
Electric Utilities — 5.3% | ||||||||
11,676 | Alliant Energy Corp. | 501,484 | ||||||
8,430 | Edison International | 552,334 | ||||||
6,737 | Entergy Corp. | 549,672 | ||||||
8,961 | Eversource Energy | 539,900 | ||||||
15,862 | Great Plains Energy, Inc. | 519,163 | ||||||
5,705 | Hawaiian Electric Industries, Inc. | 197,906 | ||||||
6,496 | OGE Energy Corp. | 213,524 | ||||||
5,549 | Pinnacle West Capital Corp. | 446,694 | ||||||
17,829 | PPL Corp. | 518,824 | ||||||
8,693 | Westar Energy, Inc. | 470,987 | ||||||
10,146 | Xcel Energy, Inc. | 475,239 | ||||||
|
| |||||||
4,985,727 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% | ||||||||
2,574 | AMETEK, Inc. | 179,665 | ||||||
1,642 | Hubbell, Inc. | 170,538 | ||||||
593 | Regal Beloit Corp. | 42,222 | ||||||
1,000 | Rockwell Automation, Inc. | 164,530 | ||||||
1,959 | Sensata Technologies Holding plc* | 99,360 | ||||||
|
| |||||||
656,315 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.5% | ||||||||
2,553 | Amphenol Corp., Class A | 213,712 | ||||||
1,478 | Arrow Electronics, Inc.* | 110,466 | ||||||
2,254 | AVX Corp. | 33,269 | ||||||
5,011 | CDW Corp. | 357,234 | ||||||
1,419 | Cognex Corp. | 65,629 | ||||||
274 | Coherent, Inc.* | 46,092 | ||||||
451 | Dolby Laboratories, Inc., Class A | 26,979 | ||||||
2,847 | FLIR Systems, Inc. | 152,457 | ||||||
405 | IPG Photonics Corp.* | 86,277 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
3,280 | Jabil, Inc. | 87,248 | ||||||
2,975 | Keysight Technologies, Inc.* | 153,748 | ||||||
3,104 | National Instruments Corp. | 126,922 | ||||||
|
| |||||||
1,460,033 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.9% | ||||||||
6,264 | Baker Hughes a GE Co. | 226,193 | ||||||
2,709 | Helmerich & Payne, Inc. | 188,411 | ||||||
16,170 | Nabors Industries Ltd. | 123,054 | ||||||
3,306 | National Oilwell Varco, Inc. | 127,843 | ||||||
3,469 | Oceaneering International, Inc. | 73,681 | ||||||
6,500 | RPC, Inc. | 117,065 | ||||||
|
| |||||||
856,247 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.9% |
| |||||||
780 | Alexandria Real Estate Equities, Inc. | 97,165 | ||||||
475 | American Campus Communities, Inc. | 18,577 | ||||||
1,056 | American Homes 4 Rent, Class A | 21,331 | ||||||
829 | AvalonBay Communities, Inc. | 135,127 | ||||||
3,641 | Brandywine Realty Trust | 58,657 | ||||||
2,232 | Brixmor Property Group, Inc. | 33,235 | ||||||
1,032 | Camden Property Trust | 88,133 | ||||||
9,894 | Colony NorthStar, Inc., Class A | 60,452 | ||||||
1,655 | CoreCivic, Inc. | 33,365 | ||||||
744 | CoreSite Realty Corp. | 77,450 | ||||||
229 | CubeSmart | 6,742 | ||||||
1,774 | DCT Industrial Trust, Inc. | 116,321 | ||||||
1,454 | DDR Corp. | 10,542 | ||||||
991 | Digital Realty Trust, Inc. | 104,739 | ||||||
3,038 | Douglas Emmett, Inc. | 113,226 | ||||||
4,280 | Duke Realty Corp. | 115,988 | ||||||
818 | EPR Properties | 45,006 | ||||||
2,302 | Equity Commonwealth* | 71,339 | ||||||
1,113 | Equity LifeStyle Properties, Inc. | 99,235 | ||||||
587 | Essex Property Trust, Inc. | 140,698 | ||||||
1,134 | Extra Space Storage, Inc. | 101,595 | ||||||
126 | Federal Realty Investment Trust | 14,597 | ||||||
507 | Forest City Realty Trust, Inc., Class A | 10,170 | ||||||
2,490 | Gaming and Leisure Properties, Inc. | 85,332 | ||||||
2,774 | GGP, Inc. | 55,452 | ||||||
1,424 | Highwoods Properties, Inc. | 62,685 | ||||||
3,250 | Hospitality Properties Trust | 80,860 | ||||||
4,820 | Host Hotels & Resorts, Inc. | 94,279 | ||||||
1,922 | Hudson Pacific Properties, Inc. | 63,176 | ||||||
1,689 | Iron Mountain, Inc. | 57,325 |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
142 | JBG SMITH Properties | 5,236 | ||||||
1,178 | Kilroy Realty Corp. | 84,427 | ||||||
1,469 | Lamar Advertising Co., Class A | 93,590 | ||||||
2,592 | Liberty Property Trust | 108,397 | ||||||
4,815 | Medical Properties Trust, Inc. | 61,536 | ||||||
706 | Mid-America Apartment Communities, Inc. | 64,571 | ||||||
867 | National Retail Properties, Inc. | 32,981 | ||||||
1,868 | Omega Healthcare Investors, Inc. | 48,531 | ||||||
2,796 | Outfront Media, Inc. | 52,425 | ||||||
4,543 | Park Hotels & Resorts, Inc. | 130,748 | ||||||
4,033 | Piedmont Office Realty Trust, Inc., Class A | 72,271 | ||||||
2,295 | Prologis, Inc. | 148,968 | ||||||
1,999 | Rayonier, Inc. | 74,343 | ||||||
4,289 | Senior Housing Properties Trust | 66,780 | ||||||
804 | Sun Communities, Inc. | 75,455 | ||||||
2,958 | Tanger Factory Outlet Centers, Inc. | 64,928 | ||||||
1,040 | Taubman Centers, Inc. | 58,219 | ||||||
1,829 | Uniti Group, Inc. | 32,959 | ||||||
268 | Vornado Realty Trust | 18,232 | ||||||
1,868 | Weingarten Realty Investors | 51,314 | ||||||
1,575 | Welltower, Inc. | 84,168 | ||||||
2,539 | Weyerhaeuser Co. | 93,384 | ||||||
846 | WP Carey, Inc. | 54,017 | ||||||
|
| |||||||
3,650,279 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.1% | ||||||||
1,322 | Casey’s General Stores, Inc. | 127,705 | ||||||
|
| |||||||
Food Products — 3.5% | ||||||||
1,964 | Bunge Ltd. | 141,860 | ||||||
5,256 | Campbell Soup Co. | 214,340 | ||||||
5,530 | Conagra Brands, Inc. | 204,997 | ||||||
13,311 | Flowers Foods, Inc. | 300,962 | ||||||
2,988 | Hershey Co. (The) | 274,717 | ||||||
7,096 | Hormel Foods Corp. | 257,230 | ||||||
2,139 | Ingredion, Inc. | 259,011 | ||||||
5,209 | Kellogg Co. | 306,810 | ||||||
4,357 | Lamb Weston Holdings, Inc. | 284,599 | ||||||
3,950 | McCormick & Co., Inc. (Non-Voting) | 416,369 | ||||||
7,468 | Pilgrim’s Pride Corp.* | 161,309 | ||||||
5,332 | Pinnacle Foods, Inc. | 322,053 | ||||||
2,572 | Tyson Foods, Inc., Class A | 180,297 | ||||||
|
| |||||||
3,324,554 | ||||||||
|
| |||||||
Gas Utilities — 1.3% | ||||||||
5,409 | Atmos Energy Corp. | 469,988 | ||||||
5,237 | National Fuel Gas Co. | 268,920 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Gas Utilities — continued |
| |||||||
9,558 | UGI Corp. | 462,512 | ||||||
|
| |||||||
1,201,420 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.8% | ||||||||
1,314 | ABIOMED, Inc.* | 395,448 | ||||||
1,148 | Align Technology, Inc.* | 286,828 | ||||||
1,627 | Cooper Cos., Inc. (The) | 372,111 | ||||||
6,058 | DENTSPLY SIRONA, Inc. | 304,960 | ||||||
2,033 | Edwards Lifesciences Corp.* | 258,923 | ||||||
4,847 | Hill-Rom Holdings, Inc. | 416,018 | ||||||
6,317 | Hologic, Inc.* | 245,036 | ||||||
1,587 | IDEXX Laboratories, Inc.* | 308,656 | ||||||
4,175 | ResMed, Inc. | 395,122 | ||||||
3,050 | STERIS plc | 288,286 | ||||||
1,628 | Teleflex, Inc. | 436,109 | ||||||
2,892 | Varian Medical Systems, Inc.* | 334,286 | ||||||
2,097 | West Pharmaceutical Services, Inc. | 184,976 | ||||||
2,570 | Zimmer Biomet Holdings, Inc. | 295,987 | ||||||
|
| |||||||
4,522,746 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.0% | ||||||||
4,742 | Acadia Healthcare Co., Inc.* | 168,720 | ||||||
1,964 | AmerisourceBergen Corp. | 177,899 | ||||||
482 | Brookdale Senior Living, Inc.* | 3,490 | ||||||
2,893 | Cardinal Health, Inc. | 185,644 | ||||||
3,601 | Centene Corp.* | 390,997 | ||||||
4,348 | DaVita, Inc.* | 273,011 | ||||||
2,990 | Envision Healthcare Corp.* | 111,138 | ||||||
5,408 | Henry Schein, Inc.* | 411,008 | ||||||
2,773 | Laboratory Corp. of America Holdings* | 473,490 | ||||||
4,625 | LifePoint Health, Inc.* | 221,537 | ||||||
5,152 | MEDNAX, Inc.* | 236,528 | ||||||
5,671 | Patterson Cos., Inc. | 132,021 | ||||||
3,419 | Quest Diagnostics, Inc. | 346,003 | ||||||
2,226 | Universal Health Services, Inc., Class B | 254,209 | ||||||
1,999 | WellCare Health Plans, Inc.* | 410,115 | ||||||
|
| |||||||
3,795,810 | ||||||||
|
| |||||||
Health Care Technology — 0.4% | ||||||||
3,644 | Allscripts Healthcare Solutions, Inc.* | 42,343 | ||||||
3,068 | Cerner Corp.* | 178,711 | ||||||
2,310 | Veeva Systems, Inc., Class A* | 162,001 | ||||||
|
| |||||||
383,055 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||
4,646 | Aramark | 173,714 | ||||||
2,037 | Choice Hotels International, Inc. | 163,062 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 89 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Hotels, Restaurants & Leisure — continued |
| |||||||
2,555 | Darden Restaurants, Inc. | 237,257 | ||||||
3,553 | Dunkin’ Brands Group, Inc. | 216,591 | ||||||
6,858 | Extended Stay America, Inc. | 134,280 | ||||||
507 | Hilton Grand Vacations, Inc.* | 21,801 | ||||||
3,331 | Hilton Worldwide Holdings, Inc. | 262,616 | ||||||
1,269 | International Game Technology plc | 35,875 | ||||||
5,807 | MGM Resorts International | 182,456 | ||||||
2,673 | Norwegian Cruise Line Holdings Ltd.* | 142,925 | ||||||
1,344 | Royal Caribbean Cruises Ltd. | 145,407 | ||||||
3,016 | Six Flags Entertainment Corp. | 190,732 | ||||||
1,097 | Vail Resorts, Inc. | 251,553 | ||||||
13,076 | Wendy’s Co. (The) | 218,892 | ||||||
1,998 | Wyndham Worldwide Corp. | 228,192 | ||||||
873 | Wynn Resorts Ltd. | 162,544 | ||||||
4,012 | Yum China Holdings, Inc. (China) | 171,553 | ||||||
|
| |||||||
2,939,450 | ||||||||
|
| |||||||
Household Durables — 2.5% | ||||||||
5,536 | DR Horton, Inc. | 244,359 | ||||||
6,044 | Garmin Ltd. | 354,601 | ||||||
8,048 | Leggett & Platt, Inc. | 326,346 | ||||||
3,732 | Lennar Corp., Class A | 197,386 | ||||||
1,007 | Mohawk Industries, Inc.* | 211,349 | ||||||
96 | NVR, Inc.* | 297,600 | ||||||
11,121 | PulteGroup, Inc. | 337,634 | ||||||
3,372 | Toll Brothers, Inc. | 142,164 | ||||||
2,695 | Tupperware Brands Corp. | 120,089 | ||||||
1,062 | Whirlpool Corp. | 164,557 | ||||||
|
| |||||||
2,396,085 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
7,273 | Church & Dwight Co., Inc. | 336,012 | ||||||
3,074 | Clorox Co. (The) | 360,273 | ||||||
3,485 | Energizer Holdings, Inc. | 199,900 | ||||||
1,044 | Spectrum Brands Holdings, Inc. | 75,272 | ||||||
|
| |||||||
971,457 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% | ||||||||
5,386 | Vistra Energy Corp.* | 123,070 | ||||||
|
| |||||||
Industrial Conglomerates — 0.2% | ||||||||
637 | Roper Technologies, Inc. | 168,289 | ||||||
|
| |||||||
Insurance — 4.3% | ||||||||
242 | Alleghany Corp. | 139,070 | ||||||
2,224 | American Financial Group, Inc. | 251,801 | ||||||
2,673 | Arch Capital Group Ltd.* | 214,188 | ||||||
3,064 | Arthur J Gallagher & Co. | 214,449 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Insurance — continued |
| |||||||
2,666 | Aspen Insurance Holdings Ltd. (Bermuda) | 113,172 | ||||||
1,429 | Assurant, Inc. | 132,640 | ||||||
1,912 | Assured Guaranty Ltd. | 69,386 | ||||||
2,095 | Athene Holding Ltd., Class A* | 102,655 | ||||||
2,454 | Axis Capital Holdings Ltd. | 144,050 | ||||||
6,798 | Brown & Brown, Inc. | 185,110 | ||||||
1,907 | Cincinnati Financial Corp. | 134,138 | ||||||
123 | CNA Financial Corp. | 6,207 | ||||||
439 | Erie Indemnity Co., Class A | 51,262 | ||||||
470 | Everest Re Group Ltd. | 109,355 | ||||||
1,450 | First American Financial Corp. | 74,110 | ||||||
2,805 | FNF Group | 103,308 | ||||||
712 | Hanover Insurance Group, Inc. (The) | 81,773 | ||||||
2,423 | Hartford Financial Services Group, Inc. (The) | 130,454 | ||||||
866 | Lincoln National Corp. | 61,174 | ||||||
3,072 | Loews Corp. | 161,157 | ||||||
16 | Markel Corp.* | 18,081 | ||||||
1,157 | Mercury General Corp. | 52,910 | ||||||
4,260 | Old Republic International Corp. | 86,904 | ||||||
1,960 | Principal Financial Group, Inc. | 116,071 | ||||||
2,379 | Progressive Corp. (The) | 143,430 | ||||||
948 | Reinsurance Group of America, Inc. | 141,631 | ||||||
1,062 | RenaissanceRe Holdings Ltd. (Bermuda) | 144,474 | ||||||
2,466 | Torchmark Corp. | 213,901 | ||||||
1,890 | Unum Group | 91,438 | ||||||
1,322 | Validus Holdings Ltd. | 89,592 | ||||||
989 | Willis Towers Watson plc | 146,876 | ||||||
2,434 | WR Berkley Corp. | 181,479 | ||||||
2,744 | XL Group Ltd. (Bermuda) | 152,539 | ||||||
|
| |||||||
4,058,785 | ||||||||
|
| |||||||
Internet Software & Services — 1.1% | ||||||||
290 | Akamai Technologies, Inc.* | 20,779 | ||||||
1,301 | IAC/InterActiveCorp* | 210,944 | ||||||
1,551 | LogMeIn, Inc. | 170,920 | ||||||
3,888 | Match Group, Inc.* | 183,203 | ||||||
3,639 | VeriSign, Inc.* | 427,291 | ||||||
|
| |||||||
1,013,137 | ||||||||
|
| |||||||
IT Services — 3.4% | ||||||||
7,091 | Amdocs Ltd. | 476,870 | ||||||
1,936 | Booz Allen Hamilton Holding Corp. | 76,724 | ||||||
2,922 | Broadridge Financial Solutions, Inc. | 313,268 | ||||||
1,738 | Conduent, Inc.* | 33,821 | ||||||
858 | CoreLogic, Inc.* | 42,471 | ||||||
2,003 | DXC Technology Co. | 206,429 |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
IT Services — continued | ||||||||
725 | Euronet Worldwide, Inc.* | 56,630 | ||||||
1,722 | Fidelity National Information Services, Inc. | 163,538 | ||||||
6,075 | First Data Corp., Class A* | 109,958 | ||||||
2,419 | Fiserv, Inc.* | 171,410 | ||||||
1,832 | Gartner, Inc.* | 222,203 | ||||||
1,229 | Global Payments, Inc. | 138,938 | ||||||
1,725 | Jack Henry & Associates, Inc. | 206,103 | ||||||
4,847 | Leidos Holdings, Inc. | 311,323 | ||||||
2,037 | Paychex, Inc. | 123,381 | ||||||
8,442 | Sabre Corp. | 174,243 | ||||||
809 | Teradata Corp.* | 33,104 | ||||||
1,734 | Total System Services, Inc. | 145,760 | ||||||
3,038 | Western Union Co. (The) | 60,001 | ||||||
1,817 | Worldpay, Inc.* | 147,577 | ||||||
|
| |||||||
3,213,752 | ||||||||
|
| |||||||
Leisure Products — 0.5% | ||||||||
3,037 | Brunswick Corp. | 181,856 | ||||||
2,151 | Hasbro, Inc. | 189,482 | ||||||
1,414 | Polaris Industries, Inc. | 148,215 | ||||||
|
| |||||||
519,553 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.4% | ||||||||
2,295 | Agilent Technologies, Inc. | 150,873 | ||||||
582 | Bio-Rad Laboratories, Inc., Class A* | 147,659 | ||||||
1,563 | Bio-Techne Corp. | 235,872 | ||||||
3,371 | Charles River Laboratories International, Inc.* | 351,225 | ||||||
949 | Illumina, Inc.* | 228,643 | ||||||
4,094 | IQVIA Holdings, Inc.* | 392,041 | ||||||
235 | Mettler-Toledo International, Inc.* | 131,584 | ||||||
1,317 | PerkinElmer, Inc. | 96,615 | ||||||
5,801 | QIAGEN NV* | 189,751 | ||||||
1,942 | Waters Corp.* | 365,892 | ||||||
|
| |||||||
2,290,155 | ||||||||
|
| |||||||
Machinery — 4.2% | ||||||||
2,265 | AGCO Corp. | 141,970 | ||||||
3,010 | Allison Transmission Holdings, Inc. | 117,360 | ||||||
1,067 | Crane Co. | 89,244 | ||||||
813 | Cummins, Inc. | 129,966 | ||||||
1,715 | Donaldson Co., Inc. | 75,906 | ||||||
1,572 | Dover Corp. | 145,724 | ||||||
2,377 | Fortive Corp. | 167,127 | ||||||
5,289 | Graco, Inc. | 232,663 | ||||||
1,657 | IDEX Corp. | 221,475 | ||||||
1,717 | Ingersoll-Rand plc | 144,039 | ||||||
1,138 | ITT, Inc. | 55,637 | ||||||
1,670 | Lincoln Electric Holdings, Inc. | 138,393 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Machinery — continued |
| |||||||
960 | Middleby Corp. (The)* | 120,806 | ||||||
749 | Nordson Corp. | 96,321 | ||||||
1,403 | Oshkosh Corp. | 101,241 | ||||||
1,674 | PACCAR, Inc. | 106,584 | ||||||
773 | Parker-Hannifin Corp. | 127,251 | ||||||
1,686 | Pentair plc (United Kingdom) | 113,434 | ||||||
2,067 | Snap-on, Inc. | 300,232 | ||||||
3,942 | SPX Corp.* | 124,725 | ||||||
2,577 | Stanley Black & Decker, Inc. | 364,877 | ||||||
863 | Terex Corp. | 31,517 | ||||||
1,757 | Timken Co. (The) | 75,112 | ||||||
5,537 | Toro Co. (The) | 323,305 | ||||||
1,383 | Trinity Industries, Inc. | 44,076 | ||||||
1,536 | WABCO Holdings, Inc.* | 198,129 | ||||||
2,213 | Xylem, Inc. | 161,328 | ||||||
|
| |||||||
3,948,442 | ||||||||
|
| |||||||
Marine — 0.0%(a) | ||||||||
507 | Kirby Corp.* | 43,247 | ||||||
|
| |||||||
Media — 2.2% | ||||||||
5,766 | Cinemark Holdings, Inc. | 225,854 | ||||||
7,763 | Discovery, Inc., Class A* | 183,595 | ||||||
6,220 | Discovery, Inc., Class C* | 138,208 | ||||||
1,072 | GCI Liberty, Inc., Class A* | 47,811 | ||||||
7,486 | Interpublic Group of Cos., Inc. (The) | 176,595 | ||||||
1,026 | Liberty Broadband Corp., Class C* | 72,733 | ||||||
1,892 | Liberty Media Corp.-Liberty Formula One, Class C* | 55,852 | ||||||
1,867 | Liberty Media Corp.-Liberty SiriusXM, Class A* | 77,985 | ||||||
7,268 | MSG Networks, Inc., Class A* | 148,994 | ||||||
3,041 | Omnicom Group, Inc. | 224,000 | ||||||
43,414 | Sirius XM Holdings, Inc. | 274,811 | ||||||
12,351 | TEGNA, Inc. | 130,550 | ||||||
4,857 | Tribune Media Co., Class A | 183,546 | ||||||
4,984 | Viacom, Inc., Class B | 150,317 | ||||||
|
| |||||||
2,090,851 | ||||||||
|
| |||||||
Metals & Mining — 1.2% | ||||||||
2,955 | Alcoa Corp. | 151,296 | ||||||
267 | Compass Minerals International, Inc. | 17,969 | ||||||
5,616 | Freeport-McMoRan, Inc. | 85,419 | ||||||
3,519 | Newmont Mining Corp. | 138,262 | ||||||
2,179 | Nucor Corp. | 134,270 | ||||||
1,581 | Reliance Steel & Aluminum Co. | 139,002 | ||||||
1,158 | Royal Gold, Inc. | 102,830 | ||||||
3,153 | Southern Copper Corp. (Peru) | 166,510 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 91 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Metals & Mining — continued | ||||||||
3,644 | Steel Dynamics, Inc. | 163,288 | ||||||
1,786 | United States Steel Corp. | 60,420 | ||||||
|
| |||||||
1,159,266 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.7% | ||||||||
6,718 | AGNC Investment Corp. | 127,105 | ||||||
10,850 | Annaly Capital Management, Inc. | 112,514 | ||||||
3,829 | Chimera Investment Corp. | 66,969 | ||||||
12,896 | MFA Financial, Inc. | 96,978 | ||||||
5,543 | Starwood Property Trust, Inc. | 116,181 | ||||||
6,745 | Two Harbors Investment Corp. | 102,929 | ||||||
|
| |||||||
622,676 | ||||||||
|
| |||||||
Multiline Retail — 0.9% | ||||||||
3,030 | Dollar General Corp. | 292,486 | ||||||
2,111 | Dollar Tree, Inc.* | 202,424 | ||||||
2,248 | Kohl’s Corp. | 139,646 | ||||||
2,575 | Macy’s, Inc. | 80,005 | ||||||
2,200 | Nordstrom, Inc. | 111,232 | ||||||
|
| |||||||
825,793 | ||||||||
|
| |||||||
Multi-Utilities — 5.3% | ||||||||
7,951 | Ameren Corp. | 466,088 | ||||||
19,520 | CenterPoint Energy, Inc. | 494,441 | ||||||
10,168 | CMS Energy Corp. | 479,828 | ||||||
5,829 | Consolidated Edison, Inc. | 467,078 | ||||||
4,272 | DTE Energy Co. | 450,269 | ||||||
3,457 | MDU Resources Group, Inc. | 97,384 | ||||||
18,177 | NiSource, Inc. | 443,337 | ||||||
9,953 | Public Service Enterprise Group, Inc. | 519,049 | ||||||
4,033 | SCANA Corp. | 148,293 | ||||||
4,687 | Sempra Energy | 524,006 | ||||||
5,571 | Vectren Corp. | 391,474 | ||||||
8,525 | WEC Energy Group, Inc. | 547,987 | ||||||
|
| |||||||
5,029,234 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
1,270 | Andeavor | 175,667 | ||||||
3,770 | Apache Corp. | 154,382 | ||||||
3,454 | Cheniere Energy, Inc.* | 200,885 | ||||||
7,036 | CNX Resources Corp.* | 104,555 | ||||||
887 | CONSOL Energy, Inc.* | 27,896 | ||||||
4,492 | Devon Energy Corp. | 163,194 | ||||||
1,398 | Diamondback Energy, Inc.* | 179,573 | ||||||
615 | Energen Corp.* | 40,246 | ||||||
1,968 | Hess Corp. | 112,156 | ||||||
2,633 | HollyFrontier Corp. | 159,797 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
7,299 | Laredo Petroleum, Inc.* | 80,289 | ||||||
5,451 | Marathon Oil Corp. | 99,481 | ||||||
2,681 | Marathon Petroleum Corp. | 200,834 | ||||||
2,873 | Murphy Oil Corp. | 86,506 | ||||||
4,933 | Newfield Exploration Co.* | 147,003 | ||||||
4,514 | ONEOK, Inc. | 271,833 | ||||||
3,446 | PBF Energy, Inc., Class A | 132,085 | ||||||
40 | SM Energy Co. | 958 | ||||||
26,703 | Southwestern Energy Co.* | 109,482 | ||||||
3,596 | Targa Resources Corp. | 168,904 | ||||||
8,652 | Williams Cos., Inc. (The) | 222,616 | ||||||
1,139 | World Fuel Services Corp. | 24,454 | ||||||
|
| |||||||
2,862,796 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% | ||||||||
2,796 | Domtar Corp. | 122,744 | ||||||
|
| |||||||
Personal Products — 0.5% | ||||||||
937 | Coty, Inc., Class A | 16,257 | ||||||
26 | Edgewell Personal Care Co.* | 1,145 | ||||||
2,018 | Herbalife Nutrition Ltd.* | 213,363 | ||||||
2,931 | Nu Skin Enterprises, Inc., Class A | 208,541 | ||||||
|
| |||||||
439,306 | ||||||||
|
| |||||||
Pharmaceuticals — 0.9% | ||||||||
3,906 | Akorn, Inc.* | 56,363 | ||||||
8,162 | Mallinckrodt plc* | 106,106 | ||||||
2,327 | Perrigo Co. plc | 181,832 | ||||||
6,618 | Zoetis, Inc. | 552,471 | ||||||
|
| |||||||
896,772 | ||||||||
|
| |||||||
Professional Services — 0.5% | ||||||||
268 | Dun & Bradstreet Corp. (The) | 30,903 | ||||||
501 | Equifax, Inc. | 56,137 | ||||||
1,011 | ManpowerGroup, Inc. | 96,773 | ||||||
2,302 | Robert Half International, Inc. | 139,846 | ||||||
2,258 | TransUnion* | 146,567 | ||||||
|
| |||||||
470,226 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
1,949 | CBRE Group, Inc., Class A* | 88,309 | ||||||
450 | Jones Lang LaSalle, Inc. | 76,279 | ||||||
2,413 | Realogy Holdings Corp. | 59,867 | ||||||
|
| |||||||
224,455 | ||||||||
|
| |||||||
Road & Rail — 0.7% | ||||||||
1,506 | JB Hunt Transport Services, Inc. | 176,849 | ||||||
1,020 | Kansas City Southern | 108,763 |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Road & Rail — continued | ||||||||
2,080 | Landstar System, Inc. | 211,432 | ||||||
891 | Old Dominion Freight Line, Inc. | 119,269 | ||||||
914 | Ryder System, Inc. | 61,631 | ||||||
|
| |||||||
677,944 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
2,923 | Analog Devices, Inc. | 255,324 | ||||||
12,460 | Cypress Semiconductor Corp. | 181,667 | ||||||
1,625 | First Solar, Inc.* | 115,229 | ||||||
2,086 | KLA-Tencor Corp. | 212,230 | ||||||
897 | Lam Research Corp. | 165,999 | ||||||
6,738 | Marvell Technology Group Ltd. (Bermuda) | 135,164 | ||||||
4,295 | Maxim Integrated Products, Inc. | 234,077 | ||||||
2,844 | Microchip Technology, Inc. | 237,929 | ||||||
3,189 | Microsemi Corp.* | 206,296 | ||||||
7,406 | ON Semiconductor Corp.* | 163,524 | ||||||
2,550 | Qorvo, Inc.* | 171,870 | ||||||
1,758 | Skyworks Solutions, Inc. | 152,524 | ||||||
4,560 | Teradyne, Inc. | 148,428 | ||||||
1,572 | Versum Materials, Inc. | 55,303 | ||||||
3,065 | Xilinx, Inc. | 196,896 | ||||||
|
| |||||||
2,632,460 | ||||||||
|
| |||||||
Software — 3.9% | ||||||||
1,717 | ANSYS, Inc.* | 277,570 | ||||||
6,484 | CA, Inc. | 225,643 | ||||||
5,933 | Cadence Design Systems, Inc.* | 237,676 | ||||||
4,477 | CDK Global, Inc. | 292,079 | ||||||
3,303 | Citrix Systems, Inc.* | 339,912 | ||||||
2,373 | Dell Technologies, Inc., Class V* | 170,310 | ||||||
2,766 | Manhattan Associates, Inc.* | 119,104 | ||||||
2,530 | Nuance Communications, Inc.* | 37,242 | ||||||
3,556 | PTC, Inc.* | 292,837 | ||||||
1,909 | Red Hat, Inc.* | 311,281 | ||||||
6,341 | SS&C Technologies Holdings, Inc. | 314,831 | ||||||
5,986 | Symantec Corp. | 166,351 | ||||||
4,412 | Synopsys, Inc.* | 377,270 | ||||||
1,705 | Take-Two Interactive Software, Inc.* | 170,006 | ||||||
1,661 | Tyler Technologies, Inc.* | 363,626 | ||||||
148 | Ultimate Software Group, Inc. (The)* | 35,508 | ||||||
|
| |||||||
3,731,246 | ||||||||
|
| |||||||
Specialty Retail — 2.1% | ||||||||
2,460 | AutoNation, Inc.* | 113,627 | ||||||
7 | AutoZone, Inc.* | 4,372 | ||||||
3,773 | Bed Bath & Beyond, Inc. | 65,877 | ||||||
2,035 | Best Buy Co., Inc. | 155,738 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
164 | Burlington Stores, Inc.* | 22,279 | ||||||
1,884 | CarMax, Inc.* | 117,750 | ||||||
4,275 | Dick’s Sporting Goods, Inc. | 141,460 | ||||||
2,257 | Foot Locker, Inc. | 97,232 | ||||||
5,508 | GameStop Corp., Class A | 75,184 | ||||||
4,421 | Gap, Inc. (The) | 129,270 | ||||||
1,868 | Murphy USA, Inc.* | 116,881 | ||||||
2,262 | Penske Automotive Group, Inc. | 102,016 | ||||||
2,623 | Ross Stores, Inc. | 212,070 | ||||||
1,044 | Sally Beauty Holdings, Inc.* | 18,051 | ||||||
1,498 | Signet Jewelers Ltd. | 58,242 | ||||||
2,119 | Tiffany & Co. | 217,897 | ||||||
2,247 | Tractor Supply Co. | 152,796 | ||||||
2,988 | Williams-Sonoma, Inc. | 142,826 | ||||||
|
| |||||||
1,943,568 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
4,415 | NCR Corp.* | 135,850 | ||||||
2,687 | NetApp, Inc. | 178,900 | ||||||
1,479 | Western Digital Corp. | 116,530 | ||||||
2,166 | Xerox Corp. | 68,121 | ||||||
|
| |||||||
499,401 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
1,948 | Carter’s, Inc. | 195,423 | ||||||
5,587 | Hanesbrands, Inc. | 103,192 | ||||||
2,494 | Michael Kors Holdings Ltd.* | 170,640 | ||||||
1,528 | PVH Corp. | 243,976 | ||||||
4,316 | Tapestry, Inc. | 232,071 | ||||||
1,537 | Under Armour, Inc., Class C* | 23,593 | ||||||
3,645 | VF Corp. | 294,771 | ||||||
|
| |||||||
1,263,666 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% | ||||||||
1,834 | Air Lease Corp. | 76,459 | ||||||
1,453 | Fastenal Co. | 72,636 | ||||||
1,014 | MSC Industrial Direct Co., Inc., Class A | 87,650 | ||||||
430 | United Rentals, Inc.* | 64,500 | ||||||
914 | Watsco, Inc. | 153,022 | ||||||
1,026 | WESCO International, Inc.* | 61,098 | ||||||
355 | WW Grainger, Inc. | 99,879 | ||||||
|
| |||||||
615,244 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.1% | ||||||||
1,642 | Macquarie Infrastructure Corp. | 62,232 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 93 |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Water Utilities — 0.8% | ||||||||
5,641 | American Water Works Co., Inc. | 488,398 | ||||||
8,440 | Aqua America, Inc. | 296,666 | ||||||
|
| |||||||
785,064 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
4,173 | Telephone & Data Systems, Inc. | 114,048 | ||||||
1,102 | United States Cellular Corp.* | 43,606 | ||||||
|
| |||||||
157,654 | ||||||||
|
| |||||||
Total Common Stocks | 94,333,435 | |||||||
|
| |||||||
Short-Term Investments — 0.4% | ||||||||
Investment Companies — 0.4% | ||||||||
403,004 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 403,004 | ||||||
|
| |||||||
Total Investments — 100.0% | 94,736,439 | |||||||
Liabilities in excess of | (1,962 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 94,734,477 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Represents less than 0.05% of net assets. | |
(b) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(c) | — The rate shown was the current yield as of April 30, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.6% | ||||||||
Aerospace & Defense — 1.0% | ||||||||
1,263 | AAR Corp. | 54,688 | ||||||
1,725 | Aerojet Rocketdyne Holdings, Inc.* | 48,197 | ||||||
871 | Aerovironment, Inc.* | 47,469 | ||||||
840 | Cubic Corp. | 51,870 | ||||||
857 | Curtiss-Wright Corp. | 109,730 | ||||||
537 | Esterline Technologies Corp.* | 38,583 | ||||||
1,106 | KLX, Inc.* | 86,522 | ||||||
1,869 | Mercury Systems, Inc.* | 59,958 | ||||||
1,556 | Moog, Inc., Class A* | 127,545 | ||||||
654 | National Presto Industries, Inc. | 62,621 | ||||||
|
| |||||||
687,183 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% | ||||||||
775 | Atlas Air Worldwide Holdings, Inc.* | 49,135 | ||||||
1,142 | Forward Air Corp. | 61,656 | ||||||
1,284 | Hub Group, Inc., Class A* | 56,432 | ||||||
|
| |||||||
167,223 | ||||||||
|
| |||||||
Airlines — 0.3% | ||||||||
383 | Allegiant Travel Co. | 61,376 | ||||||
1,384 | Hawaiian Holdings, Inc. | 57,021 | ||||||
1,998 | SkyWest, Inc. | 113,686 | ||||||
|
| |||||||
232,083 | ||||||||
|
| |||||||
Auto Components — 2.3% | ||||||||
7,001 | American Axle & Manufacturing Holdings, Inc.* | 107,396 | ||||||
3,925 | Cooper Tire & Rubber Co. | 95,966 | ||||||
1,806 | Cooper-Standard Holdings, Inc.* | 223,583 | ||||||
6,374 | Dana, Inc. | 151,255 | ||||||
3,557 | Dorman Products, Inc.* | 228,573 | ||||||
3,208 | Fox Factory Holding Corp.* | 106,666 | ||||||
3,930 | Gentherm, Inc.* | 132,834 | ||||||
3,467 | LCI Industries | 330,405 | ||||||
1,669 | Modine Manufacturing Co.* | 28,707 | ||||||
1,446 | Stoneridge, Inc.* | 38,073 | ||||||
4,468 | Superior Industries International, Inc. | 58,754 | ||||||
2,212 | Tenneco, Inc. | 98,854 | ||||||
|
| |||||||
1,601,066 | ||||||||
|
| |||||||
Automobiles — 0.3% | ||||||||
6,125 | Winnebago Industries, Inc. | 232,138 | ||||||
|
| |||||||
Banks — 3.3% | ||||||||
337 | 1st Source Corp. | 17,524 | ||||||
939 | Ameris Bancorp | 48,546 | ||||||
1,652 | AmeriServ Financial, Inc. | 6,773 | ||||||
718 | BancFirst Corp. | 41,034 | ||||||
1,138 | BancorpSouth Bank | 37,611 | ||||||
SHARES | INVESTMENTS | VALUE($) | ||||||
Banks — continued | ||||||||
1,158 | Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 54,947 | ||||||
794 | Banner Corp. | 45,576 | ||||||
2,288 | Brookline Bancorp, Inc. | 37,981 | ||||||
250 | Capital City Bank Group, Inc. | 5,595 | ||||||
956 | Cathay General Bancorp | 38,250 | ||||||
207 | Chemical Financial Corp. | 11,362 | ||||||
1,191 | Community Bank System, Inc. | 66,994 | ||||||
812 | Community Trust Bancorp, Inc. | 38,976 | ||||||
988 | CVB Financial Corp. | 21,884 | ||||||
1,278 | Farmers Capital Bank Corp. | 64,092 | ||||||
950 | FCB Financial Holdings, Inc., Class A* | 54,910 | ||||||
90 | First Busey Corp. | 2,668 | ||||||
837 | First Financial Bancorp | 25,905 | ||||||
750 | First Financial Bankshares, Inc. | 37,162 | ||||||
223 | First Financial Corp. | 9,533 | ||||||
272 | First Merchants Corp. | 11,718 | ||||||
971 | First Midwest Bancorp, Inc. | 23,605 | ||||||
2,460 | Fulton Financial Corp. | 41,574 | ||||||
943 | Glacier Bancorp, Inc. | 34,919 | ||||||
1,363 | Great Western Bancorp, Inc. | 56,074 | ||||||
898 | Hancock Holding Co. | 43,867 | ||||||
2,009 | Home BancShares, Inc. | 46,689 | ||||||
572 | IBERIABANK Corp. | 42,871 | ||||||
1,060 | Independent Bank Corp. | 76,638 | ||||||
6,062 | Investors Bancorp, Inc. | 81,049 | ||||||
1,361 | MB Financial, Inc. | 58,006 | ||||||
399 | NBT Bancorp, Inc. | 14,579 | ||||||
833 | OFG Bancorp (Puerto Rico) | 11,246 | ||||||
2,879 | Old National Bancorp | 49,519 | ||||||
439 | Renasant Corp. | 19,856 | ||||||
627 | Republic Bancorp, Inc., Class A | 26,441 | ||||||
702 | S&T Bancorp, Inc. | 29,961 | ||||||
262 | Sandy Spring Bancorp, Inc. | 10,383 | ||||||
2,966 | Sterling Bancorp | 70,443 | ||||||
1,650 | Trustmark Corp. | 51,662 | ||||||
664 | UMB Financial Corp. | 50,849 | ||||||
2,561 | Umpqua Holdings Corp. | 60,337 | ||||||
2,090 | United Community Banks, Inc. | 66,734 | ||||||
5,919 | Valley National Bancorp | 74,283 | ||||||
8,480 | Webster Financial Corp. | 510,411 | ||||||
562 | WesBanco, Inc. | 24,616 | ||||||
642 | Westamerica Bancorp | 35,830 | ||||||
617 | Wintrust Financial Corp. | 55,191 | ||||||
|
| |||||||
2,346,674 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 95 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Beverages — 1.6% | ||||||||
2,711 | Boston Beer Co., Inc. (The), Class A* | 607,671 | ||||||
978 | Coca-Cola Bottling Co. Consolidated | 164,685 | ||||||
1,853 | MGP Ingredients, Inc. | 177,499 | ||||||
1,685 | National Beverage Corp. | 148,887 | ||||||
|
| |||||||
1,098,742 | ||||||||
|
| |||||||
Biotechnology — 2.4% | ||||||||
1,296 | Acceleron Pharma, Inc.* | 45,243 | ||||||
4,775 | Achillion Pharmaceuticals, Inc.* | 18,002 | ||||||
1,952 | Acorda Therapeutics, Inc.* | 45,091 | ||||||
1,489 | Aimmune Therapeutics, Inc.* | 46,219 | ||||||
657 | AMAG Pharmaceuticals, Inc.* | 13,501 | ||||||
3,290 | Amicus Therapeutics, Inc.* | 46,554 | ||||||
429 | Arena Pharmaceuticals, Inc.* | 17,091 | ||||||
4,312 | Array BioPharma, Inc.* | 58,471 | ||||||
444 | Avexis, Inc.* | 94,421 | ||||||
285 | Bluebird Bio, Inc.* | 48,493 | ||||||
706 | Blueprint Medicines Corp.* | 54,164 | ||||||
999 | Chimerix, Inc.* | 4,575 | ||||||
924 | Dynavax Technologies Corp.* | 15,662 | ||||||
781 | Eagle Pharmaceuticals, Inc.* | 40,620 | ||||||
1,637 | Emergent BioSolutions, Inc.* | 84,895 | ||||||
1,230 | Enanta Pharmaceuticals, Inc.* | 114,452 | ||||||
839 | Exact Sciences Corp.* | 41,958 | ||||||
833 | Five Prime Therapeutics, Inc.* | 13,953 | ||||||
898 | Foundation Medicine, Inc.* | 68,562 | ||||||
934 | Genomic Health, Inc.* | 29,636 | ||||||
2,281 | Halozyme Therapeutics, Inc.* | 43,179 | ||||||
1,363 | ImmunoGen, Inc.* | 14,979 | ||||||
4,713 | Inovio Pharmaceuticals, Inc.* | 20,690 | ||||||
1,433 | Insys Therapeutics, Inc.* | 10,045 | ||||||
2,841 | Keryx Biopharmaceuticals, Inc.* | 12,586 | ||||||
2,958 | Lexicon Pharmaceuticals, Inc.* | 24,404 | ||||||
421 | Ligand Pharmaceuticals, Inc.* | 65,192 | ||||||
372 | Merrimack Pharmaceuticals, Inc. | 3,155 | ||||||
4,324 | MiMedx Group, Inc.* | 35,500 | ||||||
2,005 | Momenta Pharmaceuticals, Inc.* | 41,704 | ||||||
1,951 | Myriad Genetics, Inc.* | 55,194 | ||||||
1,093 | NewLink Genetics Corp.* | 4,984 | ||||||
3,259 | Novavax, Inc.* | 5,084 | ||||||
10,277 | PDL BioPharma, Inc.* | 30,009 | ||||||
2,213 | Repligen Corp.* | 81,881 | ||||||
2,433 | Retrophin, Inc.* | 61,068 | ||||||
163 | Sage Therapeutics, Inc.* | 23,459 | ||||||
1,183 | Sangamo Therapeutics, Inc.* | 18,691 | ||||||
901 | Sarepta Therapeutics, Inc.* | 68,800 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Biotechnology — continued | ||||||||
897 | Spark Therapeutics, Inc.* | 68,459 | ||||||
2,207 | Spectrum Pharmaceuticals, Inc.* | 35,135 | ||||||
3,124 | Vanda Pharmaceuticals, Inc.* | 43,580 | ||||||
|
| |||||||
1,669,341 | ||||||||
|
| |||||||
Building Products — 1.1% | ||||||||
1,661 | Advanced Drainage Systems, Inc. | 41,857 | ||||||
1,303 | American Woodmark Corp.* | 107,107 | ||||||
1,797 | Apogee Enterprises, Inc. | 73,875 | ||||||
2,564 | Builders FirstSource, Inc.* | 46,742 | ||||||
968 | Gibraltar Industries, Inc.* | 34,025 | ||||||
2,309 | Griffon Corp. | 45,949 | ||||||
1,619 | JELD-WEN Holding, Inc.* | 45,510 | ||||||
807 | Masonite International Corp.* | 48,985 | ||||||
282 | NCI Building Systems, Inc.* | 4,935 | ||||||
1,013 | Patrick Industries, Inc.* | 57,640 | ||||||
1,980 | Quanex Building Products Corp. | 33,957 | ||||||
1,430 | Simpson Manufacturing Co., Inc. | 78,192 | ||||||
680 | Trex Co., Inc.* | 70,638 | ||||||
3,338 | Universal Forest Products, Inc. | 106,415 | ||||||
|
| |||||||
795,827 | ||||||||
|
| |||||||
Capital Markets — 0.1% | ||||||||
411 | Evercore, Inc., Class A | 41,614 | ||||||
283 | Financial Engines, Inc. | 12,636 | ||||||
|
| |||||||
54,250 | ||||||||
|
| |||||||
Chemicals — 3.8% | ||||||||
4,544 | A Schulman, Inc. | 194,938 | ||||||
1,633 | AdvanSix, Inc.* | 58,494 | ||||||
1,292 | American Vanguard Corp. | 27,843 | ||||||
1,882 | Balchem Corp. | 166,068 | ||||||
6,294 | Ferro Corp.* | 138,531 | ||||||
129 | Flotek Industries, Inc.* | 460 | ||||||
2,389 | GCP Applied Technologies, Inc.* | 68,445 | ||||||
4,022 | HB Fuller Co. | 198,968 | ||||||
1,728 | Ingevity Corp.* | 132,762 | ||||||
1,200 | Innophos Holdings, Inc. | 49,656 | ||||||
1,962 | Innospec, Inc. | 142,637 | ||||||
991 | Koppers Holdings, Inc.* | 43,406 | ||||||
2,962 | Kraton Corp.* | 135,274 | ||||||
2,044 | Kronos Worldwide, Inc. | 47,094 | ||||||
1,268 | LSB Industries, Inc.* | 7,012 | ||||||
5,600 | Minerals Technologies, Inc. | 386,680 | ||||||
2,895 | PolyOne Corp. | 121,156 | ||||||
3,604 | Rayonier Advanced Materials, Inc. | 77,126 | ||||||
5,311 | Sensient Technologies Corp. | 353,978 |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Chemicals — continued | ||||||||
1,429 | Stepan Co. | 100,487 | ||||||
1,420 | Tredegar Corp. | 24,992 | ||||||
1,777 | Trinseo SA | 129,632 | ||||||
2,866 | Tronox Ltd., Class A | 49,238 | ||||||
|
| |||||||
2,654,877 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.7% | ||||||||
1,931 | ABM Industries, Inc. | 60,112 | ||||||
13,803 | ACCO Brands Corp. | 166,326 | ||||||
1,018 | Brady Corp., Class A | 37,055 | ||||||
899 | Brink’s Co. (The) | 66,346 | ||||||
613 | CompX International, Inc. | 8,429 | ||||||
919 | Deluxe Corp. | 62,988 | ||||||
1,089 | Essendant, Inc. | 8,102 | ||||||
5,992 | Healthcare Services Group, Inc. | 231,471 | ||||||
6,218 | Herman Miller, Inc. | 190,893 | ||||||
4,569 | HNI Corp. | 152,559 | ||||||
14,491 | Interface, Inc. | 318,802 | ||||||
2,052 | Kimball International, Inc., Class B | 33,899 | ||||||
6,380 | Knoll, Inc. | 121,667 | ||||||
1,696 | Matthews International Corp., Class A | 83,358 | ||||||
1,111 | McGrath RentCorp | 65,471 | ||||||
283 | Mobile Mini, Inc. | 11,886 | ||||||
954 | MSA Safety, Inc. | 82,845 | ||||||
699 | Multi-Color Corp. | 45,400 | ||||||
8,755 | Rollins, Inc. | 424,793 | ||||||
9,055 | Steelcase, Inc., Class A | 119,979 | ||||||
817 | Team, Inc.* | 13,848 | ||||||
1,907 | Tetra Tech, Inc. | 92,299 | ||||||
890 | UniFirst Corp. | 142,934 | ||||||
838 | Viad Corp. | 42,529 | ||||||
1,495 | Virco Manufacturing Corp. | 6,279 | ||||||
|
| |||||||
2,590,270 | ||||||||
|
| |||||||
Communications Equipment — 1.5% | ||||||||
1,241 | Acacia Communications, Inc.* | 34,934 | ||||||
4,743 | ADTRAN, Inc. | 69,485 | ||||||
879 | Applied Optoelectronics, Inc.* | 28,093 | ||||||
1,760 | �� | CalAmp Corp.* | 34,760 | |||||
2,322 | Ciena Corp.* | 59,792 | ||||||
2,170 | Comtech Telecommunications Corp. | 66,380 | ||||||
5,074 | Extreme Networks, Inc.* | 54,292 | ||||||
1,966 | Finisar Corp.* | 30,630 | ||||||
3,609 | Harmonic, Inc.* | 13,173 | ||||||
2,360 | Infinera Corp.* | 27,659 | ||||||
9,177 | Inseego Corp.* | 19,639 | ||||||
1,073 | InterDigital, Inc. | 79,885 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Communications Equipment — continued | ||||||||
759 | Lumentum Holdings, Inc.* | 38,292 | ||||||
1,069 | NETGEAR, Inc.* | 59,116 | ||||||
1,562 | NetScout Systems, Inc.* | 42,408 | ||||||
5,360 | Oclaro, Inc.* | 42,451 | ||||||
1,392 | Plantronics, Inc. | 90,689 | ||||||
1,031 | Ribbon Communications, Inc.* | 6,000 | ||||||
1,093 | Ubiquiti Networks, Inc.* | 77,887 | ||||||
1,380 | ViaSat, Inc.* | 88,292 | ||||||
11,667 | Viavi Solutions, Inc.* | 110,253 | ||||||
|
| |||||||
1,074,110 | ||||||||
|
| |||||||
Construction & Engineering — 0.6% | ||||||||
1,493 | Aegion Corp.* | 33,876 | ||||||
722 | Argan, Inc. | 28,880 | ||||||
2,144 | Comfort Systems USA, Inc. | 90,477 | ||||||
655 | Dycom Industries, Inc.* | 68,028 | ||||||
1,074 | EMCOR Group, Inc. | 79,036 | ||||||
526 | Granite Construction, Inc. | 27,552 | ||||||
1,402 | MasTec, Inc.* | 61,688 | ||||||
1,433 | Tutor Perini Corp.* | 29,591 | ||||||
|
| |||||||
419,128 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
1,958 | Summit Materials, Inc., Class A* | 55,098 | ||||||
729 | US Concrete, Inc.* | 42,610 | ||||||
|
| |||||||
97,708 | ||||||||
|
| |||||||
Consumer Finance — 0.2% | ||||||||
1,048 | Encore Capital Group, Inc.* | 46,741 | ||||||
851 | EZCORP, Inc., Class A* | 11,659 | ||||||
723 | FirstCash, Inc. | 62,684 | ||||||
699 | PRA Group, Inc.* | 24,884 | ||||||
307 | World Acceptance Corp.* | 31,468 | ||||||
|
| |||||||
177,436 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% | ||||||||
1,342 | Greif, Inc., Class A | 78,534 | ||||||
1,331 | Myers Industries, Inc. | 31,012 | ||||||
|
| |||||||
109,546 | ||||||||
|
| |||||||
Distributors — 0.7% | ||||||||
1,326 | Core-Mark Holding Co., Inc. | 27,329 | ||||||
3,189 | Pool Corp. | 442,665 | ||||||
|
| |||||||
469,994 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.0% | ||||||||
2,222 | Adtalem Global Education, Inc.* | 105,767 | ||||||
1,814 | American Public Education, Inc.* | 73,104 | ||||||
2,059 | Bridgepoint Education, Inc.* | 12,025 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 97 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Diversified Consumer Services — continued | ||||||||
1,157 | Carriage Services, Inc. | 30,117 | ||||||
3,576 | Chegg, Inc.* | 82,999 | ||||||
1,332 | Grand Canyon Education, Inc.* | 138,515 | ||||||
473 | Houghton Mifflin Harcourt Co.* | 3,216 | ||||||
252 | K12, Inc.* | 3,856 | ||||||
2,899 | Regis Corp.* | 45,282 | ||||||
1,224 | Sotheby’s* | 64,627 | ||||||
490 | Strayer Education, Inc. | 51,484 | ||||||
2,610 | Universal Technical Institute, Inc.* | 8,169 | ||||||
977 | Weight Watchers International, Inc.* | 68,439 | ||||||
|
| |||||||
687,600 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
5,660 | Alaska Communications Systems Group, Inc.* | 8,320 | ||||||
2,426 | Cogent Communications Holdings, Inc. | 114,386 | ||||||
4,215 | IDT Corp., Class B | 22,845 | ||||||
28,980 | Iridium Communications, Inc.* | 344,862 | ||||||
44,577 | Vonage Holdings Corp.* | 498,371 | ||||||
40,276 | Windstream Holdings, Inc. | 62,428 | ||||||
|
| |||||||
1,051,212 | ||||||||
|
| |||||||
Electric Utilities — 3.5% | ||||||||
5,784 | ALLETE, Inc. | 441,955 | ||||||
7,374 | El Paso Electric Co. | 376,443 | ||||||
4,658 | IDACORP, Inc. | 433,194 | ||||||
2,659 | MGE Energy, Inc. | 154,355 | ||||||
4,180 | Otter Tail Corp. | 183,293 | ||||||
9,775 | PNM Resources, Inc. | 387,579 | ||||||
8,967 | Portland General Electric Co. | 380,918 | ||||||
7,775 | Spark Energy, Inc., Class A | 96,799 | ||||||
|
| |||||||
2,454,536 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% | ||||||||
1,607 | AZZ, Inc. | 71,592 | ||||||
1,168 | Encore Wire Corp. | 61,495 | ||||||
895 | EnerSys | 61,361 | ||||||
833 | Generac Holdings, Inc.* | 37,493 | ||||||
2,728 | LSI Industries, Inc. | 16,723 | ||||||
605 | Vicor Corp.* | 21,689 | ||||||
|
| |||||||
270,353 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.8% |
| |||||||
772 | Anixter International, Inc.* | 45,471 | ||||||
1,672 | Badger Meter, Inc. | 70,976 | ||||||
748 | Belden, Inc. | 46,077 | ||||||
1,085 | Benchmark Electronics, Inc. | 28,535 | ||||||
463 | CTS Corp. | 13,867 | ||||||
2,491 | Daktronics, Inc. | 22,444 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
1,337 | Fabrinet (Thailand)* | 37,717 | ||||||
799 | II-VI, Inc.* | 30,442 | ||||||
2,770 | Insight Enterprises, Inc.* | 98,197 | ||||||
1,305 | Itron, Inc.* | 85,347 | ||||||
290 | Littelfuse, Inc. | 54,207 | ||||||
1,099 | Methode Electronics, Inc. | 43,850 | ||||||
2,001 | MTS Systems Corp. | 101,651 | ||||||
850 | Novanta, Inc.* | 49,980 | ||||||
1,450 | Park Electrochemical Corp. | 24,694 | ||||||
1,371 | PC Connection, Inc. | 36,592 | ||||||
497 | PCM, Inc.* | 6,436 | ||||||
1,284 | Plexus Corp.* | 70,415 | ||||||
338 | Rogers Corp.* | 36,065 | ||||||
1,480 | Sanmina Corp.* | 43,660 | ||||||
1,308 | ScanSource, Inc.* | 44,864 | ||||||
878 | SYNNEX Corp. | 87,949 | ||||||
740 | Systemax, Inc. | 23,258 | ||||||
813 | Tech Data Corp.* | 61,991 | ||||||
1,992 | TTM Technologies, Inc.* | 27,768 | ||||||
4,636 | Vishay Intertechnology, Inc. | 81,825 | ||||||
|
| |||||||
1,274,278 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.3% | ||||||||
3,027 | Archrock, Inc. | 32,692 | ||||||
1,873 | Bristow Group, Inc. | 30,062 | ||||||
2,976 | C&J Energy Services, Inc.* | 88,863 | ||||||
1,629 | CARBO Ceramics, Inc.* | 14,400 | ||||||
5,299 | Diamond Offshore Drilling, Inc.* | 97,449 | ||||||
12,922 | Ensco plc, Class A | 73,009 | ||||||
2,465 | Forum Energy Technologies, Inc.* | 31,059 | ||||||
596 | Geospace Technologies Corp.* | 6,282 | ||||||
1,378 | Gulf Island Fabrication, Inc. | 13,780 | ||||||
2,786 | Helix Energy Solutions Group, Inc.* | 21,508 | ||||||
1,971 | Matrix Service Co.* | 30,353 | ||||||
10,164 | McDermott International, Inc.* | 67,082 | ||||||
3,925 | Newpark Resources, Inc.* | 41,212 | ||||||
15,215 | Noble Corp. plc* | 71,054 | ||||||
1,333 | Oil States International, Inc.* | 47,921 | ||||||
3,732 | Parker Drilling Co.* | 2,353 | ||||||
5,079 | Pioneer Energy Services Corp.* | 17,523 | ||||||
2,439 | SEACOR Holdings, Inc.* | 133,755 | ||||||
3,446 | TETRA Technologies, Inc.* | 13,543 | ||||||
2,877 | Unit Corp.* | 65,250 | ||||||
1,199 | US Silica Holdings, Inc. | 36,102 | ||||||
|
| |||||||
935,252 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
98 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
250 | Acadia Realty Trust | 5,900 | ||||||
922 | Agree Realty Corp. | 45,067 | ||||||
1,804 | American Assets Trust, Inc. | 60,560 | ||||||
2,170 | CareTrust REIT, Inc. | 28,666 | ||||||
285 | Chesapeake Lodging Trust | 8,419 | ||||||
3,785 | Cousins Properties, Inc. | 33,649 | ||||||
2,082 | DiamondRock Hospitality Co. | 23,006 | ||||||
519 | EastGroup Properties, Inc. | 46,596 | ||||||
2,290 | First Industrial Realty Trust, Inc. | 71,242 | ||||||
2,169 | Four Corners Property Trust, Inc. | 49,150 | ||||||
2,436 | Franklin Street Properties Corp. | 18,952 | ||||||
1,586 | GEO Group, Inc. (The) | 35,685 | ||||||
1,382 | Government Properties Income Trust | 17,261 | ||||||
228 | Healthcare Realty Trust, Inc. | 6,345 | ||||||
222 | Kite Realty Group Trust | 3,268 | ||||||
1,219 | Lexington Realty Trust | 9,801 | ||||||
2,899 | LTC Properties, Inc. | 104,799 | ||||||
571 | Mack-Cali Realty Corp. | 9,804 | ||||||
806 | National Health Investors, Inc. | 55,026 | ||||||
1,111 | Pennsylvania REIT | 10,754 | ||||||
884 | PotlatchDeltic Corp. | 45,835 | ||||||
659 | PS Business Parks, Inc. | 75,970 | ||||||
2,251 | Ramco-Gershenson Properties Trust | 26,899 | ||||||
294 | Retail Opportunity Investments Corp. | 5,057 | ||||||
2,154 | Rexford Industrial Realty, Inc. | 65,805 | ||||||
1,185 | Ryman Hospitality Properties, Inc. | 92,880 | ||||||
1,815 | Sabra Health Care REIT, Inc. | 33,233 | ||||||
637 | Saul Centers, Inc. | 30,480 | ||||||
1,552 | Select Income REIT | 29,426 | ||||||
1,844 | STAG Industrial, Inc. | 45,307 | ||||||
2,528 | Summit Hotel Properties, Inc. | 36,605 | ||||||
1,352 | Sunstone Hotel Investors, Inc. | 21,091 | ||||||
1,174 | Terreno Realty Corp. | 43,614 | ||||||
201 | Urban Edge Properties | 4,135 | ||||||
1,546 | Washington REIT | 44,401 | ||||||
2,064 | Xenia Hotels & Resorts, Inc. | 42,498 | ||||||
|
| |||||||
1,287,186 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% | ||||||||
4,186 | Andersons, Inc. (The) | 136,673 | ||||||
958 | Ingles Markets, Inc., Class A | 32,811 | ||||||
2,034 | Performance Food Group Co.* | 66,003 | ||||||
902 | PriceSmart, Inc. | 79,015 | ||||||
3,977 | SpartanNash Co. | 72,302 | ||||||
1,430 | United Natural Foods, Inc.* | 64,379 | ||||||
|
| |||||||
451,183 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Food Products — 3.2% | ||||||||
4,537 | B&G Foods, Inc. | 103,217 | ||||||
1,862 | Calavo Growers, Inc. | 174,469 | ||||||
3,365 | Cal-Maine Foods, Inc.* | 163,876 | ||||||
9,075 | Darling Ingredients, Inc.* | 155,546 | ||||||
8,741 | Dean Foods Co. | 75,260 | ||||||
366 | Farmer Brothers Co.* | 10,376 | ||||||
8,392 | Fresh Del Monte Produce, Inc. | 412,467 | ||||||
10,857 | Hostess Brands, Inc.* | 152,541 | ||||||
2,022 | J&J Snack Foods Corp. | 277,843 | ||||||
3,060 | Lancaster Colony Corp. | 384,305 | ||||||
1,470 | Sanderson Farms, Inc. | 163,405 | ||||||
20 | Seaboard Corp. | 80,141 | ||||||
4,049 | Tootsie Roll Industries, Inc. | 115,599 | ||||||
|
| |||||||
2,269,045 | ||||||||
|
| |||||||
Gas Utilities — 3.8% | ||||||||
9,495 | New Jersey Resources Corp. | 392,618 | ||||||
4,100 | Northwest Natural Gas Co. | 251,330 | ||||||
5,884 | ONE Gas, Inc. | 410,232 | ||||||
12,271 | South Jersey Industries, Inc. | 379,174 | ||||||
5,025 | Southwest Gas Holdings, Inc. | 366,775 | ||||||
5,660 | Spire, Inc. | 408,369 | ||||||
5,147 | WGL Holdings, Inc. | 438,010 | ||||||
|
| |||||||
2,646,508 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.9% | ||||||||
1,646 | Abaxis, Inc. | 109,574 | ||||||
4,666 | Accuray, Inc.* | 23,330 | ||||||
1,193 | Analogic Corp. | 99,138 | ||||||
1,162 | Anika Therapeutics, Inc.* | 51,140 | ||||||
1,404 | Cantel Medical Corp. | 157,346 | ||||||
2,985 | CONMED Corp. | 194,115 | ||||||
1,428 | Glaukos Corp.* | 48,095 | ||||||
2,288 | Globus Medical, Inc., Class A* | 117,123 | ||||||
3,294 | Haemonetics Corp.* | 257,064 | ||||||
2,179 | Halyard Health, Inc.* | 103,219 | ||||||
1,847 | ICU Medical, Inc.* | 464,890 | ||||||
820 | Inogen, Inc.* | 115,276 | ||||||
1,365 | Insulet Corp.* | 117,390 | ||||||
1,850 | Integer Holdings Corp.* | 101,565 | ||||||
2,036 | Integra LifeSciences Holdings Corp.* | 125,479 | ||||||
5,172 | Invacare Corp. | 94,130 | ||||||
1,154 | iRhythm Technologies, Inc.* | 67,105 | ||||||
1,611 | LivaNova plc* | 143,025 | ||||||
1,100 | Masimo Corp.* | 98,703 | ||||||
3,380 | Meridian Bioscience, Inc. | 49,348 | ||||||
3,265 | Merit Medical Systems, Inc.* | 158,352 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 99 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Health Care Equipment & Supplies — continued |
| |||||||
4,038 | Natus Medical, Inc.* | 133,456 | ||||||
2,210 | Neogen Corp.* | 150,612 | ||||||
1,558 | NuVasive, Inc.* | 82,901 | ||||||
1,550 | NxStage Medical, Inc.* | 41,261 | ||||||
3,450 | OraSure Technologies, Inc.* | 61,168 | ||||||
1,049 | Orthofix International NV* | 64,010 | ||||||
754 | Penumbra, Inc.* | 93,760 | ||||||
3,119 | Quidel Corp.* | 176,847 | ||||||
2,272 | Surmodics, Inc.* | 84,859 | ||||||
2,048 | Varex Imaging Corp.* | 73,708 | ||||||
5,276 | West Pharmaceutical Services, Inc. | 465,396 | ||||||
2,617 | Wright Medical Group NV* | 51,319 | ||||||
|
| |||||||
4,174,704 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.8% | ||||||||
750 | Amedisys, Inc.* | 49,568 | ||||||
1,367 | AMN Healthcare Services, Inc.* | 91,384 | ||||||
1,116 | BioScrip, Inc.* | 2,935 | ||||||
705 | BioTelemetry, Inc.* | 26,931 | ||||||
794 | Chemed Corp. | 244,727 | ||||||
1,255 | Diplomat Pharmacy, Inc.* | 27,346 | ||||||
2,505 | Encompass Health Corp. | 152,354 | ||||||
2,635 | Genesis Healthcare, Inc.* | 4,005 | ||||||
3,097 | Kindred Healthcare, Inc.* | 27,563 | ||||||
2,147 | LHC Group, Inc.* | 159,779 | ||||||
1,820 | Magellan Health, Inc.* | 152,607 | ||||||
866 | Molina Healthcare, Inc.* | 72,095 | ||||||
3,485 | Owens & Minor, Inc. | 56,631 | ||||||
3,453 | Select Medical Holdings Corp.* | 62,327 | ||||||
4,454 | Tivity Health, Inc.* | 160,121 | ||||||
|
| |||||||
1,290,373 | ||||||||
|
| |||||||
Health Care Technology — 0.7% | ||||||||
5,907 | Allscripts Healthcare Solutions, Inc.* | 68,639 | ||||||
908 | Computer Programs & Systems, Inc. | 27,104 | ||||||
2,451 | HMS Holdings Corp.* | 44,142 | ||||||
1,264 | Medidata Solutions, Inc.* | 90,199 | ||||||
4,730 | Omnicell, Inc.* | 203,863 | ||||||
1,613 | Quality Systems, Inc.* | 21,663 | ||||||
1,589 | Teladoc, Inc.* | 68,327 | ||||||
|
| |||||||
523,937 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.9% | ||||||||
4,621 | Belmond Ltd., Class A (United Kingdom)* | 49,445 | ||||||
65 | Biglari Holdings, Inc.* | 22,247 | ||||||
1,406 | BJ’s Restaurants, Inc. | 78,525 | ||||||
2,955 | Bloomin’ Brands, Inc. | 69,915 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Hotels, Restaurants & Leisure — continued | ||||||||
3,109 | Boyd Gaming Corp. | 103,250 | ||||||
4,288 | Caesars Entertainment Corp.* | 48,669 | ||||||
2,543 | Cheesecake Factory, Inc. (The) | 132,109 | ||||||
487 | Churchill Downs, Inc. | 133,730 | ||||||
1,272 | Chuy’s Holdings, Inc.* | 36,379 | ||||||
719 | Cracker Barrel Old Country Store, Inc. | 118,340 | ||||||
1,264 | Dave & Buster’s Entertainment, Inc.* | 53,707 | ||||||
2,299 | Dine Brands Global, Inc. | 182,403 | ||||||
3,206 | Dover Motorsports, Inc. | 6,572 | ||||||
3,574 | El Pollo Loco Holdings, Inc.* | 35,740 | ||||||
2,365 | Eldorado Resorts, Inc.* | 95,783 | ||||||
994 | Fiesta Restaurant Group, Inc.* | 20,874 | ||||||
4,425 | ILG, Inc. | 151,025 | ||||||
847 | Jack in the Box, Inc. | 75,976 | ||||||
4,998 | La Quinta Holdings, Inc.* | 97,661 | ||||||
2,404 | Luby’s, Inc.* | 6,202 | ||||||
1,064 | Marriott Vacations Worldwide Corp. | 130,457 | ||||||
1,432 | Noodles & Co.* | 10,382 | ||||||
2,978 | Papa John’s International, Inc. | 184,636 | ||||||
3,581 | Penn National Gaming, Inc.* | 108,540 | ||||||
2,123 | Pinnacle Entertainment, Inc.* | 68,191 | ||||||
2,210 | Planet Fitness, Inc., Class A* | 89,041 | ||||||
3,048 | Red Robin Gourmet Burgers, Inc.* | 190,043 | ||||||
2,663 | Red Rock Resorts, Inc., Class A | 80,396 | ||||||
2,066 | Ruth’s Hospitality Group, Inc. | 55,472 | ||||||
1,615 | Scientific Games Corp., Class A* | 86,080 | ||||||
2,314 | Texas Roadhouse, Inc. | 148,281 | ||||||
1,713 | Wingstop, Inc. | 83,697 | ||||||
|
| |||||||
2,753,768 | ||||||||
|
| |||||||
Household Durables — 4.3% | ||||||||
1,693 | Bassett Furniture Industries, Inc. | 49,182 | ||||||
8,445 | Beazer Homes USA, Inc.* | 123,973 | ||||||
7,844 | Ethan Allen Interiors, Inc. | 172,960 | ||||||
2,388 | Hamilton Beach Brands Holding Co., Class A | 53,133 | ||||||
3,638 | Helen of Troy Ltd.* | 324,328 | ||||||
854 | Installed Building Products, Inc.* | 49,276 | ||||||
1,507 | iRobot Corp.* | 87,948 | ||||||
6,103 | KB Home | 162,035 | ||||||
8,121 | La-Z-Boy, Inc. | 233,885 | ||||||
3,411 | LGI Homes, Inc.* | 236,041 | ||||||
6,326 | M/I Homes, Inc.* | 192,816 | ||||||
8,171 | MDC Holdings, Inc. | 237,041 | ||||||
4,051 | Meritage Homes Corp.* | 180,269 | ||||||
2,536 | Skyline Corp.* | 64,364 | ||||||
7,020 | Taylor Morrison Home Corp., Class A* | 166,795 |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Household Durables — continued | ||||||||
1,587 | TopBuild Corp.* | 126,484 | ||||||
11,622 | TRI Pointe Group, Inc.* | 198,852 | ||||||
2,400 | Universal Electronics, Inc.* | �� | 111,120 | |||||
4,755 | William Lyon Homes, Class A* | 127,719 | ||||||
13,264 | ZAGG, Inc.* | 148,557 | ||||||
|
| |||||||
3,046,778 | ||||||||
|
| |||||||
Household Products — 0.9% | ||||||||
3,149 | Central Garden & Pet Co.* | 118,056 | ||||||
5,775 | Central Garden & Pet Co., Class A* | 205,013 | ||||||
552 | HRG Group, Inc.* | 6,204 | ||||||
2,277 | WD-40 Co. | 300,336 | ||||||
|
| |||||||
629,609 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 1.2% |
| |||||||
1,273 | Atlantica Yield plc (Spain) | 25,574 | ||||||
1,778 | NRG Yield, Inc., Class A | 31,310 | ||||||
5,721 | Ormat Technologies, Inc. | 331,246 | ||||||
5,420 | Pattern Energy Group, Inc., Class A | 98,536 | ||||||
9,484 | TerraForm Power, Inc., Class A | 105,747 | ||||||
11,119 | Vistra Energy Corp.* | 254,069 | ||||||
|
| |||||||
846,482 | ||||||||
|
| |||||||
Insurance — 1.2% | ||||||||
224 | Baldwin & Lyons, Inc., Class B | 5,219 | ||||||
2,469 | CNO Financial Group, Inc. | 52,935 | ||||||
297 | Crawford & Co., Class B | 2,382 | ||||||
1,369 | Employers Holdings, Inc. | 55,992 | ||||||
669 | FBL Financial Group, Inc., Class A | 52,015 | ||||||
1,102 | Horace Mann Educators Corp. | 49,259 | ||||||
927 | Infinity Property & Casualty Corp. | 122,364 | ||||||
93 | National Western Life Group, Inc., Class A | 29,519 | ||||||
1,235 | Navigators Group, Inc. (The) | 69,778 | ||||||
372 | Primerica, Inc. | 35,991 | ||||||
845 | RLI Corp. | 53,472 | ||||||
624 | Safety Insurance Group, Inc. | 49,920 | ||||||
2,629 | Selective Insurance Group, Inc. | 155,637 | ||||||
1,201 | State Auto Financial Corp. | 37,507 | ||||||
976 | Stewart Information Services Corp. | 40,709 | ||||||
|
| |||||||
812,699 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% | ||||||||
1,358 | Lands’ End, Inc.* | 26,278 | ||||||
8,155 | Nutrisystem, Inc. | 236,495 | ||||||
1,250 | PetMed Express, Inc. | 41,825 | ||||||
172 | Shutterfly, Inc.* | 13,918 | ||||||
|
| |||||||
318,516 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Internet Software & Services — 1.7% | ||||||||
1,149 | 2U, Inc.* | 92,483 | ||||||
1,199 | Alarm.com Holdings, Inc.* | 48,416 | ||||||
1,736 | Blucora, Inc.* | 45,136 | ||||||
3,422 | Cars.com, Inc.* | 97,459 | ||||||
1,168 | Envestnet, Inc.* | 63,422 | ||||||
2,583 | Etsy, Inc.* | 77,335 | ||||||
2,220 | Five9, Inc.* | 65,201 | ||||||
4,417 | Gogo, Inc.* | 41,608 | ||||||
656 | GrubHub, Inc.* | 66,348 | ||||||
2,927 | Hortonworks, Inc.* | 49,554 | ||||||
1,176 | j2 Global, Inc. | 93,351 | ||||||
765 | Liquidity Services, Inc.* | 4,934 | ||||||
3,314 | LivePerson, Inc.* | 55,675 | ||||||
9,800 | Meet Group, Inc. (The)* | 23,324 | ||||||
1,195 | New Relic, Inc.* | 83,519 | ||||||
1,963 | Shutterstock, Inc.* | 82,721 | ||||||
331 | Stamps.com, Inc.* | 75,385 | ||||||
817 | Trade Desk, Inc. (The), Class A* | 41,806 | ||||||
283 | Travelzoo* | 3,240 | ||||||
3,518 | Web.com Group, Inc.* | 65,435 | ||||||
2,659 | XO Group, Inc.* | 57,647 | ||||||
|
| |||||||
1,233,999 | ||||||||
|
| |||||||
IT Services — 2.2% | ||||||||
3,499 | Acxiom Corp.* | 90,904 | ||||||
916 | CACI International, Inc., Class A* | 138,362 | ||||||
1,279 | Cardtronics plc, Class A* | 33,574 | ||||||
1,392 | Computer Task Group, Inc.* | 10,676 | ||||||
3,130 | Convergys Corp. | 73,117 | ||||||
2,256 | CSG Systems International, Inc. | 96,534 | ||||||
702 | EPAM Systems, Inc.* | 80,274 | ||||||
2,142 | EVERTEC, Inc. (Puerto Rico) | 39,091 | ||||||
859 | ExlService Holdings, Inc.* | 49,659 | ||||||
552 | ManTech International Corp., Class A | 32,618 | ||||||
6,820 | MAXIMUS, Inc. | 461,236 | ||||||
1,930 | Perficient, Inc.* | 47,729 | ||||||
1,375 | Science Applications International Corp. | 117,961 | ||||||
689 | Sykes Enterprises, Inc.* | 19,816 | ||||||
1,910 | Syntel, Inc.* | 55,161 | ||||||
1,752 | TTEC Holdings, Inc.s | 56,064 | ||||||
5,200 | Travelport Worldwide Ltd. | 89,128 | ||||||
1,654 | Unisys Corp.* | 18,525 | ||||||
1,453 | Virtusa Corp.* | 69,947 | ||||||
|
| |||||||
1,580,376 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 101 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Leisure Products — 0.7% | ||||||||
1,598 | American Outdoor Brands Corp.* | 17,578 | ||||||
17,697 | Callaway Golf Co. | 305,450 | ||||||
8,342 | JAKKS Pacific, Inc.* | 19,604 | ||||||
9,585 | Nautilus, Inc.* | 139,462 | ||||||
477 | Sturm Ruger & Co., Inc. | 26,354 | ||||||
|
| |||||||
508,448 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% | ||||||||
1,832 | Cambrex Corp.* | 97,004 | ||||||
872 | Fluidigm Corp.* | 5,145 | ||||||
3,967 | Luminex Corp. | 84,696 | ||||||
1,078 | PRA Health Sciences, Inc.* | 88,579 | ||||||
1,104 | Syneos Health, Inc.* | 42,062 | ||||||
|
| |||||||
317,486 | ||||||||
|
| |||||||
Machinery — 3.0% | ||||||||
1,246 | Actuant Corp., Class A | 29,343 | ||||||
1,555 | Albany International Corp., Class A | 91,978 | ||||||
521 | Astec Industries, Inc. | 28,947 | ||||||
1,098 | Barnes Group, Inc. | 60,972 | ||||||
11,343 | Briggs & Stratton Corp. | 204,514 | ||||||
2,283 | Chart Industries, Inc.* | 129,537 | ||||||
650 | CIRCOR International, Inc. | 27,540 | ||||||
3,077 | Columbus McKinnon Corp. | 110,403 | ||||||
1,045 | EnPro Industries, Inc. | 78,532 | ||||||
719 | ESCO Technologies, Inc. | 40,156 | ||||||
1,487 | Federal Signal Corp. | 32,208 | ||||||
1,385 | Franklin Electric Co., Inc. | 56,785 | ||||||
646 | Greenbrier Cos., Inc. (The) | 28,327 | ||||||
3,831 | Hillenbrand, Inc. | 177,567 | ||||||
784 | John Bean Technologies Corp. | 84,476 | ||||||
1,235 | Kennametal, Inc. | 45,016 | ||||||
369 | LB Foster Co., Class A* | 8,690 | ||||||
310 | Lindsay Corp. | 27,237 | ||||||
791 | LS Starrett Co. (The), Class A | 4,825 | ||||||
776 | Manitowoc Co., Inc. (The)* | 19,128 | ||||||
1,492 | Meritor, Inc.* | 29,049 | ||||||
2,181 | Mueller Industries, Inc. | 59,280 | ||||||
4,795 | Mueller Water Products, Inc., Class A | 46,943 | ||||||
571 | Proto Labs, Inc.* | 68,035 | ||||||
907 | RBC Bearings, Inc.* | 105,557 | ||||||
2,266 | Rexnord Corp.* | 62,338 | ||||||
506 | Standex International Corp. | 49,057 | ||||||
893 | Tennant Co. | 66,082 | ||||||
6,780 | Titan International, Inc. | 69,834 | ||||||
1,451 | TriMas Corp.* | 39,322 | ||||||
3,024 | Wabash National Corp. | 60,661 | ||||||
1,136 | Watts Water Technologies, Inc., Class A | 84,632 | ||||||
849 | Woodward, Inc. | 61,077 | ||||||
|
| |||||||
2,088,048 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Marine — 0.0% (a) | ||||||||
1,107 | Matson, Inc. | 32,358 | ||||||
|
| |||||||
Media — 1.4% | ||||||||
1,813 | AMC Entertainment Holdings, Inc., Class A | 31,637 | ||||||
4,622 | Entercom Communications Corp., Class A | 46,913 | ||||||
2,280 | EW Scripps Co. (The), Class A | 25,376 | ||||||
5,704 | Gannett Co., Inc. | 55,158 | ||||||
3,566 | Gray Television, Inc.* | 40,296 | ||||||
3,280 | Liberty Media Corp.-Liberty Formula One, Class A* | 92,201 | ||||||
1,249 | Loral Space & Communications, Inc.* | 48,523 | ||||||
761 | Marcus Corp. (The) | 22,678 | ||||||
2,067 | MDC Partners, Inc., Class A* | 15,606 | ||||||
1,551 | Meredith Corp. | 80,342 | ||||||
2,310 | MSG Networks, Inc., Class A* | 47,355 | ||||||
5,744 | New York Times Co. (The), Class A | 134,697 | ||||||
1,267 | Nexstar Media Group, Inc., Class A | 78,871 | ||||||
1,961 | Scholastic Corp. | 81,185 | ||||||
1,688 | Sinclair Broadcast Group, Inc., Class A | 47,855 | ||||||
4,022 | World Wrestling Entertainment, Inc., Class A | 160,035 | ||||||
|
| |||||||
1,008,728 | ||||||||
|
| |||||||
Metals & Mining — 1.7% | ||||||||
5,508 | AK Steel Holding Corp.* | 25,282 | ||||||
3,281 | Allegheny Technologies, Inc.* | 87,176 | ||||||
1,925 | Carpenter Technology Corp. | 102,526 | ||||||
3,185 | Century Aluminum Co.* | 55,642 | ||||||
9,051 | Coeur Mining, Inc.* | 68,516 | ||||||
5,027 | Commercial Metals Co. | 105,617 | ||||||
2,664 | Compass Minerals International, Inc. | 179,287 | ||||||
1,640 | Haynes International, Inc. | 68,569 | ||||||
15,319 | Hecla Mining Co. | 58,672 | ||||||
1,958 | Kaiser Aluminum Corp. | 192,941 | ||||||
854 | Materion Corp. | 43,341 | ||||||
932 | Olympic Steel, Inc. | 21,855 | ||||||
4,300 | SunCoke Energy, Inc.* | 49,407 | ||||||
2,872 | Warrior Met Coal, Inc. | 66,774 | ||||||
2,225 | Worthington Industries, Inc. | 99,079 | ||||||
|
| |||||||
1,224,684 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||
1,369 | AG Mortgage Investment Trust, Inc. | 24,204 | ||||||
2,443 | ARMOUR Residential REIT, Inc. | 55,285 | ||||||
8,465 | Capstead Mortgage Corp. | 74,492 | ||||||
8,021 | CYS Investments, Inc. | 57,510 | ||||||
3,194 | Ladder Capital Corp. | 44,397 | ||||||
6,567 | New York Mortgage Trust, Inc. | 39,796 | ||||||
2,341 | Redwood Trust, Inc. | 35,911 | ||||||
3,241 | Western Asset Mortgage Capital Corp. | 32,248 | ||||||
|
| |||||||
363,843 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
102 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Multiline Retail — 0.4% | ||||||||
1,702 | Big Lots, Inc. | 72,250 | ||||||
711 | Dillard’s, Inc., Class A | 53,005 | ||||||
4,397 | Fred’s, Inc., Class A | 10,531 | ||||||
2,115 | Ollie’s Bargain Outlet Holdings, Inc.* | 131,553 | ||||||
|
| |||||||
267,339 | ||||||||
|
| |||||||
Multi-Utilities — 1.8% | ||||||||
8,064 | Avista Corp. | 418,199 | ||||||
8,666 | Black Hills Corp. | 491,189 | ||||||
6,246 | NorthWestern Corp. | 343,155 | ||||||
|
| |||||||
1,252,543 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.0% | ||||||||
8,447 | Abraxas Petroleum Corp.* | 24,159 | ||||||
1,173 | Arch Coal, Inc., Class A | 94,814 | ||||||
4,468 | Callon Petroleum Co.* | 62,150 | ||||||
1,390 | Contango Oil & Gas Co.* | 5,185 | ||||||
3,203 | CVR Energy, Inc. | 110,504 | ||||||
3,544 | Delek US Energy, Inc. | 167,879 | ||||||
5,986 | DHT Holdings, Inc. | 21,729 | ||||||
924 | Frontline Ltd. (Norway) | 4,001 | ||||||
1,812 | GasLog Ltd. (Monaco) | 30,532 | ||||||
2,735 | Golar LNG Ltd. (Bermuda) | 87,930 | ||||||
4,882 | Green Plains, Inc. | 90,805 | ||||||
6,798 | Halcon Resources Corp.* | 36,505 | ||||||
3,468 | Matador Resources Co.* | 113,542 | ||||||
925 | NACCO Industries, Inc., Class A | 34,086 | ||||||
858 | Nordic American Tankers Ltd. | 1,613 | ||||||
2,526 | Oasis Petroleum, Inc.* | 27,862 | ||||||
3,780 | Pacific Ethanol, Inc.* | 13,230 | ||||||
1,567 | Resolute Energy Corp.* | 52,322 | ||||||
1,371 | REX American Resources Corp.* | 102,524 | ||||||
2,359 | Sanchez Energy Corp.* | 7,242 | ||||||
3,946 | Scorpio Tankers, Inc. (Monaco) | 10,496 | ||||||
3,572 | SemGroup Corp., Class A | 89,836 | ||||||
5,248 | Ship Finance International Ltd. (Norway) | 74,784 | ||||||
10,283 | SRC Energy, Inc.* | 113,524 | ||||||
8,055 | Teekay Tankers Ltd., Class A (Bermuda) | 9,263 | ||||||
6,777 | Ultra Petroleum Corp.* | 16,400 | ||||||
5,494 | W&T Offshore, Inc.* | 33,514 | ||||||
|
| |||||||
1,436,431 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% | ||||||||
1,610 | Boise Cascade Co. | 66,976 | ||||||
1,396 | Clearwater Paper Corp.* | 33,015 | ||||||
3,009 | KapStone Paper and Packaging Corp. | 103,570 | ||||||
2,482 | Louisiana-Pacific Corp. | 70,315 | ||||||
5,321 | PH Glatfelter Co. | 111,156 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Paper & Forest Products — continued | ||||||||
4,915 | Schweitzer-Mauduit International, Inc. | 191,832 | ||||||
|
| |||||||
576,864 | ||||||||
|
| |||||||
Personal Products — 1.2% | ||||||||
3,313 | Medifast, Inc. | 332,559 | ||||||
469 | Nature’s Sunshine Products, Inc. | 4,338 | ||||||
4,503 | USANA Health Sciences, Inc.* | 475,292 | ||||||
|
| |||||||
812,189 | ||||||||
|
| |||||||
Pharmaceuticals — 1.0% | ||||||||
807 | Aerie Pharmaceuticals, Inc.* | 41,318 | ||||||
768 | ANI Pharmaceuticals, Inc.* | 45,581 | ||||||
2,268 | Catalent, Inc.* | 93,237 | ||||||
2,863 | Corcept Therapeutics, Inc.* | 47,755 | ||||||
1,284 | Depomed, Inc.* | 8,064 | ||||||
1,513 | Impax Laboratories, Inc.* | 28,444 | ||||||
4,253 | Innoviva, Inc.* | 61,668 | ||||||
1,239 | Intersect ENT, Inc.* | 49,498 | ||||||
1,127 | Lannett Co., Inc.* | 17,581 | ||||||
1,114 | Medicines Co. (The)* | 33,520 | ||||||
246 | Melinta Therapeutics, Inc.* | 1,673 | ||||||
769 | Nektar Therapeutics* | 64,335 | ||||||
462 | Pacira Pharmaceuticals, Inc.* | 15,292 | ||||||
1,455 | Paratek Pharmaceuticals, Inc.* | 15,569 | ||||||
2,436 | Prestige Brands Holdings, Inc.* | 71,716 | ||||||
1,103 | Supernus Pharmaceuticals, Inc.* | 51,731 | ||||||
1,426 | Theravance Biopharma, Inc. (Cayman Islands)* | 34,324 | ||||||
|
| |||||||
681,306 | ||||||||
|
| |||||||
Professional Services — 1.0% | ||||||||
524 | Acacia Research Corp.* | 1,913 | ||||||
1,147 | ASGN, Inc.* | 92,483 | ||||||
1,036 | CRA International, Inc. | 58,503 | ||||||
2,936 | Forrester Research, Inc. | 116,853 | ||||||
173 | FTI Consulting, Inc.* | 10,103 | ||||||
510 | Heidrick & Struggles International, Inc. | 19,202 | ||||||
623 | Huron Consulting Group, Inc.* | 23,331 | ||||||
1,622 | Insperity, Inc. | 130,165 | ||||||
809 | Kelly Services, Inc., Class A | 23,671 | ||||||
733 | Korn/Ferry International | 39,186 | ||||||
2,538 | Navigant Consulting, Inc.* | 54,288 | ||||||
1,214 | Resources Connection, Inc. | 18,999 | ||||||
1,891 | TriNet Group, Inc.* | 97,670 | ||||||
456 | TrueBlue, Inc.* | 12,152 | ||||||
203 | WageWorks, Inc.* | 8,455 | ||||||
|
| |||||||
706,974 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 103 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Real Estate Management & Development — 0.1% |
| |||||||
1,630 | Kennedy-Wilson Holdings, Inc. | 30,889 | ||||||
2,107 | Rafael Holdings, Inc., Class B* | 17,277 | ||||||
|
| |||||||
48,166 | ||||||||
|
| |||||||
Road & Rail — 1.3% | ||||||||
1,279 | AMERCO | 431,688 | ||||||
1,467 | ArcBest Corp. | 47,091 | ||||||
1,446 | Avis Budget Group, Inc.* | 71,447 | ||||||
1,836 | Covenant Transportation Group, Inc., Class A* | 50,949 | ||||||
2,451 | Heartland Express, Inc. | 43,701 | ||||||
1,308 | Knight-Swift Transportation Holdings, Inc. | 51,025 | ||||||
900 | Saia, Inc.* | 59,445 | ||||||
2,244 | Schneider National, Inc., Class B | 59,870 | ||||||
2,437 | Werner Enterprises, Inc. | 83,589 | ||||||
|
| |||||||
898,805 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
1,184 | Advanced Energy Industries, Inc.* | 70,507 | ||||||
5,605 | Amkor Technology, Inc.* | 46,409 | ||||||
1,724 | Axcelis Technologies, Inc.* | 37,928 | ||||||
2,112 | Brooks Automation, Inc. | 52,547 | ||||||
1,587 | Cabot Microelectronics Corp. | 161,001 | ||||||
1,347 | CEVA, Inc.* | 43,912 | ||||||
895 | Cirrus Logic, Inc.* | 32,641 | ||||||
390 | Cohu, Inc. | 8,346 | ||||||
2,010 | Cree, Inc.* | 75,013 | ||||||
2,182 | Diodes, Inc.* | 62,296 | ||||||
531 | DSP Group, Inc.* | 6,345 | ||||||
2,851 | Entegris, Inc. | 91,802 | ||||||
2,309 | Integrated Device Technology, Inc.* | 64,259 | ||||||
7,774 | Lattice Semiconductor Corp.* | 42,135 | ||||||
2,965 | MaxLinear, Inc.* | 66,208 | ||||||
896 | MKS Instruments, Inc. | 91,750 | ||||||
1,092 | Monolithic Power Systems, Inc. | 127,873 | ||||||
2,866 | Nanometrics, Inc.* | 71,134 | ||||||
3,334 | NeoPhotonics Corp.* | 17,137 | ||||||
3,209 | Photronics, Inc.* | 24,549 | ||||||
1,161 | Power Integrations, Inc. | 78,716 | ||||||
4,493 | Rambus, Inc.* | 60,656 | ||||||
3,273 | Semtech Corp.* | 128,629 | ||||||
32 | Sigma Designs, Inc.* | 202 | ||||||
977 | Silicon Laboratories, Inc.* | 90,763 | ||||||
461 | Synaptics, Inc.* | 20,063 | ||||||
1,854 | Ultra Clean Holdings, Inc.* | 32,464 | ||||||
819 | Veeco Instruments, Inc.* | 12,654 | ||||||
3,706 | Xcerra Corp.* | 44,769 | ||||||
3,461 | Xperi Corp. | 76,142 | ||||||
|
| |||||||
1,738,850 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Software — 3.5% | ||||||||
7,974 | 8x8, Inc.* | 161,474 | ||||||
6,730 | ACI Worldwide, Inc.* | 156,472 | ||||||
1,474 | Agilysys, Inc.* | 17,364 | ||||||
1,903 | Aspen Technology, Inc.* | 166,988 | ||||||
993 | Blackbaud, Inc. | 104,225 | ||||||
1,398 | Bottomline Technologies de, Inc.* | 55,249 | ||||||
1,889 | CommVault Systems, Inc.* | 132,136 | ||||||
1,705 | Ebix, Inc. | 132,137 | ||||||
782 | Ellie Mae, Inc.* | 75,752 | ||||||
1,038 | Fair Isaac Corp. | 179,761 | ||||||
475 | Globant SA* | 21,380 | ||||||
610 | HubSpot, Inc.* | 64,599 | ||||||
562 | MicroStrategy, Inc., Class A* | 71,633 | ||||||
1,210 | Paycom Software, Inc.* | 138,194 | ||||||
2,765 | Pegasystems, Inc. | 168,803 | ||||||
3,649 | Progress Software Corp. | 134,758 | ||||||
2,795 | Qualys, Inc.* | 215,075 | ||||||
2,874 | RealNetworks, Inc.* | 10,260 | ||||||
1,452 | RealPage, Inc.* | 77,682 | ||||||
1,706 | RingCentral, Inc., Class A* | 114,387 | ||||||
2,454 | Rosetta Stone, Inc.* | 34,135 | ||||||
1,148 | Synchronoss Technologies, Inc.* | 12,858 | ||||||
2,743 | TiVo Corp. | 38,813 | ||||||
1,078 | Varonis Systems, Inc.* | 70,447 | ||||||
2,259 | VASCO Data Security International, Inc.* | 35,015 | ||||||
1,916 | Verint Systems, Inc.* | 80,664 | ||||||
|
| |||||||
2,470,261 | ||||||||
|
| |||||||
Specialty Retail — 3.1% | ||||||||
1,746 | Aaron’s, Inc. | 72,930 | ||||||
1,765 | Abercrombie & Fitch Co., Class A | 45,219 | ||||||
4,547 | American Eagle Outfitters, Inc. | 94,032 | ||||||
1,106 | Asbury Automotive Group, Inc.* | 74,157 | ||||||
3,679 | Barnes & Noble, Inc. | 20,418 | ||||||
3,772 | Buckle, Inc. (The) | 86,945 | ||||||
1,695 | Build-A-Bear Workshop, Inc.* | 15,424 | ||||||
2,550 | Caleres, Inc. | 83,461 | ||||||
2,118 | Cato Corp. (The), Class A | 34,333 | ||||||
5,476 | Chico’s FAS, Inc. | 54,377 | ||||||
612 | Children’s Place, Inc. (The) | 78,061 | ||||||
1,855 | Citi Trends, Inc. | 56,819 | ||||||
871 | Conn’s, Inc.* | 22,210 | ||||||
4,225 | DSW, Inc., Class A | 94,217 | ||||||
2,279 | Express, Inc.* | 17,867 | ||||||
2,650 | Finish Line, Inc. (The), Class A | 35,961 | ||||||
1,561 | Five Below, Inc.* | 110,222 |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Specialty Retail — continued | ||||||||
3,828 | Francesca’s Holdings Corp.* | 18,949 | ||||||
894 | Genesco, Inc.* | 38,219 | ||||||
2,132 | GNC Holdings, Inc., Class A* | 7,569 | ||||||
1,132 | Group 1 Automotive, Inc. | 73,976 | ||||||
3,455 | Guess?, Inc. | 80,467 | ||||||
1,983 | Haverty Furniture Cos., Inc. | 35,991 | ||||||
1,830 | Hibbett Sports, Inc.* | 49,776 | ||||||
1,930 | Kirkland’s, Inc.* | 20,439 | ||||||
663 | Lithia Motors, Inc., Class A | 63,555 | ||||||
670 | Lumber Liquidators Holdings, Inc.* | 16,127 | ||||||
3,155 | Monro, Inc. | 176,522 | ||||||
9,513 | Office Depot, Inc. | 21,785 | ||||||
3,381 | Pier 1 Imports, Inc. | 7,540 | ||||||
2,053 | Rent-A-Center, Inc. | 20,756 | ||||||
366 | RH* | 34,935 | ||||||
3,396 | Shoe Carnival, Inc. | 82,761 | ||||||
3,245 | Sleep Number Corp.* | 91,963 | ||||||
1,803 | Sonic Automotive, Inc., Class A | 35,699 | ||||||
1,463 | Tailored Brands, Inc. | 46,158 | ||||||
2,094 | Tile Shop Holdings, Inc. | 14,344 | ||||||
1,146 | Vitamin Shoppe, Inc.* | 5,673 | ||||||
10,553 | Zumiez, Inc.* | 246,940 | ||||||
|
| |||||||
2,186,797 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
1,646 | Cray, Inc.* | 39,257 | ||||||
2,313 | Diebold Nixdorf, Inc. | 35,505 | ||||||
1,460 | Electronics For Imaging, Inc.* | 40,442 | ||||||
2,738 | Stratasys Ltd.* | 52,487 | ||||||
1,671 | Super Micro Computer, Inc.* | 29,577 | ||||||
|
| |||||||
197,268 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.3% | ||||||||
5,823 | Columbia Sportswear Co. | 483,367 | ||||||
1,486 | G-III Apparel Group Ltd.* | 54,224 | ||||||
1,826 | Iconix Brand Group, Inc.* | 1,480 | ||||||
1,926 | Movado Group, Inc. | 75,981 | ||||||
2,141 | Oxford Industries, Inc. | 164,943 | ||||||
9,775 | Steven Madden Ltd. | 471,644 | ||||||
13,846 | Vera Bradley, Inc.* | 157,567 | ||||||
6,230 | Wolverine World Wide, Inc. | 186,651 | ||||||
|
| |||||||
1,595,857 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.7% | ||||||||
1,405 | BofI Holding, Inc.* | 56,593 | ||||||
4,090 | Capitol Federal Financial, Inc. | 51,002 | ||||||
2,761 | Dime Community Bancshares, Inc. | 54,530 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Thrifts & Mortgage Finance — continued | ||||||||
3,389 | Kearny Financial Corp. | 47,615 | ||||||
4,238 | MGIC Investment Corp.* | 42,465 | ||||||
3,163 | Northwest Bancshares, Inc. | 52,506 | ||||||
2,652 | OceanFirst Financial Corp. | 71,551 | ||||||
2,441 | Oritani Financial Corp. | 37,347 | ||||||
1,786 | PHH Corp.* | 18,950 | ||||||
2,783 | TrustCo Bank Corp. | 23,795 | ||||||
2,127 | Washington Federal, Inc. | 67,532 | ||||||
|
| |||||||
523,886 | ||||||||
|
| |||||||
Tobacco — 0.9% | ||||||||
4,413 | Universal Corp. | 207,632 | ||||||
20,394 | Vector Group Ltd. | 397,683 | ||||||
|
| |||||||
605,315 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.3% | ||||||||
3,013 | Aircastle Ltd. | 59,055 | ||||||
3,611 | Applied Industrial Technologies, Inc. | 230,923 | ||||||
2,256 | Beacon Roofing Supply, Inc.* | 110,431 | ||||||
420 | DXP Enterprises, Inc.* | 15,246 | ||||||
1,272 | GATX Corp. | 82,985 | ||||||
1,480 | GMS, Inc.* | 46,117 | ||||||
1,704 | Kaman Corp. | 103,331 | ||||||
643 | Lawson Products, Inc.* | 14,885 | ||||||
4,930 | MRC Global, Inc.* | 92,339 | ||||||
1,777 | SiteOne Landscape Supply, Inc.* | 121,725 | ||||||
1,070 | Textainer Group Holdings Ltd.* | 18,404 | ||||||
2,220 | Titan Machinery, Inc.* | 42,890 | ||||||
|
| |||||||
938,331 | ||||||||
|
| |||||||
Water Utilities — 1.1% | ||||||||
4,985 | American States Water Co. | 277,764 | ||||||
6,825 | California Water Service Group | 264,469 | ||||||
1,359 | Connecticut Water Service, Inc. | 92,412 | ||||||
1,879 | SJW Group | 113,586 | ||||||
|
| |||||||
748,231 | ||||||||
|
| |||||||
Total Common Stocks | 70,244,998 | |||||||
|
| |||||||
NUMBER OF RIGHTS | ||||||||
Rights — 0.0% (a) | ||||||||
Media — 0.0% (a) | ||||||||
1,533 | Media General, Inc., CVR*‡ | 75 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 105 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Short-Term Investments — 0.4% | ||||||||
Investment Companies — 0.4% | ||||||||
268,428 | JPMorgan U.S. Government Money Market Fund, Institutional | 268,428 | ||||||
|
| |||||||
Total Investments — 100.0% | 70,513,501 | |||||||
Liabilities in excess of | (32,747 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 70,480,754 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
‡ | — Value determined using significant unobservable inputs. | |
(a) | — Represents less than 0.05% of net assets. | |
(b) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(c) | — The rate shown was the current yield as of April 30, 2018. |
Abbreviations
CVR | — Contingent Value Rights |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.6% | ||||||||
Aerospace & Defense — 0.6% | ||||||||
466 | Lockheed Martin Corp. | 149,511 | ||||||
|
| |||||||
Air Freight & Logistics — 0.4% | ||||||||
999 | United Parcel Service, Inc., Class B | 113,386 | ||||||
|
| |||||||
Airlines — 0.4% | ||||||||
978 | Copa Holdings SA, Class A (Panama) | 114,592 | ||||||
|
| |||||||
Automobiles — 1.5% | ||||||||
13,358 | Ford Motor Co. | 150,144 | ||||||
3,899 | General Motors Co. | 143,249 | ||||||
2,567 | Harley-Davidson, Inc. | 105,581 | ||||||
|
| |||||||
398,974 | ||||||||
|
| |||||||
Banks — 0.7% | ||||||||
1,246 | PacWest Bancorp | 63,845 | ||||||
6,033 | People’s United Financial, Inc. | 110,344 | ||||||
|
| |||||||
174,189 | ||||||||
|
| |||||||
Beverages — 1.9% | ||||||||
166 | Brown-Forman Corp., Class B | 9,303 | ||||||
3,722 | Coca-Cola Co. (The) | 160,828 | ||||||
1,255 | Dr Pepper Snapple Group, Inc. | 150,550 | ||||||
693 | Molson Coors Brewing Co., Class B | 49,369 | ||||||
1,329 | PepsiCo, Inc. | 134,149 | ||||||
|
| |||||||
504,199 | ||||||||
|
| |||||||
Biotechnology — 1.7% | ||||||||
1,476 | AbbVie, Inc. | 142,508 | ||||||
848 | Amgen, Inc. | 147,959 | ||||||
2,001 | Gilead Sciences, Inc. | 144,532 | ||||||
|
| |||||||
434,999 | ||||||||
|
| |||||||
Chemicals — 5.0% | ||||||||
997 | Air Products & Chemicals, Inc. | 161,803 | ||||||
3,847 | CF Industries Holdings, Inc. | 149,264 | ||||||
1,573 | Eastman Chemical Co. | 160,572 | ||||||
3,395 | Huntsman Corp. | 101,069 | ||||||
1,482 | LyondellBasell Industries NV, Class A | 156,692 | ||||||
6,026 | Mosaic Co. (The) | 162,401 | ||||||
3,075 | Olin Corp. | 92,834 | ||||||
1,075 | Praxair, Inc. | 163,959 | ||||||
2,638 | RPM International, Inc. | 127,415 | ||||||
437 | Scotts Miracle-Gro Co. (The) | 36,524 | ||||||
|
| |||||||
1,312,533 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.0% | ||||||||
10,192 | Pitney Bowes, Inc. | 104,162 | ||||||
1,860 | Waste Management, Inc. | 151,200 | ||||||
|
| |||||||
255,362 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Containers & Packaging — 2.3% | ||||||||
546 | Bemis Co., Inc. | 23,625 | ||||||
2,680 | International Paper Co. | 138,181 | ||||||
1,332 | Packaging Corp. of America | 154,099 | ||||||
2,931 | Sonoco Products Co. | 150,536 | ||||||
2,134 | WestRock Co. | 126,248 | ||||||
|
| |||||||
592,689 | ||||||||
|
| |||||||
Distributors — 0.6% | ||||||||
1,686 | Genuine Parts Co. | 148,908 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% | ||||||||
4,514 | H&R Block, Inc. | 124,812 | ||||||
|
| |||||||
Diversified Telecommunication Services — 2.0% |
| |||||||
4,784 | AT&T, Inc. | 156,437 | ||||||
9,007 | CenturyLink, Inc. | 167,350 | ||||||
3,576 | Verizon Communications, Inc. | 176,476 | ||||||
555 | Zayo Group Holdings, Inc.* | 20,146 | ||||||
|
| |||||||
520,409 | ||||||||
|
| |||||||
Electric Utilities — 10.3% | ||||||||
3,485 | Alliant Energy Corp. | 149,681 | ||||||
2,133 | American Electric Power Co., Inc. | 149,267 | ||||||
2,131 | Avangrid, Inc. | 112,325 | ||||||
2,097 | Duke Energy Corp. | 168,096 | ||||||
2,195 | Edison International | 143,816 | ||||||
2,083 | Entergy Corp. | 169,952 | ||||||
2,535 | Eversource Energy | 152,734 | ||||||
3,991 | Exelon Corp. | 158,363 | ||||||
4,886 | FirstEnergy Corp. | 168,078 | ||||||
5,419 | Great Plains Energy, Inc. | 177,364 | ||||||
2,784 | Hawaiian Electric Industries, Inc. | 96,577 | ||||||
3,271 | OGE Energy Corp. | 107,518 | ||||||
3,844 | PG&E Corp. | 177,208 | ||||||
1,718 | Pinnacle West Capital Corp. | 138,299 | ||||||
5,513 | PPL Corp. | 160,428 | ||||||
3,668 | Southern Co. (The) | 169,168 | ||||||
2,711 | Westar Energy, Inc. | 146,882 | ||||||
3,141 | Xcel Energy, Inc. | 147,125 | ||||||
|
| |||||||
2,692,881 | ||||||||
|
| |||||||
Electrical Equipment — 1.7% | ||||||||
1,988 | Eaton Corp. plc | 149,160 | ||||||
2,267 | Emerson Electric Co. | 150,551 | ||||||
1,209 | Hubbell, Inc. | 125,567 | ||||||
159 | Rockwell Automation, Inc. | 26,160 | ||||||
|
| |||||||
451,438 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.6% | ||||||||
2,452 | Helmerich & Payne, Inc. | 170,537 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 107 |
JPMorgan U.S. Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — 10.6% |
| |||||||
2,354 | Apple Hospitality REIT, Inc. | 42,348 | ||||||
8,406 | Brandywine Realty Trust | 135,421 | ||||||
1,359 | Brixmor Property Group, Inc. | 20,235 | ||||||
2,588 | Colony NorthStar, Inc., Class A | 15,813 | ||||||
4,379 | CoreCivic, Inc. | 88,281 | ||||||
960 | Corporate Office Properties Trust | 26,409 | ||||||
11,501 | DDR Corp. | 83,382 | ||||||
1,414 | Digital Realty Trust, Inc. | 149,446 | ||||||
3,841 | Duke Realty Corp. | 104,091 | ||||||
572 | EPR Properties | 31,471 | ||||||
3,589 | Gaming and Leisure Properties, Inc. | 122,995 | ||||||
3,950 | HCP, Inc. | 92,272 | ||||||
720 | Healthcare Trust of America, Inc., Class A | 17,993 | ||||||
4,376 | Hospitality Properties Trust | 108,875 | ||||||
3,902 | Iron Mountain, Inc. | 132,434 | ||||||
7,092 | Kimco Realty Corp. | 102,905 | ||||||
3,641 | Liberty Property Trust | 152,267 | ||||||
1,185 | Macerich Co. (The) | 68,280 | ||||||
1,987 | Medical Properties Trust, Inc. | 25,394 | ||||||
2,354 | National Retail Properties, Inc. | 89,546 | ||||||
5,074 | Omega Healthcare Investors, Inc. | 131,822 | ||||||
2,833 | Outfront Media, Inc. | 53,119 | ||||||
4,067 | Piedmont Office Realty Trust, Inc., Class A | 72,881 | ||||||
3,943 | Rayonier, Inc. | 146,640 | ||||||
7,221 | Senior Housing Properties Trust | 112,431 | ||||||
17,867 | Spirit Realty Capital, Inc. | 143,829 | ||||||
8,587 | Uniti Group, Inc. | 154,738 | ||||||
703 | Ventas, Inc. | 36,148 | ||||||
17,494 | VEREIT, Inc. | 118,959 | ||||||
1,618 | Welltower, Inc. | 86,466 | ||||||
1,587 | WP Carey, Inc. | 101,330 | ||||||
|
| |||||||
2,768,221 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% | ||||||||
2,682 | Sysco Corp. | 167,732 | ||||||
|
| |||||||
Food Products — 3.2% | ||||||||
1,036 | Archer-Daniels-Midland Co. | 47,014 | ||||||
3,070 | Campbell Soup Co. | 125,195 | ||||||
3,976 | Conagra Brands, Inc. | 147,390 | ||||||
6,922 | Flowers Foods, Inc. | 156,506 | ||||||
2,644 | General Mills, Inc. | 115,649 | ||||||
77 | JM Smucker Co. (The) | 8,784 | ||||||
2,065 | Kellogg Co. | 121,628 | ||||||
2,005 | Kraft Heinz Co. (The) | 113,042 | ||||||
|
| |||||||
835,208 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Gas Utilities — 0.3% | ||||||||
1,540 | National Fuel Gas Co. | 79,079 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% | ||||||||
2,737 | Abbott Laboratories | 159,102 | ||||||
730 | Becton Dickinson and Co. | 169,265 | ||||||
559 | Hill-Rom Holdings, Inc. | 47,979 | ||||||
1,793 | Medtronic plc | 143,673 | ||||||
1,238 | ResMed, Inc. | 117,164 | ||||||
998 | Stryker Corp. | 169,081 | ||||||
|
| |||||||
806,264 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.7% | ||||||||
2,184 | Patterson Cos., Inc. | 50,844 | ||||||
1,440 | Quest Diagnostics, Inc. | 145,728 | ||||||
|
| |||||||
196,572 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.9% | ||||||||
1,722 | Darden Restaurants, Inc. | 159,905 | ||||||
7,063 | Extended Stay America, Inc. | 138,294 | ||||||
2,681 | International Game Technology plc | 75,792 | ||||||
2,195 | Las Vegas Sands Corp. | 160,959 | ||||||
1,004 | McDonald’s Corp. | 168,110 | ||||||
2,276 | Six Flags Entertainment Corp. | 143,934 | ||||||
9,916 | Wendy’s Co. (The) | 165,994 | ||||||
|
| |||||||
1,012,988 | ||||||||
|
| |||||||
Household Durables — 2.1% | ||||||||
2,636 | Garmin Ltd. | 154,654 | ||||||
3,228 | Leggett & Platt, Inc. | 130,895 | ||||||
5,158 | Newell Brands, Inc. | 142,516 | ||||||
2,687 | Tupperware Brands Corp. | 119,733 | ||||||
|
| |||||||
547,798 | ||||||||
|
| |||||||
Household Products — 1.4% | ||||||||
1,002 | Clorox Co. (The) | 117,435 | ||||||
1,211 | Kimberly-Clark Corp. | 125,387 | ||||||
1,854 | Procter & Gamble Co. (The) | 134,118 | ||||||
|
| |||||||
376,940 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.7% |
| |||||||
14,578 | AES Corp. | 178,435 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% | ||||||||
711 | 3M Co. | 138,211 | ||||||
9,940 | General Electric Co. | 139,856 | ||||||
|
| |||||||
278,067 | ||||||||
|
| |||||||
Insurance — 0.6% | ||||||||
7,661 | Old Republic International Corp. | 156,284 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
108 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
IT Services — 0.8% | ||||||||
513 | International Business Machines Corp. | 74,365 | ||||||
2,448 | Paychex, Inc. | 148,275 | ||||||
|
| |||||||
222,640 | ||||||||
|
| |||||||
Leisure Products — 1.0% | ||||||||
1,496 | Hasbro, Inc. | 131,783 | ||||||
8,958 | Mattel, Inc. | 132,578 | ||||||
|
| |||||||
264,361 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% | ||||||||
175 | Bio-Techne Corp. | 26,409 | ||||||
|
| |||||||
Machinery — 1.9% | ||||||||
1,061 | Caterpillar, Inc. | 153,166 | ||||||
950 | Cummins, Inc. | 151,867 | ||||||
974 | Stanley Black & Decker, Inc. | 137,909 | ||||||
1,171 | Timken Co. (The) | 50,060 | ||||||
|
| |||||||
493,002 | ||||||||
|
| |||||||
Media — 1.1% | ||||||||
3,284 | Cinemark Holdings, Inc. | 128,634 | ||||||
8,830 | TEGNA, Inc. | 93,333 | ||||||
2,597 | Viacom, Inc., Class B | 78,326 | ||||||
|
| |||||||
300,293 | ||||||||
|
| |||||||
Metals & Mining — 1.3% | ||||||||
2,438 | Nucor Corp. | 150,229 | ||||||
1,580 | Reliance Steel & Aluminum Co. | 138,914 | ||||||
7,936 | Tahoe Resources, Inc. | 39,918 | ||||||
|
| |||||||
329,061 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 3.1% |
| |||||||
7,643 | AGNC Investment Corp. | 144,605 | ||||||
12,954 | Annaly Capital Management, Inc. | 134,333 | ||||||
6,616 | Chimera Investment Corp. | 115,714 | ||||||
16,753 | MFA Financial, Inc. | 125,983 | ||||||
6,745 | Starwood Property Trust, Inc. | 141,375 | ||||||
8,973 | Two Harbors Investment Corp. | 136,928 | ||||||
|
| |||||||
798,938 | ||||||||
|
| |||||||
Multiline Retail — 2.2% | ||||||||
2,402 | Kohl’s Corp. | 149,212 | ||||||
5,392 | Macy’s, Inc. | 167,530 | ||||||
2,079 | Nordstrom, Inc. | 105,114 | ||||||
2,133 | Target Corp. | 154,856 | ||||||
|
| |||||||
576,712 | ||||||||
|
| |||||||
Multi-Utilities — 6.5% | ||||||||
2,562 | Ameren Corp. | 150,184 | ||||||
5,839 | CenterPoint Energy, Inc. | 147,902 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Multi-Utilities — continued | ||||||||
3,120 | CMS Energy Corp. | 147,233 | ||||||
1,962 | Consolidated Edison, Inc. | 157,215 | ||||||
2,133 | Dominion Energy, Inc. | 141,973 | ||||||
1,371 | DTE Energy Co. | 144,503 | ||||||
5,707 | MDU Resources Group, Inc. | 160,766 | ||||||
4,061 | NiSource, Inc. | 99,048 | ||||||
3,115 | Public Service Enterprise Group, Inc. | 162,447 | ||||||
3,982 | SCANA Corp. | 146,418 | ||||||
66 | Sempra Energy | 7,379 | ||||||
1,277 | Vectren Corp. | 89,735 | ||||||
2,373 | WEC Energy Group, Inc. | 152,536 | ||||||
|
| |||||||
1,707,339 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.9% | ||||||||
1,403 | Chevron Corp. | 175,529 | ||||||
1,005 | Exxon Mobil Corp. | 78,139 | ||||||
1,142 | HollyFrontier Corp. | 69,308 | ||||||
3,527 | Kinder Morgan, Inc. | 55,797 | ||||||
2,709 | Murphy Oil Corp. | 81,568 | ||||||
2,329 | Occidental Petroleum Corp. | 179,939 | ||||||
2,831 | ONEOK, Inc. | 170,483 | ||||||
5,043 | PBF Energy, Inc., Class A | 193,298 | ||||||
3,124 | Targa Resources Corp. | 146,734 | ||||||
5,332 | Williams Cos., Inc. (The) | 137,192 | ||||||
|
| |||||||
1,287,987 | ||||||||
|
| |||||||
Paper & Forest Products — 0.6% | ||||||||
3,379 | Domtar Corp. | 148,338 | ||||||
|
| |||||||
Personal Products — 0.6% | ||||||||
5,593 | Coty, Inc., Class A | 97,039 | ||||||
722 | Nu Skin Enterprises, Inc., Class A | 51,370 | ||||||
|
| |||||||
148,409 | ||||||||
|
| |||||||
Pharmaceuticals — 2.9% | ||||||||
2,479 | Bristol-Myers Squibb Co. | 129,230 | ||||||
1,691 | Eli Lilly & Co. | 137,090 | ||||||
1,320 | Johnson & Johnson | 166,967 | ||||||
2,698 | Merck & Co., Inc. | 158,831 | ||||||
4,635 | Pfizer, Inc. | 169,687 | ||||||
|
| |||||||
761,805 | ||||||||
|
| |||||||
Road & Rail — 0.2% | ||||||||
365 | Norfolk Southern Corp. | 52,367 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.0% |
| |||||||
1,778 | Analog Devices, Inc. | 155,308 | ||||||
9,065 | Cypress Semiconductor Corp. | 132,168 | ||||||
3,536 | Intel Corp. | 182,528 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 109 |
JPMorgan U.S. Dividend ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
1,405 | KLA-Tencor Corp. | 142,945 | ||||||
2,612 | Maxim Integrated Products, Inc. | 142,354 | ||||||
1,369 | Microchip Technology, Inc. | 114,530 | ||||||
1,107 | QUALCOMM, Inc. | 56,468 | ||||||
2,020 | Xilinx, Inc. | 129,765 | ||||||
|
| |||||||
1,056,066 | ||||||||
|
| |||||||
Software — 1.1% | ||||||||
2,772 | CA, Inc. | 96,466 | ||||||
2,106 | Microsoft Corp. | 196,953 | ||||||
|
| |||||||
293,419 | ||||||||
|
| |||||||
Specialty Retail — 2.4% | ||||||||
85 | Best Buy Co., Inc. | 6,505 | ||||||
2,914 | Foot Locker, Inc. | 125,535 | ||||||
6,803 | GameStop Corp., Class A | 92,861 | ||||||
5,018 | Gap, Inc. (The) | 146,726 | ||||||
793 | Home Depot, Inc. (The) | 146,546 | ||||||
2,928 | L Brands, Inc. | 102,217 | ||||||
|
| |||||||
620,390 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.7% |
| |||||||
1,603 | HP, Inc. | 34,449 | ||||||
4,441 | Xerox Corp. | 139,669 | ||||||
|
| |||||||
174,118 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
3,123 | Tapestry, Inc. | 167,924 | ||||||
2,141 | VF Corp. | 173,142 | ||||||
|
| |||||||
341,066 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5% | ||||||||
10,158 | New York Community Bancorp, Inc. | 120,677 | ||||||
|
| |||||||
Tobacco — 1.0% | ||||||||
2,234 | Altria Group, Inc. | 125,350 | ||||||
1,517 | Philip Morris International, Inc. | 124,394 | ||||||
|
| |||||||
249,744 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.4% | ||||||||
2,920 | Macquarie Infrastructure Corp. | 110,668 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.5% |
| |||||||
21,165 | Sprint Corp.* | 118,736 | ||||||
4,906 | Telephone & Data Systems, Inc. | 134,081 | ||||||
2,420 | T-Mobile US, Inc.* | 146,434 | ||||||
|
| |||||||
399,251 | ||||||||
|
| |||||||
Total Common Stocks | 26,046,067 | |||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Short-Term Investments — 0.3% | ||||||||
Investment Companies — 0.3% | ||||||||
74,097 | JPMorgan U.S. Government Money Market Fund, Institutional | 74,097 | ||||||
|
| |||||||
Total Investments — 99.9% | 26,120,164 | |||||||
Other Assets Less Liabilities — 0.1% | 25,833 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 26,145,997 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(b) | — The rate shown was the current yield as of April 30, 2018. |
SEE NOTES TO FINANCIAL STATEMENTS.
110 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.7% | ||||||||
Aerospace & Defense — 2.2% | ||||||||
961 | Harris Corp. | 150,319 | ||||||
767 | L3 Technologies, Inc. | 150,240 | ||||||
452 | Lockheed Martin Corp. | 145,020 | ||||||
732 | Raytheon Co. | 150,016 | ||||||
|
| |||||||
595,595 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% | ||||||||
1,191 | United Parcel Service, Inc., Class B | 135,179 | ||||||
|
| |||||||
Banks — 0.5% | ||||||||
2,643 | US Bancorp | 133,339 | ||||||
|
| |||||||
Beverages — 3.1% | ||||||||
2,852 | Brown-Forman Corp., Class B | 159,826 | ||||||
3,568 | Coca-Cola Co. (The) | 154,173 | ||||||
383 | Constellation Brands, Inc., Class A | 89,289 | ||||||
1,370 | Dr Pepper Snapple Group, Inc. | 164,345 | ||||||
1,741 | Molson Coors Brewing Co., Class B | 124,029 | ||||||
1,402 | PepsiCo, Inc. | 141,518 | ||||||
|
| |||||||
833,180 | ||||||||
|
| |||||||
Biotechnology — 0.5% | ||||||||
714 | Amgen, Inc. | 124,579 | ||||||
|
| |||||||
Chemicals — 5.2% | ||||||||
894 | Air Products & Chemicals, Inc. | 145,087 | ||||||
2,209 | Ashland Global Holdings, Inc. | 146,192 | ||||||
259 | DowDuPont, Inc. | 16,379 | ||||||
1,171 | Ecolab, Inc. | 169,526 | ||||||
1,049 | International Flavors & Fragrances, Inc. | 148,182 | ||||||
1,159 | Monsanto Co. | 145,304 | ||||||
78 | NewMarket Corp. | 29,605 | ||||||
1,366 | PPG Industries, Inc. | 144,632 | ||||||
1,060 | Praxair, Inc. | 161,671 | ||||||
2,619 | RPM International, Inc. | 126,498 | ||||||
1,461 | Scotts Miracle-Gro Co. (The) | 122,110 | ||||||
525 | WR Grace & Co. | 35,931 | ||||||
|
| |||||||
1,391,117 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% | ||||||||
1,881 | Copart, Inc.* | 96,081 | ||||||
1,975 | Republic Services, Inc. | 127,743 | ||||||
465 | Rollins, Inc. | 22,562 | ||||||
1,758 | Waste Management, Inc. | 142,908 | ||||||
|
| |||||||
389,294 | ||||||||
|
| |||||||
Communications Equipment — 0.1% | ||||||||
187 | Motorola Solutions, Inc. | 20,538 | ||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Containers & Packaging — 0.4% | ||||||||
757 | Avery Dennison Corp. | 79,341 | ||||||
583 | Bemis Co., Inc. | 25,227 | ||||||
|
| |||||||
104,568 | ||||||||
|
| |||||||
Distributors — 1.0% | ||||||||
1,563 | Genuine Parts Co. | 138,044 | ||||||
867 | Pool Corp. | 120,348 | ||||||
|
| |||||||
258,392 | ||||||||
|
| |||||||
Diversified Financial Services — 0.6% | ||||||||
770 | Berkshire Hathaway, Inc., Class B* | 149,172 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
4,393 | AT&T, Inc. | 143,651 | ||||||
1,263 | CenturyLink, Inc. | 23,466 | ||||||
3,239 | Verizon Communications, Inc. | 159,845 | ||||||
4,442 | Zayo Group Holdings, Inc.* | 161,245 | ||||||
|
| |||||||
488,207 | ||||||||
|
| |||||||
Electric Utilities — 8.6% | ||||||||
3,616 | Alliant Energy Corp. | 155,307 | ||||||
2,428 | American Electric Power Co., Inc. | 169,912 | ||||||
1,882 | Avangrid, Inc. | 99,200 | ||||||
2,113 | Duke Energy Corp. | 169,378 | ||||||
1,222 | Edison International | 80,065 | ||||||
1,886 | Entergy Corp. | 153,879 | ||||||
2,516 | Eversource Energy | 151,589 | ||||||
4,754 | Great Plains Energy, Inc. | 155,598 | ||||||
2,289 | Hawaiian Electric Industries, Inc. | 79,405 | ||||||
1,033 | NextEra Energy, Inc. | 169,319 | ||||||
4,091 | OGE Energy Corp. | 134,471 | ||||||
1,777 | Pinnacle West Capital Corp. | 143,049 | ||||||
4,632 | PPL Corp. | 134,791 | ||||||
3,698 | Southern Co. (The) | 170,552 | ||||||
2,947 | Westar Energy, Inc. | 159,669 | ||||||
3,161 | Xcel Energy, Inc. | 148,061 | ||||||
|
| |||||||
2,274,245 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% | ||||||||
1,215 | Hubbell, Inc. | 126,190 | ||||||
|
| |||||||
Energy Equipment & Services — 1.4% | ||||||||
2,775 | Halliburton Co. | 147,048 | ||||||
2,160 | National Oilwell Varco, Inc. | 83,527 | ||||||
1,993 | Schlumberger Ltd. | 136,640 | ||||||
|
| |||||||
367,215 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
1,044 | American Tower Corp. | 142,360 | ||||||
100 | Camden Property Trust | 8,540 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 111 |
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
1,433 | Crown Castle International Corp. | 144,547 | ||||||
891 | Equity Commonwealth* | 27,612 | ||||||
853 | Federal Realty Investment Trust | 98,820 | ||||||
923 | National Retail Properties, Inc. | 35,111 | ||||||
514 | Regency Centers Corp. | 30,249 | ||||||
|
| |||||||
487,239 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% | ||||||||
835 | Costco Wholesale Corp. | 164,629 | ||||||
4,859 | Kroger Co. (The) | 122,398 | ||||||
2,670 | Sysco Corp. | 166,982 | ||||||
1,679 | Walmart, Inc. | 148,524 | ||||||
|
| |||||||
602,533 | ||||||||
|
| |||||||
Food Products — 5.8% | ||||||||
2,543 | Campbell Soup Co. | 103,704 | ||||||
3,923 | Conagra Brands, Inc. | 145,426 | ||||||
2,625 | General Mills, Inc. | 114,818 | ||||||
1,212 | Hershey Co. (The) | 111,431 | ||||||
3,744 | Hormel Foods Corp. | 135,720 | ||||||
1,016 | Ingredion, Inc. | 123,027 | ||||||
1,193 | JM Smucker Co. (The) | 136,097 | ||||||
2,055 | Kellogg Co. | 121,040 | ||||||
1,980 | Kraft Heinz Co. (The) | 111,632 | ||||||
1,491 | McCormick & Co., Inc. (Non-Voting) | 157,166 | ||||||
3,344 | Mondelez International, Inc., Class A | 132,088 | ||||||
2,334 | Pinnacle Foods, Inc. | 140,974 | ||||||
|
| |||||||
1,533,123 | ||||||||
|
| |||||||
Gas Utilities — 1.1% | ||||||||
1,740 | Atmos Energy Corp. | 151,189 | ||||||
3,116 | UGI Corp. | 150,783 | ||||||
|
| |||||||
301,972 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 8.8% | ||||||||
2,641 | Abbott Laboratories | 153,521 | ||||||
2,349 | Baxter International, Inc. | 163,256 | ||||||
717 | Becton Dickinson and Co. | 166,251 | ||||||
576 | Cooper Cos., Inc. (The) | 131,737 | ||||||
2,386 | DENTSPLY SIRONA, Inc. | 120,111 | ||||||
1,903 | Hill-Rom Holdings, Inc. | 163,335 | ||||||
851 | IDEXX Laboratories, Inc.* | 165,511 | ||||||
373 | Intuitive Surgical, Inc.* | 164,411 | ||||||
1,662 | Medtronic plc | 133,176 | ||||||
1,671 | ResMed, Inc. | 158,143 | ||||||
1,008 | STERIS plc | 95,276 | ||||||
982 | Stryker Corp. | 166,370 | ||||||
614 | Teleflex, Inc. | 164,478 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
1,334 | Varian Medical Systems, Inc.* | 154,197 | ||||||
1,166 | West Pharmaceutical Services, Inc. | 102,853 | ||||||
1,193 | Zimmer Biomet Holdings, Inc. | 137,398 | ||||||
|
| |||||||
2,340,024 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.0% | ||||||||
1,673 | AmerisourceBergen Corp. | 151,540 | ||||||
602 | Anthem, Inc. | 142,066 | ||||||
1,857 | Cardinal Health, Inc. | 119,164 | ||||||
352 | Cigna Corp. | 60,481 | ||||||
1,415 | CVS Health Corp. | 98,809 | ||||||
2,211 | DaVita, Inc.* | 138,829 | ||||||
1,698 | Express Scripts Holding Co.* | 128,539 | ||||||
1,718 | Henry Schein, Inc.* | 130,568 | ||||||
907 | Laboratory Corp. of America Holdings* | 154,870 | ||||||
2,231 | MEDNAX, Inc.* | 102,425 | ||||||
2,769 | Patterson Cos., Inc. | 64,462 | ||||||
1,429 | Quest Diagnostics, Inc. | 144,615 | ||||||
705 | UnitedHealth Group, Inc. | 166,662 | ||||||
|
| |||||||
1,603,030 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.6% | ||||||||
949 | McDonald’s Corp. | 158,901 | ||||||
|
| |||||||
Household Durables — 1.5% | ||||||||
3,053 | Leggett & Platt, Inc. | 123,799 | ||||||
553 | Mohawk Industries, Inc.* | 116,064 | ||||||
47 | NVR, Inc.* | 145,700 | ||||||
|
| |||||||
385,563 | ||||||||
|
| |||||||
Household Products — 2.9% | ||||||||
2,958 | Church & Dwight Co., Inc. | 136,660 | ||||||
1,171 | Clorox Co. (The) | 137,241 | ||||||
2,175 | Colgate-Palmolive Co. | 141,875 | ||||||
1,362 | Kimberly-Clark Corp. | 141,022 | ||||||
1,816 | Procter & Gamble Co. (The) | 131,369 | ||||||
1,107 | Spectrum Brands Holdings, Inc. | 79,815 | ||||||
|
| |||||||
767,982 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.6% |
| |||||||
7,002 | Vistra Energy Corp.* | 159,996 | ||||||
|
| |||||||
Industrial Conglomerates — 0.5% | ||||||||
672 | 3M Co. | 130,630 | ||||||
|
| |||||||
Insurance — 5.7% | ||||||||
1,589 | Allstate Corp. (The) | 155,436 | ||||||
1,398 | American Financial Group, Inc. | 158,282 | ||||||
201 | Aon plc | 28,636 | ||||||
1,584 | Arch Capital Group Ltd.* | 126,926 |
SEE NOTES TO FINANCIAL STATEMENTS.
112 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Insurance — continued | ||||||||
872 | Arthur J Gallagher & Co. | 61,031 | ||||||
1,483 | Brown & Brown, Inc. | 40,382 | ||||||
974 | Chubb Ltd. | 132,143 | ||||||
1,840 | Cincinnati Financial Corp. | 129,426 | ||||||
412 | Everest Re Group Ltd. | 95,860 | ||||||
143 | Markel Corp.* | 161,596 | ||||||
1,918 | Marsh & McLennan Cos., Inc. | 156,317 | ||||||
544 | ProAssurance Corp. | 25,731 | ||||||
1,027 | RenaissanceRe Holdings Ltd. (Bermuda) | 139,713 | ||||||
36 | White Mountains Insurance Group Ltd. | 31,150 | ||||||
1,059 | WR Berkley Corp. | 78,959 | ||||||
|
| |||||||
1,521,588 | ||||||||
|
| |||||||
IT Services — 1.8% | ||||||||
2,387 | Amdocs Ltd. | 160,526 | ||||||
1,345 | Automatic Data Processing, Inc. | 158,818 | ||||||
625 | International Business Machines Corp. | 90,600 | ||||||
153 | Jack Henry & Associates, Inc. | 18,280 | ||||||
612 | Paychex, Inc. | 37,069 | ||||||
|
| |||||||
465,293 | ||||||||
|
| |||||||
Leisure Products — 0.3% | ||||||||
924 | Hasbro, Inc. | 81,395 | ||||||
|
| |||||||
Life Sciences Tools & Services — 2.9% | ||||||||
590 | Bio-Rad Laboratories, Inc., Class A* | 149,689 | ||||||
967 | Bio-Techne Corp. | 145,930 | ||||||
1,350 | IQVIA Holdings, Inc.* | 129,276 | ||||||
1,380 | QIAGEN NV* | 45,140 | ||||||
764 | Thermo Fisher Scientific, Inc. | 160,707 | ||||||
778 | Waters Corp.* | 146,583 | ||||||
|
| |||||||
777,325 | ||||||||
|
| |||||||
Machinery — 1.0% | ||||||||
862 | Snap-on, Inc. | 125,205 | ||||||
962 | Stanley Black & Decker, Inc. | 136,210 | ||||||
|
| |||||||
261,415 | ||||||||
|
| |||||||
Media — 1.0% | ||||||||
1,035 | Omnicom Group, Inc. | 76,238 | ||||||
634 | Time Warner, Inc. | 60,103 | ||||||
1,308 | Walt Disney Co. (The) | 131,232 | ||||||
|
| |||||||
267,573 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.0% |
| |||||||
8,437 | AGNC Investment Corp. | 159,628 | ||||||
12,421 | Annaly Capital Management, Inc. | 128,806 | ||||||
1,078 | Chimera Investment Corp. | 18,854 | ||||||
4,442 | MFA Financial, Inc. | 33,404 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Mortgage Real Estate Investment Trusts (REITs) — continued |
| |||||||
7,378 | Starwood Property Trust, Inc. | 154,643 | ||||||
2,483 | Two Harbors Investment Corp. | 37,890 | ||||||
|
| |||||||
533,225 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
749 | Dollar Tree, Inc.* | 71,821 | ||||||
2,033 | Target Corp. | 147,596 | ||||||
|
| |||||||
219,417 | ||||||||
|
| |||||||
Multi-Utilities — 6.0% | ||||||||
2,551 | Ameren Corp. | 149,540 | ||||||
4,906 | CenterPoint Energy, Inc. | 124,269 | ||||||
3,319 | CMS Energy Corp. | 156,624 | ||||||
1,832 | Consolidated Edison, Inc. | 146,798 | ||||||
1,940 | Dominion Energy, Inc. | 129,126 | ||||||
1,580 | DTE Energy Co. | 166,532 | ||||||
5,737 | NiSource, Inc. | 139,925 | ||||||
3,075 | Public Service Enterprise Group, Inc. | 160,361 | ||||||
1,304 | Sempra Energy | 145,787 | ||||||
1,915 | Vectren Corp. | 134,567 | ||||||
2,348 | WEC Energy Group, Inc. | 150,930 | ||||||
|
| |||||||
1,604,459 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.9% | ||||||||
1,312 | Chevron Corp. | 164,144 | ||||||
2,239 | ConocoPhillips | 146,654 | ||||||
253 | EOG Resources, Inc. | 29,897 | ||||||
1,689 | Exxon Mobil Corp. | 131,320 | ||||||
1,003 | Kinder Morgan, Inc. | 15,867 | ||||||
2,183 | Occidental Petroleum Corp. | 168,659 | ||||||
1,623 | Phillips 66 | 180,656 | ||||||
1,761 | Valero Energy Corp. | 195,348 | ||||||
|
| |||||||
1,032,545 | ||||||||
|
| |||||||
Personal Products — 0.6% | ||||||||
1,150 | Estee Lauder Cos., Inc. (The), Class A | 170,303 | ||||||
|
| |||||||
Pharmaceuticals — 3.3% | ||||||||
2,044 | Bristol-Myers Squibb Co. | 106,554 | ||||||
1,724 | Eli Lilly & Co. | 139,765 | ||||||
1,174 | Johnson & Johnson | 148,499 | ||||||
2,463 | Merck & Co., Inc. | 144,997 | ||||||
4,392 | Pfizer, Inc. | 160,791 | ||||||
1,970 | Zoetis, Inc. | 164,455 | ||||||
|
| |||||||
865,061 | ||||||||
|
| |||||||
Professional Services — 0.5% | ||||||||
1,233 | Dun & Bradstreet Corp. (The) | 142,177 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 113 |
JPMorgan U.S. Minimum Volatility ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Road & Rail — 0.4% | ||||||||
761 | Union Pacific Corp. | 101,692 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.6% |
| |||||||
1,471 | Texas Instruments, Inc. | 149,204 | ||||||
|
| |||||||
Software — 2.7% | ||||||||
996 | ANSYS, Inc.* | 161,013 | ||||||
1,660 | CA, Inc. | 57,768 | ||||||
954 | Intuit, Inc. | 176,290 | ||||||
1,707 | Microsoft Corp. | 159,639 | ||||||
1,805 | Synopsys, Inc.* | 154,345 | ||||||
|
| |||||||
709,055 | ||||||||
|
| |||||||
Specialty Retail — 1.7% | ||||||||
188 | AutoZone, Inc.* | 117,410 | ||||||
757 | Home Depot, Inc. (The) | 139,893 | ||||||
241 | O’Reilly Automotive, Inc.* | 61,713 | ||||||
1,559 | TJX Cos., Inc. (The) | 132,281 | ||||||
|
| |||||||
451,297 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% | ||||||||
2,104 | NIKE, Inc., Class B | 143,893 | ||||||
2,069 | VF Corp. | 167,320 | ||||||
|
| |||||||
311,213 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
2,700 | TFS Financial Corp. | 40,257 | ||||||
|
| |||||||
Tobacco — 0.9% | ||||||||
2,110 | Altria Group, Inc. | 118,392 | ||||||
1,539 | Philip Morris International, Inc. | 126,198 | ||||||
|
| |||||||
244,590 | ||||||||
|
| |||||||
Water Utilities — 1.0% | ||||||||
1,782 | American Water Works Co., Inc. | 154,285 | ||||||
3,399 | Aqua America, Inc. | 119,475 | ||||||
|
| |||||||
273,760 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 1.5% |
| |||||||
4,598 | Telephone & Data Systems, Inc. | 125,663 | ||||||
2,627 | T-Mobile US, Inc.* | 158,960 | ||||||
2,820 | United States Cellular Corp.* | 111,588 | ||||||
|
| |||||||
396,211 | ||||||||
|
| |||||||
Total Common Stocks | 26,480,858 | |||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Short-Term Investments — 0.3% | ||||||||
Investment Companies — 0.3% | ||||||||
68,080 | JPMorgan U.S. Government Money | 68,080 | ||||||
|
| |||||||
Total Investments — 100.0% | 26,548,938 | |||||||
Other Assets Less Liabilities — 0.0% (c) | 4,213 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 26,553,151 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(b) | — The rate shown was the current yield as of April 30, 2018. | |
(c) | — Represents less than 0.05% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
114 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.4% | ||||||||
Aerospace & Defense — 5.0% | ||||||||
1,231 | Boeing Co. (The) | 410,612 | ||||||
1,039 | BWX Technologies, Inc. | 70,444 | ||||||
743 | General Dynamics Corp. | 149,573 | ||||||
583 | Harris Corp. | 91,193 | ||||||
296 | Huntington Ingalls Industries, Inc. | 71,990 | ||||||
387 | L3 Technologies, Inc. | 75,806 | ||||||
635 | Lockheed Martin Corp. | 203,733 | ||||||
441 | Northrop Grumman Corp. | 142,020 | ||||||
754 | Raytheon Co. | 154,525 | ||||||
|
| |||||||
1,369,896 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
455 | Copa Holdings SA, Class A (Panama) | 53,312 | ||||||
|
| |||||||
Auto Components — 0.9% | ||||||||
1,345 | BorgWarner, Inc. | 65,824 | ||||||
2,963 | Gentex Corp. | 67,379 | ||||||
412 | Lear Corp. | 77,032 | ||||||
400 | Visteon Corp.* | 49,776 | ||||||
|
| |||||||
260,011 | ||||||||
|
| |||||||
Automobiles — 0.5% | ||||||||
319 | Tesla, Inc.* | 93,754 | ||||||
423 | Thor Industries, Inc. | 44,897 | ||||||
|
| |||||||
138,651 | ||||||||
|
| |||||||
Banks — 3.0% | ||||||||
13,233 | Bank of America Corp. | 395,931 | ||||||
931 | Citigroup, Inc. | 63,559 | ||||||
902 | Comerica, Inc. | 85,311 | ||||||
95 | Commerce Bancshares, Inc. | 6,035 | ||||||
650 | Synovus Financial Corp. | 33,976 | ||||||
3,079 | US Bancorp | 155,336 | ||||||
1,379 | Zions Bancorp | 75,500 | ||||||
|
| |||||||
815,648 | ||||||||
|
| |||||||
Beverages — 1.2% | ||||||||
569 | Constellation Brands, Inc., Class A | 132,651 | ||||||
1,670 | Monster Beverage Corp.* | 91,850 | ||||||
978 | PepsiCo, Inc. | 98,719 | ||||||
|
| |||||||
323,220 | ||||||||
|
| |||||||
Biotechnology — 1.3% | ||||||||
3,257 | AbbVie, Inc. | 314,463 | ||||||
2,284 | Exelixis, Inc.* | 47,553 | ||||||
|
| |||||||
362,016 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Building Products — 0.3% | ||||||||
1,062 | AO Smith Corp. | 65,154 | ||||||
91 | Lennox International, Inc. | 17,596 | ||||||
|
| |||||||
82,750 | ||||||||
|
| |||||||
Capital Markets — 4.0% | ||||||||
2,225 | BGC Partners, Inc., Class A | 29,726 | ||||||
341 | BlackRock, Inc. | 177,832 | ||||||
636 | CBOE Global Markets, Inc. | 67,912 | ||||||
836 | CME Group, Inc. | 131,821 | ||||||
111 | FactSet Research Systems, Inc. | 20,991 | ||||||
927 | Interactive Brokers Group, Inc., Class A | 68,783 | ||||||
517 | LPL Financial Holdings, Inc. | 31,315 | ||||||
288 | MarketAxess Holdings, Inc. | 57,205 | ||||||
652 | Moody’s Corp. | 105,754 | ||||||
561 | MSCI, Inc. | 84,055 | ||||||
780 | S&P Global, Inc. | 147,108 | ||||||
1,012 | SEI Investments Co. | 63,989 | ||||||
948 | T. Rowe Price Group, Inc. | 107,901 | ||||||
|
| |||||||
1,094,392 | ||||||||
|
| |||||||
Chemicals — 2.0% | ||||||||
1,128 | Chemours Co. (The) | 54,606 | ||||||
2,184 | DowDuPont, Inc. | 138,116 | ||||||
183 | Eastman Chemical Co. | 18,681 | ||||||
820 | Ecolab, Inc. | 118,711 | ||||||
809 | FMC Corp. | 64,502 | ||||||
2,094 | Huntsman Corp. | 62,338 | ||||||
133 | International Flavors & Fragrances, Inc. | 18,788 | ||||||
577 | Westlake Chemical Corp. | 61,722 | ||||||
|
| |||||||
537,464 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% | ||||||||
491 | Cintas Corp. | 83,617 | ||||||
1,560 | Copart, Inc.* | 79,685 | ||||||
1,256 | Republic Services, Inc. | 81,238 | ||||||
1,279 | Rollins, Inc. | 62,057 | ||||||
1,426 | Waste Management, Inc. | 115,920 | ||||||
|
| |||||||
422,517 | ||||||||
|
| |||||||
Communications Equipment — 0.3% | ||||||||
308 | Arista Networks, Inc.* | 81,481 | ||||||
|
| |||||||
Consumer Finance — 0.5% | ||||||||
1,260 | American Express Co. | 124,425 | ||||||
|
| |||||||
Containers & Packaging — 0.6% | ||||||||
292 | AptarGroup, Inc. | 27,302 | ||||||
637 | Avery Dennison Corp. | 66,764 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 115 |
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Containers & Packaging — continued | ||||||||
612 | Packaging Corp. of America | 70,802 | ||||||
|
| |||||||
164,868 | ||||||||
|
| |||||||
Distributors — 0.2% | ||||||||
474 | Pool Corp. | 65,796 | ||||||
|
| |||||||
Diversified Consumer Services — 0.2% | ||||||||
217 | Bright Horizons Family Solutions, Inc.* | 20,589 | ||||||
44 | Graham Holdings Co., Class B | 26,534 | ||||||
547 | Service Corp. International | 19,971 | ||||||
|
| |||||||
67,094 | ||||||||
|
| |||||||
Diversified Financial Services — 1.1% | ||||||||
1,489 | Berkshire Hathaway, Inc., Class B* | 288,464 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.4% |
| |||||||
6,712 | Verizon Communications, Inc. | 331,237 | ||||||
1,736 | Zayo Group Holdings, Inc.* | 63,017 | ||||||
|
| |||||||
394,254 | ||||||||
|
| |||||||
Electric Utilities — 1.4% | ||||||||
848 | American Electric Power Co., Inc. | 59,343 | ||||||
959 | Avangrid, Inc. | 50,549 | ||||||
1,151 | Eversource Energy | 69,348 | ||||||
1,270 | NextEra Energy, Inc. | 208,165 | ||||||
94 | OGE Energy Corp. | 3,090 | ||||||
|
| |||||||
390,495 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
596 | CDW Corp. | 42,489 | ||||||
1,089 | Cognex Corp. | 50,366 | ||||||
513 | Dolby Laboratories, Inc., Class A | 30,688 | ||||||
294 | IPG Photonics Corp.* | 62,631 | ||||||
307 | Zebra Technologies Corp., Class A* | 41,393 | ||||||
|
| |||||||
227,567 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% | ||||||||
2,624 | RPC, Inc. | 47,258 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
594 | Alexandria Real Estate Equities, Inc. | 73,995 | ||||||
533 | CoreSite Realty Corp. | 55,485 | ||||||
473 | Corporate Office Properties Trust | 13,012 | ||||||
761 | CyrusOne, Inc. | 40,782 | ||||||
957 | DCT Industrial Trust, Inc. | 62,751 | ||||||
455 | Digital Realty Trust, Inc. | 48,089 | ||||||
1,902 | Duke Realty Corp. | 51,544 | ||||||
199 | Equinix, Inc. | 83,737 | ||||||
335 | Equity LifeStyle Properties, Inc. | 29,869 | ||||||
1,743 | Prologis, Inc. | 113,138 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
534 | SBA Communications Corp.* | 85,563 | ||||||
|
| |||||||
657,965 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% | ||||||||
1,756 | Sysco Corp. | 109,820 | ||||||
|
| |||||||
Food Products — 0.6% | ||||||||
1,301 | Lamb Weston Holdings, Inc. | 84,981 | ||||||
864 | Pilgrim’s Pride Corp.* | 18,663 | ||||||
1,023 | Pinnacle Foods, Inc. | 61,789 | ||||||
|
| |||||||
165,433 | ||||||||
|
| |||||||
Gas Utilities — 0.2% | ||||||||
748 | Atmos Energy Corp. | 64,994 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.5% | ||||||||
284 | ABIOMED, Inc.* | 85,470 | ||||||
363 | Align Technology, Inc.* | 90,695 | ||||||
755 | Becton Dickinson and Co. | 175,062 | ||||||
3,825 | Boston Scientific Corp.* | 109,854 | ||||||
422 | Hill-Rom Holdings, Inc. | 36,220 | ||||||
461 | IDEXX Laboratories, Inc.* | 89,660 | ||||||
336 | Intuitive Surgical, Inc.* | 148,102 | ||||||
848 | ResMed, Inc. | 80,255 | ||||||
283 | Teleflex, Inc. | 75,810 | ||||||
614 | West Pharmaceutical Services, Inc. | 54,161 | ||||||
|
| |||||||
945,289 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.8% | ||||||||
745 | Aetna, Inc. | 133,392 | ||||||
692 | Anthem, Inc. | 163,305 | ||||||
668 | Centene Corp.* | 72,531 | ||||||
699 | Cigna Corp. | 120,102 | ||||||
667 | HCA Healthcare, Inc. | 63,859 | ||||||
453 | Humana, Inc. | 133,263 | ||||||
481 | Laboratory Corp. of America Holdings* | 82,131 | ||||||
1,979 | UnitedHealth Group, Inc. | 467,836 | ||||||
331 | WellCare Health Plans, Inc.* | 67,908 | ||||||
|
| |||||||
1,304,327 | ||||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
258 | Veeva Systems, Inc., Class A* | 18,094 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 5.1% | ||||||||
402 | Choice Hotels International, Inc. | 32,180 | ||||||
811 | Darden Restaurants, Inc. | 75,309 | ||||||
319 | Domino’s Pizza, Inc. | 77,112 | ||||||
931 | Hilton Grand Vacations, Inc.* | 40,033 | ||||||
1,097 | Hilton Worldwide Holdings, Inc. | 86,488 |
SEE NOTES TO FINANCIAL STATEMENTS.
116 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Hotels, Restaurants & Leisure — continued | ||||||||
802 | Hyatt Hotels Corp., Class A | 61,650 | ||||||
811 | International Game Technology plc | 22,927 | ||||||
1,456 | Las Vegas Sands Corp. | 106,768 | ||||||
980 | Marriott International, Inc., Class A | 133,946 | ||||||
1,754 | McDonald’s Corp. | 293,690 | ||||||
893 | Starbucks Corp. | 51,410 | ||||||
311 | Vail Resorts, Inc. | 71,315 | ||||||
3,185 | Wendy’s Co. (The) | 53,317 | ||||||
667 | Wyndham Worldwide Corp. | 76,178 | ||||||
483 | Wynn Resorts Ltd. | 89,930 | ||||||
1,985 | Yum China Holdings, Inc. (China) | 84,879 | ||||||
458 | Yum! Brands, Inc. | 39,892 | ||||||
|
| |||||||
1,397,024 | ||||||||
|
| |||||||
Household Durables — 1.1% | ||||||||
1,754 | DR Horton, Inc. | 77,421 | ||||||
49 | Mohawk Industries, Inc.* | 10,284 | ||||||
26 | NVR, Inc.* | 80,600 | ||||||
2,099 | PulteGroup, Inc. | 63,726 | ||||||
1,349 | Toll Brothers, Inc. | 56,874 | ||||||
|
| |||||||
288,905 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
1,442 | Church & Dwight Co., Inc. | 66,620 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.3% |
| |||||||
2,707 | NRG Energy, Inc. | 83,917 | ||||||
|
| |||||||
Industrial Conglomerates — 0.5% | ||||||||
734 | 3M Co. | 142,682 | ||||||
|
| |||||||
Insurance — 4.5% | ||||||||
1,181 | Allstate Corp. (The) | 115,525 | ||||||
624 | American Financial Group, Inc. | 70,649 | ||||||
825 | Aon plc | 117,538 | ||||||
121 | Arch Capital Group Ltd.* | 9,696 | ||||||
1,137 | Arthur J Gallagher & Co. | 79,579 | ||||||
161 | Assurant, Inc. | 14,944 | ||||||
1,426 | Brown & Brown, Inc. | 38,830 | ||||||
805 | CNA Financial Corp. | 40,620 | ||||||
1,156 | First American Financial Corp. | 59,083 | ||||||
1,885 | FNF Group | 69,425 | ||||||
117 | Hanover Insurance Group, Inc. (The) | 13,437 | ||||||
1,554 | Hartford Financial Services Group, Inc. (The) | 83,667 | ||||||
6 | Markel Corp.* | 6,780 | ||||||
1,515 | Marsh & McLennan Cos., Inc. | 123,473 | ||||||
1,280 | Old Republic International Corp. | 26,112 | ||||||
580 | ProAssurance Corp. | 27,434 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Insurance — continued | ||||||||
2,080 | Progressive Corp. (The) | 125,403 | ||||||
438 | Reinsurance Group of America, Inc. | 65,437 | ||||||
86 | Torchmark Corp. | 7,460 | ||||||
871 | Travelers Cos., Inc. (The) | 114,624 | ||||||
131 | Validus Holdings Ltd. | 8,878 | ||||||
|
| |||||||
1,218,594 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 3.6% | ||||||||
363 | Amazon.com, Inc.* | 568,505 | ||||||
984 | Netflix, Inc.* | 307,461 | ||||||
2,526 | Qurate Retail Group, Inc. QVC Group, Class A* | 59,134 | ||||||
785 | Wayfair, Inc., Class A* | 48,905 | ||||||
|
| |||||||
984,005 | ||||||||
|
| |||||||
Internet Software & Services — 4.7% | ||||||||
458 | Alphabet, Inc., Class A* | 466,510 | ||||||
3,019 | Facebook, Inc., Class A* | 519,268 | ||||||
1,169 | GoDaddy, Inc., Class A* | 75,471 | ||||||
505 | IAC/InterActiveCorp* | 81,881 | ||||||
1,444 | Match Group, Inc.* | 68,041 | ||||||
639 | VeriSign, Inc.* | 75,031 | ||||||
|
| |||||||
1,286,202 | ||||||||
|
| |||||||
IT Services — 6.8% | ||||||||
775 | Broadridge Financial Solutions, Inc. | 83,088 | ||||||
1,806 | Cognizant Technology Solutions Corp., Class A | 147,767 | ||||||
1,085 | DXC Technology Co. | 111,820 | ||||||
327 | Fidelity National Information Services, Inc. | 31,055 | ||||||
1,556 | Fiserv, Inc.* | 110,258 | ||||||
604 | Jack Henry & Associates, Inc. | 72,166 | ||||||
144 | Leidos Holdings, Inc. | 9,249 | ||||||
2,113 | Mastercard, Inc., Class A | 376,685 | ||||||
2,891 | PayPal Holdings, Inc.* | 215,698 | ||||||
1,666 | Square, Inc., Class A* | 78,868 | ||||||
420 | Total System Services, Inc. | 35,305 | ||||||
3,981 | Visa, Inc., Class A | 505,109 | ||||||
891 | Worldpay, Inc.* | 72,367 | ||||||
|
| |||||||
1,849,435 | ||||||||
|
| |||||||
Leisure Products — 0.2% | ||||||||
635 | Hasbro, Inc. | 55,937 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% | ||||||||
241 | Bio-Rad Laboratories, Inc., Class A* | 61,144 | ||||||
1,175 | Bruker Corp. | 34,698 | ||||||
417 | IQVIA Holdings, Inc.* | 39,932 | ||||||
129 | Mettler-Toledo International, Inc.* | 72,231 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 117 |
JPMorgan U.S. Momentum Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Life Sciences Tools & Services — continued | ||||||||
336 | Waters Corp.* | 63,306 | ||||||
|
| |||||||
271,311 | ||||||||
|
| |||||||
Machinery — 1.2% | ||||||||
860 | Illinois Tool Works, Inc. | 122,137 | ||||||
731 | Oshkosh Corp. | 52,749 | ||||||
642 | Stanley Black & Decker, Inc. | 90,901 | ||||||
201 | Toro Co. (The) | 11,736 | ||||||
809 | Xylem, Inc. | 58,976 | ||||||
|
| |||||||
336,499 | ||||||||
|
| |||||||
Media — 1.2% | ||||||||
69 | Cable One, Inc. | 43,823 | ||||||
503 | Charter Communications, Inc., Class A* | 136,459 | ||||||
962 | GCI Liberty, Inc., Class A* | 42,905 | ||||||
542 | Liberty Broadband Corp., Class C* | 38,423 | ||||||
1,487 | Live Nation Entertainment, Inc.* | 58,692 | ||||||
|
| |||||||
320,302 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
1,202 | Southern Copper Corp. (Peru) | 63,478 | ||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
2,152 | AGNC Investment Corp. | 40,716 | ||||||
5,227 | Annaly Capital Management, Inc. | 54,204 | ||||||
2,582 | Chimera Investment Corp. | 45,159 | ||||||
1,739 | MFA Financial, Inc. | 13,077 | ||||||
760 | Two Harbors Investment Corp. | 11,598 | ||||||
|
| |||||||
164,754 | ||||||||
|
| |||||||
Multiline Retail — 0.3% | ||||||||
1,158 | Kohl’s Corp. | 71,935 | ||||||
|
| |||||||
Multi-Utilities — 0.9% | ||||||||
2,423 | CenterPoint Energy, Inc. | 61,374 | ||||||
436 | Consolidated Edison, Inc. | 34,937 | ||||||
631 | DTE Energy Co. | 66,507 | ||||||
2,412 | NiSource, Inc. | 58,829 | ||||||
300 | Vectren Corp. | 21,081 | ||||||
|
| |||||||
242,728 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.0% | ||||||||
791 | Andeavor | 109,411 | ||||||
2,529 | Chevron Corp. | 316,403 | ||||||
612 | ConocoPhillips | 40,086 | ||||||
1,327 | Continental Resources, Inc.* | 87,662 | ||||||
631 | Diamondback Energy, Inc.* | 81,052 | ||||||
1,313 | EOG Resources, Inc. | 155,157 | ||||||
1,628 | HollyFrontier Corp. | 98,803 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
1,799 | Marathon Petroleum Corp. | 134,763 | ||||||
1,942 | PBF Energy, Inc., Class A | 74,437 | ||||||
1,432 | Phillips 66 | 159,396 | ||||||
1,369 | Targa Resources Corp. | 64,302 | ||||||
1,457 | Valero Energy Corp. | 161,625 | ||||||
2,954 | Williams Cos., Inc. (The) | 76,007 | ||||||
4,660 | WPX Energy, Inc.* | 79,639 | ||||||
|
| |||||||
1,638,743 | ||||||||
|
| |||||||
Personal Products — 0.7% | ||||||||
821 | Estee Lauder Cos., Inc. (The), Class A | 121,582 | ||||||
881 | Nu Skin Enterprises, Inc., Class A | 62,683 | ||||||
|
| |||||||
184,265 | ||||||||
|
| |||||||
Pharmaceuticals — 2.1% | ||||||||
3,524 | Johnson & Johnson | 445,751 | ||||||
1,469 | Zoetis, Inc. | 122,632 | ||||||
|
| |||||||
568,383 | ||||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
212 | CoStar Group, Inc.* | 77,732 | ||||||
|
| |||||||
Road & Rail — 0.5% | ||||||||
910 | Norfolk Southern Corp. | 130,557 | ||||||
145 | Old Dominion Freight Line, Inc. | 19,410 | ||||||
|
| |||||||
149,967 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
2,944 | Applied Materials, Inc. | 146,228 | ||||||
1,033 | First Solar, Inc.* | 73,250 | ||||||
790 | KLA-Tencor Corp. | 80,375 | ||||||
570 | Lam Research Corp. | 105,484 | ||||||
1,035 | Microchip Technology, Inc. | 86,588 | ||||||
3,244 | Micron Technology, Inc.* | 149,159 | ||||||
1,353 | NVIDIA Corp. | 304,290 | ||||||
1,053 | NXP Semiconductors NV (Netherlands)* | 110,460 | ||||||
1,591 | Teradyne, Inc. | 51,787 | ||||||
2,156 | Texas Instruments, Inc. | 218,683 | ||||||
382 | Universal Display Corp. | 33,635 | ||||||
1,051 | Xilinx, Inc. | 67,516 | ||||||
|
| |||||||
1,427,455 | ||||||||
|
| |||||||
Software — 7.8% | ||||||||
2,188 | Activision Blizzard, Inc. | 145,174 | ||||||
1,222 | Adobe Systems, Inc.* | 270,795 | ||||||
509 | ANSYS, Inc.* | 82,285 | ||||||
330 | Autodesk, Inc.* | 41,547 | ||||||
1,724 | Cadence Design Systems, Inc.* | 69,063 | ||||||
949 | Electronic Arts, Inc.* | 111,963 |
SEE NOTES TO FINANCIAL STATEMENTS.
118 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Software — continued | ||||||||
692 | Intuit, Inc. | 127,875 | ||||||
5,866 | Microsoft Corp. | 548,588 | ||||||
797 | PTC, Inc.* | 65,633 | ||||||
717 | Red Hat, Inc.* | 116,914 | ||||||
1,805 | salesforce.com, Inc.* | 218,387 | ||||||
672 | ServiceNow, Inc.* | 111,646 | ||||||
332 | SS&C Technologies Holdings, Inc. | 16,484 | ||||||
863 | Synopsys, Inc.* | 73,795 | ||||||
708 | Take-Two Interactive Software, Inc.* | 70,595 | ||||||
548 | VMware, Inc., Class A* | 73,027 | ||||||
|
| |||||||
2,143,771 | ||||||||
|
| |||||||
Specialty Retail — 2.3% | ||||||||
1,246 | Best Buy Co., Inc. | 95,356 | ||||||
579 | Burlington Stores, Inc.* | 78,657 | ||||||
2,431 | Home Depot, Inc. (The) | 449,249 | ||||||
237 | Ross Stores, Inc. | 19,162 | ||||||
|
| |||||||
642,424 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.9% |
| |||||||
3,088 | Apple, Inc. | 510,324 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||
530 | PVH Corp. | 84,625 | ||||||
|
| |||||||
Tobacco — 0.5% | ||||||||
1,740 | Philip Morris International, Inc. | 142,680 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.3% | ||||||||
478 | United Rentals, Inc.* | 71,700 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
1,153 | Telephone & Data Systems, Inc. | 31,511 | ||||||
1,494 | T-Mobile US, Inc.* | 90,402 | ||||||
|
| |||||||
121,913 | ||||||||
|
| |||||||
Total Common Stocks | 27,185,811 | |||||||
|
| |||||||
Short-Term Investments — 0.6% | ||||||||
Investment Companies — 0.6% | ||||||||
151,827 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 151,827 | ||||||
|
| |||||||
Total Investments — 100.0% | 27,337,638 | |||||||
Liabilities in Excess of | (5,677 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 27,331,961 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(b) | — The rate shown was the current yield as of April 30, 2018. | |
(c) | — Represents less than 0.05% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 119 |
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.6% | ||||||||
Aerospace & Defense — 3.1% | ||||||||
1,221 | Boeing Co. (The) | 407,277 | ||||||
1,023 | BWX Technologies, Inc. | 69,359 | ||||||
394 | General Dynamics Corp. | 79,316 | ||||||
630 | Lockheed Martin Corp. | 202,129 | ||||||
818 | Spirit AeroSystems Holdings, Inc., Class A | 65,743 | ||||||
|
| |||||||
823,824 | ||||||||
|
| |||||||
Banks — 2.3% | ||||||||
618 | Bank of Hawaii Corp. | 52,042 | ||||||
776 | Commerce Bancshares, Inc. | 49,292 | ||||||
3,354 | US Bancorp | 169,209 | ||||||
6,893 | Wells Fargo & Co. | 358,160 | ||||||
|
| |||||||
628,703 | ||||||||
|
| |||||||
Beverages — 3.0% | ||||||||
1,425 | Brown-Forman Corp., Class B | 79,857 | ||||||
8,292 | Coca-Cola Co. (The) | 358,297 | ||||||
1,391 | Monster Beverage Corp.* | 76,505 | ||||||
2,839 | PepsiCo, Inc. | 286,569 | ||||||
|
| |||||||
801,228 | ||||||||
|
| |||||||
Biotechnology — 4.2% | ||||||||
2,375 | AbbVie, Inc. | 229,306 | ||||||
1,418 | Amgen, Inc. | 247,413 | ||||||
547 | Biogen, Inc.* | 149,659 | ||||||
877 | Celgene Corp.* | 76,387 | ||||||
2,659 | Gilead Sciences, Inc. | 192,059 | ||||||
220 | Regeneron Pharmaceuticals, Inc.* | 66,810 | ||||||
437 | United Therapeutics Corp.* | 48,118 | ||||||
774 | Vertex Pharmaceuticals, Inc.* | 118,546 | ||||||
|
| |||||||
1,128,298 | ||||||||
|
| |||||||
Building Products — 0.2% | ||||||||
325 | Allegion plc | 25,083 | ||||||
374 | AO Smith Corp. | 22,945 | ||||||
|
| |||||||
48,028 | ||||||||
|
| |||||||
Capital Markets — 2.0% | ||||||||
633 | CBOE Global Markets, Inc. | 67,592 | ||||||
711 | Eaton Vance Corp. | 38,671 | ||||||
337 | FactSet Research Systems, Inc. | 63,730 | ||||||
1,131 | Federated Investors, Inc., Class B | 29,937 | ||||||
1,373 | Franklin Resources, Inc. | 46,188 | ||||||
376 | MSCI, Inc. | 56,336 | ||||||
441 | S&P Global, Inc. | 83,173 | ||||||
835 | SEI Investments Co. | 52,797 | ||||||
778 | T. Rowe Price Group, Inc. | 88,552 | ||||||
|
| |||||||
526,976 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Chemicals — 2.1% | ||||||||
692 | Air Products & Chemicals, Inc. | 112,305 | ||||||
261 | International Flavors & Fragrances, Inc. | 36,869 | ||||||
1,126 | LyondellBasell Industries NV, Class A | 119,052 | ||||||
137 | NewMarket Corp. | 51,998 | ||||||
874 | PPG Industries, Inc. | 92,539 | ||||||
912 | Praxair, Inc. | 139,098 | ||||||
|
| |||||||
551,861 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.3% |
| |||||||
1,544 | Copart, Inc.* | 78,867 | ||||||
|
| |||||||
Communications Equipment — 1.9% | ||||||||
305 | Arista Networks, Inc.* | 80,688 | ||||||
3,004 | Cisco Systems, Inc. | 133,047 | ||||||
485 | F5 Networks, Inc.* | 79,099 | ||||||
2,604 | Juniper Networks, Inc. | 64,032 | ||||||
672 | Motorola Solutions, Inc. | 73,806 | ||||||
485 | Palo Alto Networks, Inc.* | 93,367 | ||||||
|
| |||||||
524,039 | ||||||||
|
| |||||||
Consumer Finance — 0.7% | ||||||||
1,913 | American Express Co. | 188,909 | ||||||
|
| |||||||
Containers & Packaging — 0.2% | ||||||||
524 | Avery Dennison Corp. | 54,920 | ||||||
|
| |||||||
Diversified Consumer Services — 0.3% | ||||||||
2,547 | H&R Block, Inc. | 70,425 | ||||||
|
| |||||||
Diversified Financial Services — 1.9% | ||||||||
2,628 | Berkshire Hathaway, Inc., Class B* | 509,122 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
6,355 | AT&T, Inc. | 207,808 | ||||||
5,651 | Verizon Communications, Inc. | 278,877 | ||||||
|
| |||||||
486,685 | ||||||||
|
| |||||||
Electric Utilities — 1.5% | ||||||||
1,403 | American Electric Power Co., Inc. | 98,182 | ||||||
1,137 | Edison International | 74,496 | ||||||
536 | Hawaiian Electric Industries, Inc. | 18,594 | ||||||
1,007 | NextEra Energy, Inc. | 165,058 | ||||||
972 | PG&E Corp. | 44,809 | ||||||
|
| |||||||
401,139 | ||||||||
|
| |||||||
Electrical Equipment — 0.8% | ||||||||
1,966 | Emerson Electric Co. | 130,562 | ||||||
507 | Rockwell Automation, Inc. | 83,417 | ||||||
|
| |||||||
213,979 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
495 | Dolby Laboratories, Inc., Class A | 29,611 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
120 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Energy Equipment & Services — 1.5% | ||||||||
2,215 | National Oilwell Varco, Inc. | 85,654 | ||||||
2,343 | Oceaneering International, Inc. | 49,766 | ||||||
2,604 | RPC, Inc. | 46,898 | ||||||
3,070 | Schlumberger Ltd. | 210,479 | ||||||
|
| |||||||
392,797 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.8% |
| |||||||
850 | American Tower Corp. | 115,906 | ||||||
432 | Camden Property Trust | 36,893 | ||||||
745 | Equity LifeStyle Properties, Inc. | 66,424 | ||||||
913 | Equity Residential | 56,341 | ||||||
419 | Federal Realty Investment Trust | 48,541 | ||||||
1,483 | Gaming and Leisure Properties, Inc. | 50,822 | ||||||
780 | Lamar Advertising Co., Class A | 49,694 | ||||||
652 | Piedmont Office Realty Trust, Inc., Class A | 11,684 | ||||||
427 | Public Storage | 86,160 | ||||||
856 | Simon Property Group, Inc. | 133,827 | ||||||
1,728 | Tanger Factory Outlet Centers, Inc. | 37,930 | ||||||
791 | Taubman Centers, Inc. | 44,280 | ||||||
880 | Weingarten Realty Investors | 24,174 | ||||||
|
| |||||||
762,676 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.9% | ||||||||
1,089 | Costco Wholesale Corp. | 214,707 | ||||||
3,366 | Walmart, Inc. | 297,757 | ||||||
|
| |||||||
512,464 | ||||||||
|
| |||||||
Food Products — 0.6% | ||||||||
1,254 | Campbell Soup Co. | 51,138 | ||||||
620 | Hershey Co. (The) | 57,003 | ||||||
1,494 | Hormel Foods Corp. | 54,157 | ||||||
|
| |||||||
162,298 | ||||||||
|
| |||||||
Gas Utilities — 0.2% | ||||||||
895 | National Fuel Gas Co. | 45,958 | ||||||
233 | UGI Corp. | 11,275 | ||||||
|
| |||||||
57,233 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
802 | Edwards Lifesciences Corp.* | 102,143 | ||||||
457 | IDEXX Laboratories, Inc.* | 88,882 | ||||||
335 | Intuitive Surgical, Inc.* | 147,661 | ||||||
753 | ResMed, Inc. | 71,264 | ||||||
632 | Varian Medical Systems, Inc.* | 73,053 | ||||||
|
| |||||||
483,003 | ||||||||
|
| |||||||
Health Care Technology — 0.6% | ||||||||
1,347 | Cerner Corp.* | 78,463 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Health Care Technology — continued | ||||||||
993 | Veeva Systems, Inc., Class A* | 69,639 | ||||||
|
| |||||||
148,102 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.2% | ||||||||
232 | Choice Hotels International, Inc. | 18,572 | ||||||
760 | Darden Restaurants, Inc. | 70,574 | ||||||
1,441 | Las Vegas Sands Corp. | 105,668 | ||||||
970 | Marriott International, Inc., Class A | 132,580 | ||||||
1,597 | McDonald’s Corp. | 267,402 | ||||||
964 | Six Flags Entertainment Corp. | 60,963 | ||||||
3,587 | Starbucks Corp. | 206,503 | ||||||
|
| |||||||
862,262 | ||||||||
|
| |||||||
Household Durables — 0.1% | ||||||||
817 | Leggett & Platt, Inc. | 33,129 | ||||||
|
| |||||||
Household Products — 1.6% | ||||||||
780 | Church & Dwight Co., Inc. | 36,036 | ||||||
546 | Clorox Co. (The) | 63,991 | ||||||
2,242 | Colgate-Palmolive Co. | 146,246 | ||||||
1,024 | Kimberly-Clark Corp. | 106,025 | ||||||
1,251 | Procter & Gamble Co. (The) | 90,497 | ||||||
|
| |||||||
442,795 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.3% |
| |||||||
3,336 | Vistra Energy Corp.* | 76,228 | ||||||
|
| |||||||
Industrial Conglomerates — 0.9% | ||||||||
1,294 | 3M Co. | 251,541 | ||||||
|
| |||||||
Insurance — 5.9% | ||||||||
2,668 | Aflac, Inc. | 121,581 | ||||||
93 | Alleghany Corp. | 53,444 | ||||||
1,174 | Allstate Corp. (The) | 114,841 | ||||||
617 | American Financial Group, Inc. | 69,857 | ||||||
865 | Aon plc | 123,237 | ||||||
705 | Arch Capital Group Ltd.* | 56,492 | ||||||
1,131 | Arthur J Gallagher & Co. | 79,159 | ||||||
2,386 | Brown & Brown, Inc. | 64,971 | ||||||
945 | Chubb Ltd. | 128,208 | ||||||
845 | Cincinnati Financial Corp. | 59,437 | ||||||
314 | Erie Indemnity Co., Class A | 36,666 | ||||||
47 | Markel Corp.* | 53,112 | ||||||
1,634 | Marsh & McLennan Cos., Inc. | 133,171 | ||||||
1,723 | Old Republic International Corp. | 35,149 | ||||||
904 | ProAssurance Corp. | 42,759 | ||||||
2,059 | Progressive Corp. (The) | 124,137 | ||||||
265 | Reinsurance Group of America, Inc. | 39,591 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 121 |
JPMorgan U.S. Quality Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Insurance — continued | ||||||||
856 | Torchmark Corp. | 74,249 | ||||||
869 | Travelers Cos., Inc. (The) | 114,360 | ||||||
711 | WR Berkley Corp. | 53,012 | ||||||
|
| |||||||
1,577,433 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.9% | ||||||||
84 | Booking Holdings, Inc.* | 182,952 | ||||||
1,296 | TripAdvisor, Inc.* | 48,496 | ||||||
|
| |||||||
231,448 | ||||||||
|
| |||||||
Internet Software & Services — 4.3% | ||||||||
713 | Akamai Technologies, Inc.* | 51,086 | ||||||
493 | Alphabet, Inc., Class A* | 502,160 | ||||||
3,002 | Facebook, Inc., Class A* | 516,344 | ||||||
633 | VeriSign, Inc.* | 74,327 | ||||||
|
| |||||||
1,143,917 | ||||||||
|
| |||||||
IT Services — 6.9% | ||||||||
1,469 | Accenture plc, Class A | 222,113 | ||||||
349 | Amdocs Ltd. | 23,470 | ||||||
1,270 | Automatic Data Processing, Inc. | 149,962 | ||||||
767 | Broadridge Financial Solutions, Inc. | 82,230 | ||||||
1,536 | Fiserv, Inc.* | 108,841 | ||||||
1,729 | International Business Machines Corp. | 250,636 | ||||||
601 | Jack Henry & Associates, Inc. | 71,807 | ||||||
2,092 | Mastercard, Inc., Class A | 372,941 | ||||||
1,437 | Paychex, Inc. | 87,039 | ||||||
1,050 | Teradata Corp.* | 42,966 | ||||||
3,067 | Visa, Inc., Class A | 389,141 | ||||||
3,128 | Western Union Co. (The) | 61,778 | ||||||
|
| |||||||
1,862,924 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% | ||||||||
1,197 | Agilent Technologies, Inc. | 78,691 | ||||||
273 | Bio-Techne Corp. | 41,198 | ||||||
127 | Mettler-Toledo International, Inc.* | 71,111 | ||||||
410 | Waters Corp.* | 77,248 | ||||||
|
| |||||||
268,248 | ||||||||
|
| |||||||
Machinery — 1.8% | ||||||||
1,551 | Allison Transmission Holdings, Inc. | 60,473 | ||||||
1,047 | Donaldson Co., Inc. | 46,340 | ||||||
1,548 | Graco, Inc. | 68,097 | ||||||
530 | IDEX Corp. | 70,840 | ||||||
923 | Illinois Tool Works, Inc. | 131,084 | ||||||
677 | Lincoln Electric Holdings, Inc. | 56,103 | ||||||
1,059 | Toro Co. (The) | 61,835 | ||||||
|
| |||||||
494,772 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Media — 0.7% | ||||||||
33 | Cable One, Inc. | 20,959 | ||||||
1,158 | Omnicom Group, Inc. | 85,298 | ||||||
11,396 | Sirius XM Holdings, Inc. | 72,137 | ||||||
|
| |||||||
178,394 | ||||||||
|
| |||||||
Metals & Mining — 0.2% | ||||||||
1,034 | Newmont Mining Corp. | 40,626 | ||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.0% |
| |||||||
3,377 | AGNC Investment Corp. | 63,893 | ||||||
6,617 | Annaly Capital Management, Inc. | 68,618 | ||||||
2,159 | Chimera Investment Corp. | 37,761 | ||||||
5,563 | MFA Financial, Inc. | 41,834 | ||||||
1,628 | Starwood Property Trust, Inc. | 34,123 | ||||||
2,117 | Two Harbors Investment Corp. | 32,305 | ||||||
|
| |||||||
278,534 | ||||||||
|
| |||||||
Multiline Retail — 0.7% | ||||||||
1,273 | Nordstrom, Inc. | 64,363 | ||||||
1,768 | Target Corp. | 128,357 | ||||||
|
| |||||||
192,720 | ||||||||
|
| |||||||
Multi-Utilities — 0.9% | ||||||||
1,228 | Ameren Corp. | 71,986 | ||||||
2,548 | CenterPoint Energy, Inc. | 64,541 | ||||||
360 | Vectren Corp. | 25,297 | ||||||
1,208 | WEC Energy Group, Inc. | 77,650 | ||||||
|
| |||||||
239,474 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.3% | ||||||||
2,075 | Cabot Oil & Gas Corp. | 49,613 | ||||||
1,909 | ConocoPhillips | 125,040 | ||||||
5,392 | Exxon Mobil Corp. | 419,228 | ||||||
1,781 | Marathon Petroleum Corp. | 133,415 | ||||||
2,131 | Occidental Petroleum Corp. | 164,641 | ||||||
1,043 | Phillips 66 | 116,096 | ||||||
1,442 | Valero Energy Corp. | 159,961 | ||||||
|
| |||||||
1,167,994 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
305 | Nu Skin Enterprises, Inc., Class A | 21,701 | ||||||
|
| |||||||
Pharmaceuticals — 5.7% | ||||||||
3,047 | Bristol-Myers Squibb Co. | 158,840 | ||||||
1,689 | Eli Lilly & Co. | 136,927 | ||||||
3,679 | Johnson & Johnson | 465,357 | ||||||
5,621 | Merck & Co., Inc. | 330,908 | ||||||
12,062 | Pfizer, Inc. | 441,590 | ||||||
|
| |||||||
1,533,622 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
122 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Professional Services — 0.6% | ||||||||
499 | Equifax, Inc. | 55,913 | ||||||
1,187 | Robert Half International, Inc. | 72,110 | ||||||
251 | Verisk Analytics, Inc.* | 26,719 | ||||||
|
| |||||||
154,742 | ||||||||
|
| |||||||
Road & Rail — 1.1% | ||||||||
581 | Landstar System, Inc. | 59,059 | ||||||
1,837 | Union Pacific Corp. | 245,478 | ||||||
|
| |||||||
304,537 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.4% |
| |||||||
2,927 | Applied Materials, Inc. | 145,384 | ||||||
1,023 | First Solar, Inc.* | 72,541 | ||||||
8,562 | Intel Corp. | 441,970 | ||||||
782 | KLA-Tencor Corp. | 79,561 | ||||||
1,433 | Maxim Integrated Products, Inc. | 78,098 | ||||||
1,134 | NVIDIA Corp. | 255,037 | ||||||
1,575 | Teradyne, Inc. | 51,266 | ||||||
2,385 | Texas Instruments, Inc. | 241,911 | ||||||
352 | Versum Materials, Inc. | 12,383 | ||||||
1,253 | Xilinx, Inc. | 80,493 | ||||||
|
| |||||||
1,458,644 | ||||||||
|
| |||||||
Software — 5.5% | ||||||||
1,210 | Adobe Systems, Inc.* | 268,136 | ||||||
504 | ANSYS, Inc.* | 81,477 | ||||||
1,715 | Cadence Design Systems, Inc.* | 68,703 | ||||||
882 | Citrix Systems, Inc.* | 90,767 | ||||||
794 | Intuit, Inc. | 146,723 | ||||||
1,423 | Manhattan Associates, Inc.* | 61,274 | ||||||
5,807 | Microsoft Corp. | 543,071 | ||||||
709 | Red Hat, Inc.* | 115,609 | ||||||
270 | Synopsys, Inc.* | 23,088 | ||||||
543 | VMware, Inc., Class A* | 72,360 | ||||||
|
| |||||||
1,471,208 | ||||||||
|
| |||||||
Specialty Retail — 5.3% | ||||||||
1,234 | Best Buy Co., Inc. | 94,438 | ||||||
573 | Burlington Stores, Inc.* | 77,842 | ||||||
1,170 | Foot Locker, Inc. | 50,404 | ||||||
2,172 | Gap, Inc. (The) | 63,509 | ||||||
2,566 | Home Depot, Inc. (The) | 474,197 | ||||||
2,040 | Lowe’s Cos., Inc. | 168,157 | ||||||
328 | O’Reilly Automotive, Inc.* | 83,991 | ||||||
1,423 | Ross Stores, Inc. | 115,049 | ||||||
1,199 | Signet Jewelers Ltd. | 46,617 | ||||||
585 | Tiffany & Co. | 60,155 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Specialty Retail — continued | ||||||||
1,849 | TJX Cos., Inc. (The) | 156,888 | ||||||
882 | Williams-Sonoma, Inc. | 42,160 | ||||||
|
| |||||||
1,433,407 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.8% |
| |||||||
2,972 | Apple, Inc. | 491,153 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% | ||||||||
350 | Carter’s, Inc. | 35,112 | ||||||
757 | Michael Kors Holdings Ltd.* | 51,794 | ||||||
3,224 | NIKE, Inc., Class B | 220,489 | ||||||
942 | VF Corp. | 76,180 | ||||||
|
| |||||||
383,575 | ||||||||
|
| |||||||
Tobacco — 1.4% | ||||||||
4,111 | Altria Group, Inc. | 230,668 | ||||||
1,928 | Philip Morris International, Inc. | 158,096 | ||||||
|
| |||||||
388,764 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.8% |
| |||||||
671 | MSC Industrial Direct Co., Inc., Class A | 58,001 | ||||||
371 | Watsco, Inc. | 62,113 | ||||||
306 | WW Grainger, Inc. | 86,093 | ||||||
|
| |||||||
206,207 | ||||||||
|
| |||||||
Total Common Stocks | 26,775,186 | |||||||
|
| |||||||
Short-Term Investments — 0.4% | ||||||||
Investment Companies — 0.4% |
| |||||||
117,748 | JPMorgan U.S. Government Money Market Fund, Institutional Class | 117,748 | ||||||
|
| |||||||
Total Investments — 100.0% | 26,892,934 | |||||||
Other Assets Less | 3,267 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 26,896,201 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(b) | — The rate shown was the current yield as of April 30, 2018. | |
(c) | — Represents less than 0.05% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 123 |
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 99.7% | ||||||||
Aerospace & Defense — 1.7% | ||||||||
591 | Harris Corp. | 92,444 | ||||||
421 | L3 Technologies, Inc. | 82,465 | ||||||
528 | Orbital ATK, Inc. | 69,897 | ||||||
1,737 | United Technologies Corp. | 208,701 | ||||||
|
| |||||||
453,507 | ||||||||
|
| |||||||
Airlines — 1.0% | ||||||||
770 | Alaska Air Group, Inc. | 49,996 | ||||||
471 | Copa Holdings SA, Class A (Panama) | 55,187 | ||||||
2,239 | Delta Air Lines, Inc. | 116,921 | ||||||
2,932 | JetBlue Airways Corp.* | 56,265 | ||||||
|
| |||||||
278,369 | ||||||||
|
| |||||||
Auto Components — 0.7% | ||||||||
3,002 | Gentex Corp. | 68,265 | ||||||
1,190 | Goodyear Tire & Rubber Co. (The) | 29,881 | ||||||
430 | Lear Corp. | 80,397 | ||||||
|
| |||||||
178,543 | ||||||||
|
| |||||||
Automobiles — 1.4% |
| |||||||
11,752 | Ford Motor Co. | 132,092 | ||||||
3,947 | General Motors Co. | 145,013 | ||||||
1,151 | Harley-Davidson, Inc. | 47,341 | ||||||
459 | Thor Industries, Inc. | 48,718 | ||||||
|
| |||||||
373,164 | ||||||||
|
| |||||||
Banks — 6.1% | ||||||||
1,919 | Associated Banc-Corp. | 50,758 | ||||||
1,622 | Bank of America Corp. | 48,530 | ||||||
2,539 | BB&T Corp. | 134,059 | ||||||
351 | BOK Financial Corp. | 35,339 | ||||||
646 | Cullen/Frost Bankers, Inc. | 73,935 | ||||||
3,051 | Fifth Third Bancorp | 101,202 | ||||||
2,018 | FNB Corp. | 26,234 | ||||||
4,771 | Huntington Bancshares, Inc. | 71,136 | ||||||
1,318 | PacWest Bancorp | 67,534 | ||||||
3,270 | People’s United Financial, Inc. | 59,808 | ||||||
1,289 | PNC Financial Services Group, Inc. (The) | 187,691 | ||||||
1,524 | Popular, Inc. (Puerto Rico) | 70,546 | ||||||
5,100 | Regions Financial Corp. | 95,370 | ||||||
1,723 | SunTrust Banks, Inc. | 115,096 | ||||||
9,540 | Wells Fargo & Co. | 495,698 | ||||||
|
| |||||||
1,632,936 | ||||||||
|
| |||||||
Beverages — 0.2% | ||||||||
728 | Molson Coors Brewing Co., Class B | 51,863 | ||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Biotechnology — 1.3% | ||||||||
909 | Amgen, Inc. | 158,602 | ||||||
2,700 | Gilead Sciences, Inc. | 195,021 | ||||||
|
| |||||||
353,623 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
837 | Owens Corning | 54,815 | ||||||
1,125 | USG Corp.* | 45,259 | ||||||
|
| |||||||
100,074 | ||||||||
|
| |||||||
Capital Markets — 1.8% | ||||||||
2,897 | Bank of New York Mellon Corp. (The) | 157,915 | ||||||
903 | Goldman Sachs Group, Inc. (The) | 215,212 | ||||||
1,346 | Invesco Ltd. | 38,994 | ||||||
1,508 | Legg Mason, Inc. | 59,868 | ||||||
|
| |||||||
471,989 | ||||||||
|
| |||||||
Chemicals — 1.4% | ||||||||
430 | Cabot Corp. | 24,020 | ||||||
775 | CF Industries Holdings, Inc. | 30,070 | ||||||
833 | Eastman Chemical Co. | 85,032 | ||||||
2,121 | Huntsman Corp. | 63,142 | ||||||
1,153 | LyondellBasell Industries NV, Class A | 121,907 | ||||||
2,237 | Mosaic Co. (The) | 60,287 | ||||||
|
| |||||||
384,458 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% | ||||||||
2,587 | Pitney Bowes, Inc. | 26,439 | ||||||
1,272 | Republic Services, Inc. | 82,273 | ||||||
|
| |||||||
108,712 | ||||||||
|
| |||||||
Communications Equipment — 2.3% | ||||||||
1,173 | ARRIS International plc* | 31,671 | ||||||
10,764 | Cisco Systems, Inc. | 476,738 | ||||||
2,711 | Juniper Networks, Inc. | 66,663 | ||||||
384 | Motorola Solutions, Inc. | 42,175 | ||||||
|
| |||||||
617,247 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% | ||||||||
1,881 | AECOM* | 64,782 | ||||||
828 | Fluor Corp. | 48,810 | ||||||
|
| |||||||
113,592 | ||||||||
|
| |||||||
Consumer Finance — 0.8% | ||||||||
1,507 | Capital One Financial Corp. | 136,564 | ||||||
4,812 | Navient Corp. | 63,807 | ||||||
|
| |||||||
200,371 | ||||||||
|
| |||||||
Containers & Packaging — 1.3% | ||||||||
1,350 | Bemis Co., Inc. | 58,415 | ||||||
4,248 | Graphic Packaging Holding Co. | 60,746 |
SEE NOTES TO FINANCIAL STATEMENTS.
124 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Containers & Packaging — continued | ||||||||
651 | Packaging Corp. of America | 75,314 | ||||||
584 | Silgan Holdings, Inc. | 16,393 | ||||||
1,187 | Sonoco Products Co. | 60,964 | ||||||
1,341 | WestRock Co. | 79,334 | ||||||
|
| |||||||
351,166 | ||||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
793 | Genuine Parts Co. | 70,038 | ||||||
|
| |||||||
Diversified Consumer Services — 0.3% |
| |||||||
50 | Graham Holdings Co., Class B | 30,153 | ||||||
1,473 | H&R Block, Inc. | 40,728 | ||||||
|
| |||||||
70,881 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.9% |
| |||||||
7,307 | AT&T, Inc. | 238,939 | ||||||
2,106 | CenturyLink, Inc. | 39,130 | ||||||
4,395 | Verizon Communications, Inc. | 216,893 | ||||||
|
| |||||||
494,962 | ||||||||
|
| |||||||
Electric Utilities — 2.2% |
| |||||||
1,022 | Avangrid, Inc. | 53,870 | ||||||
653 | Duke Energy Corp. | 52,344 | ||||||
771 | Eversource Energy | 46,453 | ||||||
3,392 | Exelon Corp. | 134,595 | ||||||
281 | FirstEnergy Corp. | 9,666 | ||||||
2,018 | Great Plains Energy, Inc. | 66,049 | ||||||
1,648 | Hawaiian Electric Industries, Inc. | 57,169 | ||||||
1,121 | OGE Energy Corp. | 36,847 | ||||||
2,362 | PG&E Corp. | 108,888 | ||||||
185 | Pinnacle West Capital Corp. | 14,893 | ||||||
558 | PPL Corp. | 16,238 | ||||||
|
| |||||||
597,012 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
1,556 | Eaton Corp. plc | 116,747 | ||||||
2,029 | Emerson Electric Co. | 134,746 | ||||||
532 | Hubbell, Inc. | 55,253 | ||||||
857 | Regal Beloit Corp. | 61,018 | ||||||
|
| |||||||
367,764 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
819 | Arrow Electronics, Inc.* | 61,212 | ||||||
1,442 | Avnet, Inc. | 56,569 | ||||||
3,338 | Corning, Inc. | 90,193 | ||||||
560 | Jabil, Inc. | 14,896 | ||||||
|
| |||||||
222,870 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Energy Equipment & Services — 0.5% |
| |||||||
669 | Helmerich & Payne, Inc. | 46,529 | ||||||
1,693 | Oceaneering International, Inc. | 35,959 | ||||||
3,970 | Transocean Ltd.* | 49,109 | ||||||
|
| |||||||
131,597 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
2,019 | Apple Hospitality REIT, Inc. | 36,322 | ||||||
2,468 | Brandywine Realty Trust | 39,759 | ||||||
2,067 | Brixmor Property Group, Inc. | 30,778 | ||||||
2,726 | Colony NorthStar, Inc., Class A | 16,656 | ||||||
1,032 | Columbia Property Trust, Inc. | 22,044 | ||||||
2,465 | CoreCivic, Inc. | 49,694 | ||||||
597 | EPR Properties | 32,847 | ||||||
1,987 | Hospitality Properties Trust | 49,437 | ||||||
3,713 | Kimco Realty Corp. | 53,876 | ||||||
3,912 | Medical Properties Trust, Inc. | 49,995 | ||||||
1,982 | Omega Healthcare Investors, Inc. | 51,492 | ||||||
2,426 | Park Hotels & Resorts, Inc. | 69,820 | ||||||
781 | Piedmont Office Realty Trust, Inc., Class A | 13,996 | ||||||
2,729 | Retail Properties of America, Inc., Class A | 31,493 | ||||||
1,543 | Senior Housing Properties Trust | 24,024 | ||||||
1,215 | Ventas, Inc. | 62,475 | ||||||
|
| |||||||
634,708 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
8,504 | Rite Aid Corp.* | 14,202 | ||||||
2,289 | Walgreens Boots Alliance, Inc. | 152,104 | ||||||
3,444 | Walmart, Inc. | 304,656 | ||||||
|
| |||||||
470,962 | ||||||||
|
| |||||||
Food Products — 2.1% |
| |||||||
2,425 | Archer-Daniels-Midland Co. | 110,046 | ||||||
953 | Bunge Ltd. | 68,835 | ||||||
3,034 | Flowers Foods, Inc. | 68,599 | ||||||
1,840 | General Mills, Inc. | 80,482 | ||||||
310 | Ingredion, Inc. | 37,538 | ||||||
638 | JM Smucker Co. (The) | 72,783 | ||||||
1,271 | Pilgrim’s Pride Corp.* | 27,454 | ||||||
1,231 | Tyson Foods, Inc., Class A | 86,293 | ||||||
|
| |||||||
552,030 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
1,151 | Abbott Laboratories | 66,908 | ||||||
1,595 | Baxter International, Inc. | 110,852 | ||||||
606 | Becton Dickinson and Co. | 140,513 | ||||||
204 | DENTSPLY SIRONA, Inc. | 10,269 | ||||||
547 | Hill-Rom Holdings, Inc. | 46,949 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 125 |
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Health Care Equipment & Supplies — continued |
| |||||||
2,771 | Medtronic plc | 222,040 | ||||||
603 | Zimmer Biomet Holdings, Inc. | 69,448 | ||||||
|
| |||||||
666,979 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.7% |
| |||||||
918 | Aetna, Inc. | 164,368 | ||||||
716 | Anthem, Inc. | 168,969 | ||||||
1,217 | Cardinal Health, Inc. | 78,095 | ||||||
724 | Cigna Corp. | 124,398 | ||||||
2,411 | CVS Health Corp. | 168,360 | ||||||
216 | Express Scripts Holding Co.* | 16,351 | ||||||
420 | Humana, Inc. | 123,555 | ||||||
492 | LifePoint Health, Inc.* | 23,567 | ||||||
558 | McKesson Corp. | 87,165 | ||||||
657 | MEDNAX, Inc.* | 30,163 | ||||||
1,032 | Patterson Cos., Inc. | 24,025 | ||||||
731 | Quest Diagnostics, Inc. | 73,977 | ||||||
1,600 | UnitedHealth Group, Inc. | 378,240 | ||||||
610 | Universal Health Services, Inc., Class B | 69,662 | ||||||
|
| |||||||
1,530,895 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
1,633 | Carnival Corp. | 102,977 | ||||||
1,099 | International Game Technology plc | 31,069 | ||||||
593 | Royal Caribbean Cruises Ltd. | 64,156 | ||||||
676 | Wyndham Worldwide Corp. | 77,206 | ||||||
|
| |||||||
275,408 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
1,178 | Garmin Ltd. | 69,113 | ||||||
841 | Leggett & Platt, Inc. | 34,103 | ||||||
1,487 | Lennar Corp., Class A | 78,647 | ||||||
912 | Newell Brands, Inc. | 25,199 | ||||||
2,173 | PulteGroup, Inc. | 65,972 | ||||||
331 | Toll Brothers, Inc. | 13,955 | ||||||
558 | Tupperware Brands Corp. | 24,865 | ||||||
299 | Whirlpool Corp. | 46,330 | ||||||
|
| |||||||
358,184 | ||||||||
|
| |||||||
Household Products — 1.3% |
| |||||||
4,764 | Procter & Gamble Co. (The) | 344,628 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.3% |
| |||||||
3,414 | Vistra Energy Corp.* | 78,010 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
661 | Carlisle Cos., Inc. | 71,210 | ||||||
16,431 | General Electric Co. | 231,184 | ||||||
|
| |||||||
302,394 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Insurance — 4.8% |
| |||||||
2,044 | Aflac, Inc. | 93,145 | ||||||
1,120 | Aspen Insurance Holdings Ltd. (Bermuda) | 47,544 | ||||||
423 | Assurant, Inc. | 39,263 | ||||||
1,745 | Assured Guaranty Ltd. | 63,326 | ||||||
981 | Axis Capital Holdings Ltd. | 57,585 | ||||||
271 | Everest Re Group Ltd. | 63,053 | ||||||
1,171 | First American Financial Corp. | 59,850 | ||||||
192 | Hanover Insurance Group, Inc. (The) | 22,051 | ||||||
1,134 | Lincoln National Corp. | 80,106 | ||||||
877 | Mercury General Corp. | 40,105 | ||||||
2,986 | MetLife, Inc. | 142,343 | ||||||
3,261 | Old Republic International Corp. | 66,524 | ||||||
1,322 | Principal Financial Group, Inc. | 78,289 | ||||||
673 | ProAssurance Corp. | 31,833 | ||||||
1,282 | Prudential Financial, Inc. | 136,302 | ||||||
462 | Reinsurance Group of America, Inc. | 69,023 | ||||||
876 | Travelers Cos., Inc. (The) | 115,282 | ||||||
1,401 | Unum Group | 67,780 | ||||||
|
| |||||||
1,273,404 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.1% |
| |||||||
486 | Liberty Expedia Holdings, Inc., Class A* | 19,829 | ||||||
|
| |||||||
Internet Software & Services — 0.2% |
| |||||||
848 | Akamai Technologies, Inc.* | 60,759 | ||||||
|
| |||||||
IT Services — 1.9% |
| |||||||
1,072 | Amdocs Ltd. | 72,092 | ||||||
782 | DXC Technology Co. | 80,593 | ||||||
2,023 | International Business Machines Corp. | 293,254 | ||||||
763 | Leidos Holdings, Inc. | 49,008 | ||||||
|
| |||||||
494,947 | ||||||||
|
| |||||||
Machinery — 3.5% |
| |||||||
1,651 | Allison Transmission Holdings, Inc. | 64,372 | ||||||
702 | Crane Co. | 58,715 | ||||||
639 | Cummins, Inc. | 102,150 | ||||||
858 | Dover Corp. | 79,537 | ||||||
1,118 | Ingersoll-Rand plc | 93,789 | ||||||
755 | Oshkosh Corp. | 54,481 | ||||||
1,452 | PACCAR, Inc. | 92,449 | ||||||
545 | Parker-Hannifin Corp. | 89,718 | ||||||
1,137 | Pentair plc (United Kingdom) | 76,497 | ||||||
613 | Stanley Black & Decker, Inc. | 86,795 | ||||||
1,408 | Timken Co. (The) | 60,192 | ||||||
1,839 | Trinity Industries, Inc. | 58,609 | ||||||
|
| |||||||
917,304 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
126 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Media — 4.6% |
| |||||||
9,426 | Comcast Corp., Class A | 295,882 | ||||||
1,762 | Discovery, Inc., Class A* | 41,671 | ||||||
1,066 | DISH Network Corp., Class A* | 35,764 | ||||||
2,792 | Interpublic Group of Cos., Inc. (The) | 65,863 | ||||||
948 | John Wiley & Sons, Inc., Class A | 62,521 | ||||||
1,084 | Lions Gate Entertainment Corp., Class A | 26,981 | ||||||
1,070 | Omnicom Group, Inc. | 78,816 | ||||||
3,876 | TEGNA, Inc. | 40,970 | ||||||
1,925 | Time Warner, Inc. | 182,490 | ||||||
1,914 | Viacom, Inc., Class B | 57,726 | ||||||
3,344 | Walt Disney Co. (The) | 335,504 | ||||||
|
| |||||||
1,224,188 | ||||||||
|
| |||||||
Metals & Mining — 0.9% |
| |||||||
1,479 | Nucor Corp. | 91,136 | ||||||
757 | Reliance Steel & Aluminum Co. | 66,556 | ||||||
1,652 | Steel Dynamics, Inc. | 74,026 | ||||||
|
| |||||||
231,718 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
3,874 | AGNC Investment Corp. | 73,296 | ||||||
7,831 | Annaly Capital Management, Inc. | 81,207 | ||||||
3,693 | Chimera Investment Corp. | 64,591 | ||||||
8,601 | MFA Financial, Inc. | 64,679 | ||||||
3,252 | Starwood Property Trust, Inc. | 68,162 | ||||||
4,133 | Two Harbors Investment Corp. | 63,070 | ||||||
|
| |||||||
415,005 | ||||||||
|
| |||||||
Multiline Retail — 1.3% |
| |||||||
1,173 | Kohl’s Corp. | 72,867 | ||||||
2,466 | Macy’s, Inc. | 76,618 | ||||||
1,171 | Nordstrom, Inc. | 59,206 | ||||||
1,810 | Target Corp. | 131,406 | ||||||
|
| |||||||
340,097 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
1,230 | Consolidated Edison, Inc. | 98,560 | ||||||
1,551 | SCANA Corp. | 57,030 | ||||||
|
| |||||||
155,590 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.9% |
| |||||||
542 | Andeavor | 74,970 | ||||||
3,428 | Chevron Corp. | 428,877 | ||||||
422 | ConocoPhillips | 27,641 | ||||||
5,727 | Exxon Mobil Corp. | 445,274 | ||||||
1,577 | HollyFrontier Corp. | 95,708 | ||||||
5,442 | Kinder Morgan, Inc. | 86,093 | ||||||
1,201 | Marathon Oil Corp. | 21,918 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Oil, Gas & Consumable Fuel — continued | ||||||||
1,457 | Marathon Petroleum Corp. | 109,144 | ||||||
1,147 | PBF Energy, Inc., Class A | 43,965 | ||||||
1,024 | Targa Resources Corp. | 48,097 | ||||||
1,467 | Valero Energy Corp. | 162,734 | ||||||
592 | World Fuel Services Corp. | 12,710 | ||||||
|
| |||||||
1,557,131 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
1,266 | Domtar Corp. | 55,577 | ||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
888 | Nu Skin Enterprises, Inc., Class A | 63,181 | ||||||
|
| |||||||
Pharmaceuticals — 4.6% |
| |||||||
3,352 | Johnson & Johnson | 423,994 | ||||||
1,846 | Mallinckrodt plc* | 23,998 | ||||||
5,924 | Merck & Co., Inc. | 348,746 | ||||||
11,996 | Pfizer, Inc. | 439,174 | ||||||
|
| |||||||
1,235,912 | ||||||||
|
| |||||||
Professional Services — 0.6% |
| |||||||
600 | ManpowerGroup, Inc. | 57,432 | ||||||
1,497 | Nielsen Holdings plc | 47,081 | ||||||
799 | Robert Half International, Inc. | 48,539 | ||||||
|
| |||||||
153,052 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
496 | Genesee & Wyoming, Inc., Class A* | 35,315 | ||||||
743 | Kansas City Southern | 79,226 | ||||||
958 | Norfolk Southern Corp. | 137,444 | ||||||
631 | Ryder System, Inc. | 42,549 | ||||||
814 | Union Pacific Corp. | 108,775 | ||||||
|
| |||||||
403,309 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.3% |
| |||||||
1,096 | Analog Devices, Inc. | 95,736 | ||||||
2,810 | Applied Materials, Inc. | 139,573 | ||||||
10,059 | Intel Corp. | 519,246 | ||||||
800 | KLA-Tencor Corp. | 81,392 | ||||||
590 | Lam Research Corp. | 109,185 | ||||||
1,903 | Marvell Technology Group Ltd. (Bermuda) | 38,174 | ||||||
1,467 | Maxim Integrated Products, Inc. | 79,951 | ||||||
2,634 | Micron Technology, Inc.* | 121,111 | ||||||
802 | NXP Semiconductors NV (Netherlands)* | 84,130 | ||||||
2,214 | ON Semiconductor Corp.* | 48,885 | ||||||
3,603 | QUALCOMM, Inc. | 183,789 | ||||||
692 | Skyworks Solutions, Inc. | 60,038 | ||||||
1,580 | Teradyne, Inc. | 51,429 | ||||||
2,348 | Texas Instruments, Inc. | 238,158 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 127 |
JPMorgan U.S. Value Factor ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
1,223 | Xilinx, Inc. | 78,565 | ||||||
|
| |||||||
1,929,362 | ||||||||
|
| |||||||
Software — 3.8% |
| |||||||
2,206 | CA, Inc. | 76,769 | ||||||
5,943 | Microsoft Corp. | 555,789 | ||||||
6,838 | Oracle Corp. | 312,292 | ||||||
2,172 | Symantec Corp. | 60,360 | ||||||
|
| |||||||
1,005,210 | ||||||||
|
| |||||||
Specialty Retail — 1.9% |
| |||||||
860 | AutoNation, Inc.* | 39,723 | ||||||
1,859 | Bed Bath & Beyond, Inc. | 32,458 | ||||||
1,263 | Best Buy Co., Inc. | 96,657 | ||||||
1,083 | Dick’s Sporting Goods, Inc. | 35,837 | ||||||
1,101 | Foot Locker, Inc. | 47,431 | ||||||
2,453 | GameStop Corp., Class A | 33,484 | ||||||
2,223 | Gap, Inc. (The) | 65,001 | ||||||
789 | Penske Automotive Group, Inc. | 35,584 | ||||||
748 | Signet Jewelers Ltd. | 29,082 | ||||||
1,671 | Urban Outfitters, Inc.* | 67,291 | ||||||
695 | Williams-Sonoma, Inc. | 33,221 | ||||||
|
| |||||||
515,769 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.9% |
| |||||||
3,129 | Apple, Inc. | 517,099 | ||||||
6,079 | Hewlett Packard Enterprise Co. | 103,647 | ||||||
5,620 | HP, Inc. | 120,774 | ||||||
1,063 | NCR Corp.* | 32,708 | ||||||
1,446 | NetApp, Inc. | 96,275 | ||||||
1,223 | Western Digital Corp. | 96,360 | ||||||
2,054 | Xerox Corp. | 64,598 | ||||||
|
| |||||||
1,031,461 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% |
| |||||||
1,717 | Hanesbrands, Inc. | 31,713 | ||||||
927 | Michael Kors Holdings Ltd.* | 63,425 | ||||||
537 | PVH Corp. | 85,743 | ||||||
593 | Ralph Lauren Corp. | 65,141 | ||||||
1,654 | Tapestry, Inc. | 88,936 | ||||||
|
| |||||||
334,958 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
5,025 | New York Community Bancorp, Inc. | 59,697 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
502 | MSC Industrial Direct Co., Inc., Class A | 43,393 | ||||||
610 | WESCO International, Inc.* | 36,325 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Thrifts & Mortgage Finance — continued | ||||||||
313 | WW Grainger, Inc. | 88,063 | ||||||
|
| |||||||
167,781 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.1% |
| |||||||
938 | Macquarie Infrastructure Corp. | 35,550 | ||||||
|
| |||||||
Total Common Stocks | 26,519,727 | |||||||
|
| |||||||
Short-Term Investments — 0.3% | ||||||||
Investment Companies — 0.3% | ||||||||
72,576 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, | 72,576 | ||||||
|
| |||||||
Total Investments — 100.0% | 26,592,303 | |||||||
Other Assets Less | 7,264 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 26,599,567 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(b) | — The rate shown was the current yield as of April 30, 2018. | |
(c) | — Represents less than 0.05% of net assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
128 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2018 (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 | $ | 233,430,479 | $ | — | $ | 78,451,868 | ||||||
Investments in affiliates, at value | 947,561 | 30,028,573 | — | |||||||||
Restricted cash | 122,135 | — | — | |||||||||
Cash | 113,194 | 9,800 | 225,790 | |||||||||
Foreign currency, at value | 229,471 | — | 116,821 | |||||||||
Segregated cash balance with Authorized Participant for deposit securities | 21,842 | — | — | |||||||||
Prepaid Expenses | 15,003 | 1,389 | 3,028 | |||||||||
Receivables: | ||||||||||||
Dividends from non-affiliates | 235,785 | — | 193,110 | |||||||||
Dividends from affiliates | 620 | — | — | |||||||||
Tax reclaims | — | — | 290,311 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 683,650 | — | |||||||||
Due from Adviser | — | 10,950 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 235,116,090 | 30,734,362 | 79,280,928 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 643,572 | — | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 27,622 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 46,928 | 4,388 | 16,098 | |||||||||
Administration fees | 15,398 | 2,034 | 5,487 | |||||||||
Custodian, Accounting and Transfer Agent fees | 190,313 | 5,842 | 39,503 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | 1,333 | 2,823 | |||||||||
Deferred foreign capital gains tax | 317,714 | — | — | |||||||||
Professional Fees | 26,125 | 23,075 | 51,592 | |||||||||
Collateral upon return of deposit securities | 21,842 | — | — | |||||||||
Other | 12,010 | 6,919 | 2,996 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 630,330 | 714,785 | 118,499 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 234,485,760 | $ | 30,019,577 | $ | 79,162,429 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 215,385,136 | $ | 27,087,053 | $ | 66,250,524 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 572,973 | 54,762 | 477,978 | |||||||||
Accumulated net realized gains (losses) | (5,712,921 | ) | (2,149,957 | ) | (17,635 | ) | ||||||
Net unrealized appreciation (depreciation) | 24,240,572 | 5,027,719 | 12,451,562 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 234,485,760 | $ | 30,019,577 | $ | 79,162,429 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | 4,000,000 | 1,050,000 | 1,300,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 58.62 | $ | 28.59 | $ | 60.89 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 208,869,243 | $ | — | $ | 66,007,187 | ||||||
Cost of investments in affiliates | 947,561 | 25,656,882 | — | |||||||||
Cost of foreign currency | 229,496 | — | 117,854 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 129 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2018 (Unaudited) (continued)
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 | $ | 228,954,356 | $ | — | $ | 1,528,208,353 | ||||||
Investments in affiliates, at value | 182,981 | 34,323,788 | 3,570,626 | |||||||||
Restricted cash | 53,900 | — | 36,000 | |||||||||
Cash | 108,779 | 13,540 | 3,205,811 | |||||||||
Foreign currency, at value | 213,331 | — | 962,928 | |||||||||
Prepaid Expenses | 12,156 | 3,661 | 80,819 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 301,957 | — | 1,444,823 | |||||||||
Dividends from non-affiliates | 695,926 | — | 6,474,496 | |||||||||
Dividends from affiliates | 399 | — | 4,663 | |||||||||
Tax reclaims | 79,439 | — | 730,336 | |||||||||
Unrealized appreciation on forward foreign currency exchange contracts | — | 718,472 | — | |||||||||
Due from Adviser | — | 12,678 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 230,603,224 | 35,072,139 | 1,544,718,855 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 414,961 | 2,964,934 | |||||||||
Unrealized depreciation on forward foreign currency exchange contracts | — | 42,438 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 46,845 | 3,676 | 295,692 | |||||||||
Administration fees | 16,597 | 2,359 | 104,987 | |||||||||
Custodian, Accounting and Transfer Agent fees | 72,614 | 2,311 | 96,053 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 341 | 1,425 | 9,405 | |||||||||
Professional Fees | 73,359 | 20,614 | 117,291 | |||||||||
Other | 3,302 | 8,906 | 75,594 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 213,058 | 496,690 | 3,663,956 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 230,390,166 | $ | 34,575,449 | $ | 1,541,054,899 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 213,464,870 | $ | 28,666,416 | $ | 1,383,515,864 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 765,735 | 22,357 | 5,227,051 | |||||||||
Accumulated net realized gains (losses) | (2,471,473 | ) | 29,048 | (780,894 | ) | |||||||
Net unrealized appreciation (depreciation) | 18,631,034 | 5,857,628 | 153,092,878 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 230,390,166 | $ | 34,575,449 | $ | 1,541,054,899 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | 3,700,000 | 1,150,000 | 25,600,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 62.27 | $ | 30.07 | $ | 60.20 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 210,314,957 | $ | — | $ | 1,375,015,602 | ||||||
Cost of investments in affiliates | 182,981 | 29,142,199 | 3,570,626 | |||||||||
Cost of foreign currency | 213,305 | — | 967,107 |
SEE NOTES TO FINANCIAL STATEMENTS.
130 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return U.S. Equity ETF | JPMorgan Diversified Return U.S. Mid Cap Equity ETF | JPMorgan Diversified Return U.S. Small Cap Equity ETF | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 498,926,088 | $ | 94,333,435 | $ | 70,245,073 | ||||||
Investments in affiliates, at value | 2,446,359 | 403,004 | 268,428 | |||||||||
Restricted cash | 10,150 | 3,000 | 8,400 | |||||||||
Prepaid Expenses | 30,591 | 5,737 | 772 | |||||||||
Receivables: | ||||||||||||
Dividends from non-affiliates | 435,312 | 49,340 | �� | 21,661 | ||||||||
Dividends from affiliates | 2,917 | 563 | 424 | |||||||||
Due from Adviser | — | — | 522 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 501,851,417 | 94,795,079 | 70,545,280 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | — | 96 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 5,903 | 5,875 | — | |||||||||
Administration fees | 34,581 | 6,637 | 4,907 | |||||||||
Custodian, Accounting and Transfer Agent fees | 12,963 | 3,994 | 24,510 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2,735 | 1,426 | 697 | |||||||||
Professional Fees | 21,125 | 25,043 | 24,447 | |||||||||
Other | 22,661 | 17,627 | 9,869 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 99,968 | 60,602 | 64,526 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 501,751,449 | $ | 94,734,477 | $ | 70,480,754 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 469,093,901 | $ | 86,656,025 | $ | 64,838,687 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,071,871 | 181,057 | 135,748 | |||||||||
Accumulated net realized gains (losses) | 395,628 | 662,907 | 190,472 | |||||||||
Net unrealized appreciation (depreciation) | 31,190,049 | 7,234,488 | 5,315,847 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 501,751,449 | $ | 94,734,477 | $ | 70,480,754 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | 7,200,000 | 1,500,000 | 2,400,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 69.69 | $ | 63.16 | $ | 29.37 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 467,736,039 | $ | 87,098,947 | $ | 64,929,226 | ||||||
Cost of investments in affiliates | 2,446,359 | 403,004 | 268,428 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 131 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2018 (Unaudited) (continued)
JPMorgan U.S. Dividend ETF | JPMorgan U.S. Minimum Volatility ETF | JPMorgan U.S. Momentum Factor ETF | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 26,046,067 | $ | 26,480,858 | $ | 27,185,811 | ||||||
Investments in affiliates, at value | 74,097 | 68,080 | 151,827 | |||||||||
Restricted cash | — | 600 | — | |||||||||
Deferred offering costs | 2,140 | 3,028 | 2,142 | |||||||||
Prepaid Expenses | 778 | 774 | 856 | |||||||||
Receivables: | ||||||||||||
Dividends from non-affiliates | 44,218 | 21,846 | 14,673 | |||||||||
Dividends from affiliates | 149 | 137 | 112 | |||||||||
Due from Adviser | 7,115 | 7,166 | 7,230 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 26,174,564 | 26,582,489 | 27,362,651 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Accrued liabilities: | ||||||||||||
Administration fees | 1,821 | 1,853 | 1,907 | |||||||||
Custodian, Accounting and Transfer Agent fees | 4,128 | 4,973 | 6,316 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 304 | 339 | 277 | |||||||||
Professional Fees | 21,068 | 21,085 | 21,046 | |||||||||
Other | 1,246 | 1,088 | 1,144 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 28,567 | 29,338 | 30,690 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 26,145,997 | $ | 26,553,151 | $ | 27,331,961 | ||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 26,303,329 | $ | 26,278,543 | $ | 26,261,922 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 112,169 | 64,839 | 36,285 | |||||||||
Accumulated net realized gains (losses) | 208,996 | 66,088 | 78,877 | |||||||||
Net unrealized appreciation (depreciation) | (478,497 | ) | 143,681 | 954,877 | ||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 26,145,997 | $ | 26,553,151 | $ | 27,331,961 | ||||||
|
|
|
|
|
| |||||||
Outstanding number of shares | 1,050,000 | 1,050,000 | 1,050,000 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, per share | $ | 24.90 | $ | 25.29 | $ | 26.03 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 26,524,564 | $ | 26,337,177 | $ | 26,230,934 | ||||||
Cost of investments in affiliates | 74,097 | 68,080 | 151,827 |
SEE NOTES TO FINANCIAL STATEMENTS.
132 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Factor ETF | JPMorgan U.S. Value | |||||||
ASSETS: |
| |||||||
Investments in non-affiliates, at value | $ | 26,775,186 | $ | 26,519,727 | ||||
Investments in affiliates, at value | 117,748 | 72,576 | ||||||
Restricted cash | 600 | — | ||||||
Deferred offering costs | 2,136 | 2,143 | ||||||
Prepaid Expenses | 836 | 825 | ||||||
Receivables: | ||||||||
Dividends from non-affiliates | 22,743 | 27,231 | ||||||
Dividends from affiliates | 120 | 154 | ||||||
Due from Adviser | 7,477 | 7,340 | ||||||
|
|
|
| |||||
Total Assets | 26,926,846 | 26,629,996 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Accrued liabilities: | ||||||||
Administration fees | 1,884 | 1,867 | ||||||
Custodian, Accounting and Transfer Agent fees | 6,218 | 6,109 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 287 | 280 | ||||||
Professional Fees | 21,089 | 21,031 | ||||||
Other | 1,167 | 1,142 | ||||||
|
|
|
| |||||
Total Liabilities | 30,645 | 30,429 | ||||||
|
|
|
| |||||
Net Assets | $ | 26,896,201 | $ | 26,599,567 | ||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Paid-in-Capital | $ | 26,328,818 | $ | 26,258,194 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 59,420 | 67,576 | ||||||
Accumulated net realized gains (losses) | 65,768 | 166,714 | ||||||
Net unrealized appreciation (depreciation) | 442,195 | 107,083 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 26,896,201 | $ | 26,599,567 | ||||
|
|
|
| |||||
Outstanding number of shares | 1,050,000 | 1,050,000 | ||||||
|
|
|
| |||||
Net asset value, per share | $ | 25.62 | $ | 25.33 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 26,332,991 | $ | 26,412,644 | ||||
Cost of investments in affiliates | 117,748 | 72,576 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 133 |
STATEMENTS OF OPERATIONS
AS OF APRIL 30, 2018 (Unaudited)
JPMorgan Diversified Return Emerging Markets Equity ETF | JPMorgan Diversified Return Europe Currency Hedged ETF | JPMorgan Diversified Return Europe Equity ETF | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 1,842,823 | $ | — | $ | 1,372,805 | ||||||
Dividend income from affiliates | 2,308 | 879,506 | — | |||||||||
Interest income from non-affiliates | — | — | 210 | |||||||||
Interest income from affiliates | — | — | 50 | |||||||||
Foreign taxes withheld | (135,315 | ) | — | (141,389 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 1,709,816 | 879,506 | 1,231,676 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 415,970 | 48,298 | 117,506 | |||||||||
Administration fees (Note 3.B) | 80,359 | 12,441 | 33,294 | |||||||||
Professional fees | 45,907 | 16,273 | 36,870 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 9,673 | 3,250 | 7,910 | |||||||||
Printing and mailing costs | 11,915 | 1,770 | 3,835 | |||||||||
Registration and filing fees | 9,004 | 3,643 | 6,552 | |||||||||
Custodian, Accounting and Transfer Agent fees (Note 3.C) | 306,559 | 15,549 | 30,852 | |||||||||
Insurance expense | 8,688 | 1,421 | 3,325 | |||||||||
Other | 8,480 | 6,614 | 4,182 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 896,555 | 109,259 | 244,326 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.E) | (367,376 | ) | (60,738 | ) | (75,835 | ) | ||||||
Less expense reimbursements from affiliates (Note 3.E) | — | (39,879 | ) | — | ||||||||
Less expense reimbursements from non-affiliates (Note 3.E) | (102,900 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 426,279 | 8,642 | 168,491 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,283,537 | 870,864 | 1,063,185 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | (263,657 | )(a) | — | 256,275 | ||||||||
Investments in affiliates | — | 232,512 | — | |||||||||
Futures | 168,163 | — | (26,023 | ) | ||||||||
Foreign currency transactions | 1,013 | 848 | 10,343 | |||||||||
Forward foreign currency exchange contracts | 169 | (707,300 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (94,312 | ) | (473,940 | ) | 240,595 | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 4,899,765 | (b) | — | 696,344 | ||||||||
Investments in affiliates | — | (373,329 | ) | — | ||||||||
Foreign currency translations | (312 | ) | — | 1,030 | ||||||||
Forward foreign currency exchange contracts | — | 139,752 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 4,899,453 | (233,577 | ) | 697,374 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 4,805,141 | (707,517 | ) | 937,969 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 6,088,678 | $ | 163,347 | $ | 2,001,154 | ||||||
|
|
|
|
|
|
(a) | Net of foreign capital gains tax of approximately $16,650. |
(b) | Net change in foreign capital gains tax of approximately $77,685. |
SEE NOTES TO FINANCIAL STATEMENTS.
134 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return Global Equity ETF | JPMorgan Diversified Return International Currency Hedged ETF | JPMorgan Diversified Return International Equity ETF | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 2,572,937 | $ | — | $ | 20,674,612 | ||||||
Dividend income from affiliates | 3,915 | 1,042,143 | 37,796 | |||||||||
Interest income from non-affiliates | 96 | — | 2,248 | |||||||||
Interest income from affiliates | 176 | 50 | 89 | |||||||||
Foreign taxes withheld | (201,552 | ) | — | (1,823,973 | ) | |||||||
|
|
|
|
|
| |||||||
Total investment income | 2,375,572 | 1,042,193 | 18,890,772 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 212,427 | 54,475 | 1,605,241 | |||||||||
Administration fees (Note 3.B) | 75,236 | 17,150 | 568,535 | |||||||||
Interest expense to non-affiliates | — | — | 41 | |||||||||
Interest expense to affiliates | 179 | 358 | 1,414 | |||||||||
Professional fees | 37,725 | 17,962 | 130,350 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 10,863 | 4,140 | 90,443 | |||||||||
Printing and mailing costs | 8,234 | 3,313 | 69,004 | |||||||||
Registration and filing fees | 6,929 | 6,081 | 46,449 | |||||||||
Custodian, Accounting and Transfer Agent fees (Note 3.C) | �� | 158,710 | 14,940 | 291,736 | ||||||||
Insurance expense | 5,489 | 2,954 | 50,963 | |||||||||
Other | 5,594 | 5,992 | 28,366 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 521,386 | 127,365 | 2,882,542 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.E) | (68,720 | ) | (71,624 | ) | (3,638 | ) | ||||||
Less expense reimbursements from affiliates (Note 3.E) | — | (43,571 | ) | — | ||||||||
Less expense reimbursements from non-affiliates (Note 3.E) | (115,500 | ) | — | (100,800 | ) | |||||||
|
|
|
|
|
| |||||||
Net expenses | 337,166 | 12,170 | 2,778,104 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 2,038,406 | 1,030,023 | 16,112,668 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 604,870 | (2,368,230 | ) | 8,653,812 | ||||||||
Investments in affiliates | — | 2,467,406 | — | |||||||||
In-kind redemptions in non-affiliates | (1,632,510 | ) | — | — | ||||||||
In-kind redemptions in affiliates | — | 2,368,263 | — | |||||||||
Futures | 21,386 | — | 188,114 | |||||||||
Foreign currency transactions | (41,669 | ) | (1 | ) | 273,320 | |||||||
Forward foreign currency exchange contracts | (5,779 | ) | (1,477,588 | ) | (236,110 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (1,053,702 | ) | 989,850 | 8,879,136 | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 4,635,360 | — | 24,771,622 | |||||||||
Investments in affiliates | — | (1,446,692 | ) | — | ||||||||
Futures | — | — | (135,909 | ) | ||||||||
Foreign currency translations | (4,852 | ) | 5 | (90,790 | ) | |||||||
Forward foreign currency exchange contracts | — | 215,041 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 4,630,508 | (1,231,646 | ) | 24,544,923 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 3,576,806 | (241,796 | ) | 33,424,059 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 5,615,212 | $ | 788,227 | $ | 49,536,727 | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 135 |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2018 (Unaudited) (continued)
JPMorgan Diversified Return U.S. Equity ETF | JPMorgan Diversified Return U.S. Mid Cap Equity ETF | JPMorgan Diversified Return U.S. Small Cap Equity ETF | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 4,337,596 | $ | 753,738 | $ | 441,838 | ||||||
Dividend income from affiliates | 14,079 | 3,199 | 2,221 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 4,351,675 | 756,937 | 444,059 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 500,007 | 101,586 | 89,571 | |||||||||
Administration fees (Note 3.B) | 184,787 | 35,979 | 26,254 | |||||||||
Professional fees | 54,271 | 25,022 | 30,014 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 29,701 | 6,580 | 4,576 | |||||||||
Printing and mailing costs | 22,924 | 5,867 | 1,487 | |||||||||
Registration and filing fees | 18,507 | 8,066 | 7,418 | |||||||||
Custodian, Accounting and Transfer Agent fees (Note 3.C) | 40,157 | 21,827 | 35,443 | |||||||||
Insurance expense | 19,363 | 3,954 | 3,078 | |||||||||
Offering costs (Note 2.F) | — | — | 39 | |||||||||
Other | 11,595 | 4,621 | 3,805 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 881,312 | 213,502 | 201,685 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.E) | (445,800 | ) | (104,539 | ) | (97,505 | ) | ||||||
Less expense reimbursements from non-affiliates (Note 3.E) | (23,200 | ) | (7,500 | ) | (14,700 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 412,312 | 101,463 | 89,480 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 3,939,363 | 655,474 | 354,579 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 2,236,131 | 710,794 | 462,778 | |||||||||
Futures | 103,798 | (907 | ) | 22,802 | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 2,339,929 | 709,887 | 485,580 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 3,522,778 | 949,717 | 624,388 | |||||||||
Futures | (23,608 | ) | — | (11,914 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 3,499,170 | 949,717 | 612,474 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 5,839,099 | 1,659,604 | 1,098,054 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 9,778,462 | $ | 2,315,078 | $ | 1,452,633 | ||||||
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
136 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Dividend ETF (a) | JPMorgan U.S. Minimum Volatility ETF (a) | JPMorgan U.S. Momentum Factor ETF (a) | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 473,142 | $ | 285,387 | $ | 203,903 | ||||||
Dividend income from affiliates | 695 | 638 | 568 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 473,837 | 286,025 | 204,471 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees (Note 3.A) | 28,761 | 28,292 | 29,630 | |||||||||
Administration fees (Note 3.B) | 10,629 | 10,456 | 10,950 | |||||||||
Professional fees | 23,870 | 23,871 | 23,870 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1,910 | 1,907 | 1,915 | |||||||||
Printing and mailing costs | 3,258 | 3,263 | 3,265 | |||||||||
Registration and filing fees | 6,680 | 6,680 | 6,680 | |||||||||
Custodian, Accounting and Transfer Agent fees (Note 3.C) | 13,719 | 13,663 | 16,195 | |||||||||
Insurance expense | 981 | 981 | 981 | |||||||||
Offering costs (Note 2.F) | 1,928 | 2,728 | 1,930 | |||||||||
Other | 1,077 | 1,062 | 1,056 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 92,813 | 92,903 | 96,472 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived (Note 3.E) | (37,462 | ) | (36,020 | ) | (38,650 | ) | ||||||
Less expense reimbursements from affiliates (Note 3.E) | (39,225 | ) | (40,994 | ) | (40,822 | ) | ||||||
Less expense reimbursements from non-affiliates (Note 3.E) | (1,200 | ) | (1,200 | ) | (1,600 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 14,926 | 14,689 | 15,400 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 458,911 | 271,336 | 189,071 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
investments in non-affiliates | 208,996 | 66,088 | 78,877 | |||||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | (478,497 | ) | 143,681 | 954,877 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (269,501 | ) | 209,769 | 1,033,754 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 189,410 | $ | 481,105 | $ | 1,222,825 | ||||||
|
|
|
|
|
|
(a) | Commencement of operations was November 8, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 137 |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2018 (Unaudited) (continued)
JPMorgan U.S. Quality Factor ETF (a) | JPMorgan U.S. Value Factor ETF (a) | |||||||
INVESTMENT INCOME: |
| |||||||
Dividend income from non-affiliates | $ | 277,658 | $ | 341,028 | ||||
Dividend income from affiliates | 666 | 676 | ||||||
|
|
|
| |||||
Total investment income | 278,324 | 341,704 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees (Note 3.A) | 28,991 | 29,547 | ||||||
Administration fees (Note 3.B) | 10,714 | 10,920 | ||||||
Professional fees | 23,870 | 23,870 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1,905 | 1,918 | ||||||
Printing and mailing costs | 3,254 | 3,267 | ||||||
Registration and filing fees | 6,680 | 6,680 | ||||||
Custodian, Accounting and Transfer Agent fees (Note 3.C) | 15,543 | 16,079 | ||||||
Insurance expense | 981 | 981 | ||||||
Offering costs (Note 2.F) | 1,925 | 1,931 | ||||||
Other | 1,062 | 1,054 | ||||||
|
|
|
| |||||
Total expenses | 94,925 | 96,247 | ||||||
|
|
|
| |||||
Less fees waived (Note 3.E) | (37,780 | ) | (38,536 | ) | ||||
Less expense reimbursements from affiliates (Note 3.E) | (40,897 | ) | (40,966 | ) | ||||
Less expense reimbursements from non-affiliates (Note 3.E) | (1,200 | ) | (1,400 | ) | ||||
|
|
|
| |||||
Net expenses | 15,048 | 15,345 | ||||||
|
|
|
| |||||
Net investment income (loss) | 263,276 | 326,359 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
investments in non-affiliates | 65,768 | 166,714 | ||||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments in non-affiliates | 442,195 | 107,083 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 507,963 | 273,797 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 771,239 | $ | 600,156 | ||||
|
|
|
|
(a) | Commencement of operations was November 8, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
138 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Diversified Return Emerging Markets Equity ETF | JPMorgan Diversified Return Europe Currency Hedged ETF | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,283,537 | $ | 3,452,670 | $ | 870,864 | $ | 644,580 | ||||||||
Net realized gain (loss) | (94,312 | ) | 1,036,538 | (473,940 | ) | (771,406 | ) | |||||||||
Change in net unrealized appreciation/depreciation | 4,899,453 | 19,206,880 | (233,577 | ) | 5,441,723 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 6,088,678 | 23,696,088 | 163,347 | 5,314,897 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (4,037,440 | ) | (771,056 | ) | (851,015 | ) | (534,400 | ) | ||||||||
From net realized gains | — | — | — | (1,806,320 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (4,037,440 | ) | (771,056 | ) | (851,015 | ) | (2,340,720 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 66,693,476 | 99,006,553 | — | 1,249,800 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 68,744,714 | 121,931,585 | (687,668 | ) | 4,223,977 | |||||||||||
Beginning of period | 165,741,046 | 43,809,461 | 30,707,245 | 26,483,268 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 234,485,760 | $ | 165,741,046 | $ | 30,019,577 | $ | 30,707,245 | ||||||||
|
|
|
| �� |
|
|
|
| ||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 572,973 | $ | 3,326,876 | $ | 54,762 | $ | 34,913 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | $ | 66,693,476 | $ | 99,006,553 | $ | — | $ | 1,249,800 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 66,693,476 | $ | 99,006,553 | $ | — | $ | 1,249,800 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued (See Note 4) | 1,100,000 | 2,000,000 | — | 50,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares from share transactions | 1,100,000 | 2,000,000 | — | 50,000 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 139 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Diversified Return Europe Equity ETF | JPMorgan Diversified Return Global Equity ETF | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,063,185 | $ | 1,886,817 | $ | 2,038,406 | $ | 1,650,745 | ||||||||
Net realized gain (loss) | 240,595 | (62,703 | ) | (1,053,702 | ) | 2,538,682 | ||||||||||
Change in net unrealized appreciation/depreciation | 697,374 | 13,101,894 | 4,630,508 | 10,668,551 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 2,001,154 | 14,926,008 | 5,615,212 | 14,857,978 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (2,331,082 | ) | (1,338,720 | ) | (2,477,206 | ) | (1,695,420 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (2,331,082 | ) | (1,338,720 | ) | (2,477,206 | ) | (1,695,420 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | — | 6,045,436 | 123,557,090 | 12,975,579 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (329,928 | ) | 19,632,724 | 126,695,096 | 26,138,137 | |||||||||||
Beginning of period | 79,492,357 | 59,859,633 | 103,695,070 | 77,556,933 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 79,162,429 | $ | 79,492,357 | $ | 230,390,166 | $ | 103,695,070 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 477,978 | $ | 1,745,875 | $ | 765,735 | $ | 1,204,535 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 6,045,436 | $ | 148,343,378 | $ | 23,855,987 | ||||||||
Redeemed | — | — | (24,786,288 | ) | (10,880,408 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | — | $ | 6,045,436 | $ | 123,557,090 | $ | 12,975,579 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued (See Note 4) | — | 100,000 | 2,400,000 | 400,000 | ||||||||||||
Redeemed (See Note 4) | — | — | (400,000 | ) | (200,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares from share transactions | — | 100,000 | 2,000,000 | 200,000 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
140 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return International Currency Hedged ETF | JPMorgan Diversified Return International Equity ETF | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,030,023 | $ | 519,793 | $ | 16,112,668 | $ | 20,245,953 | ||||||||
Net realized gain (loss) | 989,850 | (117,698 | ) | 8,879,136 | 172,051 | |||||||||||
Change in net unrealized appreciation/depreciation | (1,231,646 | ) | 6,562,751 | 24,544,923 | 123,143,744 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 788,227 | 6,964,846 | 49,536,727 | 143,561,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (1,022,148 | ) | (431,255 | ) | (28,847,054 | ) | (9,230,405 | ) | ||||||||
From net realized gains | — | (918,280 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,022,148 | ) | (1,349,535 | ) | (28,847,054 | ) | (9,230,405 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (13,465,097 | ) | 16,343,042 | 360,478,220 | 555,512,947 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (13,699,018 | ) | 21,958,353 | 381,167,893 | 689,844,290 | |||||||||||
Beginning of period | 48,274,467 | 26,316,114 | 1,159,887,006 | 470,042,716 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 34,575,449 | $ | 48,274,467 | $ | 1,541,054,899 | $ | 1,159,887,006 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 22,357 | $ | 14,482 | $ | 5,227,051 | $ | 17,961,437 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 16,343,042 | $ | 360,478,220 | $ | 581,072,027 | ||||||||
Redeemed | (13,465,097 | ) | — | — | (25,559,080 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (13,465,097 | ) | $ | 16,343,042 | $ | 360,478,220 | $ | 555,512,947 | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued (See Note 4) | — | 600,000 | 6,000,000 | 10,700,000 | ||||||||||||
Redeemed (See Note 4) | (450,000 | ) | — | — | (500,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares from share transactions | (450,000 | ) | 600,000 | 6,000,000 | 10,200,000 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 141 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Diversified Return U.S. Equity ETF | JPMorgan Diversified Return U.S. Mid Cap Equity ETF | |||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 3,939,363 | $ | 4,296,175 | $ | 655,474 | $ | 824,382 | ||||||||
Net realized gain (loss) | 2,339,929 | 9,029,074 | 709,887 | 3,575,389 | ||||||||||||
Change in net unrealized appreciation/depreciation | 3,499,170 | 28,000,601 | 949,717 | 5,506,350 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 9,778,462 | 41,325,850 | 2,315,078 | 9,906,121 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (6,538,161 | ) | (1,329,650 | ) | (1,163,798 | ) | (396,160 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (6,538,161 | ) | (1,329,650 | ) | (1,163,798 | ) | (396,160 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 142,212,377 | 190,764,313 | 31,519,947 | 16,399,401 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 145,452,678 | 230,760,513 | 32,671,227 | 25,909,362 | ||||||||||||
Beginning of period | 356,298,771 | 125,538,258 | 62,063,250 | 36,153,888 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 501,751,449 | $ | 356,298,771 | $ | 94,734,477 | $ | 62,063,250 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,071,871 | $ | 3,670,669 | $ | 181,057 | $ | 689,381 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | $ | 142,212,377 | $ | 266,609,754 | $ | 31,519,947 | $ | 34,787,448 | ||||||||
Redeemed | — | (75,845,441 | ) | — | (18,388,047 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 142,212,377 | $ | 190,764,313 | $ | 31,519,947 | $ | 16,399,401 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued (See Note 4) | 2,000,000 | 4,200,000 | 500,000 | 600,000 | ||||||||||||
Redeemed | — | (1,200,000 | ) | — | (300,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares from share transactions | 2,000,000 | 3,000,000 | 500,000 | 300,000 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
142 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Return U.S. Small Cap Equity ETF | JPMorgan U.S. Dividend ETF | JPMorgan U.S. Minimum Volatility ETF | ||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Period Ended October 31, 2017 (a) | Period Ended April 30, 2018 (Unaudited) (b) | Period Ended April 30, 2018 (Unaudited) (b) | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 354,579 | $ | 338,470 | $ | 458,911 | $ | 271,336 | ||||||||
Net realized gain (loss) | 485,580 | (295,108 | ) | 208,996 | 66,088 | |||||||||||
Change in net unrealized appreciation/depreciation | 612,474 | 4,703,373 | (478,497 | ) | 143,681 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,452,633 | 4,746,735 | 189,410 | 481,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
From net investment income | (520,621 | ) | (36,680 | ) | (346,742 | ) | (206,497 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (520,621 | ) | (36,680 | ) | (346,742 | ) | (206,497 | ) | ||||||||
|
| �� |
|
|
|
|
|
| ||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 14,537,637 | 50,301,050 | 26,303,329 | 26,278,543 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 15,469,649 | 55,011,105 | 26,145,997 | 26,553,151 | ||||||||||||
Beginning of period | 55,011,105 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 70,480,754 | $ | 55,011,105 | $ | 26,145,997 | $ | 26,553,151 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 135,748 | $ | 301,790 | $ | 112,169 | $ | 64,839 | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Proceeds from shares issued | $ | 14,537,637 | $ | 50,301,050 | $ | 26,303,329 | $ | 26,278,543 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 14,537,637 | $ | 50,301,050 | $ | 26,303,329 | $ | 26,278,543 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Issued (See Note 4) | 500,000 | 1,900,000 | 1,050,000 | 1,050,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in shares from share transactions | 500,000 | 1,900,000 | 1,050,000 | 1,050,000 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was November 15, 2016. |
(b) | Commencement of operations was November 8, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 143 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan U.S. Momentum Factor ETF | JPMorgan U.S. Quality Factor ETF | JPMorgan U.S. Value Factor ETF | ||||||||||
Period Ended April 30, 2018 (Unaudited) (a) | Period Ended April 30, 2018 (Unaudited) (a) | Period Ended April 30, 2018 (Unaudited) (a) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||
Net investment income (loss) | $ | 189,071 | $ | 263,276 | $ | 326,359 | ||||||
Net realized gain (loss) | 78,877 | 65,768 | 166,714 | |||||||||
Change in net unrealized appreciation/depreciation | 954,877 | 442,195 | 107,083 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | 1,222,825 | 771,239 | 600,156 | |||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
From net investment income | (152,786 | ) | (203,856 | ) | (258,783 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions to shareholders | (152,786 | ) | (203,856 | ) | (258,783 | ) | ||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets resulting from capital transactions | 26,261,922 | 26,328,818 | 26,258,194 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | 27,331,961 | 26,896,201 | 26,599,567 | |||||||||
Beginning of period | — | — | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 27,331,961 | $ | 26,896,201 | $ | 26,599,567 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 36,285 | $ | 59,420 | $ | 67,576 | ||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Proceeds from shares issued | $ | 26,261,922 | $ | 26,328,818 | $ | 26,258,194 | ||||||
|
|
|
|
|
| |||||||
Total change in net assets resulting from capital transactions | $ | 26,261,922 | $ | 26,328,818 | $ | 26,258,194 | ||||||
|
|
|
|
|
| |||||||
SHARE TRANSACTIONS: | ||||||||||||
Issued (See Note 4) | 1,050,000 | 1,050,000 | 1,050,000 | |||||||||
|
|
|
|
|
| |||||||
Net increase in shares from share transactions | 1,050,000 | 1,050,000 | 1,050,000 | |||||||||
|
|
|
|
|
|
(a) | Commencement of operations was November 8, 2017. |
SEE NOTES TO FINANCIAL STATEMENTS.
144 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
THIS PAGE IS INTENTIONALLY LEFT BLANK
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 145 |
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 realized gain (loss) | Total distributions | |||||||||||||||||||||
JPMorgan Diversified Return Emerging Markets Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | $ | 57.15 | $ | 0.40 | $ | 2.43 | $ | 2.83 | $ | (1.36 | ) | $ | — | $ | (1.36 | ) | ||||||||||||
Year Ended October 31, 2017 | 48.68 | 1.50 | 7.56 | 9.06 | (0.59 | ) | — | (0.59 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 45.23 | 1.04 | 3.72 | 4.76 | (1.31 | ) | — | (1.31 | ) | |||||||||||||||||||
January 7, 2015 (a) through October 31, 2015 | 50.00 | 1.29 | (6.06 | ) | (4.77 | ) | — | — | — | |||||||||||||||||||
JPMorgan Diversified Return Europe Currency Hedged ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 29.24 | 0.83 | (c) | (0.67 | ) | 0.16 | (0.81 | ) | — | (0.81 | ) | |||||||||||||||||
Year Ended October 31, 2017 | 26.48 | 0.62 | (c)(k) | 4.48 | 5.10 | (0.53 | ) | (1.81 | ) | (2.34 | ) | |||||||||||||||||
April 1, 2016 (a) through October 31, 2016 | 25.00 | (0.07 | )(c) | 1.55 | 1.48 | — | — | — | ||||||||||||||||||||
JPMorgan Diversified Return Europe Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 61.15 | 0.82 | 0.71 | 1.53 | (1.79 | ) | — | (1.79 | ) | |||||||||||||||||||
Year Ended October 31, 2017 | 49.88 | 1.57 | 10.82 | 12.39 | (1.12 | ) | — | (1.12 | ) | |||||||||||||||||||
December 18, 2015 (a) through October 31, 2016 | 50.00 | 1.39 | (1.51 | ) | (0.12 | ) | — | (j) | — | — | (j) | |||||||||||||||||
JPMorgan Diversified Return Global Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 61.00 | 0.71 | 1.61 | 2.32 | (1.05 | ) | — | (1.05 | ) | |||||||||||||||||||
Year Ended October 31, 2017 | 51.70 | 1.15 | 9.28 | 10.43 | (1.13 | ) | — | (1.13 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 50.53 | 1.14 | 0.99 | 2.13 | (0.96 | ) | — | (0.96 | ) | |||||||||||||||||||
Year Ended October 31, 2015 | 49.69 | 1.08 | 0.08 | 1.16 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
June 16, 2014 (a) through October 31, 2014 | 50.00 | 0.38 | (0.69 | ) | (0.31 | ) | — | — | — |
(a) | Commencement of operations. |
(b) | Calculated based upon average shares outstanding. |
(c) | Net investment income (loss) is affected by the timing of distributions from underlying funds. |
(d) | Not annualized for periods less than one year. |
(e) | 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. |
(f) | 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. |
(g) | Annualized for periods less than one year, unless otherwise indicated. |
(h) | Certain non-recurring expenses incurred by the Fund were not annualized for the periods indicated. |
(i) | Does not include expenses of underlying funds. |
(j) | Amount rounds to less than $0.005. |
(k) | Amount reflects an out of period adjustment related to an expense reimbursement for acquired fund fees. Had the Fund not recorded the out of period adjustment, the net investment income (loss) per share would have been $0.56, the net investment income (loss) ratio would have been 2.10%, the net expense ratio would have been 0.07%, and the total return would have been 20.66%. |
SEE NOTES TO FINANCIAL STATEMENTS.
146 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
| Ratios/Supplemental data | |||||||||||||||||||||||||||||||||
Ratios to average net assets (g) | ||||||||||||||||||||||||||||||||||
Net asset value, end of period | Market price, end of period | Total return (d)(e) | Market price total return (d)(f) | Net assets, end of period | Net expenses (i) | Net investment income (loss) | Expenses without waivers and reimbursements (i) | Portfolio turnover rate (d) | ||||||||||||||||||||||||||
$ | 58.62 | $ | 58.73 | 5.01 | % | 4.81 | % | $ | 234,485,760 | 0.45 | % | 1.36 | % | 0.95 | % | 23 | % | |||||||||||||||||
57.15 | 57.36 | 18.95 | 18.65 | 165,741,046 | 0.45 | 2.85 | 1.06 | 60 | ||||||||||||||||||||||||||
48.68 | 48.98 | 11.02 | 11.63 | 43,809,461 | 0.45 | 2.33 | 1.91 | 44 | ||||||||||||||||||||||||||
45.23 | 45.27 | (9.54 | ) | (9.46 | ) | 36,185,674 | 0.45 | (h) | 3.18 | 2.07 | (h) | 46 | ||||||||||||||||||||||
28.59 | 28.57 | 0.55 | 0.34 | 30,019,577 | 0.06 | 5.95 | (c) | 0.75 | 5 | |||||||||||||||||||||||||
29.24 | 29.29 | 20.87 | (k) | 20.83 | 30,707,245 | (0.14 | )(k) | 2.31 | (c)(k) | 0.88 | 12 | |||||||||||||||||||||||
26.48 | 26.52 | 5.96 | 6.08 | 26,483,268 | 0.49 | (h) | (0.49 | )(c) | 1.08 | (h) | 1 | |||||||||||||||||||||||
60.89 | 61.02 | 2.57 | 2.32 | 79,162,429 | 0.43 | 2.71 | 0.62 | 7 | ||||||||||||||||||||||||||
61.15 | 61.42 | 25.42 | 25.80 | 79,492,357 | 0.43 | 2.89 | 0.80 | 18 | ||||||||||||||||||||||||||
49.88 | 49.95 | (0.23 | ) | (0.09 | ) | 59,859,633 | 0.43 | (h) | 3.14 | 1.14 | (h) | 15 | ||||||||||||||||||||||
62.27 | 62.23 | 3.81 | 3.50 | 230,390,166 | 0.38 | 2.29 | 0.59 | 14 | ||||||||||||||||||||||||||
61.00 | 61.14 | 20.61 | 20.40 | 103,695,070 | 0.38 | 2.06 | 0.80 | 26 | ||||||||||||||||||||||||||
51.70 | 51.91 | 4.31 | 4.44 | 77,556,933 | 0.38 | 2.26 | 0.93 | 22 | ||||||||||||||||||||||||||
50.53 | 50.67 | 2.36 | 1.82 | 50,530,034 | 0.38 | 2.16 | 1.52 | 18 | ||||||||||||||||||||||||||
49.69 | 50.09 | (0.62 | ) | 0.18 | 24,846,767 | 0.38 | (h) | 2.01 | 5.19 | (h) | 14 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 147 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
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 realized gain (loss) | Total from distributions | ||||||||||||||||||||||
JPMorgan Diversified Return International Currency Hedged ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | $ | 30.17 | $ | 0.76 | (c) | $ | (0.20 | ) | $ | 0.56 | $ | (0.66 | ) | $ | — | $ | (0.66 | ) | ||||||||||
Year Ended October 31, 2017 | 26.32 | 0.37 | (c)(l) | 4.70 | 5.07 | (0.39 | ) | (0.83 | ) | (1.22 | ) | |||||||||||||||||
April 1, 2016 (a) through October 31, 2016 | 25.00 | (0.07 | )(c) | 1.39 | 1.32 | — | — | — | ||||||||||||||||||||
JPMorgan Diversified Return International Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 59.18 | 0.71 | 1.67 | 2.38 | (1.36 | ) | — | (1.36 | ) | |||||||||||||||||||
Year Ended October 31, 2017 | 50.00 | 1.43 | 8.57 | 10.00 | (0.82 | ) | — | (0.82 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 51.17 | 1.28 | (1.37 | )(d) | (0.09 | ) | (1.08 | ) | — | (1.08 | ) | |||||||||||||||||
November 5, 2014 (a) through October 31, 2015 | 50.00 | 1.39 | (0.07 | ) | 1.32 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
JPMorgan Diversified Return U.S. Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 68.52 | 0.63 | 1.64 | 2.27 | (1.10 | ) | — | (1.10 | ) | |||||||||||||||||||
Year Ended October 31, 2017 | 57.06 | 1.17 | 10.75 | 11.92 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Year Ended October 31, 2016 | 54.13 | 1.10 | 2.09 | (d) | 3.19 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
September 29, 2015 (a) through October 31, 2015 | 50.00 | 0.06 | 4.07 | 4.13 | — | — | — | |||||||||||||||||||||
JPMorgan Diversified Return U.S. Mid Cap Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 62.06 | 0.49 | 1.49 | 1.98 | (0.88 | ) | — | (0.88 | ) | |||||||||||||||||||
Year Ended October 31, 2017 | 51.65 | 0.89 | 10.02 | 10.91 | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||||
May 11, 2016 (a) through October 31, 2016 | 50.00 | 0.42 | 1.23 | 1.65 | — | — | — | |||||||||||||||||||||
JPMorgan Diversified Return U.S. Small Cap Equity ETF | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | 28.95 | 0.17 | 0.50 | 0.67 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
November 15, 2016 (a) through October 31, 2017 | 25.00 | 0.28 | 3.71 | 3.99 | (0.04 | ) | — | (0.04 | ) |
(a) | Commencement of operations. |
(b) | Calculated based upon average shares outstanding. |
(c) | Net investment income (loss) is affected by the timing of distributions from underlying funds. |
(d) | 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 Statement of Operations due to the timing of capital transactions in relation to the fluctuating market values of the Fund’s investments. |
(e) | Not annualized for periods less than one year. |
(f) | 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. |
(g) | 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. |
(h) | Annualized for periods less than one year, unless otherwise indicated. |
(i) | Certain non-recurring expenses incurred by the Fund were not annualized for the periods indicated. |
(j) | Does not include expenses of underlying funds. |
(k) | Amount rounds to less than 1%. |
(l) | Amount reflects an out of period adjustment related to an expense reimbursement for acquired fund fees. Had the Fund not recorded the out of period adjustment, the net investment income (loss) per share would have been $0.33, the net investment income (loss) ratio would have been 1.18%, the net expense ratio would have been 0.07%, and the total return would have been 19.84%. |
SEE NOTES TO FINANCIAL STATEMENTS.
148 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
| Ratios/Supplemental data | |||||||||||||||||||||||||||||||||
Ratios to average net assets (h) | ||||||||||||||||||||||||||||||||||
Net asset value, end of period | Market price, end of period | Total return (e)(f) | Market price total return (e)(g) | Net assets, end of period | Net expenses (j) | Net investment income (loss) | Expenses without waivers and reimbursements (j) | Portfolio turnover rate (e) | ||||||||||||||||||||||||||
$ | 30.07 | $ | 29.95 | 1.83 | % | 1.97 | % | $ | 34,575,449 | 0.06 | % | 5.11 | %(c) | 0.63 | % | 2 | % | |||||||||||||||||
30.17 | 30.02 | 20.04 | (l) | 19.30 | 48,274,467 | (0.08 | )(l) | 1.33 | (c)(l) | 0.76 | 5 | |||||||||||||||||||||||
26.32 | 26.34 | 5.28 | 5.36 | 26,316,114 | 0.49 | (i) | (0.49 | )(c) | 1.14 | (i) | 4 | |||||||||||||||||||||||
60.20 | 60.31 | 4.06 | 3.93 | 1,541,054,899 | 0.41 | 2.41 | 0.43 | 12 | ||||||||||||||||||||||||||
59.18 | 59.36 | 20.35 | 20.30 | 1,159,887,006 | 0.43 | 2.63 | 0.51 | 29 | ||||||||||||||||||||||||||
50.00 | 50.17 | (0.15 | ) | 0.41 | 470,042,716 | 0.43 | 2.56 | 0.75 | 27 | |||||||||||||||||||||||||
51.17 | 51.05 | 2.65 | 2.40 | 92,113,607 | 0.43 | (i) | 2.72 | 1.33 | (i) | 20 | ||||||||||||||||||||||||
69.69 | 69.72 | 3.31 | 3.29 | 501,751,449 | 0.19 | 1.81 | 0.40 | 12 | ||||||||||||||||||||||||||
68.52 | 68.55 | 20.99 | 21.02 | 356,298,771 | 0.21 | 1.83 | 0.47 | 27 | ||||||||||||||||||||||||||
57.06 | 57.08 | 5.92 | 5.90 | 125,538,258 | 0.29 | 1.95 | 0.90 | 22 | ||||||||||||||||||||||||||
54.13 | 54.16 | 8.26 | 8.32 | 10,826,623 | 0.29 | (i) | 1.20 | 5.75 | (i) | — | (k) | |||||||||||||||||||||||
63.16 | 63.17 | 3.17 | 3.15 | 94,734,477 | 0.24 | 1.55 | 0.50 | 10 | ||||||||||||||||||||||||||
62.06 | 62.08 | 21.25 | 21.31 | 62,063,250 | 0.26 | 1.54 | 0.62 | 31 | ||||||||||||||||||||||||||
51.65 | 51.64 | 3.30 | 3.28 | 36,153,888 | 0.34 | (i) | 1.69 | 1.02 | (i) | 15 | ||||||||||||||||||||||||
29.37 | 29.39 | 2.32 | 2.21 | 70,480,754 | 0.29 | 1.15 | 0.65 | 8 | ||||||||||||||||||||||||||
28.95 | 29.00 | 15.96 | 16.16 | 55,011,105 | 0.31 | (i) | 1.08 | 0.97 | (i) | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 149 |
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
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 | ||||||||||||||||
JPMorgan U.S. Dividend ETF |
| |||||||||||||||||||
November 8, 2017 (a) through April 30, 2018 (Unaudited) | $ | 25.00 | $ | 0.44 | $ | (0.21 | ) | $ | 0.23 | $ | (0.33 | ) | ||||||||
JPMorgan U.S. Minimum Volatility ETF | ||||||||||||||||||||
November 8, 2017 (a) through April 30, 2018 (Unaudited) | 25.00 | 0.27 | 0.22 | 0.49 | (0.20 | ) | ||||||||||||||
JPMorgan U.S. Momentum Factor ETF | ||||||||||||||||||||
November 8, 2017 (a) through April 30, 2018 (Unaudited) | 25.00 | 0.18 | 1.00 | 1.18 | (0.15 | ) | ||||||||||||||
JPMorgan U.S. Quality Factor ETF | ||||||||||||||||||||
November 8, 2017 (a) through April 30, 2018 (Unaudited) | 25.00 | 0.26 | 0.56 | 0.82 | (0.20 | ) | ||||||||||||||
JPMorgan U.S. Value Factor ETF | ||||||||||||||||||||
November 8, 2017 (a) through April 30, 2018 (Unaudited) | 25.00 | 0.31 | 0.27 | 0.58 | (0.25 | ) |
(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. |
SEE NOTES TO FINANCIAL STATEMENTS.
150 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
| Ratios/Supplemental data | |||||||||||||||||||||||||||||||||
Ratios to average net assets (f) | ||||||||||||||||||||||||||||||||||
Net asset value, end of period | Market price, end of period | Total return (c)(d) | Market price total return (c)(e) | Net assets, end of period | Net expenses | Net investment income (loss) | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||||||||
$ | 24.90 | $ | 24.91 | 0.90 | % | 0.94 | % | $ | 26,145,997 | 0.11 | %(g) | 3.67 | % | 0.73 | %(g) | 10 | % | |||||||||||||||||
25.29 | 25.30 | 1.96 | 2.00 | 26,553,151 | 0.11 | (g) | 2.21 | 0.74 | (g) | 7 | ||||||||||||||||||||||||
26.03 | 26.05 | 4.70 | 4.78 | 27,331,961 | 0.11 | (g) | 1.47 | 0.72 | (g) | 22 | ||||||||||||||||||||||||
25.62 | 25.63 | 3.26 | 3.30 | 26,896,201 | 0.11 | (g) | 2.09 | 0.74 | (g) | 10 | ||||||||||||||||||||||||
25.33 | 25.35 | 2.28 | 2.36 | 26,599,567 | 0.11 | (g) | 2.54 | 0.74 | (g) | 11 |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 151 |
AS OF APRIL 30, 2018
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 14 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 | |
JPMorgan Diversified Return U.S. Equity ETF | Diversified | |
JPMorgan Diversified Return U.S. Mid Cap Equity ETF | Diversified | |
JPMorgan Diversified Return U.S. Small Cap Equity ETF | Diversified | |
JPMorgan U.S. Dividend ETF | Diversified | |
JPMorgan U.S. Minimum Volatility ETF | Diversified | |
JPMorgan U.S. Momentum Factor ETF | Diversified | |
JPMorgan U.S. Quality Factor ETF | Diversified | |
JPMorgan U.S. Value Factor 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 JP Morgan Diversified Factor Emerging Markets Equity Index (formerly FTSE Emerging Diversified Factor Index).
The JPMorgan Diversified Return Europe Currency Hedged ETF (the “Europe Currency Hedged ETF”) commenced operations on 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 JP Morgan Diversified Factor Europe Currency Hedged (USD) Index (formerly FTSE Developed Europe Diversified Factor 100% Hedged to USD Index).
The JPMorgan Diversified Return Europe Equity ETF (the “Europe Equity ETF”) commenced operations on 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 JP Morgan Diversified Factor Europe Equity Index (formerly FTSE Developed Europe Diversified Factor Index).
The JPMorgan Diversified Return Global Equity ETF (the “Global Equity ETF”) commenced operations on 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 JP Morgan Diversified Factor Global Developed Equity Index (formerly FTSE Developed Diversified Factor Index).
The JPMorgan Diversified Return International Currency Hedged ETF (the “International Currency Hedged ETF”) commenced operations on 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 JP Morgan Diversified Factor International Currency Hedged (USD) Index (formerly 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 on 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 JP Morgan Diversified Factor International Equity Index (formerly FTSE Developed ex North America Diversified Factor Index).
The JPMorgan Diversified Return U.S. Equity ETF (the “U.S. Equity ETF”) 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 JP Morgan Diversified Factor US Equity Index (formerly Russell 1000 Diversified Factor Index).
The JPMorgan Diversified Return U.S. Mid Cap Equity ETF (the “U.S. Mid Cap Equity ETF”) commenced operations on May 11, 2016. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Mid Cap Equity Index (formerly Russell Midcap Diversified Factor Index).
The JPMorgan Diversified Return U.S. Small Cap Equity ETF (the “U.S. Small Cap Equity ETF”) commenced operations on November 15, 2016. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Small Cap Equity Index (formerly Russell 2000 Diversified Factor Index).
JPMorgan U.S. Dividend ETF (the “U.S. Dividend ETF”) commenced operations on November 8, 2017. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Dividend Index (the Underlying Index).
JPMorgan U.S. Minimum Volatility ETF (the “U.S. Minimum Volatility ETF”) commenced operations on November 8, 2017. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Minimum Volatility Index.
152 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan U.S. Momentum Factor ETF (the “U.S. Momentum Factor ETF”) commenced operations on November 8, 2017. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Momentum Factor Index.
JPMorgan U.S. Quality Factor ETF (the “U.S. Quality Factor ETF”) commenced operations on November 8, 2017. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Quality Factor Index.
JPMorgan U.S. Value Factor ETF (the “U.S. Value Factor ETF”) commenced operations on November 8, 2017. The investment objective of the Fund is to seek investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Value Factor Index.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as the Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
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 JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, referred to as “Creation Units” as shown in the table below:
Shares per Creation Unit | ||||
Emerging Markets Equity ETF | 100,000 | |||
Europe Currency Hedged ETF | 50,000 | |||
Europe Equity ETF | 100,000 | |||
Global Equity ETF | 100,000 | |||
International Currency Hedged ETF | 50,000 | |||
International Equity ETF | 100,000 | |||
U.S. Equity ETF | 100,000 | |||
U.S. Mid Cap Equity ETF | 100,000 | |||
U.S. Small Cap Equity ETF | 50,000 | |||
U.S. Dividend ETF | 50,000 | |||
U.S. Minimum Volatility ETF | 50,000 | |||
U.S. Momentum Factor ETF | 50,000 | |||
U.S. Quality Factor ETF | 50,000 | |||
U.S. Value Factor ETF | 50,000 |
Creation Units are issued and redeemed principally in-kind for a basket of securities. A cash amount may be substituted in Funds with sizeable exposure to market or sponsor restricted securities. 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 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 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 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 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 affiliated and unaffiliated 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
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 153 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
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 NAVs of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. 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.
Investments in open-end investment companies excluding Exchange-Traded Funds (“ETFs”) (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations. Forward foreign currency contracts 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 (“SOIs”):
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 | $ | 23,789,130 | $ | — | $ | — | $ | 23,789,130 | ||||||||
Chile | 4,182,198 | — | — | 4,182,198 | ||||||||||||
China | 10,524,349 | 47,984,571 | — | 58,508,920 | ||||||||||||
Colombia | 993,297 | — | — | 993,297 | ||||||||||||
Czech Republic | 527,819 | 237,391 | — | 765,210 | ||||||||||||
Egypt | 462,792 | 35,661 | — | 498,453 | ||||||||||||
Greece | — | 886,752 | — | 886,752 | ||||||||||||
Hong Kong | — | 1,892,005 | — | 1,892,005 | ||||||||||||
Hungary | — | 791,015 | — | 791,015 | ||||||||||||
India | — | 16,165,923 | 2,254 | 16,168,177 | ||||||||||||
Indonesia | — | 6,365,363 | — | 6,365,363 | ||||||||||||
Malaysia | 404,072 | 13,671,476 | — | 14,075,548 | ||||||||||||
Mexico | 7,233,378 | — | — | 7,233,378 | ||||||||||||
Pakistan | 34,705 | 38,728 | — | 73,433 | ||||||||||||
Peru | 186,105 | — | — | 186,105 | ||||||||||||
Philippines | 322,829 | 3,820,304 | — | 4,143,133 | ||||||||||||
Poland | 70,491 | 3,936,356 | — | 4,006,847 | ||||||||||||
Qatar | 374,584 | 857,424 | — | 1,232,008 | ||||||||||||
Russia | 10,208,049 | 483,117 | — | 10,691,166 | ||||||||||||
Singapore | — | 26,014 | — | 26,014 | ||||||||||||
South Africa | 3,562,650 | 15,520,678 | — | 19,083,328 | ||||||||||||
Taiwan | 812,866 | 32,971,312 | — | 33,784,178 |
154 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Emerging Markets Equity ETF (continued) | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Thailand | 14,451,323 | 3,997,120 | — | 18,448,443 | ||||||||||||
Turkey | — | 2,806,401 | — | 2,806,401 | ||||||||||||
United Arab Emirates | 872,732 | 1,553,742 | — | 2,426,474 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Common Stocks | 79,013,369 | 154,041,353 | 2,254 | 233,056,976 | ||||||||||||
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|
|
|
|
| |||||||||
Preferred Stocks | ||||||||||||||||
Brazil | 373,503 | — | — | 373,503 | ||||||||||||
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|
|
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|
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| |||||||||
Total Preferred Stocks | 373,503 | — | — | 373,503 | ||||||||||||
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| |||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 947,561 | — | — | 947,561 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 80,334,433 | $ | 154,041,353 | $ | 2,254 | $ | 234,378,040 | ||||||||
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|
|
|
|
|
|
|
Europe Currency Hedged ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 30,028,573 | $ | — | $ | — | $ | 30,028,573 | ||||||||
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|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 683,650 | $ | — | $ | 683,650 | ||||||||
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|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (27,622 | ) | $ | — | $ | (27,622 | ) | ||||||
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|
|
|
|
|
|
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 | $ | — | $ | 847,412 | $ | — | $ | 847,412 | ||||||||
Belgium | 91,389 | 1,197,345 | — | 1,288,734 | ||||||||||||
Denmark | — | 2,307,573 | — | 2,307,573 | ||||||||||||
Finland | — | 4,314,304 | — | 4,314,304 | ||||||||||||
France | — | 11,058,073 | — | 11,058,073 | ||||||||||||
Germany | — | 9,793,575 | — | 9,793,575 | ||||||||||||
Ireland | — | 70,294 | — | 70,294 | ||||||||||||
Italy | — | 2,342,870 | — | 2,342,870 | ||||||||||||
Luxembourg | — | 264,005 | — | 264,005 | ||||||||||||
Netherlands | — | 4,929,538 | — | 4,929,538 | ||||||||||||
Norway | — | 2,040,324 | — | 2,040,324 | ||||||||||||
Portugal | — | 907,828 | — | 907,828 | ||||||||||||
South Africa | — | 285,107 | — | 285,107 | ||||||||||||
Spain | — | 6,676,772 | — | 6,676,772 | ||||||||||||
Sweden | — | 4,235,788 | — | 4,235,788 | ||||||||||||
Switzerland | — | 8,494,658 | — | 8,494,658 | ||||||||||||
United Kingdom | — | 18,405,812 | — | 18,405,812 | ||||||||||||
United States | — | 189,201 | — | 189,201 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Common Stocks | 91,389 | 78,360,479 | — | 78,451,868 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 91,389 | $ | 78,360,479 | $ | — | $ | 78,451,868 | ||||||||
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|
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 155 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
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 | $ | — | $ | 15,536,180 | $ | — | $ | 15,536,180 | ||||||||
Austria | — | 681,162 | — | 681,162 | ||||||||||||
Belgium | — | 1,751,332 | — | 1,751,332 | ||||||||||||
Bermuda | 575,721 | — | — | 575,721 | ||||||||||||
Canada | 8,344,343 | — | — | 8,344,343 | ||||||||||||
Chile | — | 16,781 | — | 16,781 | ||||||||||||
China | — | 965,733 | — | 965,733 | ||||||||||||
Denmark | 639,985 | 1,617,298 | — | 2,257,283 | ||||||||||||
Finland | — | 2,686,471 | — | 2,686,471 | ||||||||||||
France | — | 9,873,265 | — | 9,873,265 | ||||||||||||
Germany | — | 7,551,835 | — | 7,551,835 | ||||||||||||
Hong Kong | 666,519 | 9,397,984 | — | 10,064,503 | ||||||||||||
Israel | 574,138 | — | — | 574,138 | ||||||||||||
Italy | 336,803 | 1,923,506 | — | 2,260,309 | ||||||||||||
Japan | — | 50,555,619 | — | 50,555,619 | ||||||||||||
Netherlands | 208,474 | 3,206,403 | — | 3,414,877 | ||||||||||||
New Zealand | — | 747,046 | — | 747,046 | ||||||||||||
Norway | — | 2,344,249 | — | 2,344,249 | ||||||||||||
Portugal | — | 974,668 | — | 974,668 | ||||||||||||
Singapore | — | 5,008,382 | — | 5,008,382 | ||||||||||||
South Africa | — | 283,382 | — | 283,382 | ||||||||||||
South Korea | — | 19,774,093 | 1,311,185 | 21,085,278 | ||||||||||||
Spain | — | 3,893,800 | — | 3,893,800 | ||||||||||||
Sweden | 588,882 | 5,136,970 | — | 5,725,852 | ||||||||||||
Switzerland | — | 4,165,225 | — | 4,165,225 | ||||||||||||
United Kingdom | 468,597 | 6,347,706 | — | 6,816,303 | ||||||||||||
United States | 60,645,540 | 155,079 | — | 60,800,619 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 73,049,002 | 154,594,169 | 1,311,185 | 228,954,356 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 182,981 | — | — | 182,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 73,231,983 | $ | 154,594,169 | $ | 1,311,185 | $ | 229,137,337 | ||||||||
|
|
|
|
|
|
|
|
International Currency Hedged ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 34,323,788 | $ | — | $ | — | $ | 34,323,788 | ||||||||
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|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 718,472 | $ | — | $ | 718,472 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (42,438 | ) | $ | — | $ | (42,438 | ) | ||||||
|
|
|
|
|
|
|
|
156 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
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 | $ | — | $ | 98,556,580 | $ | — | $ | 98,556,580 | ||||||||
Austria | — | 10,827,246 | — | 10,827,246 | ||||||||||||
Belgium | — | 16,788,058 | — | 16,788,058 | ||||||||||||
Chile | — | 6,390,037 | — | 6,390,037 | ||||||||||||
China | — | 4,016,709 | — | 4,016,709 | ||||||||||||
Denmark | 5,425,948 | 13,601,175 | — | 19,027,123 | ||||||||||||
Finland | — | 25,484,535 | — | 25,484,535 | ||||||||||||
France | — | 86,879,849 | — | 86,879,849 | ||||||||||||
Germany | — | 61,845,444 | — | 61,845,444 | ||||||||||||
Hong Kong | 5,525,778 | 75,774,279 | — | 81,300,057 | ||||||||||||
Italy | 4,049,638 | 16,408,325 | — | 20,457,963 | ||||||||||||
Japan | — | 377,662,865 | — | 377,662,865 | ||||||||||||
Jordan | — | 4,790,654 | — | 4,790,654 | ||||||||||||
Luxembourg | — | 3,495,412 | — | 3,495,412 | ||||||||||||
Netherlands | — | 35,589,314 | — | 35,589,314 | ||||||||||||
New Zealand | — | 8,573,538 | — | 8,573,538 | ||||||||||||
Norway | — | 22,548,732 | — | 22,548,732 | ||||||||||||
Portugal | — | 10,404,447 | — | 10,404,447 | ||||||||||||
Singapore | — | 44,296,065 | — | 44,296,065 | ||||||||||||
South Africa | — | 11,025,615 | — | 11,025,615 | ||||||||||||
South Korea | — | 150,450,101 | 12,457,486 | 162,907,587 | ||||||||||||
Spain | — | 32,389,766 | — | 32,389,766 | ||||||||||||
Sweden | — | 49,400,721 | — | 49,400,721 | ||||||||||||
Switzerland | — | 36,104,336 | — | 36,104,336 | ||||||||||||
United Arab Emirates | — | 1,749,495 | — | 1,749,495 | ||||||||||||
United Kingdom | 9,354,904 | 271,256,981 | — | 280,611,885 | ||||||||||||
United States | 497,290 | 14,506,803 | — | 15,004,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 24,853,558 | 1,490,817,082 | 12,457,486 | 1,528,128,126 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Right | ||||||||||||||||
New Zealand | — | 80,227 | — | 80,227 | ||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 3,570,626 | — | — | 3,570,626 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 28,424,184 | $ | 1,490,897,309 | $ | 12,457,486 | $ | 1,531,778,979 | ||||||||
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|
|
|
|
|
|
|
U.S. Equity ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 501,372,447 | $ | — | $ | — | $ | 501,372,447 | ||||||||
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|
|
|
|
|
|
|
U.S. Mid Cap Equity ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 94,736,439 | $ | — | $ | — | $ | 94,736,439 | ||||||||
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|
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 157 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
U.S. Small Cap Equity ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 70,513,426 | $ | — | $ | 75 | $ | 70,513,501 | ||||||||
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|
|
|
|
|
|
U.S. Dividend ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 26,120,164 | $ | — | $ | — | $ | 26,120,164 | ||||||||
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|
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|
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|
|
U.S. Minimum Volatility ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 26,548,938 | $ | — | $ | — | $ | 26,548,938 | ||||||||
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|
|
|
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|
|
Transfers between fair value levels are valued utilizing values as of beginning of the period.
U.S. Momentum Factor ETF |
| |||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 27,337,638 | $ | — | $ | — | $ | 27,337,638 | ||||||||
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|
|
|
|
|
|
U.S. Quality Factor ETF
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 26,892,934 | $ | — | $ | — | $ | 26,892,934 | ||||||||
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|
|
|
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|
|
U.S. Value Factor ETF
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 26,592,303 | $ | — | $ | — | $ | 26,592,303 | ||||||||
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(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
Transfers from level 1 to level 2 in the amount of $6,410,267 and from level 2 to level 1 in the amount of $2,841,513 for Emerging Markets Equity ETF are due to the application and non-application of the fair value factors to certain securities during the period ended April 30, 2018.
Transfers from level 1 to level 2 in the amount of $2,976,304 for Europe Equity ETF are due to the application of the fair value factors to certain securities during the period ended April 30, 2018.
Transfers from level 1 to level 2 in the amount of $1,641,174 for Global Equity ETF are due to the application of the fair value factors to certain securities during the period ended April 30, 2018.
Transfers from level 1 to level 2 in the amount of $38,160,521 and from level 2 to level 1 in the amount of $11,879,768 for International Equity ETF are due to the application and non-application of the fair value factors to certain securities during the period ended April 30, 2018.
There were no transfers among any levels during the period ended April 30, 2018 for Europe Currency Hedged ETF, International Currency Hedged ETF, U.S. Equity ETF, U,S, Mid Cap Equity ETF, U.S. Small Cap Equity ETF, U.S. Dividend ETF, U.S. Minimum Volatility ETF, U.S. Momentum Factor ETF, U.S. Quality Factor ETF and U.S. Value Factor ETF.
158 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
The following is a summary of investments for which significant unobservable inputs (level 3) were used in determining fair value:
Global Equity ETF | Balance as of October 31, 2017 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of April 30, 2018 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Common Stocks — South Korea | $ | — | $ | (9,589 | ) | $ | 85,809 | $ | — | $ | 787,784 | $ | (166,630 | ) | $ | 613,811 | $ | — | $ | 1,311,185 | ||||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $85,808.
Global Equity ETF
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||
Fair Value at April 30, 2018 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||
$ | 1,311,185 | Recent Market Information | Transaction Price | KRW 2,650 (KRW 2,650) | ||||||
|
| |||||||||
Common Stock | 1,311,185 | |||||||||
|
| |||||||||
Total | $ | 1,311,185 | ||||||||
|
|
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement.
International Equity ETF | Balance as of October 31, 2017 | Realized gain (loss) | Change in net unrealized appreciation (depreciation) | Net accretion (amortization) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of April 30, 2018 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Common Stocks — South Korea | $ | — | $ | (81,923 | ) | $ | 178,186 | $ | — | $ | 3,265,350 | $ | (1,309,342 | ) | $ | 10,405,215 | $ | — | $ | 12,457,486 | ||||||||||||||||
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1 | Purchases include all purchases of securities and securities received in corporate actions. |
2 | Sales include all sales of securities, maturities, paydowns and securities tendered in corporate actions. |
The changes in net unrealized appreciation (depreciation) attributable to securities owned at April 30, 2018, which were valued using significant unobservable inputs (level 3) amounted to approximately $178,187.
International Equity ETF
Quantitative Information about Level 3 Fair Value Measurements | ||||||||||
Fair Value at April 30, 2018 | Valuation Technique(s) | Unobservable Input | Range (Weighted Average) | |||||||
$ | 12,457,486 | Recent Market Information | Transaction Price | KRW 2,650 (KRW 2,650) | ||||||
|
| |||||||||
Common Stock | 12,457,486 | |||||||||
|
| |||||||||
Total | $ | 12,457,486 | ||||||||
|
|
The significant unobservable inputs used in the fair value measurement of the Fund’s investments are listed above. Generally, a change in the assumptions used in any input in isolation may be accompanied by a change in another input. Significant changes in any of the unobservable inputs may significantly impact the fair value measurement. The impact is based on the relationship between each unobservable input and the fair value measurement.
There were no significant transfers between level 2 and level 3 during the period ended April 30, 2018 for Global Equity ETF.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 159 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
For International Equity ETF transfers from level 2 to level 3 are due to a decline in market activity (e.g. frequency of trades), which resulted in a lack of available market inputs to determine the price for the period ended April 30, 2018.
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, as amended (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 NAVs of the Funds.
As of April 30, 2018, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and Regulation S under the Securities Act.
C. Derivatives — The Emerging Markets Equity ETF, Europe Currency Hedged ETF, Europe Equity ETF, Global Equity ETF, International Currency Hedged ETF, International Equity ETF, U.S. Equity ETF, U.S. Mid Cap Equity ETF and U.S. Small Cap Equity ETF used derivative instruments including futures and forward foreign currency exchange contracts, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities (“SAL”).
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Funds.
Notes C(1) — C(3) below describe the various derivatives used by the Funds.
(1). Futures Contracts — The Emerging Markets Equity ETF, Europe Equity ETF, Global Equity ETF, International Equity ETF, U.S. Equity ETF, U.S. Mid Cap Equity ETF and U.S. Small Cap Equity ETF used index futures contracts to obtain long and short exposure to the underlying commodities markets, to gain or reduce exposure to the stock market, to gain or reduce exposure to particular countries or regions, maintain liquidity, minimize transaction costs or to manage and hedge interest rate risk associated with portfolio investments.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations (“SOP”). Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the SOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the SAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the SAL.
The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the SAL, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
160 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
(2). Forward Foreign Currency Exchange Contracts — The Europe Currency Hedged ETF and International Currency Hedged ETF may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds 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 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 Funds record 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 Funds also record 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.
These 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).
The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Summary of Derivatives Information
The following tables present the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the SAL:
Europe Currency Hedged ETF
Derivative Contracts | Statements of Assets and Liabilities Location | |||||
Gross Assets: | Forward Foreign Currency Exchange Contracts | |||||
Foreign exchange contracts | Receivables | $ | 683,650 | |||
|
| |||||
Gross Liabilities: | ||||||
Foreign exchange contracts | Payables | $ | (27,622 | ) | ||
|
|
International Currency Hedged ETF
Derivative Contracts | Statements of Assets and Liabilities Location | |||||
Gross Assets: | Forward Foreign Currency Exchange Contracts | |||||
Foreign exchange contracts Receivables | Receivables | $ | 718,472 | |||
|
| |||||
Gross Liabilities: | ||||||
Foreign exchange contracts Payables | Payables | $ | (42,438 | ) | ||
|
|
The following tables present the Funds’ 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 Funds as of April 30, 2018.
Europe Currency Hedged ETF
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for offset | Collateral Received | Net Amount Due from Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $449,789 | $ | (5,099 | ) | $ | — | $ | 444,690 | ||||||||
Barclays Bank plc | 762 | — | — | 762 | ||||||||||||
BNP Paribas | 509 | (120 | ) | — | 389 | |||||||||||
Citibank, NA | 93,217 | (4,146 | ) | — | 89,071 | |||||||||||
Goldman Sachs International | 117,152 | (15,817 | ) | — | 101,335 | |||||||||||
Royal Bank of Canada | 22,219 | (2,440 | ) | — | 19,779 | |||||||||||
TD Bank Financial Group | 2 | — | — | 2 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 683,650 | $ | (27,622 | ) | $ | — | $ | 656,028 | |||||||
|
|
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 161 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due to Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $5,099 | $ | (5,099 | ) | $ | — | $ | — | ||||||||
BNP Paribas | 120 | (120 | ) | — | — | |||||||||||
Citibank, NA | 4,146 | (4,146 | ) | — | — | |||||||||||
Goldman Sachs International | 15,817 | (15,817 | ) | — | — | |||||||||||
Royal Bank of Canada | 2,440 | (2,440 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 27,622 | $ | (27,622 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
International Currency Hedged ETF
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for offset | Collateral Received | Net Amount Due from Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 270,922 | $ | (2,133 | ) | $ | — | $ | 268,789 | |||||||
BNP Paribas | 250,770 | (387 | ) | — | 250,383 | |||||||||||
Citibank, NA | 61,573 | (3,298 | ) | — | 58,275 | |||||||||||
Goldman Sachs International | 354 | (354 | ) | — | — | |||||||||||
HSBC Bank, NA | 6,344 | (1,455 | ) | — | 4,889 | |||||||||||
Merrill Lynch International | 30,143 | (6,632 | ) | — | 23,511 | |||||||||||
Royal Bank of Canada | 12,199 | (4,343 | ) | — | 7,856 | |||||||||||
State Street Corp. | 86,167 | (14,481 | ) | — | 71,686 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 718,472 | $ | (33,083 | ) | $ | — | $ | 685,389 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Amount of Derivative Assets Subject to Netting Arrangements Presented in the Statements of Assets and Liabilities (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due to Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 2,133 | $ | (2,133 | ) | $ | — | $ | — | |||||||
Barclays Bank plc | 1,169 | — | — | 1,169 | ||||||||||||
BNP Paribas | 387 | (387 | ) | — | — | |||||||||||
Citibank, NA | 3,298 | (3,298 | ) | — | — | |||||||||||
Goldman Sachs International | 7,287 | (354 | ) | — | 6,933 | |||||||||||
HSBC Bank, NA | 1,455 | (1,455 | ) | — | — | |||||||||||
Merrill Lynch International | 6,632 | (6,632 | ) | — | — | |||||||||||
Morgan Stanley | 1,253 | — | — | 1,253 | ||||||||||||
Royal Bank of Canada | 4,343 | (4,343 | ) | — | — | |||||||||||
State Street Corp. | 14,481 | (14,481 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 42,438 | $ | (33,083 | ) | $ | — | $ | 9,355 | |||||||
|
|
|
|
|
|
|
|
(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. |
162 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
The following tables present the effect of derivatives on the SOP for the period ended April 30, 2018, by primary underlying risk exposure:
Emerging Markets Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Futures contracts | $ | 168,163 | $ | — | $ | 168,163 | ||||||
Foreign exchange contracts | — | 169 | 169 | |||||||||
|
|
|
|
|
| |||||||
$ | 168,163 | $ | 169 | $ | 168,332 | |||||||
|
|
|
|
|
|
Europe Currency Hedged ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | (707,300 | ) | |
|
| |||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | 139,752 | ||
|
|
Europe Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Futures contracts | $ | (26,023 | ) | |
|
|
Global Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Futures contracts | $ | 21,386 | $ | — | $ | 21,386 | ||||||
Foreign exchange contracts | — | (5,779 | ) | (5,779 | ) | |||||||
|
|
|
|
|
| |||||||
$ | 21,386 | $ | (5,779 | ) | $ | 15,607 | ||||||
|
|
|
|
|
|
International Currency Hedged ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | (1,477,588 | ) | |
|
| |||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Forward Foreign Currency Exchange Contracts | |||
Foreign exchange contracts | $ | 215,041 | ||
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 163 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
International Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Futures contracts | $ | 188,114 | $ | — | $ | 188,114 | ||||||
Foreign exchange contracts | — | (236,110 | ) | (236,110 | ) | |||||||
|
|
|
|
|
| |||||||
$ | 188,114 | $ | (236,110 | ) | $ | (47,996 | ) | |||||
|
|
|
|
|
| |||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||
Futures contracts | $ | (135,909 | ) | $ | — | $ | (135,909 | ) | ||||
|
|
|
|
|
| |||||||
$ | (135,909 | ) | $ | — | $ | (135,909 | ) | |||||
|
|
|
|
|
|
U.S. Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Futures contracts | $ | 103,798 | ||
|
| |||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Futures contracts | $ | (23,608 | ) | |
|
|
U.S. Mid Cap Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Futures contracts | $ | (907 | ) | |
|
|
U.S. Small Cap Equity ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Futures contracts | $ | 22,802 | ||
|
| |||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the Statements of Operations | ||||
Derivative Contracts | Futures Contracts | |||
Futures contracts | $ | (11,914 | ) | |
|
|
164 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Derivatives Volume
The table below discloses the volume of the Funds’ futures contracts and forward foreign currency exchange contracts activity for the period ended April 30, 2018. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Emerging Markets Equity ETF | Europe Currency Hedged ETF | Europe Equity ETF | Global Equity ETF | International Currency Hedged ETF | International Equity ETF | U.S. Equity ETF | U.S. Mid Cap Equity ETF | U.S. Small Cap Equity ETF | ||||||||||||||||||||||||||||
Futures Contracts — Equity: |
| |||||||||||||||||||||||||||||||||||
Average Notional Balance Long | $ | 4,422,060 | (b) | $ | — | $ | 2,424,612 | (b) | $ | 1,477,993 | (b) | $ | — | $ | 5,948,223 | $ | 3,297,440 | (a) | $ | 802,800 | (b) | $ | 457,232 | (a) | ||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||||||||||||||||||||||
Average Settlement Value Purchased | 13,494,871 | — | — | 20,089,068 | — | — | — | — | ||||||||||||||||||||||||||||
Average Settlement Value Sold | 43,368,053 | — | — | 60,261,808 | — | — | — | — | ||||||||||||||||||||||||||||
Ending Settlement Value Purchased | 28,570,731 | — | — | 33,660,104 | — | — | — | — | ||||||||||||||||||||||||||||
Ending Settlement Value Sold | 59,224,935 | — | — | 68,409,064 | — | — | — | — |
(a) | For the period October 1, 2017 through December 31, 2017. |
(b) | For the period December 1, 2017 through December 31, 2017. |
The Funds’ derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.
D. 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 foreign exchange rates from changes in market prices of securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the SOP.
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 foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the SOP.
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 are included in Change in net unrealized appreciation/ depreciation on foreign currency translations on the SOP.
E. Investment Transactions with Affiliates — The Europe Currency Hedged ETF and International Currency Hedged ETF invested in Underlying Funds which are advised by the Adviser or its affiliates. An issuer who is under common control with the Funds may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the table below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into the Underlying Funds. Reinvestment amounts are included in the purchase cost amounts in the table below.
Europe Currency Hedged ETF
Security Description | Value at October 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Depreciation | Value at April 30, | Shares at April 30, | Dividend Income | ||||||||||||||||||||||||
Europe Equity ETF (a) | $ | 30,739,404 | $ | 1,952,868 | $ | 2,522,882 | $ | 232,512 | $ | (373,329 | ) | $ | 30,028,573 | 491,466 | $ | 879,506 |
International Currency Hedged ETF
Security Description | Value at October 31, | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Depreciation | Value at April 30, | Shares at April 30, | Dividend Income | ||||||||||||||||||||||||
International Equity ETF (a) | 48,144,483 | 1,330,083 | 16,171,492 | 2,467,406 | (1,446,692 | ) | 34,323,788 | 568,934 | 1,042,143 |
(a) | Affiliated company as defined under the Investment Company Act of 1940. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 165 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
F. Offering and Organizational Costs — Total offering costs incurred in connection with the offering of shares of the Funds are amortized on a straight line basis over 12 months from the date the Funds commenced operations. For the period ended April 30, 2018, total offering costs incurred were:
U.S. Dividend ETF (a) | $ | 4,068 | ||
U.S. Minimum Volatility ETF (a) | 5,756 | |||
U.S. Momentum Factor ETF (a) | 4,072 | |||
U.S. Quality Factor ETF (a) | 4,061 | |||
U.S. Value Factor ETF (a) | 4,074 |
Costs paid in connection with the organization of the Funds, if any, were recorded as an expense at the time the Funds commenced operations and are included as part of Professional fees on the SOP. For the period ended April 30, 2018, total offering costs amortized were:
U.S. Small Cap Equity ETF | $ | 39 | ||
U.S. Dividend ETF (a) | 1,928 | |||
U.S. Minimum Volatility ETF (a) | 2,728 | |||
U.S. Momentum Factor ETF (a) | 1,930 | |||
U.S. Quality Factor ETF (a) | 1,925 | |||
U.S. Value Factor ETF (a) | 1,931 |
(a) | Commencement of operations was November 8, 2017. |
G. 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, and distributions of net investment income and realized capital gains from the Underlying Funds and ETFs, if any, are 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.
H. 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.
I. 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 capital gains 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 that as of April 30, 2018, 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.
J. 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.
Certain Funds are subject to a tax imposed on short-term and long-term capital gains on securities of issuers domiciled in India. Prior to April 1, 2018, certain Funds were only subject to a tax imposed on short-term capital gains on securities of issuers domiciled in India. The Funds record an estimated deferred tax liability for these securities assuming those positions were disposed of at the end of the period. This amount, if any, is reported as Deferred foreign capital gains tax in the accompanying Statements of Assets and Liabilities. Short-term realized capital losses on the sale of securities of issuers domiciled in India can be carried forward for eight years to offset potential future short-term realized capital gains.
India has enacted rules imposing a tax on the indirect transfers of Indian shares. Based upon current guidance from the Indian tax authorities, management does not believe that such tax will be applicable to the Funds. However, management’s conclusion, regarding this and other foreign tax matters, may be subject to future review based on changes in, or the interpretation of, the accounting standards and the tax laws and regulations.
K. Distributions to Shareholders — Prior to March 12, 2018, distributions from net investment income, if any, were generally declared and paid annually. Effective March 12, 2018, distributions from net investment income, if any, are generally declared and paid quarterly for all Funds except the Europe Currency Hedged ETF and the International Currency Hedged ETF which generally declare and pay any net investment income annually.
166 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
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 an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
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 | % | ||
U.S. Equity ETF | 0.23 | % | ||
U.S. Mid Cap Equity ETF | 0.24 | % | ||
U.S. Small Cap Equity ETF | 0.29 | % | ||
U.S. Dividend ETF | 0.23 | % | ||
U.S. Minimum Volatility ETF | 0.23 | % | ||
U.S. Momentum Factor ETF | 0.23 | % | ||
U.S. Quality Factor ETF | 0.23 | % | ||
U.S. Value Factor ETF | 0.23 | % |
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
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 (excluding certain funds of funds and money market funds).
The Administrator waived Administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Custodian, Accounting and Transfer Agent Fees — JPMCB provides custody, accounting and transfer agency services to the Funds. The amounts paid directly to JPMCB by the Funds for custody services are included in the Custodian, Accounting and Transfer Agent fees on the SOP. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the SOP. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are included in the Custodian, Accounting and Transfer Agent fees on the SOP. 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 Fund for these transactions.
For the period ended April 30, 2018, the amount of transaction fees paid by the Authorized Participants that were used to reimburse custodian fees were as follows:
Emerging Markets Equity ETF | $ | 102,900 | ||
Global Equity ETF | 115,500 | |||
International Equity ETF | 100,800 | |||
U.S. Equity ETF | 23,200 | |||
U.S. Mid Cap Equity ETF | 7,500 | |||
U.S. Small Cap Equity ETF | 14,700 | |||
U.S. Dividend ETF | 1,200 | |||
U.S. Minimum Volatility ETF | 1,200 | |||
U.S. Momentum Factor ETF | 1,600 | |||
U.S. Quality Factor ETF | 1,200 | |||
U.S. Value Factor ETF | 1,400 |
Such amounts are included in expense reimbursements from non-affiliates in the SOP.
Restricted cash on the SAL is cash received from Authorized Participants for the reimbursement of creation and/or redemption of Fund shares.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the SOP.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 167 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
E. 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, except with respect to Diversified Return Europe Equity Currency Hedged ETF and Diversified Return International Currency Hedged ETF where the expense limitation agreement includes 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 | % | ||
U.S. Equity ETF | 0.19 | % | ||
U.S. Mid Cap Equity ETF | 0.24 | % | ||
U.S. Small Cap Equity ETF | 0.29 | % | ||
U.S. Dividend ETF | 0.12 | % | ||
U.S. Minimum Volatility ETF | 0.12 | % | ||
U.S. Momentum Factor ETF | 0.12 | % | ||
U.S. Quality Factor ETF | 0.12 | % | ||
U.S. Value Factor ETF | 0.12 | % |
The expense limitation agreements were in effect for the period ended April 30, 2018 and are in place until at least February 28, 2022, except for the U.S. Dividend ETF, Minimum Volatility ETF, U.S. Momentum Factor ETF, U.S. Quality Factor ETF and U.S. Value Factor ETF for which expense limit agreements in place until at least November 3, 2020.
Effective May 1, 2018, the contractual expense limitations for the Europe Currency Hedged ETF, Europe Equity ETF, International Currency Hedged ETF and International Equity ETF were decreased to 0.38%.
For the period ended April 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds 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 Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
Emerging Markets Equity ETF | $ | 286,713 | $ | 80,359 | $ | 367,072 | $ | — | ||||||||
Europe Currency Hedged ETF | 48,297 | 12,441 | 60,738 | 39,879 | ||||||||||||
Europe Equity ETF | 45,501 | 30,334 | 75,835 | — | ||||||||||||
Global Equity ETF | 40,820 | 27,214 | 68,034 | — | ||||||||||||
International Currency Hedged ETF | 54,474 | 17,150 | 71,624 | 43,571 | ||||||||||||
International Equity ETF | — | — | — | — | ||||||||||||
U.S. Equity ETF | 266,571 | 177,714 | 444,285 | — | ||||||||||||
U.S. Mid Cap Equity ETF | 68,216 | 35,979 | 104,195 | — | ||||||||||||
U.S. Small Cap Equity ETF | 71,031 | 26,254 | 97,285 | — | ||||||||||||
U.S. Dividend ETF | 26,749 | 10,629 | 37,378 | 39,225 | ||||||||||||
U.S. Minimum Volatility ETF | 25,486 | 10,456 | 35,942 | 40,994 | ||||||||||||
U.S. Momentum Factor ETF | 27,632 | 10,950 | 38,582 | 40,822 | ||||||||||||
U.S. Quality Factor ETF | 26,982 | 10,714 | 37,696 | 40,897 | ||||||||||||
U.S. Value Factor ETF | 27,539 | 10,920 | 38,459 | 40,966 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund.
168 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
The amounts of these waivers resulting from investments in these money market funds for the six months ended April 30, 2018 were as follows:
Emerging Markets Equity ETF | $ | 304 | ||
Europe Currency Hedged ETF | — | |||
Europe Equity ETF | — | |||
Global Equity ETF | 686 | |||
International Currency Hedged ETF | — | |||
International Equity ETF | 3,638 | |||
U.S. Equity ETF | 1,515 | |||
U.S. Mid Cap Equity ETF | 344 | |||
U.S. Small Cap Equity ETF | 220 | |||
U.S. Dividend ETF | 84 | |||
U.S. Minimum Volatility ETF | 78 | |||
U.S. Momentum Factor ETF | 68 | |||
U.S. Quality Factor ETF | 84 | |||
U.S. Value Factor ETF | 77 |
The Europe Currency Hedged ETF and International Currency Hedged ETF invest in Underlying ETFs and, as a result, bear a portion of the expenses incurred by these Underlying ETFs. These expenses are reflected in the fees waived shown on the SOP and are included in the ratios to average net assets shown in the Financial Highlights.
The amounts of these waivers resulting from investments in Underlying ETFs for the six months ended April 30, 2018 were as follows:
Europe Currency Hedged ETF | 63,066 | |||
International Currency Hedged ETF | 86,866 |
F. Distribution Services — 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. JPMDS receives no fees for their distribution services under their respective distribution agreements with the Trust (the “Distribution Agreements”). Although the Trust does not pay any fees under the Distribution Agreements, JPMIM pays JPMDS for certain distribution related services.
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the SOP.
The Funds may use related party broker-dealers. For the period ended April 30, 2018, the Funds did not incur any brokerage commissions with broker dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the period ended April 30, 2018, 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 | $ | 82,322,427 | $ | 43,894,772 | ||||
Europe Currency Hedged ETF | 1,426,413 | 1,996,428 | ||||||
Europe Equity ETF | 5,443,618 | 6,987,062 | ||||||
Global Equity ETF | 40,189,234 | 23,783,289 | ||||||
International Currency Hedged ETF | 913,095 | 2,110,381 | ||||||
International Equity ETF | 223,512,002 | 164,626,444 | ||||||
U.S. Equity ETF | 54,566,874 | 53,966,527 | ||||||
U.S. Mid Cap Equity ETF | 10,003,432 | 8,481,976 | ||||||
U.S. Small Cap Equity ETF | 5,944,812 | 5,219,793 | ||||||
U.S. Dividend ETF (a) | 3,255,640 | 2,648,393 | ||||||
U.S. Minimum Volatility ETF (a) | 2,423,614 | 1,833,955 | ||||||
U.S. Momentum Factor ETF (a) | 6,426,619 | 5,832,013 | ||||||
U.S. Quality Factor ETF (a) | 3,166,477 | 2,750,133 | ||||||
U.S. Value Factor ETF (a) | 3,511,243 | 2,935,165 |
(a) | Commencement of operations was November 8, 2017. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 169 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
During the period ended April 30, 2018, there were no purchases or sales of U.S. Government securities.
For the period ended April 30, 2018, in-kind transactions associated with creations and redemptions were:
In-Kind Purchases | In-Kind Sales | Realized Gain (Loss) | ||||||||||
Emerging Markets Equity ETF | $ | 24,924,675 | $ | — | $ | — | ||||||
Europe Currency Hedged ETF | — | — | — | |||||||||
Europe Equity ETF | — | — | — | |||||||||
Global Equity ETF | 128,202,030 | 21,871,783 | (1,632,510 | ) | ||||||||
International Currency Hedged ETF | — | 13,644,123 | 2,368,263 | |||||||||
International Equity ETF | 301,582,843 | — | — | |||||||||
U.S. Equity ETF | 140,312,010 | — | — | |||||||||
U.S. Mid Cap Equity ETF | 29,285,645 | — | — | |||||||||
U.S. Small Cap Equity ETF | 14,270,997 | — | — | |||||||||
U.S. Dividend ETF (a) | 25,739,458 | — | — | |||||||||
U.S. Minimum Volatility ETF (a) | 25,687,817 | — | — | |||||||||
U.S. Momentum Factor ETF (a) | 25,562,616 | — | — | |||||||||
U.S. Quality Factor ETF (a) | 25,856,253 | — | — | |||||||||
U.S. Value Factor ETF (a) | 25,677,874 | — | — |
(a) | Commencement of operations was November 8, 2017. |
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, 2018 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Emerging Markets Equity ETF | $ | 209,816,804 | $ | 29,446,231 | $ | (4,884,995 | ) | $ | 24,561,236 | |||||||
Europe Currency Hedged ETF | 25,656,882 | 5,055,342 | (27,623 | ) | 5,027,719 | |||||||||||
Europe Equity ETF | 66,007,187 | 14,415,445 | (1,970,764 | ) | 12,444,681 | |||||||||||
Global Equity ETF | 210,497,938 | 22,469,023 | (3,829,624 | ) | 18,639,399 | |||||||||||
International Currency Hedged ETF | 29,142,199 | 5,900,061 | (42,438 | ) | 5,857,623 | |||||||||||
International Equity ETF | 1,378,586,228 | 185,164,516 | (31,971,765 | ) | 153,192,751 | |||||||||||
U.S. Equity ETF | 470,182,398 | 46,533,231 | (15,343,182 | ) | 31,190,049 | |||||||||||
U.S. Mid Cap Equity ETF | 87,501,951 | 9,940,051 | (2,705,563 | ) | 7,234,488 | |||||||||||
U.S. Small Cap Equity ETF | 65,197,654 | 8,417,443 | (3,101,596 | ) | 5,315,847 | |||||||||||
U.S. Dividend ETF | 26,598,661 | 1,107,029 | (1,585,526 | ) | (478,497 | ) | ||||||||||
U.S. Minimum Volatility ETF | 26,405,257 | 1,287,131 | (1,143,450 | ) | 143,681 | |||||||||||
U.S. Momentum Factor ETF | 26,382,761 | 1,922,719 | (967,842 | ) | 954,877 | |||||||||||
U.S. Quality Factor ETF | 26,450,739 | 1,486,293 | (1,044,098 | ) | 442,195 | |||||||||||
U.S. Value Factor ETF | 26,485,220 | 1,377,771 | (1,270,688 | ) | 107,083 |
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, 2017, 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 | $ | 4,210,288 | * | $ | 613,332 | * | ||
Europe Currency Hedged ETF | 503,280 | 565,820 | ||||||
Europe Equity ETF | 233,355 | — | ||||||
Global Equity ETF | 850,210 | 370,955 | ||||||
International Currency Hedged ETF | 218,381 | 207,560 | ||||||
International Equity ETF | 1,412,312 | * | 4,505,667 | * | ||||
U.S. Equity ETF | 1,174,597 | 260,292 | ||||||
U.S. Mid Cap Equity ETF | — | 10,805 | ||||||
U.S. Small Cap Equity ETF | 276,140 | — |
* | Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384. |
170 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
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. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds’ shares outstanding, act as executing or clearing broker for investment transactions on behalf of the Funds. 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 103% for all funds, except for Emerging Markets Equity ETF plus at least 110%, 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.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
As of April 30, 2018, the Adviser owns shares representing more than 10% of net assets of following Funds:
% Ownership | ||||
Europe Currency Hedged ETF | 92 | % | ||
Europe Equity ETF | 40 | |||
International Currency Hedged ETF | 83 | |||
U.S. Mid Cap Equity ETF | 19 | |||
U.S. Small Cap Equity ETF | 39 | |||
U.S. Dividend ETF | 96 | |||
U.S. Minimum Volatility ETF | 95 | |||
U.S. Momentum Factor ETF | 96 | |||
U.S. Quality Factor ETF | 95 | |||
U.S. Value Factor ETF | 95 |
As of April 30, 2018, the Europe Currency Hedged ETF owned approximately 38% of the shares outstanding of the Europe Equity ETF.
Significant shareholder transactions by the Adviser may impact the Funds’ performance.
Because of the Funds’ investments in Underlying Funds and ETFs, the Funds indirectly pay a portion of the expenses incurred by the Underlying Funds and ETFs. As a result, the cost of investing in the Funds may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Funds are also subject to certain risks related to the Underlying Funds’ and ETFs’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities; equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
Europe Currency Hedged ETF and International Currency Hedged ETF invest in affiliated ETFs. ETFs are pooled investment vehicles whose ownership interests are purchased and sold on a securities exchange. ETFs may be structured as investment companies, depositary receipts or other pooled investment vehicles and may be passively or actively managed. Passively managed ETFs generally seek to track the performance of a particular market index, including broad-based market indices, as well as indices relating to particular sectors, markets, regions or industries. Actively managed ETFs do not seek to track the performance of a particular market index. The price movement of an index-based ETF may not track the underlying index and may result in a loss. In addition, ETFs may trade at a price below or above their NAV (also known as a discount or premium, respectively).
In addition, the Underlying Funds and ETFs may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities. Specific risks and concentrations present in the Underlying Funds and ETFs are disclosed within their individual financial statements and registration statements, as appropriate.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 171 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (continued)
The Emerging Markets Equity ETF, Europe Currency Hedged ETF, Europe Equity ETF, Global Equity ETF, International Currency Hedged ETF and International Equity ETF may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of countries or regions, which may vary throughout the period depending on the Funds. Such concentrations may subject each Fund 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.
Investing in securities of foreign countries may include certain risks and considerations not typically associated with investing in U.S. securities. These risks include revaluation of currencies, high rates of inflation, repatriation restrictions on income and currencies, and future and adverse political, social and economic developments.
As of April 30, 2018, the following Funds had non-U.S. country allocations representing greater than 10% of total investments as follows:
Fund Name | Brazil | China | France | Germany | Japan | South Korea | Switzerland | Taiwan | United Kingdom | |||||||||||||||||||||||||||
Emerging Markets Equity ETF | 10.3 | % | 25.0 | % | — | % | — | % | — | % | — | % | — | % | 14.4 | % | — | % | ||||||||||||||||||
Europe Equity ETF | — | — | 14.1 | 12.5 | — | — | 10.8 | — | 23.5 | |||||||||||||||||||||||||||
Global Equity ETF | — | — | — | — | 22.1 | — | — | — | — | |||||||||||||||||||||||||||
International Equity ETF | — | — | — | — | 24.7 | 10.6 | — | — | 18.3 |
With the exception of U.S. Equity ETF, U.S. Mid Cap Equity ETF, U.S. Small Cap Equity ETF, U.S. Dividend ETF, U.S. Minimum Volatility ETF, U.S. Momentum Factor ETF, U.S. Quality Factor ETF and U.S. Value Factor ETF, as of April 30, 2018, a significant portion of each Fund’s net assets noted in the table above consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
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.
The Funds may not track the return of the underlying index for a number of reasons and therefore may not achieve its investment objective. For example, each 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. In addition, a Fund’s return may differ from the return of its underlying index as a result of, among other things, pricing differences and the inability to purchase certain securities included in the underlying index due to regulatory or other restrictions. To the extent of the previously outlined items, each Fund’s return differs from the return of the underlying index.
The Europe Currency Hedged ETF and International Currency Hedged ETF are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds such as forward foreign currency exchange contracts.
172 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur ongoing costs, investment advisory fees, administration 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, 2017 and continued to hold your shares at the end of the reporting period, April 30, 2018.
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 November 1, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Emerging Markets Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,050.10 | 0.45 | % | $ | 2.29 | ||||||||
Hypothetical(1) | 1,000.00 | 1,022.56 | 0.45 | 2.26 | ||||||||||||
Europe Currency Hedged ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,005.50 | 0.06 | % | $ | 0.30 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.50 | 0.06 | 0.30 | ||||||||||||
Europe Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,025.70 | 0.43 | % | $ | 2.16 | ||||||||
Hypothetical(1) | 1,000.00 | 1,022.66 | 0.43 | 2.16 | ||||||||||||
Global Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,038.10 | 0.38 | % | $ | 1.92 | ||||||||
Hypothetical(1) | 1,000.00 | 1,022.91 | 0.38 | 1.91 | ||||||||||||
International Currency Hedged ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,018.30 | 0.06 | % | $ | 0.30 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.50 | 0.06 | 0.30 | ||||||||||||
International Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,040.60 | 0.41 | % | $ | 2.07 | ||||||||
Hypothetical(1) | 1,000.00 | 1,022.76 | 0.41 | 2.06 | ||||||||||||
U.S. Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,033.10 | 0.19 | % | $ | 0.96 | ||||||||
Hypothetical(1) | 1,000.00 | 1,023.85 | 0.19 | 0.95 | ||||||||||||
U.S. Mid Cap Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,031.70 | 0.24 | % | $ | 1.21 | ||||||||
Hypothetical(1) | 1,000.00 | 1,023.60 | 0.24 | 1.20 | ||||||||||||
U.S. Small Cap Equity ETF | ||||||||||||||||
Actual(1) | $ | 1,000.00 | $ | 1,023.20 | 0.29 | % | $ | 1.45 | ||||||||
Hypothetical(1) | 1,000.00 | 1,023.36 | 0.29 | 1.45 | ||||||||||||
U.S. Dividend ETF | ||||||||||||||||
Actual(2) | $ | 1,000.00 | $ | 1,009.00 | 0.11 | % | $ | 0.52 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.25 | 0.11 | 0.55 |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 173 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
U.S. Minimum Volatility ETF | ||||||||||||||||
Actual(2) | $ | 1,000.00 | $ | 1,019.60 | 0.11 | % | $ | 0.53 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.25 | 0.11 | 0.55 | ||||||||||||
U.S. Momentum Factor ETF | ||||||||||||||||
Actual(2) | $ | 1,000.00 | $ | 1,047.00 | 0.11 | % | $ | 0.53 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.25 | 0.11 | 0.55 | ||||||||||||
U.S. Quality Factor ETF | ||||||||||||||||
Actual(2) | $ | 1,000.00 | $ | 1,032.60 | 0.11 | % | $ | 0.53 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.25 | 0.11 | 0.55 | ||||||||||||
U.S. Value Factor ETF | ||||||||||||||||
Actual(2) | $ | 1,000.00 | $ | 1,022.80 | 0.11 | % | $ | 0.53 | ||||||||
Hypothetical(1) | 1,000.00 | 1,024.25 | 0.11 | 0.55 |
(1) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (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 173/365 (to reflect the actual period). The Fund commenced operations on November 8, 2017. |
174 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
BOARD APPROVAL OF INITIAL INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
JPMorgan U.S. Dividend ETF, JPMorgan U.S. Minimum Volatility ETF, JPMorgan U.S. Momentum Factor ETF, JPMorgan U.S. Quality Factor ETF and JPMorgan U.S. Value Factor ETF
On March 21-22, 2017, the Board of Trustees held an in-person meeting and approved the initial investment advisory agreements (each an “Advisory Agreement” and collectively, the “Advisory Agreements”) for the JPMorgan U.S. Dividend ETF, JPMorgan U.S. Minimum Volatility ETF, JPMorgan U.S. Momentum Factor ETF, JPMorgan U.S. Quality Factor ETF and JPMorgan U.S. Value Factor ETF (the “Funds”). The Advisory Agreements were approved by 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. In connection with the approval of the Advisory Agreements, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser and with counsel to the Trust and independent legal counsel to the Trustees and received a memorandum from independent legal counsel discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in 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 each Advisory Agreement.
The Trustees considered information provided with respect to each Fund and the approval of the Advisory Agreement. Each Trustee attributed his or her own evaluation of the significance of 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 applicable Advisory Agreement was fair and reasonable and that the initial approval of the Advisory 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 Advisory Agreements, the Trustees considered the materials furnished specifically in connection with the approval of each Advisory Agreement, as well as other relevant information furnished for the Trustees. 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. The Trustees also considered the investment strategy for each Fund, and the infrastructure
supporting the portfolio management teams. In addition, the Trustees considered information about the structure and distribution strategy of the Funds, how they fit within the Trust’s other fund offerings, and how each will be positioned against peer funds, as identified by management.
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 provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to requests for additional information, 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 services to be provided to each Fund by the Adviser.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” 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 J.P. Morgan Investment Management Inc., in its role as Administrator, will earn from the Funds for providing administrative services. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A., an affiliate of the Adviser, for custody, transfer agency and other related services for each Fund. Additionally, the Trustees considered that any fall-out or ancillary benefits would be comparable to those related to the other funds in the complex.
Economies of Scale
The Trustees considered the extent to which each Fund will benefit from economies of scale. The Trustees noted that neither the proposed investment advisory fee schedule nor the proposed administration agreement for the Funds contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure for each Fund was reasonable in light of the fee waivers and expense limitations that the Adviser has in place, limiting the overall net expense ratio of each Fund to competitive levels. With respect to fees for administrative services, the Trustees also considered the fact that the Funds would benefit from the economies of scale present in the broader J.P. Morgan fund complex, as the Funds were able to negotiate an administration fee at a level consistent with the lower effective rate currently paid by the J.P. Morgan mutual funds, which includes breakpoints. The Trustees also took into consideration management’s belief that because of such economies of scale, the Funds’ administration
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 175 |
BOARD APPROVAL OF INITIAL INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
fees are lower than what the Funds would have to pay if it was not part of the J.P. Morgan fund complex.
Investment Performance
The Trustees considered each Fund’s investment strategy and processes, 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 and compared that rate to the fees charged to mutual funds with similar investment objectives or in similar asset classes managed by the Adviser as well as information prepared by Broadridge Investor Communications Solutions Inc., using data from Lipper Inc.
(together, “Broadridge/Lipper”), independent providers of investment company data, concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Funds. The Trustees also reviewed information about other projected expenses and the expense ratio for each Fund. The Trustees considered the projected fee waiver and/or expense reimbursement arrangements proposed for each Fund 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 fee 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 fee was reasonable.
176 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(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 EFT, JPMorgan Diversified Return U.S Equity ETF, JPMorgan Diversified Return U.S. Mid Cap Equity ETF, JPMorgan Diversified Return U.S. Small Cap 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. The Board also meets specifically to consider investment advisory agreement annual renewals. The Board of Trustees held a meeting in person December 12-13, 2017, at which the Trustees considered the continuation of investment advisory agreements (each an “Advisory Agreement and collectively, the “Advisory Agreements”) for 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 EFT, JPMorgan Diversified Return U.S Equity ETF, JPMorgan Diversified Return U.S. Mid Cap Equity ETF and JPMorgan Diversified Return U.S. Small Cap Equity ETF (the “Funds”). In advance of the December 12-13, 2017 meeting, the Trustees met on November 3, 2017 to discuss certain information in connection with its consideration of the Advisory Agreements. At the December meeting, the Board reviewed and considered performance, expense and other information individually for each of 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 each Fund received from the Adviser. This information included each Fund’s performance as compared to the performance of its benchmark and analyses by the Adviser of each Fund’s performance. The Adviser also periodically provides comparative information regarding each Fund’s expense ratio and that of each of their peer groups. 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., using data from Lipper Inc. (together, “Broadridge/Lipper”), independent providers 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 his or her own evaluation of the significance of 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 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. The Trustees also considered the investment strategies for each Fund, 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 fund offerings, and how each Fund is positioned against peer funds, as identified by management. 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 J.P. Morgan Investment Management Inc. in its role as administrator to the Funds (“JPMIM”).
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. 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
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 177 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
integrity and the Adviser’s responsiveness to requests for additional information, 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 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 direct 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. Based upon their review, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationships with the Funds.
The Trustees also considered the fees that JPMIM 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.
Economies of Scale
The Trustees considered the extent to which each Fund may benefit from economies of scale. The Trustees noted that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”), 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 contain breakpoints, but that fees are competitive with their peer
funds. They concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place which serves to limit the overall net expense ratio of each Fund to competitive levels. With respect to fees for administrative services, the Trustees also considered the fact that the Funds benefit from the economies of scale present in the broader J.P. Morgan fund complex, as the Funds were able to negotiate an administration fee at level consistent with the lower effective rate currently paid by the J.P. Morgan mutual funds, which includes breakpoints. The Trustees also took into consideration management’s belief that because of such economies of scale, the Funds’ administration fees are lower than what the Funds would have to pay if they were not part of the J.P. Morgan fund complex.
Fees Relative to Adviser’s Other Clients
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. The Trustees also noted the Adviser’s view that it does not manage any other accounts with substantially similar investment strategies as that of the Funds. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to such other clients were reasonable.
Investment Performance
The Trustees considered each Fund’s investment strategy and processes, 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 benchmark and considered each Fund’s performance information provided at regular Board meetings by the Adviser. After consideration, the Trustees determined that each Fund’s performance was 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 information prepared by Broadridge/Lipper concerning management fee rates paid by other funds with the same Broadridge/Lipper investment classification and objective as the Funds (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”). The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting funds in the Peer Group and Universe. The Trustees recognized that Broadridge/Lipper 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 total expense ratio for each Fund. The Trustees considered the Fee Caps currently in place for each Fund and considered the net advisory fee rate after taking into
178 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
account such Fee Caps. 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 noted that the JPMorgan Diversified Return Emerging Markets Equity ETF’s net advisory fee and actual total expenses were in the first quintile based upon the Expense Group. After considering the 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 Europe Currency Hedged ETF’s net advisory fee and actual total expenses were below the median levels for the Expense Group. After considering the 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 Europe Equity ETF’s net advisory fee and actual total expenses were below the median levels for the Expense Group. After considering the 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 and actual total expenses were below the median level for the Expense Group. After considering the 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 Currency Hedged ETF’s net advisory fee and actual
total expenses were in the first and third quintile, respectively, based upon the Expense Group. After considering the 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 and actual total expenses were in the first and second quintile, respectively, based upon the Expense Group. After considering the 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 U.S. Equity ETF’s net advisory fee and actual total expenses were in the first quintile based upon the Expense Group. After considering the 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 U.S. Mid Cap Equity ETF’s net advisory fee and actual total expenses were in the first and second quintile, respectively, based upon the Expense Group. After considering the 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 U.S. Small Cap Equity ETF’s net advisory fee and actual total expenses were in the first quintile based upon the Expense Group. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 179 |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co.
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 businesses 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., 2018. All rights reserved. April 2018. | SAN-ETF-418 |
Semi-Annual Report
JPMorgan Exchange-Traded Funds
April 30, 2018 (Unaudited)
JPMorgan Diversified Alternatives ETF
JPMorgan Event Driven ETF
JPMorgan Long/Short ETF
JPMorgan Managed Futures Strategy ETF
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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 the 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 at net asset value) 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 3, 2018 (Unaudited)
Dear Shareholder,
As we’ve grown our ETF business, which recently surpassed $4.4 billion in assets under management, we have done so by providing investors with additional investment choices and tools to build stronger portfolios. We have broadened your tool set to include targeted exposures with our expanded suite of ETFs. For investors looking to target specific exposures within a diversified portfolio, I’m pleased to announce that we launched five single factor equity strategies and three alternative beta strategies during the six months ended April 30, 2018. Each of these strategies can be used to enhance returns or address a specific client need, like reducing volatility or diversifying away from traditional investments.
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“We have broadened your tool set to include targeted exposures with our expanded suite of ETFs.” |
While global financial markets largely had strong performance during the first half of the reporting period, the month of February 2018 was notable for a spike in U.S. Treasury bond yields, a sharp sell-off in equity markets and a return of market volatility that was largely absent in first half of the reporting period. As we expect volatility to return, we believe our ETFs can provide solutions for investors in changing markets. Our JPMorgan Minimum Volatility ETF (JMIN), whose underlying index is designed to distribute risk among sectors and stocks in order to seek to minimize the overall portfolio volatility,
generated a positive return at a competitive price of 12 basis points (net of fee waivers and expense reimbursements) for the period since inception on November 8, 2017 to April 30, 2018. One of our new alternative beta ETFs, JPMorgan Managed Futures Strategy ETF (JPMF), which provides broad exposure to managed futures strategies, may be an additional source of diversification in a rising interest rate environment. I’m also pleased to announce that JPMF earned Best New Alternatives ETF at the fifth annual ETF.com Awards held in March 2018.1
We are proud to bring J.P. Morgan’s experience and quantitative beta investment capabilities to the ETF market place. We are committed to building solutions that address your needs and help you build stronger portfolios. Thank you for your belief in our Firm and our process.
Sincerely,
Joanna M. Gallegos
President, J.P. Morgan Exchange-Traded Funds
J.P Morgan Asset Management
1-844-4JPM-ETF or jpmorgan.com/etfs for more information
1 | ETF.com Award winners are selected by a majority vote of the ETF.com Awards Selection Committee, a group of independent ETF experts. Voting was completed by Jan. 20, 2018, and results were announced at the ETF.com U.S. Awards Dinner on March 22, 2018. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 1 |
Six Months Ended April 30, 2018 (Unaudited)
Global financial markets generally provided positive returns for the reporting period, but gains were tempered by increased market volatility, rising bond yields in the U.S. and moderating economic growth in the early part of 2018. While economists had generally forecast continued growth in the global economy, concerns over inflationary pressure, signs of slowing growth in Europe and a potential trade war between the U.S. and China all led to investor uncertainty in the latter half of the reporting period.
Notably, global petroleum prices rose significantly during the reporting period. Global economic growth drove increased demand for oil, while on the supply side, the Organization of Petroleum Exporting Countries and Russia agreed in December 2017 to extend production curbs through 2018. Severe reductions in oil output from Venezuela and threatened U.S. sanctions against Iran also provided support for global energy prices.
Throughout the final months of 2017 and into January 2018, U.S. equity prices reached new highs and financial market volatility remained at historically low levels. Then in early February 2018, the Standard & Poor’s 500 Index (the “S&P 500”) fell more than 10% intraday and the CBOE Volatility Index, which measures options on the S&P 500 to gauge near-term market volatility, spiked by a record 115.6%. The sell-off came after fifteen consecutive months of stock market gains and was largely triggered by a spike in yields on 10-year U.S. Treasury bonds, which signaled to investors that rising borrowing costs and accelerating inflation could lead to weakness in prices for equities and bonds. Overall, bond prices in the U.S. declined amid investor expectations for rising interest rates.
In Europe and Japan, equity prices generally ended higher for the reporting period, supported by central bank policies, corporate earnings and continued improvements in leading economic indicators. However, increased market volatility through April 2018 erased much of the stock market gains made in late 2017 for these markets.
Equity prices in emerging markets also rose amid corporate profit growth, rising commodities prices and a positive global economic outlook. China’s efforts to curb financial market speculation appeared to provide some stability to equity and bond prices. Notably, prices for emerging market debt slumped after rising through most of 2016 and 2017. A potential U.S.-China trade war, widening conflict in Syria and political uncertainty ahead of elections in Brazil and Mexico contributed to investor concerns about emerging market currencies and local-currency denominated bonds.
2 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Alternatives ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Diversified Alternatives ETF | ||||
Net Asset Value* | -2.65% | |||
Market Price** | -2.57% | |||
ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) | 0.68% | |||
Net Assets as of 4/30/2018 | $ | 207,873,942 |
INVESTMENT OBJECTIVE***
The JPMorgan Diversified Alternatives ETF (the “Fund”) seeks to provide long-term total return.
INVESTMENT APPROACH
The Fund seeks to achieve its investment objective by allocating assets across a variety of strategies commonly employed by hedge funds, including Equity Long/Short, Event Driven and Macro/Managed Futures strategies. The Fund seeks to achieve the efficiency of rules-based investing with the diversification benefits of alternative strategies without replicating an index.
The Fund uses derivatives, including swaps, futures, options, and forward contracts, in implementing its strategies, and under normal market conditions, the Fund’s managers seek to obtain a significant portion of the Fund’s exposure through the use of derivatives, in addition to its exposure through direct investments. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, are primarily used as an efficient means of implementing a particular strategy in order to gain exposure to a desired strategy.
HOW DID THE FUND PERFORM?
For the six months ended April 30, 2018, the Fund posted a negative absolute performance and experienced a deviation of -3.33% relative to the BofA Merrill Lynch 3-Month US Treasury
Bill Index (the “Index”). The Fund’s allocation to alternative investment strategies, which are not held in the Index, detracted from performance relative to the Index. References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed like the Index and does not imply low risk or low volatility, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.
On an absolute basis, the Fund’s allocations to relative value fixed income and foreign exchange-based return factors within the Macro/Managed Futures sub-strategy, which was implemented primarily through the use of fixed-income futures and currency forward contracts, were leading detractors from performance.
The Fund’s allocations to the value, momentum and size factors within the Equity Long/Short sub-strategy, which was implemented primarily through the use of equities and total return swaps contracts, also detracted from absolute performance during the reporting period.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s largest allocation was to the Equity Long/Short sub-strategy, while the smallest allocation was to the Macro/Managed Futures strategy.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 3 |
JPMorgan Diversified Alternatives ETF
FUND COMMENTARY
Six Months Ended April 30, 2018 (Unaudited) (continued)
RISK ALLOCATION AS OF APRIL 30, 2018 | ||||
Strategy | % of Risk Allocation**** | |||
Equity Long/Short (1) | 48 | % | ||
Event Driven (2) | 30 | % | ||
Macro/Managed Futures (3) | 22 | % |
TOP TEN LONG POSITIONS OF THE PORTFOLIO (a) | ||||||||
1. | Avexis, Inc. | | 1.3 | % | ||||
2. | Monsanto Co. | | 1.3 | | ||||
3. | Validus Holdings Ltd. | | 1.2 | | ||||
4. | Vectren Corp. | | 1.2 | | ||||
5. | XL Group Ltd., (Bermuda) | | 1.2 | | ||||
6. | Rockwell Collins, Inc. | | 1.2 | | ||||
7. | Microsemi Corp. | | 1.2 | | ||||
8. | VeriFone Systems, Inc. | | 1.1 | | ||||
9. | Blackhawk Network Holdings, Inc. | | 1.0 | | ||||
10. | NXP Semiconductors NV, (Netherlands) | | 0.9 | |
TOP TEN SHORT HOLDINGS OF THE PORTFOLIO (a) | ||||||||
1. | Concho Resources, Inc. | | 1.2 | % | ||||
2. | Marathon Petroleum Corp. | | 0.9 | | ||||
3. | Dominion Energy, Inc. | | 0.8 | | ||||
4. | Cigna Corp. | | 0.6 | | ||||
5. | Marvell Technology Group Ltd. (Bermuda) | | 0.6 | | ||||
6. | McDermott International, Inc. | | 0.5 | | ||||
7. | Informa plc | | 0.4 | | ||||
8. | AT&T, Inc. | | 0.3 | | ||||
9. | Melrose Industries plc | | 0.3 | | ||||
10. | CVS Health Corp. | | 0.3 | |
* | 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 $25.35 as of April 30, 2018. |
** | Market price return is calculated assuming an initial investment made at the market price at the beginning of the period, 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 $25.42 as of April 30, 2018. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
**** | Risk allocations are calculated as the standard deviation (volatility of an asset class) divided by the overall volatility of the Fund. Risk, as measured by standard deviation, shows how widely a set of values varies from the mean. It is a historical measure of the volatility of returns earned by the Fund. The percentages above represent the current risk allocation based on the Fund’s holdings as of April 30, 2018 and are not representative of the targeted equal risk allocation across asset classes over the long term. Holdings and allocations may vary over time. |
(1) | Equity Long/Short strategies seek to profit by exploiting pricing inefficiencies between related equity securities by maintaining long and short positions. |
(2) | Event Driven strategies seek to profit from investing in securities of companies on the basis that a specific event or catalyst will affect future pricing. For example, merger arbitrage strategies seek to capitalize on price discrepancies and returns generated by a corporate transaction. |
(3) | Macro/Managed Futures strategies aim to exploit macro-economic imbalances across the globe. The macro based strategies may be implemented through a broad range of asset classes including, but not limited to, equities, fixed income, currency and commodities. |
(a) | Percentages indicated are based upon total investments plus the current value of the total net long and short positions within each Total Return Basket Swap as of April 30, 2018. The Fund’s portfolio composition is subject to change. |
4 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
AVERAGE ANNUAL TOTAL RETURNS AS OF APRIL 30, 2018 | ||||||||||||||||
INCEPTION DATE | SIX MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
JPMorgan Diversified Alternatives ETF | September 12, 2016 | |||||||||||||||
Net Asset Value | -2.65% | -2.87% | 1.38% | |||||||||||||
Market Price | -2.57% | -3.05% | 1.55% |
LIFE OF FUND PERFORMANCE (09/12/16 TO 04/30/18)
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 12, 2016.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Alternatives ETF and the ICE BofAML 3-Month US Treasury Bill Index from September 12, 2016 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of
the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Fund is not an index fund. The Fund is actively managed and does not seek to replicate the performance of a specified index.
The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 5 |
FUND COMMENTARY
Period November 29, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Event Driven ETF | ||||
Net Asset Value* | -0.87% | |||
Market Price** | -0.63% | |||
ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) | 0.60% | |||
Net Assets as of 4/30/2018 | $ | 26,013,495 |
INVESTMENT OBJECTIVE***
The JPMorgan Event Driven ETF (the “Fund”) seeks to provide long-term total return.
INVESTMENT APPROACH
The Fund employs a rules-based, bottom-up approach to building a diversified portfolio that seeks to capture returns by primarily investing in companies that the Fund’s adviser believes will be positively impacted by corporate or special situation events. The Fund seeks to profit by exploiting pricing inefficiencies associated with corporate change, through long and short equity positions across developed markets, achieved through the use of equities and derivative instruments.
HOW DID THE FUND PERFORM?
For the period from inception on November 29, 2017 to April 30, 2018, the Fund posted a negative absolute performance and underperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Index”).
Relative to the Index, the Fund’s allocation to alternative investment strategies, which are not held in the Index, detracted from performance. References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed like the Index and does not imply low risk or
low volatility, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.
In absolute terms, the Fund’s exposures to merger arbitrage, share buybacks, and parents and spinoffs factors were leading detractors from performance. Merger arbitrage involves exploiting differences between the share prices of target companies in mergers, relative to share prices announced in the merger agreement. The parents and spinoffs factor seeks to benefit from the creation of independent companies from business units of existing, parent companies. The Fund’s positioning within the health care sector also detracted from performance.
The Fund’s exposure to the activism tracking factor was the leading contributor to performance and the Fund’s positioning within the consumer services sector also contributed to absolute performance.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s largest allocation in notional exposure terms was to the merger arbitrage factor. From a sector perspective, the Fund’s largest positions were in the consumer services and industrials sectors and its smallest positions were in the telecommunications and basic materials sectors.
6 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOP TEN LONG HOLDINGS OF THE PORTFOLIO (a) | ||||||||
1. | Monsanto Co. | | 1.0 | % | ||||
2. | Validus Holdings Ltd. | | 1.0 | | ||||
3. | Avexis, Inc. | | 1.0 | | ||||
4. | XL Group Ltd. (Bermuda) | | 0.9 | | ||||
5. | Rockwell Collins, Inc. | | 0.9 | | ||||
6. | NxStage Medical, Inc. | | 0.9 | | ||||
7. | Vectren Corp. | | 0.9 | | ||||
8. | WGL Holdings, Inc. | | 0.9 | | ||||
9. | Microsemi Corp. | | 0.9 | | ||||
10. | Avista Corp. | | 0.9 | |
TOP TEN SHORT HOLDINGS OF THE PORTFOLIO (a) | ||||||||
1. | Concho Resources, Inc. | | 1.0 | % | ||||
2. | Strayer Education, Inc. | | 1.0 | | ||||
3. | Dominion Energy, Inc. | | 0.8 | | ||||
4. | Marathon Petroleum Corp. | | 0.7 | | ||||
5. | McDermott International, Inc. | | 0.5 | | ||||
6. | Marvell Technology Group Ltd. (Bermuda) | | 0.5 | | ||||
7. | Cigna Corp. | | 0.5 | | ||||
8. | AT&T, Inc. | | 0.5 | | ||||
9. | Melrose Industries plc. | | 0.4 | | ||||
10. | Informa plc | | 0.3 | |
* | 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 $24.77 as of April 30, 2018. |
** | Market price 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 $24.83 as of April 30, 2018. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
(a) | Percentages indicated are based upon total investments plus the current value of the total net long and short positions within each Total Return Basket Swap as of April 30, 2018. The Fund’s portfolio composition is subject to change. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 7 |
JPMorgan Event Driven ETF
FUND COMMENTARY
Period November 29, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan Event Driven ETF | November 29, 2017 | |||||||
Net Asset Value | -0.87% | |||||||
Market Price | -0.63% |
LIFE OF FUND PERFORMANCE (11/29/17 TO 4/30/18)
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 29, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Event Driven ETF and the ICE BofAML 3-Month US Treasury Bill Index from November 29, 2017 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a
full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Fund is not an index fund. The Fund is actively managed and does not seek to replicate the performance of a specified index.
The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses 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.
8 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
FUND COMMENTARY
Period January 23, 2018 (Fund Inception Date) Through April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Long/Short ETF | ||||
Net Asset Value* | -5.56% | |||
Market Price** | -5.31% | |||
ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) | 0.40% | |||
Net Assets as of 4/30/2018 | $ | 24,786,077 |
INVESTMENT OBJECTIVE***
The JPMorgan Long/Short ETF (the “Fund”) seeks to provide long-term total return.
INVESTMENT APPROACH
The Fund seeks to achieve its investment objective by taking advantage of pricing inefficiencies between equity securities by maintaining long and short exposures to equity factors (such as value, quality and momentum). The Fund utilizes an equity long/short strategy, which involves simultaneously investing in equities (investing long) that the portfolio managers believe are attractive and selling equities (selling short) that they believe are unattractive. The Fund’s managers seek to obtain a significant portion of the Fund’s exposure through the use of derivatives, in addition to its exposure through direct investments.
HOW DID THE FUND PERFORM?
For the period from inception on January 23, 2018 to April 30, 2018, the Fund posted a negative absolute performance and underperformed its broad-based market benchmark, the ICE BofAML 3-Month US Treasury Bill Index (the “Index”).
Relative to the Index, the Fund’s long-short strategy, which is not employed by the Index, detracted from performance. References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed like the Index and does not imply low risk or low volatility, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.
In terms of absolute performance, the Fund’s positioning in the technology sector was the leading detractor from performance. The Fund’s exposure to developed market equities also detracted from performance. The Fund’s exposure to the quality factor was the leading contributor to performance, and the Fund’s positioning within the financials sector also contributed to performance.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s exposures were balanced across equity value, momentum and quality factors. In addition, while the Fund’s exposure to developed market equities was negative on an aggregate basis, long positions in the North America and the Pacific region offset by short positioning in the European region.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 9 |
JPMorgan Long/Short ETF
FUND COMMENTARY
Period January 23, 2018 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOP TEN LONG POSITIONS OF THE PORTFOLIO (a) | ||||||||
1. | HollyFrontier Corp. | 0.9 | % | |||||
2. | Valero Energy Corp. | 0.9 | ||||||
3. | Greif, Inc., Class A | | 0.8 | | ||||
4. | Encompass Health Corp. | 0.8 | ||||||
5. | Humana, Inc. | | 0.8 | | ||||
6. | WellCare Health Plans, Inc. | | 0.8 | | ||||
7. | Chemed Corp. | | 0.8 | | ||||
8. | UnitedHealth Group, Inc. | | 0.8 | | ||||
9. | Eastman Chemical Co. | 0.8 | ||||||
10. | NRG Yield, Inc., Class C | | 0.8 | |
TOP TEN SHORT HOLDINGS OF THE PORTFOLIO (a) | ||||||||
1. | Oasis Petroleum, Inc.. | 1.1 | % | |||||
2. | SM Energy Co. | 1.0 | ||||||
3. | QEP Resources, Inc. | 1.0 | ||||||
4. | MEG Energy Corp. | 1.0 | ||||||
5. | Aeon Co. Ltd. | 0.9 | ||||||
6. | Metso OYJ | 0.9 | ||||||
7. | Hokuriku Electric Power Co. | 0.9 | ||||||
8. | Distribuidora Internacional de Alimentacion SA | 0.9 | ||||||
9. | Pennon Group plc. | 0.9 | ||||||
10. | JGC Corp. | 0.9- |
* | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $23.61 as of April 30, 2018. |
** | Market price 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 $23.71 as of April 30, 2018. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
(a) | Percentages indicated are based upon total investments plus the current value of the total net long and short positions within each Total Return Basket Swap as of April 30, 2018. The Fund’s portfolio composition is subject to change. |
10 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan Long/Short ETF | January 23, 2018 | |||||||
Net Asset Value | -5.56% | |||||||
Market Price | -5.31% |
LIFE OF FUND PERFORMANCE (1/23/18 TO 4/30/18)
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 23, 2018.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Long/Short ETF and the ICE BofAML 3-Month US Treasury Bill Index from January 23, 2018 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a
full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Fund is not an index fund. The Fund is actively managed and does not seek to replicate the performance of a specified index.
The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 11 |
JPMorgan Managed Futures Strategy ETF
FUND COMMENTARY
For the Period from Inception on December 5, 2017 to April 30, 2018 (Unaudited)
REPORTING PERIOD RETURN: | ||||
JPMorgan Managed Futures Strategy ETF | ||||
Net Asset Value* | -1.69% | |||
Market Price** | -1.17% | |||
ICE BofAML 3-Month US Treasury Bill Index (formerly BofA Merrill Lynch 3-Month U.S. Treasury Bill Index) | 0.58% | |||
Net Assets as of 4/30/2018 | $ | 51,600,447 |
INVESTMENT OBJECTIVE***
The JPMorgan Managed Futures Strategy ETF (the “Fund”) seeks to provide long-term total return.
INVESTMENT APPROACH
The Fund seeks to achieve its investment objective by investing globally to take advantage of opportunities across a broad range of asset classes, including equities, fixed income, currency and commodities based on the portfolio managers’ assessment of their relative attractiveness. The Fund’s portfolio managers seek to identify a set of investment return sources with distinct risk and return profiles that have a low correlation to one another and to traditional markets (each a “return factor”).
The Fund uses derivatives, including futures and forward contracts, in implementing its strategies, and under normal market conditions, the Fund’s managers seek to obtain a significant portion of the Fund’s exposure through the use of derivatives, in addition to its exposure through direct investments. Derivatives, which are instruments that have a value based on another instrument, exchange rate or index, are primarily used as an efficient means of implementing a particular strategy in order to gain exposure to a desired return factor.
HOW DID THE FUND PERFORM?
For the period from inception on December 5, 2017 to April 30, 2018, the Fund posted a negative absolute performance and underperformed its broad-based market benchmark, the ICE BofAML 3-Month US Treasury Bill Index (the “Index”).
The Fund’s allocation to managed futures, which are not held in the Index, detracted from performance relative to the Index. References to the Index are for informational purposes and are not an indication of how the Fund is managed. The use of the Index does not imply the Fund is being managed like the Index and does not imply low risk or low volatility, but rather is disclosed to allow for comparison of the Fund’s performance to that of a well-known and widely recognized index.
On an absolute basis, the Fund’s allocations to relative value fixed income-based return factors and directional fixed income-based and equity-based return factors, which are implemented primarily through the use of fixed-income and equity futures, were leading detractors from performance.
HOW WAS THE FUND POSITIONED?
At the end of the reporting period, the Fund’s allocations were balanced across fixed income, currency, commodity and equity index return factors.
12 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
* | 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 $24.57 as of April 30, 2018. |
** | Market price 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 $24.70 as of April 30, 2018. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 13 |
JPMorgan Managed Futures Strategy ETF
FUND COMMENTARY
Period December 5, 2017 (Fund Inception Date) Through April 30, 2018 (Unaudited) (continued)
TOTAL RETURNS AS OF APRIL 30, 2018 (Unaudited) | ||||||||
INCEPTION DATE | CUMULATIVE SINCE INCEPTION | |||||||
JPMorgan Managed Futures Strategy ETF | December 5, 2017 | |||||||
Net Asset Value | -1.69% | |||||||
Market Price | -1.17% |
LIFE OF FUND PERFORMANCE (12/5/17 TO 4/30/2018)
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 5, 2017.
The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Managed Futures Strategy ETF and the ICE BofAML 3-Month US Treasury Bill Index from December 5, 2017 to April 30, 2018. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of
the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index. The Fund is not an index fund. The Fund is actively managed and does not seek to replicate the performance of a specified index.
The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses 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.
14 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — 52.8% | ||||||||
Aerospace & Defense — 1.9% |
| |||||||
1,462 | Boeing Co. (The) | 487,665 | ||||||
2,002 | L3 Technologies, Inc. | 392,152 | ||||||
22,312 | Rockwell Collins, Inc. | 2,957,232 | ||||||
|
| |||||||
3,837,049 | ||||||||
|
| |||||||
Auto Components — 1.0% |
| |||||||
4,100 | Autoliv, Inc. (Sweden) | 549,605 | ||||||
7,253 | BorgWarner, Inc. | 354,962 | ||||||
3,013 | Cooper-Standard Holdings, Inc.* | 373,010 | ||||||
15,614 | Gentex Corp. | 355,062 | ||||||
1,920 | Lear Corp. | 358,982 | ||||||
|
| |||||||
1,991,621 | ||||||||
|
| |||||||
Banks — 0.6% |
| |||||||
13,800 | BancorpSouth Bank | 456,090 | ||||||
6,200 | Customers Bancorp, Inc.* | 178,684 | ||||||
13,800 | Fifth Third Bancorp | 457,746 | ||||||
2,800 | Union Bankshares Corp. | 105,868 | ||||||
|
| |||||||
1,198,388 | ||||||||
|
| |||||||
Beverages — 0.2% |
| |||||||
4,411 | PepsiCo, Inc. | 445,246 | ||||||
|
| |||||||
Biotechnology — 1.5% | ||||||||
14,896 | Avexis, Inc.* | 3,167,783 | ||||||
|
| |||||||
Building Products — 0.5% | ||||||||
5,667 | Owens Corning | 371,132 | ||||||
18,219 | USG Corp.* | 732,950 | ||||||
|
| |||||||
1,104,082 | ||||||||
|
| |||||||
Capital Markets — 1.4% |
| |||||||
14,761 | Artisan Partners Asset Management, Inc., Class A | 474,566 | ||||||
36,214 | BGC Partners, Inc., Class A | 483,819 | ||||||
33,953 | Financial Engines, Inc. | 1,516,002 | ||||||
24,125 | Waddell & Reed Financial, Inc., Class A | 488,290 | ||||||
|
| |||||||
2,962,677 | ||||||||
|
| |||||||
Chemicals — 2.9% |
| |||||||
11,905 | CF Industries Holdings, Inc. | 461,914 | ||||||
4,259 | Eastman Chemical Co. | 434,759 | ||||||
14,726 | Huntsman Corp. | 438,393 | ||||||
4,214 | LyondellBasell Industries NV, Class A | 445,546 | ||||||
25,022 | Monsanto Co. | 3,137,008 | ||||||
62,800 | Platform Specialty Products Corp.* | 632,396 | ||||||
4,395 | Westlake Chemical Corp. | 470,133 | ||||||
|
| |||||||
6,020,149 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Commercial Services & Supplies — 0.6% |
| |||||||
12,845 | Brady Corp., Class A | 467,558 | ||||||
6,461 | Deluxe Corp. | 442,837 | ||||||
16,828 | Quad/Graphics, Inc. | 415,820 | ||||||
|
| |||||||
1,326,215 | ||||||||
|
| |||||||
Communications Equipment — 0.6% |
| |||||||
8,183 | Cisco Systems, Inc. | 362,425 | ||||||
78,231 | Mitel Networks Corp.* | 873,058 | ||||||
|
| |||||||
1,235,483 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
7,543 | Jacobs Engineering Group, Inc. | 438,173 | ||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
7,393 | Greif, Inc., Class A | 432,638 | ||||||
8,900 | Sealed Air Corp. | 390,265 | ||||||
|
| |||||||
822,903 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
6,261 | Eaton Corp. plc | 469,763 | ||||||
34,805 | General Cable Corp. | 1,031,968 | ||||||
6,544 | Regal Beloit Corp. | 465,933 | ||||||
8,578 | Sensata Technologies Holding plc* | 435,076 | ||||||
|
| |||||||
2,402,740 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
8,860 | Methode Electronics, Inc. | 353,514 | ||||||
118,825 | VeriFone Systems, Inc.* | 2,734,163 | ||||||
18,875 | Vishay Intertechnology, Inc. | 333,144 | ||||||
|
| |||||||
3,420,821 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.0% |
| |||||||
27,084 | Diamond Offshore Drilling, Inc.* | 498,075 | ||||||
11,675 | National Oilwell Varco, Inc. | 451,472 | ||||||
26,282 | RPC, Inc. | 473,339 | ||||||
5,100 | Tidewater, Inc.* | 174,726 | ||||||
19,886 | Unit Corp.* | 451,014 | ||||||
|
| |||||||
2,048,626 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
10,400 | United Natural Foods, Inc.* | 468,208 | ||||||
6,000 | Walgreens Boots Alliance, Inc. | 398,700 | ||||||
5,171 | Walmart, Inc. | 457,427 | ||||||
|
| |||||||
1,324,335 | ||||||||
|
| |||||||
Food Products — 1.8% |
| |||||||
13,032 | Conagra Brands, Inc. | 483,096 | ||||||
21,558 | Flowers Foods, Inc. | 487,426 | ||||||
3,718 | Ingredion, Inc. | 450,213 | ||||||
4,009 | JM Smucker Co. (The) | 457,347 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 15 |
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Food Products — continued | ||||||||
8,003 | John B Sanfilippo & Son Inc | 455,291 | ||||||
29,767 | Nomad Foods Ltd. (United Kingdom)* | 490,858 | ||||||
3,663 | Sanderson Farms, Inc. | 407,179 | ||||||
6,802 | Tyson Foods, Inc., Class A | 476,820 | ||||||
|
| |||||||
3,708,230 | ||||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
14,452 | WGL Holdings, Inc. | 1,229,865 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% | ||||||||
5,828 | Analogic Corp. | 484,307 | ||||||
4,829 | Danaher Corp. | 484,445 | ||||||
11,800 | Natus Medical, Inc.* | 389,990 | ||||||
23,311 | NxStage Medical, Inc.* | 620,539 | ||||||
4,792 | STERIS plc | 452,940 | ||||||
|
| |||||||
2,432,221 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.3% |
| |||||||
4,368 | Aetna, Inc. | 782,090 | ||||||
1,576 | Chemed Corp. | 485,755 | ||||||
7,949 | Encompass Health Corp. | 483,458 | ||||||
5,164 | Express Scripts Holding Co.* | 390,915 | ||||||
1,659 | Humana, Inc. | 488,045 | ||||||
70,376 | Kindred Healthcare, Inc.* | 626,346 | ||||||
2,300 | MEDNAX, Inc.* | 105,593 | ||||||
4,790 | Quest Diagnostics, Inc. | 484,748 | ||||||
2,105 | UnitedHealth Group, Inc. | 497,622 | ||||||
2,353 | WellCare Health Plans, Inc.* | 482,742 | ||||||
|
| |||||||
4,827,314 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
10,900 | Brinker International, Inc. | 475,131 | ||||||
1,700 | Churchill Downs, Inc. | 466,820 | ||||||
1,700 | Domino’s Pizza, Inc. | 410,941 | ||||||
31,900 | La Quinta Holdings, Inc.* | 623,326 | ||||||
2,911 | Royal Caribbean Cruises Ltd. | 314,941 | ||||||
8,695 | Wyndham Worldwide Corp. | 993,055 | ||||||
|
| |||||||
3,284,214 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
13,100 | PulteGroup, Inc. | 397,716 | ||||||
15,200 | Taylor Morrison Home Corp., Class A* | 361,152 | ||||||
8,222 | Toll Brothers, Inc. | 346,639 | ||||||
13,724 | William Lyon Homes, Class A* | 368,627 | ||||||
|
| |||||||
1,474,134 | ||||||||
|
| |||||||
Household Products — 0.2% |
| |||||||
5,806 | Procter & Gamble Co. (The) | 420,006 | ||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Independent Power and Renewable Electricity Producers — 0.7% |
| |||||||
14,918 | NRG Energy, Inc. | 462,458 | ||||||
26,358 | NRG Yield, Inc., Class C | 469,173 | ||||||
23,011 | Vistra Energy Corp.* | 525,801 | ||||||
|
| |||||||
1,457,432 | ||||||||
|
| |||||||
Insurance — 4.9% |
| |||||||
9,969 | Aflac, Inc. | 454,287 | ||||||
16,121 | American Equity Investment Life Holding Co. | 486,854 | ||||||
109,454 | AmTrust Financial Services, Inc. | 1,410,862 | ||||||
8,839 | First American Financial Corp. | 451,761 | ||||||
4,615 | Prudential Financial, Inc. | 490,667 | ||||||
3,180 | Reinsurance Group of America, Inc. | 475,092 | ||||||
401 | Stewart Information Services Corp. | 16,726 | ||||||
9,027 | Unum Group | 436,726 | ||||||
45,279 | Validus Holdings Ltd. | 3,068,558 | ||||||
53,330 | XL Group Ltd. (Bermuda) | 2,964,615 | ||||||
|
| |||||||
10,256,148 | ||||||||
|
| |||||||
Internet Software & Services — 0.3% |
| |||||||
332 | Alphabet, Inc., Class C* | 337,753 | ||||||
7,814 | Match Group, Inc.* | 368,196 | ||||||
|
| |||||||
705,949 | ||||||||
|
| |||||||
IT Services — 3.0% |
| |||||||
2,233 | Accenture plc, Class A | 337,630 | ||||||
5,199 | Amdocs Ltd. | 349,633 | ||||||
54,854 | Blackhawk Network Holdings, Inc.* | 2,462,945 | ||||||
4,308 | Cognizant Technology Solutions Corp., Class A | 352,481 | ||||||
15,329 | Convergys Corp. | 358,085 | ||||||
7,781 | CSG Systems International, Inc. | 332,949 | ||||||
6,200 | DXC Technology Co. | 638,972 | ||||||
6,535 | ManTech International Corp., Class A | 386,153 | ||||||
1,987 | Mastercard, Inc., Class A | 354,222 | ||||||
5,363 | MAXIMUS, Inc. | 362,700 | ||||||
18,386 | Western Union Co. (The) | 363,123 | ||||||
|
| |||||||
6,298,893 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% |
| |||||||
7,113 | Agilent Technologies, Inc. | 467,608 | ||||||
8,825 | Cambrex Corp.* | 467,284 | ||||||
3,963 | Charles River Laboratories International, Inc.* | 412,905 | ||||||
4,384 | ICON plc* | 515,690 | ||||||
|
| |||||||
1,863,487 | ||||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
16 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Machinery — 2.4% |
| |||||||
9,500 | Allison Transmission Holdings, Inc. | 370,405 | ||||||
14,693 | Atlas Copco AB, Class A (Sweden)* | 574,589 | ||||||
2,909 | Cummins, Inc. | 465,033 | ||||||
6,600 | Dover Corp. | 611,820 | ||||||
10,588 | Greenbrier Cos., Inc. (The) | 464,284 | ||||||
9,834 | Hillenbrand, Inc. | 455,806 | ||||||
3,101 | Illinois Tool Works, Inc. | 440,404 | ||||||
5,706 | Ingersoll-Rand plc | 478,676 | ||||||
8,900 | Pentair plc (United Kingdom) | 598,792 | ||||||
10,300 | Terex Corp. | 376,156 | ||||||
2,200 | Trinity Industries, Inc. | 70,114 | ||||||
|
| |||||||
4,906,079 | ||||||||
|
| |||||||
Media — 0.3% |
| |||||||
1,000 | CBS Corp. (Non-Voting), Class B | 49,200 | ||||||
5,027 | Omnicom Group, Inc. | 370,289 | ||||||
1,258 | Time Warner, Inc. | 119,258 | ||||||
|
| |||||||
538,747 | ||||||||
|
| |||||||
Metals & Mining — 0.3% |
| |||||||
18,700 | Sandstorm Gold Ltd. (Canada)* | 86,513 | ||||||
15,443 | Schnitzer Steel Industries, Inc., Class A | 454,796 | ||||||
|
| |||||||
541,309 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
9,057 | Big Lots, Inc. | 384,470 | ||||||
5,674 | Kohl’s Corp. | 352,469 | ||||||
5,070 | Target Corp. | 368,082 | ||||||
|
| |||||||
1,105,021 | ||||||||
|
| |||||||
Multi-Utilities — 2.6% |
| |||||||
8,779 | Avista Corp. | 455,279 | ||||||
17,913 | CenterPoint Energy, Inc. | 453,736 | ||||||
31,723 | Innogy SE (Germany) (a) (b) | 1,393,915 | ||||||
43,278 | Vectren Corp. | 3,041,145 | ||||||
|
| |||||||
5,344,075 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
1,300 | Energen Corp.* | 85,072 | ||||||
8,770 | HollyFrontier Corp. | 532,251 | ||||||
5,700 | Peabody Energy Corp. | 210,045 | ||||||
4,429 | Valero Energy Corp. | 491,309 | ||||||
|
| |||||||
1,318,677 | ||||||||
|
| |||||||
Paper & Forest Products — 1.2% |
| |||||||
10,151 | Domtar Corp. | 445,629 | ||||||
60,953 | KapStone Paper and Packaging Corp. | 2,098,002 | ||||||
|
| |||||||
2,543,631 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Personal Products — 0.2% |
| |||||||
4,100 | Herbalife Nutrition Ltd.* | 433,493 | ||||||
|
| |||||||
Pharmaceuticals — 1.1% | ||||||||
45,163 | Akorn, Inc.* | 651,702 | ||||||
3,483 | Johnson & Johnson | 440,565 | ||||||
11,369 | Pfizer, Inc. | 416,219 | ||||||
2,118 | STADA Arzneimittel AG (Germany) | 214,437 | ||||||
4,794 | Taro Pharmaceutical Industries Ltd.* | 488,892 | ||||||
|
| |||||||
2,211,815 | ||||||||
|
| |||||||
Professional Services — 0.7% |
| |||||||
7,700 | FTI Consulting, Inc.* | 449,680 | ||||||
7,450 | ICF International, Inc. | 499,895 | ||||||
4,141 | ManpowerGroup, Inc. | 396,377 | ||||||
|
| |||||||
1,345,952 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (c) |
| |||||||
1,800 | CBRE Group, Inc., Class A* | 81,558 | ||||||
|
| |||||||
Road & Rail — 0.2% | ||||||||
14,055 | ArcBest Corp. | 451,166 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
6,129 | Applied Materials, Inc. | 304,427 | ||||||
3,178 | Cabot Microelectronics Corp. | 322,408 | ||||||
4,996 | First Solar, Inc.* | 354,266 | ||||||
1,658 | Lam Research Corp. | 306,830 | ||||||
5,852 | Maxim Integrated Products, Inc. | 318,934 | ||||||
44,441 | Microsemi Corp.* | 2,874,888 | ||||||
2,927 | MKS Instruments, Inc. | 299,725 | ||||||
21,347 | NXP Semiconductors NV (Netherlands)* | 2,239,300 | ||||||
8,750 | Teradyne, Inc. | 284,813 | ||||||
3,315 | Texas Instruments, Inc. | 336,241 | ||||||
|
| |||||||
7,641,832 | ||||||||
|
| |||||||
Software — 1.3% |
| |||||||
6,000 | Avaya Holdings Corp.* | 137,340 | ||||||
3,340 | Blackbaud, Inc. | 350,567 | ||||||
9,514 | Cadence Design Systems, Inc.* | 381,131 | ||||||
3,822 | Citrix Systems, Inc.* | 393,322 | ||||||
2,029 | Intuit, Inc. | 374,939 | ||||||
7,684 | Oracle Corp. | 350,928 | ||||||
4,173 | Synopsys, Inc.* | 356,833 | ||||||
2,863 | VMware, Inc., Class A* | 381,523 | ||||||
|
| |||||||
2,726,583 | ||||||||
|
| |||||||
Specialty Retail — 2.0% |
| |||||||
13,835 | Abercrombie & Fitch Co., Class A | 354,453 | ||||||
17,935 | American Eagle Outfitters, Inc. | 370,896 | ||||||
5,176 | Best Buy Co., Inc. | 396,119 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 17 |
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Specialty Retail — continued | ||||||||
37,235 | Chico’s FAS, Inc. | 369,744 | ||||||
2,957 | Children’s Place, Inc. (The) | 377,165 | ||||||
10,651 | Dick’s Sporting Goods, Inc. | 352,442 | ||||||
9,900 | Foot Locker, Inc. | 426,492 | ||||||
11,218 | Gap, Inc. (The) | 328,014 | ||||||
6,600 | Murphy USA, Inc.* | 412,962 | ||||||
42,035 | Rent-A-Center, Inc. | 424,974 | ||||||
13,400 | Tailored Brands, Inc. | 422,770 | ||||||
|
| |||||||
4,236,031 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.2% |
| |||||||
2,067 | Apple, Inc. | 341,593 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% | ||||||||
3,943 | Deckers Outdoor Corp.* | 367,724 | ||||||
9,701 | Movado Group, Inc. | 382,705 | ||||||
3,311 | Ralph Lauren Corp. | 363,713 | ||||||
12,369 | Wolverine World Wide, Inc. | 370,575 | ||||||
|
| |||||||
1,484,717 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
22,502 | PennyMac Financial Services, Inc., Class A* | 463,541 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
10,300 | HD Supply Holdings, Inc.* | 398,713 | ||||||
|
| |||||||
Total Common Stocks | 109,818,717 | |||||||
|
| |||||||
Short-Term Investments — 41.1% | ||||||||
Investment Companies — 41.1% | ||||||||
85,343,402 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (d) (e) | 85,343,402 | ||||||
|
| |||||||
Total Investments — 93.9% | 195,162,119 | |||||||
Other Assets Less Liabilities — 6.1% | 12,711,823 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 207,873,942 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(b) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | — Represents less than 0.05% of net assets. | |
(d) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(e) | — The rate shown was the current yield as of April 30, 2018. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
18 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Futures contracts outstanding as of April 30, 2018: | ||||||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
34 | Feeder Cattle | 05/2018 | USD | 2,382,975 | 157,537 | |||||||||||||||
3 | Hang Seng Index | 05/2018 | HKD | 582,624 | 3,660 | |||||||||||||||
27 | LME Aluminum Base Metal | 05/2018 | USD | 1,527,863 | 113,681 | |||||||||||||||
21 | LME Nickel Base Metal | 05/2018 | USD | 1,713,726 | 8,925 | |||||||||||||||
44 | LME Zinc Base Metal | 05/2018 | USD | 3,441,625 | (140,169 | ) | ||||||||||||||
54 | WTI Crude Oil | 05/2018 | USD | 3,702,780 | 302,326 | |||||||||||||||
11 | 100 oz Gold | 06/2018 | USD | 1,451,120 | (21,639 | ) | ||||||||||||||
231 | Australia 10 Year Bond | 06/2018 | AUD | 22,241,710 | 84,400 | |||||||||||||||
14 | Canada 10 Year Bond | 06/2018 | CAD | 1,433,311 | 5,357 | |||||||||||||||
14 | Euro-Schatz | 06/2018 | EUR | 1,892,080 | 1,085 | |||||||||||||||
6 | FTSE/MIB Index | 06/2018 | EUR | 853,103 | 50,191 | |||||||||||||||
16 | Japan 10 Year Bond | 06/2018 | JPY | 22,047,567 | (16,101 | ) | ||||||||||||||
63 | Live Cattle | 06/2018 | USD | 2,673,720 | (197,486 | ) | ||||||||||||||
22 | LME Aluminum Base Metal | 06/2018 | USD | 1,245,750 | 77,675 | |||||||||||||||
15 | LME Nickel Base Metal | 06/2018 | USD | 1,225,890 | 21,231 | |||||||||||||||
27 | LME Zinc Base Metal | 06/2018 | USD | 2,112,075 | (96,807 | ) | ||||||||||||||
4 | S&P 500 E-Mini Index | 06/2018 | USD | 529,400 | (21,368 | ) | ||||||||||||||
2 | SPI 200 Index | 06/2018 | AUD | 223,745 | (1,149 | ) | ||||||||||||||
417 | U.S. Treasury 10 Year Note | 06/2018 | USD | 49,851,047 | (123,996 | ) | ||||||||||||||
15 | WTI Crude Oil | 06/2018 | USD | 1,027,200 | 88,860 | |||||||||||||||
77 | Cocoa | 07/2018 | USD | 2,175,250 | 222,628 | |||||||||||||||
19 | Corn | 07/2018 | USD | 380,712 | 12,494 | |||||||||||||||
43 | Cotton No. 2 | 07/2018 | USD | 1,802,560 | 48,436 | |||||||||||||||
9 | LME Aluminum Base Metal | 07/2018 | USD | 508,838 | 60,104 | |||||||||||||||
27 | Soybean | 07/2018 | USD | 1,415,475 | 23,733 | |||||||||||||||
2 | Wheat | 07/2018 | USD | 51,050 | 3,994 | |||||||||||||||
31 | Live Cattle | 08/2018 | USD | 1,296,110 | (82,491 | ) | ||||||||||||||
|
| |||||||||||||||||||
585,111 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts |
| |||||||||||||||||||
(7 | ) | CAC 40 10 Euro Index | 05/2018 | EUR | (461,674 | ) | (13,453 | ) | ||||||||||||
(13 | ) | IBEX 35 Index | 05/2018 | EUR | (1,560,668 | ) | (30,827 | ) | ||||||||||||
(27 | ) | LME Aluminum Base Metal | 05/2018 | USD | (1,527,863 | ) | (191,025 | ) | ||||||||||||
(8 | ) | LME Nickel Base Metal | 05/2018 | USD | (652,848 | ) | (24,120 | ) | ||||||||||||
(85 | ) | Natural Gas | 05/2018 | USD | (2,348,550 | ) | 2,920 | |||||||||||||
(78 | ) | Australia 3 Year Bond | 06/2018 | AUD | (6,513,017 | ) | (3,309 | ) | ||||||||||||
(28 | ) | Canada 10 Year Bond | 06/2018 | CAD | (2,866,623 | ) | 12,541 | |||||||||||||
(2 | ) | DAX Index | 06/2018 | EUR | (758,927 | ) | (21,419 | ) | ||||||||||||
(24 | ) | EURO STOXX 50 Index | 06/2018 | EUR | (1,003,968 | ) | (43,025 | ) | ||||||||||||
(45 | ) | Euro-Bobl | 06/2018 | EUR | (7,118,802 | ) | (22,752 | ) | ||||||||||||
(16 | ) | Euro-Bund | 06/2018 | EUR | (3,067,111 | ) | (8,991 | ) | ||||||||||||
(12 | ) | FTSE 100 Index | 06/2018 | GBP | (1,230,246 | ) | (36,071 | ) | ||||||||||||
(40 | ) | Japan 10 Year Bond | 06/2018 | JPY | (55,118,917 | ) | 35,609 | |||||||||||||
(94 | ) | Lean Hogs | 06/2018 | USD | (2,733,520 | ) | 198,513 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 19 |
JPMorgan Diversified Alternatives ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
(22 | ) | LME Aluminum Base Metal | 06/2018 | USD | (1,245,750 | ) | (144,847 | ) | ||||||||||||
(3 | ) | LME Nickel Base Metal | 06/2018 | USD | (245,178 | ) | 10,845 | |||||||||||||
(5 | ) | LME Zinc Base Metal | 06/2018 | USD | (391,125 | ) | 12,872 | |||||||||||||
(83 | ) | Long Gilt | 06/2018 | GBP | (13,970,173 | ) | (149,925 | ) | ||||||||||||
(28 | ) | Natural Gas | 06/2018 | USD | (784,000 | ) | 10,740 | |||||||||||||
(171 | ) | S&P 500 E-Mini Index | 06/2018 | USD | (22,631,850 | ) | 768,853 | |||||||||||||
(153 | ) | Sugar No. 11 | 06/2018 | USD | (2,013,480 | ) | 141,634 | |||||||||||||
(48 | ) | U.S. Treasury 10 Year Note | 06/2018 | USD | (5,738,250 | ) | 29,660 | |||||||||||||
(165 | ) | U.S. Treasury 2 Year Note | 06/2018 | USD | (34,987,734 | ) | 60,880 | |||||||||||||
(100 | ) | U.S. Treasury 5 Year Note | 06/2018 | USD | (11,348,438 | ) | 40,118 | |||||||||||||
(18 | ) | U.S. Treasury Long Bond | 06/2018 | USD | (2,583,000 | ) | 14,834 | |||||||||||||
(58 | ) | Coffee ‘C’ | 07/2018 | USD | (2,670,900 | ) | (97,450 | ) | ||||||||||||
(1 | ) | Copper | 07/2018 | USD | (76,850 | ) | 2,422 | |||||||||||||
(164 | ) | Corn | 07/2018 | USD | (3,286,150 | ) | (91,159 | ) | ||||||||||||
(5 | ) | LME Aluminum Base Metal | 07/2018 | USD | (282,688 | ) | (3,156 | ) | ||||||||||||
(31 | ) | Silver | 07/2018 | USD | (2,542,155 | ) | 27,118 | |||||||||||||
(87 | ) | Wheat | 07/2018 | USD | (2,220,675 | ) | (181,194 | ) | ||||||||||||
(12 | ) | Feeder Cattle | 08/2018 | USD | (877,200 | ) | 6,165 | |||||||||||||
(85 | ) | Sugar No. 11 | 09/2018 | USD | (1,141,448 | ) | 74,930 | |||||||||||||
(55 | ) | Wheat | 09/2018 | USD | (1,447,188 | ) | (110,300 | ) | ||||||||||||
|
| |||||||||||||||||||
277,631 | ||||||||||||||||||||
|
| |||||||||||||||||||
862,742 | ||||||||||||||||||||
|
|
Abbreviations
AUD | — Australian Dollar | |||||||||
CAC | — Continuous Assisted Quotation | |||||||||
CAD | — Canadian Dollar | |||||||||
DAX | — Deutscher Aktien Index | |||||||||
EUR | — Euro | |||||||||
FTSE | — Financial Times and the London Stock Exchange | |||||||||
GBP | — British Pound |
HKD | — Hong Kong Dollar | |||||||||
IBEX | — Madrid Stock Exchange | |||||||||
JPY | — Japanese Yen | |||||||||
LME | — London Metal Exchange | |||||||||
MIB | — Milan, Italian Stock Exchange | |||||||||
USD | — United States Dollar |
Forward foreign currency exchange contracts outstanding as of April 30, 2018: | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | Settlement Date | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
USD | 1,108,850 | AUD | 1,442,887 | TD Bank Financial Group | 5/9/2018 | 22,565 | ||||||||||||||
MXN | 3,947,357 | USD | 208,106 | Goldman Sachs International | 5/25/2018 | 2,156 | ||||||||||||||
TRY | 5,280,705 | USD | 1,276,120 | HSBC Bank, NA | 5/25/2018 | 13,950 | ||||||||||||||
USD | 3,822,377 | AUD | 4,918,973 | HSBC Bank, NA | 5/25/2018 | 118,984 | ||||||||||||||
USD | 4,567,888 | CAD | 5,754,390 | State Street Corp. | 5/25/2018 | 83,966 | ||||||||||||||
USD | 1,210,047 | CHF | 1,165,898 | Goldman Sachs International | 5/25/2018 | 31,168 | ||||||||||||||
USD | 15,525,712 | CHF | 14,862,047 | State Street Corp. | 5/25/2018 | 498,193 | ||||||||||||||
USD | 495,137 | EUR | 398,738 | BNP Paribas SA | 5/25/2018 | 12,785 | ||||||||||||||
USD | 7,823,549 | EUR | 6,308,268 | State Street Corp. | 5/25/2018 | 192,462 | ||||||||||||||
USD | 2,359,215 | EUR | 1,903,205 | TD Bank Financial Group | 5/25/2018 | 56,915 | ||||||||||||||
USD | 353,306 | GBP | 248,555 | Merrill Lynch International | 5/25/2018 | 10,743 | ||||||||||||||
USD | 1,266,058 | HUF | 317,192,687 | Merrill Lynch International | 5/25/2018 | 43,366 | ||||||||||||||
USD | 207,708 | HUF | 53,842,836 | State Street Corp. | 5/25/2018 | 158 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
20 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | Settlement Date | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
USD | 1,336,236 | ILS | 4,676,477 | BNP Paribas SA | 5/25/2018 | 34,957 | ||||||||||||||
USD | 2,200,475 | NZD | 2,996,852 | Australia & New Zealand Banking Group Ltd. | 5/25/2018 | 92,100 | ||||||||||||||
USD | 14,443,524 | SEK | 121,469,887 | Citibank NA | 5/25/2018 | 546,850 | ||||||||||||||
USD | 1,045,973 | SEK | 8,746,447 | Goldman Sachs International | 5/25/2018 | 45,342 | ||||||||||||||
USD | 1,326,913 | THB | 41,325,111 | Citibank NA | 5/25/2018 | 16,660 | ||||||||||||||
USD | 1,311,693 | TWD | 38,547,636 | Merrill Lynch International** | 5/25/2018 | 7,614 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 1,830,934 | |||||||||||||||||||
|
| |||||||||||||||||||
JPY | 33,435,314 | USD | 306,566 | Goldman Sachs International | 5/1/2018 | (718 | ) | |||||||||||||
GBP | 313,301 | CHF | 427,381 | Merrill Lynch International | 5/25/2018 | (342 | ) | |||||||||||||
GBP | 3,452,341 | USD | 4,945,713 | Merrill Lynch International | 5/25/2018 | (187,631 | ) | |||||||||||||
INR | 86,004,218 | USD | 1,308,726 | Merrill Lynch International** | 5/25/2018 | (18,783 | ) | |||||||||||||
JPY | 43,110,629 | CAD | 508,026 | Citibank NA | 5/25/2018 | (887 | ) | |||||||||||||
JPY | 81,179,142 | USD | 758,843 | Barclays Bank plc | 5/25/2018 | (15,088 | ) | |||||||||||||
JPY | 1,057,234,371 | USD | 9,879,642 | HSBC Bank, NA | 5/25/2018 | (193,365 | ) | |||||||||||||
MXN | 23,207,982 | USD | 1,277,204 | HSBC Bank, NA | 5/25/2018 | (40,997 | ) | |||||||||||||
NOK | 8,412,952 | USD | 1,086,991 | Deutsche Bank AG | 5/25/2018 | (37,439 | ) | |||||||||||||
NOK | 4,102,696 | USD | 520,266 | Goldman Sachs International | 5/25/2018 | (8,437 | ) | |||||||||||||
NOK | 134,012,947 | USD | 17,275,709 | State Street Corp. | 5/25/2018 | (557,024 | ) | |||||||||||||
RUB | 89,096,507 | USD | 1,431,929 | Goldman Sachs International** | 5/25/2018 | (21,222 | ) | |||||||||||||
USD | 450,793 | CAD | 579,436 | Goldman Sachs International | 5/25/2018 | (714 | ) | |||||||||||||
USD | 1,310,530 | KRW | 1,405,582,723 | Merrill Lynch International** | 5/25/2018 | (2,384 | ) | |||||||||||||
ZAR | 15,625,996 | USD | 1,290,068 | Merrill Lynch International | 5/25/2018 | (40,602 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (1,125,633 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | 705,301 | |||||||||||||||||||
|
|
** | — Non-deliverable forward. See Note 2.C.(2). in the Notes to Financial Statements. |
Abbreviations
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
EUR | — Euro | |
GBP | — British Pound | |
HUF | — Hungarian Forint | |
ILS | — Israeli Shekel | |
INR | — India Rupee | |
JPY | — Japanese Yen | |
KRW | — Korea (Rep.) won |
MXN | — Mexican Peso | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
RUB | — Russian Ruble | |
SEK | — Swedish Krona | |
THB | — Thai Baht | |
TRY | — New Turkish Lira | |
TWD | — Taiwan Dollar | |
USD | — United States Dollar | |
ZAR | — South African Rand |
Over the Counter (“OTC”) Total Return Swap contracts outstanding as of April 30, 2018: | ||||||||||||||||||||||||||||
Reference Entity | Payments Made by Fund | Payments Received by Fund | Frequency of Payments Made/Received | Counterparty | Maturity Date | Notional Amount | Upfront (Receipts) ($) | Value and Unrealized Appreciation (Depreciation) ($) | ||||||||||||||||||||
Media Gen, Inc. CVR ‡ | Total appreciation of the position at maturity | Total appreciation/depreciation of the position at maturity | At Termination | Bank of America | 11/16/2018 | USD 1,329 | $ | — | $ | 65 | ||||||||||||||||||
|
|
|
| |||||||||||||||||||||||||
— | 65 | |||||||||||||||||||||||||||
|
|
|
|
‡ | — Value determined using significant unobservable inputs. |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 21 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited)
OTC Total Return Basket Swap contracts outstanding as April 30, 2018 | ||||||||||||||||||||
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 3/29/2019 | $ | (2,611,735 | ) | $ | (21,640 | ) | $ | (27,263 | ) | $ | (48,903 | ) | ||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | ||||||||||||||||
International Consolidated Airlines Group SA | 51,440 | 444,659 | 8,603 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
3i Group plc | 2,539 | 32,774 | 1,035 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Kier Group plc | 9,799 | 144,594 | 6,262 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
DS Smith plc | 60,893 | 436,208 | 12,292 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Petrofac Ltd. | 17,304 | 143,600 | 5,710 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Wm Morrison Supermarkets plc | 8,155 | 27,198 | 952 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Carnival plc | 453 | 29,443 | 759 | 0.0 | (a) | |||||||||||
William Hill plc | 5,283 | 21,249 | (3,111 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
5,736 | 50,692 | (2,352 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Berkeley Group Holdings plc | 1,426 | 79,833 | 2,704 | 0.0 | (a) | |||||||||||
Bovis Homes Group plc | 21,686 | 368,978 | 10,110 | 0.0 | (a) | |||||||||||
Redrow plc | 9,543 | 82,233 | 1,604 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
32,655 | 531,044 | 14,418 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Fenner plc | 66,335 | 555,246 | (460 | ) | (0.0 | )(a) | ||||||||||
Vesuvius plc | 58,449 | 472,025 | 11,672 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
124,784 | 1,027,271 | 11,212 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Pearson plc | 35,453 | 406,456 | 28,792 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Anglo American plc | 18,976 | 446,491 | (24,931 | ) | (0.0 | )(a) | ||||||||||
BHP Billiton plc | 22,991 | 490,224 | 6,924 | 0.0 | (a) | |||||||||||
Centamin plc | 42,403 | 91,626 | 1,755 | 0.0 | (a) | |||||||||||
Rio Tinto plc | 2,231 | 121,603 | (549 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
86,601 | 1,149,944 | (16,801 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
22 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Multi-Utilities | ||||||||||||||||
Centrica plc | 6,876 | 14,559 | 816 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Professional Services | ||||||||||||||||
Capita plc | 129,567 | 341,677 | 76,901 | 0.1 | ||||||||||||
Hays plc | 42,090 | 103,723 | (58 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
171,657 | 445,400 | 76,843 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
National Express Group plc | 82,310 | 444,176 | (23,727 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Thrifts & Mortgage Finance | ||||||||||||||||
Paragon Banking Group plc | 60,779 | 435,741 | 25,536 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Wireless Telecommunication Services |
| |||||||||||||||
Vodafone Group plc | 32,078 | 93,611 | 2,325 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 789,059 | 5,827,927 | 151,916 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Cobham plc | (266,042 | ) | (420,180 | ) | 5,501 | 0.0 | (a) | |||||||||
Rolls-Royce Holdings plc | (35,890 | ) | (414,499 | ) | 11,953 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(301,932 | ) | (834,679 | ) | 17,454 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
Standard Chartered plc | (43,317 | ) | (455,003 | ) | (20,079 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
St James’s Place plc | (29,375 | ) | (457,583 | ) | (14,957 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Johnson Matthey plc | (9,623 | ) | (434,906 | ) | (1,763 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Serco Group plc* | (310,012 | ) | (409,673 | ) | 2,831 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Balfour Beatty plc | (97,819 | ) | (395,033 | ) | (8,988 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Dignity plc | (23,880 | ) | (358,673 | ) | (17,500 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Electrical Equipment | ||||||||||||||||
Melrose Industries plc | (121,487 | ) | (380,941 | ) | 12,383 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Compass Group plc | (17,425 | ) | (373,815 | ) | (21,052 | ) | (0.0 | )(a) | ||||||||
InterContinental Hotels Group plc | (5,978 | ) | (377,161 | ) | (20,169 | ) | (0.0 | )(a) | ||||||||
Merlin Entertainments plc (b) | (74,288 | ) | (375,802 | ) | (22,089 | ) | (0.1 | ) | ||||||||
Whitbread plc | (5,780 | ) | (340,079 | ) | (9,976 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(103,471 | ) | (1,466,857 | ) | (73,286 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
DCC plc | (4,102 | ) | (393,729 | ) | (11,738 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Weir Group plc (The) | (15,293 | ) | (447,501 | ) | (5,066 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
ITV plc | (175,207 | ) | (364,496 | ) | (19,899 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 23 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Metals & Mining | ||||||||||||||||
Fresnillo plc | (25,123 | ) | (440,959 | ) | 15,047 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Multiline Retail | ||||||||||||||||
B&M European Value Retail SA | (52,049 | ) | (290,050 | ) | (9,964 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Tobacco | ||||||||||||||||
British American Tobacco plc | (7,792 | ) | (427,372 | ) | (13,272 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
Bunzl plc | (15,009 | ) | (435,210 | ) | 3,353 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Water Utilities | ||||||||||||||||
Pennon Group plc | (46,677 | ) | (443,489 | ) | (24,565 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Rolls-Royce plc* ‡ | (2,548,190 | ) | (3,508 | ) | (3,547 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (3,930,358 | ) | (8,439,662 | ) | (173,556 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (3,141,299 | ) | (2,611,735 | ) | (21,640 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, which is denominated in USD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | (17,313,008 | ) | $ | 604,561 | $ | 4,629 | $ | 609,190 | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Aerovironment, Inc.* | (5,213 | ) | (284,108 | ) | 11,521 | 0.0 | (a) | |||||||||
TransDigm Group, Inc. | (929 | ) | (297,810 | ) | 5,388 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(6,142 | ) | (581,918 | ) | 16,909 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Airlines | ||||||||||||||||
Spirit Airlines, Inc.* | (7,044 | ) | (251,612 | ) | 17,751 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
Signature Bank* | (1,959 | ) | (249,087 | ) | 15,613 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
Charles Schwab Corp. (The) | (5,293 | ) | (294,714 | ) | (18,526 | ) | (0.0 | )(a) | ||||||||
|
|
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|
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|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
24 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Position — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Commercial Services & Supplies | ||||||||||||||||
Clean Harbors, Inc.* | (4,642 | ) | (212,604 | ) | 12,998 | 0.0 | (a) | |||||||||
Covanta Holding Corp. | (17,372 | ) | (258,843 | ) | 10,423 | 0.0 | (a) | |||||||||
Healthcare Services Group, Inc. | (4,330 | ) | (167,268 | ) | (563 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(26,344 | ) | (638,715 | ) | 22,858 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Infinera Corp.* | (27,781 | ) | (325,593 | ) | (2,222 | ) | (0.0 | )(a) | ||||||||
Lumentum Holdings, Inc.* | (6,597 | ) | (332,819 | ) | 83,122 | 0.1 | ||||||||||
ViaSat, Inc.* | (5,677 | ) | (363,214 | ) | 5,109 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(40,055 | ) | (1,021,626 | ) | 86,009 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Consumer Finance | ||||||||||||||||
LendingClub Corp.* | (40,899 | ) | (110,018 | ) | 30,265 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Distributors | ||||||||||||||||
Core-Mark Holding Co., Inc. | (7,216 | ) | (148,722 | ) | 7,577 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Chegg, Inc.* | (13,888 | ) | (322,340 | ) | (1,528 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Weatherford International plc* | (170,493 | ) | (502,954 | ) | (47,738 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Casey’s General Stores, Inc. | (2,140 | ) | (206,724 | ) | 11,235 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
AtriCure, Inc.* | (12,462 | ) | (277,030 | ) | (8,723 | ) | (0.0 | )(a) | ||||||||
DexCom, Inc.* | (4,576 | ) | (334,872 | ) | 1,464 | 0.0 | (a) | |||||||||
Insulet Corp.* | (3,560 | ) | (306,160 | ) | 9,398 | 0.0 | (a) | |||||||||
Nevro Corp.* | (2,876 | ) | (256,999 | ) | 8,139 | 0.0 | (a) | |||||||||
Wright Medical Group NV* | (3,097 | ) | (60,732 | ) | 1,332 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(26,571 | ) | (1,235,793 | ) | 11,610 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Chipotle Mexican Grill, Inc.* | (889 | ) | (376,340 | ) | (74,649 | ) | (0.0 | )(a) | ||||||||
MGM Resorts International | (7,526 | ) | (236,467 | ) | 37,555 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(8,415 | ) | (612,807 | ) | (37,094 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
iRobot Corp.* | (834 | ) | (48,672 | ) | 2,869 | 0.0 | (a) | |||||||||
Universal Electronics, Inc.* | (4,171 | ) | (193,117 | ) | 16,684 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(5,005 | ) | (241,789 | ) | 19,553 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail |
| |||||||||||||||
Groupon, Inc.* | (44,821 | ) | (207,969 | ) | 8,516 | 0.0 | (a) | |||||||||
Netflix, Inc.* | (976 | ) | (304,961 | ) | 21,531 | 0.0 | (a) | |||||||||
Wayfair, Inc.* | (3,667 | ) | (228,454 | ) | 27,062 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(49,464 | ) | (741,384 | ) | 57,109 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
ANGI Homeservices, Inc.* | (26,951 | ) | (360,065 | ) | 22,369 | 0.0 | (a) | |||||||||
Cornerstone OnDemand, Inc.* | (6,091 | ) | (268,796 | ) | 3,289 | 0.0 | (a) | |||||||||
GTT Communications, Inc.* | (5,010 | ) | (240,731 | ) | 24,298 | 0.0 | (a) | |||||||||
MINDBODY, Inc.* | (7,015 | ) | (278,145 | ) | 9,821 | 0.0 | (a) | |||||||||
Nutanix, Inc.* | (5,798 | ) | (293,321 | ) | 28,526 | 0.1 | ||||||||||
Pandora Media, Inc.* | (65,657 | ) | (368,336 | ) | (20,354 | ) | (0.0 | )(a) | ||||||||
Wix.com Ltd.* | (3,586 | ) | (294,948 | ) | 25,640 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(120,108 | ) | (2,104,342 | ) | 93,589 | 0.1 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 25 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Position — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Machinery | ||||||||||||||||
Flowserve Corp. | (6,107 | ) | (271,212 | ) | 14,474 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Marine | ||||||||||||||||
Matson, Inc. | (9,129 | ) | (266,841 | ) | 5,843 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Liberty Broadband Corp.* | (2,796 | ) | (198,208 | ) | 37,970 | 0.0 | (a) | |||||||||
Lions Gate Entertainment Corp. | (10,496 | ) | (261,245 | ) | 16,374 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(13,292 | ) | (459,453 | ) | 54,344 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Coeur Mining, Inc.* | (27,237 | ) | (206,184 | ) | 27,782 | 0.0 | (a) | |||||||||
Compass Minerals International, Inc. | (4,773 | ) | (321,223 | ) | (955 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(32,010 | ) | (527,407 | ) | 26,827 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
Dominion Energy, Inc. | (3,031 | ) | (201,743 | ) | (1,485 | ) | (0.0 | )(a) | ||||||||
NiSource, Inc. | (8,971 | ) | (218,803 | ) | (3,947 | ) | (0.0 | )(a) | ||||||||
Sempra Energy | (2,228 | ) | (249,090 | ) | (446 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(14,230 | ) | (669,636 | ) | (5,878 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Cheniere Energy, Inc.* | (5,357 | ) | (311,563 | ) | 1,929 | 0.0 | (a) | |||||||||
Chesapeake Energy Corp.* | (88,645 | ) | (263,276 | ) | 14,183 | 0.0 | (a) | |||||||||
Concho Resources, Inc.* | (1,827 | ) | (287,223 | ) | (694 | ) | (0.0 | )(a) | ||||||||
Extraction Oil & Gas, Inc.* | (15,270 | ) | (215,612 | ) | (5,039 | ) | (0.0 | )(a) | ||||||||
Hess Corp. | (5,994 | ) | (341,598 | ) | 5,574 | 0.0 | (a) | |||||||||
Parsley Energy, Inc.* | (9,858 | ) | (296,036 | ) | 4,338 | 0.0 | (a) | |||||||||
SM Energy Co. | (12,794 | ) | (306,416 | ) | (28,019 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(139,745 | ) | (2,021,724 | ) | (7,728 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Aclaris Therapeutics, Inc.* | (3,784 | ) | (67,166 | ) | (946 | ) | (0.0 | )(a) | ||||||||
Aerie Pharmaceuticals, Inc.* | (5,883 | ) | (301,210 | ) | 19,414 | 0.0 | (a) | |||||||||
Nektar Therapeutics* | (3,628 | ) | (303,518 | ) | 32,217 | 0.0 | (a) | |||||||||
Pacira Pharmaceuticals, Inc.* | (5,684 | ) | (188,140 | ) | 14,778 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(18,979 | ) | (860,034 | ) | 65,463 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
AMERCO | (652 | ) | (220,063 | ) | 8,098 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc.* | (8,166 | ) | (88,846 | ) | (4,246 | ) | (0.0 | )(a) | ||||||||
Inphi Corp.* | (9,765 | ) | (279,084 | ) | 34,763 | 0.0 | (a) | |||||||||
MACOM Technology Solutions Holdings, Inc.* | (9,380 | ) | (155,896 | ) | 11,913 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(27,311 | ) | (523,826 | ) | 42,430 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
Autodesk, Inc.* | (1,956 | ) | (246,260 | ) | 15,589 | 0.0 | (a) | |||||||||
HubSpot, Inc.* | (2,611 | ) | (276,505 | ) | 29,113 | 0.1 | ||||||||||
PROS Holdings, Inc.* | (4,744 | ) | (140,043 | ) | 19,118 | 0.0 | (a) | |||||||||
Snap, Inc.* | (19,661 | ) | (281,742 | ) | 6,292 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(28,972 | ) | (944,550 | ) | 70,112 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
CarMax, Inc.* | (3,713 | ) | (232,062 | ) | 2,859 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
26 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Position — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Diebold Nixdorf, Inc. | (4,465 | ) | (68,538 | ) | 2,456 | 0.0 | (a) | |||||||||
Pure Storage, Inc.* | (13,589 | ) | (274,905 | ) | 8,969 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(18,054 | ) | (343,443 | ) | 11,425 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
SiteOne Landscape Supply, Inc.* | (3,569 | ) | (244,477 | ) | 36,083 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Water Utilities | ||||||||||||||||
American Water Works Co., Inc. | (2,801 | ) | (242,511 | ) | (8,123 | ) | (0.0 | )(a) | ||||||||
California Water Service Group | (5,709 | ) | (221,224 | ) | 3,140 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(8,510 | ) | (463,735 | ) | (4,983 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (855,309 | ) | (17,313,008 | ) | 604,561 | 0.3 | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.50%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 10/15/2018 | $ | (5,968,431 | ) | $ | 96,584 | $ | (2,533 | ) | $ | 94,051 | ||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Banks | ||||||||||||||||
Laurentian Bank of Canada | 880 | 33,796 | 964 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Bombardier, Inc.* | (102,747 | ) | (317,696 | ) | (4,047 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||||||
Northland Power, Inc. | (22,273 | ) | (401,589 | ) | (2,238 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Agnico Eagle Mines Ltd. | (9,997 | ) | (420,685 | ) | 26,771 | 0.1 | ||||||||||
Alamos Gold, Inc. | (76,956 | ) | (415,962 | ) | 15,733 | 0.0 | (a) | |||||||||
B2Gold Corp.* | (140,836 | ) | (404,755 | ) | 48 | 0.0 | (a) | |||||||||
First Majestic Silver Corp.* | (67,101 | ) | (435,860 | ) | 16,219 | 0.0 | (a) | |||||||||
Franco-Nevada Corp. | (6,325 | ) | (448,629 | ) | 1,483 | 0.0 | (a) | |||||||||
Goldcorp, Inc. | (29,585 | ) | (392,639 | ) | 25,497 | 0.0 | (a) | |||||||||
Ivanhoe Mines Ltd.* | (209,068 | ) | (431,504 | ) | 19,448 | 0.0 | (a) |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 27 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Metals & Mining — continued | ||||||||||||||||
MAG Silver Corp.* | (23,000 | ) | (255,625 | ) | 4,608 | 0.0 | (a) | |||||||||
Osisko Gold Royalties Ltd. | (40,774 | ) | (397,911 | ) | 3,539 | 0.0 | (a) | |||||||||
Pretium Resources, Inc.* | (56,366 | ) | (379,300 | ) | 25,879 | 0.0 | (a) | |||||||||
Torex Gold Resources, Inc.* | (43,245 | ) | (444,592 | ) | 8,718 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(703,253 | ) | (4,427,462 | ) | 147,943 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
MEG Energy Corp.* | (78,022 | ) | (403,494 | ) | (4,188 | ) | (0.0 | )(a) | ||||||||
Paramount Resources Ltd.* | (31,660 | ) | (451,986 | ) | (41,850 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(109,682 | ) | (855,480 | ) | (46,038 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (937,955 | ) | (6,002,227 | ) | 95,620 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (937,075 | ) | (5,968,431 | ) | 96,584 | 0.1 | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.50)% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swaps. | 10/19/2018 | $ | (17,322,064 | ) | $ | (386,318 | ) | $ | (410,815 | ) | $ | (797,133 | ) | ||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | ||||||||||||||||
Bridgestone Corp. | 2,700 | 112,867 | (2,613 | ) | (0.0 | )(a) | ||||||||||
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| |||||||||
Building Products | ||||||||||||||||
Nichias Corp. | 12,000 | 151,997 | 2,812 | 0.0 | (a) | |||||||||||
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|
|
| |||||||||
Chemicals | ||||||||||||||||
Mitsubishi Chemical Holdings Corp. | 10,900 | 103,110 | (11 | ) | (0.0 | )(a) | ||||||||||
Mitsubishi Gas Chemical Co., Inc. | 4,100 | 96,085 | (2,107 | ) | (0.0 | )(a) | ||||||||||
Mitsui Chemicals, Inc. | 4,200 | 120,398 | (8,322 | ) | (0.0 | )(a) | ||||||||||
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| |||||||||
19,200 | 319,593 | (10,440 | ) | (0.0 | )(a) | |||||||||||
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| |||||||||
Construction & Engineering | ||||||||||||||||
Obayashi Corp. | 13,000 | 149,711 | 8,799 | 0.0 | (a) | |||||||||||
Taisei Corp. | 2,200 | 118,681 | 5,989 | 0.0 | (a) | |||||||||||
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15,200 | 268,392 | 14,788 | 0.0 | (a) | ||||||||||||
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| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
Nippon Telegraph & Telephone Corp. | 600 | 28,473 | 128 | 0.0 | (a) | |||||||||||
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|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
28 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Health Care Providers & Services | ||||||||||||||||
BML, Inc. | 4,900 | 124,017 | (75 | ) | (0.0 | )(a) | ||||||||||
Miraca Holdings, Inc. | 2,800 | 109,004 | (1,795 | ) | (0.0 | )(a) | ||||||||||
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| |||||||||
7,700 | 233,021 | (1,870 | ) | (0.0 | )(a) | |||||||||||
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|
| |||||||||
Internet Software & Services | ||||||||||||||||
Mixi, Inc. | 2,800 | 92,027 | (6,122 | ) | (0.0 | )(a) | ||||||||||
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| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
JXTG Holdings, Inc. | 14,700 | 95,826 | 1,637 | 0.0 | (a) | |||||||||||
Showa Shell Sekiyu KK | 10,700 | 151,090 | 8,451 | 0.0 | (a) | |||||||||||
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| |||||||||
25,400 | 246,916 | 10,088 | 0.0 | (a) | ||||||||||||
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| |||||||||
Pharmaceuticals | ||||||||||||||||
Astellas Pharma, Inc. | 8,800 | 128,711 | 1,531 | 0.0 | (a) | |||||||||||
Shionogi & Co. Ltd. | 2,700 | 138,758 | 1,665 | 0.0 | (a) | |||||||||||
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| |||||||||
11,500 | 267,469 | 3,196 | 0.0 | (a) | ||||||||||||
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| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Ulvac, Inc. | 1,600 | 85,591 | (8,361 | ) | (0.0 | )(a) | ||||||||||
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| |||||||||
Trading Companies & Distributors |
| |||||||||||||||
Sumitomo Corp. | 8,700 | 156,170 | 8,383 | 0.0 | (a) | |||||||||||
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| |||||||||
Wireless Telecommunication Services | ||||||||||||||||
NTT DOCOMO, Inc. | 5,200 | 134,337 | 3,237 | 0.0 | (a) | |||||||||||
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|
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|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 112,600 | 2,096,853 | 13,226 | 0.0 | (a) | |||||||||||
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| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Air Freight & Logistics | ||||||||||||||||
Yamato Holdings Co. Ltd. | (14,200 | ) | (365,086 | ) | 3,753 | 0.0 | (a) | |||||||||
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| |||||||||
Banks | ||||||||||||||||
Suruga Bank Ltd. | (26,900 | ) | (364,399 | ) | (55,890 | ) | (0.0 | )(a) | ||||||||
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| |||||||||
Chemicals | ||||||||||||||||
Kansai Paint Co. Ltd. | (19,900 | ) | (447,148 | ) | 7,325 | 0.0 | (a) | |||||||||
Nippon Shokubai Co. Ltd. | (6,600 | ) | (448,471 | ) | (17,468 | ) | (0.0 | )(a) | ||||||||
Toray Industries, Inc. | (47,900 | ) | (447,126 | ) | (5,773 | ) | (0.0 | )(a) | ||||||||
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|
|
|
|
| |||||||||
(74,400 | ) | (1,342,745 | ) | (15,916 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
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|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Park24 Co. Ltd. | (14,300 | ) | (405,080 | ) | (6,138 | ) | (0.0 | )(a) | ||||||||
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|
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|
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|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
JGC Corp. | (18,200 | ) | (446,063 | ) | (30,349 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consumer Finance | ||||||||||||||||
Acom Co. Ltd. | (85,500 | ) | (387,070 | ) | 2,420 | 0.0 | (a) | |||||||||
Aiful Corp.* | (143,200 | ) | (484,233 | ) | (33,879 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(228,700 | ) | (871,303 | ) | (31,459 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Benesse Holdings, Inc. | (10,100 | ) | (367,875 | ) | (3,897 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Electric Utilities | ||||||||||||||||
Chugoku Electric Power Co., Inc. (The) | (31,700 | ) | (396,582 | ) | (17,388 | ) | (0.0 | )(a) | ||||||||
Hokkaido Electric Power Co., Inc. | (60,800 | ) | (403,487 | ) | (3,922 | ) | (0.0 | )(a) | ||||||||
Hokuriku Electric Power Co. | (35,900 | ) | (366,344 | ) | (40,059 | ) | (0.1 | ) | ||||||||
Kyushu Electric Power Co., Inc. | (33,200 | ) | (411,349 | ) | (30,663 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(161,600 | ) | (1,577,762 | ) | (92,032 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 29 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Position — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Alps Electric Co. Ltd. | (14,700 | ) | (324,669 | ) | 31,289 | 0.0 | (a) | |||||||||
Murata Manufacturing Co. Ltd. | (2,700 | ) | (340,865 | ) | 15,934 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(17,400 | ) | (665,534 | ) | 47,223 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Aeon Co. Ltd. | (20,800 | ) | (415,631 | ) | (21,338 | ) | (0.0 | )(a) | ||||||||
Sugi Holdings Co. Ltd. | (6,500 | ) | (378,424 | ) | (6,339 | ) | (0.0 | )(a) | ||||||||
Tsuruha Holdings, Inc. | (3,200 | ) | (459,328 | ) | (9,036 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(30,500 | ) | (1,253,383 | ) | (36,713 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Kameda Seika Co. Ltd. | (8,200 | ) | (403,485 | ) | (2,151 | ) | (0.0 | )(a) | ||||||||
Nissin Foods Holdings Co. Ltd. | (5,200 | ) | (382,898 | ) | (12,738 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(13,400 | ) | (786,383 | ) | (14,889 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Gas Utilities | ||||||||||||||||
Toho Gas Co. Ltd. | (12,700 | ) | (386,137 | ) | 5,363 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Create Restaurants Holdings, Inc. | (27,000 | ) | (340,070 | ) | (42,355 | ) | (0.0 | )(a) | ||||||||
HIS Co. Ltd. | (5,100 | ) | (186,119 | ) | (11,001 | ) | (0.0 | )(a) | ||||||||
Kyoritsu Maintenance Co. Ltd. | (5,700 | ) | (268,455 | ) | (6,163 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(37,800 | ) | (794,644 | ) | (59,519 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Pioneer Corp.* | (160,300 | ) | (250,053 | ) | 9,434 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
Keihan Holdings Co. Ltd. | (13,300 | ) | (429,437 | ) | (8,376 | ) | (0.0 | )(a) | ||||||||
Toshiba Corp. | (85,000 | ) | (227,807 | ) | 104 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(98,300 | ) | (657,244 | ) | (8,272 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance |
| |||||||||||||||
Japan Post Insurance Co. Ltd. | (19,200 | ) | (471,761 | ) | (31,233 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
GMO internet, Inc. | (16,300 | ) | (298,685 | ) | (9,855 | ) | (0.0 | )(a) | ||||||||
Yahoo Japan Corp. | (65,100 | ) | (267,540 | ) | 1,687 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(81,400 | ) | (566,225 | ) | (8,168 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Leisure Products | ||||||||||||||||
Sankyo Co. Ltd. | (10,400 | ) | (364,595 | ) | (2,073 | ) | (0.0 | )(a) | ||||||||
Shimano, Inc. | (2,700 | ) | (359,016 | ) | 2,258 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(13,100 | ) | (723,611 | ) | 185 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
FANUC Corp. | (1,800 | ) | (385,579 | ) | 62,862 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Marine | ||||||||||||||||
Kawasaki Kisen Kaisha Ltd. | (19,600 | ) | (453,255 | ) | (4,106 | ) | (0.0 | )(a) | ||||||||
Mitsui OSK Lines Ltd. | (15,500 | ) | (459,135 | ) | (7,846 | ) | (0.0 | )(a) | ||||||||
Nippon Yusen KK | (22,100 | ) | (470,079 | ) | (19,544 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(57,200 | ) | (1,382,469 | ) | (31,496 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Multiline Retail | ||||||||||||||||
Don Quijote Holdings Co. Ltd. | (6,900 | ) | (371,477 | ) | (14,239 | ) | (0.0 | )(a) | ||||||||
Isetan Mitsukoshi Holdings Ltd. | (33,600 | ) | (373,807 | ) | (8,709 | ) | (0.0 | )(a) | ||||||||
Marui Group Co. Ltd. | (16,400 | ) | (340,376 | ) | (4,943 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(56,900 | ) | (1,085,660 | ) | (27,891 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
30 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Position — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Pharmaceuticals | ||||||||||||||||
Nichi-iko Pharmaceutical Co. Ltd. | (10,700 | ) | (171,198 | ) | (1,803 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
Mitsubishi Estate Co. Ltd. | (22,500 | ) | (411,132 | ) | (28,227 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Keio Corp. | (8,500 | ) | (388,029 | ) | (18,399 | ) | (0.1 | ) | ||||||||
Kintetsu Group Holdings Co. Ltd. | (11,300 | ) | (459,135 | ) | (9,966 | ) | (0.0 | )(a) | ||||||||
Odakyu Electric Railway Co. Ltd. | (18,200 | ) | (391,725 | ) | (15,012 | ) | (0.0 | )(a) | ||||||||
Tokyu Corp. | (28,000 | ) | (470,016 | ) | (17,715 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
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| |||||||||
(66,000 | ) | (1,708,905 | ) | (61,092 | ) | (0.1 | ) | |||||||||
|
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|
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|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Renesas Electronics Corp.* | (29,100 | ) | (303,562 | ) | (6,160 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
LINE Corp.* | (7,900 | ) | (285,698 | ) | 10,266 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
IDOM, Inc. | (25,700 | ) | (185,688 | ) | 1,116 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Ricoh Co. Ltd. | (35,200 | ) | (343,949 | ) | 10,271 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
MonotaRO Co. Ltd. | (11,300 | ) | (393,874 | ) | 17,119 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Mitsubishi Logistics Corp. | (20,200 | ) | (465,915 | ) | (15,992 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (1,377,000 | ) | (19,418,917 | ) | (399,544 | ) | 0.2 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (1,264,400 | ) | (17,322,064 | ) | (386,318 | ) | 0.2 | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month EURIBOR on short positions, which is denominated in EUR based on the local currencies of the positions within the swaps. | 3/29/2019 | $ | (13,013,257 | ) | $ | 29,585 | $ | (5,398 | ) | $ | 24,187 | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Banks | ||||||||||||||||
Bankia SA | (98,878 | ) | (433,838 | ) | (5,331 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Beverages | ||||||||||||||||
Remy Cointreau SA | (3,187 | ) | (439,083 | ) | 6,010 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
Deutsche Bank AG (Registered) | (31,502 | ) | (430,675 | ) | 15,390 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 31 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Chemicals | ||||||||||||||||
LANXESS AG | (5,896 | ) | (436,742 | ) | 13,305 | 0.0 | (a) | |||||||||
Lenzing AG | (3,773 | ) | (439,052 | ) | (1,209 | ) | (0.0 | )(a) | ||||||||
OCI NV* | (4,496 | ) | (106,697 | ) | 274 | 0.0 | (a) | |||||||||
Symrise AG | (4,915 | ) | (397,288 | ) | (85 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(19,080 | ) | (1,379,779 | ) | 12,285 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Prosegur Cia de Seguridad SA | (57,503 | ) | (434,677 | ) | 8,815 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Boskalis Westminster | (12,717 | ) | (376,732 | ) | 580 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
Huhtamaki OYJ | (8,812 | ) | (358,427 | ) | 16,376 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
Iliad SA | (2,060 | ) | (412,625 | ) | 26,881 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Electrical Equipment | ||||||||||||||||
Nexans SA | (8,656 | ) | (456,618 | ) | (48 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Distribuidora Internacional de Alimentacion SA | (104,656 | ) | (484,997 | ) | (32,832 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Glanbia plc | (26,552 | ) | (448,899 | ) | 9,738 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Sartorius Stedim Biotech | (4,323 | ) | (402,983 | ) | (637 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Elior Group SA (b) (c) | (17,446 | ) | (356,230 | ) | 602 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Neinor Homes SA* (b) (c) | (16,665 | ) | (322,620 | ) | (584 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
Siemens AG (Registered) | (2,992 | ) | (379,969 | ) | 3,228 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Zalando SE* (b) (c) | (6,401 | ) | (329,374 | ) | 7,363 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Life Sciences Tools & Services | ||||||||||||||||
Eurofins Scientific SE | (835 | ) | (450,397 | ) | (11,556 | ) | (0.0 | )(a) | ||||||||
MorphoSys AG* | (4,364 | ) | (450,727 | ) | 5,424 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(5,199 | ) | (901,124 | ) | (6,132 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Alstom SA | (8,869 | ) | (403,792 | ) | (2,876 | ) | (0.0 | )(a) | ||||||||
ANDRITZ AG | (7,928 | ) | (426,142 | ) | 13,995 | 0.0 | (a) | |||||||||
GEA Group AG | (8,174 | ) | (319,139 | ) | 10,733 | 0.0 | (a) | |||||||||
IMA Industria Macchine Automatiche SpA | (4,563 | ) | (442,772 | ) | (4,009 | ) | (0.0 | )(a) | ||||||||
Metso OYJ | (14,168 | ) | (503,536 | ) | (50,080 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(43,702 | ) | (2,095,381 | ) | (32,237 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Altice NV* | (33,430 | ) | (319,959 | ) | 2,212 | 0.0 | (a) | |||||||||
JCDecaux SA | (8,850 | ) | (317,150 | ) | (5,119 | ) | (0.0 | )(a) | ||||||||
Telenet Group Holding NV* | (4,707 | ) | (275,076 | ) | 21,919 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(46,987 | ) | (912,185 | ) | 19,012 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
32 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Metals & Mining | ||||||||||||||||
thyssenkrupp AG | (16,450 | ) | (427,877 | ) | 30,057 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Europcar Groupe SA (b) (c) | (39,702 | ) | (462,534 | ) | (14,335 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
SOITEC* | (4,726 | ) | (384,304 | ) | (29,985 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Getlink | (27,083 | ) | (382,326 | ) | (4,631 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (605,279 | ) | (13,013,257 | ) | 29,585 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.55%), which is denominated in CHF based on the local currencies of the positions within the swaps. | 3/29/2019 | $ | 394,094 | $ | 66,418 | $ | 12,906 | $ | 79,324 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
Sunrise Communications Group AG (b) (c) | 1,504 | 117,892 | 350 | 0.0 | (a) | |||||||||||
Swisscom AG (Registered) | 903 | 433,108 | 18,568 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
2,407 | 551,000 | 18,918 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Bobst Group SA (Registered) | 4,341 | 463,134 | (15,271 | ) | (0.0 | )(a) | ||||||||||
Bucher Industries AG (Registered) | 1,184 | 433,917 | (50,903 | ) | (0.0 | )(a) | ||||||||||
OC Oerlikon Corp. AG (Registered) | 30,711 | 495,806 | 5,465 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
36,236 | 1,392,857 | (60,709 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Galenica AG* (b) (c) | 8,877 | 477,218 | 14,711 | 0.0 | (a) | |||||||||||
Novartis AG (Registered) | 1,135 | 87,366 | (3,494 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
10,012 | 564,584 | 11,217 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 48,655 | 2,508,441 | (30,574 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Household Durables | ||||||||||||||||
Forbo Holding AG (Registered) | (252 | ) | (352,500 | ) | 8,238 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 33 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Machinery | ||||||||||||||||
Burckhardt Compression Holding AG | (1,363 | ) | (442,285 | ) | 2,535 | 0.0 | (a) | |||||||||
Rieter Holding AG (Registered)* | (2,318 | ) | (447,614 | ) | 4,641 | 0.0 | (a) | |||||||||
(3,681 | ) | (889,899 | ) | 7,176 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
ams AG | (3,349 | ) | (276,215 | ) | 76,740 | 0.0 | (a) | |||||||||
Meyer Burger Technology AG* | (184,300 | ) | (228,702 | ) | 20,856 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(187,649 | ) | (504,917 | ) | 97,596 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
Dufry AG (Registered)* | (2,595 | ) | (367,031 | ) | (16,018 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (194,177 | ) | (2,114,347 | ) | 96,992 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (145,522 | ) | 394,094 | 66,418 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, plus or minus a specified spread (rates range from (1.50)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | (235,233 | ) | $ | 4,155 | $ | (73,791 | ) | $ | (69,636 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Metcash Ltd. | 39,581 | 106,833 | 11,876 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Fortescue Metals Group Ltd. | 59,835 | 203,012 | (1,909 | ) | (0.0 | )(a) | ||||||||||
Sandfire Resources NL | 74,446 | 440,598 | (25,856 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
134,281 | 643,610 | (27,765 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Beach Energy Ltd. | 489,307 | 577,090 | 39,849 | 0.0 | (a) | |||||||||||
Whitehaven Coal Ltd. | 26,081 | 89,934 | 159 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
515,388 | 667,024 | 40,008 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 689,250 | 1,417,467 | 24,119 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
34 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | ||||||||||||||||
Nufarm Ltd. | (60,885 | ) | (416,165 | ) | (16,553 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Brambles Ltd. | (60,093 | ) | (444,639 | ) | (5,321 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
Pact Group Holdings Ltd. | (88,853 | ) | (378,333 | ) | (2,428 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Domino’s Pizza Enterprises Ltd. | (3,517 | ) | (111,338 | ) | (6,201 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
NEXTDC Ltd.* | (58,847 | ) | (302,225 | ) | 10,539 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (272,195 | ) | (1,652,700 | ) | (19,964 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 417,055 | (235,233 | ) | 4,155 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 3/29/2019 | $ | 1,447,850 | $ | 61,519 | $ | 2,333 | $ | 63,852 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Biotechnology | ||||||||||||||||
Shire plc | 14,161 | 754,072 | (22,278 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
Sole Realisation Co. plc* ‡ | 153 | 147 | — | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Sky plc | 68,293 | 1,295,761 | 66,589 | 0.0 | (a) | |||||||||||
UBM plc | 84,236 | 1,121,478 | (13,626 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
152,529 | 2,417,239 | 52,963 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 166,843 | 3,171,458 | 30,685 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 35 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Electrical Equipment | ||||||||||||||||
Melrose Industries plc | (257,254 | ) | (806,658 | ) | 26,221 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Informa plc | (90,315 | ) | (916,950 | ) | 4,613 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (347,569 | ) | (1,723,608 | ) | 30,834 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (180,726 | ) | 1,447,850 | 61,519 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | 492,872 | $ | 36,742 | $ | (6,449 | ) | $ | 30,293 | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Media | ||||||||||||||||
Time Warner, Inc. | 16,319 | 1,547,041 | (37,534 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Containers & Packaging | ||||||||||||||||
International Paper Co. | (4,587 | ) | (236,506 | ) | 11,513 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
AT&T, Inc. | (25,005 | ) | (817,663 | ) | 62,763 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (29,592 | ) | (1,054,169 | ) | 74,276 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (13,273 | ) | 492,872 | 36,742 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
36 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.50%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 10/18/2018 to 10/22/2018 | $ | 214,225 | $ | 429 | $ | 1,124 | $ | 1,553 | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Jean Coutu Group PJC, Inc. (The) | 14,915 | 285,650 | (2,827 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Metro, Inc. | (2,251 | ) | (71,425 | ) | 3,256 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 12,664 | 214,225 | 429 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on long positions, plus or minus a specified spread of 0.35%, which is denominated in AUD based on the local currencies of the positions within the swaps. | 10/18/2018 | $ | 1,644,221 | $ | (4,684 | ) | $ | (395 | ) | $ | (5,079 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Biotechnology | ||||||||||||||||
Sirtex Medical Ltd. | 23,635 | 494,300 | (225 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
Healthscope Ltd. | 202,317 | 368,609 | 4,407 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Santos Ltd. | 169,636 | 781,312 | (8,866 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 395,588 | 1,644,221 | (4,684 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 37 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, plus or minus a specified spread of (0.35)%, which is denominated in JPY based on the local currencies of the positions within the swaps. | 5/27/2019 | $ | (496,899 | ) | $ | (13,792 | ) | $ | 4 | $ | (13,788 | ) | |||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Pharmaceuticals | ||||||||||||||||
Takeda Pharmaceutical Co. Ltd. | (11,800 | ) | (496,899 | ) | (13,792 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Over the Counter |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swaps. | 7/31/2019 | $ | 60,005 | $ | 3,728 | $ | (170 | ) | $ | 3,558 | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
Com Hem Holding AB | 14,972 | 259,307 | 20,502 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Wireless Telecommunication Services | ||||||||||||||||
Tele2 AB | (15,376 | ) | (199,302 | ) | (16,774 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (404 | ) | 60,005 | 3,728 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
38 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month EURIBOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 9/30/2019 | $ | 652,337 | $ | (19,940 | ) | $ | 12,296 | $ | (7,644 | ) | ||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Containers & Packaging | ||||||||||||||||
Smurfit Kappa Group plc | 15,303 | 652,337 | (19,940 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
UBS | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 7,121,617 | $ | 122,711 | $ | 412,745 | $ | 535,456 | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | ||||||||||||||||
Wizz Air Holdings plc* (b) (c) | 8,592 | 377,280 | (23,390 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
3i Group plc | 30,136 | 389,000 | 12,285 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Kier Group plc | 23,913 | 352,861 | 15,282 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Petrofac Ltd. | 48,463 | 402,178 | 15,993 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
UNITE Group plc (The) | 38,037 | 436,683 | 15,196 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Wm Morrison Supermarkets plc | 123,199 | 410,889 | 14,375 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 39 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Carnival plc | 4,969 | 322,962 | 8,328 | 0.0 | (a) | |||||||||||
William Hill plc | 72,680 | 292,331 | (42,795 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
77,649 | 615,293 | (34,467 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Barratt Developments plc | 48,365 | 370,866 | (1,274 | ) | (0.0 | )(a) | ||||||||||
Berkeley Group Holdings plc | 5,329 | 298,339 | 10,106 | 0.0 | (a) | |||||||||||
Persimmon plc | 10,128 | 378,336 | 2,865 | 0.0 | (a) | |||||||||||
Redrow plc | 33,127 | 285,459 | 5,566 | 0.0 | (a) | |||||||||||
Taylor Wimpey plc | 137,503 | 362,119 | (3,364 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
234,452 | 1,695,119 | 13,899 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Centamin plc | 167,073 | 361,017 | 6,915 | 0.0 | (a) | |||||||||||
Rio Tinto plc | 6,834 | 372,494 | (1,682 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
173,907 | 733,511 | 5,233 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Multiline Retail | ||||||||||||||||
Marks & Spencer Group plc | 94,988 | 375,587 | 7,813 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
Centrica plc | 208,170 | 440,772 | 24,709 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Professional Services | ||||||||||||||||
Capita plc | 82,101 | 216,506 | 48,729 | 0.1 | ||||||||||||
Hays plc | 149,485 | 368,379 | (207 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
231,586 | 584,885 | 48,522 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Wireless Telecommunication Services | ||||||||||||||||
Vodafone Group plc | 132,423 | 386,439 | 9,598 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 1,425,515 | 7,200,497 | 125,048 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Cobham plc | (4,964 | ) | (7,840 | ) | 103 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Multiline Retail | ||||||||||||||||
B&M European Value Retail SA | (12,748 | ) | (71,040 | ) | (2,440 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (17,712 | ) | (78,880 | ) | (2,337 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 1,407,803 | 7,121,617 | 122,711 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
UBS | The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, which is denominated in USD based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | (24,492,769 | ) | $ | 631,848 | $ | (2,396,698 | ) | $ | (1,764,850 | ) | |||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
40 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Aerovironment, Inc.* | (2,441 | ) | (133,035 | ) | 5,395 | 0.0 | (a) | |||||||||
TransDigm Group, Inc. | (482 | ) | (154,515 | ) | 2,796 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(2,923 | ) | (287,550 | ) | 8,191 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Airlines | ||||||||||||||||
Spirit Airlines, Inc.* | (5,137 | ) | (183,494 | ) | 12,945 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Auto Components | ||||||||||||||||
Gentherm, Inc.* | (9,339 | ) | (315,658 | ) | 22,881 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Banks |
| |||||||||||||||
Pinnacle Financial Partners, Inc. | (7,065 | ) | (452,513 | ) | (15,896 | ) | (0.0 | )(a) | ||||||||
Signature Bank* | (1,252 | ) | (159,192 | ) | 9,978 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(8,317 | ) | (611,705 | ) | (5,918 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
Charles Schwab Corp. (The) | (3,219 | ) | (179,234 | ) | (11,267 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
NewMarket Corp. | (950 | ) | (360,573 | ) | 31,891 | 0.0 | (a) | |||||||||
Valvoline, Inc. | (20,602 | ) | (417,809 | ) | 37,702 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(21,552 | ) | (778,382 | ) | 69,593 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Clean Harbors, Inc.* | (4,658 | ) | (213,336 | ) | 13,042 | 0.0 | (a) | |||||||||
Covanta Holding Corp. | (12,648 | ) | (188,455 | ) | 7,589 | 0.0 | (a) | |||||||||
Healthcare Services Group, Inc. | (6,787 | ) | (262,182 | ) | (882 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(24,093 | ) | (663,973 | ) | 19,749 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Ciena Corp.* | (14,094 | ) | (362,921 | ) | 8,456 | 0.0 | (a) | |||||||||
Infinera Corp.* | (871 | ) | (10,208 | ) | (70 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(14,965 | ) | (373,129 | ) | 8,386 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction Materials | ||||||||||||||||
Martin Marietta Materials, Inc. | (2,270 | ) | (442,128 | ) | 19,908 | 0.0 | (a) | |||||||||
Vulcan Materials Co. | (3,938 | ) | (439,835 | ) | 26,345 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(6,208 | ) | (881,963 | ) | 46,253 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Consumer Finance | ||||||||||||||||
LendingClub Corp.* | (93,968 | ) | (252,774 | ) | 69,536 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Distributors | ||||||||||||||||
Core-Mark Holding Co., Inc. | (9,569 | ) | (197,217 | ) | 10,047 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Chegg, Inc.* | (2,584 | ) | (59,975 | ) | (284 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Fabrinet* | (9,348 | ) | (263,707 | ) | 29,166 | 0.0 | (a) | |||||||||
II-VI, Inc.* | (8,645 | ) | (329,375 | ) | 47,547 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(17,993 | ) | (593,082 | ) | 76,713 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Baker Hughes a GE Co. | (12,794 | ) | (461,991 | ) | (30,066 | ) | (0.0 | )(a) | ||||||||
Forum Energy Technologies, Inc.* | (34,296 | ) | (432,130 | ) | (8,574 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(47,090 | ) | (894,121 | ) | (38,640 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 41 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Casey’s General Stores, Inc. | (2,296 | ) | (221,794 | ) | 12,054 | 0.0 | (a) | |||||||||
PriceSmart, Inc. | (4,739 | ) | (415,136 | ) | 14,928 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(7,035 | ) | (636,930 | ) | 26,982 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
AtriCure, Inc.* | (7,207 | ) | (160,212 | ) | (5,045 | ) | (0.0 | )(a) | ||||||||
DexCom, Inc.* | (1,310 | ) | (95,866 | ) | 419 | 0.0 | (a) | |||||||||
Heska Corp.* | (4,941 | ) | (403,284 | ) | (395 | ) | (0.0 | )(a) | ||||||||
Insulet Corp.* | (989 | ) | (85,054 | ) | 2,611 | 0.0 | (a) | |||||||||
K2M Group Holdings, Inc.* | (23,593 | ) | (450,626 | ) | 6,606 | 0.0 | (a) | |||||||||
Nevro Corp.* | (1,676 | ) | (149,767 | ) | 4,743 | 0.0 | (a) | |||||||||
Wright Medical Group NV* | (18,835 | ) | (369,354 | ) | 8,099 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(58,551 | ) | (1,714,163 | ) | 17,038 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Belmond Ltd.* | (32,341 | ) | (346,049 | ) | 22,639 | 0.0 | (a) | |||||||||
Caesars Entertainment Corp.* | (31,914 | ) | (362,224 | ) | 12,766 | 0.0 | (a) | |||||||||
Chipotle Mexican Grill, Inc.* | (78 | ) | (33,020 | ) | (6,550 | ) | (0.0 | )(a) | ||||||||
MGM Resorts International | (2,892 | ) | (90,867 | ) | 14,431 | 0.0 | (a) | |||||||||
Playa Hotels & Resorts NV* | (34,465 | ) | (354,990 | ) | 9,306 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(101,690 | ) | (1,187,150 | ) | 52,592 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
iRobot Corp.* | (4,576 | ) | (267,055 | ) | 15,741 | 0.0 | (a) | |||||||||
Universal Electronics, Inc.* | (3,117 | ) | (144,317 | ) | 12,468 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(7,693 | ) | (411,372 | ) | 28,209 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||||||
TerraForm Power, Inc. | (35,754 | ) | (398,657 | ) | (2,145 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
RLI Corp. | (7,044 | ) | (445,744 | ) | 4,860 | 0.0 | (a) | |||||||||
|
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|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Groupon, Inc.* | (32,577 | ) | (151,157 | ) | 6,190 | 0.0 | (a) | |||||||||
Netflix, Inc.* | (201 | ) | (62,805 | ) | 4,434 | 0.0 | (a) | |||||||||
Wayfair, Inc.* | (1,833 | ) | (114,196 | ) | 13,528 | 0.0 | (a) | |||||||||
|
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|
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|
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| |||||||||
(34,611 | ) | (328,158 | ) | 24,152 | 0.0 | (a) | ||||||||||
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|
| |||||||||
Internet Software & Services | ||||||||||||||||
Box, Inc.* | (17,306 | ) | (395,615 | ) | (27,343 | ) | (0.0 | )(a) | ||||||||
Cornerstone OnDemand, Inc.* | (2,374 | ) | (104,765 | ) | 1,282 | 0.0 | (a) | |||||||||
GTT Communications, Inc.* | (2,286 | ) | (109,842 | ) | 11,087 | 0.0 | (a) | |||||||||
MINDBODY, Inc.* | (2,517 | ) | (99,799 | ) | 3,524 | 0.0 | (a) | |||||||||
Wix.com Ltd.* | (646 | ) | (53,134 | ) | 4,619 | 0.0 | (a) | |||||||||
|
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| |||||||||
(25,129 | ) | (763,155 | ) | (6,831 | ) | (0.0 | )(a) | |||||||||
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| |||||||||
IT Services | ||||||||||||||||
Gartner, Inc.* | (3,097 | ) | (375,635 | ) | (9,756 | ) | (0.0 | )(a) | ||||||||
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| |||||||||
Leisure Products | ||||||||||||||||
Mattel, Inc. | (21,760 | ) | (322,048 | ) | (19,802 | ) | (0.0 | )(a) | ||||||||
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| |||||||||
Machinery | ||||||||||||||||
Flowserve Corp. | (2,657 | ) | (117,997 | ) | 6,297 | 0.0 | (a) | |||||||||
Wabtec Corp. | (5,431 | ) | (482,327 | ) | (29,219 | ) | (0.0 | )(a) | ||||||||
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| |||||||||
(8,088 | ) | (600,324 | ) | (22,922 | ) | (0.0 | )(a) | |||||||||
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|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
42 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Marine | ||||||||||||||||
Matson, Inc. | (6,145 | ) | (179,618 | ) | 3,933 | 0.0 | (a) | |||||||||
|
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| |||||||||
Media | ||||||||||||||||
Liberty Broadband Corp.* | (1,551 | ) | (109,950 | ) | 21,063 | 0.0 | (a) | |||||||||
Lions Gate Entertainment Corp. | (3,388 | ) | (84,327 | ) | 5,285 | 0.0 | (a) | |||||||||
|
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| |||||||||
(4,939 | ) | (194,277 | ) | 26,348 | 0.0 | (a) | ||||||||||
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| |||||||||
Metals & Mining | ||||||||||||||||
AK Steel Holding Corp.* | (99,736 | ) | (457,788 | ) | 22,939 | 0.0 | (a) | |||||||||
Coeur Mining, Inc.* | (18,499 | ) | (140,037 | ) | 18,869 | 0.0 | (a) | |||||||||
Compass Minerals International, Inc. | (2,026 | ) | (136,350 | ) | (405 | ) | (0.0 | )(a) | ||||||||
Hecla Mining Co. | (118,433 | ) | (453,598 | ) | – | 0.0 | (a) | |||||||||
TimkenSteel Corp.* | (28,380 | ) | (476,500 | ) | 7,379 | 0.0 | (a) | |||||||||
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| |||||||||
(267,074 | ) | (1,664,273 | ) | 48,782 | 0.0 | (a) | ||||||||||
|
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| |||||||||
Multi-Utilities | ||||||||||||||||
Dominion Energy, Inc. | (3,949 | ) | (262,845 | ) | (1,935 | ) | (0.0 | )(a) | ||||||||
NiSource, Inc. | (9,941 | ) | (242,461 | ) | (4,374 | ) | (0.0 | )(a) | ||||||||
Sempra Energy | (1,814 | ) | (202,805 | ) | (363 | ) | (0.0 | )(a) | ||||||||
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| |||||||||
(15,704 | ) | (708,111 | ) | (6,672 | ) | (0.0 | )(a) | |||||||||
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| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Cheniere Energy, Inc.* | (2,583 | ) | (150,227 | ) | 930 | 0.0 | (a) | |||||||||
Chesapeake Energy Corp.* | (36,092 | ) | (107,193 | ) | 5,775 | 0.0 | (a) | |||||||||
Concho Resources, Inc.* | (768 | ) | (120,737 | ) | (292 | ) | (0.0 | )(a) | ||||||||
Extraction Oil & Gas, Inc.* | (17,362 | ) | (245,151 | ) | (5,729 | ) | (0.0 | )(a) | ||||||||
Hess Corp. | (2,000 | ) | (113,980 | ) | 1,860 | 0.0 | (a) | |||||||||
Oasis Petroleum, Inc.* | (48,125 | ) | (530,819 | ) | (39,944 | ) | (0.0 | )(a) | ||||||||
Parsley Energy, Inc.* | (4,663 | ) | (140,030 | ) | 2,052 | 0.0 | (a) | |||||||||
QEP Resources, Inc.* | (43,743 | ) | (532,790 | ) | (3,062 | ) | (0.0 | )(a) | ||||||||
SM Energy Co. | (9,662 | ) | (231,405 | ) | (21,160 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(164,998 | ) | (2,172,332 | ) | (59,570 | ) | (0.0 | )(a) | |||||||||
|
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|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Aclaris Therapeutics, Inc.* | (21,627 | ) | (383,879 | ) | (5,407 | ) | (0.0 | )(a) | ||||||||
Aerie Pharmaceuticals, Inc.* | (2,626 | ) | (134,451 | ) | 8,666 | 0.0 | (a) | |||||||||
Medicines Co. (The)* | (15,202 | ) | (457,428 | ) | 16,114 | 0.0 | (a) | |||||||||
Nektar Therapeutics* | (1,206 | ) | (100,894 | ) | 10,709 | 0.0 | (a) | |||||||||
Pacira Pharmaceuticals, Inc.* | (6,954 | ) | (230,177 | ) | 18,080 | 0.0 | (a) | |||||||||
|
|
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|
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|
|
| |||||||||
(47,615 | ) | (1,306,829 | ) | 48,162 | 0.0 | (a) | ||||||||||
|
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|
|
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|
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| |||||||||
Road & Rail | ||||||||||||||||
AMERCO | (635 | ) | (214,325 | ) | 7,887 | 0.0 | (a) | |||||||||
Hertz Global Holdings, Inc.* | (19,219 | ) | (420,896 | ) | (22,871 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(19,854 | ) | (635,221 | ) | (14,984 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc.* | (27,733 | ) | (301,735 | ) | (14,421 | ) | (0.0 | )(a) | ||||||||
MACOM Technology Solutions Holdings, Inc.* | (11,289 | ) | (187,623 | ) | 14,337 | 0.0 | (a) | |||||||||
MaxLinear, Inc.* | (16,827 | ) | (375,747 | ) | 6,607 | 0.0 | (a) | |||||||||
SMART Global Holdings, Inc.* | (9,807 | ) | (383,944 | ) | (2,039 | ) | (0.0 | )(a) | ||||||||
Veeco Instruments, Inc.* | (21,121 | ) | (326,320 | ) | 43,298 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(86,777 | ) | (1,575,369 | ) | 47,782 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 43 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Software | ||||||||||||||||
Autodesk, Inc.* | (836 | ) | (105,252 | ) | 6,663 | 0.0 | (a) | |||||||||
HubSpot, Inc.* | (635 | ) | (67,247 | ) | 7,080 | 0.0 | (a) | |||||||||
PROS Holdings, Inc.* | (6,283 | ) | (185,474 | ) | 25,320 | 0.0 | (a) | |||||||||
Snap, Inc.* | (5,183 | ) | (74,272 | ) | 1,659 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(12,937 | ) | (432,245 | ) | 40,722 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
CarMax, Inc.* | (1,265 | ) | (79,063 | ) | 975 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Diebold Nixdorf, Inc. | (19,845 | ) | (304,621 | ) | 10,915 | 0.0 | (a) | |||||||||
Pure Storage, Inc.* | (5,006 | ) | (101,271 | ) | 3,304 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(24,851 | ) | (405,892 | ) | 14,219 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Tobacco | ||||||||||||||||
Philip Morris International, Inc. | (3,852 | ) | (315,864 | ) | 74,883 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
MRC Global, Inc.* | (22,198 | ) | (415,769 | ) | 3,108 | 0.0 | (a) | |||||||||
NOW, Inc.* | (37,579 | ) | (455,833 | ) | 4,509 | 0.0 | (a) | |||||||||
SiteOne Landscape Supply, Inc.* | (2,203 | ) | (150,906 | ) | 22,272 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(61,980 | ) | (1,022,508 | ) | 29,889 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Water Utilities | ||||||||||||||||
American Water Works Co., Inc. | (1,959 | ) | (169,610 | ) | (5,681 | ) | (0.0 | )(a) | ||||||||
California Water Service Group | (4,541 | ) | (175,964 | ) | 2,498 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(6,500 | ) | (345,574 | ) | (3,183 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (1,301,900 | ) | (24,492,769 | ) | 631,848 | 0.3 | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
UBS | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 8,966,888 | $ | (63,886 | ) | $ | 150,312 | $ | 86,426 | |||||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
44 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | ||||||||||||||||
Linamar Corp. | 6,579 | 368,674 | (5,669 | ) | (0.0 | )(a) | ||||||||||
Magna International, Inc. | 6,494 | 383,535 | 913 | 0.0 | (a) | |||||||||||
Martinrea International, Inc. | 30,432 | 363,112 | (10,652 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
43,505 | 1,115,321 | (15,408 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
Bank of Nova Scotia (The) | 7,969 | 489,827 | 13,123 | 0.0 | (a) | |||||||||||
Laurentian Bank of Canada | 11,181 | 429,405 | 12,250 | 0.0 | (a) | |||||||||||
National Bank of Canada | 10,296 | 488,999 | 12,468 | 0.0 | (a) | |||||||||||
Toronto-Dominion Bank (The) | 8,736 | 490,637 | 14,529 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
38,182 | 1,898,868 | 52,370 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Methanex Corp. | 7,832 | 472,073 | (54,557 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Transcontinental, Inc. | 20,590 | 433,626 | 4,794 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Enerflex Ltd. | 35,350 | 431,981 | (5,315 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Maple Leaf Foods, Inc. | 18,490 | 445,707 | (5,816 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
CGI Group, Inc.* | 6,230 | 361,005 | 2,434 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Cogeco Communications, Inc. | 6,726 | $ | 358,367 | 4,411 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Labrador Iron Ore Royalty Corp. | 25,507 | 434,073 | (8,404 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Enerplus Corp. | 35,338 | 410,091 | (9,763 | ) | (0.0 | )(a) | ||||||||||
Husky Energy, Inc. | 32,914 | 460,404 | (46,701 | ) | (0.0 | )(a) | ||||||||||
Parex Resources, Inc.* | 32,534 | 559,738 | 36,038 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
100,786 | 1,430,233 | (20,426 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Paper & Forest Products | ||||||||||||||||
Canfor Corp.* | 18,605 | 427,323 | (18,364 | ) | (0.0 | )(a) | ||||||||||
Norbord, Inc. | 11,127 | 459,483 | 2,023 | 0.0 | (a) | |||||||||||
West Fraser Timber Co. Ltd. | 6,107 | 413,665 | (31,137 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
35,839 | 1,300,471 | (47,478 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Thrifts & Mortgage Finance | ||||||||||||||||
Genworth MI Canada, Inc. | 14,090 | 455,419 | 31,515 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 353,127 | 9,137,144 | (61,880 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Bombardier, Inc.* | (32,803 | ) | (101,428 | ) | (1,292 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
MEG Energy Corp.* | (13,309 | ) | (68,828 | ) | (714 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (46,112 | ) | (170,256 | ) | (2,006 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 307,015 | 8,966,888 | (63,886 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 45 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
UBS | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in JPY based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 20,336,278 | $ | 219,294 | $ | 793,427 | $ | 1,012,721 | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | ||||||||||||||||
Bridgestone Corp. | 5,700 | 238,275 | (5,516 | ) | (0.0 | )(a) | ||||||||||
Exedy Corp. | 11,700 | 396,254 | 13,635 | 0.0 | (a) | |||||||||||
FCC Co. Ltd. | 13,500 | 381,863 | 4,061 | 0.0 | (a) | |||||||||||
NHK Spring Co. Ltd. | 34,500 | 381,247 | 8,587 | 0.0 | (a) | |||||||||||
TS Tech Co. Ltd. | 9,200 | 372,228 | 4,952 | 0.0 | (a) | |||||||||||
Unipres Corp. | 15,300 | 360,250 | 1,990 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
89,900 | 2,130,117 | 27,709 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Beverages | ||||||||||||||||
Kirin Holdings Co. Ltd. | 16,800 | 471,559 | (19,594 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Building Products | ||||||||||||||||
Nichias Corp. | 23,000 | 291,328 | 5,390 | 0.0 | (a) | |||||||||||
Nichiha Corp. | 12,100 | 479,741 | 10,614 | 0.0 | (a) | |||||||||||
Takasago Thermal Engineering Co. Ltd. | 22,300 | 422,774 | 9,843 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
57,400 | 1,193,843 | 25,847 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Mitsubishi Chemical Holdings Corp. | 36,600 | 346,221 | (36 | ) | (0.0 | )(a) | ||||||||||
Mitsubishi Gas Chemical Co., Inc. | 16,200 | 379,655 | (8,327 | ) | (0.0 | )(a) | ||||||||||
Mitsui Chemicals, Inc. | 9,100 | 260,862 | (18,031 | ) | (0.0 | )(a) | ||||||||||
Nippon Soda Co. Ltd. | 86,000 | 494,055 | (843 | ) | (0.0 | )(a) | ||||||||||
Sumitomo Bakelite Co. Ltd. | 48,000 | 432,948 | (8,899 | ) | (0.0 | )(a) | ||||||||||
Tosoh Corp. | 22,900 | 405,063 | (12,415 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
218,800 | 2,318,804 | (48,551 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Kajima Corp. | 53,000 | 510,607 | 12,560 | 0.0 | (a) | |||||||||||
Kinden Corp. | 24,800 | 432,534 | 10,236 | 0.0 | (a) | |||||||||||
Nishimatsu Construction Co. Ltd. | 17,800 | 489,304 | 14,749 | 0.0 | (a) | |||||||||||
Obayashi Corp. | 28,100 | 323,606 | 19,019 | 0.0 | (a) | |||||||||||
Okumura Corp. | 11,800 | 488,507 | 7,072 | 0.0 | (a) | |||||||||||
Penta-Ocean Construction Co. Ltd. | 66,000 | 520,134 | 25,144 | 0.1 | ||||||||||||
Taisei Corp. | 7,400 | 399,200 | 20,145 | 0.0 | (a) | |||||||||||
Toda Corp. | 62,000 | 511,232 | 17,264 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
270,900 | 3,675,124 | 126,189 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
46 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
Nippon Telegraph & Telephone Corp. | 8,300 | 393,878 | 1,765 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Azbil Corp. | 7,900 | 367,661 | 13,619 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Matsumotokiyoshi Holdings Co. Ltd. | 10,200 | 454,371 | 7,618 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Prima Meat Packers Ltd. | 87,000 | 530,800 | 49,479 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Hoya Corp. | 8,200 | 438,084 | (2,073 | ) | (0.0 | )(a) | ||||||||||
Nikkiso Co. Ltd. | 43,000 | 489,605 | 43,758 | 0.0 | (a) | |||||||||||
Paramount Bed Holdings Co. Ltd. | 9,400 | 467,698 | (7,225 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
60,600 | 1,395,387 | 34,460 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
BML, Inc. | 12,300 | 311,307 | (188 | ) | (0.0 | )(a) | ||||||||||
Miraca Holdings, Inc. | 8,900 | 346,476 | (5,705 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
21,200 | 657,783 | (5,893 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Haseko Corp. | 24,300 | 382,230 | 9,661 | 0.0 | (a) | |||||||||||
Starts Corp., Inc. | 13,600 | 375,484 | 14,412 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
37,900 | 757,714 | 24,073 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
Mixi, Inc. | 8,400 | 276,082 | (18,367 | ) | (0.0 | )(a) | ||||||||||
IT Services | ||||||||||||||||
NEC Networks & System Integration Corp. | 13,900 | 363,685 | 3,407 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Life Sciences Tools & Services | ||||||||||||||||
EPS Holdings, Inc. | 23,500 | 478,777 | (4,840 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Sodick Co. Ltd. | 38,900 | 478,778 | (6,937 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Inpex Corp. | 37,200 | 475,558 | 933 | 0.0 | (a) | |||||||||||
JXTG Holdings, Inc. | 53,000 | 345,495 | 5,901 | 0.0 | (a) | |||||||||||
Showa Shell Sekiyu KK | 20,800 | 293,708 | 16,428 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
111,000 | 1,114,761 | 23,262 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Paper & Forest Products | ||||||||||||||||
Oji Holdings Corp. | 70,000 | 492,422 | 32,972 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Astellas Pharma, Inc. | 21,500 | 314,464 | 3,740 | 0.0 | (a) | |||||||||||
KYORIN Holdings, Inc. | 22,500 | 439,982 | 2,891 | 0.0 | (a) | |||||||||||
Shionogi & Co. Ltd. | 6,200 | 318,628 | 3,824 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
50,200 | 1,073,074 | 10,455 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
Leopalace21 Corp. | 54,100 | 469,206 | (20,474 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Sankyu, Inc. | 9,200 | 447,134 | 12,969 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 47 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Ulvac, Inc. | 4,700 | 251,423 | (24,561 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
GungHo Online Entertainment, Inc. | 106,700 | 321,827 | (29,496 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Brother Industries Ltd. | 15,300 | 328,179 | (21,424 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
ITOCHU Corp. | 24,600 | 491,961 | 14,073 | 0.0 | (a) | |||||||||||
Marubeni Corp. | 66,100 | 496,382 | 19,199 | 0.0 | (a) | |||||||||||
Sumitomo Corp. | 18,300 | 328,495 | 17,633 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
109,000 | 1,316,838 | 50,905 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Wireless Telecommunication Services | ||||||||||||||||
NTT DOCOMO, Inc. | 12,000 | 310,008 | 7,469 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 1,513,800 | 22,069,235 | 252,061 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Air Freight & Logistics | ||||||||||||||||
Yamato Holdings Co. Ltd. | (1,000 | ) | (25,710 | ) | 264 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Electric Utilities | ||||||||||||||||
Hokuriku Electric Power Co. | (9,900 | ) | (101,025 | ) | (11,047 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Sugi Holdings Co. Ltd. | (400 | ) | (23,288 | ) | (390 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Nissin Foods Holdings Co. Ltd. | (500 | ) | (36,817 | ) | (1,225 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Colowide Co. Ltd. | (13,300 | ) | (338,320 | ) | 416 | 0.0 | (a) | |||||||||
Create Restaurants Holdings, Inc. | (5,900 | ) | (74,312 | ) | (9,255 | ) | (0.0 | )(a) | ||||||||
HIS Co. Ltd. | (3,800 | ) | (138,677 | ) | (8,197 | ) | (0.0 | )(a) | ||||||||
Kyoritsu Maintenance Co. Ltd. | (1,200 | ) | (56,517 | ) | (1,298 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(24,200 | ) | (607,826 | ) | (18,334 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Pioneer Corp.* | (62,700 | ) | (97,806 | ) | 3,690 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
Keihan Holdings Co. Ltd. | (800 | ) | (25,831 | ) | (504 | ) | (0.0 | )(a) | ||||||||
Toshiba Corp. | (80,000 | ) | (214,407 | ) | 98 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(80,800 | ) | (240,238 | ) | (406 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
GMO internet, Inc. | (3,700 | ) | (67,800 | ) | (2,237 | ) | (0.0 | )(a) | ||||||||
Yahoo Japan Corp. | (20,500 | ) | (84,249 | ) | 531 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(24,200 | ) | (152,049 | ) | (1,706 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Nichi-iko Pharmaceutical Co. Ltd. | (16,900 | ) | (270,398 | ) | (2,848 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Keio Corp. | (400 | ) | (18,260 | ) | (866 | ) | (0.0 | )(a) | ||||||||
Odakyu Electric Railway Co. Ltd. | (900 | ) | (19,371 | ) | (742 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(1,300 | ) | (37,631 | ) | (1,608 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
48 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Specialty Retail | ||||||||||||||||
IDOM, Inc. | (19,400 | ) | (140,169 | ) | 843 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (241,300 | ) | (1,732,957 | ) | (32,767 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 1,272,500 | 20,336,278 | 219,294 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 22,879,321 | $ | 73,345 | $ | 857,422 | $ | 930,767 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | ||||||||||||||||
Deutsche Lufthansa AG (Registered) | 14,557 | 423,103 | (51,394 | ) | (0.0 | )(a) | ||||||||||
Finnair OYJ | 31,415 | 428,208 | (32,178 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
45,972 | 851,311 | (83,572 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Auto Components | ||||||||||||||||
Faurecia SA | 4,400 | 359,299 | 421 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Automobiles | ||||||||||||||||
Peugeot SA | 15,689 | 386,320 | (3,826 | ) | (0.0 | )(a) | ||||||||||
Piaggio & C SpA | 137,996 | 362,014 | (16,002 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
153,685 | 748,334 | (19,828 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Covestro AG(b)(c) | 4,366 | 396,716 | (36,439 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Derichebourg SA | 54,540 | 482,683 | (5,305 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Arcadis NV | 23,631 | 464,710 | (6,595 | ) | (0.0 | )(a) | ||||||||||
Eiffage SA | 3,543 | 421,729 | 11,646 | 0.0 | (a) | |||||||||||
Maire Tecnimont SpA | 93,549 | 475,464 | (823 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
120,723 | 1,361,903 | 4,228 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
Deutsche Telekom AG (Registered) | 28,033 | 490,679 | 17,001 | 0.0 | (a) | |||||||||||
DNA OYJ | 18,921 | 442,815 | 29,762 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
46,954 | 933,494 | 46,763 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 49 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Electric Utilities | ||||||||||||||||
Endesa SA | 18,422 | 429,605 | 14,136 | 0.0 | (a) | |||||||||||
Enel SpA | 77,025 | 488,625 | 5,305 | 0.0 | (a) | |||||||||||
Verbund AG | 16,289 | 504,457 | 6,018 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
111,736 | 1,422,687 | 25,459 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Electrical Equipment | ||||||||||||||||
Philips Lighting NV (b) (c) | 10,817 | 328,965 | (77,780 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
SBM Offshore NV | 27,278 | 457,704 | 4,981 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
ForFarmers NV | 33,253 | 466,497 | (8,232 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Koninklijke Philips NV | 12,293 | 520,316 | 30,945 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||||||
ERG SpA | 19,502 | 467,229 | 12,337 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Allianz SE (Registered) | 2,063 | 487,949 | 9,392 | 0.0 | (a) | |||||||||||
ASR Nederland NV | 9,494 | 447,773 | 14,512 | 0.0 | (a) | |||||||||||
Talanx AG | 9,273 | 417,796 | 1,562 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
20,830 | 1,353,518 | 25,466 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services |
| |||||||||||||||
Amadeus IT Group SA | 4,802 | 350,353 | (8,045 | ) | (0.0 | )(a) | ||||||||||
Sopra Steria Group | 1,761 | 375,899 | 19,136 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
6,563 | 726,252 | 11,091 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Fincantieri SpA* | 307,857 | 483,720 | 12,805 | 0.0 | (a) | |||||||||||
Valmet OYJ | 20,611 | 390,705 | (29,561 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
328,468 | 874,425 | (16,756 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Metropole Television SA | 13,768 | 338,980 | (2,234 | ) | (0.0 | )(a) | ||||||||||
ProSiebenSat.1 Media SE | 10,896 | 395,286 | 11,180 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
24,664 | 734,266 | 8,946 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Aurubis AG | 5,382 | 480,959 | (2,884 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
A2A SpA | 213,381 | 429,055 | 13,668 | 0.0 | (a) | |||||||||||
Engie SA | 28,203 | 494,723 | 18,046 | 0.0 | (a) | |||||||||||
Hera SpA | 133,485 | 493,477 | 6,713 | 0.0 | (a) | |||||||||||
Iren SpA | 151,290 | 459,649 | 12,087 | 0.0 | (a) | |||||||||||
REN—Redes Energeticas Nacionais SGPS SA | 133,925 | 422,410 | 13,383 | 0.0 | (a) | |||||||||||
Veolia Environnement SA | 20,443 | 483,653 | 5,825 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
680,727 | 2,782,967 | 69,722 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Enagas SA | 17,482 | 508,132 | 17,299 | 0.0 | (a) | |||||||||||
Eni SpA | 22,966 | 448,949 | 10,963 | 0.0 | (a) | |||||||||||
Gaztransport Et Technigaz SA | 7,801 | 483,630 | 381 | 0.0 | (a) | |||||||||||
Neste OYJ | 6,446 | 542,796 | 123,089 | 0.1 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
50 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Oil, Gas & Consumable Fuels — continued | ||||||||||||||||
OMV AG | 7,724 | 478,387 | 16,370 | 0.0 | (a) | |||||||||||
Repsol SA | 26,317 | 502,203 | 1,813 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL SA | 7,162 | 450,144 | 20,542 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
95,898 | 3,414,241 | 190,457 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Paper & Forest Products | ||||||||||||||||
Ence Energia y Celulosa SA | 57,594 | 444,333 | 10,531 | 0.0 | (a) | |||||||||||
UPM-Kymmene OYJ | 12,445 | 444,058 | (4,580 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
70,039 | 888,391 | 5,951 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Bayer AG (Registered) | 3,929 | 469,593 | (6,514 | ) | (0.0 | )(a) | ||||||||||
Merck KGaA | 4,709 | 460,024 | (4,227 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
8,638 | 929,617 | (10,741 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
CA Immobilien Anlagen AG* | 13,583 | 471,417 | 20,753 | 0.0 | (a) | |||||||||||
LEG Immobilien AG | 4,159 | 479,546 | 9,142 | 0.0 | (a) | |||||||||||
TAG Immobilien AG | 20,999 | 443,750 | (184 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
38,741 | 1,394,713 | 29,711 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
BE Semiconductor Industries NV | 3,422 | 236,505 | (114,296 | ) | (0.1 | ) | ||||||||||
Siltronic AG | 1,927 | 308,564 | (47,106 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
5,349 | 545,069 | (161,402 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Thrifts & Mortgage Finance | ||||||||||||||||
Deutsche Pfandbriefbank AG(b)(c) | 28,247 | 456,929 | 12,230 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Hamburger Hafen und Logistik AG | 20,121 | 483,154 | (4,838 | ) | (0.0 | )(a) | ||||||||||
Societa Iniziative Autostradali e Servizi SpA | 24,041 | 509,261 | 41,026 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
44,162 | 992,415 | 36,188 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 2,003,227 | 24,370,900 | 91,957 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Banks | ||||||||||||||||
Liberbank SA* | (705,543 | ) | (403,562 | ) | 1,772 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
OCI NV* | (11,969 | ) | (284,043 | ) | 729 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Zalando SE*(b)(c) | (375 | ) | (19,296 | ) | 431 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
Delivery Hero AG*(b)(c) | (6,473 | ) | (308,346 | ) | (4,797 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Outotec OYJ | (51,808 | ) | (471,211 | ) | (16,782 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Altice NV* | (535 | ) | (5,121 | ) | 35 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (776,703 | ) | (1,491,579 | ) | (18,612 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 1,226,524 | 22,879,321 | 73,345 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 51 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBSW on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 790,259 | $ | 29,854 | $ | 29,906 | $ | 59,760 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Metcash Ltd. | 151,852 | 409,865 | 45,562 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Fortescue Metals Group Ltd. | 66,421 | 225,358 | (2,120 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Whitehaven Coal Ltd. | 119,489 | 412,029 | 726 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 337,762 | 1,047,252 | 44,168 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Domino’s Pizza Enterprises Ltd. | (8,118 | ) | (256,993 | ) | (14,314 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 329,644 | 790,259 | 29,854 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread of 0.25%, which is denominated in CHF based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 1,149,334 | $ | (7,446 | ) | $ | (678 | ) | $ | (8,124 | ) | |||||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
52 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
Sunrise Communications Group AG (b) (c) | 4,520 | 354,302 | 1,053 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Novartis AG (Registered) | 4,845 | 372,941 | (12,598 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
Swiss Prime Site AG (Registered) | 4,505 | 422,091 | 4,099 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 13,870 | 1,149,334 | (7,446 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread of 0.25%, which is denominated in GBP based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 5,037,006 | $ | 126,697 | $ | 27,832 | $ | 154,529 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Banks | ||||||||||||||||
BGEO Group plc | 2,200 | 105,169 | (1,226 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
NEX Group plc | 76,474 | 1,037,756 | (4,564 | ) | (0.0 | )(a) | ||||||||||
Sole Realisation Co. plc** ‡ | 698 | 673 | — | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
77,172 | 1,038,429 | (4,564 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Old Mutual plc | 181,000 | 623,558 | (6,928 | ) | (0.0 | )(a) | ||||||||||
Prudential plc | 24,093 | 619,529 | 4,034 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
205,093 | 1,243,087 | (2,894 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Sky plc | 139,685 | 2,650,321 | 135,381 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 424,150 | 5,037,006 | 126,697 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 53 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 25,532,268 | $ | (682,510 | ) | $ | (178,308 | ) | $ | (860,818 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | ||||||||||||||||
United Continental Holdings, Inc.* | 6,300 | 425,502 | (19,152 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Automobiles | ||||||||||||||||
Fiat Chrysler Automobiles NV | 26,400 | 576,312 | (64,944 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
Citigroup, Inc. | 6,200 | 423,274 | (4,402 | ) | (0.0 | )(a) | ||||||||||
Regions Financial Corp. | 23,800 | 445,060 | 18,802 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
30,000 | 868,334 | 14,400 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Biotechnology | ||||||||||||||||
Spark Therapeutics, Inc.* | 1,800 | 137,376 | (8,920 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Building Products | ||||||||||||||||
Apogee Enterprises, Inc. | 3,500 | 143,885 | (2,569 | ) | (0.0 | )(a) | ||||||||||
NCI Building Systems, Inc.* | 22,800 | 399,000 | (17,100 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
26,300 | 542,885 | (19,669 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
BGC Partners, Inc. | 46,500 | 621,240 | (16,740 | ) | (0.0 | )(a) | ||||||||||
Greenhill & Co., Inc. | 20,600 | 418,180 | 9,270 | 0.0 | (a) | |||||||||||
Legg Mason, Inc. | 11,300 | 448,610 | 15,933 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
78,400 | 1,488,030 | 8,463 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
KAR Auction Services, Inc. | 6,700 | 348,333 | (5,543 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Juniper Networks, Inc. | 18,100 | 445,079 | 3,801 | 0.0 | (a) | |||||||||||
NETGEAR, Inc.* | 10,200 | 564,060 | (84,660 | ) | (0.0 | )(a) | ||||||||||
Oclaro, Inc.* | 170,414 | 1,349,679 | (90,319 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
198,714 | 2,358,818 | (171,178 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Chicago Bridge & Iron Co. NV | 83,092 | 1,254,689 | 4,155 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributors | ||||||||||||||||
Genuine Parts Co. | 7,000 | 618,240 | 3,773 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Capella Education Co. | 3,871 | 355,164 | (11,226 | ) | (0.0 | )(a) | ||||||||||
ServiceMaster Global Holdings, Inc.* | 11,700 | 592,020 | (17,433 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
15,571 | 947,184 | (28,659 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
54 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Orbotech Ltd.* | 21,625 | 1,263,333 | (36,114 | ) | (0.0 | )(a) | ||||||||||
Sanmina Corp.* | 15,100 | 445,450 | 7,550 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
36,725 | 1,708,783 | (28,564 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Pinnacle Foods, Inc. | 2,400 | 144,960 | (823 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
Aetna, Inc. | 8,911 | 1,595,515 | 13,545 | 0.0 | (a) | |||||||||||
Express Scripts Holding Co.* | 30,132 | 2,280,992 | 28,927 | 0.0 | (a) | |||||||||||
Henry Schein, Inc.* | 9,200 | 699,200 | 21,289 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
48,243 | 4,575,707 | 63,761 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure |
| |||||||||||||||
Dunkin’ Brands Group, Inc. | 7,100 | 432,816 | 2,414 | 0.0 | (a) | |||||||||||
ILG, Inc. | 22,700 | 774,751 | (2,272 | ) | (0.0 | )(a) | ||||||||||
Pinnacle Entertainment, Inc.* | 26,447 | 849,478 | 26,711 | 0.0 | (a) | |||||||||||
Sonic Corp. | 20,100 | 520,791 | (20,301 | ) | (0.0 | )(a) | ||||||||||
Wynn Resorts Ltd. | 700 | 130,333 | (3,725 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
77,047 | 2,708,169 | 2,827 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Toll Brothers, Inc. | 10,000 | 421,600 | (11,400 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Infinity Property & Casualty Corp. | 2,853 | 376,596 | 34,521 | 0.0 | (a) | |||||||||||
Internet Software & Services | ||||||||||||||||
eBay, Inc.* | 10,400 | 393,952 | (40,248 | ) | (0.0 | )(a) | ||||||||||
MuleSoft, Inc.* | 69,316 | 3,090,107 | (9,704 | ) | (0.0 | )(a) | ||||||||||
Web.com Group, Inc.* | 23,100 | 429,660 | (8,085 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
102,816 | 3,913,719 | (58,037 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
Travelport Worldwide Ltd. | 8,000 | 137,120 | (1,040 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Leisure Products | ||||||||||||||||
Brunswick Corp. | 10,300 | 616,764 | (14,317 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Life Sciences Tools & Services | ||||||||||||||||
Medpace Holdings, Inc.* | 11,700 | 432,783 | (8,307 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Trinity Industries, Inc. | 15,800 | 503,546 | (948 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
CBS Corp. (Non-Voting) | 6,900 | 339,480 | (13,593 | ) | (0.0 | )(a) | ||||||||||
Time Warner, Inc. | 2,355 | 223,254 | (5,417 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
9,255 | 562,734 | (19,010 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
SCANA Corp. | 46,680 | 1,716,424 | (20,539 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Andeavor | 19,200 | 2,655,744 | (9,343 | ) | (0.0 | )(a) | ||||||||||
Antero Resources Corp.* | 6,600 | 125,400 | (9,372 | ) | (0.0 | )(a) | ||||||||||
Arch Coal, Inc. | 4,300 | 347,569 | (71,552 | ) | (0.0 | )(a) | ||||||||||
EQT Corp. | 12,100 | 607,299 | 12,705 | 0.0 | (a) | |||||||||||
Phillips 66 | 4,100 | 456,371 | 9,922 | 0.0 | (a) | |||||||||||
RSP Permian, Inc.* | 65,340 | 3,241,517 | 47,698 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
111,640 | 7,433,900 | (19,942 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 55 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Personal Products | ||||||||||||||||
Edgewell Personal Care Co.* | 9,100 | 400,855 | (22,477 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Innoviva, Inc.* | 27,000 | 391,500 | (37,800 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Cavium, Inc.* | 32,617 | 2,446,601 | (213,315 | ) | (0.1 | ) | ||||||||||
Nanometrics, Inc.* | 14,200 | 352,444 | (26,270 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
46,817 | 2,799,045 | (239,585 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
Citrix Systems, Inc.* | 4,000 | 411,640 | 18,760 | 0.0 | (a) | |||||||||||
CommVault Systems, Inc.* | 2,000 | 139,900 | (558 | ) | (0.0 | )(a) | ||||||||||
VMware, Inc.* | 3,100 | 413,106 | (13,268 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
9,100 | 964,646 | 4,934 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
Asbury Automotive Group, Inc.* | 1,800 | 120,690 | (3,420 | ) | (0.0 | )(a) | ||||||||||
AutoNation, Inc.* | 9,100 | 420,329 | (11,830 | ) | (0.0 | )(a) | ||||||||||
Sleep Number Corp.* | 11,000 | 311,740 | (89,870 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
21,900 | 852,759 | (105,120 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Stratasys Ltd.* | 25,100 | 481,167 | (53,907 | ) | (0.0 | )(a) | ||||||||||
Xerox Corp. | 4,100 | 128,945 | 4,838 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
29,200 | 610,112 | (49,069 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 1,116,853 | 40,837,425 | (818,209 | ) | (0.4 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Capital Markets | ||||||||||||||||
CME Group, Inc. | (3,361 | ) | (529,962 | ) | 25,275 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Lumentum Holdings, Inc.* | (4,133 | ) | (208,510 | ) | 52,076 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Strayer Education, Inc. | (3,353 | ) | (352,300 | ) | 11,333 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
AT&T, Inc. | (3,351 | ) | (109,578 | ) | 8,411 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
McDermott International, Inc.* | (203,366 | ) | (1,342,216 | ) | (71,178 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
Cigna Corp. | (8,505 | ) | (1,461,329 | ) | 28,832 | 0.0 | (a) | |||||||||
CVS Health Corp. | (11,014 | ) | (769,108 | ) | (35,465 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(19,519 | ) | (2,230,437 | ) | (6,633 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Marriott Vacations Worldwide Corp. | (3,700 | ) | (453,657 | ) | (4,430 | ) | (0.0 | )(a) | ||||||||
Penn National Gaming, Inc.* | (10,996 | ) | (333,289 | ) | (31,009 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(14,696 | ) | (786,946 | ) | (35,439 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Kemper Corp. | (3,395 | ) | (229,162 | ) | (33,441 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
56 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued |
| |||||||||||||||
Common Stocks — continued |
| |||||||||||||||
Multi-Utilities | ||||||||||||||||
Dominion Energy, Inc. | (27,885 | ) | (1,856,026 | ) | (13,664 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Concho Resources, Inc.* | (18,104 | ) | (2,846,130 | ) | (6,880 | ) | (0.0 | )(a) | ||||||||
Marathon Petroleum Corp. | (30,300 | ) | (2,269,773 | ) | 16,423 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(48,404 | ) | (5,115,903 | ) | 9,543 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
KLA-Tencor Corp. | (5,352 | ) | (544,512 | ) | 34,788 | 0.0 | (a) | |||||||||
Marvell Technology Group Ltd. | (70,254 | ) | (1,409,295 | ) | 137,698 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(75,606 | ) | (1,953,807 | ) | 172,486 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
salesforce.com, Inc.* | (4,879 | ) | (590,310 | ) | 16,930 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (411,948 | ) | (15,305,157 | ) | 135,699 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 704,905 | 25,532,268 | (682,510 | ) | (0.3 | )(a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month CDOR on long positions, plus or minus a specified spread of 0.15%, which is denominated in CAD based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 391,239 | $ | (2,827 | ) | $ | (9,575 | ) | $ | (12,402 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Construction & Engineering | ||||||||||||||||
Aecon Group, Inc. | 27,830 | 391,239 | (2,827 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread of 0.25%, which is denominated in EUR based on the local currencies of the positions within the swaps. | 9/12/2019 | $ | 8,992,049 | $ | 58,378 | $ | 130,829 | $ | 189,207 | ||||||||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 57 |
JPMorgan Diversified Alternatives ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | ||||||||||||||||
CIE Automotive SA | 5,928 | 221,600 | (38 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Biotechnology | ||||||||||||||||
Ablynx NV* | 7,987 | 430,550 | 793 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Yoox Net-A-Porter Group SpA* | 50,707 | 2,320,076 | 4,866 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Pfeiffer Vacuum Technology AG | 524 | 77,525 | (1,270 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
STADA Arzneimittel AG | 2,810 | 284,499 | (1,446 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
Gemalto NV* | 49,052 | 2,954,652 | (7,179 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||||||
Kering SA | 1,249 | 722,542 | 67,373 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Abertis Infraestructuras SA | 89,836 | 1,980,605 | (4,721 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 208,093 | 8,992,049 | 58,378 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||||
UBS | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month CIBOR on long positions, plus or minus a specified spread of 0.25%, which is denominated in DKK based on the local currencies of the positions within the swaps. | 9/25/2020 | $ | 1,522,851 | $ | 4,889 | $ | 11,154 | $ | 16,043 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
TDC A/S* | 187,013 | 1,522,851 | 4,889 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
UBS | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBSW on long positions, plus or minus a specified spread of 0.25%, which is denominated in AUD based on the local currencies of the positions within the swaps. | 9/12/2019 to 4/06/2021 | $ | 1,574,443 | $ | 29,312 | $ | 36,603 | $ | 65,915 | ||||||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
58 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Wesfarmers Ltd. | 19,705 | 648,286 | 33,990 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Mantra Group Ltd. | 108,476 | 322,131 | (479 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
South32 Ltd. | 213,265 | 591,815 | (3,551 | ) | (0.0 | )(a) | ||||||||||
Westgold Resources Ltd.* | 12,939 | 12,211 | (648 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
226,204 | 604,026 | (4,199 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 354,385 | 1,574,443 | 29,312 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
* | — Non-income producing security. | |
‡ | — Value determined using significant unobservable inputs. | |
(a) | — Amounts rounds to less than 0.05%. | |
(b) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(c) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(1) | — Notional value represents market value, as of April 30, 2018, of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. | |
(2) | — Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset. |
The following reference rates, and their values as of period-end, are used for security descriptions:
Value | ||||||
BA | Banker’s Acceptance Rate | 1.64 | % | |||
BBR | Bank Base Rate | 1.90 | % | |||
BBSW | ASX Australia Bank Bill Short Term Rates | 1.90 | % | |||
CDOR | Canada Bankers Acceptances Rates | 1.64 | % | |||
CIBOR | Copenhagen Interbank Offered Rate | (0.29 | )% | |||
CHF LIBOR | Swiss Franc LIBOR | (0.79 | )% | |||
EUR LIBOR | Euro LIBOR | (0.40 | )% | |||
EURIBOR | Euro Interbank Offered Rate | (0.37 | )% | |||
GBP LIBOR | British Pound Sterling LIBOR | 0.51 | % | |||
JPY LIBOR | Japanese Yen LIBOR | (0.05 | )% | |||
LIBOR | London Interbank Offered Rate | 1.91 | % | |||
STIBOR | Stockholm Interbank Offered Rates | (0.47 | )% |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 59 |
JPMorgan Diversified Alternatives Fund
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Summary of total OTC swap contracts outstanding as of April 30, 2018:
Net Upfront Payments (Receipts)($) | Value($) | |||||||
Assets |
| |||||||
OTC Total return basket swaps contracts outstanding | – | 3,956,832 | ||||||
OTC Total return swap contracts outstanding | – | 65 | ||||||
|
| |||||||
Total OTC swap contracts outstanding | – | 3,956,897 | ||||||
|
|
|
| |||||
Liabilities |
| |||||||
Total OTC Total return basket swaps outstanding | – | (3,588,377 | ) | |||||
|
|
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
60 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Event Driven ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
COMMON STOCKS—38.8% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
2,886 | Rockwell Collins, Inc. | 382,510 | ||||||
|
| |||||||
Banks — 0.6% | ||||||||
4,000 | Union Bankshares Corp. | 151,240 | ||||||
|
| |||||||
Biotechnology — 2.1% | ||||||||
1,872 | Avexis, Inc.* | 398,100 | ||||||
1,900 | Spark Therapeutics, Inc.* | 145,008 | ||||||
|
| |||||||
543,108 | ||||||||
|
| |||||||
Building Products — 1.6% | ||||||||
6,100 | Advanced Drainage Systems, Inc. | 153,720 | ||||||
3,800 | Apogee Enterprises, Inc. | 156,218 | ||||||
2,437 | USG Corp.* | 98,040 | ||||||
|
| |||||||
407,978 | ||||||||
|
| |||||||
Capital Markets — 0.7% | ||||||||
4,222 | Financial Engines, Inc. | 188,512 | ||||||
|
| |||||||
Chemicals — 1.6% | ||||||||
3,329 | Monsanto Co. | 417,357 | ||||||
|
| |||||||
Communications Equipment — 0.4% | ||||||||
9,715 | Mitel Networks Corp.* | 108,419 | ||||||
|
| |||||||
Electrical Equipment — 0.7% | ||||||||
6,451 | General Cable Corp. | 191,272 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.4% |
| |||||||
15,693 | VeriFone Systems, Inc.* | 361,096 | ||||||
|
| |||||||
Food Products — 0.6% | ||||||||
2,600 | Pinnacle Foods, Inc. | 157,040 | ||||||
|
| |||||||
Gas Utilities — 1.5% | ||||||||
4,456 | WGL Holdings, Inc. | 379,206 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.5% | ||||||||
14,351 | NxStage Medical, Inc.* | 382,024 | ||||||
|
| |||||||
Health Care Providers & Services — 0.9% | ||||||||
11,099 | Kindred Healthcare, Inc.* | 98,781 | ||||||
3,000 | MEDNAX, Inc.* | 137,730 | ||||||
|
| |||||||
236,511 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% | ||||||||
1,700 | Jack in the Box, Inc. | 152,490 | ||||||
6,200 | Sonic Corp. | 160,642 | ||||||
800 | Wynn Resorts Ltd. | 148,952 | ||||||
|
| |||||||
462,084 | ||||||||
|
| |||||||
Household Durables — 0.6% | ||||||||
5,400 | Newell Brands, Inc. | 149,202 | ||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Insurance — 3.8% | ||||||||
15,765 | AmTrust Financial Services, Inc. | 203,211 | ||||||
100 | Stewart Information Services Corp. | 4,171 | ||||||
5,890 | Validus Holdings Ltd. | 399,165 | ||||||
6,994 | XL Group Ltd. (Bermuda) | 388,797 | ||||||
|
| |||||||
995,344 | ||||||||
|
| |||||||
IT Services — 2.5% | ||||||||
7,541 | Blackhawk Network Holdings, Inc.* | 338,591 | ||||||
6,100 | Cardtronics plc, Class A* | 160,125 | ||||||
9,400 | Travelport Worldwide Ltd. | 161,116 | ||||||
|
| |||||||
659,832 | ||||||||
|
| |||||||
Machinery — 1.3% | ||||||||
7,100 | Actuant Corp., Class A | 167,205 | ||||||
2,400 | Tennant Co. | 177,600 | ||||||
|
| |||||||
344,805 | ||||||||
|
| |||||||
Multi-Utilities — 3.6% | ||||||||
7,219 | Avista Corp. | 374,377 | ||||||
4,186 | Innogy SE (Germany) (a) (b) | 183,934 | ||||||
5,426 | Vectren Corp. | 381,285 | ||||||
|
| |||||||
939,596 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% | ||||||||
8,300 | Antero Resources Corp.* | 157,700 | ||||||
8,400 | Carrizo Oil & Gas, Inc.* | 168,588 | ||||||
2,700 | Energen Corp.* | 176,688 | ||||||
3,800 | Peabody Energy Corp. | 140,030 | ||||||
|
| |||||||
643,006 | ||||||||
|
| |||||||
Paper & Forest Products — 1.1% | ||||||||
8,438 | KapStone Paper and Packaging Corp. | 290,436 | ||||||
|
| |||||||
Personal Products — 0.7% | ||||||||
1,800 | Herbalife Nutrition Ltd.* | 190,314 | ||||||
|
| |||||||
Pharmaceuticals — 0.3% | ||||||||
5,667 | Akorn, Inc.* | 81,775 | ||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
3,500 | CBRE Group, Inc., Class A* | 158,585 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
5,807 | Microsemi Corp.* | 375,655 | ||||||
3,346 | NXP Semiconductors NV (Netherlands)* | 350,995 | ||||||
|
| |||||||
726,650 | ||||||||
|
| |||||||
Software — 0.6% | ||||||||
2,200 | CommVault Systems, Inc.* | 153,890 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 61 |
JPMorgan Event Driven ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
Common Stocks — continued | ||||||||
Specialty Retail — 0.9% | ||||||||
2,300 | Asbury Automotive Group, Inc.* | 154,215 | ||||||
8,609 | Rent-A-Center, Inc. | 87,037 | ||||||
|
| |||||||
241,252 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.6% |
| |||||||
5,100 | Xerox Corp. | 160,395 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 10,103,439 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 61.7% | ||||||||
INVESTMENT COMPANIES — 61.7% | ||||||||
16,051,189 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (c)(d) | 16,051,189 | ||||||
|
| |||||||
Total Investments — 100.5% | 26,154,628 | |||||||
Liabilities in Excess of Other | (141,133 | ) | ||||||
|
| |||||||
Net Assets — 100.0% | $ | 26,013,495 | ||||||
|
|
Percentages indicated are based on net assets.
* | — Non-income producing security. | |
(a) | — Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. | |
(b) | — Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
(c) | — Affiliated company as defined under the Investment Company Act of 1940. | |
(d) | — The rate shown was the current yield as of April 30, 2018. |
Forward foreign currency exchange contracts outstanding as of April 30, 2018: | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
USD | 165,422 | EUR | 133,429 | State Street Corp. | 5/25/2018 | 4,014 | ||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation |
| 4,014 | ||||||||||||||||||
|
|
Abbreviations
EUR | — Euro | |
USD | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
62 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited)
OTC Total Return Basket Swaps Outstanding at April 30, 2018 | ||||||||||||||||||||||
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) (1) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.13)% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 5/31/2019 | $ | 1,135,766 | $ | 16,146 | $ | 15,261 | $ | 31,407 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
Banks | ||||||||||||||||
BGEO Group plc | 582 | 27,822 | (625 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Biotechnology | ||||||||||||||||
Shire plc | 1,771 | 94,306 | (2,786 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
NEX Group plc | 10,140 | 137,600 | (2,190 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Old Mutual plc | 44,441 | 153,102 | (1,701 | ) | (0.0 | )(a) | ||||||||||
Prudential plc | 5,790 | 148,885 | 4,737 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
50,231 | 301,987 | 3,036 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Sky plc | 29,679 | 563,116 | 21,202 | 0.1 | ||||||||||||
UBM plc | 12,274 | 163,410 | 658 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
41,953 | 726,526 | 21,860 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 104,677 | 1,288,241 | 19,295 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stock | ||||||||||||||||
Electrical Equipment | ||||||||||||||||
Melrose Industries plc | (6,019 | ) | (18,874 | ) | (1,967 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Informa plc | (13,159 | ) | (133,601 | ) | (1,182 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (19,178 | ) | (152,475 | ) | (3,149 | ) | 0.0 | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 85,499 | 1,135,766 | 16,146 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 63 |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) (1) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps. | 12/31/2018 | $ | 10,639,336 | $ | (17,178 | ) | $ | (7,512 | ) | $ | (24,690 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Airlines | ||||||||||||||||
United Continental Holdings, Inc.* | 2,300 | 155,342 | (115 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Auto Components | ||||||||||||||||
Autoliv, Inc. | 1,100 | 147,455 | (17,952 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Automobiles | ||||||||||||||||
Fiat Chrysler Automobiles NV | 7,000 | 152,810 | (8,680 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
BancorpSouth Bank | 5,000 | 165,250 | 6,750 | 0.0 | (a) | |||||||||||
Citigroup, Inc. | 2,000 | 136,540 | (4,480 | ) | (0.0 | )(a) | ||||||||||
Customers Bancorp, Inc.* | 2,000 | 57,640 | (820 | ) | (0.0 | )(a) | ||||||||||
Fifth Third Bancorp | 4,700 | 155,899 | 6,533 | 0.0 | (a) | |||||||||||
Regions Financial Corp. | 8,000 | 149,600 | 800 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
21,700 | 664,929 | 8,783 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Building Products | ||||||||||||||||
NCI Building Systems, Inc.* | 9,500 | 166,250 | 475 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
BGC Partners, Inc. | 11,400 | 152,304 | (570 | ) | (0.0 | )(a) | ||||||||||
Greenhill & Co., Inc. | 7,500 | 152,250 | 8,250 | �� | 0.0 | (a) | ||||||||||
Legg Mason, Inc. | 3,900 | 154,830 | (1,560 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
22,800 | 459,384 | 6,120 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Platform Specialty Products Corp.* | 15,200 | 153,064 | 7,904 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
KAR Auction Services, Inc. | 2,900 | 150,771 | (7,047 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Juniper Networks, Inc. | 6,000 | 147,540 | (420 | ) | (0.0 | )(a) | ||||||||||
NETGEAR, Inc.* | 2,700 | 149,310 | (14,310 | ) | (0.1 | ) | ||||||||||
Oclaro, Inc.* | 22,818 | 180,719 | (32,173 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
31,518 | 477,569 | (46,903 | ) | (0.2 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Chicago Bridge & Iron Co. NV | 13,187 | 199,124 | 14,901 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
Sealed Air Corp. | 3,700 | 162,245 | 1,073 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
64 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stock — continued |
| |||||||||||||||
Distributors | ||||||||||||||||
Genuine Parts Co. | 1,700 | 150,144 | 1,039 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Capella Education Co. | 4,409 | 404,526 | 9,479 | 0.0 | (a) | |||||||||||
ServiceMaster Global Holdings, Inc.* | 2,900 | 146,740 | (464 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
7,309 | 551,266 | 9,015 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Orbotech Ltd.* | 3,210 | 187,528 | (11,171 | ) | (0.1 | ) | ||||||||||
Sanmina Corp.* | 5,600 | 165,200 | 16,240 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
8,810 | 352,728 | 5,069 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Tidewater, Inc.* | 2,000 | 68,520 | 4,760 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Walgreens Boots Alliance, Inc. | 2,200 | 146,190 | 5,918 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Natus Medical, Inc.* | 4,900 | 161,945 | (5,145 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
Aetna, Inc. | 2,069 | 370,454 | 10,717 | 0.1 | ||||||||||||
Express Scripts Holding Co.* | 4,667 | 353,292 | 27,442 | 0.1 | ||||||||||||
Henry Schein, Inc.* | 2,300 | 174,800 | 5,695 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
9,036 | 898,546 | 43,854 | 0.2 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Brinker International, Inc. | 4,600 | 200,514 | 24,564 | 0.1 | ||||||||||||
Churchill Downs, Inc. | 600 | 164,760 | 22,440 | 0.1 | ||||||||||||
Domino’s Pizza, Inc. | 700 | 169,211 | 7,021 | 0.0 | (a) | |||||||||||
Dunkin’ Brands Group, Inc. | 2,500 | 152,400 | 1,850 | 0.0 | (a) | |||||||||||
La Quinta Holdings, Inc.* | 8,500 | 166,090 | 4,420 | 0.0 | (a) | |||||||||||
Pinnacle Entertainment, Inc.* | 4,501 | 144,572 | 7,517 | 0.1 | ||||||||||||
Sonic Corp. | 6,300 | 163,233 | (3,402 | ) | (0.0 | )(a) | ||||||||||
Wyndham Worldwide Corp. | 1,300 | 148,473 | 6,305 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
29,001 | 1,309,253 | 70,715 | 0.3 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
PulteGroup, Inc. | 5,500 | 166,980 | 2,915 | 0.0 | (a) | |||||||||||
Toll Brothers, Inc. | 3,500 | 147,560 | (3,990 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
9,000 | 314,540 | (1,075 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Infinity Property & Casualty Corp. | 427 | 56,364 | 5,679 | 0.0 | (a) | |||||||||||
White Mountains Insurance Group Ltd. | 200 | 173,058 | 1,482 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
627 | 229,422 | 7,161 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
eBay, Inc.* | 3,600 | 136,368 | (6,156 | ) | (0.0 | )(a) | ||||||||||
MuleSoft, Inc.* | 8,839 | 394,043 | 2,387 | 0.0 | (a) | |||||||||||
Web.com Group, Inc.* | 8,600 | 159,960 | 2,580 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
21,039 | 690,371 | (1,189 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
DXC Technology Co. | 1,600 | 164,896 | 848 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 65 |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stock — continued |
| |||||||||||||||
Leisure Products | ||||||||||||||||
Brunswick Corp. | 2,500 | 149,700 | 1,650 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Life Sciences Tools & Services | ||||||||||||||||
Medpace Holdings, Inc.* | 4,900 | 181,251 | 980 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Allison Transmission Holdings, Inc. | 3,900 | 152,061 | (936 | ) | (0.0 | )(a) | ||||||||||
Dover Corp. | 1,500 | 139,050 | (2,760 | ) | (0.0 | )(a) | ||||||||||
Pentair plc | 2,200 | 148,016 | (5,390 | ) | (0.1 | ) | ||||||||||
Terex Corp. | 3,600 | 131,472 | (3,168 | ) | (0.0 | )(a) | ||||||||||
Trinity Industries, Inc. | 4,400 | 140,228 | (1,012 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
15,600 | 710,827 | (13,266 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
CBS Corp. (Non-Voting) | 2,900 | 142,680 | (8,468 | ) | (0.0 | )(a) | ||||||||||
Charter Communications, Inc.* | 400 | 108,516 | (14,780 | ) | (0.1 | ) | ||||||||||
Time Warner, Inc. | 4,124 | 390,955 | (7,877 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
7,424 | 642,151 | (31,125 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
SCANA Corp. | 7,885 | 289,931 | 3,706 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Arch Coal, Inc. | 1,600 | 129,328 | (27,216 | ) | (0.1 | ) | ||||||||||
EQT Corp. | 3,100 | 155,589 | 4,991 | 0.0 | (a) | |||||||||||
Peabody Energy Corp. | 1,300 | 47,905 | (286 | ) | (0.0 | )(a) | ||||||||||
Phillips 66 | 1,700 | 189,227 | 18,802 | 0.1 | ||||||||||||
RSP Permian, Inc.* | 8,261 | 409,828 | 47,253 | 0.2 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
15,961 | 931,877 | 43,544 | 0.2 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Personal Products | ||||||||||||||||
Edgewell Personal Care Co.* | 3,100 | 136,555 | (12,927 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Innoviva, Inc.* | 10,000 | 145,000 | (23,000 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Professional Services | ||||||||||||||||
FTI Consulting, Inc.* | 3,200 | 186,880 | 24,640 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Cavium, Inc.* | 4,508 | 338,145 | (23,938 | ) | (0.1 | ) | ||||||||||
Nanometrics, Inc.* | 5,900 | 146,438 | (8,024 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
10,408 | 484,583 | (31,962 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
Avaya Holdings Corp.* | 2,500 | 57,225 | 600 | 0.0 | (a) | |||||||||||
Citrix Systems, Inc.* | 1,700 | 174,947 | 16,167 | 0.1 | ||||||||||||
VMware, Inc.* | 1,200 | 159,912 | 13,812 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
5,400 | 392,084 | 30,579 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
AutoNation, Inc.* | 3,100 | 143,189 | (4,309 | ) | (0.0 | )(a) | ||||||||||
Foot Locker, Inc. | 3,300 | 142,164 | (11,748 | ) | (0.0 | )(a) | ||||||||||
Murphy USA, Inc.* | 2,100 | 131,397 | (13,545 | ) | (0.1 | ) | ||||||||||
Sleep Number Corp.* | 4,600 | 130,364 | (33,120 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
13,100 | 547,114 | (62,722 | ) | (0.2 | ) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
66 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stock — continued |
| |||||||||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Stratasys Ltd.* | 6,600 | 126,522 | (10,412 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
HD Supply Holdings, Inc.* | 4,300 | 166,453 | (344 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 338,505 | 13,017,692 | 18,870 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Capital Markets | ||||||||||||||||
CME Group, Inc. | (446 | ) | (70,325 | ) | 2,636 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Lumentum Holdings, Inc.* | (1,436 | ) | (72,446 | ) | 14,791 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
International Paper Co. | (691 | ) | (35,628 | ) | 656 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Strayer Education, Inc. | (3,818 | ) | (401,157 | ) | (9,354 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
AT&T, Inc. | (5,867 | ) | (191,851 | ) | 18,246 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
McDermott International, Inc.* | (32,274 | ) | (213,008 | ) | (16,782 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
Cigna Corp. | (1,124 | ) | (193,126 | ) | (2,214 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Penn National Gaming, Inc.* | (1,871 | ) | (56,710 | ) | (7,447 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance |
| |||||||||||||||
Kemper Corp. | (508 | ) | (34,290 | ) | (5,436 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
Dominion Energy, Inc. | (5,222 | ) | (347,576 | ) | (5,535 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Concho Resources, Inc.* | (2,617 | ) | (411,419 | ) | (43,887 | ) | (0.2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
KLA-Tencor Corp. | (794 | ) | (80,781 | ) | 5,423 | 0.0 | (a) | |||||||||
Marvell Technology Group Ltd. | (9,710 | ) | (194,783 | ) | 13,788 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(10,504 | ) | (275,564 | ) | 19,211 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
salesforce.com, Inc.* | (622 | ) | (75,256 | ) | (933 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (67,000 | ) | (2,378,356 | ) | (36,048 | ) | (0.2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 271,505 | 10,639,336 | (17,178 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 67 |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net one month BA on long positions, plus or minus a specified spread of 0.50%, which is denominated in CAD based on the local currencies of the positions within the swaps. | 12/31/2018 | $ | 371,769 | $ | (5,351 | ) | $ | (380 | ) | $ | (5,731 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Construction & Engineering | ||||||||||||||||
Aecon Group, Inc. | 24,668 | 346,787 | (5,051 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Sandstorm Gold Ltd.* | 5,400 | 24,982 | (300 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 30,068 | 371,769 | (5,351 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net one month EURIBOR on long positions, plus or minus a specified spread (rates range from 0.25% to 0.55%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 6/28/2019 | $ | 1,875,549 | $ | 22,725 | $ | 1,534 | $ | 24,259 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Auto Components | ||||||||||||||||
CIE Automotive SA | 1,456 | 54,428 | (9 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Biotechnology | ||||||||||||||||
Ablynx NV* | 1,173 | 63,232 | 116 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
Smurfit Kappa Group plc | 2,306 | 98,300 | 2,585 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Yoox Net-A-Porter Group SpA* | 7,058 | 322,936 | 851 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
STADA Arzneimittel AG | 3,903 | 395,160 | (2,874 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
Gemalto NV* | 6,410 | 386,107 | 1,835 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
68 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stock — continued |
| |||||||||||||||
Textiles, Apparel & Luxury Goods | ||||||||||||||||
Kering SA | 318 | 183,962 | 19,234 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Abertis Infraestructuras SA | 16,847 | 371,424 | 987 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 39,471 | 1,875,549 | 22,725 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net one month CIBOR on long positions, plus or minus a specified spread of 0.25%, which is denominated in DKK based on the local currencies of the positions within the swaps. | 8/30/2019 | $ | 229,397 | $ | 269 | $ | 19 | $ | 288 | ||||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
TDC A/S* | 28,171 | 229,397 | 269 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on long positions, plus or minus a specified spread 0.35% which is denominated in AUD based on the local currencies of the positions within the swaps. | 1/1/2019 | $ | 487,589 | $ | 15,964 | $ | (1,027 | ) | $ | 14,937 | |||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Biotechnology | ||||||||||||||||
Sirtex Medical Ltd. | 3,454 | 72,237 | 74 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Wesfarmers Ltd. | 4,642 | 152,720 | 5,970 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Mantra Group Ltd. | 32,125 | 95,398 | 107 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 69 |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued |
| |||||||||||||||
Common Stock — continued |
| |||||||||||||||
Metals & Mining | ||||||||||||||||
South32 Ltd. | 60,264 | 167,234 | 9,813 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 100,485 | 487,589 | 15,964 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions respectively, plus or minus a specified spread of (0.35)%, which is denominated in JPY based on the local currencies of the positions within the swaps. | 5/27/2019 | $ | (63,165 | ) | $ | (1,753 | ) | $ | 1 | $ | (1,752 | ) | |||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Pharmaceuticals | ||||||||||||||||
Takeda Pharmaceutical Co. Ltd. | (1,500 | ) | (63,165 | ) | (1,753 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.35%), which is denominated in SEK based on the local currencies of the positions within the swaps. | 7/31/2019 | $ | 140,599 | $ | (3,999 | ) | $ | 2,392 | $ | (1,607 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
Com Hem Holding AB | 2,344 | 40,596 | 4,134 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Atlas Copco AB* | 3,355 | 131,202 | (4,560 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 5,699 | 171,798 | (426 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
70 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Wireless Telecommunication Services | ||||||||||||||||
Tele2 AB | (2,407 | ) | (31,199 | ) | (3,573 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 3,292 | 140,599 | (3,999 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Goldman Sachs | The Fund receives the total return on a portfolio of long positions and pays or receives the net of one day OIS-RBA on long positions, which is denominated in AUD based on the local currencies of the positions within the swaps. | | 4/28/2028 to 5/3/2028 |
| $ | 143,932 | $ | (557 | ) | $ | (2 | ) | $ | (559 | ) | |||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Health Care Providers & Services | ||||||||||||||||
Healthscope Ltd. | 25,356 | 46,197 | 552 | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Santos Ltd. | 21,220 | 97,735 | (1,109 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 46,576 | 143,932 | (557 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) (2) | VALUE (Note 2C(3)) | ||||||||||||||||
Goldman Sachs | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day overnight Fed Funds Effective Rate on long positions and on short positions respectively, plus or minus a specified spread of (rates range from 0.0% to 0.35%), which is denominated in USD based on the local currencies of the positions within the swaps. | 5/3/2028 | $ | 123,582 | $ | (132 | ) | $ | — | $ | (132 | ) | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
ILG, Inc. | 2,829 | 96,554 | (279 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Andeavor | 2,788 | 385,636 | (1,455 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 5,617 | 482,190 | (1,734 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 71 |
JPMorgan Event Driven ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions |
| |||||||||||||||
Common Stock |
| |||||||||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Marriott Vacations Worldwide Corp. | (462 | ) | (56,646 | ) | (551 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Marathon Petroleum Corp. | (4,031 | ) | (301,962 | ) | 2,153 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (4,493 | ) | (358,608 | ) | 1,602 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 1,124 | 123,582 | (132 | ) | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
* | — Non-income producing security. | |
(a) | — Amounts rounds to less than 0.05%. | |
(1) | — Notional value represents market value, as of April 30, 2018, of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. | |
(2) | — Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset. |
The following reference rates, and their values as of period-end, are used for security descriptions:
Value | ||||||
BA | Banker’s Acceptance Rate | 1.64 | % | |||
BBR | Bank Base Rate | 1.90 | % | |||
CIBOR | Copenhagen Interbank Offered Rate | (0.29 | )% | |||
EURIBOR | Euro Interbank Offered Rate | (0.37 | )% | |||
Overnight Fed Funds Effective Rate | 1.69 | % | ||||
GBP LIBOR | British Pound Sterling LIBOR | 0.51 | % | |||
JPY LIBOR | Japanese Yen LIBOR | (0.05 | )% | |||
LIBOR | London Interbank Offered Rate | 1.91 | % | |||
OIS-RBA | Overnight Indexed Swap-Reserve Bank of Australia | 1.50 | % | |||
STIBOR | Stockholm Interbank Offered Rates | (0.47 | )% |
Summary of total OTC swap contracts outstanding as of April 30, 2018: | ||||||||
Net Upfront Payments (Receipts)($) | Value($) | |||||||
Assets |
| |||||||
Total OTC Total return basket swaps outstanding | – | 70,891 | ||||||
|
|
|
| |||||
Liabilities |
| |||||||
Total OTC Total return basket swaps outstanding | – | (34,471 | ) | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
72 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Long/Short ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
SHARES | INVESTMENTS | VALUE($) | ||||||
COMMON STOCKS — 55.3% | ||||||||
Aerospace & Defense — 0.9% |
| |||||||
353 | Boeing Co. (The) | 117,747 | ||||||
531 | L3 Technologies, Inc. | 104,012 | ||||||
|
| |||||||
221,759 | ||||||||
|
| |||||||
Auto Components — 1.5% |
| |||||||
1,742 | BorgWarner, Inc. | 85,253 | ||||||
810 | Cooper-Standard Holdings, Inc.* | 100,278 | ||||||
4,180 | Gentex Corp. | 95,053 | ||||||
515 | Lear Corp. | 96,290 | ||||||
|
| |||||||
376,874 | ||||||||
|
| |||||||
Beverages — 0.4% |
| |||||||
990 | PepsiCo, Inc. | 99,931 | ||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
1,516 | Owens Corning | 99,283 | ||||||
|
| |||||||
Capital Markets — 1.4% |
| |||||||
3,251 | Artisan Partners Asset Management, Inc., Class A | 104,520 | ||||||
8,666 | BGC Partners, Inc., Class A | 115,778 | ||||||
6,077 | Waddell & Reed Financial, Inc., Class A | 122,998 | ||||||
|
| |||||||
343,296 | ||||||||
|
| |||||||
Chemicals — 2.4% |
| |||||||
3,180 | CF Industries Holdings, Inc. | 123,384 | ||||||
1,232 | Eastman Chemical Co. | 125,763 | ||||||
3,469 | Huntsman Corp. | 103,272 | ||||||
1,123 | LyondellBasell Industries NV, Class A | 118,735 | ||||||
1,061 | Westlake Chemical Corp. | 113,495 | ||||||
|
| |||||||
584,649 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.4% |
| |||||||
3,083 | Brady Corp., Class A | 112,221 | ||||||
1,644 | Deluxe Corp. | 112,680 | ||||||
4,979 | Quad/Graphics, Inc. | 123,031 | ||||||
|
| |||||||
347,932 | ||||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
2,198 | Cisco Systems, Inc. | 97,349 | ||||||
|
| |||||||
Construction & Engineering — 0.5% |
| |||||||
2,018 | Jacobs Engineering Group, Inc. | 117,226 | ||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
2,326 | Greif, Inc., Class A | 136,117 | ||||||
|
| |||||||
Electrical Equipment — 1.3% |
| |||||||
1,417 | Eaton Corp. plc | 106,317 | ||||||
1,461 | Regal Beloit Corp. | 104,023 | ||||||
2,298 | Sensata Technologies Holding plc* | 116,555 | ||||||
|
| |||||||
326,895 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — 0.7% |
| |||||||
2,384 | Methode Electronics, Inc. | 95,121 | ||||||
5,072 | Vishay Intertechnology, Inc. | 89,521 | ||||||
|
| |||||||
184,642 | ||||||||
|
| |||||||
Energy Equipment & Services — 1.9% |
| |||||||
6,132 | Diamond Offshore Drilling, Inc.* | 112,768 | ||||||
3,164 | National Oilwell Varco, Inc. | 122,352 | ||||||
5,914 | RPC, Inc. | 106,511 | ||||||
5,452 | Unit Corp.* | 123,651 | ||||||
|
| |||||||
465,282 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
2,780 | United Natural Foods, Inc.* | 125,156 | ||||||
1,385 | Walmart, Inc. | 122,517 | ||||||
|
| |||||||
247,673 | ||||||||
|
| |||||||
Food Products — 3.7% |
| |||||||
3,243 | Conagra Brands, Inc. | 120,218 | ||||||
5,330 | Flowers Foods, Inc. | 120,511 | ||||||
932 | Ingredion, Inc. | 112,856 | ||||||
875 | JM Smucker Co. (The) | 99,820 | ||||||
2,138 | John B Sanfilippo & Son Inc | 121,631 | ||||||
7,532 | Nomad Foods Ltd. (United Kingdom)* | 124,203 | ||||||
1,015 | Sanderson Farms, Inc. | 112,827 | ||||||
1,505 | Tyson Foods, Inc., Class A | 105,501 | ||||||
|
| |||||||
917,567 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
1,303 | Analogic Corp. | 108,279 | ||||||
1,165 | Danaher Corp. | 116,873 | ||||||
1,284 | STERIS plc | 121,364 | ||||||
|
| |||||||
346,516 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.1% |
| |||||||
417 | Chemed Corp. | 128,528 | ||||||
2,229 | Encompass Health Corp. | 135,568 | ||||||
443 | Humana, Inc. | 130,322 | ||||||
1,077 | Quest Diagnostics, Inc. | 108,992 | ||||||
538 | UnitedHealth Group, Inc. | 127,183 | ||||||
630 | WellCare Health Plans, Inc.* | 129,251 | ||||||
|
| |||||||
759,844 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% |
| |||||||
780 | Royal Caribbean Cruises Ltd. | 84,388 | ||||||
830 | Wyndham Worldwide Corp. | 94,794 | ||||||
|
| |||||||
179,182 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 73 |
JPMorgan Long/Short ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
SHARES | INVESTMENTS | VALUE($) | ||||||
COMMON STOCKS — continued | ||||||||
Household Durables — 1.2% |
| |||||||
4,549 | Taylor Morrison Home Corp., Class A* | 108,084 | ||||||
2,392 | Toll Brothers, Inc. | 100,847 | ||||||
3,661 | William Lyon Homes, Class A* | 98,334 | ||||||
|
| |||||||
307,265 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
1,553 | Procter & Gamble Co. (The) | 112,344 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 1.5% |
| |||||||
4,007 | NRG Energy, Inc. | 124,217 | ||||||
7,038 | NRG Yield, Inc., Class C | 125,276 | ||||||
5,214 | Vistra Energy Corp.* | 119,140 | ||||||
|
| |||||||
368,633 | ||||||||
|
| |||||||
Insurance — 2.7% |
| |||||||
2,670 | Aflac, Inc. | 121,672 | ||||||
3,725 | American Equity Investment Life Holding Co. | 112,495 | ||||||
1,922 | First American Financial Corp. | 98,234 | ||||||
999 | Prudential Financial, Inc. | 106,214 | ||||||
741 | Reinsurance Group of America, Inc. | 110,705 | ||||||
2,414 | Unum Group | 116,789 | ||||||
|
| |||||||
666,109 | ||||||||
|
| |||||||
Internet Software & Services — 0.8% |
| |||||||
89 | Alphabet, Inc., Class C* | 90,543 | ||||||
2,085 | Match Group, Inc.* | 98,245 | ||||||
|
| |||||||
188,788 | ||||||||
|
| |||||||
IT Services — 3.5% |
| |||||||
600 | Accenture plc, Class A | 90,720 | ||||||
1,398 | Amdocs Ltd. | 94,016 | ||||||
1,153 | Cognizant Technology Solutions Corp., Class A | 94,338 | ||||||
3,932 | Convergys Corp. | 91,852 | ||||||
2,289 | CSG Systems International, Inc. | 97,946 | ||||||
1,750 | ManTech International Corp., Class A | 103,407 | ||||||
533 | Mastercard, Inc., Class A | 95,018 | ||||||
1,439 | MAXIMUS, Inc. | 97,320 | ||||||
4,930 | Western Union Co. (The) | 97,367 | ||||||
|
| |||||||
861,984 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.8% |
| |||||||
1,599 | Agilent Technologies, Inc. | 105,118 | ||||||
2,169 | Cambrex Corp.* | 114,849 | ||||||
966 | Charles River Laboratories International, Inc.* | 100,647 | ||||||
993 | ICON plc* | 116,807 | ||||||
|
| |||||||
437,421 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Machinery — 2.3% |
| |||||||
757 | Cummins, Inc. | 121,014 | ||||||
2,555 | Greenbrier Cos., Inc. (The) | 112,037 | ||||||
2,631 | Hillenbrand, Inc. | 121,947 | ||||||
696 | Illinois Tool Works, Inc. | 98,846 | ||||||
1,325 | Ingersoll-Rand plc | 111,154 | ||||||
|
| |||||||
564,998 | ||||||||
|
| |||||||
Media — 0.4% |
| |||||||
1,460 | Omnicom Group, Inc. | 107,544 | ||||||
|
| |||||||
Metals & Mining — 0.4% |
| |||||||
3,514 | Schnitzer Steel Industries, Inc., Class A | 103,487 | ||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
2,070 | Big Lots, Inc. | 87,871 | ||||||
1,522 | Kohl’s Corp. | 94,547 | ||||||
1,419 | Target Corp. | 103,019 | ||||||
|
| |||||||
285,437 | ||||||||
|
| |||||||
Multi-Utilities — 0.5% |
| |||||||
4,540 | CenterPoint Energy, Inc. | 114,998 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.2% |
| |||||||
2,377 | HollyFrontier Corp. | 144,260 | ||||||
1,279 | Valero Energy Corp. | 141,880 | ||||||
|
| |||||||
286,140 | ||||||||
|
| |||||||
Paper & Forest Products — 0.5% |
| |||||||
2,711 | Domtar Corp. | 119,013 | ||||||
|
| |||||||
Pharmaceuticals — 1.4% |
| |||||||
934 | Johnson & Johnson | 118,142 | ||||||
3,155 | Pfizer, Inc. | 115,504 | ||||||
1,113 | Taro Pharmaceutical Industries Ltd.* | 113,504 | ||||||
|
| |||||||
347,150 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
1,821 | ICF International, Inc. | 122,189 | ||||||
1,005 | ManpowerGroup, Inc. | 96,199 | ||||||
|
| |||||||
218,388 | ||||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
3,400 | ArcBest Corp. | 109,140 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
1,643 | Applied Materials, Inc. | 81,608 | ||||||
854 | Cabot Microelectronics Corp. | 86,638 | ||||||
1,337 | First Solar, Inc.* | 94,807 | ||||||
445 | Lam Research Corp. | 82,352 | ||||||
1,572 | Maxim Integrated Products, Inc. | 85,674 | ||||||
785 | MKS Instruments, Inc. | 80,384 | ||||||
889 | Texas Instruments, Inc. | 90,171 | ||||||
|
| |||||||
601,634 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
74 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
SHARES | INVESTMENTS | VALUE($) | ||||||
COMMON STOCKS — continued | ||||||||
Software — 2.9% |
| |||||||
898 | Blackbaud, Inc. | 94,254 | ||||||
2,774 | Cadence Design Systems, Inc.* | 111,127 | ||||||
1,025 | Citrix Systems, Inc.* | 105,483 | ||||||
546 | Intuit, Inc. | 100,895 | ||||||
2,066 | Oracle Corp. | 94,354 | ||||||
1,245 | Synopsys, Inc.* | 106,460 | ||||||
816 | VMware, Inc., Class A* | 108,740 | ||||||
|
| |||||||
721,313 | ||||||||
|
| |||||||
Specialty Retail — 3.0% |
| |||||||
3,342 | Abercrombie & Fitch Co., Class A | 85,622 | ||||||
4,329 | American Eagle Outfitters, Inc. | 89,524 | ||||||
1,428 | Best Buy Co., Inc. | 109,285 | ||||||
9,110 | Chico’s FAS, Inc. | 90,462 | ||||||
699 | Children’s Place, Inc. (The) | 89,157 | ||||||
2,857 | Dick’s Sporting Goods, Inc. | 94,538 | ||||||
3,007 | Gap, Inc. (The) | 87,925 | ||||||
3,234 | Tailored Brands, Inc. | 102,033 | ||||||
|
| |||||||
748,546 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
554 | Apple, Inc. | 91,554 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
1,055 | Deckers Outdoor Corp.* | 98,389 | ||||||
2,351 | Movado Group, Inc. | 92,747 | ||||||
884 | Ralph Lauren Corp. | 97,107 | ||||||
3,334 | Wolverine World Wide, Inc. | 99,887 | ||||||
|
| |||||||
388,130 | ||||||||
|
|
SHARES | INVESTMENTS | VALUE($) | ||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
5,054 | PennyMac Financial Services, Inc., Class A* | 104,112 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | 13,706,145 | |||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 41.6% | ||||||||
Investment Companies — 41.6% |
| |||||||
10,310,159 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (a) (b) | 10,310,159 | ||||||
|
| |||||||
Total Investments — 96.9% | 24,016,304 | |||||||
Other Assets Less Liabilities — 3.1% | 769,773 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 24,786,077 | ||||||
|
|
Percentages indicated are based on net assets.
* | Non-income producing security. |
(a) | Affiliated company as defined under the Investment Company Act of 1940. |
(b) | The rate shown was the current yield as of April 30, 2018. |
Futures contracts outstanding as of April 30, 2018: | ||||||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
1 | Hang Seng Index | 05/2018 | HKD | 194,208 | 1,209 | |||||||||||||||
2 | FTSE/MIB Index | 06/2018 | EUR | 284,368 | 16,680 | |||||||||||||||
1 | S&P 500 E-Mini Index | 06/2018 | USD | 132,350 | (5,342 | ) | ||||||||||||||
|
| |||||||||||||||||||
12,547 | ||||||||||||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 75 |
JPMorgan Long/Short ETF
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
Short Contracts |
| |||||||||||||||||||
(4 | ) | CAC 40 10 Euro Index | 05/2018 | EUR | (263,814 | ) | (6,595 | ) | ||||||||||||
(5 | ) | IBEX 35 Index | 05/2018 | EUR | (600,257 | ) | (12,192 | ) | ||||||||||||
(1 | ) | DAX Index | 06/2018 | EUR | (379,463 | ) | (9,830 | ) | ||||||||||||
(10 | ) | EURO STOXX 50 Index | 06/2018 | EUR | (418,320 | ) | (19,094 | ) | ||||||||||||
(5 | ) | FTSE 100 Index | 06/2018 | GBP | (512,603 | ) | (16,809 | ) | ||||||||||||
(1 | ) | TOPIX Index | 06/2018 | JPY | (162,163 | ) | (1,265 | ) | ||||||||||||
|
| |||||||||||||||||||
(65,785 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
(53,238 | ) | |||||||||||||||||||
|
|
Abbreviations
CAC | — Continuous Assisted Quotation | |
DAX | — Deutscher Aktien Index | |
EUR | — Euro | |
FTSE | — Financial Times and the London Stock Exchange | |
IBEX | — Madrid Stock Exchange | |
GBP | — British Pound |
HKD | — Hong Kong Dollar | |
JPY | — Japanese Yen | |
MIB | — Milan, Italian Stock Exchange | |
TOPIX | — Tokyo Stock Price Index | |
USD | — United States Dollar |
Forward foreign currency exchange contracts outstanding as of April 30, 2018: | ||||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||||
USD | 28,515 | EUR | 23,101 | Goldman Sachs International | 5/25/2018 | 569 | ||||||||||||||||
USD | 138,665 | EUR | 111,847 | State Street Corp. | 5/25/2018 | 3,364 | ||||||||||||||||
|
| |||||||||||||||||||||
Total unrealized appreciation | 3,933 | |||||||||||||||||||||
|
| |||||||||||||||||||||
EUR | 134,948 | USD | 166,899 | Australia & New Zealand Banking Group Ltd. | 5/25/2018 | (3,653 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total unrealized depreciation | (3,653 | ) | ||||||||||||||||||||
|
| |||||||||||||||||||||
Net unrealized appreciation |
| 280 | ||||||||||||||||||||
|
|
Abbreviations
EUR | — Euro | |
USD | — United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited)
OTC Total Return Basket Swaps Outstanding at April 30, 2018 | ||||||||||||||||||||
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.13)% to 0.55%), which is denominated in GBP based on the local currencies of the positions within the swaps. | 2/28/2019 to 7/31/2019 | $ | 883,181 | $ | 55,949 | $ | 5,203 | $ | 61,152 | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | ||||||||||||||||
International Consolidated Airlines Group SA | 13,778 | 119,100 | 86 | 0.0 | (a) | |||||||||||
Wizz Air Holdings plc* (b) (c) | 2,352 | 103,278 | (6,089 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
16,130 | 222,378 | (6,003 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
3i Group plc | 9,138 | 117,955 | 6,272 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Kier Group plc | 8,261 | 121,899 | 11,691 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
DS Smith plc | 16,504 | 118,227 | 7,577 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Petrofac Ltd. | 14,622 | 121,343 | 12,589 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Equity Real Estate Investment Trusts (REITs) | ||||||||||||||||
UNITE Group plc (The) | 10,190 | 116,986 | 2,249 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Wm Morrison Supermarkets plc | 35,224 | 117,478 | 8,320 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Carnival plc | 1,455 | 94,568 | 2,471 | 0.0 | (a) | |||||||||||
William Hill plc | 20,927 | 84,172 | (11,219 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
22,382 | 178,740 | (8,748 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Barratt Developments plc | 13,132 | 100,697 | 782 | 0.0 | (a) | |||||||||||
Berkeley Group Holdings plc | 1,924 | 107,713 | 4,471 | 0.0 | (a) | |||||||||||
Bovis Homes Group plc | 5,809 | 98,838 | 6,547 | 0.1 | ||||||||||||
Persimmon plc | 2,719 | 101,570 | 1,395 | 0.0 | (a) | |||||||||||
Redrow plc | 11,454 | 98,700 | 3,313 | 0.0 | (a) | |||||||||||
Taylor Wimpey plc | 36,910 | 97,204 | 494 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
71,948 | 604,722 | 17,002 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Vesuvius plc | 14,114 | 113,982 | 2,818 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Pearson plc | 8,561 | 98,149 | 6,953 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 77 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Metals & Mining | ||||||||||||||||
Anglo American plc | 5,083 | 119,599 | 1,314 | 0.0 | (a) | |||||||||||
BHP Billiton plc | 6,158 | 131,303 | 9,975 | 0.1 | ||||||||||||
Centamin plc | 49,762 | 107,528 | 6,355 | 0.0 | (a) | |||||||||||
Rio Tinto plc | 2,370 | 129,179 | 8,336 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
63,373 | 487,609 | 25,980 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Multiline Retail | ||||||||||||||||
Marks & Spencer Group plc | 25,831 | 102,137 | 8,322 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
Centrica plc | 61,311 | 129,818 | 9,650 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Professional Services | ||||||||||||||||
Capita plc | 56,699 | 149,519 | 36,844 | 0.1 | ||||||||||||
Hays plc | 39,842 | 98,184 | (5,658 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
96,541 | 247,703 | 31,186 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
National Express Group plc | 19,876 | 107,258 | (6,072 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Thrifts & Mortgage Finance | ||||||||||||||||
Paragon Banking Group plc | 16,477 | 118,128 | 9,118 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Wireless Telecommunication Services | ||||||||||||||||
Vodafone Group plc | 44,064 | 128,588 | 3,948 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 554,547 | 3,253,100 | 142,852 | 0.6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Cobham plc | (75,374 | ) | (119,044 | ) | 6,864 | 0.0 | (a) | |||||||||
Rolls-Royce Holdings plc | (10,743 | ) | (124,072 | ) | 3,578 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(86,117 | ) | (243,116 | ) | 10,442 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
Standard Chartered plc | (11,208 | ) | (117,729 | ) | (5,965 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
St James’s Place plc | (8,137 | ) | (126,752 | ) | (6,752 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Johnson Matthey plc | (2,891 | ) | (130,657 | ) | (618 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Serco Group plc* | (96,557 | ) | (127,598 | ) | (3,358 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Balfour Beatty plc | (33,736 | ) | (136,240 | ) | (9,213 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Dignity plc | (7,460 | ) | (112,048 | ) | (19,662 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Compass Group plc | (4,504 | ) | (96,623 | ) | (3,486 | ) | (0.0 | )(a) | ||||||||
InterContinental Hotels Group plc | (1,524 | ) | (96,151 | ) | (5,521 | ) | (0.0 | )(a) | ||||||||
Merlin Entertainments plc(b) | (19,354 | ) | (97,907 | ) | (5,394 | ) | (0.0 | )(a) | ||||||||
Whitbread plc | (1,806 | ) | (106,260 | ) | (14,685 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(27,188 | ) | (396,941 | ) | (29,086 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
DCC plc | (1,374 | ) | (131,883 | ) | (7,172 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
78 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Machinery | ||||||||||||||||
Weir Group plc (The) | (4,578 | ) | (133,961 | ) | (1,517 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
ITV plc | (52,446 | ) | (109,107 | ) | (5,956 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Fresnillo plc | (6,822 | ) | (119,740 | ) | (3,340 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Multiline Retail | ||||||||||||||||
B&M European Value Retail SA | (16,544 | ) | (92,194 | ) | (3,307 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Tobacco | ||||||||||||||||
British American Tobacco plc | (2,096 | ) | (114,960 | ) | 8,406 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
Bunzl plc | (4,527 | ) | (131,268 | ) | 1,512 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Water Utilities | ||||||||||||||||
Pennon Group plc | (15,227 | ) | (144,675 | ) | (10,255 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | (376,908 | ) | (2,368,869 | ) | (85,841 | ) | (0.4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Preferred Stock | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Rolls-Royce plc* ‡ | (762,753 | ) | (1,050 | ) | (1,062 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (1,139,661 | ) | (2,369,919 | ) | (86,903 | ) | (0.4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (585,114 | ) | 883,181 | 55,949 | 0.2 | |||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, which is denominated in USD based on the local currencies of the positions within the swaps. | 2/25/2019 | $ | (11,964,510 | ) | $ | (130,725 | ) | $ | (4,219 | ) | $ | (134,944 | ) | ||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Aerovironment, Inc.* | (2,533 | ) | (138,049 | ) | (20,593 | ) | (0.1 | ) | ||||||||
TransDigm Group, Inc. | (406 | ) | (130,151 | ) | (5,818 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(2,939 | ) | (268,200 | ) | (26,411 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Airlines | ||||||||||||||||
Spirit Airlines, Inc.* | (3,643 | ) | (130,128 | ) | (220 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Auto Components | ||||||||||||||||
Gentherm, Inc.* | (2,906 | ) | (98,223 | ) | 3,342 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 79 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Banks | ||||||||||||||||
Pinnacle Financial Partners, Inc. | (1,926 | ) | (123,360 | ) | 1,348 | 0.0 | (a) | |||||||||
Signature Bank* | (846 | ) | (107,569 | ) | 8,198 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(2,772 | ) | (230,929 | ) | 9,546 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
Charles Schwab Corp. (The) | (2,548 | ) | (141,873 | ) | (9,843 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
NewMarket Corp. | (296 | ) | (112,347 | ) | 8,907 | 0.0 | (a) | |||||||||
Valvoline, Inc. | (6,169 | ) | (125,107 | ) | 10,500 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(6,465 | ) | (237,454 | ) | 19,407 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Clean Harbors, Inc.* | (2,503 | ) | (114,638 | ) | 7,008 | 0.0 | (a) | |||||||||
Covanta Holding Corp. | (8,037 | ) | (119,751 | ) | (4,019 | ) | (0.0 | )(a) | ||||||||
Healthcare Services Group, Inc. | (3,332 | ) | (128,715 | ) | 9,504 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(13,872 | ) | (363,104 | ) | 12,493 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Communications Equipment | ||||||||||||||||
Ciena Corp.* | (3,646 | ) | (93,884 | ) | (146 | ) | (0.0 | )(a) | ||||||||
Infinera Corp.* | (8,941 | ) | (104,789 | ) | (8,136 | ) | (0.0 | )(a) | ||||||||
ViaSat, Inc.* | (1,693 | ) | (108,318 | ) | 328 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(14,280 | ) | (306,991 | ) | (7,954 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Construction Materials | ||||||||||||||||
Martin Marietta Materials, Inc. | (593 | ) | (115,499 | ) | 6,185 | 0.0 | (a) | |||||||||
Vulcan Materials Co. | (1,058 | ) | (118,168 | ) | 4,666 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(1,651 | ) | (233,667 | ) | 10,851 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Consumer Finance | ||||||||||||||||
LendingClub Corp.* | (40,480 | ) | (108,891 | ) | 25,389 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributors | ||||||||||||||||
Core-Mark Holding Co., Inc. | (4,441 | ) | (91,529 | ) | 3,286 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Chegg, Inc.* | (4,322 | ) | (100,314 | ) | (9,422 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Fabrinet* | (2,920 | ) | (82,373 | ) | 11,300 | 0.0 | (a) | |||||||||
II-VI, Inc.* | (2,582 | ) | (98,374 | ) | 13,151 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(5,502 | ) | (180,747 | ) | 24,451 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Baker Hughes a GE Co. | (3,974 | ) | (143,501 | ) | (20,744 | ) | (0.1 | ) | ||||||||
Forum Energy Technologies, Inc.* | (10,563 | ) | (133,094 | ) | (8,451 | ) | (0.0 | )(a) | ||||||||
Weatherford International plc* | (47,222 | ) | (139,305 | ) | (21,722 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(61,759 | ) | (415,900 | ) | (50,917 | ) | (0.2 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Casey’s General Stores, Inc. | (1,137 | ) | (109,834 | ) | 12,416 | 0.0 | (a) | |||||||||
PriceSmart, Inc. | (1,641 | ) | (143,752 | ) | 821 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(2,778 | ) | (253,586 | ) | 13,237 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
AtriCure, Inc.* | (6,125 | ) | (136,158 | ) | (15,802 | ) | (0.1 | ) | ||||||||
DexCom, Inc.* | (1,839 | ) | (134,578 | ) | (3,494 | ) | (0.0 | )(a) |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Health Care Equipment & Supplies — continued | ||||||||||||||||
Heska Corp.* | (1,540 | ) | (125,695 | ) | (5,544 | ) | (0.0 | )(a) | ||||||||
Insulet Corp.* | (1,594 | ) | (137,084 | ) | 239 | 0.0 | (a) | |||||||||
K2M Group Holdings, Inc.* | (6,020 | ) | (114,982 | ) | (783 | ) | (0.0 | )(a) | ||||||||
Nevro Corp.* | (1,422 | ) | (127,070 | ) | 185 | 0.0 | (a) | |||||||||
Wright Medical Group NV* | (5,854 | ) | (114,797 | ) | (1,522 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(24,394 | ) | (890,364 | ) | (26,721 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Belmond Ltd.* | (9,610 | ) | (102,827 | ) | 3,027 | 0.0 | (a) | |||||||||
Caesars Entertainment Corp.* | (9,504 | ) | (107,870 | ) | (2,434 | ) | (0.0 | )(a) | ||||||||
Chipotle Mexican Grill, Inc.* | (301 | ) | (127,422 | ) | (30,570 | ) | (0.1 | ) | ||||||||
MGM Resorts International | (3,109 | ) | (97,685 | ) | 10,742 | 0.0 | (a) | |||||||||
Playa Hotels & Resorts NV* | (9,003 | ) | (92,731 | ) | 6,212 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(31,527 | ) | (528,535 | ) | (13,023 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
iRobot Corp.* | (1,426 | ) | (83,221 | ) | 12,278 | 0.1 | ||||||||||
Universal Electronics, Inc.* | (1,857 | ) | (85,979 | ) | 8,356 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(3,283 | ) | (169,200 | ) | 20,634 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||||||
TerraForm Power, Inc. | (11,104 | ) | (123,810 | ) | (666 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
RLI Corp. | (1,951 | ) | (123,459 | ) | (1,034 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Groupon, Inc.* | (21,587 | ) | (100,164 | ) | (5,829 | ) | (0.0 | )(a) | ||||||||
Netflix, Inc.* | (305 | ) | (95,300 | ) | (4,389 | ) | (0.0 | )(a) | ||||||||
Wayfair, Inc.* | (1,642 | ) | (102,297 | ) | 10,049 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(23,534 | ) | (297,761 | ) | (169 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
ANGI Homeservices, Inc.* | (8,044 | ) | (107,468 | ) | 1,443 | 0.0 | (a) | |||||||||
Box, Inc.* | (4,526 | ) | (103,464 | ) | (11,677 | ) | (0.0 | )(a) | ||||||||
Cornerstone OnDemand, Inc.* | (2,269 | ) | (100,131 | ) | (7,034 | ) | (0.0 | )(a) | ||||||||
GTT Communications, Inc.* | (2,180 | ) | (104,749 | ) | 6,520 | 0.0 | (a) | |||||||||
MINDBODY, Inc.* | (2,841 | ) | (112,646 | ) | (3,353 | ) | (0.0 | )(a) | ||||||||
Nutanix, Inc.* | (1,815 | ) | (91,821 | ) | 3,104 | 0.0 | (a) | |||||||||
Pandora Media, Inc.* | (20,551 | ) | (115,291 | ) | (16,852 | ) | (0.1 | ) | ||||||||
Wix.com Ltd.* | (1,122 | ) | (92,284 | ) | 2,580 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(43,348 | ) | (827,854 | ) | (25,269 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
Gartner, Inc.* | (927 | ) | (112,436 | ) | (3,254 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Leisure Products | ||||||||||||||||
Mattel, Inc. | (6,976 | ) | (103,245 | ) | (8,929 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Flowserve Corp. | (3,067 | ) | (136,205 | ) | 522 | 0.0 | (a) | |||||||||
Wabtec Corp. | (1,626 | ) | (144,405 | ) | (9,623 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(4,693 | ) | (280,610 | ) | (9,101 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Marine | ||||||||||||||||
Matson, Inc. | (4,565 | ) | (133,435 | ) | (3,523 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 81 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Media | ||||||||||||||||
Liberty Broadband Corp.* | (1,298 | ) | (92,015 | ) | 15,384 | 0.1 | ||||||||||
Lions Gate Entertainment Corp. | (3,538 | ) | (88,061 | ) | 3,892 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(4,836 | ) | (180,076 | ) | 19,276 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
AK Steel Holding Corp.* | (29,813 | ) | (136,841 | ) | (3,464 | ) | (0.0 | )(a) | ||||||||
Coeur Mining, Inc.* | (15,133 | ) | (114,557 | ) | 6,356 | 0.0 | (a) | |||||||||
Compass Minerals International, Inc. | (1,910 | ) | (128,543 | ) | (8,977 | ) | (0.1 | ) | ||||||||
Hecla Mining Co. | (36,882 | ) | (141,258 | ) | (7,746 | ) | (0.0 | )(a) | ||||||||
TimkenSteel Corp.* | (8,477 | ) | (142,329 | ) | (7,821 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(92,215 | ) | (663,528 | ) | (21,652 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
Dominion Energy, Inc. | (2,086 | ) | (138,844 | ) | (2,112 | ) | (0.0 | )(a) | ||||||||
NiSource, Inc. | (5,690 | ) | (138,779 | ) | (1,593 | ) | (0.0 | )(a) | ||||||||
Sempra Energy | (1,087 | ) | (121,527 | ) | (131 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(8,863 | ) | (399,150 | ) | (3,836 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Cheniere Energy, Inc.* | (2,376 | ) | (138,188 | ) | (5,317 | ) | (0.0 | )(a) | ||||||||
Chesapeake Energy Corp.* | (38,535 | ) | (114,449 | ) | 4,624 | 0.0 | (a) | |||||||||
Extraction Oil & Gas, Inc.* | (10,069 | ) | (142,174 | ) | (22,454 | ) | (0.1 | ) | ||||||||
Hess Corp. | (2,403 | ) | (136,947 | ) | (7,930 | ) | (0.0 | )(a) | ||||||||
Oasis Petroleum, Inc.* | (16,033 | ) | (176,844 | ) | (42,968 | ) | (0.2 | ) | ||||||||
Parsley Energy, Inc.* | (4,519 | ) | (135,706 | ) | (10,846 | ) | (0.1 | ) | ||||||||
QEP Resources, Inc.* | (13,560 | ) | (165,161 | ) | (24,001 | ) | (0.1 | ) | ||||||||
SM Energy Co. | (6,941 | ) | (166,237 | ) | (32,345 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(94,436 | ) | (1,175,706 | ) | (141,237 | ) | (0.6 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Aclaris Therapeutics, Inc.* | (6,765 | ) | (120,079 | ) | (2,705 | ) | (0.0 | )(a) | ||||||||
Aerie Pharmaceuticals, Inc.* | (2,170 | ) | (111,104 | ) | 3,146 | 0.0 | (a) | |||||||||
Medicines Co. (The)* | (4,032 | ) | (121,323 | ) | 1,411 | 0.0 | (a) | |||||||||
Nektar Therapeutics* | (1,451 | ) | (121,391 | ) | 24,789 | 0.1 | ||||||||||
Pacira Pharmaceuticals, Inc.* | (3,584 | ) | (118,630 | ) | 12,902 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(18,002 | ) | (592,527 | ) | 39,543 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
AMERCO | (364 | ) | (122,857 | ) | 1,969 | 0.0 | (a) | |||||||||
Hertz Global Holdings, Inc.* | (5,987 | ) | (131,116 | ) | (5,089 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(6,351 | ) | (253,973 | ) | (3,120 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Advanced Micro Devices, Inc.* | (10,710 | ) | (116,525 | ) | (8,635 | ) | (0.0 | )(a) | ||||||||
Inphi Corp.* | (3,049 | ) | (87,140 | ) | 7,013 | 0.0 | (a) | |||||||||
MACOM Technology Solutions Holdings, Inc.* | (4,861 | ) | (80,790 | ) | 8,264 | 0.0 | (a) | |||||||||
MaxLinear, Inc.* | (4,725 | ) | (105,509 | ) | 1,846 | 0.0 | (a) | |||||||||
SMART Global Holdings, Inc.* | (2,755 | ) | (107,858 | ) | (580 | ) | (0.0 | )(a) | ||||||||
Veeco Instruments, Inc.* | (6,295 | ) | (97,258 | ) | 9,371 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(32,395 | ) | (595,080 | ) | 17,279 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
Autodesk, Inc.* | (712 | ) | (89,641 | ) | 4,151 | 0.0 | (a) | |||||||||
HubSpot, Inc.* | (970 | ) | (102,723 | ) | 6,379 | 0.0 | (a) |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Software — continued | ||||||||||||||||
PROS Holdings, Inc.* | (2,927 | ) | (86,405 | ) | 10,186 | 0.1 | ||||||||||
Snap, Inc.* | (7,413 | ) | (106,228 | ) | 1,559 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(12,022 | ) | (384,997 | ) | 22,275 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
CarMax, Inc.* | (1,552 | ) | (97,000 | ) | (2,607 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Pure Storage, Inc.* | (5,550 | ) | (112,276 | ) | (8,282 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Tobacco | ||||||||||||||||
Philip Morris International, Inc. | (1,200 | ) | (98,400 | ) | 22,922 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
MRC Global, Inc.* | (6,873 | ) | (128,731 | ) | (8,316 | ) | (0.0 | )(a) | ||||||||
NOW, Inc.* | (11,652 | ) | (141,339 | ) | (10,603 | ) | (0.1 | ) | ||||||||
SiteOne Landscape Supply, Inc.* | (1,679 | ) | (115,012 | ) | 14,607 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
(20,204 | ) | (385,082 | ) | (4,312 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Water Utilities | ||||||||||||||||
American Water Works Co., Inc. | (1,652 | ) | (143,030 | ) | (7,896 | ) | (0.1 | ) | ||||||||
California Water Service Group | (3,392 | ) | (131,440 | ) | (5,258 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(5,044 | ) | (274,470 | ) | (13,154 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (629,330 | ) | (11,964,510 | ) | (130,725 | ) | (0.5 | ) | ||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.0% to 0.50%), which is denominated in CAD based on the local currencies of the positions within the swaps. | 2/25/2019 | $ | 518,181 | $ | (64,530 | ) | $ | (5,699 | ) | $ | (70,229 | ) | |||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | ||||||||||||||||
Linamar Corp. | 1,843 | 103,278 | 344 | 0.0 | (a) | |||||||||||
Magna International, Inc. | 1,741 | 102,823 | 816 | 0.0 | (a) | |||||||||||
Martinrea International, Inc. | 8,145 | 97,186 | (3,294 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
11,729 | 303,287 | (2,134 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 83 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Banks | ||||||||||||||||
Bank of Nova Scotia (The) | 1,703 | 104,677 | 1,720 | 0.0 | (a) | |||||||||||
Laurentian Bank of Canada | 3,229 | 124,009 | 3,769 | 0.0 | (a) | |||||||||||
National Bank of Canada | 2,212 | 105,057 | 1,572 | 0.0 | (a) | |||||||||||
Toronto-Dominion Bank (The) | 1,935 | 108,675 | 1,881 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
9,079 | 442,418 | 8,942 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Methanex Corp. | 1,735 | 104,577 | (4,796 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Transcontinental, Inc. | 5,730 | 120,674 | 1,151 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
Enerflex Ltd. | 9,945 | 121,529 | 3,391 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Maple Leaf Foods, Inc. | 4,960 | 119,562 | (306 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
CGI Group, Inc.* | 1,672 | 96,886 | 1,094 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Cogeco Communications, Inc. | 1,681 | 89,565 | (1,805 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Labrador Iron Ore Royalty Corp. | 6,783 | 115,432 | 1,464 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Husky Energy, Inc. | 8,843 | 123,697 | (1,236 | ) | (0.0 | )(a) | ||||||||||
Parex Resources, Inc.* | 7,435 | 127,917 | 17,854 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
16,278 | 251,614 | 16,618 | 0.1 | |||||||||||||
Paper & Forest Products | ||||||||||||||||
Canfor Corp.* | 4,928 | 113,187 | (3,345 | ) | (0.0 | )(a) | ||||||||||
Norbord, Inc. | 3,016 | 124,544 | 6,080 | 0.0 | (a) | |||||||||||
West Fraser Timber Co. Ltd. | 1,731 | 117,252 | (5,471 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
9,675 | 354,983 | (2,736 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Thrifts & Mortgage Finance | ||||||||||||||||
Genworth MI Canada, Inc. | 3,778 | 122,113 | 3,765 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 83,045 | 2,242,640 | 24,648 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | ||||||||||||||||
Bombardier, Inc.* | (46,394 | ) | (143,451 | ) | (11,775 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Independent Power and Renewable Electricity Producers | ||||||||||||||||
Northland Power, Inc. | (7,566 | ) | (136,417 | ) | (1,963 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Agnico Eagle Mines Ltd. | (2,990 | ) | (125,822 | ) | 6,495 | 0.0 | (a) | |||||||||
Alamos Gold, Inc. | (24,054 | ) | (130,017 | ) | (803 | ) | (0.0 | )(a) | ||||||||
B2Gold Corp.* | (43,976 | ) | (126,384 | ) | (7,679 | ) | (0.0 | )(a) | ||||||||
First Majestic Silver Corp.* | (21,588 | ) | (140,227 | ) | (6,268 | ) | (0.0 | )(a) | ||||||||
Franco-Nevada Corp. | (1,742 | ) | (123,559 | ) | (5,237 | ) | (0.0 | )(a) | ||||||||
Goldcorp, Inc. | (9,636 | ) | (127,885 | ) | 4,327 | 0.0 | (a) | |||||||||
Osisko Gold Royalties Ltd. | (12,686 | ) | (123,802 | ) | (3,430 | ) | (0.0 | )(a) | ||||||||
Pretium Resources, Inc.* | (17,435 | ) | (117,324 | ) | 1,046 | 0.0 | (a) |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Metals & Mining — continued | ||||||||||||||||
Torex Gold Resources, Inc.* | (12,943 | ) | (133,064 | ) | (18,531 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(147,050 | ) | (1,148,084 | ) | (30,080 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
MEG Energy Corp.* | (30,223 | ) | (156,300 | ) | (25,131 | ) | (0.1 | ) | ||||||||
Paramount Resources Ltd.* | (9,821 | ) | (140,207 | ) | (20,229 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(40,044 | ) | (296,507 | ) | (45,360 | ) | (0.2 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (241,054 | ) | (1,724,459 | ) | (89,178 | ) | (0.3 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (158,009 | ) | 518,181 | (64,530 | ) | (0.2 | ) | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE(1) | NET UNREALIZED APPRECIATION (DEPRECIATION)(2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.00)% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swaps. | 2/25/2019 | $ | 351,973 | $ | (16,786 | ) | $ | 574 | $ | (16,212 | ) | ||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Auto Components | ||||||||||||||||
Bridgestone Corp. | 2,200 | 91,966 | (3,751 | ) | (0.0 | )(a) | ||||||||||
Exedy Corp. | 2,800 | 94,830 | 3,009 | 0.0 | (a) | |||||||||||
FCC Co. Ltd. | 3,300 | 93,344 | 925 | 0.0 | (a) | |||||||||||
NHK Spring Co. Ltd. | 9,300 | 102,771 | 5,172 | 0.0 | (a) | |||||||||||
TS Tech Co. Ltd. | 2,500 | 101,149 | 3,442 | 0.0 | (a) | |||||||||||
Unipres Corp. | 3,900 | 91,828 | 2,544 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
24,000 | 575,888 | 11,341 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Beverages | ||||||||||||||||
Kirin Holdings Co. Ltd. | 4,100 | 115,083 | (3,520 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Building Products | ||||||||||||||||
Nichias Corp. | 9,000 | 113,998 | 3,120 | 0.0 | (a) | |||||||||||
Nichiha Corp. | 2,900 | 114,979 | 5,923 | 0.0 | (a) | |||||||||||
Takasago Thermal Engineering Co. Ltd. | 6,300 | 119,439 | 5,429 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
18,200 | 348,416 | 14,472 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Mitsubishi Chemical Holdings Corp. | 12,700 | 120,137 | 1,584 | 0.0 | (a) | |||||||||||
Mitsubishi Gas Chemical Co., Inc. | 4,600 | 107,803 | 2,274 | 0.0 | (a) | |||||||||||
Mitsui Chemicals, Inc. | 3,500 | 100,332 | (5,309 | ) | (0.0 | )(a) |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 85 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Chemicals — continued | ||||||||||||||||
Nippon Soda Co. Ltd. | 21,000 | 120,641 | 292 | 0.0 | (a) | |||||||||||
Sumitomo Bakelite Co. Ltd. | 13,000 | 117,257 | 133 | 0.0 | (a) | |||||||||||
Tosoh Corp. | 6,100 | 107,899 | (1,946 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
60,900 | 674,069 | (2,972 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Kajima Corp. | 13,000 | 125,243 | 6,079 | 0.0 | (a) | |||||||||||
Kinden Corp. | 6,700 | 116,854 | 7,764 | 0.0 | (a) | |||||||||||
Nishimatsu Construction Co. Ltd. | 4,600 | 126,449 | 8,876 | 0.1 | ||||||||||||
Obayashi Corp. | 10,300 | 118,617 | 9,080 | 0.1 | ||||||||||||
Okumura Corp. | 2,800 | 115,917 | 5,328 | 0.0 | (a) | |||||||||||
Penta-Ocean Construction Co. Ltd. | 15,900 | 125,305 | 8,517 | 0.0 | (a) | |||||||||||
Taisei Corp. | 2,300 | 124,076 | 6,898 | 0.0 | (a) | |||||||||||
Toda Corp. | 15,000 | 123,685 | 14,525 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
70,600 | 976,146 | 67,067 | 0.3 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
Nippon Telegraph & Telephone Corp. | 2,500 | 118,638 | 271 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Azbil Corp. | 2,100 | 97,733 | 2,539 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Matsumotokiyoshi Holdings Co. Ltd. | 2,700 | 120,275 | 3,283 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Prima Meat Packers Ltd. | 19,000 | 115,922 | 8,322 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Hoya Corp. | 2,100 | 112,192 | 6,324 | 0.0 | (a) | |||||||||||
Nikkiso Co. Ltd. | 11,500 | 130,941 | 9,767 | 0.1 | ||||||||||||
Paramount Bed Holdings Co. Ltd. | 2,300 | 114,437 | (730 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
15,900 | 357,570 | 15,361 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Providers & Services | ||||||||||||||||
BML, Inc. | 4,900 | 124,017 | 1,932 | 0.0 | (a) | |||||||||||
Miraca Holdings, Inc. | 2,800 | 109,004 | (1,150 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
7,700 | 233,021 | 782 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Haseko Corp. | 6,500 | 102,242 | 5,250 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
Mixi, Inc. | 2,500 | 82,167 | (2,553 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
NEC Networks & System Integration Corp. | 3,700 | 96,808 | 1,628 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Life Sciences Tools & Services | ||||||||||||||||
EPS Holdings, Inc. | 5,700 | 116,129 | (1,147 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Sodick Co. Ltd. | 9,400 | 115,694 | (1,500 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Inpex Corp. | 9,000 | 115,054 | (357 | ) | (0.0 | )(a) | ||||||||||
JXTG Holdings, Inc. | 20,300 | 132,331 | 10,857 | 0.0 | (a) | |||||||||||
Showa Shell Sekiyu KK | 9,400 | 132,734 | 12,514 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
38,700 | 380,119 | 23,014 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
86 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Paper & Forest Products | ||||||||||||||||
Oji Holdings Corp. | 19,000 | 133,657 | 11,954 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Astellas Pharma, Inc. | 8,500 | 124,323 | 1,007 | 0.0 | (a) | |||||||||||
KYORIN Holdings, Inc. | 5,900 | 115,373 | 1,419 | 0.0 | (a) | |||||||||||
Shionogi & Co. Ltd. | 2,200 | 113,062 | 699 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
16,600 | 352,758 | 3,125 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
Leopalace21 Corp. | 14,700 | 127,492 | 2,550 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Sankyu, Inc. | 2,300 | 111,783 | 2,376 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Ulvac, Inc. | 1,800 | 96,290 | (2,860 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
GungHo Online Entertainment, Inc. | 28,600 | 86,263 | (9,520 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Brother Industries Ltd. | 4,500 | 96,523 | (5,041 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
ITOCHU Corp. | 5,900 | 117,991 | 3,559 | 0.0 | (a) | |||||||||||
Marubeni Corp. | 16,000 | 120,153 | 5,508 | 0.0 | (a) | |||||||||||
Sumitomo Corp. | 7,200 | 129,244 | 10,099 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
29,100 | 367,388 | 19,166 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Wireless Telecommunication Services | ||||||||||||||||
NTT DOCOMO, Inc. | 4,500 | 116,253 | 617 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 415,300 | 6,114,327 | 164,005 | 0.6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Air Freight & Logistics | ||||||||||||||||
Yamato Holdings Co. Ltd. | (4,800 | ) | (123,409 | ) | (339 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Banks | ||||||||||||||||
Suruga Bank Ltd. | (8,400 | ) | (113,790 | ) | 9,508 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Kansai Paint Co. Ltd. | (5,100 | ) | (114,596 | ) | (456 | ) | (0.0 | )(a) | ||||||||
Nippon Shokubai Co. Ltd. | (1,900 | ) | (129,105 | ) | (5,550 | ) | (0.0 | )(a) | ||||||||
Toray Industries, Inc. | (12,800 | ) | (119,482 | ) | (4,204 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(19,800 | ) | (363,183 | ) | (10,210 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
JGC Corp. | (5,900 | ) | (144,603 | ) | (14,408 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Consumer Finance | ||||||||||||||||
Acom Co. Ltd. | (26,600 | ) | (120,422 | ) | (733 | ) | (0.0 | )(a) | ||||||||
Aiful Corp.* | (38,000 | ) | (128,497 | ) | (10,404 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(64,600 | ) | (248,919 | ) | (11,137 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Consumer Services | ||||||||||||||||
Benesse Holdings, Inc. | (3,000 | ) | (109,270 | ) | (2,024 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 87 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Electric Utilities | ||||||||||||||||
Chugoku Electric Power Co., Inc. (The) | (9,900 | ) | (123,854 | ) | (5,524 | ) | (0.0 | )(a) | ||||||||
Hokkaido Electric Power Co., Inc. | (18,900 | ) | (125,426 | ) | (2,630 | ) | (0.0 | )(a) | ||||||||
Hokuriku Electric Power Co. | (14,300 | ) | (145,925 | ) | (20,228 | ) | (0.1 | ) | ||||||||
Kyushu Electric Power Co., Inc. | (10,300 | ) | (127,617 | ) | (7,686 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(53,400 | ) | (522,822 | ) | (36,068 | ) | (0.2 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Electronic Equipment, Instruments & Components | ||||||||||||||||
Alps Electric Co. Ltd. | (3,800 | ) | (83,928 | ) | 6,248 | 0.0 | (a) | |||||||||
Murata Manufacturing Co. Ltd. | (700 | ) | (88,373 | ) | 2,922 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(4,500 | ) | (172,301 | ) | 9,170 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Aeon Co. Ltd. | (7,600 | ) | (151,865 | ) | (12,958 | ) | (0.1 | ) | ||||||||
Sugi Holdings Co. Ltd. | (2,200 | ) | (128,082 | ) | (9,970 | ) | (0.0 | )(a) | ||||||||
Tsuruha Holdings, Inc. | (900 | ) | (129,186 | ) | (5,223 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(10,700 | ) | (409,133 | ) | (28,151 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Kameda Seika Co. Ltd. | (2,800 | ) | (137,775 | ) | (1,513 | ) | (0.0 | )(a) | ||||||||
Nissin Foods Holdings Co. Ltd. | (1,900 | ) | (139,905 | ) | (9,077 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(4,700 | ) | (277,680 | ) | (10,590 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Colowide Co. Ltd. | (4,100 | ) | (104,294 | ) | (1,047 | ) | (0.0 | )(a) | ||||||||
Create Restaurants Holdings, Inc. | (8,400 | ) | (105,800 | ) | (5,103 | ) | (0.0 | )(a) | ||||||||
HIS Co. Ltd. | (2,800 | ) | (102,183 | ) | (6,695 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(15,300 | ) | (312,277 | ) | (12,845 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Pioneer Corp.* | (57,000 | ) | (88,915 | ) | 2,827 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
Keihan Holdings Co. Ltd. | (3,700 | ) | (119,467 | ) | (4,051 | ) | (0.0 | )(a) | ||||||||
Toshiba Corp. | (44,000 | ) | (117,924 | ) | 469 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(47,700 | ) | (237,391 | ) | (3,582 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
GMO internet, Inc. | (6,000 | ) | (109,945 | ) | (5,720 | ) | (0.0 | )(a) | ||||||||
Yahoo Japan Corp. | (20,300 | ) | (83,427 | ) | 3,371 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(26,300 | ) | (193,372 | ) | (2,349 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Leisure Products | ||||||||||||||||
Sankyo Co. Ltd. | (2,700 | ) | (94,654 | ) | (1,668 | ) | (0.0 | )(a) | ||||||||
Shimano, Inc. | (700 | ) | (93,078 | ) | 1,894 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(3,400 | ) | (187,732 | ) | 226 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
FANUC Corp. | (500 | ) | (107,105 | ) | 13,864 | 0.1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Marine | ||||||||||||||||
Kawasaki Kisen Kaisha Ltd. | (5,300 | ) | (122,564 | ) | (6,301 | ) | (0.0 | )(a) | ||||||||
Mitsui OSK Lines Ltd. | (4,200 | ) | (124,411 | ) | (9,377 | ) | (0.0 | )(a) | ||||||||
Nippon Yusen KK | (6,000 | ) | (127,623 | ) | (11,127 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(15,500 | ) | (374,598 | ) | (26,805 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
88 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Multiline Retail | ||||||||||||||||
Don Quijote Holdings Co. Ltd. | (2,100 | ) | (113,058 | ) | 613 | 0.0 | (a) | |||||||||
Isetan Mitsukoshi Holdings Ltd. | (8,600 | ) | (95,677 | ) | (3,747 | ) | (0.0 | )(a) | ||||||||
Marui Group Co. Ltd. | (5,100 | ) | (105,849 | ) | (99 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(15,800 | ) | (314,584 | ) | (3,233 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Nichi-iko Pharmaceutical Co. Ltd. | (8,500 | ) | (135,999 | ) | 2,291 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
Mitsubishi Estate Co. Ltd. | (7,400 | ) | (135,217 | ) | (12,553 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Keio Corp. | (3,000 | ) | (136,951 | ) | (7,323 | ) | (0.0 | )(a) | ||||||||
Kintetsu Group Holdings Co. Ltd. | (3,400 | ) | (138,147 | ) | (5,687 | ) | (0.0 | )(a) | ||||||||
Odakyu Electric Railway Co. Ltd. | (6,400 | ) | (137,750 | ) | (8,435 | ) | (0.1 | ) | ||||||||
Tokyu Corp. | (8,100 | ) | (135,969 | ) | (6,556 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(20,900 | ) | (548,817 | ) | (28,001 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
Renesas Electronics Corp.* | (9,100 | ) | (94,928 | ) | (10,167 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Software | ||||||||||||||||
LINE Corp.* | (2,500 | ) | (90,411 | ) | 3,952 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
IDOM, Inc. | (14,100 | ) | (101,875 | ) | (1,216 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Technology Hardware, Storage & Peripherals | ||||||||||||||||
Ricoh Co. Ltd. | (9,100 | ) | (88,919 | ) | 3,089 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Trading Companies & Distributors | ||||||||||||||||
MonotaRO Co. Ltd. | (3,900 | ) | (135,939 | ) | (1,756 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Mitsubishi Logistics Corp. | (5,600 | ) | (129,165 | ) | (10,284 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (442,400 | ) | (5,762,354 | ) | (180,791 | ) | (0.7 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (27,100 | ) | 351,973 | (16,786 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month EURIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.13)% to 0.55%), which is denominated in EUR based on the local currencies of the positions within the swaps. | 2/28/2019 to 7/31/2019 | $ | 2,073,833 | $ | 63,710 | $ | 21,672 | $ | 85,382 | ||||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 89 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Airlines | ||||||||||||||||
Deutsche Lufthansa AG (Registered) | 3,625 | 105,362 | (12,399 | ) | (0.1 | ) | ||||||||||
Finnair OYJ | 8,415 | 114,702 | (2,702 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
12,040 | 220,064 | (15,101 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Auto Components | ||||||||||||||||
Faurecia SA | 1,237 | 101,012 | (43 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Automobiles | ||||||||||||||||
Peugeot SA | 3,733 | 91,920 | 9 | 0.0 | (a) | |||||||||||
Piaggio & C SpA | 33,329 | 87,434 | (3,609 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
37,062 | 179,354 | (3,600 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
Covestro AG (b) (c) | 1,172 | 106,494 | (8,712 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Derichebourg SA | 11,983 | 106,050 | (1,828 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Arcadis NV | 5,707 | 112,230 | (963 | ) | (0.0 | )(a) | ||||||||||
Eiffage SA | 936 | 111,414 | 4,557 | 0.0 | (a) | |||||||||||
Maire Tecnimont SpA | 23,277 | 118,305 | 2,334 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
29,920 | 341,949 | 5,928 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
Deutsche Telekom AG (Registered) | 7,506 | 131,382 | 8,632 | 0.0 | (a) | |||||||||||
DNA OYJ | 5,127 | 119,989 | 8,829 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
12,633 | 251,371 | 17,461 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Electric Utilities | ||||||||||||||||
Endesa SA | 5,021 | 117,091 | 7,880 | 0.0 | (a) | |||||||||||
Enel SpA | 18,367 | 116,515 | 3,987 | 0.0 | (a) | |||||||||||
Verbund AG | 3,902 | 120,842 | 9,349 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
27,290 | 354,448 | 21,216 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Electrical Equipment | ||||||||||||||||
Philips Lighting NV (b) (c) | 2,847 | 86,583 | (20,053 | ) | (0.1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Energy Equipment & Services | ||||||||||||||||
SBM Offshore NV | 6,592 | 110,609 | 4,834 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
ForFarmers NV | 8,959 | 125,683 | (3,548 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Koninklijke Philips NV | 2,722 | 115,212 | 9,594 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Insurance | ||||||||||||||||
Allianz SE (Registered) | 478 | 113,058 | 4,324 | 0.0 | (a) | |||||||||||
ASR Nederland NV | 2,735 | 128,993 | 4,652 | 0.1 | ||||||||||||
Talanx AG | 2,468 | 111,196 | 3,159 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
5,681 | 353,247 | 12,135 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
IT Services | ||||||||||||||||
Amadeus IT Group SA | 1,286 | 93,826 | (2,536 | ) | (0.0 | )(a) | ||||||||||
Sopra Steria Group | 473 | 100,966 | 5,663 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
1,759 | 194,792 | 3,127 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
90 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Machinery | ||||||||||||||||
Fincantieri SpA* | 74,809 | 117,544 | 11,524 | 0.0 | (a) | |||||||||||
Valmet OYJ | 4,942 | 93,681 | (4,646 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
79,751 | 211,225 | 6,878 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Metropole Television SA | 3,696 | 90,998 | (2,605 | ) | (0.0 | )(a) | ||||||||||
ProSiebenSat.1 Media SE | 2,632 | 95,484 | 2,733 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
6,328 | 186,482 | 128 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Aurubis AG | 1,442 | 128,863 | 9,405 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Multi-Utilities | ||||||||||||||||
A2A SpA | 66,924 | 134,567 | 7,014 | 0.1 | ||||||||||||
Engie SA | 6,710 | 117,704 | 5,699 | 0.0 | (a) | |||||||||||
Hera SpA | 35,754 | 132,178 | 1,007 | 0.0 | (a) | |||||||||||
Iren SpA | 40,527 | 123,129 | 1,940 | 0.0 | (a) | |||||||||||
REN—Redes Energeticas Nacionais SGPS SA | 36,683 | 115,701 | 2,485 | 0.0 | (a) | |||||||||||
Veolia Environnement SA | 4,604 | 108,924 | 1,877 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
191,202 | 732,203 | 20,022 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Enagas SA | 4,683 | 136,116 | 7,822 | 0.0 | (a) | |||||||||||
Eni SpA | 6,555 | 128,140 | 8,492 | 0.1 | ||||||||||||
Gaztransport Et Technigaz SA | 1,701 | 105,455 | (6,086 | ) | (0.0 | )(a) | ||||||||||
Neste OYJ | 1,554 | 130,857 | 24,488 | 0.1 | ||||||||||||
OMV AG | 1,864 | 115,447 | 5,099 | 0.0 | (a) | |||||||||||
Repsol SA | 7,050 | 134,534 | 4,405 | 0.0 | (a) | |||||||||||
TOTAL SA | 1,990 | 125,075 | 7,901 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
25,397 | 875,624 | 52,121 | 0.2 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Paper & Forest Products | ||||||||||||||||
Ence Energia y Celulosa SA | 16,885 | 130,266 | 5,899 | 0.0 | (a) | |||||||||||
UPM-Kymmene OYJ | 3,364 | 120,033 | 2,247 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
20,249 | 250,299 | 8,146 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Bayer AG (Registered) | 1,049 | 125,376 | 1,434 | 0.0 | (a) | |||||||||||
Merck KGaA | 1,261 | 123,188 | 360 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
2,310 | 248,564 | 1,794 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
CA Immobilien Anlagen AG* | 3,821 | 132,613 | 7,354 | 0.1 | ||||||||||||
LEG Immobilien AG | 1,114 | 128,448 | 5,114 | 0.0 | (a) | |||||||||||
TAG Immobilien AG | 5,537 | 117,008 | 1,868 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
10,472 | 378,069 | 14,336 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
BE Semiconductor Industries NV | 919 | 63,515 | (29,566 | ) | (0.1 | ) | ||||||||||
Siltronic AG | 516 | 82,625 | (9,533 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
1,435 | 146,140 | (39,099 | ) | (0.1 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Thrifts & Mortgage Finance | ||||||||||||||||
Deutsche Pfandbriefbank AG(b)(c) | 7,567 | 122,405 | 6,738 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 91 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Transportation Infrastructure | ||||||||||||||||
Hamburger Hafen und Logistik AG | 4,860 | 116,700 | (220 | ) | (0.0 | )(a) | ||||||||||
Societa Iniziative Autostradali e Servizi SpA | 6,439 | 136,398 | 14,408 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
11,299 | 253,098 | 14,188 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 519,349 | 6,179,840 | 116,067 | 0.5 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Banks | ||||||||||||||||
Bankia SA | (25,830 | ) | (113,332 | ) | 2,820 | 0.0 | (a) | |||||||||
Liberbank SA* | (219,756 | ) | (125,698 | ) | 8 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(245,586 | ) | (239,030 | ) | 2,828 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Beverages | ||||||||||||||||
Remy Cointreau SA | (864 | ) | (119,036 | ) | 4,302 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Markets | ||||||||||||||||
Deutsche Bank AG (Registered) | (9,431 | ) | (128,934 | ) | 1,709 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Chemicals | ||||||||||||||||
LANXESS AG | (1,508 | ) | (111,704 | ) | 835 | 0.0 | (a) | |||||||||
Lenzing AG | (1,130 | ) | (131,495 | ) | (362 | ) | (0.0 | )(a) | ||||||||
OCI NV* | (5,542 | ) | (131,520 | ) | (7,843 | ) | (0.1 | ) | ||||||||
Symrise AG | (1,451 | ) | (117,287 | ) | (4,903 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(9,631 | ) | (492,006 | ) | (12,273 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Prosegur Cia de Seguridad SA | (17,215 | ) | (130,132 | ) | 4,200 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Construction & Engineering | ||||||||||||||||
Boskalis Westminster | (3,961 | ) | (117,342 | ) | (2,265 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
Huhtamaki OYJ | (2,745 | ) | (111,652 | ) | 4,873 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Diversified Telecommunication Services | ||||||||||||||||
Iliad SA | (617 | ) | (123,587 | ) | (1,537 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Electrical Equipment | ||||||||||||||||
Nexans SA | (2,591 | ) | (136,679 | ) | (6,098 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food & Staples Retailing | ||||||||||||||||
Distribuidora Internacional de Alimentacion SA | (31,334 | ) | (145,208 | ) | (9,830 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Food Products | ||||||||||||||||
Glanbia plc | (7,950 | ) | (134,406 | ) | (1,325 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Health Care Equipment & Supplies | ||||||||||||||||
Sartorius Stedim Biotech | (1,413 | ) | (131,717 | ) | (3,609 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Hotels, Restaurants & Leisure | ||||||||||||||||
Elior Group SA(b)(c) | (5,223 | ) | (106,649 | ) | (100 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Household Durables | ||||||||||||||||
Neinor Homes SA*(b)(c) | (5,191 | ) | (100,493 | ) | (823 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Industrial Conglomerates | ||||||||||||||||
Siemens AG (Registered) | (932 | ) | (118,359 | ) | 132 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Internet & Direct Marketing Retail | ||||||||||||||||
Zalando SE*(b)(c) | (2,023 | ) | (104,097 | ) | 3,816 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
92 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Short Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Life Sciences Tools & Services | ||||||||||||||||
Eurofins Scientific SE | (213 | ) | (114,892 | ) | (5,676 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Alstom SA | (3,084 | ) | (140,410 | ) | (4,313 | ) | (0.0 | )(a) | ||||||||
ANDRITZ AG | (2,374 | ) | (127,606 | ) | 4,271 | 0.0 | (a) | |||||||||
GEA Group AG | (2,563 | ) | (100,068 | ) | 7,421 | 0.0 | (a) | |||||||||
IMA Industria Macchine Automatiche SpA | (1,366 | ) | (132,550 | ) | (1,200 | ) | (0.0 | )(a) | ||||||||
Metso OYJ | (4,242 | ) | (150,762 | ) | (14,994 | ) | (0.1 | ) | ||||||||
Outotec OYJ | (15,511 | ) | (141,078 | ) | (5,024 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(29,140 | ) | (792,474 | ) | (13,839 | ) | (0.1 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Media | ||||||||||||||||
Altice NV* | (10,612 | ) | (101,568 | ) | (9,708 | ) | (0.0 | )(a) | ||||||||
JCDecaux SA | (2,765 | ) | (99,087 | ) | (4,882 | ) | (0.0 | )(a) | ||||||||
Telenet Group Holding NV* | (1,466 | ) | (85,672 | ) | 8,822 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(14,843 | ) | (286,327 | ) | (5,768 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
thyssenkrupp AG | (4,468 | ) | (116,216 | ) | 3,306 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Road & Rail | ||||||||||||||||
Europcar Groupe SA (b) (c) | (11,886 | ) | (138,474 | ) | (4,818 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
SOITEC* | (1,220 | ) | (99,207 | ) | (9,161 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Transportation Infrastructure | ||||||||||||||||
Getlink | (8,436 | ) | (119,090 | ) | (401 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (416,913 | ) | (4,106,007 | ) | (52,357 | ) | (0.2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 102,436 | 2,073,833 | 63,710 | 0.3 | ||||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.13)% to 0.55%), which is denominated in CHF based on the local currencies of the positions within the swaps. | 7/31/2019 | $ | 275,033 | $ | 5,120 | $ | 10,816 | $ | 15,936 | ||||||||||
|
|
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Diversified Telecommunication Services | ||||||||||||||||
Sunrise Communications Group AG(b)(c) | 1,455 | 114,051 | (2,042 | ) | (0.0 | )(a) | ||||||||||
Swisscom AG (Registered) | 242 | 116,071 | 5,729 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
1,697 | 230,122 | 3,687 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 93 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions — continued | ||||||||||||||||
Common Stocks — continued | ||||||||||||||||
Machinery | ||||||||||||||||
Bobst Group SA (Registered) | 905 | 96,553 | 86 | 0.0 | (a) | |||||||||||
Bucher Industries AG (Registered) | 257 | 94,186 | (8,128 | ) | (0.0 | )(a) | ||||||||||
OC Oerlikon Corp. AG (Registered) | 7,417 | 119,742 | 1,320 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
8,579 | 310,481 | (6,722 | ) | (0.0 | )(a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Pharmaceuticals | ||||||||||||||||
Galenica AG* (b) (c) | 2,378 | 127,839 | 6,018 | 0.0 | (a) | |||||||||||
Novartis AG (Registered) | 1,353 | 104,146 | (3,304 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
3,731 | 231,985 | 2,714 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Real Estate Management & Development | ||||||||||||||||
Swiss Prime Site AG (Registered) | 1,301 | 121,896 | 2,520 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 15,308 | 894,484 | 2,199 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Household Durables | ||||||||||||||||
Forbo Holding AG (Registered) | (66 | ) | (92,321 | ) | (3,173 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Machinery | ||||||||||||||||
Burckhardt Compression Holding AG | (360 | ) | (116,818 | ) | (3,137 | ) | (0.0 | )(a) | ||||||||
Rieter Holding AG (Registered)* | (694 | ) | (134,014 | ) | 793 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
(1,054 | ) | (250,832 | ) | (2,344 | ) | (0.0 | )(a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Semiconductors & Semiconductor Equipment | ||||||||||||||||
ams AG | (1,000 | ) | (82,477 | ) | 22,026 | 0.1 | ||||||||||
Meyer Burger Technology AG* | (58,398 | ) | (72,467 | ) | (2,953 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
(59,398 | ) | (154,944 | ) | 19,073 | 0.1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Specialty Retail | ||||||||||||||||
Dufry AG (Registered)* | (858 | ) | (121,354 | ) | (10,635 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (61,376 | ) | (619,451 | ) | 2,921 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | (46,068 | ) | 275,033 | 5,120 | 0.0 | (a) | ||||||||||
|
|
|
|
|
|
|
|
COUNTERPARTY | DESCRIPTION | TERMINATION DATE | NOTIONAL VALUE (1) | NET UNREALIZED APPRECIATION (DEPRECIATION) (2) | NET CASH AND OTHER RECEIVABLES (PAYABLES) | VALUE (Note 2C(3)) | ||||||||||||||
Bank of America | The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.35)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps. | 2/25/2019 | $ | 141,060 | $ | 31,944 | $ | (22,518 | ) | $ | 9,426 | |||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
94 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
REFERENCE ENTITY | SHARES | NOTIONAL VALUE($) (1) | UNREALIZED APPRECIATION (DEPRECIATION)($) (2) | PERCENTAGE OF NET ASSETS (%) | ||||||||||||
Long Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Food & Staples Retailing | ||||||||||||||||
Metcash Ltd. | 51,254 | 138,340 | 16,970 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Metals & Mining | ||||||||||||||||
Fortescue Metals Group Ltd. | 29,887 | 101,402 | 1,599 | 0.0 | (a) | |||||||||||
Sandfire Resources NL | 19,932 | 117,965 | (727 | ) | (0.0 | )(a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
49,819 | 219,367 | 872 | 0.0 | (a) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Oil, Gas & Consumable Fuels | ||||||||||||||||
Beach Energy Ltd. | 103,411 | 121,963 | 18,063 | 0.1 | ||||||||||||
Whitehaven Coal Ltd. | 37,497 | 129,300 | 6,647 | 0.0 | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
140,908 | 251,263 | 24,710 | 0.1 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Long Positions of Total Return Basket Swaps | 241,981 | 608,970 | 42,552 | 0.2 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Short Positions | ||||||||||||||||
Common Stocks | ||||||||||||||||
Chemicals | ||||||||||||||||
Nufarm Ltd. | (18,956 | ) | (129,569 | ) | (7,217 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Commercial Services & Supplies | ||||||||||||||||
Brambles Ltd. | (17,053 | ) | (126,178 | ) | 867 | 0.0 | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Containers & Packaging | ||||||||||||||||
Pact Group Holdings Ltd. | (27,663 | ) | (117,788 | ) | (550 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Internet Software & Services | ||||||||||||||||
NEXTDC Ltd.* | (18,376 | ) | (94,375 | ) | (3,708 | ) | (0.0 | )(a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short Positions of Total Return Basket Swaps | (82,048 | ) | (467,910 | ) | (10,608 | ) | (0.1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total of Long and Short Positions of Total Return Basket Swaps | 159,933 | 141,060 | 31,944 | 0.1 | ||||||||||||
|
|
|
|
|
|
|
|
* | Non-income producing security. |
‡ | Value determined using significant unobservable inputs. |
(a) | Amounts rounds to less than 0.05%. |
(b) | Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. |
(c) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. |
(1) | Notional value represents market value as of April 30, 2018 of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded. |
(2) | Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset. |
The following reference rates, and their values as of period-end, are used for security descriptions:
Value | ||||
BA | Banker’s Acceptance Rate | 1.64% | ||
BBR | Bank Base Rate | 1.90% | ||
CHF LIBOR | Swiss Franc LIBOR | (0.79)% | ||
EURIBOR | Euro LIBOR | (0.37)% | ||
GBP LIBOR | British Pound Sterling LIBOR | 0.51% | ||
JPY LIBOR | Japanese Yen LIBOR | (0.05)% | ||
LIBOR | London Interbank Offered Rate | 1.91% |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 95 |
JPMorgan Long/Short ETF
ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Summary of total OTC swap contracts outstanding as of April 30, 2018: | ||||||||
Net Upfront Payments (Receipts) ($) | Value ($) | |||||||
Assets |
| |||||||
Total OTC Total return basket swaps contracts outstanding | – | 171,896 | ||||||
|
|
|
| |||||
Liabilities |
| |||||||
Total OTC Total return basket swaps contracts outstanding | – | (221,385 | ) | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
96 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited)
Shares | Investments | Value ($) | ||||||
SHORT-TERM INVESTMENTS — 81.5% | ||||||||
Investment Companies — 81.5% | ||||||||
42,045,395 | JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.58% (a)(b) | 42,045,395 | ||||||
|
| |||||||
Total Investments — 81.5% | 42,045,395 | |||||||
Other Assets Less Liabilities — 18.5% | 9,555,052 | |||||||
|
| |||||||
Net Assets — 100.0% | $ | 51,600,447 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | — The rate shown was the current yield as of April 30, 2018. | |
(b) | — Affiliated company as defined under the Investment Company Act of 1940. |
Futures contracts outstanding as of April 30, 2018: | ||||||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
Long Contracts |
| |||||||||||||||||||
9 | Feeder Cattle | 05/2018 | USD | 630,787 | 44,036 | |||||||||||||||
3 | Hang Seng Index | 05/2018 | HKD | 582,624 | 3,654 | |||||||||||||||
8 | LME Aluminum Base Metal | 05/2018 | USD | 452,700 | 33,350 | |||||||||||||||
11 | LME Nickel Base Metal | 05/2018 | USD | 897,666 | 10,083 | |||||||||||||||
12 | LME Zinc Base Metal | 05/2018 | USD | 938,625 | (38,024 | ) | ||||||||||||||
20 | WTI Crude Oil | 05/2018 | USD | 1,371,400 | 98,557 | |||||||||||||||
8 | 100 oz Gold | 06/2018 | USD | 1,055,360 | (15,731 | ) | ||||||||||||||
73 | Australia 10 Year Bond | 06/2018 | AUD | 7,028,766 | 30,055 | |||||||||||||||
3 | Euro-Bund | 06/2018 | EUR | 575,083 | (1,948 | ) | ||||||||||||||
10 | Euro-Schatz | 06/2018 | EUR | 1,351,486 | 775 | |||||||||||||||
4 | FTSE/MIB Index | 06/2018 | EUR | 568,735 | 33,358 | |||||||||||||||
12 | Japan 10 Year Bond | 06/2018 | JPY | 16,535,675 | (13,242 | ) | ||||||||||||||
22 | Live Cattle | 06/2018 | USD | 933,680 | (75,735 | ) | ||||||||||||||
19 | LME Aluminum Base Metal | 06/2018 | USD | 1,075,875 | 66,894 | |||||||||||||||
8 | LME Nickel Base Metal | 06/2018 | USD | 653,808 | 21,600 | |||||||||||||||
14 | LME Zinc Base Metal | 06/2018 | USD | 1,095,150 | (51,917 | ) | ||||||||||||||
3 | S&P 500 E-Mini Index | 06/2018 | USD | 397,050 | (16,026 | ) | ||||||||||||||
1 | SPI 200 Index | 06/2018 | AUD | 111,873 | (574 | ) | ||||||||||||||
177 | U.S. Treasury 10 Year Note | 06/2018 | USD | 21,159,797 | (48,788 | ) | ||||||||||||||
4 | WTI Crude Oil | 06/2018 | USD | 273,920 | 25,169 | |||||||||||||||
34 | Cocoa | 07/2018 | USD | 960,500 | 93,258 | |||||||||||||||
14 | Corn | 07/2018 | USD | 280,525 | 9,209 | |||||||||||||||
25 | Cotton No. 2 | 07/2018 | USD | 1,048,000 | 22,695 | |||||||||||||||
7 | LME Aluminum Base Metal | 07/2018 | USD | 395,762 | 46,748 | |||||||||||||||
20 | Soybean | 07/2018 | USD | 1,048,500 | 17,579 |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 97 |
JPMorgan Managed Futures Strategy ETF
CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION)($) | |||||||||||||||
2 | Wheat | 07/2018 | USD | 51,050 | 3,994 | |||||||||||||||
9 | Live Cattle | 08/2018 | USD | 376,290 | (26,467 | ) | ||||||||||||||
|
| |||||||||||||||||||
272,562 | ||||||||||||||||||||
|
| |||||||||||||||||||
Short Contracts | ||||||||||||||||||||
(5 | ) | CAC 40 10 Euro Index | 05/2018 | EUR | (329,767 | ) | (8,881 | ) | ||||||||||||
(10 | ) | IBEX 35 Index | 05/2018 | EUR | (1,200,514 | ) | (24,384 | ) | ||||||||||||
(8 | ) | LME Aluminum Base Metal | 05/2018 | USD | (452,700 | ) | (56,600 | ) | ||||||||||||
(7 | ) | LME Nickel Base Metal | 05/2018 | USD | (571,242 | ) | (21,105 | ) | ||||||||||||
(30 | ) | Natural Gas | 05/2018 | USD | (828,900 | ) | 2,860 | |||||||||||||
(58 | ) | Australia 3 Year Bond | 06/2018 | AUD | (4,843,013 | ) | (2,039 | ) | ||||||||||||
(28 | ) | Canada 10 Year Bond | 06/2018 | CAD | (2,866,623 | ) | 16,084 | |||||||||||||
(2 | ) | DAX Index | 06/2018 | EUR | (758,927 | ) | (21,311 | ) | ||||||||||||
(18 | ) | EURO STOXX 50 Index | 06/2018 | EUR | (752,976 | ) | (33,298 | ) | ||||||||||||
(33 | ) | Euro-Bobl | 06/2018 | EUR | (5,220,455 | ) | (20,338 | ) | ||||||||||||
(7 | ) | Euro-Bund | 06/2018 | EUR | (1,341,861 | ) | (3,673 | ) | ||||||||||||
(9 | ) | FTSE 100 Index | 06/2018 | GBP | (922,684 | ) | (28,833 | ) | ||||||||||||
(17 | ) | Japan 10 Year Bond | 06/2018 | JPY | (23,425,540 | ) | 12,035 | |||||||||||||
(28 | ) | Lean Hogs | 06/2018 | USD | (814,240 | ) | 57,937 | |||||||||||||
(19 | ) | LME Aluminum Base Metal | 06/2018 | USD | (1,075,875 | ) | (124,052 | ) | ||||||||||||
(2 | ) | LME Nickel Base Metal | 06/2018 | USD | (163,452 | ) | 7,230 | |||||||||||||
(5 | ) | LME Zinc Base Metal | 06/2018 | USD | (391,125 | ) | 12,872 | |||||||||||||
(28 | ) | Long Gilt | 06/2018 | GBP | (4,712,830 | ) | (59,978 | ) | ||||||||||||
(8 | ) | Natural Gas | 06/2018 | USD | (224,000 | ) | 3,060 | |||||||||||||
(71 | ) | Sugar No. 11 | 06/2018 | USD | (934,360 | ) | 27,685 | |||||||||||||
(35 | ) | U.S. Treasury 10 Year Note | 06/2018 | USD | (4,184,141 | ) | 19,954 | |||||||||||||
(122 | ) | U.S. Treasury 2 Year Note | 06/2018 | USD | (25,869,719 | ) | 44,406 | |||||||||||||
(75 | ) | U.S. Treasury 5 Year Note | 06/2018 | USD | (8,511,328 | ) | 29,882 | |||||||||||||
(13 | ) | U.S. Treasury Long Bond | 06/2018 | USD | (1,865,500 | ) | 8,846 | |||||||||||||
(28 | ) | Coffee ‘C’ | 07/2018 | USD | (1,289,400 | ) | (55,866 | ) | ||||||||||||
(1 | ) | Copper | 07/2018 | USD | (76,850 | ) | 2,422 | |||||||||||||
(46 | ) | Corn | 07/2018 | USD | (921,727 | ) | (25,825 | ) | ||||||||||||
(4 | ) | LME Aluminum Base Metal | 07/2018 | USD | (226,150 | ) | (2,525 | ) | ||||||||||||
(14 | ) | Silver | 07/2018 | USD | (1,148,070 | ) | 16,313 | |||||||||||||
(24 | ) | Wheat | 07/2018 | USD | (612,600 | ) | (52,608 | ) | ||||||||||||
(9 | ) | Feeder Cattle | 08/2018 | USD | (657,900 | ) | 4,623 | |||||||||||||
(23 | ) | Sugar No. 11 | 09/2018 | USD | (308,862 | ) | 21,569 | |||||||||||||
(16 | ) | Wheat | 09/2018 | USD | (421,000 | ) | (32,560 | ) | ||||||||||||
|
| |||||||||||||||||||
(286,098 | ) | |||||||||||||||||||
|
| |||||||||||||||||||
(13,536 | ) | |||||||||||||||||||
|
|
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
98 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Abbreviations
AUD | — Australian Dollar | |
CAC | — Continuous Assisted Quotation | |
CAD | — Canadian Dollar | |
DAX | — Deutscher Aktien Index | |
EUR | — Euro | |
FTSE | — Financial Times and the London Stock Exchange | |
GBP | — British Pound |
HKD | — Hong Kong Dollar | |
IBEX | — Madrid Stock Exchange | |
JPY | — Japanese Yen | |
LME | — London Metal Exchange | |
MIB | — Milan, Italian Stock Exchange | |
SPI | — Australian Securities Exchange | |
USD | — United States Dollar | |
WTI | — West Texas Intermediate |
Forward foreign currency exchange contracts outstanding as of April 30, 2018: | ||||||||||||||||||||
CURRENCY PURCHASED | CURRENCY SOLD | COUNTERPARTY | SETTLEMENT DATE | UNREALIZED APPRECIATION (DEPRECIATION)($) | ||||||||||||||||
TRY | 1,602,496 | USD | 386,934 | Citibank, NA | 5/25/2018 | 4,554 | ||||||||||||||
USD | 965,085 | AUD | 1,238,047 | Australia & New Zealand Banking Group Ltd. | 5/25/2018 | 32,987 | ||||||||||||||
USD | 984,036 | CAD | 1,241,637 | State Street Corp. | 5/25/2018 | 16,531 | ||||||||||||||
USD | 103,228 | CHF | 100,330 | Merrill Lynch International | 5/25/2018 | 1,781 | ||||||||||||||
USD | 5,197,994 | CHF | 5,023,415 | State Street Corp. | 5/25/2018 | 118,648 | ||||||||||||||
USD | 386,598 | EUR | 311,877 | Australia & New Zealand Banking Group Ltd. | 5/25/2018 | 9,321 | ||||||||||||||
USD | 3,599,817 | EUR | 2,904,012 | TD Bank Financial Group | 5/25/2018 | 86,844 | ||||||||||||||
USD | 434,244 | HUF | 108,847,013 | Goldman Sachs International | 5/25/2018 | 14,668 | ||||||||||||||
USD | 418,050 | ILS | 1,468,284 | State Street Corp. | 5/25/2018 | 9,484 | ||||||||||||||
USD | 420,702 | KRW | 446,356,214 | Merrill Lynch International** | 5/25/2018 | 3,773 | ||||||||||||||
USD | 5,013,617 | SEK | 41,999,327 | Citibank, NA | 5/25/2018 | 208,714 | ||||||||||||||
USD | 108,388 | SEK | 919,823 | Credit Suisse International | 5/25/2018 | 3,156 | ||||||||||||||
USD | 420,204 | THB | 13,117,304 | Societe Generale | 5/25/2018 | 4,307 | ||||||||||||||
USD | 420,683 | TWD | 12,317,595 | Merrill Lynch International** | 5/25/2018 | 3,974 | ||||||||||||||
|
| |||||||||||||||||||
Total unrealized appreciation | 518,742 | |||||||||||||||||||
|
| |||||||||||||||||||
AUD | 879,007 | USD | 676,249 | Australia & New Zealand Banking Group Ltd. | 5/25/2018 | (14,463 | ) | |||||||||||||
AUD | 276,310 | USD | 212,688 | Goldman Sachs International | 5/25/2018 | (4,660 | ) | |||||||||||||
EUR | 311,877 | USD | 377,494 | Goldman Sachs International | 5/25/2018 | (218 | ) | |||||||||||||
GBP | 1,239,745 | USD | 1,762,222 | Merrill Lynch International | 5/25/2018 | (53,582 | ) | |||||||||||||
INR | 27,482,333 | USD | 415,870 | Goldman Sachs International** | 5/25/2018 | (3,673 | ) | |||||||||||||
JPY | 228,217,898 | USD | 2,129,445 | Australia & New Zealand Banking Group Ltd. | 5/25/2018 | (38,535 | ) | |||||||||||||
MXN | 7,966,423 | USD | 435,961 | Citibank, NA | 5/25/2018 | (11,618 | ) | |||||||||||||
NOK | 34,380,107 | USD | 4,436,557 | Citibank, NA | 5/25/2018 | (147,493 | ) | |||||||||||||
NOK | 863,663 | USD | 108,798 | Merrill Lynch International | 5/25/2018 | (1,052 | ) | |||||||||||||
NZD | 1,023,261 | USD | 748,134 | Societe Generale | 5/25/2018 | (28,240 | ) | |||||||||||||
RUB | 23,660,645 | USD | 385,064 | Goldman Sachs International** | 5/25/2018 | (10,434 | ) | |||||||||||||
ZAR | 4,965,421 | USD | 413,265 | Citibank, NA | 5/25/2018 | (16,225 | ) | |||||||||||||
|
| |||||||||||||||||||
Total unrealized depreciation | (330,193 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
Net unrealized appreciation | 188,549 | |||||||||||||||||||
|
|
** | — Non-deliverable forward. See Note 2.C.(2). in the Notes to Financial Statements. |
Abbreviations
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
EUR | — Euro | |
GBP | — British Pound | |
HUF | — Hungarian Forint | |
ILS | — Israeli Shekel | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
KRW | — Korean Republic Won |
MXN | — Mexican Peso | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
RUB | — Russian Ruble | |
SEK | — Swedish Krona | |
THB | — Thai Baht | |
TRY | — New Turkish Lira | |
TWD | — Taiwan Dollar | |
USD | — United States Dollar | |
ZAR | — South African Rand |
SEE NOTES TO CONSOLIDATED FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 99 |
STATEMENTS OF ASSETS AND LIABILITIES
AS OF APRIL 30, 2018 (Unaudited)
JPMorgan Diversified Alternatives ETF (1) | JPMorgan Event Driven ETF | JPMorgan Long/Short ETF | JPMorgan Strategy | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments in non-affiliates, at value | $ | 109,818,717 | $ | 10,103,439 | $ | 13,706,145 | $ | — | ||||||||
Investments in affiliates, at value | 85,343,402 | 16,051,189 | 10,310,159 | 42,045,395 | ||||||||||||
Restricted cash | 1,800 | — | 200 | — | ||||||||||||
Restricted cash for OTC derivatives | 3,450,821 | — | 360,000 | — | ||||||||||||
Cash | 650,389 | 32 | — | 5,821,066 | ||||||||||||
Foreign currency, at value | 2,778,071 | 6,598 | 86,867 | 1,098,823 | ||||||||||||
Deposits at broker for futures contracts | 6,061,000 | — | 248,000 | 2,578,000 | ||||||||||||
Deferred offering costs | — | 8,330 | 25,635 | 21,792 | ||||||||||||
Prepaid Expenses | 77,420 | 1,257 | 2,586 | 35,232 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 456,505 | — | 129,362 | — | ||||||||||||
Dividends from non-affiliates | 47,833 | 2,432 | 7,281 | — | ||||||||||||
Dividends from affiliates | 99,848 | 20,813 | 13,012 | 50,861 | ||||||||||||
Tax reclaims | 8,939 | 920 | 187 | — | ||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 1,830,934 | 4,014 | 3,933 | 518,742 | ||||||||||||
Outstanding swap contracts, at value | 3,956,897 | 70,891 | 171,896 | — | ||||||||||||
Due from Adviser | — | 20,099 | 13,745 | 37,211 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 214,582,576 | 26,290,014 | 25,079,008 | 52,207,122 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 1,521,565 | 189,293 | — | — | ||||||||||||
Variation margin on futures contracts | 303,636 | — | 20,574 | 198,297 | ||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 1,125,633 | — | 3,653 | 330,193 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 56,772 | — | — | — | ||||||||||||
Administration fees | 15,710 | 1,815 | 1,740 | 4,165 | ||||||||||||
Custodian, Accounting and Transfer Agent fees | 3,552 | 5,406 | 8,869 | 4,977 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1,437 | 724 | 322 | 1,332 | ||||||||||||
Professional Fees | 85,657 | 43,369 | 33,291 | 62,767 | ||||||||||||
Outstanding swap contracts, at value | 3,588,377 | 34,471 | 221,385 | — | ||||||||||||
Other | 6,295 | 1,441 | 3,097 | 4,944 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 6,708,634 | 276,519 | 292,931 | 606,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 207,873,942 | $ | 26,013,495 | $ | 24,786,077 | $ | 51,600,447 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Paid-in-Capital | $ | 210,388,145 | $ | 26,295,474 | $ | 26,272,698 | $ | 52,491,618 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 182 | 28,860 | 68,426 | 91,417 | ||||||||||||
Accumulated net realized gains (losses) | (6,397,765 | ) | (319,384 | ) | (762,753 | ) | (1,152,032 | ) | ||||||||
Net unrealized appreciation (depreciation) | 3,883,380 | 8,545 | (792,294 | ) | 169,444 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 207,873,942 | $ | 26,013,495 | $ | 24,786,077 | $ | 51,600,447 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding number of shares | 8,200,000 | 1,050,000 | 1,050,000 | 2,100,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, per share | $ | 25.35 | $ | 24.77 | $ | 23.61 | $ | 24.57 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 107,841,350 | $ | 10,135,294 | $ | 14,395,009 | $ | — | ||||||||
Cost of investments in affiliates | 85,343,402 | 16,051,189 | 10,310,159 | 42,045,395 | ||||||||||||
Cost of foreign currency | 2,806,765 | 6,628 | 88,413 | 1,104,457 |
(1) | Consolidated Statement of Assets and Liabilities. |
SEE NOTES TO FINANCIAL STATEMENTS.
100 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED APRIL 30, 2018 (Unaudited)
JPMorgan Diversified Alternatives ETF (1) | JPMorgan Event Driven ETF (a) | JPMorgan Long/Short ETF (b) | JPMorgan Managed Futures Strategy ETF (c) (1) | |||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||
Dividend income from non-affiliates | $ | 787,738 | $ | 42,144 | $ | 71,016 | $ | — | ||||||||
Dividend income from affiliates | 399,626 | 82,416 | 38,355 | 197,017 | ||||||||||||
Interest income from non-affiliates | 20,965 | 787 | 771 | 8,192 | ||||||||||||
Interest income from affiliates | 863 | — | 14 | 1,349 | ||||||||||||
Foreign taxes withheld | (11,069 | ) | (1,223 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,198,123 | 124,124 | 110,156 | 206,558 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees (Note 3.A) | 580,600 | 80,434 | 39,742 | 115,482 | ||||||||||||
Administration fees (Note 3.B) | 83,873 | 9,116 | 5,630 | 20,064 | ||||||||||||
Interest expense to non-affiliates | 4,911 | — | 173 | 2,693 | ||||||||||||
Interest expense to affiliates | 1,404 | 370 | 58 | 820 | ||||||||||||
Professional fees | 95,167 | 53,857 | 37,014 | 90,936 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 7,939 | 1,701 | 1,091 | 7,124 | ||||||||||||
Printing and mailing costs | 17,091 | 15,023 | 2,589 | 2,609 | ||||||||||||
Registration and filing fees | 14,249 | 8,532 | 5,885 | 10,225 | ||||||||||||
Custodian, Accounting and Transfer Agent fees (Note 3.C) | 50,156 | 10,269 | 10,254 | 15,068 | ||||||||||||
Insurance expense | 7,006 | 903 | 636 | 1,704 | ||||||||||||
Offering costs (Note 2.D) | — | 5,944 | 9,278 | 14,363 | ||||||||||||
Other | 26,975 | 1,057 | 863 | 4,452 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 889,371 | 187,206 | 113,213 | 285,540 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived (Note 3.E) | (188,097 | ) | (89,550 | ) | (45,372 | ) | (135,546 | ) | ||||||||
Less expense reimbursements from affiliates (Note 3.E) | — | (15,922 | ) | (25,711 | ) | (49,113 | ) | |||||||||
Less expense reimbursements from non-affiliates (Note 3.C) | (4,400 | ) | (400 | ) | (400 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 696,874 | 81,334 | 41,730 | 100,881 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 501,249 | 42,790 | 68,426 | 105,677 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | (185,283 | ) | (33,218 | ) | (328,371 | ) | (11 | ) | ||||||||
Futures | (2,860,636 | ) | (214,303 | ) | (455,885 | ) | (1,051,870 | ) | ||||||||
Foreign currency transactions | 98,798 | (5,737 | ) | (7,093 | ) | 85,277 | ||||||||||
Forward foreign currency exchange contracts | (465,947 | ) | (22,339 | ) | 4,880 | (185,428 | ) | |||||||||
Swaps | (3,031,985 | ) | (43,787 | ) | 23,716 | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (6,445,053 | ) | (319,384 | ) | (762,753 | ) | (1,152,032 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||||||
Investments in non-affiliates | (1,390,953 | ) | (31,855 | ) | (688,864 | ) | — | |||||||||
Futures | 1,027,108 | — | (53,238 | ) | (13,536 | ) | ||||||||||
Foreign currency translations | (39,039 | ) | (34 | ) | (983 | ) | (5,569 | ) | ||||||||
Forward foreign currency exchange contracts | 863,737 | 4,014 | 280 | 188,549 | ||||||||||||
Swaps | 365,144 | 36,420 | (49,489 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 825,997 | 8,545 | (792,294 | ) | 169,444 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | (5,619,056 | ) | (310,839 | ) | (1,555,047 | ) | (982,588 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | (5,117,807 | ) | $ | (268,049 | ) | $ | (1,486,621 | ) | $ | (876,911 | ) | ||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was November 29, 2017. |
(b) | Commencement of operations was January 23, 2018. |
(c) | Commencement of operations was December 5, 2017. |
(1) | Consolidated Statement of Operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 101 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
JPMorgan Diversified Alternatives ETF (1) | JPMorgan Event Driven ETF | |||||||||||
Six Months Ended April 30, 2018 (Unaudited) | Year Ended October 31, 2017 | Period Ended (Unaudited) (a) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||
Net investment income (loss) | $ | 501,249 | $ | 219,103 | $ | 42,790 | ||||||
Net realized gain (loss) | (6,445,053 | ) | (1,206,770 | ) | (319,384 | ) | ||||||
Change in net unrealized appreciation/depreciation | 825,997 | 3,139,492 | 8,545 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | (5,117,807 | ) | 2,151,825 | (268,049 | ) | |||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
From net investment income | (868 | ) | (444,087 | ) | (13,930 | ) | ||||||
From net realized gains | — | (13,545 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Total distributions to shareholders | (868 | ) | (457,632 | ) | (13,930 | ) | ||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets resulting from capital transactions | 59,209,876 | 100,111,115 | 26,295,474 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | 54,091,201 | 101,805,308 | 26,013,495 | |||||||||
Beginning of period | 153,782,741 | 51,977,433 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 207,873,942 | $ | 153,782,741 | $ | 26,013,495 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 182 | $ | (500,199 | ) | $ | 28,860 | |||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Proceeds from shares issued | $ | 59,209,876 | $ | 100,111,115 | $ | 26,295,474 | ||||||
|
|
|
|
|
| |||||||
Total change in net assets resulting from capital transactions | $ | 59,209,876 | $ | 100,111,115 | $ | 26,295,474 | ||||||
|
|
|
|
|
| |||||||
SHARE TRANSACTIONS: | ||||||||||||
Issued | 2,300,000 | 3,850,000 | 1,050,000 | |||||||||
|
|
|
|
|
| |||||||
Net increase in shares from share transactions | 2,300,000 | 3,850,000 | 1,050,000 | |||||||||
|
|
|
|
|
|
(a) | Commencement of operations was November 29, 2017. |
(1) | Consolidated Statement of Changes in Net Assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
JPMorgan Long/Short ETF | JPMorgan Managed Futures Strategy ETF (1) | |||||||
Period Ended April 30, 2018 (Unaudited) (a) | Period Ended April 30, 2018 (Unaudited) (b) | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 68,426 | $ | 105,677 | ||||
Net realized gain (loss) | (762,753 | ) | (1,152,032 | ) | ||||
Change in net unrealized appreciation/depreciation | (792,294 | ) | 169,444 | |||||
|
|
|
| |||||
Change in net assets resulting from operations | (1,486,621 | ) | (876,911 | ) | ||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
From net investment income | — | (14,260 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | — | (14,260 | ) | |||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 26,272,698 | 52,491,618 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 24,786,077 | 51,600,447 | ||||||
Beginning of period | — | — | ||||||
|
|
|
| |||||
End of period | $ | 24,786,077 | $ | 51,600,447 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 68,426 | $ | 91,417 | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Proceeds from shares issued | $ | 26,272,698 | $ | 52,491,618 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 26,272,698 | $ | 52,491,618 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Issued | 1,050,000 | 2,100,000 | ||||||
|
|
|
| |||||
Net increase in shares from share transactions | 1,050,000 | 2,100,000 | ||||||
|
|
|
|
(a) | Commencement of operations was January 23, 2018. |
(b) | Commencement of operations was December 5, 2017. |
(1) | Consolidated Statement of Changes in Net Assets. |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 103 |
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain (loss) | Total distributions | ||||||||||||||||||||||
JPMorgan Diversified Alternatives ETF (1) | ||||||||||||||||||||||||||||
Six Months Ended April 30, 2018 (Unaudited) | $ | 26.06 | $ | 0.07 | $ | (0.78 | ) | $ | (0.71 | ) | $ | — | (h) | $ | — | $ | — | (h) | ||||||||||
Year Ended October 31, 2017 | 25.35 | 0.07 | 0.86 | 0.93 | (0.21 | ) | (0.01 | ) | (0.22 | ) | ||||||||||||||||||
September 12, 2016(a) through October 31, 2016 | 25.00 | (0.02 | ) | 0.37 | 0.35 | — | — | — | ||||||||||||||||||||
JPMorgan Event Driven ETF | ||||||||||||||||||||||||||||
November 29, 2017(a) through April 30, 2018 (Unaudited) | 25.00 | 0.04 | (0.26 | ) | (0.22 | ) | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||
JPMorgan Long/Short ETF | ||||||||||||||||||||||||||||
January 23, 2018(a) through April 30, 2018 (Unaudited) | 25.00 | 0.07 | (1.46 | ) | (1.39 | ) | — | — | — | |||||||||||||||||||
JPMorgan Managed Futures Strategy ETF (1) | ||||||||||||||||||||||||||||
December 5, 2017(a) through April 30, 2018 (Unaudited) | 25.00 | 0.05 | (0.47 | ) | (0.42 | ) | (0.01 | ) | — | (0.01 | ) |
(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 period indicated. |
(h) | Amount rounds to less than $0.005. |
(1) | Consolidated Statement of Financial Highlights. |
SEE NOTES TO FINANCIAL STATEMENTS.
104 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
| Ratios/Supplemental data | |||||||||||||||||||||||||||||||||
Ratios to average net assets (f) | ||||||||||||||||||||||||||||||||||
Net asset | Market price, end of period | Total return (c)(d) | Market total | Net assets, end of | Net expenses | Net income | Expenses without waivers and reimbursements | Portfolio turnover rate (c) | ||||||||||||||||||||||||||
$ | 25.35 | $ | 25.42 | (2.72 | )% | (2.57 | )% | $ | 207,873,942 | 0.72 | % | 0.52 | % | 0.92 | % | 83 | % | |||||||||||||||||
26.06 | 26.09 | 3.68 | 3.51 | 153,782,741 | 0.76 | 0.25 | 1.31 | 107 | ||||||||||||||||||||||||||
25.35 | 25.42 | 1.44 | 1.68 | 51,977,433 | 0.85 | (g) | 0.47 | 6.65 | (g) | 5 | ||||||||||||||||||||||||
24.77 | 24.83 | (0.87 | ) | (0.63 | ) | 26,013,495 | 0.72 | (g) | 0.40 | 1.70 | (g) | 102 | ||||||||||||||||||||||
23.61 | 23.71 | (5.56 | ) | (5.31 | ) | 24,786,077 | 0.56 | (g) | 1.10 | 1.71 | (g) | 53 | ||||||||||||||||||||||
24.57 | 24.70 | (1.69 | ) | (1.17 | ) | 51,600,447 | 0.46 | (g) | 0.52 | 1.37 | (g) | — |
SEE NOTES TO FINANCIAL STATEMENTS.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 105 |
AS OF APRIL 30, 2018 (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 4 separate funds of the Trust (collectively, the “Funds”) covered by this report:
Diversified/Non-Diversified | ||
JPMorgan Diversified Alternatives ETF | Diversified | |
JPMorgan Event Driven ETF | Diversified | |
JPMorgan Long/Short ETF | Diversified | |
JPMorgan Managed Futures Strategy ETF | Non-Diversified |
JPMorgan Diversified Alternatives ETF (the “Diversified Alternatives ETF”) commenced operations on September 12, 2016. The investment objective of the Fund is to seek to provide long-term total return.
JPMorgan Event Driven ETF (the “Event Driven ETF”) commenced operations on November 29, 2017. The investment objective of the Fund is to seek to provide long-term total return.
JPMorgan Long/Short ETF (the “Long/Short ETF”) commenced operations on January 23, 2018. The investment objective of the Fund is to seek to provide long-term total return.
JPMorgan Managed Futures Strategy ETF (the “Managed Futures Strategy ETF”) commenced operations on December 05, 2017. The investment objective of the Fund is to seek to provide long-term total return.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
Shares of the Funds 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 JPMorgan Distribution Services, Inc. (the “Distributor” or “JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, at NAV in large blocks of shares, typically 50,000 shares for all funds referred to as “Creation Units.” Creation Units are issued and redeemed principally 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”).
Basis for Consolidation
Diversified Alternatives Fund CS Ltd. and Managed Futures Fund CS Ltd. (each, a “Subsidiary”; collectively, the “Subsidiaries”), Cayman Islands exempted companies, incorporated on August 17, 2015 and August 17, 2017, respectively, are currently wholly-owned subsidiaries of the Diversified Alternatives ETF and Managed Futures Strategy ETF, respectively. Each Subsidiary acts as an investment vehicle for its respective Fund in order to effect certain investments on behalf of such Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s prospectus. The consolidated financial statements for these Funds include the accounts of the Funds and the Subsidiaries. Subsequent references to the Funds within the Notes to Consolidated Financial Statements collectively refer to the Funds and the Subsidiaries. All significant intercompany balances and transactions have been eliminated in consolidation.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their consolidated 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 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 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 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 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.
106 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
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 affiliated and unaffiliated 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 instruments are traded before the NAVs of the Funds are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by approved Pricing Services. 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.
Investments in open-end investment companies excluding Exchange-Traded Funds (“ETFs”) (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures are generally valued on the basis of available market quotations. Forward foreign currency contracts, 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 Consolidated Schedules of Portfolio Investments/Schedules of Portfolio Investments (“CSOIs/SOIs”):
Diversified Alternatives ETF
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 193,193,615 | $ | 1,968,504 | $ | — | $ | 195,162,119 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 1,830,934 | $ | — | $ | 1,830,934 | ||||||||
Futures Contracts | 2,683,120 | 53,851 | — | 2,736,971 | ||||||||||||
Swaps | — | 2,200,049 | 65 | 2,200,114 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 2,683,120 | $ | 4,084,834 | $ | 65 | $ | 6,768,019 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,125,633 | ) | $ | — | $ | (1,125,633 | ) | ||||||
Futures Contracts | (1,728,285 | ) | (145,944 | ) | — | (1,874,229 | ) | |||||||||
Swaps | — | (1,199,496 | ) | (3,547 | ) | (1,203,043 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (1,728,285 | ) | $ | (2,471,073 | ) | $ | (3,547 | ) | $ | (4,202,905 | ) | ||||
|
|
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 107 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Event Driven ETF
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 382,510 | $ | — | $ | — | $ | 382,510 | ||||||||
Banks | 151,240 | — | — | 151,240 | ||||||||||||
Biotechnology | 543,108 | — | — | 543,108 | ||||||||||||
Building Products | 407,978 | — | — | 407,978 | ||||||||||||
Capital Markets | 188,512 | — | — | 188,512 | ||||||||||||
Chemicals | 417,357 | — | — | 417,357 | ||||||||||||
Communications Equipment | 108,419 | — | — | 108,419 | ||||||||||||
Electrical Equipment | 191,272 | — | — | 191,272 | ||||||||||||
Electronic Equipment, Instruments & Components | 361,096 | — | — | 361,096 | ||||||||||||
Food Products | 157,040 | — | — | 157,040 | ||||||||||||
Gas Utilities | 379,206 | — | — | 379,206 | ||||||||||||
Health Care Equipment & Supplies | 382,024 | — | — | 382,024 | ||||||||||||
Health Care Providers & Services | 236,511 | — | — | 236,511 | ||||||||||||
Hotels, Restaurants & Leisure | 462,084 | — | — | 462,084 | ||||||||||||
Household Durables | 149,202 | — | — | 149,202 | ||||||||||||
Insurance | 995,344 | — | — | 995,344 | ||||||||||||
IT Services | 659,832 | — | — | 659,832 | ||||||||||||
Machinery | 344,805 | — | — | 344,805 | ||||||||||||
Multi-Utilities | 755,662 | 183,934 | — | 939,596 | ||||||||||||
Oil, Gas & Consumable Fuels | 643,006 | — | — | 643,006 | ||||||||||||
Paper & Forest Products | 290,436 | — | — | 290,436 | ||||||||||||
Personal Products | 190,314 | — | — | 190,314 | ||||||||||||
Pharmaceuticals | 81,775 | — | — | 81,775 | ||||||||||||
Real Estate Management & Development | 158,585 | — | — | 158,585 | ||||||||||||
Semiconductors & Semiconductor Equipment | 726,650 | — | — | 726,650 | ||||||||||||
Software | 153,890 | — | — | 153,890 | ||||||||||||
Specialty Retail | 241,252 | — | — | 241,252 | ||||||||||||
Technology Hardware, Storage & Peripherals | 160,395 | — | — | 160,395 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 9,919,505 | 183,934 | — | 10,103,439 | ||||||||||||
Short-Term Investment |
| |||||||||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Company | 16,051,189 | — | — | 16,051,189 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 25,970,694 | $ | 183,934 | $ | — | $ | 26,154,628 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 4,014 | $ | — | $ | 4,014 | ||||||||
Swaps | — | 55,104 | — | 55,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | — | $ | 59,118 | $ | — | $ | 59,118 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Swaps | $ | — | $ | (28,970 | ) | $ | — | $ | (28,970 | ) | ||||||
|
|
|
|
|
|
|
|
Long/Short ETF
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities (a) | $ | 24,016,304 | $ | — | $ | — | $ | 24,016,304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 3,933 | $ | — | $ | 3,933 | ||||||||
Futures Contracts | — | 17,889 | — | 17,889 | ||||||||||||
Swaps | — | 156,723 | — | 156,723 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | — | $ | 178,545 | $ | — | $ | 178,545 | ||||||||
|
|
|
|
|
|
|
|
108 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Long/Short ETF (continued)
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (3,653 | ) | $ | — | $ | (3,653 | ) | ||||||
Futures Contracts | (5,342 | ) | (65,785 | ) | — | (71,127 | ) | |||||||||
Swaps | — | (212,041 | ) | — | (212,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (5,342 | ) | $ | (281,479 | ) | $ | — | $ | (286,821 | ) | |||||
|
|
|
|
|
|
|
|
Managed Futures Strategy ETF
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | $ | 42,045,395 | $ | — | $ | — | $ | 42,045,395 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 42,045,395 | $ | — | $ | — | $ | 42,045,395 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 518,742 | $ | — | $ | 518,742 | ||||||||
Futures Contracts | 811,780 | 37,012 | — | 848,792 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Appreciation in Other Financial Instruments | $ | 811,780 | $ | 555,754 | $ | — | $ | 1,367,534 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments | ||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (330,193 | ) | $ | — | $ | (330,193 | ) | ||||||
Futures Contracts | (745,047 | ) | (117,281 | ) | — | (862,328 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total Depreciation in Other Financial Instruments | $ | (745,047 | ) | $ | (447,474 | ) | $ | — | $ | (1,192,521 | ) | |||||
|
|
|
|
|
|
|
|
(a) | All portfolio holdings designated as level 1 are disclosed individually on the CSOI/SOI. |
Transfers between fair value levels are valued utilizing values as of the beginning of the period.
There were no significant transfers among any levels during the period ended April 30, 2018 for Diversified Alternatives ETF.
There were no transfers among any levels during the period ended April 30, 2018 for Event Driven ETF, Long/Short ETF and Managed Futures Strategy ETF.
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, as amended (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 asset values of the Funds.
As of April 30, 2018, 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. Derivatives — The Funds used derivative instruments including futures, forward foreign currency exchange contracts and swaps, in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds may be subject to various risks from the use of derivatives including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Consolidated Statements of Assets and Liabilities/Statements of Assets and Liabilities (CSAL/SAL).
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Funds in the event the Funds’ net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Funds to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 109 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
credit rating below a specified level). Such rights for both a counterparty and the Funds often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Funds. The ISDA agreements give the Funds and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Funds.
Notes C(1) — C(3) below describe the various derivatives used by the Funds.
(1). Futures Contracts — The Funds used index, commodities and treasury futures contracts to obtain long and short exposure to the underlying commodities markets, to gain or reduce exposure to the stock market, to gain or reduce exposure to particular countries or regions, maintain liquidity, minimize transaction costs or to manage and hedge interest rate risk associated with portfolio investments.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Consolidated Statement of Operations/Statement of Operations (“CSOP/SOP”). Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the CSOP/SOP at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the CSOI/SOIs and cash deposited is recorded on the CSAL/SAL. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the CSAL/SAL.
The use of futures contracts exposes the Funds to interest rate risk. The Funds may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Funds to risk of loss in excess of the amounts shown on the CSAL/SAL, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Funds’ credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).
(2). Forward Foreign Currency Exchange Contracts — The Funds may be exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Funds 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 entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. dollars 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 Funds record 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 Funds also record 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.
These 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).
The Funds may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.
(3). Swaps — The Diversified Alternatives ETF, Event Driven ETF and Long/Short ETF engaged in various swap transactions, including total return swaps and total return basket swaps, to manage credit and total return risks within their respective portfolios. The Funds also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between a fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.
Upfront payments made and/or received are recorded as assets or liabilities, respectively, on the CSAL/SAL and amortized over the term of the swap. The value of an OTC swap agreement is recorded as either an asset or a liability on the CSAL/SAL at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Funds are required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the CSOIs/SOIs and cash deposited is recorded on the CSAL/SAL. Daily changes in valuation of centrally cleared swaps, if any, are recorded as a variation margin receivable or payable on the CSAL/SAL. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net unrealized appreciation/depreciation on the CSOP/SOP. A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.
110 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of collateral is subject to minimum threshold amounts. Collateral posted by the Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties cash collateral posted or received by the Funds is reported on the CSAL/SAL as Restricted cash for OTC derivatives.
The Funds’ swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.
Total Return Swaps
The Diversified Alternatives ETF used total return swaps to gain long or short exposure to underlying stock. To the extent the total return of the stock underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Funds will receive a payment from or make a payment to the counterparty. These arrangements involve the periodic exchange of cash flows based on the total return of the underlying stock and interest rate obligations.
Total Return Basket Swaps
The Diversified Alternatives ETF, Event Driven ETF and Long/Short ETF entered into total return basket swap agreements to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of each Fund’s investment strategy.
Under the terms of the agreements, each swap is designed to function as a portfolio of direct investments in long and short equity positions. This means that a Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within each swap. These interest charges and credits are based on defined market rates based on the local currencies of the positions in the portfolio plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly reset. During a reset, any unrealized gains (losses) on positions, accrued financing costs, and net dividends become available for cash settlement between the Fund and the swap counterparty are recorded as Due from/to counterparty for swap contract on the CSAL/SAL and as Net realized gain (loss) on transactions from swaps on the CSOP/SOP.
Each swap involves additional risks than if a Fund had invested in the underlying positions directly including: the risk that changes in the value of each swap may not correlate perfectly with the underlying long and short securities; counterparty risk related to the counterparty’s failure to perform under contract terms; liquidity risk related to the lack of a liquid market for each swap contract, which may limit the ability of a Fund to close out its positions; and, documentation risk relating to disagreement over contract terms. The total return basket swaps consist of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. The Funds’ activities in each total return basket swap are concentrated with a single counterparty. Investing in swaps results in a form of leverage (i.e., a Fund’s risk of loss associated with these instruments may exceed their value as recorded on the CSAL/SAL).
The value of each swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the underlying securities are traded; (ii) financing costs; (iii) the value of dividends; (iv) cash balances within the swap; and (v) other factors, as applicable. The value of each swap is reflected on the CSAL/SAL as Outstanding swap contracts, at value. Changes in the value of each swap are recognized as Change in net unrealized appreciation/depreciation of swaps on the CSOP/SOP.
(4). Summary of Derivatives Information
The following tables present the value of derivatives held as of April 30, 2018, by their primary underlying risk exposure and respective location on the CSAL/SAL:
Diversified Alternatives ETF
Derivative Contract | CSAL Location | |||||||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange | OTC Swaps | Total | ||||||||||||||
Interest rate contracts | Receivables, Net assets — Unrealized Appreciation | $ | 284,484 | $ | — | $ | — | $ | 284,484 | |||||||||
Equity contracts | Receivables, Net assets — Unrealized Appreciation | 822,704 | — | 3,956,897 | 4,779,601 | |||||||||||||
Foreign exchange contracts | Receivables | — | 1,830,934 | — | 1,830,934 | |||||||||||||
Commodity contracts | Receivables, Net assets — Unrealized Appreciation | 1,629,783 | — | — | 1,629,783 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 2,736,971 | $ | 1,830,934 | $ | 3,956,897 | $ | 8,524,802 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Gross Liabilities: | ||||||||||||||||||
Interest rate contracts | Payables, Net assets — Unrealized Depreciation | $ | (325,074 | ) | $ | — | $ | — | $ | (325,074 | ) | |||||||
Equity contracts | Payables, Net assets — Unrealized Depreciation | (167,312 | ) | — | (3,588,377 | ) | (3,755,689 | ) | ||||||||||
Foreign exchange contracts | Payables | — | (1,125,633 | ) | — | (1,125,633 | ) | |||||||||||
Commodity contracts | Payables, Net assets — Unrealized Depreciation | (1,381,843 | ) | — | — | (1,381,843 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (1,874,229 | ) | $ | (1,125,633 | ) | $ | (3,588,377 | ) | $ | (6,588,239 | ) | ||||||
|
|
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 111 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Event Driven ETF
Derivative Contract | SAL Location | |||||||||||||
Gross Assets: | Forward Foreign Currency Exchange Contracts | OTC Swaps | Total | |||||||||||
Equity contracts | Receivables, Net Assets — Unrealized Appreciation | $ | — | $ | 70,891 | $ | 70,891 | |||||||
Foreign exchange contracts | Receivables, Net Assets — Unrealized Appreciation | 4,014 | — | 4,014 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 4,014 | $ | 70,891 | $ | 74,905 | ||||||||
|
|
|
|
|
| |||||||||
Gross Liabilities: | ||||||||||||||
Equity contracts | Payables, Net Assets — Unrealized Depreciation | $ | — | $ | (34,471 | ) | $ | (34,471 | ) | |||||
|
|
|
|
|
|
Long/Short ETF
Derivative Contract | SAL Location | |||||||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | OTC Swaps | Total | ||||||||||||||
Equity contracts | Receivables, Net assets — Unrealized Appreciation | $ | 17,889 | $ | — | $ | 171,896 | $ | 189,785 | |||||||||
Foreign exchange contracts | Receivables | — | 3,933 | — | 3,933 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | 17,889 | $ | 3,933 | $ | 171,896 | $ | 193,718 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Gross Liabilities: | ||||||||||||||||||
Equity contracts | Payables, Net assets — Unrealized Depreciation | $ | (71,127 | ) | $ | — | $ | (221,385 | ) | $ | (292,512 | ) | ||||||
Foreign exchange contracts | Payables | — | (3,653 | ) | — | (3,653 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total | $ | (71,127 | ) | $ | (3,653 | ) | $ | (221,385 | ) | $ | (296,165 | ) | ||||||
|
|
|
|
|
|
|
|
Managed Futures Strategy ETF
Derivative Contract | CSAL Location | |||||||||||||
Gross Assets: | Futures Contracts (a) | Forward Foreign Currency Exchange Contracts | Total | |||||||||||
Interest rate contracts | Receivables, Net assets — Unrealized Appreciation | $ | 162,037 | $ | — | $ | 162,037 | |||||||
Equity contracts | Receivables, Net assets — Unrealized Appreciation | 37,012 | — | 37,012 | ||||||||||
Foreign exchange contracts | Receivables | — | 518,742 | 518,742 | ||||||||||
Commodity contracts | Receivables, Net assets — Unrealized Appreciation | 649,743 | — | 649,743 | ||||||||||
|
|
|
|
|
| |||||||||
Total | $ | 848,792 | $ | 518,742 | $ | 1,367,534 | ||||||||
|
|
|
|
|
| |||||||||
Gross Liabilities: | ||||||||||||||
Interest rate contracts | Payables, Net assets — Unrealized Depreciation | $ | (150,006 | ) | $ | — | $ | (150,006 | ) | |||||
Equity contracts | Payables, Net assets — Unrealized Depreciation | (133,307 | ) | — | (133,307 | ) | ||||||||
Foreign exchange contracts | Payables | — | (330,193 | ) | (330,193 | ) | ||||||||
Commodity contracts | Payables, Net assets — Unrealized Depreciation | (579,015 | ) | — | (579,015 | ) | ||||||||
|
|
|
|
|
| |||||||||
Total | $ | (862,328 | ) | $ | (330,193 | ) | $ | (1,192,521 | ) | |||||
|
|
|
|
|
|
(a) | This amount represents the cumulative appreciation/depreciation of futures contracts as reported on the CSOI/SOI. The CSAL/SAL only reflects the current day variation margin receivable/payable from/to brokers. |
112 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
The following tables present each 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, 2018.
Diversified Alternatives ETF
Counterparty | Gross Amount of Derivative Assets Presented on the CSAL (a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 92,100 | $ | — | $ | — | $ | 92,100 | ||||||||
BNP Paribas SA | 47,742 | — | — | 47,742 | ||||||||||||
Citibank NA | 563,510 | (887 | ) | — | 562,623 | |||||||||||
Goldman Sachs International | 78,666 | (31,091 | ) | — | 47,575 | |||||||||||
HSBC Bank, NA | 132,934 | (132,934 | ) | — | — | |||||||||||
Merrill Lynch International | 61,723 | (61,723 | ) | — | — | |||||||||||
State Street Corp. | 774,779 | (557,024 | ) | — | 217,755 | |||||||||||
TD Bank Financial Group | 79,480 | — | — | 79,480 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,830,934 | $ | (783,659 | ) | $ | — | $ | 1,047,275 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Amount of Derivative Liabilities Presented on the CSAL (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due to Counterparty (not less than zero) | ||||||||||||
Barclays Bank plc | $ | 15,088 | $ | — | $ | — | $ | 15,088 | ||||||||
Citibank NA | 887 | (887 | ) | — | — | |||||||||||
Deutsche Bank AG | 37,439 | — | — | 37,439 | ||||||||||||
Goldman Sachs International | 31,091 | (31,091 | ) | — | — | |||||||||||
HSBC Bank, NA | 234,362 | (132,934 | ) | — | 101,428 | |||||||||||
Merrill Lynch International | 249,742 | (61,723 | ) | — | 188,019 | |||||||||||
State Street Corp. | 557,024 | (557,024 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,125,633 | $ | (783,659 | ) | $ | — | $ | 341,974 | |||||||
|
|
|
|
|
|
|
|
Event Driven ETF
Counterparty | Gross Amount of Derivative Assets Presented on the SAL (a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (not less than zero) | ||||||||||||
State Street Corp. | $ | 4,014 | $ | — | $ | — | $ | 4,014 | ||||||||
|
|
|
|
|
|
|
|
Long/Short ETF
Counterparty | Gross Amount of Derivative Assets Presented on the SAL (a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (not less than zero) | ||||||||||||
Goldman Sachs International | $ | 569 | $ | — | $ | — | $ | 569 | ||||||||
State Street Corp. | 3,364 | — | — | 3,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,933 | $ | — | $ | — | $ | 3,933 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Amount of Derivative Liabilities Presented on the SAL (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due to Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 3,653 | $ | — | $ | — | $ | 3,653 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,653 | $ | — | $ | — | $ | 3,653 | ||||||||
|
|
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 113 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Managed Futures Strategy ETF
Counterparty | Gross Amount of Derivative Assets Presented on the CSAL (a) | Derivatives Available for offset | Collateral Received | Net Amount Due From Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 42,308 | $ | (42,308 | ) | $ | — | $ | — | |||||||
Citibank, NA | 213,268 | (175,336 | ) | — | 37,932 | |||||||||||
Credit Suisse International | 3,156 | — | — | 3,156 | ||||||||||||
Goldman Sachs International | 14,668 | (14,668 | ) | — | — | |||||||||||
Merrill Lynch International | 9,528 | (9,528 | ) | — | — | |||||||||||
Societe Generale | 4,307 | (4,307 | ) | — | — | |||||||||||
State Street Corp. | 144,663 | — | — | 144,663 | ||||||||||||
TD Bank Financial Group | 86,844 | — | — | 86,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 518,742 | $ | (246,147 | ) | $ | — | $ | 272,595 | |||||||
|
|
|
|
|
|
|
| |||||||||
Counterparty | Gross Amount of Derivative Liabilities Presented on the CSAL (a) | Derivatives Available for Offset | Collateral Posted | Net Amount Due to Counterparty (not less than zero) | ||||||||||||
Australia & New Zealand Banking Group Ltd. | $ | 52,998 | $ | (42,308 | ) | $ | — | $ | 10,690 | |||||||
Citibank, NA | 175,336 | (175,336 | ) | — | — | |||||||||||
Goldman Sachs International | 18,985 | (14,668 | ) | — | 4,317 | |||||||||||
Merrill Lynch International | 54,634 | (9,528 | ) | — | 45,106 | |||||||||||
Societe Generale | 28,240 | (4,307 | ) | — | 23,933 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 330,193 | $ | (246,147 | ) | $ | — | $ | 84,046 | |||||||
|
|
|
|
|
|
|
|
The following tables present the effect of derivatives on the CSOP/SOP for the period ended April 30, 2018, by primary underlying risk exposure:
Diversified Alternatives ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the CSOP | ||||||||||||||||||||
Derivative Contract | Futures Contracts | Forward Foreign Contracts | Swaps | Total | ||||||||||||||||
Interest rate contracts | $ | (1,740,146 | ) | $ | — | $ | — | $ | (1,740,146 | ) | ||||||||||
Equity contracts | (1,332,267 | ) | — | (3,031,985 | ) | (4,364,252 | ) | |||||||||||||
Foreign exchange contracts | — | (465,947 | ) | — | (465,947 | ) | ||||||||||||||
Commodity contracts | 211,777 | — | — | 211,777 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (2,860,636 | ) | $ | (465,947 | ) | $ | (3,031,985 | ) | $ | (6,358,568 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the CSOP | ||||||||||||||||||||
Derivative contract | Futures Contracts | Forward Foreign Contracts | Swaps | Total | ||||||||||||||||
Interest rate contracts | $ | 329,236 | $ | — | $ | — | $ | 329,236 | ||||||||||||
Equity contracts | 795,174 | — | 365,144 | 1,160,318 | ||||||||||||||||
Foreign exchange contracts | — | 863,737 | — | 863,737 | ||||||||||||||||
Commodity contracts | (97,302 | ) | — | — | (97,302 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 1,027,108 | $ | 863,737 | $ | 365,144 | $ | 2,255,989 | ||||||||||||
|
|
|
|
|
|
|
|
Event Driven ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the SOP | ||||||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Contracts | Swaps | Total | ||||||||||||||||
Equity Contracts | $ | (214,303 | ) | $ | — | $ | (43,787 | ) | $ | (258,090 | ) | |||||||||
Foreign exchange contracts | — | (22,339 | ) | — | (22,339 | ) | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (214,303 | ) | $ | (22,339 | ) | $ | (43,787 | ) | $ | (280,429 | ) | ||||||||
|
|
|
|
|
|
|
|
114 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the SOP | ||||||||||||||||
Derivative Contracts | Forward Foreign Contracts | Swaps | Total | |||||||||||||
Futures contracts | $ | — | $ | 36,420 | $ | 36,420 | ||||||||||
Foreign exchange contracts | 4,014 | — | 4,014 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total | $ | 4,014 | $ | 36,420 | $ | 40,434 | ||||||||||
|
|
|
|
|
|
Long/Short ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the SOP | ||||||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Contracts | Swaps | Total | ||||||||||||||||
Futures contracts | $ | (455,885 | ) | $ | — | $ | 23,716 | $ | (432,169 | ) | ||||||||||
Foreign exchange contracts | — | 4,880 | — | 4,880 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (455,885 | ) | $ | 4,880 | $ | 23,716 | $ | (427,289 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the SOP | ||||||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Contracts | Swaps | Total | ||||||||||||||||
Futures contracts | $ | (53,238 | ) | $ | — | $ | (49,489 | ) | $ | (102,727 | ) | |||||||||
Foreign exchange contracts | — | 280 | — | 280 | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | (53,238 | ) | $ | 280 | $ | (49,489 | ) | $ | (102,447 | ) | |||||||||
|
|
|
|
|
|
|
|
Managed Futures Strategy ETF
Amount of Realized Gain (Loss) on Derivatives Recognized on the CSOP | ||||||||||||||||
Derivative Contract | Futures Contracts | Forward Foreign Contracts | Total | |||||||||||||
Commodity contracts | $ | 162,602 | $ | — | $ | 162,602 | ||||||||||
Futures contracts | (261,272 | ) | — | (261,272 | ) | |||||||||||
Interest rate contracts | (953,200 | ) | — | (953,200 | ) | |||||||||||
Foreign exchange contracts | — | (185,428 | ) | (185,428 | ) | |||||||||||
|
|
|
|
|
| |||||||||||
Total | $ | (1,051,870 | ) | $ | (185,428 | ) | $ | (1,237,298 | ) | |||||||
|
|
|
|
|
| |||||||||||
Amount of Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized on the CSOP | ||||||||||||||||
Derivative Contracts | Futures Contracts | Forward Foreign Currency Exchange Contracts | Total | |||||||||||||
Commodity contracts | $ | 70,728 | $ | — | $ | 70,728 | ||||||||||
Futures contracts | (96,295 | ) | — | (96,295 | ) | |||||||||||
Interest rate contracts | 12,031 | — | 12,031 | |||||||||||||
Foreign exchange contracts | — | 188,549 | 188,549 | |||||||||||||
|
|
|
|
|
| |||||||||||
Total | $ | (13,536 | ) | $ | 188,549 | $ | 175,013 | |||||||||
|
|
|
|
|
|
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 115 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
Derivatives Volume
The table below discloses the volume of the Funds’ futures contracts and forward foreign currency exchange contracts activity for the period ended April 30, 2018. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
Diversified Alternatives ETF | Event Driven ETF | Long/Short ETF | Managed Futures Strategy ETF | |||||||||||||
Futures Contracts — Equity: | ||||||||||||||||
Average Notional Balance Long | $ | 10,337,833 | $ | — | $ | 3,822,244 | (c) | $ | 9,632,736 | (e) | ||||||
Average Notional Balance Short | 14,424,055 | 7,977,610 | 1,466,742 | (d) | 2,825,056 | (d) | ||||||||||
Ending Notional Balance Long | 2,188,871 | — | 610,926 | 1,660,281 | ||||||||||||
Ending Notional Balance Short | 27,647,333 | — | 2,336,620 | 3,964,869 | ||||||||||||
Futures Contracts — Interest Rate | ||||||||||||||||
Average Notional Balance Long | 118,366,047 | — | — | 71,678,162 | (e) | |||||||||||
Average Notional Balance Short | 137,384,117 | — | — | 99,193,630 | (e) | |||||||||||
Ending Notional Balance Long | 97,465,716 | — | — | 46,650,807 | ||||||||||||
Ending Notional Balance Short | 143,312,066 | — | — | 82,841,011 | ||||||||||||
Futures Contracts — Commodities | ||||||||||||||||
Average Notional Balance Long | 21,553,751 | — | — | 12,427,871 | (e) | |||||||||||
Average Notional Balance Short | 18,827,787 | — | — | 9,607,312 | (e) | |||||||||||
Ending Notional Balance Long | 30,134,719 | — | — | 13,539,599 | ||||||||||||
Ending Notional Balance Short | 26,487,567 | — | — | 11,118,451 | ||||||||||||
Forward Foreign Currency Exchange Contracts: | ||||||||||||||||
Average Settlement Value Purchased | 26,329,516 | 393,595 | (a) | 158,832 | (c) | 10,302,264 | (e) | |||||||||
Average Settlement Value Sold | 36,381,053 | 603,842 | (b) | 204,013 | (c) | 17,241,800 | (e) | |||||||||
Ending Settlement Value Purchased | 42,087,320 | — | 166,899 | 12,488,682 | ||||||||||||
Ending Settlement Value Sold | 62,165,984 | 165,422 | 167,180 | 18,472,644 | ||||||||||||
Total Return Basket Swaps: | ||||||||||||||||
Average Notional Balance Long | 95,464,524 | 15,473,315 | (b) | 18,646,047 | (c) | — | ||||||||||
Average Notional Balance Short | 85,166,892 | 3,055,395 | (b) | 25,802,622 | (c) | — | ||||||||||
Ending Notional Balance Long | 142,773,938 | 18,068,157 | 19,293,361 | — | ||||||||||||
Ending Notional Balance Short | 115,028,112 | 2,983,803 | 27,014,610 | — |
(a) | For the period February 1, 2018 through February 28, 2018. |
(b) | For the period November 29, 2017 through April 30, 2018. |
(c) | For the period January 23, 2018 through April 30, 2018. |
(d) | For the period March 1, 2018 through April 30, 2018. |
(e) | For the period December 5, 2017 through April 30, 2018. |
The Funds’ derivatives contracts held at April 30, 2018 are not accounted for as hedging instruments under GAAP.
D. Offering and Organizational Costs — Total offering costs incurred in connection with the offering of shares of the Funds are amortized on a straight line basis over 12 months from the date the Funds commenced operations. For the period ended April 30, 2018, total offering costs incurred were:
Event Driven ETF (a) | $ | 14,274 | ||
Long/Short ETF (b) | 34,913 | |||
Managed Futures Strategy ETF (c) | 36,155 |
Costs paid in connection with the organization of the Funds, if any, were recorded as an expense at the time the Funds commenced operations and are included as part of Professional fees on the CSOP/SOP. For the period ended April 30, 2018, total offering costs amortized were:
Event Driven ETF (a) | $ | 5,944 | ||
Long/Short ETF (b) | 9,278 | |||
Managed Futures Strategy ETF (c) | 14,363 |
116 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
(a) | Commencement of operations was November 29, 2017. |
(b) | Commencement of operations was January 23, 2018 |
(c) | Commencement of operations was December 5, 2017. |
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 foreign exchange rates from changes in market prices of securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments on the CSOP/SOP.
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 foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the CSOP/SOP.
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 are included in Change in net unrealized appreciation/ depreciation on foreign currency translations on the CSOP/SOP.
F. 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, distributions of net investment income and realized capital gains from the Underlying Funds and ETFs, if any, and dividend expense on securities sold short, are 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.
G. 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.
H. 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 capital gains 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 that as of April 30, 2018, 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.
For Federal income tax purposes, taxable income of each Fund and its Subsidiary are separately calculated. The Subsidiary is classified as a controlled foreign corporation under the Code and its taxable income, including net gains, is included as ordinary income in the calculation of each Fund’s taxable income. Net losses of the Subsidiary are not deductible by each Fund either in the current period or carried forward to future periods.
I. 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.
J. 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.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 117 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser supervises the investments of each Fund and Subsidiary and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Diversified Alternatives ETF | 0.60 | % | ||
Event Driven ETF | 0.75 | % | ||
Long/Short ETF | 0.60 | % | ||
Managed Futures Strategy ETF | 0.50 | % |
Each Subsidiary has entered into separate contracts with the Adviser and its affiliates to provide investment advisory and other services to the Subsidiary. The fee for services to the Subsidiary is accrued daily and paid monthly at an annual rate of 0.60% for the Diversified Alternatives ETF and 0.50% for the Managed Futures Strategy ETF of the Subsidiary’s average daily net assets. The Adviser has agreed to waive the advisory fee that it receives from the Fund in an amount equal to the advisory fee paid to the Adviser by the Subsidiary. This waiver will continue in effect so long as the Fund invests in the Subsidiary and may not be terminated without approval by the Fund’s Board.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.E.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds and the Subsidiaries. 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 (excluding certain funds of funds and money market funds). In consideration for services rendered to each Subsidiary, the Administrator receives a fee accrued daily and paid monthly at an annualized rate of 0.10% of the average daily net assets of the Subsidiary.
The Administrator waived Administration fees as outlined in Note 3.E.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Custodian, Accounting and Transfer Agent Fees — JPMCB provides portfolio custody, accounting and transfer agency services to the Funds. The amounts paid directly to JPMCB by the Funds for custody services are included in the Custodian, Accounting and Transfer Agent fees on the SOP. Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the CSOP/SOP. Prior to March 1, 2018, payments to the custodian were reduced by credits earned by the Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are included in the Custodian, Accounting and Transfer Agent fees on the CSOP/SOP. 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 Fund for these transactions.
For the period ended April 30, 2018, the amount of transaction fees paid by the Authorized Participants that were used to reimburse custodian fees were as follows:
Diversified Alternatives ETF | $ | 4,400 | ||
Event Driven ETF | 400 | |||
Long/Short ETF | 400 | |||
Managed Futures Strategy ETF | — |
Such amounts are included in expense reimbursements from non-affiliates in the CSOP/SOP.
Restricted cash on the CSAL/SAL is cash received from Authorized Participants for the reimbursement of creation and/or redemption of Fund shares.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the CSOP/SOP.
E. Waivers and Reimbursements — The Adviser, Administrator and JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses, inclusive of each Subsidiary (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest 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 | ||||
Diversified Alternatives ETF | 0.85 | % | ||
Event Driven ETF | 0.85 | % | ||
Long/Short ETF | 0.69 | % | ||
Managed Futures Strategy ETF | 0.59 | % |
118 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
The expense limitation agreements were in effect for the period ended April 30, 2018 and are in place until at least February 28, 2022 for the Diversified Alternatives ETF, November 30, 2020 for the Event Driven ETF, January 31, 2021 for the Long/Short ETF and December 31, 2020 for the Managed Futures Strategy ETF.
For the period ended April 30, 2018, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds 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 Fees | Administration Fees | Total | Contractual Reimbursements | |||||||||||||
Diversified Alternatives ETF | $ | 87,231 | $ | 58,154 | $ | 145,385 | $ | — | ||||||||
Event Driven ETF | 69,631 | 9,116 | 78,747 | 15,922 | ||||||||||||
Long/Short ETF | 35,540 | 5,630 | 41,170 | 25,711 | ||||||||||||
Managed Futures Strategy ETF | 89,859 | 20,064 | 109,923 | 49,113 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund.
The amounts of these waivers resulting from investments in these money market funds for the period ended April 30, 2018 were as follows:
Diversified Alternatives ETF | $ | 42,712 | ||
Event Driven ETF | 10,803 | |||
Long/Short ETF | 4,202 | |||
Managed Futures Strategy ETF | 25,623 |
The Diversified Alternatives ETF and Managed Futures Strategy ETF invest in Subsidiaries and, as a result, bear a portion of the expenses incurred by these Subsidiaries. These expenses are reflected in the fees waived shown on the CSOP and are included in the ratios to average net assets shown in the Financial Highlights.
The amounts of these waivers resulting from investments in Subsidiaries for the period ended April 30, 2018 were as follows:
Diversified Alternatives ETF | $ | 101,777 | ||
Managed Futures Strategy ETF (a) | 46,608 |
(a) | Commencement of operations was December 5, 2017. |
F. Distribution Services — 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. JPMDS receives no fees for their distribution services under their respective distribution agreements with the Trust (the “Distribution Agreements”). Although the Trust does not, pay any fees under the Distribution Agreements, JPMIM pays JPMDS for certain distribution related services.
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and the JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the CSOP/SOP.
The Funds may use related party broker-dealers. For the period ended April 30, 2018, the Funds did not incur any brokerage commissions with broker dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 119 |
NOTES TO FINANCIAL STATEMENTS
AS OF APRIL 30, 2018 (Unaudited) (continued)
4. Investment Transactions
During the period ended April 30, 2018, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Diversified Alternatives ETF | $ | 122,186,981 | $ | 79,763,753 | ||||
Event Driven ETF (a) | 18,370,978 | 8,271,031 | ||||||
Long/Short ETF (b) | 20,550,181 | 5,861,914 | ||||||
Managed Futures Strategy ETF (c) | — | — |
(a) | Commencement of operations was November 29, 2017. |
(b) | Commencement of operations was January 23, 2018. |
(c) | Commencement of operations was December 5, 2017. |
During the period ended April 30, 2018, there were no purchases or sales of U.S. Government securities.
For the period ended April 30, 2018, no in-kind transactions associated with creations and redemptions.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities, including each Subsidiary, held at April 30, 2018 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Diversified Alternatives ETF | $ | 193,184,752 | $ | 15,160,672 | (10,665,199 | ) | 4,495,473 | |||||||||
Event Driven ETF | 26,186,483 | 719,774 | (715,823 | ) | 3,951 | |||||||||||
Long/Short ETF | 24,705,167 | 1,480,305 | (2,277,444 | ) | (797,139 | ) | ||||||||||
Managed Futures Strategy ETF | 42,045,395 | 1,367,535 | (1,192,522 | ) | 175,013 |
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.
The Federal income tax unrealized appreciation (depreciation) in value of investment securities includes unrealized depreciation of the Diversified Alternatives ETF’s investment in its Subsidiary of $247,938 and Managed Futures Strategy ETF’s investment in its Subsidiary of $70,729, when if realized is not deductible for income tax purposes.
During the year ended October 31, 2017 the Diversified Alternatives Fund CS Ltd. had approximately $296,000 of losses for tax purposes. The Subsidiary’s loss for the current year is not available to offset its future taxable income.
As of October 31, 2017, the Diversified Alternatives ETF’s had net capital loss carryforwards, with no expiration date, of $120,837.
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. Such Authorized Participants may from time to time hold, of record or beneficially, a substantial percentage of the Funds’ shares outstanding, act as executing or clearing broker for investment transactions on behalf of the Funds. 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. A transaction fee may be imposed to offset transfer and other transaction costs associated with the purchase or redemption of Creation Units.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
120 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
As of April 30, 2018, the Adviser owns shares representing more than 10% of net assets of following Funds:
% Ownership | ||||
Diversified Alternatives ETF | 46 | % | ||
Event Driven ETF | 95 | |||
Long/Short ETF | 95 | |||
Managed Futures Strategy ETF | 95 |
Significant shareholder transactions by the Adviser may impact the Funds’ performance.
By investing in each Subsidiary, The Diversified Alternatives ETF and Managed Futures Strategy ETF are indirectly exposed to the risks associated with the Subsidiary’s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund.
The Funds will employ various alternative investment strategies that involve the use of complicated investment techniques. There is no guarantee that these strategies will succeed and their use may subject the Funds to greater volatility and loss.
Derivatives, including swap agreements, commodity options, futures and options on futures, may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing a Fund to be more volatile than it would be if it had not used derivatives. Derivatives also expose the Funds to counterparty risk and to the credit risk of the derivative counterparty.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with a Fund such as swap and option contracts, credit linked notes, exchange-traded notes and forward foreign currency exchange contracts.
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.
Since the Managed Futures Strategy ETF is non-diversified, it may invest a greater percentage of their assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Funds’ shares being more sensitive to economic results of those issuing the securities.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 121 |
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Fund, you incur ongoing costs, including investment advisory fees, administration fee 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, 2017 and continued to hold your shares at the end of the reporting period, April 30, 2018.
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. The examples do not take into account brokerage commissions that you pay when purchasing or selling shares of the Fund.
Beginning Account Value November 1, 2017 | Ending Account Value April 30, 2018 | Annualized Expense Ratio | Expenses Paid During the Period | |||||||||||||
Diversified Alternatives ETF | ||||||||||||||||
Actual (1) | $ | 1,000.00 | $ | 972.80 | 0.72 | % | $ | 3.52 | ||||||||
Hypothetical (1) | 1,000.00 | 1,021.22 | 0.72 | 3.61 | ||||||||||||
Event Driven ETF | ||||||||||||||||
Actual (2) | $ | 1,000.00 | $ | 991.30 | 0.72 | % | $ | 2.99 | ||||||||
Hypothetical (1) | 1,000.00 | 1,021.22 | 0.72 | 3.61 | ||||||||||||
Long/Short ETF | ||||||||||||||||
Actual (3) | $ | 1,000.00 | $ | 944.40 | 0.56 | % | $ | 1.36 | ||||||||
Hypothetical (1) | 1,000.00 | 1,022.02 | 0.56 | 2.81 | ||||||||||||
Managed Futures Strategy ETF | ||||||||||||||||
Actual (4) | $ | 1,000.00 | $ | 983.10 | 0.46 | % | $ | 1.81 | ||||||||
Hypothetical (1) | 1,000.00 | 1,022.51 | 0.46 | 2.31 |
(1) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the actual period). |
(2) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 152/365 (to reflect the actual period). The Fund commenced operations on November 29, 2017. |
(3) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 97/365 (to reflect the actual period). The Fund commenced operations on January 23, 2018. |
(4) | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 146/365 (to reflect the actual period). The Fund commenced operations on December 5, 2017. |
122 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
BOARD APPROVAL OF INITIAL INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
JPMorgan Event Driven ETF, JPMorgan Long/Short ETF and JPMorgan Managed Futures Strategy ETF
On September 18-19, 2017, the Board of Trustees held an in-person meeting and approved the initial investment advisory agreements (each an “Advisory Agreement” and collectively, the “Advisory Agreements”) for the JPMorgan Event Driven ETF, JPMorgan Long/Short ETF and JPMorgan Managed Futures ETF (the “Funds”). The Advisory Agreements were approved by 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. In connection with the approval of the Advisory Agreements, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser and with counsel to the Trust and independent legal counsel to the Trustees and received a memorandum from independent legal counsel discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees also discussed the proposed Advisory Agreements in 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 each Advisory Agreement.
The Trustees considered information provided with respect to each Fund and the approval of the Advisory Agreement. Each Trustee attributed his or her own evaluation of the significance of 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 applicable Advisory Agreement was fair and reasonable and that the initial approval of the Advisory 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 Advisory Agreements, the Trustees considered the materials furnished specifically in connection with the approval of each Advisory Agreement, as well as other relevant information furnished for the Trustees. 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. The Trustees also considered the investment strategy for each Fund, and the infrastructure supporting the portfolio management teams. In addition, the Trustees considered information about the structure and
distribution strategy of the Funds, how they fit within the Trust’s other fund offerings, and how each will be positioned against peer funds, as identified by management.
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 provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to requests for additional information, 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 services to be provided to each Fund by the Adviser.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” 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 J.P. Morgan Investment Management Inc., in its role as Administrator, will earn from the Funds for providing administrative services. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A., an affiliate of the Adviser, for custody, transfer agency and other related services for each Fund. Additionally, the Trustees considered that any fall-out or ancillary benefits would be comparable to those related to the other funds in the complex.
Economies of Scale
The Trustees considered the extent to which each Fund will benefit from economies of scale. The Trustees noted that neither the proposed investment advisory fee schedule nor the proposed administration agreement for the Funds contain breakpoints. The Trustees considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure for each Fund was reasonable in light of the fee waivers and expense limitations that the Adviser has in place, limiting the overall net expense ratio of each Fund to competitive levels. With respect to fees for administrative services, the Trustees also considered the fact that the Funds would benefit from the economies of scale present in the broader J.P. Morgan fund complex, as the Funds were able to negotiate an administration fee at a level consistent with the lower effective rate currently paid by the J.P. Morgan mutual funds, which includes breakpoints. The Trustees also took into consideration management’s belief that because of such economies of scale, the Funds’ administration fees are lower than what the Funds would have to pay if it was not part of the J.P. Morgan fund complex.
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 123 |
BOARD APPROVAL OF INITIAL INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
Investment Performance
The Trustees considered each Fund’s investment strategy and processes, 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 and compared that rate to the fees charged to mutual funds with similar investment objectives or in similar asset classes managed by the Adviser as well as information prepared by Broadridge Investor Communications Solutions Inc., using data from Lipper Inc. (together, “Broadridge/Lipper”), independent providers of
investment company data, concerning management fee rates paid by other funds in the same Broadridge/Lipper category as the Funds. The Trustees also reviewed information about other projected expenses and the expense ratio for each Fund. The Trustees considered the projected fee waiver and/or expense reimbursement arrangements proposed for each Fund 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 fee 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 fee was reasonable.
124 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited)
JPMorgan Diversified Alternatives 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. The Board also meets specifically to consider investment advisory agreement annual renewals. The Board of Trustees held a meeting in person December 12-13, 2017, at which the Trustees considered the continuation of investment advisory agreement (the “Advisory Agreement”) for JPMorgan Diversified Alternatives ETF (the “Fund”). In advance of the December 12-13, 2017 meeting, the Trustees met on November 3, 2017 to discuss certain information in connection with its consideration of the Advisory Agreement. At the December meeting, the Board reviewed and considered performance, expense and other information for the Fund. 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 Agreement or any of their affiliates, approved the continuation of the Advisory Agreement.
As part of their review of the Advisory Agreement, the Trustees considered and reviewed performance and other information about the Fund received from the Adviser. This information included the Fund’s performance as compared to the performance of its benchmark and analyses by the Adviser of the Fund’s performance. The Adviser also periodically provides comparative information regarding the Fund’s expense ratio and that of its peer groups. 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., using data from Lipper Inc. (together, “Broadridge/Lipper”), independent providers of investment company data. Before voting on the Advisory Agreement, the Trustees reviewed the Advisory Agreement 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 Agreement. The Trustees also discussed the Advisory Agreement 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 the Advisory Agreement.
The Trustees considered information provided with respect to the Fund over the course of the year. Each Trustee attributed his or her own evaluation of the significance of 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 the Fund under the 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 the Fund under its 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 the Fund. The Trustees also considered the investment strategies for the Fund, and the infrastructure supporting the portfolio management team. In addition, the Trustees considered information about the structure and distribution strategies of the Fund, how it fits within the Trust’s fund offerings, and how the Fund is positioned against peer funds, as identified by management. 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 J.P. Morgan Investment Management Inc. in its role as administrator to the Fund (“JPMIM”).
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. 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 Fund, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to requests for additional information, 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 services provided to the 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 Fund. 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 Fund, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation
APRIL 30, 2018 | JPMORGAN EXCHANGE-TRADED FUNDS | 125 |
BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT
(Unaudited) (continued)
methodology developed by the Adviser. The Trustees also recognized that it is difficult to make direct 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. Based upon their review, the Trustees concluded that the profitability to the Adviser under the Advisory Agreement was not unreasonable in light of the services and benefits provided to the Fund.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationships with the Fund.
The Trustees also considered the fees that JPMIM earned from the Fund 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 the Fund.
Economies of Scale
The Trustees considered the extent to which the Fund may benefit from economies of scale. The Trustees noted that the Adviser has implemented a fee waiver and expense limitation (“Fee Cap”), which allow the 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 Fund contain breakpoints, but that fees are competitive with its peer funds. They concluded that the current fee structure was reasonable in light of the Fee Cap that the Adviser has in place which serves to limit the overall net expense ratio of the Fund to competitive levels. With respect to fees for administrative services, the Trustees also considered the fact that the Fund benefits from the economies of scale present in the broader J.P. Morgan fund complex, as the Fund was able to negotiate an administration fee at level consistent with the lower effective rate currently paid by the J.P. Morgan mutual funds, which includes breakpoints. The Trustees also took into consideration management’s belief that because of such economies of scale, the Fund’s administration fee is lower than what the Fund would have to pay if it were not part of the J.P. Morgan fund complex.
Fees Relative to Adviser’s Other Clients
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 the Fund. The Trustees also noted the Adviser’s view that it does not manage any other accounts with a substantially similar investment strategy as that of the Fund. The Trustees concluded that the fee rates charged to the Fund in comparison to those charged to such other clients were reasonable.
Investment Performance
The Trustees considered the Fund’s investment strategy and processes, portfolio management team, and competitive positioning against peer funds, as identified by management. As part of this review, the Trustees also reviewed the Fund’s performance against its benchmark and considered the Fund’s performance information provided at regular Board meetings by the Adviser. After consideration, the Trustees determined that the Fund’s performance was consistent with its investment objective.
Advisory Fee and Expense Ratio
The Trustees considered the contractual advisory fee rate paid by the Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds with the same Broadridge/Lipper investment classification and objective as the Fund (the “Universe”), as well as a subset of funds in the Universe (the “Peer Group”). The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting funds in the Peer Group and Universe. The Trustees recognized that Broadridge/Lipper reported the 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 total expense ratio for the Fund. The Trustees considered the Fee Cap currently in place for the Fund and considered the net advisory fee rate after taking into account such Fee Cap. 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 noted that the Fund’s net advisory fee and actual total expenses were in the first and second quintile, respectively, based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.
126 | JPMORGAN EXCHANGE-TRADED FUNDS | APRIL 30, 2018 |
J.P. Morgan Exchange-Traded Funds are distributed by JPMorgan Distribution Services, Inc., an indirect, wholly-owned subsidiary of JPMorgan Chase & Co.
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 businesses 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., 2018. All rights reserved. April 2018. | SAN-DAETF-418 |
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 13(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.
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.
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. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(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.
(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.
(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/ Joanna M. Gallegos | |
Joanna M. Gallegos | ||
President and Principal Executive Officer | ||
July 9, 2018 |
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/ Joanna M. Gallegos | |
Joanna M. Gallegos | ||
President and Principal Executive Officer | ||
July 9, 2018 |
By: | /s/ Lauren A. Paino | |
Lauren A. Paino | ||
Treasurer and Principal Financial Officer | ||
July 9, 2018 |