JPMorgan Value Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited)
Investments | Shares | Value ($) | ||||||
LONG POSITIONS — 116.2% |
| |||||||
COMMON STOCKS — 114.5% |
| |||||||
Aerospace & Defense — 3.7% |
| |||||||
Arconic, Inc. | 2,960 | 76,960 | ||||||
General Dynamics Corp. (a) | 1,211 | 221,286 | ||||||
Northrop Grumman Corp. | 338 | 126,679 | ||||||
|
| |||||||
424,925 | ||||||||
|
| |||||||
Airlines — 3.8% |
| |||||||
JetBlue Airways Corp.* | 4,000 | 67,000 | ||||||
Southwest Airlines Co. (a) | 6,742 | 364,135 | ||||||
|
| |||||||
431,135 | ||||||||
|
| |||||||
Automobiles — 0.5% |
| |||||||
General Motors Co. | 1,607 | 60,230 | ||||||
|
| |||||||
Banks — 14.1% |
| |||||||
Bank of America Corp. | 8,317 | 242,607 | ||||||
Citizens Financial Group, Inc. | 2,254 | 79,724 | ||||||
Comerica, Inc. | 3,300 | 217,767 | ||||||
East West Bancorp, Inc. | 1,643 | 72,768 | ||||||
KeyCorp (a) | 10,376 | 185,108 | ||||||
Regions Financial Corp. | 2,706 | 42,809 | ||||||
Synovus Financial Corp. | 1,047 | 37,441 | ||||||
TCF Financial Corp. | 960 | 36,547 | ||||||
Umpqua Holdings Corp. | 2,875 | 47,322 | ||||||
US Bancorp | 4,397 | 243,330 | ||||||
Wells Fargo & Co. | 8,284 | 417,845 | ||||||
|
| |||||||
1,623,268 | ||||||||
|
| |||||||
Beverages — 1.8% |
| |||||||
Coca-Cola Co. (The) | 2,030 | 110,513 | ||||||
Constellation Brands, Inc., Class A | 444 | 92,033 | ||||||
|
| |||||||
202,546 | ||||||||
|
| |||||||
Biotechnology — 2.6% |
| |||||||
AbbVie, Inc. | 1,200 | 90,864 | ||||||
Alexion Pharmaceuticals, Inc.* | 262 | 25,660 | ||||||
Celgene Corp.* | 1,522 | 151,135 | ||||||
Regeneron Pharmaceuticals, Inc.* | 100 | 27,740 | ||||||
|
| |||||||
295,399 | ||||||||
|
| |||||||
Capital Markets — 3.2% |
| |||||||
BlackRock, Inc. | 169 | 75,313 | ||||||
Intercontinental Exchange, Inc. | 611 | 56,377 | ||||||
Morgan Stanley (a) | 5,535 | 236,179 | ||||||
|
| |||||||
367,869 | ||||||||
|
| |||||||
Chemicals — 7.1% |
| |||||||
Celanese Corp. | 423 | 51,729 | ||||||
Eastman Chemical Co. (a) | 1,217 | 89,851 | ||||||
FMC Corp. (a) | 6,924 | 607,096 | ||||||
Linde plc (United Kingdom) | 349 | 67,608 | ||||||
|
| |||||||
816,284 | ||||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
Capital One Financial Corp. | 1,554 | 141,383 | ||||||
|
| |||||||
Containers & Packaging — 1.3% |
| |||||||
Crown Holdings, Inc.* | 2,303 | 152,136 | ||||||
|
| |||||||
Diversified Financial Services — 2.8% |
| |||||||
Berkshire Hathaway, Inc., Class B* (a) | 1,536 | 319,519 | ||||||
|
| |||||||
Electric Utilities — 2.6% |
| |||||||
Edison International | 1,253 | 94,501 | ||||||
Exelon Corp. | 4,144 | 200,197 | ||||||
|
| |||||||
294,698 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 7.3% |
| |||||||
Empire State Realty Trust, Inc., Class A | 2,957 | 42,196 | ||||||
Gaming and Leisure Properties, Inc. | 930 | 35,563 | ||||||
JBG SMITH Properties | 3,044 | 119,355 | ||||||
Liberty Property Trust | 1,300 | 66,729 | ||||||
SL Green Realty Corp. | 730 | 59,678 | ||||||
Ventas, Inc. | 3,428 | 250,347 | ||||||
VEREIT, Inc. | 7,000 | 68,460 | ||||||
VICI Properties, Inc. | 2,617 | 59,275 | ||||||
Weingarten Realty Investors | 4,700 | 136,911 | ||||||
|
| |||||||
838,514 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
Sprouts Farmers Market, Inc.* | 3,054 | 59,065 | ||||||
Walmart, Inc. | 1,268 | 150,486 | ||||||
|
| |||||||
209,551 | ||||||||
|
| |||||||
Food Products — 1.6% |
| |||||||
Conagra Brands, Inc. | 1,268 | 38,902 | ||||||
Lamb Weston Holdings, Inc. | 1,945 | 141,441 | ||||||
|
| |||||||
180,343 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.0% |
| |||||||
Becton Dickinson and Co. | 730 | 184,661 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 1,985 | 272,481 | ||||||
|
| |||||||
457,142 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
Cigna Corp. (a) | 1,727 | 262,141 | ||||||
Laboratory Corp. of America Holdings* | 823 | 138,264 | ||||||
|
| |||||||
400,405 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.8% |
| |||||||
Bloomin’ Brands, Inc. | 1,607 | 30,421 | ||||||
Norwegian Cruise Line Holdings Ltd.* | 3,229 | 167,165 | ||||||
Royal Caribbean Cruises Ltd. | 1,184 | 128,263 | ||||||
|
| |||||||
325,849 | ||||||||
|
| |||||||
Household Durables — 2.9% |
| |||||||
Lennar Corp., Class A (a) | 2,284 | 127,561 | ||||||
Mohawk Industries, Inc.* | 907 | 112,532 | ||||||
Whirlpool Corp. | 600 | 95,016 | ||||||
|
| |||||||
335,109 | ||||||||
|
| |||||||
Household Products — 1.1% |
| |||||||
Energizer Holdings, Inc. | 2,960 | 128,997 | ||||||
|
| |||||||
Insurance — 4.4% |
| |||||||
Everest Re Group Ltd. | 523 | 139,165 | ||||||
Hartford Financial Services Group, Inc. (The) | 873 | 52,913 | ||||||
MetLife, Inc. | 3,103 | 146,337 | ||||||
Prudential Financial, Inc. | 1,000 | 89,950 | ||||||
Travelers Cos., Inc. (The) | 518 | 77,021 | ||||||
|
| |||||||
505,386 | ||||||||
|
|
JPMorgan Value Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
Investments | Shares | Value ($) | ||||||
LONG POSITIONS — continued | ||||||||
Internet & Direct Marketing Retail — 1.2% |
| |||||||
Expedia Group, Inc. | 1,060 | 142,475 | ||||||
|
| |||||||
IT Services — 2.1% |
| |||||||
Cognizant Technology Solutions Corp., Class A | 2,875 | 173,262 | ||||||
Fidelity National Information Services, Inc. | 507 | 67,309 | ||||||
|
| |||||||
240,571 | ||||||||
|
| |||||||
Leisure Products — 0.8% |
| |||||||
Brunswick Corp. | 1,657 | 86,363 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.7% |
| |||||||
PRA Health Sciences, Inc.* | 1,984 | 196,872 | ||||||
|
| |||||||
Machinery — 3.4% |
| |||||||
Deere & Co. | 1,000 | 168,680 | ||||||
Parker-Hannifin Corp. | 507 | 91,569 | ||||||
Stanley Black & Decker, Inc. | 875 | 126,359 | ||||||
|
| |||||||
386,608 | ||||||||
|
| |||||||
Media — 9.7% |
| |||||||
Altice USA, Inc., Class A* | 1,107 | 31,749 | ||||||
Charter Communications, Inc., Class A* (a) | 811 | 334,229 | ||||||
Comcast Corp., Class A (a) | 12,884 | 580,811 | ||||||
Discovery, Inc., Class A* | 930 | 24,766 | ||||||
DISH Network Corp., Class A* | 4,313 | 146,944 | ||||||
|
| |||||||
1,118,499 | ||||||||
|
| |||||||
Metals & Mining — 0.5% |
| |||||||
Alcoa Corp.* | 1,500 | 30,105 | ||||||
Alumina Ltd., ADR (Australia) | 4,731 | 30,704 | ||||||
|
| |||||||
60,809 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.9% |
| |||||||
Chevron Corp. (a) | 2,452 | 290,807 | ||||||
Concho Resources, Inc. | 3,913 | 265,693 | ||||||
Marathon Petroleum Corp. | 1,832 | 111,294 | ||||||
Parsley Energy, Inc., Class A | 2,452 | 41,193 | ||||||
Pioneer Natural Resources Co. (a) | 1,526 | 191,925 | ||||||
|
| |||||||
900,912 | ||||||||
|
| |||||||
Pharmaceuticals — 5.4% |
| |||||||
Allergan plc (a) | 523 | 88,016 | ||||||
Bristol-Myers Squibb Co. | 1,099 | 55,730 | ||||||
Eli Lilly & Co. | 1,121 | 125,362 | ||||||
Merck & Co., Inc. (a) | 1,783 | 150,093 | ||||||
Pfizer, Inc. | 5,696 | 204,657 | ||||||
|
| |||||||
623,858 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
Microchip Technology, Inc. | 600 | 55,746 | ||||||
NXP Semiconductors NV (Netherlands) | 907 | 98,972 | ||||||
ON Semiconductor Corp.* | 4,483 | 86,118 | ||||||
|
| |||||||
240,836 | ||||||||
|
| |||||||
Software — 1.0% |
| |||||||
LogMeIn, Inc. | 638 | 45,272 | ||||||
Microsoft Corp. | 529 | 73,547 | ||||||
|
| |||||||
118,819 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.7% |
| |||||||
Dell Technologies, Inc., Class C* | 1,553 | 80,539 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Kontoor Brands, Inc. | 930 | 32,643 | ||||||
PVH Corp. | 846 | 74,643 | ||||||
|
| |||||||
107,286 | ||||||||
|
| |||||||
Tobacco — 2.4% |
| |||||||
Altria Group, Inc. | 1,700 | 69,530 | ||||||
Philip Morris International, Inc. | 2,760 | 209,567 | ||||||
|
| |||||||
279,097 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
T-Mobile US, Inc.* | 846 | 66,639 | ||||||
|
| |||||||
TOTAL COMMON STOCKS (Cost $12,427,932) |
| 13,160,871 | ||||||
|
| |||||||
SHORT-TERM INVESTMENTS — 1.7% |
| |||||||
INVESTMENT COMPANIES — 1.7% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 2.17% (b) (c) (Cost $195,575) | 195,516 | 195,574 | ||||||
|
| |||||||
TOTAL LONG POSITIONS (Cost $12,623,507) |
| 13,356,445 | ||||||
|
| |||||||
SHORT POSITIONS — (18.7)% |
| |||||||
COMMON STOCKS — (18.7)% |
| |||||||
Air Freight & Logistics — (0.6)% |
| |||||||
CH Robinson Worldwide, Inc. | (355 | ) | (30,097 | ) | ||||
Expeditors International of Washington, Inc. | (456 | ) | (33,876 | ) | ||||
|
| |||||||
(63,973 | ) | |||||||
|
| |||||||
Banks — (0.3)% |
| |||||||
First Financial Bankshares, Inc. | (1,015 | ) | (33,830 | ) | ||||
|
| |||||||
Chemicals — (3.4)% |
| |||||||
Albemarle Corp. | (1,636 | ) | (113,735 | ) | ||||
LyondellBasell Industries NV, Class A | (1,412 | ) | (126,332 | ) | ||||
Westlake Chemical Corp. | (2,224 | ) | (145,716 | ) | ||||
|
| |||||||
(385,783 | ) | |||||||
|
| |||||||
Communications Equipment — (0.2)% |
| |||||||
Cisco Systems, Inc. | (397 | ) | (19,616 | ) | ||||
|
| |||||||
Containers & Packaging — (0.5)% |
| |||||||
Ball Corp. | (820 | ) | (59,704 | ) | ||||
|
| |||||||
Electrical Equipment — (1.0)% |
| |||||||
Acuity Brands, Inc. | (856 | ) | (115,380 | ) | ||||
|
|
JPMorgan Value Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
Investments | Shares | Value ($) | ||||||
LONG POSITIONS — continued |
| |||||||
Energy Equipment & Services — (0.2)% |
| |||||||
Helmerich & Payne, Inc. | (634 | ) | (25,404 | ) | ||||
|
| |||||||
Entertainment — (0.3)% |
| |||||||
Live Nation Entertainment, Inc.* | (489 | ) | (32,440 | ) | ||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — (1.8)% |
| |||||||
Iron Mountain, Inc. | (1,466 | ) | (47,484 | ) | ||||
Simon Property Group, Inc. | (652 | ) | (101,484 | ) | ||||
Tanger Factory Outlet Centers, Inc. | (1,948 | ) | (30,155 | ) | ||||
Xenia Hotels & Resorts, Inc. | (1,456 | ) | (30,750 | ) | ||||
|
| |||||||
(209,873 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (2.3)% |
| |||||||
Kroger Co. (The) | (6,998 | ) | (180,408 | ) | ||||
Walgreens Boots Alliance, Inc. | (1,451 | ) | (80,255 | ) | ||||
|
| |||||||
(260,663 | ) | |||||||
|
| |||||||
Health Care Equipment & Supplies — (1.2)% |
| |||||||
Baxter International, Inc. | (523 | ) | (45,747 | ) | ||||
Edwards Lifesciences Corp.* | (227 | ) | (49,919 | ) | ||||
Stryker Corp. | (206 | ) | (44,558 | ) | ||||
|
| |||||||
(140,224 | ) | |||||||
|
| |||||||
Health Care Technology — (0.2)% |
| |||||||
Veeva Systems, Inc., Class A* | (175 | ) | (26,721 | ) | ||||
|
| |||||||
Hotels, Restaurants & Leisure — (0.7)% |
| |||||||
Chipotle Mexican Grill, Inc.* | (15 | ) | (12,607 | ) | ||||
Starbucks Corp. | (826 | ) | (73,035 | ) | ||||
|
| |||||||
(85,642 | ) | |||||||
|
| |||||||
Insurance — (0.8)% |
| |||||||
Globe Life, Inc. | (1,014 | ) | (97,101 | ) | ||||
|
| |||||||
Internet & Direct Marketing Retail — (0.3)% |
| |||||||
Booking Holdings, Inc.* | (16 | ) | (31,402 | ) | ||||
|
| |||||||
IT Services — (0.3)% |
| |||||||
Paychex, Inc. | (404 | ) | (33,439 | ) | ||||
|
| |||||||
Machinery — (0.4)% |
| |||||||
Caterpillar, Inc. | (380 | ) | (47,998 | ) | ||||
|
| |||||||
Multiline Retail — (0.5)% |
| |||||||
Kohl’s Corp. | (608 | ) | (30,193 | ) | ||||
Target Corp. | (293 | ) | (31,325 | ) | ||||
|
| |||||||
(61,518 | ) | |||||||
|
| |||||||
Paper & Forest Products — (0.4)% |
| |||||||
Domtar Corp. | (1,223 | ) | (43,796 | ) | ||||
|
| |||||||
Road & Rail — (0.2)% |
| |||||||
Uber Technologies, Inc.* | (780 | ) | (23,766 | ) | ||||
|
| |||||||
Software — (1.5)% |
| |||||||
Citrix Systems, Inc. | (554 | ) | (53,472 | ) | ||||
Pagerduty, Inc.* | (603 | ) | (17,035 | ) | ||||
Slack Technologies, Inc., Class A* | (757 | ) | (17,963 | ) | ||||
Splunk, Inc.* | (267 | ) | (31,469 | ) | ||||
Trade Desk, Inc. (The), Class A* | (124 | ) | (23,256 | ) | ||||
Zendesk, Inc.* | (319 | ) | (23,249 | ) | ||||
|
| |||||||
(166,444 | ) | |||||||
|
| |||||||
Specialty Retail — (0.4)% |
| |||||||
Bed Bath & Beyond, Inc. | (3,881 | ) | (41,294 | ) | ||||
|
| |||||||
Technology Hardware, Storage & Peripherals — (0.5)% |
| |||||||
Apple, Inc. | (277 | ) | (62,040 | ) | ||||
|
| |||||||
Textiles, Apparel & Luxury Goods — (0.7)% |
| |||||||
Canada Goose Holdings, Inc. (Canada)* | (1,123 | ) | (49,378 | ) | ||||
Lululemon Athletica, Inc.* | (156 | ) | (30,035 | ) | ||||
|
| |||||||
(79,413 | ) | |||||||
|
| |||||||
TOTAL COMMON STOCKS (Proceeds $(2,284,593)) | (2,147,464 | ) | ||||||
|
| |||||||
TOTAL SHORT POSITIONS (Proceeds $(2,284,593)) | (2,147,464 | ) | ||||||
|
| |||||||
Total Investments — 97.5% (Cost $10,338,914) | 11,208,981 | |||||||
Other Assets Less Liabilities — 2.5% |
| 280,614 | ||||||
|
| |||||||
Net Assets — 100.0% |
| 11,489,595 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt |
(a) | All or a portion of the security is segregated for short sales. The total value of securities segregated as collateral is $3,293,775. |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(c) | The rate shown is the current yield as of September 30, 2019. |
* | Non-income producing security. |
JPMorgan Value Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)
A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees of the Trust (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 their market value 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.
J.P. Morgan Investment Management, Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.
Equities are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.
Investments inopen-end investment companies (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following table represents each valuation input as presented on the Schedules of Portfolio Investments (“SOI”):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 13,356,445 | $ | — | $ | — | $ | 13,356,445 | ||||||||
|
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| |||||||||
Total Liabilities for Securities Sold Short (a) | $ | (2,147,464 | ) | $ | — | $ | — | $ | (2,147,464 | ) | ||||||
|
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|
|
(a) | All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers into and out of level 3 for the period ended September 30, 2019.
B. Investment Transactions with Affiliates —The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount in the table below.
For the period ended September 30, 2019 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at September 30, 2019 | Shares at September 30, 2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 2.17% (a) (b) | $ | 508,862 | $ | 1,449,840 | $ | 1,763,049 | $ | (29 | ) | $ | (50 | ) | $ | 195,574 | 195,516 | $ | 2,170 | $ | — | |||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | The rate shown is the current yield as of September 30, 2019. |