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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04236
JPMorgan Trust II
(Exact name of registrant as specified in charter)
270 Park Avenue
New York, NY 10017
(Address of principal executive offices) (Zip code)
Frank J. Nasta
270 Park Avenue
New York, NY 10017
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: June 30
Date of reporting period: July 1, 2010 through June 30, 2011
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
J.P. Morgan Small Cap Funds
June 30, 2011
JPMorgan Dynamic Small Cap Growth Fund
JPMorgan Small Cap Core Fund
JPMorgan Small Cap Equity Fund
JPMorgan Small Cap Growth Fund
JPMorgan Small Cap Value Fund
JPMorgan U.S. Small Company Fund
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Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800)-480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
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AUGUST 8, 2011 (Unaudited)
Dear Shareholder:
Last summer, investors’ optimism about the markets was tempered by a wave of both discouraging U.S. economic data and sovereign debt issues in Europe, which led to a market correction.
|
“Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises. “ |
As we enter the second half of 2011, concerns about softening U.S. economic data persist. While we are encouraged that corporate earnings and profits have continued to grow consistently, spending levels in many areas of the economy remain critically low, which has resulted in tight inventories and pent-up consumer demand. Meanwhile, investors still lack confidence in the ability of the European governments to combat the region’s debt crisis. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger the recent downturn, as August 8, 2011 saw each of the three major U.S. stock indices experience their worst one-day performance since December 1, 2008. The current slowdown in growth should not be viewed as a surprise. Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.
Monetary stimulus and corporate profits move stocks higher
Despite periods of volatility, monetary and fiscal stimulus and strong corporate profits lifted stocks higher over the past year. As of the end of the 12-month reporting period ended June 30, 2011, the S&P 500 Index was at a level of 1,321, an increase of 30.7% from 12 months earlier.
Small cap growth stocks led all style categories for the 12-month reporting period, with the Russell 2000 Growth Index returning 43.5%. For the same period, the Russell Midcap Growth Index returned 43.3%, compared to 35.0% for the Russell 1000 Growth Index. In the value category, the Russell
Midcap Value Index returned 34.3%, outperforming both the Russell 2000 Value Index, which returned 31.4%, and the Russell 1000 Value index, which returned 28.9%.
Most U.S. Treasury yields rise amid softer economic data
In the U.S. bond markets, yields were generally volatile, but longer-term Treasury yields generally rose, while shorter-term yields declined as economic expectations weakened. The yield on the 10-year U.S. Treasury bond rose from 3.0% to 3.2% as of the end of the 12-month reporting period ended June 30, 2011, while yields on the 30-year U.S. Treasury bond increased from 3.9% to 4.4%. Yields on the 2-year U.S. Treasury bond dropped from 0.6% to 0.5% as of the end of the same period.
Is the economic soft patch temporary?
As we enter the second half of 2011, the markets have clearly entered a period of uncertainty. Stocks have been volatile in response to weaker economic growth, as well as concerns over the European sovereign debt crisis, the credit downgrade of U.S.-issued debt, policy tightening in China, and the conclusion of the second round of quantitative easing (QE2) in the U.S. Given these events, it’s not surprising that investors remain largely risk averse, and less than confident about prospects for future growth.
Despite the slowdown and uncertain political environment, however, we do believe that some aspects of our markets and economy—including strong corporate balance sheets and valuations—present potential opportunities for investors. As always, we advise investors to be mindful of continued volatility and other unexpected risks by maintaining a diversified and balanced approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Management Americas
J.P. Morgan Asset Management
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 1 | ||||||
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MARKET OVERVIEW
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
Stocks in most of the world’s capital markets rallied during the twelve months ended June 30, 2011. In the United States, investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis, political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period but stocks still finished with gains.
U.S. stocks, as measured by the S&P 500 Index, returned 30.69% for the twelve months ended June 30, 2011. The Russell 2000 Index, which is comprised of U.S. small-cap stocks, returned 37.41% for the twelve months ended June 30, 2011, while the Russell 2000 Growth Index and the Russell 2000 Value Index returned 43.50% and 31.35%, respectively.
| 2 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 46.48% | |||
| Russell 2000 Growth Index | 43.50% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 376,374 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Dynamic Small Cap Growth Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the technology, producer durables and health care sectors contributed to relative performance, while the Fund’s stock selection in the energy, materials and processing and consumer discretionary sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in NetSuite, Inc., Fortinet, Inc. and BroadSoft, Inc. Shares of NetSuite, Inc., a software and programming company, benefited from investor enthusiasm surrounding the company’s participation in the growing cloud computing industry (cloud computing is a type of computing where shared servers provide resources, software, and data to computers and other devices on demand). Network security provider Fortinet, Inc. posted better-than-expected quarterly results, helped by increased demand for its unified threat management software. Shares of BroadSoft, Inc., a global provider of Internet protocol-based communications services, rose after the company reported strong first-quarter earnings due to higher demand for its communications applications.
Individual detractors from relative performance included the Fund’s positions in OfficeMax, Inc., Petroleum Development Corp. and MedAssets, Inc. Shares of office supplies retailer OfficeMax, Inc. declined after the company reported disappointing quarterly profits, as corporate customers spent less on office supplies and fewer shoppers visited its stores. Shares of Petroleum Development Corp. declined as many investors were disappointed by the lack of production from the company’s oil well in the Niobrara shale oil formation (a shale rock formation located in Northeast Colorado, Northwest Kansas, Southwest Nebraska and Southeast Wyoming). Shares of MedAssets, Inc., which provides technology-enabled products and services to hospitals, declined after the company reported a fourth-quarter loss compared to a profit in the same period a year ago.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest underweight versus the Benchmark was in the materials and processing sector and the Fund’s largest overweight versus the Benchmark was in the technology sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | HEICO Corp. | 1.8 | % | |||||
| 2. | Old Dominion Freight Line, Inc. | 1.6 | ||||||
| 3. | Healthspring, Inc. | 1.4 | ||||||
| 4. | Taleo Corp., Class A | 1.4 | ||||||
| 5. | EnerSys | 1.3 | ||||||
| 6. | Middleby Corp. | 1.3 | ||||||
| 7. | Avis Budget Group, Inc. | 1.3 | ||||||
| 8. | Omnicell, Inc. | 1.3 | ||||||
| 9. | Insulet Corp. | 1.3 | ||||||
| 10. | Wabtec Corp. | 1.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 23.2 | % | ||
| Industrials | 22.0 | |||
| Health Care | 20.4 | |||
| Consumer Discretionary | 16.5 | |||
| Financials | 6.6 | |||
| Energy | 6.2 | |||
| Short-Term Investments | 2.3 | |||
| Materials | 1.5 | |||
| Others (each less than 1.0%) | 1.3 | |||
| * | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 3 | ||||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/19/97 | |||||||||||||||
Without Sales Charge | 46.48 | % | 4.85 | % | 4.74 | % | ||||||||||
With Sales Charge* | 38.83 | 3.73 | 4.18 | |||||||||||||
CLASS B SHARES | 5/19/97 | |||||||||||||||
Without CDSC | 45.67 | 4.24 | 4.24 | |||||||||||||
With CDSC** | 40.67 | 3.90 | 4.24 | |||||||||||||
CLASS C SHARES | 1/7/98 | |||||||||||||||
Without CDSC | 45.59 | 4.23 | 4.11 | |||||||||||||
With CDSC*** | 44.59 | 4.23 | 4.11 | |||||||||||||
SELECT CLASS SHARES | 4/5/99 | 46.91 | 5.25 | 5.15 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Dynamic Small Cap Growth Fund, the Russell 2000 Growth Index and the Lipper Small-Cap Growth Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Russell 2000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Small-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 2000 Growth Index is an unmanaged index which measures the performance of those Russell 2000 companies with higher
price-to-book ratios and higher forecasted growth values. The Lipper Small-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 38.37% | |||
| Russell 2000 Index | 37.41% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 549,530 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Core Fund seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The JPMorgan Small Cap Core Fund (Select Class Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the consumer cyclical and finance sectors contributed to relative performance, while the Fund’s stock selection in the health services and systems and systems hardware sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Tempur-Pedic International, Inc., a mattress manufacturer, and Cash America International, Inc., a financial services provider. Shares of Tempur-Pedic International, Inc. increased after the company reported strong first-quarter results, boosted by better-than-expected mattress sales. Shares of Cash America International, Inc. increased after the company announced better-than-expected first-quarter earnings due to strong loan demand.
Individual detractors from relative performance included the Fund’s positions in THQ, Inc. and Gentiva Health Services, Inc. Shares of THQ, Inc., a developer and publisher of video games, declined on investors’ concerns about the quality of its recent games as well as disappointing sell through (the percentage of video games shipped that are actually sold to consumers). Shares of Gentiva Health Services, Inc., a provider of home health services, declined on investors’ concerns about regulatory changes and potential cuts to home health services as part of federal deficit reduction discussions.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers took limited sector bets and constructed the Fund so that stock selection would be the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers employed a bottom-up approach to stock selection, using quantitative screening and
proprietary analysis to construct a portfolio of, in their view, attractively priced stocks with strong fundamentals.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | GT Solar International, Inc. | 1.0 | % | |||||
| 2. | Cash America International, Inc. | 1.0 | ||||||
| 3. | Portland General Electric Co. | 0.9 | ||||||
| 4. | Dillard’s, Inc., Class A | 0.8 | ||||||
| 5. | Kulicke & Soffa Industries, Inc. | 0.8 | ||||||
| 6. | Tempur-Pedic International, Inc. | 0.8 | ||||||
| 7. | JDA Software Group, Inc. | 0.8 | ||||||
| 8. | World Acceptance Corp. | 0.8 | ||||||
| 9. | Healthspring, Inc. | 0.8 | ||||||
| 10. | Triumph Group, Inc. | 0.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 17.1 | % | ||
| Information Technology | 13.7 | |||
| Consumer Discretionary | 12.7 | |||
| Industrials | 11.7 | |||
| Health Care | 10.2 | |||
| Energy | 5.1 | |||
| Materials | 4.9 | |||
| Utilities | 2.9 | |||
| Consumer Staples | 2.1 | |||
| Telecommunication Services | 1.5 | |||
| U.S. Treasury Obligation | 0.4 | |||
| Short-Term Investment | 17.7 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | 5 YEAR | SINCE INCEPTION | ||||||||||||||||
Select Class Shares | 1/1/97 | 38.37 | % | 7.43 | % | 3.30 | % | 9.78 | % | |||||||||||
TEN YEAR PERFORMANCE (6/30/01 - 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Small Cap Core Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the
Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
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JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 37.77% | |||
| Russell 2000 Index | 37.41% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 2,524,593 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Equity Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the consumer discretionary and producer durables sectors contributed to relative performance, while the Fund’s stock selection and underweight in the energy sector and stock selection in the materials and processing sector detracted from relative performance.
Individual contributors included the Fund’s position in Coventry Health Care, Inc., NetSuite, Inc. and Penn National Gaming, Inc. Shares of Coventry Health Care, Inc. increased after the company reported better-than-expected first-quarter earnings. Shares of NetSuite, Inc., a software and programming company, benefited from investor enthusiasm surrounding the company’s participation in the growing cloud computing industry (cloud computing is a type of computing where shared servers provide resources, software, and data to computers and other devices on demand). Casino and gaming company Penn National Gaming, Inc. reported strong revenue, benefiting from a series of accretive acquisitions.
Among individual detractors, shares of PharMerica Corp., an institutional pharmacy services company, declined on uncertainty surrounding federal health care reform. The Fund’s underweight positions in technology companies Riverbed Technology, Inc. and TIBCO Software, Inc. also detracted from relative performance, as both of these stocks were strong performers in the Benchmark during the reporting period. Shares of Riverbed Technology, Inc. increased after the company increased its expectations for first-quarter earnings. Shares of TIBCO Software, Inc. benefited from the company’s strong sales and profit growth.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals and proprietary analysis. The Fund’s portfolio managers looked for companies that, in their view,
had leading competitive advantages, predictable and durable business models, and sustainable free cash flow generation with management teams committed to increasing intrinsic value.
As a result of this process, the Fund’s largest overweight versus the Benchmark during the reporting period was in the materials and processing sector, while the Fund’s largest underweight versus the Benchmark was in the technology sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Silgan Holdings, Inc. | 2.6 | % | |||||
| 2. | Coventry Health Care, Inc. | 2.6 | ||||||
| 3. | Jarden Corp. | 2.5 | ||||||
| 4. | ProAssurance Corp. | 2.4 | ||||||
| 5. | Waste Connections, Inc. | 2.2 | ||||||
| 6. | Penn National Gaming, Inc. | 2.1 | ||||||
| 7. | TransDigm Group, Inc. | 2.1 | ||||||
| 8. | Papa John’s International, Inc. | 1.9 | ||||||
| 9. | Aptargroup, Inc. | 1.9 | ||||||
| 10. | Patterson-UTI Energy, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Consumer Discretionary | 21.0 | % | ||
| Financials | 20.8 | |||
| Industrials | 15.1 | |||
| Information Technology | 10.8 | |||
| Health Care | 10.7 | |||
| Materials | 9.0 | |||
| Energy | 5.8 | |||
| Utilities | 2.6 | |||
| Consumer Staples | 1.1 | |||
| Telecommunication Services | 0.9 | |||
| Short-Term Investment | 2.2 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/20/94 | |||||||||||||||
Without Sales Charge | 37.77 | % | 8.36 | % | 9.79 | % | ||||||||||
With Sales Charge* | 30.52 | 7.19 | 9.20 | |||||||||||||
CLASS B SHARES | 3/28/95 | |||||||||||||||
Without CDSC | 37.10 | 7.81 | 9.26 | |||||||||||||
With CDSC** | 32.10 | 7.52 | 9.26 | |||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 37.13 | 7.82 | 9.14 | |||||||||||||
With CDSC*** | 36.13 | 7.82 | 9.14 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 37.41 | 8.21 | 9.72 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 38.46 | 8.90 | 10.35 | ||||||||||||
SELECT CLASS SHARES | 5/7/96 | 38.16 | 8.68 | 10.24 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class C Shares prior to their inception date are based on the performance of the Class B Shares, whose expenses are substantially similar to those of Class C Shares. Returns for Class R5 Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares. Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Equity Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The
performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 46.98% | |||
| Russell 2000 Growth Index | 43.50% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 745,480 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Growth Fund (the “Fund”) seeks long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the technology, producer durables and health care sectors contributed to relative performance, while the Fund’s stock selection in the energy, materials and processing and consumer discretionary sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in NetSuite, Inc., Fortinet, Inc. and BroadSoft, Inc. NetSuite, Inc., a software and programming company, benefited from investor enthusiasm surrounding the company’s participation in the growing cloud computing industry (cloud computing is a type of computing where shared servers provide resources, software, and data to computers and other devices on demand). Network security provider Fortinet, Inc. posted better-than-expected quarterly results, helped by increased demand for its unified threat management software. Shares of BroadSoft, Inc., a global provider of Internet protocol-based communications services, rose after the company reported strong third-quarter earnings and increased its earnings outlook due to higher demand for its communications applications.
Individual detractors from relative performance included the Fund’s positions in OfficeMax, Inc., Petroleum Development Corp. and MedAssets, Inc. Shares of office supplies retailer OfficeMax, Inc. declined after the company reported disappointing quarterly profits, as corporate customers spent less on office supplies and fewer shoppers visited its stores. Shares of Petroleum Development Corp. declined as many investors were disappointed by the lack of production from the company’s oil well in the Niobrara shale oil formation (a shale rock formation located in Northeast Colorado, Northwest Kansas, Southwest Nebraska and Southeast Wyoming). Shares of MedAssets, Inc., which provides technology-enabled products and services to hospitals, declined after the company reported a fourth-quarter loss compared to a profit in the same period a year ago.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest underweight versus the Benchmark was in the materials and processing sector and the Fund’s largest overweight versus the Benchmark was in the technology sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | HEICO Corp. | 1.8 | % | |||||
| 2. | Old Dominion Freight Line, Inc. | 1.6 | ||||||
| 3. | Healthspring, Inc. | 1.4 | ||||||
| 4. | Taleo Corp., Class A | 1.4 | ||||||
| 5. | EnerSys | 1.3 | ||||||
| 6. | Middleby Corp. | 1.3 | ||||||
| 7. | Avis Budget Group, Inc. | 1.3 | ||||||
| 8. | Omnicell, Inc. | 1.3 | ||||||
| 9. | Insulet Corp. | 1.3 | ||||||
| 10. | Wabtec Corp. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 23.5 | % | ||
| Industrials | 22.2 | |||
| Health Care | 20.6 | |||
| Consumer Discretionary | 16.7 | |||
| Financials | 6.6 | |||
| Energy | 6.3 | |||
| Materials | 1.5 | |||
| Others (each less than 1.0%) | 1.4 | |||
| Short-Term Investments | 1.2 | |||
| * | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 7/1/91 | |||||||||||||||
Without Sales Charge | 46.98 | % | 6.74 | % | 6.99 | % | ||||||||||
With Sales Charge* | 39.24 | 5.59 | 6.41 | |||||||||||||
CLASS B SHARES | 9/12/94 | |||||||||||||||
Without CDSC | 46.14 | 6.08 | 6.39 | |||||||||||||
With CDSC** | 41.14 | 5.76 | 6.39 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 46.16 | 6.12 | 6.30 | |||||||||||||
With CDSC*** | 45.16 | 6.12 | 6.30 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 46.55 | 6.47 | 6.24 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 47.54 | 7.16 | 7.35 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 2/19/05 | 47.42 | 7.14 | 7.34 | ||||||||||||
SELECT CLASS SHARES | 3/26/96 | 47.28 | 6.98 | 7.25 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Institutional Class Shares and Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns for Institutional Class Shares and Class R6 Shares would have been different than those shown because Institutional Class Shares have different expenses than Select Class Shares. Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Growth Fund, the Russell 2000 Growth Index and the Lipper Small-Cap Growth Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Russell 2000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Small-Cap Growth Funds Index
includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 2000 Growth Index is an unmanaged index which measures the performance of those Russell 2000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Small-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 10 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 31.86% | |||
| Russell 2000 Value Index | 31.35% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 572,377 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Value Fund (the “Fund”) seeks long-term capital growth primarily by investing in equity securities of small-capitalization companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 2000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the retail and software and services sectors contributed to relative performance, while the Fund’s stock selection in the insurance and basic materials sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Dillard’s, Inc., a U.S. department store chain, and TIBCO Software, Inc., a software and programming company. Shares of Dillard’s, Inc. benefited after the company reported strong same-store sales (a statistic used by retailers that compares sales of a company’s stores that have been open for a year or more) and reported better-than-expected earnings per share due to improving gross margins. Investors also reacted favorably to its announced stock repurchase plan. Shares of TIBCO Software, Inc. benefited from the company’s strong sales and profit growth.
Individual detractors from relative performance included the Fund’s positions in Horizon Lines, Inc. and Spartech Corp. Shares of Horizon Lines, Inc. declined after the shipping company announced that it may be forced to seek bankruptcy protection. Subsequently, the Fund exited its position in Horizon Lines, Inc. during the reporting period. Shares of Spartech Corp., a producer of engineered plastic and rubber products, declined as rising prices for raw materials hurt the company’s profits. In addition, the company fired and replaced its chief executive officer for the third time in five years.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers took limited sector bets and constructed the Fund so that stock selection would be the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers used a quantitative
ranking methodology to identify stocks in each sector that, in their view, were trading at attractively valued levels. Through bottom-up fundamental research, they sought companies that exhibited high earnings quality and had management teams that made effective capital deployment decisions.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Magellan Health Services, Inc. | 1.3 | % | |||||
| 2. | Capstead Mortgage Corp. | 1.1 | ||||||
| 3. | Anworth Mortgage Asset Corp. | 1.1 | ||||||
| 4. | CBL & Associates Properties, Inc. | 1.0 | ||||||
| 5. | Dillard’s, Inc., Class A | 1.0 | ||||||
| 6. | Nicor, Inc. | 1.0 | ||||||
| 7. | World Acceptance Corp. | 1.0 | ||||||
| 8. | Coherent, Inc. | 1.0 | ||||||
| 9. | Worthington Industries, Inc. | 1.0 | ||||||
| 10. | Comtech Telecommunications Corp. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 32.2 | % | ||
| Industrials | 14.0 | |||
| Consumer Discretionary | 12.8 | |||
| Information Technology | 11.5 | |||
| Utilities | 6.6 | |||
| Health Care | 6.2 | |||
| Materials | 5.0 | |||
| Energy | 4.7 | |||
| Consumer Staples | 3.5 | |||
| Others (each less than 1.0%) | 1.0 | |||
| Short-Term Investments | 2.5 | |||
| * | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 1/27/95 | |||||||||||||||
Without Sales Charge | 31.56 | % | 3.13 | % | 7.97 | % | ||||||||||
With Sales Charge* | 24.61 | 2.03 | 7.39 | |||||||||||||
CLASS B SHARES | 1/27/95 | |||||||||||||||
Without CDSC | 30.75 | 2.49 | 7.39 | |||||||||||||
With CDSC** | 25.75 | 2.13 | 7.39 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 30.72 | 2.50 | 7.26 | |||||||||||||
With CDSC*** | 29.72 | 2.50 | 7.26 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 31.22 | 2.88 | 7.68 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 31.95 | 3.49 | 8.29 | ||||||||||||
CLASS R6 SHARES | 2/22/05 | 32.06 | 3.53 | 8.33 | ||||||||||||
SELECT CLASS SHARES | 1/27/95 | 31.86 | 3.39 | 8.23 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of the Select Class Shares, the original class offered. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 Shares and Class R6 Shares would have been different than those shown because Class R5 Shares and Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Small Cap Value Fund, the Russell 2000 Value Index and the Lipper Small-Cap Value Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 2000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Small-Cap
Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 2000 Value Index is an unmanaged index which measures the performance of those Russell 2000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Small-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 37.58% | |||
| Russell 2000 Index | 37.41% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 69,151 | ||
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the retail and industrial cyclical sectors contributed to relative performance, while the Fund’s stock selection in the basic materials and systems hardware sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Dillard’s, Inc., a U.S. department store chain, and Sauer-Danfoss Inc., a mechanical components manufacturer. Shares of Dillard’s, Inc. benefited after the company reported strong same-store sales (a statistic used by retailers that compares sales of a company’s stores that have been open for a year or more) and reported better-than-expected earnings per share due to improving gross margins. Investors also reacted favorably to its announced stock repurchase plan. Shares of Sauer-Danfoss Inc. increased after the company announced that it expected an increase in its fiscal 2011 sales.
Individual detractors from relative performance included the Fund’s positions in Spartech Corp., a producer of engineered plastic and rubber products, and New York-based bank Suffolk Bancorp. Shares of Spartech Corp. declined as rising prices for raw materials hurt the company’s profits. In addition, the company fired and replaced its chief executive officer for the third time in five years. Shares of Suffolk Bancorp declined due to weak credit results.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers took limited sector bets and constructed the Fund so that stock selection would be the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers used a quantitative ranking methodology to identify stocks in each sector that, in their view, were trading at attractively valued levels. Through
bottom-up fundamental research, they sought companies that exhibited high earnings quality and had management teams that made effective capital deployment decisions.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Greatbatch, Inc. | 1.2 | % | |||||
| 2. | Affymetrix, Inc. | 1.2 | ||||||
| 3. | Nordson Corp. | 1.2 | ||||||
| 4. | Sauer-Danfoss, Inc. | 1.2 | ||||||
| 5. | Finish Line, Inc. (The), Class A | 1.1 | ||||||
| 6. | Dillard’s, Inc., Class A | 1.1 | ||||||
| 7. | Manhattan Associates, Inc. | 1.1 | ||||||
| 8. | Minerals Technologies, Inc. | 1.1 | ||||||
| 9. | JAKKS Pacific, Inc. | 1.0 | ||||||
| 10. | Knoll, Inc. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 19.2 | % | ||
Information Technology | 16.3 | |||
Consumer Discretionary | 14.7 | |||
Industrials | 14.1 | |||
Health Care | 13.3 | |||
Energy | 6.5 | |||
Materials | 4.8 | |||
Utilities | 3.2 | |||
Consumer Staples | 3.1 | |||
Telecommunication Services | 1.6 | |||
U.S. Treasury Obligation | 0.3 | |||
Short-Term Investment | 2.9 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/1/07 | |||||||||||||||
Without Sales Charge | 36.78 | % | 3.91 | % | 4.73 | % | ||||||||||
With Sales Charge* | 29.63 | 2.79 | 4.16 | |||||||||||||
CLASS C SHARES | 11/1/07 | |||||||||||||||
Without CDSC | 36.19 | 3.55 | 4.54 | |||||||||||||
With CDSC** | 35.19 | 3.55 | 4.54 | |||||||||||||
INSTITUTIONAL CLASS SHARES | 11/4/93 | 37.58 | 4.33 | 5.02 | ||||||||||||
SELECT CLASS SHARES | 9/10/01 | 37.27 | 4.14 | 4.84 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on November 4, 1993 and prior to September 7, 2001, operated in a master feeder structure. Returns for the Institutional Class Shares prior to September 7, 2001 are calculated using the historical expenses of an institutional feeder, whose expenses are substantially similar to the expenses of the Institutional Class Shares.
Returns for the Select Class Shares prior to their inception date are calculated using the historical expenses of a retail feeder, that was merged out of existence and whose expenses are substantially similar to the expenses of the Select Class Shares, from June 30, 1999 to September 10, 2001.
Returns for Class A and Class C Shares prior to their inception dates are based on the performance of the Select Class Shares. The actual returns for Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan U.S. Small Company Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all
dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 2000 Index does not reflect the deduction of expenses associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Small-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 2000 Index is an unmanaged index which measures the performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. The Lipper Small-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 14 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.6% |
| ||||||
Consumer Discretionary — 16.5% | ||||||||
Auto Components — 1.0% |
| |||||||
| 61 | Gentex Corp. | 1,853 | ||||||
| 43 | Tenneco, Inc. (a) | 1,890 | ||||||
|
| |||||||
| 3,743 | ||||||||
|
| |||||||
Automobiles — 0.4% |
| |||||||
| 58 | Tesla Motors, Inc. (a) (c) | 1,693 | ||||||
|
| |||||||
Diversified Consumer Services — 2.3% |
| |||||||
| 105 | American Public Education, Inc. (a) (c) | 4,652 | ||||||
| 44 | Sotheby’s | 1,911 | ||||||
| 15 | Strayer Education, Inc. (c) | 1,908 | ||||||
|
| |||||||
| 8,471 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 6.1% |
| |||||||
| 57 | BJ’s Restaurants, Inc. (a) | 2,966 | ||||||
| 306 | Boyd Gaming Corp. (a) (c) | 2,666 | ||||||
| 156 | Bravo Brio Restaurant Group, Inc. (a) | 3,823 | ||||||
| 108 | Gaylord Entertainment Co. (a) | 3,237 | ||||||
| 115 | Life Time Fitness, Inc. (a) | 4,588 | ||||||
| 428 | Morgans Hotel Group Co. (a) | 3,074 | ||||||
| 55 | Vail Resorts, Inc. (c) | 2,550 | ||||||
|
| |||||||
| 22,904 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.5% |
| |||||||
| 52 | HomeAway, Inc. (a) | 2,013 | ||||||
|
| |||||||
Media — 2.3% |
| |||||||
| 35 | Morningstar, Inc. | 2,115 | ||||||
| 227 | National CineMedia, Inc. | 3,841 | ||||||
| 218 | Regal Entertainment Group, Class A | 2,694 | ||||||
|
| |||||||
| 8,650 | ||||||||
|
| |||||||
Specialty Retail — 0.5% |
| |||||||
| 74 | Lumber Liquidators Holdings, Inc. (a) (c) | 1,882 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.4% | ||||||||
| 53 | Deckers Outdoor Corp. (a) | 4,694 | ||||||
| 131 | Oxford Industries, Inc. | 4,422 | ||||||
| 92 | Vera Bradley, Inc. (a) | 3,520 | ||||||
|
| |||||||
| 12,636 | ||||||||
|
| |||||||
Total Consumer Discretionary | 61,992 | |||||||
|
| |||||||
Consumer Staples — 0.7% | ||||||||
Food & Staples Retailing — 0.7% |
| |||||||
| 67 | Fresh Market, Inc. (The) (a) | 2,572 | ||||||
|
| |||||||
Energy — 6.2% |
| |||||||
Energy Equipment & Services — 3.7% | ||||||||
| 25 | CARBO Ceramics, Inc. (c) | 4,005 | ||||||
| 61 | Dril-Quip, Inc. (a) | 4,125 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — Continued | ||||||||
| 177 | Global Geophysical Services, Inc. (a) | 3,142 | ||||||
| 69 | Superior Energy Services, Inc. (a) | 2,578 | ||||||
|
| |||||||
| 13,850 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% |
| |||||||
| 106 | Forest Oil Corp. (a) | 2,820 | ||||||
| 150 | Lone Pine Resources, Inc., (Canada) (a) | 1,596 | ||||||
| 297 | Magnum Hunter Resources Corp. (a) | 2,006 | ||||||
| 103 | Petroleum Development Corp. (a) | 3,091 | ||||||
|
| |||||||
| 9,513 | ||||||||
|
| |||||||
Total Energy | 23,363 | |||||||
|
| |||||||
Financials — 6.6% | ||||||||
Capital Markets — 4.4% |
| |||||||
| 33 | Affiliated Managers Group, Inc. (a) | 3,389 | ||||||
| 70 | Cohen & Steers, Inc. | 2,312 | ||||||
| 137 | Financial Engines, Inc. (a) | 3,554 | ||||||
| 40 | Greenhill & Co., Inc. | 2,160 | ||||||
| 306 | PennantPark Investment Corp. | 3,426 | ||||||
| 44 | Stifel Financial Corp. (a) | 1,589 | ||||||
|
| |||||||
| 16,430 | ||||||||
|
| |||||||
Commercial Banks — 1.0% |
| |||||||
| 39 | City National Corp. | 2,127 | ||||||
| 29 | Signature Bank (a) | 1,684 | ||||||
|
| |||||||
| 3,811 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 26 | MSCI, Inc., Class A (a) | 967 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 33 | BRE Properties, Inc. | 1,621 | ||||||
| 57 | Douglas Emmett, Inc. | 1,132 | ||||||
| 11 | Home Properties, Inc. | 663 | ||||||
|
| |||||||
| 3,416 | ||||||||
|
| |||||||
Total Financials | 24,624 | |||||||
|
| |||||||
Health Care — 20.3% | ||||||||
Biotechnology — 4.7% |
| |||||||
| 64 | Acorda Therapeutics, Inc. (a) (m) | 2,069 | ||||||
| 229 | Ariad Pharmaceuticals, Inc. (a) | 2,591 | ||||||
| 100 | AVEO Pharmaceuticals, Inc. (a) | 2,053 | ||||||
| 99 | Cubist Pharmaceuticals, Inc. (a) | 3,557 | ||||||
| 322 | Halozyme Therapeutics, Inc. (a) | 2,228 | ||||||
| 282 | Idenix Pharmaceuticals, Inc. (a) | 1,409 | ||||||
| 68 | Onyx Pharmaceuticals, Inc. (a) | 2,413 | ||||||
| 13 | Pharmasset, Inc. (a) | 1,511 | ||||||
|
| |||||||
| 17,831 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Health Care Equipment & Supplies — 6.6% |
| |||||||
| 354 | DynaVox, Inc., Class A (a) | 2,692 | ||||||
| 440 | Imris, Inc., (Canada) (a) | 3,003 | ||||||
| 218 | Insulet Corp. (a) (c) | 4,827 | ||||||
| 92 | Masimo Corp. | 2,744 | ||||||
| 157 | MELA Sciences, Inc. (a) (c) | 367 | ||||||
| 54 | Merit Medical Systems, Inc. (a) | 963 | ||||||
| 318 | Syneron Medical Ltd., (Israel) (a) | 3,854 | ||||||
| 84 | Thoratec Corp. (a) | 2,740 | ||||||
| 140 | Tornier B.V., (Netherlands) (a) | 3,761 | ||||||
|
| |||||||
| 24,951 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.7% |
| |||||||
| 218 | Emeritus Corp. (a) (c) | 4,622 | ||||||
| 130 | Health Net, Inc. (a) | 4,186 | ||||||
| 113 | Healthspring, Inc. (a) | 5,207 | ||||||
|
| |||||||
| 14,015 | ||||||||
|
| |||||||
Health Care Technology — 1.3% |
| |||||||
| 310 | Omnicell, Inc. (a) | 4,838 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
| 196 | Bruker Corp. (a) | 3,992 | ||||||
| 113 | Fluidigm Corp. (a) | 1,889 | ||||||
|
| |||||||
| 5,881 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
| 111 | Aegerion Pharmaceuticals, Inc. (a) | 1,750 | ||||||
| 83 | Impax Laboratories, Inc. (a) | 1,817 | ||||||
| 198 | Nektar Therapeutics (a) | 1,441 | ||||||
| 96 | Sagent Pharmaceuticals, Inc. (a) | 2,579 | ||||||
| 77 | ViroPharma, Inc. (a) | 1,432 | ||||||
|
| |||||||
| 9,019 | ||||||||
|
| |||||||
Total Health Care | 76,535 | |||||||
|
| |||||||
Industrials — 21.9% | ||||||||
Aerospace & Defense — 2.7% |
| |||||||
| 136 | DigitalGlobe, Inc. (a) | 3,450 | ||||||
| 126 | HEICO Corp. (c) | 6,870 | ||||||
|
| |||||||
| 10,320 | ||||||||
|
| |||||||
Building Products — 1.9% |
| |||||||
| 23 | Lennox International, Inc. | 969 | ||||||
| 110 | Simpson Manufacturing Co., Inc. (c) | 3,278 | ||||||
| 124 | Trex Co., Inc. (a) | 3,042 | ||||||
|
| |||||||
| 7,289 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.3% |
| |||||||
| 49 | GEO Group, Inc. (The) (a) | 1,125 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 4.6% |
| |||||||
| 82 | Acuity Brands, Inc. (m) | 4,581 | ||||||
| 143 | EnerSys (a) | 4,924 | ||||||
| 177 | Generac Holdings, Inc. (a) | 3,425 | ||||||
| 102 | General Cable Corp. (a) | 4,357 | ||||||
|
| |||||||
| 17,287 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
| 76 | Carlisle Cos., Inc. | 3,724 | ||||||
|
| |||||||
Machinery — 3.8% |
| |||||||
| 62 | Graco, Inc. | 3,160 | ||||||
| 52 | Middleby Corp. (a) | 4,861 | ||||||
| 67 | Titan International, Inc. | 1,616 | ||||||
| 71 | Wabtec Corp. | 4,695 | ||||||
|
| |||||||
| 14,332 | ||||||||
|
| |||||||
Professional Services — 1.4% |
| |||||||
| 74 | Corporate Executive Board Co. (The) | 3,247 | ||||||
| 115 | Mistras Group, Inc. (a) | 1,863 | ||||||
|
| |||||||
| 5,110 | ||||||||
|
| |||||||
Road & Rail — 4.6% |
| |||||||
| 284 | Avis Budget Group, Inc. (a) | 4,856 | ||||||
| 147 | Marten Transport Ltd. | 3,180 | ||||||
| 158 | Old Dominion Freight Line, Inc. (a) | 5,903 | ||||||
| 168 | Zipcar, Inc. (a) (c) | 3,427 | ||||||
|
| |||||||
| 17,366 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.6% |
| |||||||
| 213 | Rush Enterprises, Inc., Class A (a) | 4,054 | ||||||
| 29 | Watsco, Inc. | 1,938 | ||||||
|
| |||||||
| 5,992 | ||||||||
|
| |||||||
Total Industrials | 82,545 | |||||||
|
| |||||||
Information Technology — 23.2% | ||||||||
Communications Equipment — 1.9% |
| |||||||
| 102 | Aruba Networks, Inc. (a) | 3,011 | ||||||
| 76 | Ixia (a) | 969 | ||||||
| 80 | Riverbed Technology, Inc. (a) | 3,157 | ||||||
|
| |||||||
| 7,137 | ||||||||
|
| |||||||
Computers & Peripherals — 0.6% |
| |||||||
| 80 | Fusion-io, Inc. (a) (c) | 2,414 | ||||||
|
| |||||||
Internet Software & Services — 4.5% |
| |||||||
| 98 | Cornerstone OnDemand, Inc. (a) | 1,734 | ||||||
| 167 | DealerTrack Holdings, Inc. (a) | 3,840 | ||||||
| 199 | Envestnet, Inc. (a) | 2,958 | ||||||
| 143 | IntraLinks Holdings, Inc. (a) | 2,476 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Internet Software & Services — Continued | ||||||||
| 80 | LogMeIn, Inc. (a) | 3,093 | ||||||
| 68 | Rackspace Hosting, Inc. (a) | 2,903 | ||||||
|
| |||||||
| 17,004 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
| 79 | Cavium, Inc. (a) | 3,435 | ||||||
| 64 | Cymer, Inc. (a) | 3,180 | ||||||
| 59 | Hittite Microwave Corp. (a) | 3,672 | ||||||
| 155 | Inphi Corp. (a) | 2,694 | ||||||
| 103 | Mellanox Technologies Ltd., (Israel) (a) | 3,085 | ||||||
| 114 | TriQuint Semiconductor, Inc. (a) | 1,165 | ||||||
|
| |||||||
| 17,231 | ||||||||
|
| |||||||
Software — 11.6% |
| |||||||
| 94 | Blackboard, Inc. (a) (c) | 4,076 | ||||||
| 53 | BroadSoft, Inc. (a) | 2,024 | ||||||
| 57 | Concur Technologies, Inc. (a) (c) | 2,849 | ||||||
| 94 | Fortinet, Inc. (a) | 2,572 | ||||||
| 109 | NetSuite, Inc. (a) (c) | 4,281 | ||||||
| 142 | Nuance Communications, Inc. (a) | 3,056 | ||||||
| 164 | RealD, Inc. (a) (c) | 3,846 | ||||||
| 130 | RealPage, Inc. (a) | 3,437 | ||||||
| 169 | SolarWinds, Inc. (a) | 4,415 | ||||||
| 143 | Sourcefire, Inc. (a) | 4,246 | ||||||
| 139 | Taleo Corp., Class A (a) | 5,162 | ||||||
| 124 | TIBCO Software, Inc. (a) | 3,609 | ||||||
|
| |||||||
| 43,573 | ||||||||
|
| |||||||
Total Information Technology | 87,359 | |||||||
|
| |||||||
Materials — 1.5% | ||||||||
Chemicals — 0.8% |
| |||||||
| 92 | Innospec, Inc. (a) | 3,099 | ||||||
|
| |||||||
Metals & Mining — 0.7% |
| |||||||
| 171 | Commercial Metals Co. | 2,452 | ||||||
|
| |||||||
Total Materials | 5,551 | |||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 303 | Boingo Wireless, Inc. (a) | 2,750 | ||||||
|
| |||||||
Total Common Stocks | 367,291 | |||||||
|
| |||||||
| Short-Term Investment — 2.3% |
| ||||||
Investment Company — 2.3% |
| |||||||
| 8,471 | JPMorgan Prime Money Market Fund, | 8,471 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investments of Cash Collateral for Securities on Loan — 6.3% |
| ||||||
Investment Company — 6.3% |
| |||||||
| 23,887 | JPMorgan Prime Money Market Fund, | 23,887 | ||||||
|
| |||||||
Total Investments — 106.2% | 399,649 | |||||||
Liabilities in Excess of | (23,275 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 376,374 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 81.1% |
| ||||||
Consumer Discretionary — 12.6% | ||||||||
Auto Components — 0.5% |
| |||||||
| 11 | American Axle & Manufacturing Holdings, Inc. (a) | 124 | ||||||
| 75 | Cooper Tire & Rubber Co. | 1,488 | ||||||
| 65 | Standard Motor Products, Inc. | 984 | ||||||
|
| |||||||
| 2,596 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
| 92 | Bridgepoint Education, Inc. (a) (c) | 2,287 | ||||||
| 7 | Lincoln Educational Services Corp. | 117 | ||||||
| 11 | Mac-Gray Corp. | 176 | ||||||
|
| |||||||
| 2,580 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% |
| |||||||
| 131 | Ameristar Casinos, Inc. | 3,096 | ||||||
| 13 | Cracker Barrel Old Country Store, Inc. | 626 | ||||||
| 57 | DineEquity, Inc. (a) | 2,985 | ||||||
| 101 | Domino’s Pizza, Inc. (a) | 2,557 | ||||||
| 81 | Ruby Tuesday, Inc. (a) | 876 | ||||||
| 127 | Ruth’s Hospitality Group, Inc. (a) | 714 | ||||||
|
| |||||||
| 10,854 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
| 78 | American Greetings Corp., Class A | 1,863 | ||||||
| 1 | CSS Industries, Inc. | 11 | ||||||
| 115 | Helen of Troy Ltd., (Bermuda) (a) | 3,981 | ||||||
| 16 | Jarden Corp. | 549 | ||||||
| 17 | Libbey, Inc. (a) | 274 | ||||||
| 39 | Lifetime Brands, Inc. | 454 | ||||||
| 65 | Tempur-Pedic International, Inc. (a) | 4,435 | ||||||
|
| |||||||
| 11,567 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.3% |
| |||||||
| 65 | JAKKS Pacific, Inc. (a) | 1,195 | ||||||
| 12 | Sturm Ruger & Co., Inc. | 261 | ||||||
|
| |||||||
| 1,456 | ||||||||
|
| |||||||
Media — 0.8% |
| |||||||
| 79 | Entercom Communications Corp., Class A (a) | 687 | ||||||
| 124 | Journal Communications, Inc., Class A (a) | 640 | ||||||
| 14 | Knology, Inc. (a) | 203 | ||||||
| 24 | LIN TV Corp., Class A (a) | 118 | ||||||
| 26 | McClatchy Co. (The), Class A (a) (c) | 73 | ||||||
| 20 | Pandora Media, Inc. (a) (c) | 384 | ||||||
| 213 | Sinclair Broadcast Group, Inc., Class A | 2,337 | ||||||
|
| |||||||
| 4,442 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 88 | Dillard’s, Inc., Class A | 4,599 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 3.3% |
| |||||||
| 26 | Aeropostale, Inc. (a) | 457 | ||||||
| 122 | Cabela’s, Inc. (a) | 3,299 | ||||||
| 111 | Casual Male Retail Group, Inc. (a) | 460 | ||||||
| 142 | Collective Brands, Inc. (a) (c) | 2,092 | ||||||
| 159 | Conn’s, Inc. (a) (c) | 1,375 | ||||||
| 99 | Destination Maternity Corp. | 1,970 | ||||||
| 114 | Express, Inc. | 2,479 | ||||||
| 60 | Finish Line, Inc. (The), Class A | 1,277 | ||||||
| 8 | Kirkland’s, Inc. (a) | 94 | ||||||
| 15 | Lithia Motors, Inc., Class A | 302 | ||||||
| 84 | Rent-A-Center, Inc. | 2,567 | ||||||
| 113 | Sonic Automotive, Inc., Class A (c) | 1,657 | ||||||
|
| |||||||
| 18,029 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.3% |
| |||||||
| 13 | Deckers Outdoor Corp. (a) | 1,172 | ||||||
| 24 | G-III Apparel Group Ltd. (a) | 817 | ||||||
| 68 | Iconix Brand Group, Inc. (a) | 1,638 | ||||||
| 121 | Maidenform Brands, Inc. (a) | 3,333 | ||||||
| 72 | Oxford Industries, Inc. | 2,428 | ||||||
| 98 | Perry Ellis International, Inc. (a) | 2,470 | ||||||
| 26 | Steven Madden Ltd. (a) | 990 | ||||||
|
| |||||||
| 12,848 | ||||||||
|
| |||||||
Total Consumer Discretionary | 68,971 | |||||||
|
| |||||||
Consumer Staples — 2.1% | ||||||||
Beverages — 0.0% (g) |
| |||||||
| 17 | MGP Ingredients, Inc. | 144 | ||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
| 42 | Andersons, Inc. (The) | 1,758 | ||||||
| 84 | Spartan Stores, Inc. | 1,644 | ||||||
|
| |||||||
| 3,402 | ||||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 49 | B&G Foods, Inc. | 1,010 | ||||||
| 160 | Chiquita Brands International, Inc. (a) | 2,079 | ||||||
| 42 | Darling International, Inc. (a) | 738 | ||||||
| 92 | Dole Food Co., Inc. (a) (c) | 1,245 | ||||||
| 23 | Fresh Del Monte Produce, Inc. | 606 | ||||||
| 7 | TreeHouse Foods, Inc. (a) | 404 | ||||||
|
| |||||||
| 6,082 | ||||||||
|
| |||||||
Personal Products — 0.4% |
| |||||||
| 18 | Elizabeth Arden, Inc. (a) | 514 | ||||||
| 10 | Nature’s Sunshine Products, Inc. (a) | 191 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Personal Products — Continued | ||||||||
| 47 | Prestige Brands Holdings, Inc. (a) | 598 | ||||||
| 34 | Revlon, Inc., Class A (a) | 565 | ||||||
|
| |||||||
| 1,868 | ||||||||
|
| |||||||
Total Consumer Staples | 11,496 | |||||||
|
| |||||||
Energy — 5.0% | ||||||||
Energy Equipment & Services — 1.4% |
| |||||||
| 15 | Basic Energy Services, Inc. (a) | 478 | ||||||
| 16 | Cal Dive International, Inc. (a) | 95 | ||||||
| 10 | Complete Production Services, Inc. (a) | 340 | ||||||
| 60 | Gulfmark Offshore, Inc., Class A (a) | 2,629 | ||||||
| 53 | ION Geophysical Corp. (a) | 503 | ||||||
| 21 | Lufkin Industries, Inc. | 1,816 | ||||||
| 13 | Matrix Service Co. (a) | 170 | ||||||
| 56 | Newpark Resources, Inc. (a) | 504 | ||||||
| 5 | OYO Geospace Corp. (a) | 460 | ||||||
| 34 | RPC, Inc. | 835 | ||||||
|
| |||||||
| 7,830 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.6% |
| |||||||
| 4 | Apco Oil and Gas International, Inc. | 304 | ||||||
| 107 | Callon Petroleum Co. (a) | 752 | ||||||
| 29 | Clayton Williams Energy, Inc. (a) | 1,766 | ||||||
| 23 | Cloud Peak Energy, Inc. (a) | 481 | ||||||
| 21 | Delek US Holdings, Inc. | 330 | ||||||
| 35 | DHT Holdings, Inc., (United Kingdom) (c) | 132 | ||||||
| 141 | EXCO Resources, Inc. | 2,489 | ||||||
| 8 | Frontline Ltd., (Bermuda) (c) | 119 | ||||||
| 17 | Georesources, Inc. (a) | 373 | ||||||
| 3 | Gevo, Inc. (a) | 43 | ||||||
| 112 | Gulfport Energy Corp. (a) | 3,313 | ||||||
| 60 | KiOR, Inc., Class A (a) | 912 | ||||||
| 76 | McMoRan Exploration Co. (a) | 1,395 | ||||||
| 46 | Petroquest Energy, Inc. (a) | 324 | ||||||
| 11 | Solazyme, Inc. (a) (c) | 250 | ||||||
| 70 | VAALCO Energy, Inc. (a) | 421 | ||||||
| 118 | W&T Offshore, Inc. | 3,074 | ||||||
| 79 | Warren Resources, Inc. (a) | 300 | ||||||
| 34 | Western Refining, Inc. (a) (c) | 609 | ||||||
| 66 | World Fuel Services Corp. | 2,364 | ||||||
|
| |||||||
| 19,751 | ||||||||
|
| |||||||
Total Energy | 27,581 | |||||||
|
| |||||||
Financials — 16.9% | ||||||||
Capital Markets — 0.5% |
| |||||||
| 107 | BGC Partners, Inc., Class A | 823 | ||||||
| 21 | Gladstone Capital Corp. | 197 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued | ||||||||
| 72 | Knight Capital Group, Inc., Class A (a) | 796 | ||||||
| 6 | Oppenheimer Holdings, Inc., Class A | 181 | ||||||
| 17 | optionsXpress Holdings, Inc. | 285 | ||||||
| 41 | Prospect Capital Corp. (c) | 414 | ||||||
| 15 | Pzena Investment Management, Inc., Class A | 86 | ||||||
|
| |||||||
| 2,782 | ||||||||
|
| |||||||
Commercial Banks — 4.2% |
| |||||||
| 2 | Alliance Financial Corp. | 64 | ||||||
| 22 | Banco Latinoamericano de Comercio Exterior S.A., (Panama), Class E | 383 | ||||||
| 49 | Cathay General Bancorp | 796 | ||||||
| 21 | Citizens & Northern Corp. | 315 | ||||||
| 23 | City Holding Co. | 773 | ||||||
| 33 | Community Bank System, Inc. | 808 | ||||||
| 10 | Community Trust Bancorp, Inc. | 269 | ||||||
| 23 | East West Bancorp, Inc. | 473 | ||||||
| 13 | Enterprise Financial Services Corp. | 177 | ||||||
| 30 | Financial Institutions, Inc. | 488 | ||||||
| 79 | First Busey Corp. | 420 | ||||||
| 360 | First Commonwealth Financial Corp. | 2,066 | ||||||
| 36 | First Community Bancshares, Inc. | 500 | ||||||
| 79 | First Financial Bancorp | 1,317 | ||||||
| 28 | First Merchants Corp. | 246 | ||||||
| 91 | FNB Corp. | 942 | ||||||
| 2 | Hudson Valley Holding Corp. | 31 | ||||||
| 28 | Huntington Bancshares, Inc. | 186 | ||||||
| 39 | Iberiabank Corp. | 2,225 | ||||||
| 23 | International Bancshares Corp. | 391 | ||||||
| 15 | Lakeland Bancorp, Inc. | 152 | ||||||
| 13 | Lakeland Financial Corp. | 287 | ||||||
| 16 | MainSource Financial Group, Inc. | 134 | ||||||
| 2 | Merchants Bancshares, Inc. | 37 | ||||||
| 83 | Nara Bancorp, Inc. (a) | 673 | ||||||
| 6 | National Bankshares, Inc. (c) | 143 | ||||||
| 13 | NBT Bancorp, Inc. | 285 | ||||||
| 98 | Oriental Financial Group, Inc. | 1,264 | ||||||
| 5 | Peoples Bancorp, Inc. | 61 | ||||||
| 90 | Pinnacle Financial Partners, Inc. (a) (c) | 1,399 | ||||||
| 15 | Prosperity Bancshares, Inc. | 653 | ||||||
| 4 | Renasant Corp. | 61 | ||||||
| 10 | Republic Bancorp, Inc., Class A | 205 | ||||||
| 35 | Sierra Bancorp | 393 | ||||||
| 14 | Southside Bancshares, Inc. | 286 | ||||||
| 76 | Southwest Bancorp, Inc. (a) | 744 | ||||||
| 44 | Sterling Bancshares, Inc. | 360 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Commercial Banks — Continued | ||||||||
| 85 | Susquehanna Bancshares, Inc. | 680 | ||||||
| 14 | SVB Financial Group (a) | 824 | ||||||
| 17 | WesBanco, Inc. | 328 | ||||||
| 14 | West Bancorp, Inc. | 127 | ||||||
| 11 | Westamerica Bancorp | 517 | ||||||
| 170 | Wilshire Bancorp, Inc. (a) | 500 | ||||||
|
| |||||||
| 22,983 | ||||||||
|
| |||||||
Consumer Finance — 2.5% |
| |||||||
| 24 | Advance America Cash Advance Centers, Inc. | 163 | ||||||
| 91 | Cash America International, Inc. | 5,243 | ||||||
| 117 | Dollar Financial Corp. (a) | 2,529 | ||||||
| 41 | Imperial Holdings, Inc. (a) | 417 | ||||||
| 47 | Nelnet, Inc., Class A | 1,030 | ||||||
| 64 | World Acceptance Corp. (a) (c) | 4,216 | ||||||
|
| |||||||
| 13,598 | ||||||||
|
| |||||||
Diversified Financial Services — 0.9% |
| |||||||
| 68 | Encore Capital Group, Inc. (a) | 2,074 | ||||||
| 4 | Marlin Business Services Corp. (a) | 53 | ||||||
| 86 | PHH Corp. (a) | 1,761 | ||||||
| 16 | Portfolio Recovery Associates, Inc. (a) | 1,331 | ||||||
|
| |||||||
| 5,219 | ||||||||
|
| |||||||
Insurance — 2.0% |
| |||||||
| 262 | American Equity Investment Life Holding Co. | 3,335 | ||||||
| 9 | American Safety Insurance Holdings Ltd. (a) | 172 | ||||||
| 46 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,184 | ||||||
| 195 | CNO Financial Group, Inc. (a) | 1,539 | ||||||
| 48 | Delphi Financial Group, Inc., Class A | 1,405 | ||||||
| 39 | Flagstone Reinsurance Holdings S.A., (Luxembourg) | 330 | ||||||
| 11 | Horace Mann Educators Corp. | 165 | ||||||
| 70 | Meadowbrook Insurance Group, Inc. | 690 | ||||||
| 86 | National Financial Partners Corp. (a) | 995 | ||||||
| 11 | Safety Insurance Group, Inc. | 450 | ||||||
| 33 | Selective Insurance Group, Inc. | 535 | ||||||
|
| |||||||
| 10,800 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 6.3% |
| |||||||
| 28 | American Campus Communities, Inc. | 977 | ||||||
| 431 | Anworth Mortgage Asset Corp. | 3,234 | ||||||
| 311 | Ashford Hospitality Trust, Inc. | 3,872 | ||||||
| 62 | Associated Estates Realty Corp. | 1,009 | ||||||
| 38 | BioMed Realty Trust, Inc. | 722 | ||||||
| 30 | CapLease, Inc. | 145 | ||||||
| 216 | Capstead Mortgage Corp. | 2,894 | ||||||
| 91 | CBL & Associates Properties, Inc. | 1,644 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
| 21 | Colonial Properties Trust | 428 | ||||||
| 182 | DCT Industrial Trust, Inc. | 949 | ||||||
| 59 | Developers Diversified Realty Corp. | 836 | ||||||
| 20 | EastGroup Properties, Inc. | 833 | ||||||
| 35 | Education Realty Trust, Inc. | 303 | ||||||
| 6 | Equity Lifestyle Properties, Inc. | 387 | ||||||
| 112 | First Industrial Realty Trust, Inc. (a) | 1,279 | ||||||
| 54 | Glimcher Realty Trust | 512 | ||||||
| 10 | Home Properties, Inc. | 591 | ||||||
| 39 | LaSalle Hotel Properties | 1,019 | ||||||
| 323 | Lexington Realty Trust (c) | 2,952 | ||||||
| 279 | MFA Financial, Inc. | 2,240 | ||||||
| 9 | Mission West Properties, Inc. | 79 | ||||||
| 11 | MPG Office Trust, Inc. (a) | 31 | ||||||
| 49 | Omega Healthcare Investors, Inc. | 1,032 | ||||||
| 20 | Parkway Properties, Inc. | 340 | ||||||
| 7 | Pebblebrook Hotel Trust | 133 | ||||||
| 97 | Pennsylvania Real Estate Investment Trust | 1,523 | ||||||
| 15 | PS Business Parks, Inc. | 815 | ||||||
| 18 | Ramco-Gershenson Properties Trust | 218 | ||||||
| 86 | Senior Housing Properties Trust | 2,002 | ||||||
| 156 | Strategic Hotels & Resorts, Inc. (a) | 1,107 | ||||||
| 9 | Sun Communities, Inc. | 336 | ||||||
|
| |||||||
| 34,442 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5% |
| |||||||
| 20 | Dime Community Bancshares, Inc. | 285 | ||||||
| 106 | Doral Financial Corp. (a) | 207 | ||||||
| 30 | First Niagara Financial Group, Inc. | 397 | ||||||
| 18 | OceanFirst Financial Corp. | 233 | ||||||
| 114 | Ocwen Financial Corp. (a) | 1,450 | ||||||
| 66 | Radian Group, Inc. | 281 | ||||||
| 41 | Trustco Bank Corp. | 201 | ||||||
|
| |||||||
| 3,054 | ||||||||
|
| |||||||
Total Financials | 92,878 | |||||||
|
| |||||||
Health Care — 10.1% | ||||||||
Biotechnology — 2.8% |
| |||||||
| 47 | Achillion Pharmaceuticals, Inc. (a) | 352 | ||||||
| 59 | Acorda Therapeutics, Inc. (a) | 1,916 | ||||||
| 44 | Affymax, Inc. (a) | 299 | ||||||
| 137 | Anadys Pharmaceuticals, Inc. (a) | 138 | ||||||
| 180 | Ariad Pharmaceuticals, Inc. (a) | 2,041 | ||||||
| 61 | BioCryst Pharmaceuticals, Inc. (a) (c) | 232 | ||||||
| 51 | BioMimetic Therapeutics, Inc. (a) | 263 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Biotechnology — Continued | ||||||||
| 74 | Chelsea Therapeutics International Ltd. (a) | 378 | ||||||
| 401 | Dynavax Technologies Corp. (a) | 1,104 | ||||||
| 118 | Halozyme Therapeutics, Inc. (a) | 815 | ||||||
| 60 | Immunomedics, Inc. (a) (c) | 243 | ||||||
| 85 | Incyte Corp., Ltd. (a) (c) | 1,602 | ||||||
| 32 | Ironwood Pharmaceuticals, Inc. (a) | 500 | ||||||
| 43 | Medivation, Inc. (a) | 917 | ||||||
| 80 | Momenta Pharmaceuticals, Inc. (a) (c) | 1,551 | ||||||
| 22 | Onyx Pharmaceuticals, Inc. (a) | 773 | ||||||
| 113 | Savient Pharmaceuticals, Inc. (a) (c) | 843 | ||||||
| 55 | Seattle Genetics, Inc. (a) | 1,129 | ||||||
| 17 | Targacept, Inc. (a) | 350 | ||||||
|
| |||||||
| 15,446 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 54 | Align Technology, Inc. (a) | 1,229 | ||||||
| 87 | Cantel Medical Corp. | 2,341 | ||||||
| 29 | DynaVox, Inc., Class A (a) | 223 | ||||||
| 14 | GenMark Diagnostics, Inc. (a) | 83 | ||||||
| 22 | Greatbatch, Inc. (a) | 590 | ||||||
| 66 | Immucor, Inc. (a) | 1,350 | ||||||
| 34 | Integra LifeSciences Holdings Corp. (a) | 1,616 | ||||||
| 70 | Invacare Corp. | 2,337 | ||||||
| 24 | Orthofix International N.V., (Netherlands) (a) | 1,015 | ||||||
| 24 | Sirona Dental Systems, Inc. (a) | 1,259 | ||||||
|
| |||||||
| 12,043 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 19 | AMERIGROUP Corp. (a) | 1,346 | ||||||
| 281 | Continucare Corp. (a) | 1,735 | ||||||
| 505 | Five Star Quality Care, Inc. (a) | 2,931 | ||||||
| 56 | Gentiva Health Services, Inc. (a) | 1,156 | ||||||
| 48 | Hanger Orthopedic Group, Inc. (a) | 1,184 | ||||||
| 90 | Healthspring, Inc. (a) | 4,150 | ||||||
| 46 | Kindred Healthcare, Inc. (a) | 988 | ||||||
| 170 | Metropolitan Health Networks, Inc. (a) | 815 | ||||||
| 49 | Owens & Minor, Inc. | 1,700 | ||||||
| 151 | PharMerica Corp. (a) | 1,927 | ||||||
| 13 | Providence Service Corp. (The) (a) | 166 | ||||||
| 51 | Select Medical Holdings Corp. (a) | 456 | ||||||
| 31 | Triple-S Management Corp., Class B (a) | 669 | ||||||
| 10 | US Physical Therapy, Inc. | 247 | ||||||
| 102 | Vanguard Health Systems, Inc. (a) (c) | 1,746 | ||||||
| 8 | WellCare Health Plans, Inc. (a) | 416 | ||||||
|
| |||||||
| 21,632 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Technology — 0.0% (g) |
| |||||||
| 7 | ePocrates, Inc. (a) | 135 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 36 | Enzo Biochem, Inc. (a) | 155 | ||||||
| 21 | Pacific Biosciences of California, Inc. (a) (c) | 250 | ||||||
|
| |||||||
| 405 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% |
| |||||||
| 83 | Aegerion Pharmaceuticals, Inc. (a) | 1,310 | ||||||
| 89 | Cadence Pharmaceuticals, Inc. (a) (c) | 820 | ||||||
| 18 | Cardiome Pharma Corp., (Canada) (a) | 82 | ||||||
| 72 | Impax Laboratories, Inc. (a) | 1,573 | ||||||
| 29 | Par Pharmaceutical Cos., Inc. (a) | 950 | ||||||
| 17 | Sagent Pharmaceuticals, Inc. (a) | 461 | ||||||
| 16 | Salix Pharmaceuticals Ltd. (a) | 617 | ||||||
|
| |||||||
| 5,813 | ||||||||
|
| |||||||
Total Health Care | 55,474 | |||||||
|
| |||||||
Industrials — 11.6% | ||||||||
Aerospace & Defense — 1.9% |
| |||||||
| 13 | Ceradyne, Inc. (a) | 522 | ||||||
| 8 | Curtiss-Wright Corp. | 259 | ||||||
| 35 | Esterline Technologies Corp. (a) | 2,636 | ||||||
| 267 | GenCorp, Inc. (a) | 1,714 | ||||||
| 12 | HEICO Corp. | 684 | ||||||
| 28 | LMI Aerospace, Inc. (a) | 694 | ||||||
| 40 | Triumph Group, Inc. | 4,003 | ||||||
|
| |||||||
| 10,512 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
| 51 | Atlas Air Worldwide Holdings, Inc. (a) | 3,053 | ||||||
|
| |||||||
Airlines — 0.6% |
| |||||||
| 26 | Alaska Air Group, Inc. (a) | 1,807 | ||||||
| 167 | Hawaiian Holdings, Inc. (a) | 952 | ||||||
| 34 | SkyWest, Inc. | 505 | ||||||
|
| |||||||
| 3,264 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
| 7 | Gibraltar Industries, Inc. (a) | 77 | ||||||
| 33 | Insteel Industries, Inc. | 409 | ||||||
|
| |||||||
| 486 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.8% |
| |||||||
| 42 | ACCO Brands Corp. (a) | 327 | ||||||
| 292 | Cenveo, Inc. (a) | 1,867 | ||||||
| 141 | Deluxe Corp. | 3,472 | ||||||
| 16 | Herman Miller, Inc. | 438 | ||||||
| 73 | Knoll, Inc. | 1,469 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Commercial Services & Supplies — Continued | ||||||||
| 22 | Metalico, Inc. (a) | 128 | ||||||
| 15 | Team, Inc. (a) | 355 | ||||||
| 15 | UniFirst Corp. | 860 | ||||||
| 25 | United Stationers, Inc. | 882 | ||||||
| 1 | Waste Connections, Inc. | 38 | ||||||
|
| |||||||
| 9,836 | ||||||||
|
| |||||||
Construction & Engineering — 1.1% |
| |||||||
| 68 | EMCOR Group, Inc. (a) | 1,999 | ||||||
| 133 | MasTec, Inc. (a) | 2,615 | ||||||
| 66 | Tutor Perini Corp. | 1,270 | ||||||
|
| |||||||
| 5,884 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
| 38 | Acuity Brands, Inc. | 2,142 | ||||||
| 44 | EnerSys (a) | 1,525 | ||||||
| 7 | Polypore International, Inc. (a) | 454 | ||||||
| 55 | Regal-Beloit Corp. | 3,646 | ||||||
|
| |||||||
| 7,767 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.0% (g) |
| |||||||
| 6 | Standex International Corp. | 181 | ||||||
|
| |||||||
Machinery — 2.8% |
| |||||||
| 36 | Barnes Group, Inc. | 886 | ||||||
| 31 | CIRCOR International, Inc. | 1,336 | ||||||
| 18 | Columbus McKinnon Corp. (a) | 325 | ||||||
| 82 | EnPro Industries, Inc. (a) | 3,942 | ||||||
| 108 | Force Protection, Inc. (a) | 536 | ||||||
| 32 | Kadant, Inc. (a) | 999 | ||||||
| 78 | NN, Inc. (a) | 1,167 | ||||||
| 11 | Robbins & Myers, Inc. | 597 | ||||||
| 59 | Trimas Corp. (a) | 1,467 | ||||||
| 60 | Wabtec Corp. | 3,963 | ||||||
| 7 | Watts Water Technologies, Inc., Class A | 251 | ||||||
|
| |||||||
| 15,469 | ||||||||
|
| |||||||
Professional Services — 0.0% (g) |
| |||||||
| 12 | GP Strategies Corp. (a) | 163 | ||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
| 9 | Dollar Thrifty Automotive Group, Inc. (a) | 664 | ||||||
| 135 | Quality Distribution, Inc. (a) | 1,760 | ||||||
| 6 | Zipcar, Inc. (a) (c) | 116 | ||||||
|
| |||||||
| 2,540 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
| 32 | Aircastle Ltd. | 410 | ||||||
| 51 | Applied Industrial Technologies, Inc. | 1,798 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — Continued | ||||||||
| 20 | Beacon Roofing Supply, Inc. (a) | 463 | ||||||
| 11 | Interline Brands, Inc. (a) | 195 | ||||||
| 61 | SeaCube Container Leasing Ltd. | 1,046 | ||||||
| 32 | United Rentals, Inc. (a) | 815 | ||||||
|
| |||||||
| 4,727 | ||||||||
|
| |||||||
Total Industrials | 63,882 | |||||||
|
| |||||||
Information Technology — 13.6% | ||||||||
Communications Equipment — 1.7% |
| |||||||
| 148 | Arris Group, Inc. (a) | 1,720 | ||||||
| 44 | Black Box Corp. | 1,379 | ||||||
| 19 | Blue Coat Systems, Inc. (a) | 415 | ||||||
| 25 | Comtech Telecommunications Corp. | 698 | ||||||
| 9 | EMS Technologies, Inc. (a) | 300 | ||||||
| 21 | NETGEAR, Inc. (a) | 918 | ||||||
| 13 | Oplink Communications, Inc. (a) | 250 | ||||||
| 31 | Plantronics, Inc. | 1,143 | ||||||
| 28 | Polycom, Inc. (a) | 1,775 | ||||||
| 53 | Symmetricom, Inc. (a) | 311 | ||||||
| 100 | Westell Technologies, Inc., Class A (a) | 357 | ||||||
|
| |||||||
| 9,266 | ||||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
| 29 | Fusion-io, Inc. (a) (c) | 858 | ||||||
| 47 | Hypercom Corp. (a) | 459 | ||||||
| 21 | Imation Corp. (a) | 193 | ||||||
| 19 | Synaptics, Inc. (a) (c) | 479 | ||||||
| 36 | Xyratex Ltd., (United Kingdom) (a) | 368 | ||||||
|
| |||||||
| 2,357 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.3% |
| |||||||
| 62 | Brightpoint, Inc. (a) | 500 | ||||||
| 26 | Daktronics, Inc. | 279 | ||||||
| 29 | DDi Corp. | 272 | ||||||
| 9 | Fabrinet (a) | 211 | ||||||
| 29 | Insight Enterprises, Inc. (a) | 515 | ||||||
| 10 | Littelfuse, Inc. | 587 | ||||||
| 7 | Measurement Specialties, Inc. (a) | 261 | ||||||
| 12 | NeoPhotonics Corp. (a) | 83 | ||||||
| 43 | Newport Corp. (a) | 780 | ||||||
| 26 | Plexus Corp. (a) | 909 | ||||||
| 37 | Power-One, Inc. (a) (c) | 302 | ||||||
| 52 | RadiSys Corp. (a) | 381 | ||||||
| 36 | SYNNEX Corp. (a) | 1,154 | ||||||
| 40 | TTM Technologies, Inc. (a) | 636 | ||||||
|
| |||||||
| 6,870 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Internet Software & Services — 0.5% |
| |||||||
| 34 | Cornerstone OnDemand, Inc. (a) | 600 | ||||||
| 13 | Demand Media, Inc. (a) (c) | 172 | ||||||
| 17 | Keynote Systems, Inc. | 357 | ||||||
| 11 | Responsys, Inc. (a) | 200 | ||||||
| 220 | United Online, Inc. | 1,328 | ||||||
|
| |||||||
| 2,657 | ||||||||
|
| |||||||
IT Services — 1.5% |
| |||||||
| 15 | CACI International, Inc., Class A (a) | 934 | ||||||
| 103 | CIBER, Inc. (a) | 574 | ||||||
| 21 | CSG Systems International, Inc. (a) | 396 | ||||||
| 22 | Gartner, Inc. (a) | 890 | ||||||
| 13 | ManTech International Corp., Class A | 573 | ||||||
| 6 | MAXIMUS, Inc. | 496 | ||||||
| 23 | ServiceSource International, Inc. (a) | 518 | ||||||
| 23 | TeleTech Holdings, Inc. (a) | 489 | ||||||
| 21 | Unisys Corp. (a) | 547 | ||||||
| 32 | VeriFone Systems, Inc. (a) | 1,428 | ||||||
| 25 | Wright Express Corp. (a) | 1,286 | ||||||
|
| |||||||
| 8,131 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
| 19 | Alpha & Omega Semiconductor Ltd. (a) | 256 | ||||||
| 152 | Amkor Technology, Inc. (a) | 935 | ||||||
| 42 | Brooks Automation, Inc. (a) | 455 | ||||||
| 130 | Cirrus Logic, Inc. (a) | 2,070 | ||||||
| 131 | Entegris, Inc. (a) | 1,321 | ||||||
| 11 | FEI Co. (a) | 428 | ||||||
| 325 | GT Solar International, Inc. (a) (c) | 5,271 | ||||||
| 403 | Kulicke & Soffa Industries, Inc. (a) | 4,493 | ||||||
| 75 | Lattice Semiconductor Corp. (a) | 491 | ||||||
| 48 | Micrel, Inc. | 504 | ||||||
| 26 | MKS Instruments, Inc. | 679 | ||||||
| 43 | Photronics, Inc. (a) | 361 | ||||||
| 171 | PMC-Sierra, Inc. (a) | 1,297 | ||||||
| 119 | Skyworks Solutions, Inc. (a) | 2,739 | ||||||
| 38 | TriQuint Semiconductor, Inc. (a) | 387 | ||||||
|
| |||||||
| 21,687 | ||||||||
|
| |||||||
Software — 4.3% |
| |||||||
| 45 | Actuate Corp. (a) | 262 | ||||||
| 13 | Ariba, Inc. (a) | 458 | ||||||
| 154 | Aspen Technology, Inc. (a) | 2,647 | ||||||
| 8 | Deltek, Inc. (a) | 60 | ||||||
| 18 | Ebix, Inc. (a) (c) | 347 | ||||||
| 139 | JDA Software Group, Inc. (a) | 4,288 | ||||||
| 56 | Lawson Software, Inc. (a) | 624 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued | ||||||||
| 90 | Magma Design Automation, Inc. (a) | 721 | ||||||
| 21 | Monotype Imaging Holdings, Inc. (a) | 301 | ||||||
| 24 | Netscout Systems, Inc. (a) | 495 | ||||||
| 55 | Parametric Technology Corp. (a) | 1,261 | ||||||
| 34 | Progress Software Corp. (a) | 830 | ||||||
| 32 | Quest Software, Inc. (a) | 730 | ||||||
| 10 | Rovi Corp. (a) | 556 | ||||||
| 6 | SS&C Technologies Holdings, Inc. (a) | 123 | ||||||
| 140 | Take-Two Interactive Software, Inc. (a) | 2,141 | ||||||
| 106 | TeleNav, Inc. (a) | 1,886 | ||||||
| 610 | THQ, Inc. (a) | 2,208 | ||||||
| 55 | TIBCO Software, Inc. (a) | 1,608 | ||||||
| 34 | VASCO Data Security International, Inc. (a) (c) | 428 | ||||||
| 36 | VirnetX Holding Corp. (a) (c) | 1,053 | ||||||
| 28 | Websense, Inc. (a) | 732 | ||||||
|
| |||||||
| 23,759 | ||||||||
|
| |||||||
Total Information Technology | 74,727 | |||||||
|
| |||||||
Materials — 4.8% | ||||||||
Chemicals — 2.0% | ||||||||
| 136 | Georgia Gulf Corp. (a) | 3,281 | ||||||
| 34 | H.B. Fuller Co. | 820 | ||||||
| 36 | Innophos Holdings, Inc. | 1,767 | ||||||
| 40 | Koppers Holdings, Inc. | 1,521 | ||||||
| 21 | Kraton Performance Polymers, Inc. (a) | 834 | ||||||
| 102 | PolyOne Corp. | 1,570 | ||||||
| 54 | Solutia, Inc. (a) | 1,225 | ||||||
|
| |||||||
| 11,018 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% | ||||||||
| 38 | Boise, Inc. | 298 | ||||||
| 263 | Graphic Packaging Holding Co. (a) | 1,429 | ||||||
| 44 | Rock-Tenn Co., Class A | 2,886 | ||||||
|
| |||||||
| 4,613 | ||||||||
|
| |||||||
Metals & Mining — 1.4% | ||||||||
| 48 | Century Aluminum Co. (a) | 745 | ||||||
| 51 | Coeur d’Alene Mines Corp. (a) | 1,247 | ||||||
| 40 | Hecla Mining Co. (a) | 308 | ||||||
| 219 | Noranda Aluminum Holding Corp. (a) | 3,320 | ||||||
| 94 | Worthington Industries, Inc. | 2,160 | ||||||
|
| |||||||
| 7,780 | ||||||||
|
| |||||||
Paper & Forest Products — 0.6% | ||||||||
| 90 | Buckeye Technologies, Inc. | 2,415 | ||||||
| 14 | Schweitzer-Mauduit International, Inc. | 763 | ||||||
|
| |||||||
| 3,178 | ||||||||
|
| |||||||
Total Materials | 26,589 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Telecommunication Services — 1.5% | ||||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 22 | Boingo Wireless, Inc. (a) | 203 | ||||||
| 1,009 | Cincinnati Bell, Inc. (a) | 3,351 | ||||||
| 39 | Consolidated Communications Holdings, Inc. | 754 | ||||||
| 10 | IDT Corp., Class B | 262 | ||||||
| 31 | Neutral Tandem, Inc. (a) | 547 | ||||||
| 149 | Premiere Global Services, Inc. (a) | 1,188 | ||||||
| 439 | Vonage Holdings Corp. (a) | 1,937 | ||||||
|
| |||||||
Total Telecommunication Services | 8,242 | |||||||
|
| |||||||
Utilities — 2.9% | ||||||||
Electric Utilities — 2.1% | ||||||||
| 10 | Central Vermont Public Service Corp. | 347 | ||||||
| 78 | El Paso Electric Co. | 2,523 | ||||||
| 46 | IDACORP, Inc. | 1,797 | ||||||
| 11 | MGE Energy, Inc. | 430 | ||||||
| 196 | Portland General Electric Co. | 4,942 | ||||||
| 17 | UniSource Energy Corp. | 638 | ||||||
| 37 | Westar Energy, Inc. | 996 | ||||||
|
| |||||||
| 11,673 | ||||||||
|
| |||||||
Gas Utilities — 0.8% | ||||||||
| 8 | Chesapeake Utilities Corp. | 300 | ||||||
| 11 | Laclede Group, Inc. (The) | 416 | ||||||
| 35 | New Jersey Resources Corp. | 1,539 | ||||||
| 3 | Nicor, Inc. | 181 | ||||||
| 11 | Northwest Natural Gas Co. | 479 | ||||||
| 20 | Southwest Gas Corp. | 753 | ||||||
| 12 | WGL Holdings, Inc. | 477 | ||||||
|
| |||||||
| 4,145 | ||||||||
|
| |||||||
Total Utilities | 15,818 | |||||||
|
| |||||||
Total Common Stocks | 445,658 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligation — 0.3% |
| ||||||
| 1,880 | U.S. Treasury Note, 0.750%, 11/30/11 (k) | 1,885 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 17.5% |
| ||||||
Investment Company — 17.5% | ||||||||
| 96,160 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 96,160 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 4.9% |
| ||||||
Investment Company — 4.9% | ||||||||
| 26,812 | JPMorgan Prime Money Market Fund, | 26,812 | ||||||
|
| |||||||
Total Investments — 103.8% | 570,515 | |||||||
Liabilities in Excess of | (20,985 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 549,530 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 1,238 | E-mini Russell 2000 | 09/16/11 | $ | 102,185 | $ | 3,842 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.4% |
| ||||||
Consumer Discretionary — 20.9% | ||||||||
Auto Components — 0.4% |
| |||||||
| 411 | Drew Industries, Inc. | 10,153 | ||||||
|
| |||||||
Distributors — 1.0% |
| |||||||
| 852 | Pool Corp. | 25,398 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
| 1,147 | Archipelago Learning, Inc. (a) (c) | 11,312 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 7.7% |
| |||||||
| 1,004 | Brinker International, Inc. | 24,560 | ||||||
| 523 | Cracker Barrel Old Country Store, Inc. | 25,805 | ||||||
| 731 | Monarch Casino & Resort, Inc. (a) | 7,634 | ||||||
| 1,455 | Papa John’s International, Inc. (a) | 48,393 | ||||||
| 1,323 | Penn National Gaming, Inc. (a) | 53,356 | ||||||
| 507 | PF Chang’s China Bistro, Inc. | 20,398 | ||||||
| 1,547 | Shuffle Master, Inc. (a) | 14,468 | ||||||
|
| |||||||
| 194,614 | ||||||||
|
| |||||||
Household Durables — 3.5% |
| |||||||
| 1,797 | Jarden Corp. | 62,016 | ||||||
| 1,204 | Toll Brothers, Inc. (a) | 24,967 | ||||||
|
| |||||||
| 86,983 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.6% |
| |||||||
| 694 | Brunswick Corp. | 14,160 | ||||||
|
| |||||||
Media — 2.0% |
| |||||||
| 1,174 | Cinemark Holdings, Inc. | 24,319 | ||||||
| 440 | Morningstar, Inc. | 26,725 | ||||||
|
| |||||||
| 51,044 | ||||||||
|
| |||||||
Specialty Retail — 4.2% |
| |||||||
| 1,780 | American Eagle Outfitters, Inc. | 22,697 | ||||||
| 1,660 | Chico’s FAS, Inc. | 25,280 | ||||||
| 812 | Dick’s Sporting Goods, Inc. (a) | 31,218 | ||||||
| 755 | Williams-Sonoma, Inc. | 27,539 | ||||||
|
| |||||||
| 106,734 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 1,079 | Iconix Brand Group, Inc. (a) | 26,105 | ||||||
|
| |||||||
Total Consumer Discretionary | 526,503 | |||||||
|
| |||||||
Consumer Staples — 1.0% | ||||||||
Food Products — 1.0% |
| |||||||
| 533 | J&J Snack Foods Corp. | 26,573 | ||||||
|
| |||||||
Energy — 5.8% | ||||||||
Energy Equipment & Services — 3.7% |
| |||||||
| 1,146 | Exterran Holdings, Inc. (a) | 22,729 | ||||||
| 1,417 | Patterson-UTI Energy, Inc. | 44,776 | ||||||
| 483 | Tidewater, Inc. | 25,963 | ||||||
|
| |||||||
| 93,468 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 2.1% |
| |||||||
| 545 | Approach Resources, Inc. (a) (c) | 12,356 | ||||||
| 299 | Cimarex Energy Co. | 26,868 | ||||||
| 871 | Resolute Energy Corp. (a) (c) | 14,067 | ||||||
|
| |||||||
| 53,291 | ||||||||
|
| |||||||
Total Energy | 146,759 | |||||||
|
| |||||||
Financials — 20.7% | ||||||||
Capital Markets — 5.6% |
| |||||||
| 967 | Calamos Asset Management, Inc., Class A | 14,043 | ||||||
| 122 | Diamond Hill Investment Group, Inc. | 9,902 | ||||||
| 1,038 | Epoch Holding Corp. | 18,524 | ||||||
| 401 | Greenhill & Co., Inc. (c) | 21,591 | ||||||
| 2,215 | HFF, Inc., Class A (a) | 33,422 | ||||||
| 2,194 | Janus Capital Group, Inc. | 20,707 | ||||||
| 405 | JMP Group, Inc. | 2,847 | ||||||
| 1,101 | KBW, Inc. | 20,583 | ||||||
|
| |||||||
| 141,619 | ||||||||
|
| |||||||
Commercial Banks — 6.5% |
| |||||||
| 1,552 | Associated Banc-Corp. | 21,574 | ||||||
| 1,524 | First Financial Bancorp | 25,431 | ||||||
| 80 | First of Long Island Corp. (The) | 2,236 | ||||||
| 464 | First Republic Bank (a) (c) | 14,962 | ||||||
| 681 | Iberiabank Corp. | 39,244 | ||||||
| 3,506 | Umpqua Holdings Corp. | 40,568 | ||||||
| 2,735 | Western Alliance Bancorp (a) | 19,419 | ||||||
|
| |||||||
| 163,434 | ||||||||
|
| |||||||
Insurance — 3.6% |
| |||||||
| 983 | eHealth, Inc. (a) (c) | 13,139 | ||||||
| 869 | ProAssurance Corp. (a) | 60,816 | ||||||
| 264 | RLI Corp. | 16,324 | ||||||
|
| |||||||
| 90,279 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.4% |
| |||||||
| 758 | EastGroup Properties, Inc. | 32,239 | ||||||
| 489 | Mid-America Apartment Communities, Inc. | 32,984 | ||||||
| 1,334 | National Retail Properties, Inc. | 32,688 | ||||||
| 813 | RLJ Lodging Trust (c) | 14,124 | ||||||
|
| |||||||
| 112,035 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
| 447 | FirstService Corp., (Canada) (a) | 15,439 | ||||||
|
| |||||||
Total Financials | 522,806 | |||||||
|
| |||||||
Health Care — 10.6% | ||||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
| 329 | IDEXX Laboratories, Inc. (a) | 25,555 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Health Care Providers & Services — 8.4% |
| |||||||
| 1,763 | Coventry Health Care, Inc. (a) | 64,295 | ||||||
| 479 | MWI Veterinary Supply, Inc. (a) | 38,680 | ||||||
| 1,588 | PSS World Medical, Inc. (a) | 44,469 | ||||||
| 1,272 | VCA Antech, Inc. (a) | 26,962 | ||||||
| 758 | WellCare Health Plans, Inc. (a) | 38,943 | ||||||
|
| |||||||
| 213,349 | ||||||||
|
| |||||||
Health Care Technology — 1.0% |
| |||||||
| 1,550 | Omnicell, Inc. (a) | 24,171 | ||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
| 1,012 | Cumberland Pharmaceuticals, Inc. (a) (c) | 5,819 | ||||||
|
| |||||||
Total Health Care | 268,894 | |||||||
|
| |||||||
Industrials — 15.1% | ||||||||
Aerospace & Defense — 2.1% |
| |||||||
| 576 | TransDigm Group, Inc. (a) | 52,546 | ||||||
|
| |||||||
Air Freight & Logistics — 0.4% |
| |||||||
| 317 | Forward Air Corp. | 10,699 | ||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
| 699 | NCI Building Systems, Inc. (a) | 7,956 | ||||||
|
| |||||||
Commercial Services & Supplies — 5.7% |
| |||||||
| 2,683 | ACCO Brands Corp. (a) | 21,065 | ||||||
| 1,313 | Herman Miller, Inc. | 35,748 | ||||||
| 1,680 | KAR Auction Services, Inc. (a) | 31,770 | ||||||
| 1,757 | Waste Connections, Inc. | 55,764 | ||||||
|
| |||||||
| 144,347 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
| 1,758 | Comfort Systems USA, Inc. | 18,652 | ||||||
|
| |||||||
Electrical Equipment — 0.8% |
| |||||||
| 294 | Regal-Beloit Corp. | 19,604 | ||||||
|
| |||||||
Machinery — 4.1% |
| |||||||
| 502 | Altra Holdings, Inc. (a) | 12,041 | ||||||
| 1,135 | Douglas Dynamics, Inc. | 17,925 | ||||||
| 888 | Kaydon Corp. | 33,153 | ||||||
| 830 | RBC Bearings, Inc. (a) | 31,328 | ||||||
| 159 | Toro Co. (The) | 9,589 | ||||||
|
| |||||||
| 104,036 | ||||||||
|
| |||||||
Professional Services — 0.1% |
| |||||||
| 53 | CoStar Group, Inc. (a) | 3,144 | ||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
| 1,106 | Knight Transportation, Inc. | 18,784 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.0% (g) |
| |||||||
| 19 | Interline Brands, Inc. (a) | 344 | ||||||
|
| |||||||
Total Industrials | 380,112 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 10.8% |
| |||||||
Electronic Equipment, Instruments & |
| |||||||
| 545 | Anixter International, Inc. | 35,578 | ||||||
|
| |||||||
Internet Software & Services — 1.6% |
| |||||||
| 535 | Active Network, Inc. (The) (a) | 9,421 | ||||||
| 1,072 | Dice Holdings, Inc. (a) | 14,497 | ||||||
| 243 | SciQuest, Inc. (a) | 4,157 | ||||||
| 355 | Vocus, Inc. (a) | 10,860 | ||||||
|
| |||||||
| 38,935 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
| 1,430 | Intersil Corp., Class A | 18,374 | ||||||
|
| |||||||
Software — 7.1% |
| |||||||
| 561 | Blackboard, Inc. (a) (c) | 24,324 | ||||||
| 891 | DemandTec, Inc. (a) | 8,109 | ||||||
| 675 | MICROS Systems, Inc. (a) | 33,549 | ||||||
| 1,411 | Monotype Imaging Holdings, Inc. (a) | 19,935 | ||||||
| 554 | NetSuite, Inc. (a) | 21,699 | ||||||
| 545 | SolarWinds, Inc. (a) | 14,257 | ||||||
| 752 | Solera Holdings, Inc. | 44,481 | ||||||
| 447 | SuccessFactors, Inc. (a) | 13,129 | ||||||
|
| |||||||
| 179,483 | ||||||||
|
| |||||||
Total Information Technology | 272,370 | |||||||
|
| |||||||
Materials — 9.0% | ||||||||
Chemicals — 2.0% |
| |||||||
| 320 | Airgas, Inc. | 22,420 | ||||||
| 550 | Scotts Miracle-Gro Co. (The), Class A | 28,203 | ||||||
|
| |||||||
| 50,623 | ||||||||
|
| |||||||
Containers & Packaging — 6.1% |
| |||||||
| 907 | Aptargroup, Inc. | 47,456 | ||||||
| 1,070 | Crown Holdings, Inc. (a) | 41,534 | ||||||
| 1,605 | Silgan Holdings, Inc. | 65,760 | ||||||
|
| |||||||
| 154,750 | ||||||||
|
| |||||||
Metals & Mining — 0.9% |
| |||||||
| 251 | Compass Minerals International, Inc. | 21,612 | ||||||
|
| |||||||
Total Materials | 226,985 | |||||||
|
| |||||||
Telecommunication Services — 0.9% | ||||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
| 1,097 | NTELOS Holdings Corp. | 22,398 | ||||||
|
| |||||||
Utilities — 2.6% | ||||||||
Gas Utilities — 1.1% |
| |||||||
| 607 | Northwest Natural Gas Co. | 27,372 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Multi-Utilities — 1.5% |
| |||||||
| 1,120 | NorthWestern Corp. | 37,078 | ||||||
|
| |||||||
Total Utilities | 64,450 | |||||||
|
| |||||||
Total Common Stocks | 2,457,850 | |||||||
|
| |||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% | ||||||||
| 54,356 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 54,356 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment of Cash Collateral for Securities on Loan — 2.2% |
| ||||||
Investment Company — 2.2% |
| |||||||
| 54,593 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 54,593 | ||||||
|
| |||||||
Total Investments — 101.7% | 2,566,799 | |||||||
Liabilities in Excess of | (42,206 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,524,593 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% |
| ||||||
Consumer Discretionary — 16.4% | ||||||||
Auto Components — 1.0% | ||||||||
| 121 | Gentex Corp. | 3,655 | ||||||
| 85 | Tenneco, Inc. (a) | 3,733 | ||||||
|
| |||||||
| 7,388 | ||||||||
|
| |||||||
Automobiles — 0.5% | ||||||||
| 115 | Tesla Motors, Inc. (a) (c) | 3,335 | ||||||
|
| |||||||
Diversified Consumer Services — 2.2% | ||||||||
| 206 | American Public Education, Inc. (a) | 9,174 | ||||||
| 87 | Sotheby’s | 3,771 | ||||||
| 30 | Strayer Education, Inc. (c) | 3,766 | ||||||
|
| |||||||
| 16,711 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 6.1% | ||||||||
| 112 | BJ’s Restaurants, Inc. (a) | 5,854 | ||||||
| 604 | Boyd Gaming Corp. (a) (c) | 5,258 | ||||||
| 312 | Bravo Brio Restaurant Group, Inc. (a) (c) | 7,614 | ||||||
| 213 | Gaylord Entertainment Co. (a) | 6,384 | ||||||
| 227 | Life Time Fitness, Inc. (a) | 9,052 | ||||||
| 843 | Morgans Hotel Group Co. (a) | 6,063 | ||||||
| 109 | Vail Resorts, Inc. | 5,029 | ||||||
|
| |||||||
| 45,254 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.5% | ||||||||
| 104 | HomeAway, Inc. (a) | 4,009 | ||||||
|
| |||||||
Media — 2.3% | ||||||||
| 69 | Morningstar, Inc. | 4,170 | ||||||
| 448 | National CineMedia, Inc. | 7,577 | ||||||
| 430 | Regal Entertainment Group, Class A | 5,314 | ||||||
|
| |||||||
| 17,061 | ||||||||
|
| |||||||
Specialty Retail — 0.5% | ||||||||
| 141 | Lumber Liquidators Holdings, Inc. (a) (c) | 3,569 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.3% | ||||||||
| 105 | Deckers Outdoor Corp. (a) | 9,263 | ||||||
| 258 | Oxford Industries, Inc. | 8,724 | ||||||
| 182 | Vera Bradley, Inc. (a) | 6,945 | ||||||
|
| |||||||
| 24,932 | ||||||||
|
| |||||||
Total Consumer Discretionary | 122,259 | |||||||
|
| |||||||
Consumer Staples — 0.7% | ||||||||
Food & Staples Retailing — 0.7% | ||||||||
| 131 | Fresh Market, Inc. (The) (a) | 5,071 | ||||||
|
| |||||||
Energy — 6.2% | ||||||||
Energy Equipment & Services — 3.7% | ||||||||
| 48 | CARBO Ceramics, Inc. | 7,887 | ||||||
| 120 | Dril-Quip, Inc. (a) | 8,139 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — Continued | ||||||||
| 348 | Global Geophysical Services, Inc. (a) | 6,200 | ||||||
| 137 | Superior Energy Services, Inc. (a) | 5,084 | ||||||
|
| |||||||
| 27,310 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% | ||||||||
| 213 | Forest Oil Corp. (a) | 5,684 | ||||||
| 296 | Lone Pine Resources, Inc., (Canada) (a) | 3,148 | ||||||
| 586 | Magnum Hunter Resources Corp. (a) | 3,958 | ||||||
| 204 | Petroleum Development Corp. (a) | 6,096 | ||||||
|
| |||||||
| 18,886 | ||||||||
|
| |||||||
Total Energy | 46,196 | |||||||
|
| |||||||
Financials — 6.5% | ||||||||
Capital Markets — 4.3% | ||||||||
| 66 | Affiliated Managers Group, Inc. (a) | 6,726 | ||||||
| 138 | Cohen & Steers, Inc. (c) | 4,558 | ||||||
| 271 | Financial Engines, Inc. (a) | 7,024 | ||||||
| 79 | Greenhill & Co., Inc. (c) | 4,263 | ||||||
| 603 | PennantPark Investment Corp. | 6,757 | ||||||
| 87 | Stifel Financial Corp. (a) | 3,131 | ||||||
|
| |||||||
| 32,459 | ||||||||
|
| |||||||
Commercial Banks — 1.0% | ||||||||
| 77 | City National Corp. | 4,193 | ||||||
| 58 | Signature Bank (a) | 3,318 | ||||||
|
| |||||||
| 7,511 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% | ||||||||
| 51 | MSCI, Inc., Class A (a) | 1,914 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% | ||||||||
| 64 | BRE Properties, Inc. | 3,207 | ||||||
| 113 | Douglas Emmett, Inc. | 2,242 | ||||||
| 22 | Home Properties, Inc. | 1,315 | ||||||
|
| |||||||
| 6,764 | ||||||||
|
| |||||||
Total Financials | 48,648 | |||||||
|
| |||||||
Health Care — 20.3% | ||||||||
Biotechnology — 4.7% | ||||||||
| 126 | Acorda Therapeutics, Inc. (a) (m) | 4,077 | ||||||
| 452 | Ariad Pharmaceuticals, Inc. (a) | 5,119 | ||||||
| 196 | AVEO Pharmaceuticals, Inc. (a) | 4,048 | ||||||
| 195 | Cubist Pharmaceuticals, Inc. (a) | 7,018 | ||||||
| 636 | Halozyme Therapeutics, Inc. (a) | 4,395 | ||||||
| 556 | Idenix Pharmaceuticals, Inc. (a) | 2,779 | ||||||
| 135 | Onyx Pharmaceuticals, Inc. (a) | 4,758 | ||||||
| 27 | Pharmasset, Inc. (a) | 2,996 | ||||||
|
| |||||||
| 35,190 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Health Care Equipment & Supplies — 6.6% | ||||||||
| 699 | DynaVox, Inc., Class A (a) (c) | 5,308 | ||||||
| 867 | Imris, Inc., (Canada) (a) | 5,923 | ||||||
| 429 | Insulet Corp. (a) | 9,521 | ||||||
| 182 | Masimo Corp. | 5,414 | ||||||
| 325 | MELA Sciences, Inc. (a) (c) | 761 | ||||||
| 106 | Merit Medical Systems, Inc. (a) | 1,898 | ||||||
| 627 | Syneron Medical Ltd., (Israel) (a) | 7,603 | ||||||
| 165 | Thoratec Corp. (a) | 5,404 | ||||||
| 275 | Tornier B.V., (Netherlands) (a) (c) | 7,419 | ||||||
|
| |||||||
| 49,251 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.7% | ||||||||
| 429 | Emeritus Corp. (a) (c) | 9,120 | ||||||
| 257 | Health Net, Inc. (a) | 8,257 | ||||||
| 223 | Healthspring, Inc. (a) | 10,269 | ||||||
|
| |||||||
| 27,646 | ||||||||
|
| |||||||
Health Care Technology — 1.3% | ||||||||
| 612 | Omnicell, Inc. (a) | 9,542 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% | ||||||||
| 387 | Bruker Corp. (a) | 7,876 | ||||||
| 222 | Fluidigm Corp. (a) (c) | 3,727 | ||||||
|
| |||||||
| 11,603 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% | ||||||||
| 219 | Aegerion Pharmaceuticals, Inc. (a) (c) | 3,451 | ||||||
| 164 | Impax Laboratories, Inc. (a) | 3,582 | ||||||
| 391 | Nektar Therapeutics (a) | 2,843 | ||||||
| 189 | Sagent Pharmaceuticals, Inc. (a) | 5,087 | ||||||
| 153 | ViroPharma, Inc. (a) | 2,825 | ||||||
|
| |||||||
| 17,788 | ||||||||
|
| |||||||
Total Health Care | 151,020 | |||||||
|
| |||||||
Industrials — 21.9% | ||||||||
Aerospace & Defense — 2.7% | ||||||||
| 268 | DigitalGlobe, Inc. (a) | 6,805 | ||||||
| 248 | HEICO Corp. (c) | 13,550 | ||||||
|
| |||||||
| 20,355 | ||||||||
|
| |||||||
Building Products — 1.9% | ||||||||
| 45 | Lennox International, Inc. | 1,925 | ||||||
| 217 | Simpson Manufacturing Co., Inc. | 6,470 | ||||||
| 245 | Trex Co., Inc. (a) | 6,002 | ||||||
|
| |||||||
| 14,397 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.3% | ||||||||
| 98 | GEO Group, Inc. (The) (a) | 2,251 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 4.6% | ||||||||
| 162 | Acuity Brands, Inc. (m) | 9,036 | ||||||
| 282 | EnerSys (a) | 9,712 | ||||||
| 352 | Generac Holdings, Inc. (a) | 6,835 | ||||||
| 202 | General Cable Corp. (a) | 8,597 | ||||||
|
| |||||||
| 34,180 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.0% | ||||||||
| 150 | Carlisle Cos., Inc. | 7,399 | ||||||
|
| |||||||
Machinery — 3.8% | ||||||||
| 124 | Graco, Inc. | 6,282 | ||||||
| 102 | Middleby Corp. (a) | 9,592 | ||||||
| 131 | Titan International, Inc. | 3,188 | ||||||
| 141 | Wabtec Corp. | 9,266 | ||||||
|
| |||||||
| 28,328 | ||||||||
|
| |||||||
Professional Services — 1.4% | ||||||||
| 147 | Corporate Executive Board Co. (The) | 6,408 | ||||||
| 227 | Mistras Group, Inc. (a) | 3,674 | ||||||
|
| |||||||
| 10,082 | ||||||||
|
| |||||||
Road & Rail — 4.6% | ||||||||
| 561 | Avis Budget Group, Inc. (a) | 9,579 | ||||||
| 290 | Marten Transport Ltd. | 6,270 | ||||||
| 312 | Old Dominion Freight Line, Inc. (a) | 11,644 | ||||||
| 331 | Zipcar, Inc. (a) (c) | 6,762 | ||||||
|
| |||||||
| 34,255 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.6% | ||||||||
| 420 | Rush Enterprises, Inc., Class A (a) | 7,998 | ||||||
| 56 | Watsco, Inc. | 3,828 | ||||||
|
| |||||||
| 11,826 | ||||||||
|
| |||||||
Total Industrials | 163,073 | |||||||
|
| |||||||
Information Technology — 23.1% | ||||||||
Communications Equipment — 1.9% | ||||||||
| 202 | Aruba Networks, Inc. (a) | 5,966 | ||||||
| 151 | Ixia (a) | 1,938 | ||||||
| 157 | Riverbed Technology, Inc. (a) | 6,224 | ||||||
|
| |||||||
| 14,128 | ||||||||
|
| |||||||
Computers & Peripherals — 0.6% | ||||||||
| 158 | Fusion-io, Inc. (a) (c) | 4,764 | ||||||
|
| |||||||
Internet Software & Services — 4.5% | ||||||||
| 194 | Cornerstone OnDemand, Inc. (a) (c) | 3,421 | ||||||
| 330 | DealerTrack Holdings, Inc. (a) | 7,575 | ||||||
| 393 | Envestnet, Inc. (a) | 5,834 | ||||||
| 283 | IntraLinks Holdings, Inc. (a) | 4,883 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
Schedule of PORTFOLIO Investments
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Internet Software & Services — Continued | ||||||||
| 158 | LogMeIn, Inc. (a) | 6,098 | ||||||
| 134 | Rackspace Hosting, Inc. (a) | 5,723 | ||||||
|
| |||||||
| 33,534 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.6% |
| |||||||
| 156 | Cavium, Inc. (a) | 6,778 | ||||||
| 127 | Cymer, Inc. (a) | 6,268 | ||||||
| 117 | Hittite Microwave Corp. (a) | 7,246 | ||||||
| 306 | Inphi Corp. (a) (c) | 5,316 | ||||||
| 204 | Mellanox Technologies Ltd., (Israel) (a) | 6,081 | ||||||
| 225 | TriQuint Semiconductor, Inc. (a) | 2,297 | ||||||
|
| |||||||
| 33,986 | ||||||||
|
| |||||||
Software — 11.5% | ||||||||
| 186 | Blackboard, Inc. (a) (c) | 8,058 | ||||||
| 105 | BroadSoft, Inc. (a) | 3,992 | ||||||
| 112 | Concur Technologies, Inc. (a) | 5,623 | ||||||
| 186 | Fortinet, Inc. (a) | 5,073 | ||||||
| 216 | NetSuite, Inc. (a) | 8,473 | ||||||
| 281 | Nuance Communications, Inc. (a) | 6,026 | ||||||
| 324 | RealD, Inc. (a) (c) | 7,585 | ||||||
| 256 | RealPage, Inc. (a) | 6,779 | ||||||
| 333 | SolarWinds, Inc. (a) | 8,710 | ||||||
| 282 | Sourcefire, Inc. (a) | 8,378 | ||||||
| 275 | Taleo Corp., Class A (a) | 10,181 | ||||||
| 245 | TIBCO Software, Inc. (a) | 7,119 | ||||||
|
| |||||||
| 85,997 | ||||||||
|
| |||||||
Total Information Technology | 172,409 | |||||||
|
| |||||||
Materials — 1.5% | ||||||||
Chemicals — 0.8% | ||||||||
| 182 | Innospec, Inc. (a) | 6,109 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 0.7% | ||||||||
| 337 | Commercial Metals Co. | 4,836 | ||||||
|
| |||||||
Total Materials | 10,945 | |||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 598 | Boingo Wireless, Inc. (a) (c) | 5,425 | ||||||
|
| |||||||
Total Common Stocks | 725,046 | |||||||
|
| |||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% | ||||||||
| 8,543 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 8,543 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 9.2% |
| ||||||
Investment Company — 9.2% | ||||||||
| 68,596 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 68,596 | ||||||
|
| |||||||
Total Investments — 107.6% | 802,185 | |||||||
Liabilities in Excess of | (56,705 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 745,480 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.9% |
| ||||||
Consumer Discretionary — 12.8% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 118 | Superior Industries International, Inc. | 2,598 | ||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 66 | Audiovox Corp., Class A (a) | 501 | ||||||
|
| |||||||
Diversified Consumer Services — 0.8% |
| |||||||
| 17 | Cambium Learning Group, Inc. (a) | 58 | ||||||
| 125 | Lincoln Educational Services Corp. | 2,140 | ||||||
| 22 | Regis Corp. | 334 | ||||||
| 254 | Stewart Enterprises, Inc., Class A | 1,851 | ||||||
|
| |||||||
| 4,383 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.2% |
| |||||||
| 11 | Biglari Holdings, Inc. (a) | 4,458 | ||||||
| 406 | Boyd Gaming Corp. (a) (c) | 3,534 | ||||||
| 183 | Isle of Capri Casinos, Inc. (a) | 1,619 | ||||||
| 207 | O’Charley’s, Inc. (a) | 1,510 | ||||||
| 140 | Ruth’s Hospitality Group, Inc. (a) | 784 | ||||||
| 17 | Scientific Games Corp., Class A (a) | 179 | ||||||
| 25 | Wyndham Worldwide Corp. | 828 | ||||||
|
| |||||||
| 12,912 | ||||||||
|
| |||||||
Household Durables — 2.3% |
| |||||||
| 92 | American Greetings Corp., Class A | 2,217 | ||||||
| 64 | Blyth, Inc. | 3,222 | ||||||
| 9 | CSS Industries, Inc. | 193 | ||||||
| 73 | Helen of Troy Ltd., (Bermuda) (a) | 2,524 | ||||||
| 113 | La-Z-Boy, Inc. (a) | 1,113 | ||||||
| 144 | Leggett & Platt, Inc. | 3,506 | ||||||
| 12 | Lifetime Brands, Inc. | 144 | ||||||
|
| |||||||
| 12,919 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 189 | Orbitz Worldwide, Inc. (a) | 471 | ||||||
| — | (h) | ValueVision Media, Inc., Class A (a) | 1 | |||||
|
| |||||||
| 472 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.7% |
| |||||||
| 46 | Arctic Cat, Inc. (a) | 614 | ||||||
| 27 | Brunswick Corp. | 543 | ||||||
| 128 | JAKKS Pacific, Inc. (a) | 2,364 | ||||||
| 10 | Steinway Musical Instruments, Inc. (a) | 249 | ||||||
|
| |||||||
| 3,770 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
| 101 | Belo Corp., Class A (a) | 760 | ||||||
| 50 | Crown Media Holdings, Inc., Class A (a) (c) | 95 | ||||||
| 89 | Entercom Communications Corp., Class A (a) | 774 | ||||||
| 92 | Journal Communications, Inc., Class A (a) | 474 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
| 82 | LIN TV Corp., Class A (a) | 397 | ||||||
| 32 | LodgeNet Interactive Corp. (a) (c) | 98 | ||||||
| 360 | McClatchy Co. (The), Class A (a) (c) | 1,013 | ||||||
| 20 | Nexstar Broadcasting Group, Inc., Class A (a) | 164 | ||||||
| 21 | Outdoor Channel Holdings, Inc. (a) | 144 | ||||||
| 24 | Pandora Media, Inc. (a) (c) | 456 | ||||||
| 63 | Scholastic Corp. | 1,668 | ||||||
| 403 | Sinclair Broadcast Group, Inc., Class A | 4,426 | ||||||
| 4 | Value Line, Inc. | 51 | ||||||
|
| |||||||
| 10,520 | ||||||||
|
| |||||||
Multiline Retail — 1.2% |
| |||||||
| 102 | Bon-Ton Stores, Inc. (The) (c) | 995 | ||||||
| 111 | Dillard’s, Inc., Class A (c) | 5,772 | ||||||
|
| |||||||
| 6,767 | ||||||||
|
| |||||||
Specialty Retail — 2.7% |
| |||||||
| — | (h) | Cato Corp. (The), Class A | 6 | |||||
| 430 | Conn’s, Inc. (a) (c) | 3,720 | ||||||
| 112 | Finish Line, Inc. (The), Class A | 2,399 | ||||||
| 85 | Midas, Inc. (a) | 538 | ||||||
| 374 | OfficeMax, Inc. (a) | 2,934 | ||||||
| 88 | Rent-A-Center, Inc. | 2,695 | ||||||
| 14 | Signet Jewelers Ltd., (Bermuda) (a) | 655 | ||||||
| 701 | Talbots, Inc. (a) (c) | 2,341 | ||||||
|
| |||||||
| 15,288 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
| 25 | Cherokee, Inc. | 422 | ||||||
| 56 | Oxford Industries, Inc. | 1,891 | ||||||
| 14 | Unifi, Inc. (a) | 188 | ||||||
| 10 | Wolverine World Wide, Inc. | 413 | ||||||
|
| |||||||
| 2,914 | ||||||||
|
| |||||||
Total Consumer Discretionary | 73,044 | |||||||
|
| |||||||
Consumer Staples — 3.5% |
| |||||||
Beverages — 0.1% |
| |||||||
| 36 | MGP Ingredients, Inc. | 316 | ||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
| 47 | Fresh Market, Inc. (The) (a) | 1,810 | ||||||
| 35 | Nash Finch Co. | 1,253 | ||||||
| 5 | Pantry, Inc. (The) (a) | 87 | ||||||
| 3,332 | Rite Aid Corp. (a) | 4,431 | ||||||
| 54 | Spartan Stores, Inc. | 1,049 | ||||||
|
| |||||||
| 8,630 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
| 74 | B&G Foods, Inc. | 1,532 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Food Products — Continued |
| |||||||
| 41 | Dole Food Co., Inc. (a) (c) | 557 | ||||||
| 12 | Farmer Bros Co. | 120 | ||||||
|
| |||||||
| 2,209 | ||||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
| 499 | Central Garden & Pet Co., Class A (a) | 5,068 | ||||||
|
| |||||||
Personal Products — 0.6% |
| |||||||
| 17 | Inter Parfums, Inc. | 402 | ||||||
| 27 | Nu Skin Enterprises, Inc., Class A | 1,010 | ||||||
| 176 | Prestige Brands Holdings, Inc. (a) | 2,255 | ||||||
|
| |||||||
| 3,667 | ||||||||
|
| |||||||
Total Consumer Staples | 19,890 | |||||||
|
| |||||||
Energy — 4.7% |
| |||||||
Energy Equipment & Services — 1.8% |
| |||||||
| 449 | Cal Dive International, Inc. (a) | 2,684 | ||||||
| 1 | Complete Production Services, Inc. (a) | 17 | ||||||
| 22 | Gulf Island Fabrication, Inc. | 710 | ||||||
| 23 | Helix Energy Solutions Group, Inc. (a) | 388 | ||||||
| 673 | Hercules Offshore, Inc. (a) | 3,709 | ||||||
| 27 | Key Energy Services, Inc. (a) | 484 | ||||||
| 81 | Pioneer Drilling Co. (a) | 1,239 | ||||||
| 46 | Tesco Corp. (a) | 889 | ||||||
| 4 | Tetra Technologies, Inc. (a) | 53 | ||||||
|
| |||||||
| 10,173 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.9% |
| |||||||
| 5 | Alon USA Energy, Inc. | 61 | ||||||
| 49 | Cloud Peak Energy, Inc. (a) | 1,033 | ||||||
| 286 | DHT Holdings, Inc., (United Kingdom) (c) | 1,094 | ||||||
| 222 | Energy Partners Ltd. (a) | 3,291 | ||||||
| 12 | Frontline Ltd., (Bermuda) (c) | 183 | ||||||
| 5 | Gevo, Inc. (a) | 80 | ||||||
| 79 | KiOR, Inc., Class A (a) | 1,203 | ||||||
| 29 | Penn Virginia Corp. | 382 | ||||||
| 373 | Petroquest Energy, Inc. (a) (c) | 2,619 | ||||||
| 13 | Solazyme, Inc. (a) (c) | 308 | ||||||
| 85 | Stone Energy Corp. (a) | 2,580 | ||||||
| 2 | VAALCO Energy, Inc. (a) | 11 | ||||||
| 142 | W&T Offshore, Inc. | 3,696 | ||||||
|
| |||||||
| 16,541 | ||||||||
|
| |||||||
Total Energy | 26,714 | |||||||
|
| |||||||
Financials — 32.0% |
| |||||||
Capital Markets — 1.5% |
| |||||||
| 20 | Affiliated Managers Group, Inc. (a) | 2,029 | ||||||
| 18 | GAMCO Investors, Inc., Class A | 829 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
| 46 | Gladstone Capital Corp. | 422 | ||||||
| 41 | Gladstone Investment Corp. | 293 | ||||||
| 92 | Investment Technology Group, Inc. (a) | 1,294 | ||||||
| 34 | Janus Capital Group, Inc. | 323 | ||||||
| 183 | MCG Capital Corp. | 1,113 | ||||||
| 52 | NGP Capital Resources Co. | 427 | ||||||
| 29 | Oppenheimer Holdings, Inc., Class A | 804 | ||||||
| 35 | Piper Jaffray Cos. (a) | 1,011 | ||||||
|
| |||||||
| 8,545 | ||||||||
|
| |||||||
Commercial Banks — 10.6% |
| |||||||
| 49 | 1st Source Corp. | 1,012 | ||||||
| 65 | 1st United Bancorp, Inc. (a) | 403 | ||||||
| 40 | BancFirst Corp. | 1,544 | ||||||
| 81 | Bank of Hawaii Corp. | 3,777 | ||||||
| 103 | Cathay General Bancorp | 1,682 | ||||||
| 30 | Centerstate Banks, Inc. | 206 | ||||||
| 33 | Central Pacific Financial Corp. (a) (c) | 456 | ||||||
| 4 | Century Bancorp, Inc., Class A | 98 | ||||||
| 36 | Chemical Financial Corp. | 674 | ||||||
| 153 | Citizens Republic Bancorp, Inc. (a) | 105 | ||||||
| 87 | City Holding Co. (c) | 2,884 | ||||||
| 68 | Community Bank System, Inc. | 1,676 | ||||||
| 55 | Community Trust Bancorp, Inc. | 1,533 | ||||||
| 23 | Cullen/Frost Bankers, Inc. | 1,279 | ||||||
| 70 | Financial Institutions, Inc. | 1,146 | ||||||
| 97 | First Busey Corp. | 514 | ||||||
| 4 | First Citizens BancShares, Inc., Class A | 711 | ||||||
| 660 | First Commonwealth Financial Corp. | 3,786 | ||||||
| 22 | First Community Bancshares, Inc. | 304 | ||||||
| 123 | First Financial Bancorp | 2,048 | ||||||
| 19 | First Financial Bankshares, Inc. (c) | 644 | ||||||
| 58 | First Interstate Bancsystem, Inc. | 852 | ||||||
| 22 | First Merchants Corp. | 200 | ||||||
| 199 | FirstMerit Corp. | 3,280 | ||||||
| 232 | FNB Corp. | 2,399 | ||||||
| 1 | Fulton Financial Corp. | 13 | ||||||
| 42 | Hancock Holding Co. | 1,298 | ||||||
| 27 | Heartland Financial USA, Inc. | 396 | ||||||
| 28 | Lakeland Bancorp, Inc. | 277 | ||||||
| 14 | Lakeland Financial Corp. | 309 | ||||||
| 130 | MainSource Financial Group, Inc. | 1,080 | ||||||
| 60 | MB Financial, Inc. | 1,149 | ||||||
| 29 | Metro Bancorp, Inc. (a) | 335 | ||||||
| 67 | Nara Bancorp, Inc. (a) | 542 | ||||||
| 150 | Oriental Financial Group, Inc. | 1,928 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
| 11 | S&T Bancorp, Inc. | 201 | ||||||
| 9 | Sierra Bancorp | 96 | ||||||
| 48 | Simmons First National Corp., Class A | 1,234 | ||||||
| 100 | Southwest Bancorp, Inc. (a) | 983 | ||||||
| 29 | State Bancorp, Inc. | 387 | ||||||
| 44 | Sterling Financial Corp. (a) | 701 | ||||||
| 9 | Suffolk Bancorp | 119 | ||||||
| 194 | Susquehanna Bancshares, Inc. | 1,554 | ||||||
| 28 | SVB Financial Group (a) | 1,672 | ||||||
| 219 | TCF Financial Corp. | 3,026 | ||||||
| 20 | Tompkins Financial Corp. | 773 | ||||||
| 72 | Trustmark Corp. | 1,679 | ||||||
| 93 | UMB Financial Corp. | 3,899 | ||||||
| 46 | Umpqua Holdings Corp. | 532 | ||||||
| 16 | United Community Banks, Inc. (a) (c) | 169 | ||||||
| 21 | Washington Trust Bancorp, Inc. | 473 | ||||||
| 9 | West Bancorp, Inc. | 81 | ||||||
| 25 | West Coast Bancorp (a) | 420 | ||||||
| 28 | Westamerica Bancorp | 1,354 | ||||||
| 205 | Wilshire Bancorp, Inc. (a) | 603 | ||||||
|
| |||||||
| 60,496 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
| 112 | Advance America Cash Advance Centers, Inc. | 771 | ||||||
| 15 | CompuCredit Holdings Corp. (a) | 34 | ||||||
| 11 | Credit Acceptance Corp. (a) | 950 | ||||||
| 159 | Dollar Financial Corp. (a) | 3,434 | ||||||
| 53 | Imperial Holdings, Inc. (a) | 543 | ||||||
| 88 | World Acceptance Corp. (a) (c) | 5,737 | ||||||
|
| |||||||
| 11,469 | ||||||||
|
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
| 7 | Marlin Business Services Corp. (a) | 83 | ||||||
| 112 | PHH Corp. (a) | 2,302 | ||||||
|
| |||||||
| 2,385 | ||||||||
|
| |||||||
Insurance — 4.5% |
| |||||||
| 341 | American Equity Investment Life Holding Co. | 4,338 | ||||||
| 52 | Arch Capital Group Ltd., (Bermuda) (a) | 1,673 | ||||||
| 33 | Axis Capital Holdings Ltd., (Bermuda) | 1,025 | ||||||
| 211 | CNO Financial Group, Inc. (a) | 1,666 | ||||||
| 97 | Delphi Financial Group, Inc., Class A | 2,841 | ||||||
| 12 | FBL Financial Group, Inc., Class A | 370 | ||||||
| 37 | Hallmark Financial Services (a) | 293 | ||||||
| 71 | Harleysville Group, Inc. | 2,207 | ||||||
| 169 | Horace Mann Educators Corp. | 2,643 | ||||||
| 52 | Meadowbrook Insurance Group, Inc. | 513 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
| 118 | Platinum Underwriters Holdings Ltd., (Bermuda) | 3,922 | ||||||
| 30 | ProAssurance Corp. (a) | 2,079 | ||||||
| 49 | Selective Insurance Group, Inc. | 797 | ||||||
| 33 | StanCorp Financial Group, Inc. | 1,392 | ||||||
|
| |||||||
| 25,759 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 11.9% |
| |||||||
| 828 | Anworth Mortgage Asset Corp. | 6,221 | ||||||
| 101 | Apartment Investment & Management Co., Class A | 2,566 | ||||||
| 413 | Ashford Hospitality Trust, Inc. | 5,144 | ||||||
| 9 | BioMed Realty Trust, Inc. | 181 | ||||||
| 19 | Brandywine Realty Trust | 218 | ||||||
| 478 | Capstead Mortgage Corp. | 6,411 | ||||||
| 319 | CBL & Associates Properties, Inc. | 5,789 | ||||||
| 20 | Colonial Properties Trust | 418 | ||||||
| 978 | DCT Industrial Trust, Inc. | 5,115 | ||||||
| 27 | Developers Diversified Realty Corp. | 385 | ||||||
| 163 | DiamondRock Hospitality Co. | 1,749 | ||||||
| 13 | EastGroup Properties, Inc. | 544 | ||||||
| 303 | Education Realty Trust, Inc. | 2,593 | ||||||
| 179 | FelCor Lodging Trust, Inc. (a) | 953 | ||||||
| 14 | First Industrial Realty Trust, Inc. (a) | 158 | ||||||
| 42 | Getty Realty Corp. | 1,067 | ||||||
| 34 | Home Properties, Inc. | 2,064 | ||||||
| 99 | Hospitality Properties Trust | 2,391 | ||||||
| 41 | LaSalle Hotel Properties | 1,075 | ||||||
| 364 | Lexington Realty Trust (c) | 3,326 | ||||||
| 51 | LTC Properties, Inc. | 1,408 | ||||||
| 154 | MFA Financial, Inc. | 1,234 | ||||||
| 184 | Mission West Properties, Inc. | 1,618 | ||||||
| 224 | MPG Office Trust, Inc. (a) (c) | 639 | ||||||
| 77 | Parkway Properties, Inc. | 1,317 | ||||||
| 102 | Pennsylvania Real Estate Investment Trust | 1,601 | ||||||
| 68 | PS Business Parks, Inc. | 3,741 | ||||||
| 76 | Strategic Hotels & Resorts, Inc. (a) | 536 | ||||||
| 222 | Sunstone Hotel Investors, Inc. (a) | 2,055 | ||||||
| 32 | Taubman Centers, Inc. | 1,918 | ||||||
| 381 | U-Store-It Trust | 4,008 | ||||||
|
| |||||||
| 68,443 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 29 | Forestar Group, Inc. (a) | 481 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.0% |
| |||||||
| 125 | Astoria Financial Corp. | 1,599 | ||||||
| 11 | Capitol Federal Financial, Inc. | 125 | ||||||
| 84 | Doral Financial Corp. (a) | 165 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Thrifts & Mortgage Finance — Continued |
| |||||||
| 12 | ESB Financial Corp. | 156 | ||||||
| 11 | First Financial Holdings, Inc. | 102 | ||||||
| 231 | MGIC Investment Corp. (a) | 1,372 | ||||||
| 27 | OceanFirst Financial Corp. | 355 | ||||||
| 77 | Ocwen Financial Corp. (a) | 982 | ||||||
| 240 | PMI Group, Inc. (The) (a) | 256 | ||||||
| 7 | Waterstone Financial, Inc. (a) | 15 | ||||||
| 13 | WSFS Financial Corp. | 500 | ||||||
|
| |||||||
| 5,627 | ||||||||
|
| |||||||
Total Financials | 183,205 | |||||||
|
| |||||||
Health Care — 6.1% |
| |||||||
Biotechnology — 1.0% |
| |||||||
| 56 | Achillion Pharmaceuticals, Inc. (a) | 415 | ||||||
| 123 | Alkermes, Inc. (a) | 2,278 | ||||||
| 4 | Bionovo, Inc. (a) | 3 | ||||||
| 178 | Exelixis, Inc. (a) | 1,592 | ||||||
| 735 | Lexicon Pharmaceuticals, Inc. (a) | 1,293 | ||||||
| 9 | Nabi Biopharmaceuticals (a) | 46 | ||||||
| 5 | Targacept, Inc. (a) | 110 | ||||||
|
| |||||||
| 5,737 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
| 1 | Biolase Technology, Inc. (a) | 4 | ||||||
| 190 | Greatbatch, Inc. (a) | 5,106 | ||||||
| 56 | Invacare Corp. | 1,862 | ||||||
|
| |||||||
| 6,972 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.0% |
| |||||||
| 220 | Cross Country Healthcare, Inc. (a) | 1,672 | ||||||
| 81 | LCA-Vision, Inc. (a) | 389 | ||||||
| 131 | Magellan Health Services, Inc. (a) | 7,188 | ||||||
| 194 | PharMerica Corp. (a) | 2,474 | ||||||
| 41 | Universal American Corp. | 448 | ||||||
| 27 | US Physical Therapy, Inc. | 675 | ||||||
| 133 | Vanguard Health Systems, Inc. (a) (c) | 2,275 | ||||||
| 41 | WellCare Health Plans, Inc. (a) | 2,118 | ||||||
|
| |||||||
| 17,239 | ||||||||
|
| |||||||
Health Care Technology — 0.0% (g) |
| |||||||
| 9 | ePocrates, Inc. (a) (c) | 168 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
| 198 | Affymetrix, Inc. (a) | 1,573 | ||||||
| 28 | Pacific Biosciences of California, Inc. (a) (c) | 325 | ||||||
|
| |||||||
| 1,898 | ||||||||
|
| |||||||
Pharmaceuticals — 0.6% |
| |||||||
| 162 | Medicines Co. (The) (a) | 2,680 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued |
| |||||||
| 21 | Sagent Pharmaceuticals, Inc. (a) | 558 | ||||||
|
| |||||||
| 3,238 | ||||||||
|
| |||||||
Total Health Care | 35,252 | |||||||
|
| |||||||
Industrials — 13.9% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 48 | Ceradyne, Inc. (a) | 1,875 | ||||||
| 88 | Cubic Corp. | 4,508 | ||||||
| 347 | GenCorp, Inc. (a) | 2,225 | ||||||
|
| |||||||
| 8,608 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
| 15 | Atlas Air Worldwide Holdings, Inc. (a) | 911 | ||||||
| 184 | Pacer International, Inc. (a) | 868 | ||||||
|
| |||||||
| 1,779 | ||||||||
|
| |||||||
Airlines — 1.0% |
| |||||||
| 22 | Alaska Air Group, Inc. (a) | 1,520 | ||||||
| 124 | Hawaiian Holdings, Inc. (a) | 706 | ||||||
| 216 | Republic Airways Holdings, Inc. (a) | 1,181 | ||||||
| 165 | SkyWest, Inc. | 2,489 | ||||||
|
| |||||||
| 5,896 | ||||||||
|
| |||||||
Building Products — 1.1% |
| |||||||
| 201 | Gibraltar Industries, Inc. (a) | 2,280 | ||||||
| 86 | Insteel Industries, Inc. | 1,084 | ||||||
| 5 | NCI Building Systems, Inc. (a) | 56 | ||||||
| 163 | Quanex Building Products Corp. | 2,672 | ||||||
| 18 | Trex Co., Inc. (a) | 450 | ||||||
|
| |||||||
| 6,542 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.9% |
| |||||||
| 99 | ACCO Brands Corp. (a) | 776 | ||||||
| 61 | American Reprographics Co. (a) | 429 | ||||||
| 345 | EnergySolutions, Inc. | 1,703 | ||||||
| 56 | G&K Services, Inc., Class A | 1,896 | ||||||
| 60 | HNI Corp. | 1,515 | ||||||
| 28 | Knoll, Inc. | 560 | ||||||
| 11 | M&F Worldwide Corp. (a) | 292 | ||||||
| 129 | Steelcase, Inc., Class A (c) | 1,470 | ||||||
| 55 | United Stationers, Inc. | 1,949 | ||||||
|
| |||||||
| 10,590 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
| 8 | Argan, Inc. (a) | 76 | ||||||
| 157 | EMCOR Group, Inc. (a) | 4,596 | ||||||
| 20 | Pike Electric Corp. (a) | 179 | ||||||
|
| |||||||
| 4,851 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Electrical Equipment — 0.1% |
| |||||||
| 70 | LSI Industries, Inc. | 555 | ||||||
|
| |||||||
Industrial Conglomerates — 0.7% |
| |||||||
| — | (h) | Seaboard Corp. | 399 | |||||
| 46 | Standex International Corp. | 1,411 | ||||||
| 120 | Tredegar Corp. | 2,205 | ||||||
| 3 | United Capital Corp. (a) | 78 | ||||||
|
| |||||||
| 4,093 | ||||||||
|
| |||||||
Machinery — 2.8% |
| |||||||
| 49 | AGCO Corp. (a) | 2,394 | ||||||
| 60 | American Railcar Industries, Inc. (a) | 1,409 | ||||||
| 130 | Briggs & Stratton Corp. | 2,578 | ||||||
| 10 | Cascade Corp. | 466 | ||||||
| 1 | CIRCOR International, Inc. | 39 | ||||||
| 80 | Douglas Dynamics, Inc. | 1,260 | ||||||
| 13 | Hurco Cos., Inc (a) | 409 | ||||||
| 20 | Kadant, Inc. (a) | 640 | ||||||
| 16 | LB Foster Co., Class A | 510 | ||||||
| 145 | Meritor, Inc. (a) | 2,327 | ||||||
| 35 | Mueller Industries, Inc. | 1,342 | ||||||
| 151 | Mueller Water Products, Inc., Class A | 599 | ||||||
| 18 | NACCO Industries, Inc., Class A | 1,714 | ||||||
| 12 | Tecumseh Products Co., Class A (a) | 124 | ||||||
| 11 | Watts Water Technologies, Inc., Class A | 375 | ||||||
|
| |||||||
| 16,186 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
| 108 | Excel Maritime Carriers Ltd., (Greece) (a) (c) | 334 | ||||||
| 30 | International Shipholding Corp. | 636 | ||||||
|
| |||||||
| 970 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 11 | Barrett Business Services, Inc. | 162 | ||||||
| 4 | FTI Consulting, Inc. (a) | 167 | ||||||
| 45 | ICF International, Inc. (a) | 1,152 | ||||||
| 162 | School Specialty, Inc. (a) | 2,333 | ||||||
| 136 | SFN Group, Inc. (a) | 1,234 | ||||||
|
| |||||||
| 5,048 | ||||||||
|
| |||||||
Road & Rail — 1.1% |
| |||||||
| 2 | Amerco, Inc. (a) | 192 | ||||||
| 29 | Arkansas Best Corp. | 695 | ||||||
| 25 | Celadon Group, Inc. (a) | 355 | ||||||
| 20 | Heartland Express, Inc. | 333 | ||||||
| 148 | Saia, Inc. (a) | 2,502 | ||||||
| 74 | Werner Enterprises, Inc. | 1,849 | ||||||
| 12 | Zipcar, Inc. (a) (c) | 243 | ||||||
|
| |||||||
| 6,169 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 1.5% |
| |||||||
| 82 | Aircastle Ltd. | 1,045 | ||||||
| 127 | Applied Industrial Technologies, Inc. | 4,521 | ||||||
| 14 | Interline Brands, Inc. (a) | 255 | ||||||
| 47 | TAL International Group, Inc. | 1,623 | ||||||
| 18 | WESCO International, Inc. (a) | 974 | ||||||
|
| |||||||
| 8,418 | ||||||||
|
| |||||||
Total Industrials | 79,705 | |||||||
|
| |||||||
Information Technology — 11.4% |
| |||||||
Communications Equipment — 1.8% |
| |||||||
| 100 | Arris Group, Inc. (a) | 1,156 | ||||||
| 16 | Bel Fuse, Inc., Class B | 354 | ||||||
| 55 | Black Box Corp. | 1,726 | ||||||
| 191 | Comtech Telecommunications Corp. | 5,364 | ||||||
| 31 | Emulex Corp. (a) | 270 | ||||||
| 8 | InterDigital, Inc. | 343 | ||||||
| 59 | Oplink Communications, Inc. (a) | 1,097 | ||||||
| 20 | Tekelec (a) | 184 | ||||||
|
| |||||||
| 10,494 | ||||||||
|
| |||||||
Computers & Peripherals — 0.9% |
| |||||||
| 194 | Electronics for Imaging, Inc. (a) | 3,337 | ||||||
| 34 | Fusion-io, Inc. (a) (c) | 1,011 | ||||||
| 53 | Imation Corp. (a) | 502 | ||||||
|
| |||||||
| 4,850 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.0% |
| |||||||
| 49 | Agilysys, Inc. (a) (c) | 404 | ||||||
| 18 | Anixter International, Inc. | 1,156 | ||||||
| 79 | Cognex Corp. | 2,810 | ||||||
| 101 | Coherent, Inc. (a) | 5,555 | ||||||
| 58 | CTS Corp. | 559 | ||||||
| 36 | Electro Rent Corp. | 609 | ||||||
| 85 | Methode Electronics, Inc. | 988 | ||||||
| 9 | NeoPhotonics Corp. (a) | 64 | ||||||
| 42 | Newport Corp. (a) | 763 | ||||||
| 54 | Park Electrochemical Corp. | 1,498 | ||||||
| 105 | Power-One, Inc. (a) (c) | 849 | ||||||
| 41 | Tech Data Corp. (a) | 1,990 | ||||||
|
| |||||||
| 17,245 | ||||||||
|
| |||||||
Internet Software & Services — 0.6% |
| |||||||
| 59 | Cornerstone OnDemand, Inc. (a) | 1,038 | ||||||
| 14 | Demand Media, Inc. (a) (c) | 191 | ||||||
| 49 | Perficient, Inc. (a) | 502 | ||||||
| 20 | Responsys, Inc. (a) | 347 | ||||||
| 220 | United Online, Inc. | 1,326 | ||||||
|
| |||||||
| 3,404 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — 1.3% |
| |||||||
| 92 | CIBER, Inc. (a) | 508 | ||||||
| 91 | Convergys Corp. (a) | 1,236 | ||||||
| 152 | CSG Systems International, Inc. (a) | 2,800 | ||||||
| 60 | Euronet Worldwide, Inc. (a) | 931 | ||||||
| 123 | Global Cash Access Holdings, Inc. (a) | 392 | ||||||
| 44 | ServiceSource International, Inc. (a) | 980 | ||||||
| 8 | Stream Global Services, Inc. (a) | 25 | ||||||
| 31 | Unisys Corp. (a) | 798 | ||||||
|
| |||||||
| 7,670 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 12 | Alpha & Omega Semiconductor Ltd. (a) | 164 | ||||||
| 71 | Brooks Automation, Inc. (a) | 767 | ||||||
| 56 | DSP Group, Inc. (a) | 491 | ||||||
| 41 | Exar Corp. (a) | 256 | ||||||
| 74 | Integrated Device Technology, Inc. (a) | 583 | ||||||
| 34 | IXYS Corp. (a) | 509 | ||||||
| 158 | Lattice Semiconductor Corp. (a) | 1,030 | ||||||
| 124 | LTX-Credence Corp. (a) | 1,109 | ||||||
| 35 | Microsemi Corp. (a) | 713 | ||||||
| 52 | MIPS Technologies, Inc. (a) | 357 | ||||||
| 60 | Novellus Systems, Inc. (a) | 2,165 | ||||||
| 30 | Photronics, Inc. (a) | 255 | ||||||
| 56 | RF Micro Devices, Inc. (a) | 341 | ||||||
| 20 | Rudolph Technologies, Inc. (a) | 210 | ||||||
| 63 | Sigma Designs, Inc. (a) | 481 | ||||||
| 23 | Supertex, Inc. (a) | 517 | ||||||
| 93 | Tessera Technologies, Inc. (a) | 1,592 | ||||||
|
| |||||||
| 11,540 | ||||||||
|
| |||||||
Software — 1.8% |
| |||||||
| 183 | Aspen Technology, Inc. (a) | 3,146 | ||||||
| 54 | EPIQ Systems, Inc. | 761 | ||||||
| 54 | Fair Isaac Corp. | 1,616 | ||||||
| 6 | MicroStrategy, Inc., Class A (a) | 927 | ||||||
| 25 | Renaissance Learning, Inc. | 316 | ||||||
| 26 | S1 Corp. (a) | 197 | ||||||
| 36 | THQ, Inc. (a) (c) | 131 | ||||||
| 104 | TIBCO Software, Inc. (a) | 3,012 | ||||||
|
| |||||||
| 10,106 | ||||||||
|
| |||||||
Total Information Technology | 65,309 | |||||||
|
| |||||||
Materials — 5.0% |
| |||||||
Chemicals — 2.2% |
| |||||||
| 102 | Georgia Gulf Corp. (a) | 2,455 | ||||||
| 80 | Innophos Holdings, Inc. | 3,899 | ||||||
| 63 | Minerals Technologies, Inc. | 4,170 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 36 | PolyOne Corp. | 563 | ||||||
| 215 | Spartech Corp. (a) | 1,311 | ||||||
|
| |||||||
| 12,398 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
| 28 | Headwaters, Inc. (a) | 87 | ||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
| 18 | Boise, Inc. | 137 | ||||||
| 203 | Graphic Packaging Holding Co. (a) | 1,107 | ||||||
| 106 | Myers Industries, Inc. | 1,090 | ||||||
| 5 | Rock-Tenn Co., Class A | 338 | ||||||
|
| |||||||
| 2,672 | ||||||||
|
| |||||||
Metals & Mining — 1.5% |
| |||||||
| 96 | AM Castle & Co. (a) | 1,588 | ||||||
| 238 | Hecla Mining Co. (a) | 1,830 | ||||||
| 239 | Worthington Industries, Inc. | 5,512 | ||||||
|
| |||||||
| 8,930 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
| 35 | Buckeye Technologies, Inc. | 936 | ||||||
| 18 | Domtar Corp., (Canada) | 1,724 | ||||||
| 80 | Neenah Paper, Inc. | 1,709 | ||||||
|
| |||||||
| 4,369 | ||||||||
|
| |||||||
Total Materials | 28,456 | |||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.5% |
| |||||||
| 30 | Boingo Wireless, Inc. (a) | 268 | ||||||
| 41 | Consolidated Communications Holdings, Inc. | 790 | ||||||
| 377 | Vonage Holdings Corp. (a) | 1,664 | ||||||
|
| |||||||
| 2,722 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
| 147 | USA Mobility, Inc. | 2,235 | ||||||
|
| |||||||
Total Telecommunication Services | 4,957 | |||||||
|
| |||||||
Utilities — 6.6% |
| |||||||
Electric Utilities — 2.0% |
| |||||||
| 152 | El Paso Electric Co. | 4,919 | ||||||
| 181 | Portland General Electric Co. | 4,576 | ||||||
| 52 | UniSource Energy Corp. | 1,941 | ||||||
|
| |||||||
| 11,436 | ||||||||
|
| |||||||
Gas Utilities — 2.6% |
| |||||||
| 132 | Laclede Group, Inc. (The) | 4,998 | ||||||
| 12 | New Jersey Resources Corp. | 522 | ||||||
| 105 | Nicor, Inc. | 5,742 | ||||||
| 23 | Piedmont Natural Gas Co., Inc. | 708 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Gas Utilities — Continued |
| |||||||
| 77 | Southwest Gas Corp. | 2,977 | ||||||
| 5 | UGI Corp. | 172 | ||||||
|
| |||||||
| 15,119 | ||||||||
|
| |||||||
Multi-Utilities — 1.8% |
| |||||||
| 177 | Avista Corp. | 4,545 | ||||||
| 34 | Black Hills Corp. | 1,023 | ||||||
| 145 | NorthWestern Corp. | 4,804 | ||||||
|
| |||||||
| 10,372 | ||||||||
|
| |||||||
Water Utilities — 0.2% |
| |||||||
| 33 | California Water Service Group (c) | 619 | ||||||
| 33 | Consolidated Water Co., Ltd., (Cayman Islands) | 301 | ||||||
|
| |||||||
| 920 | ||||||||
|
| |||||||
Total Utilities | 37,847 | |||||||
|
| |||||||
Total Common Stocks | 554,379 | |||||||
|
| |||||||
| NUMBER OF RIGHTS | ||||||||
| Right — 0.0% (g) |
| ||||||
Industrials — 0.0% (g) |
| |||||||
Trading Companies & Distributors — 0.0% (g) | ||||||||
| 40 | BlueLinx Holdings, Inc., expiring 07/22/11 (a) | 7 | ||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | SECURITY DESCRIPTION | VALUE($) | ||||||
| U.S. Treasury Obligation — 0.1% |
| ||||||
| 885 | U.S. Treasury Note, 0.750%, 11/30/11 (k) | 888 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.5% |
| ||||||
Investment Company — 2.5% | ||||||||
| 14,221 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 14,221 | ||||||
|
| |||||||
| Investments of Cash Collateral for Securities on Loan — 5.1% |
| ||||||
Investment Company — 5.1% | ||||||||
| 29,152 | JPMorgan Prime Money Market Fund, | 29,152 | ||||||
|
| |||||||
Total Investments — 104.6% | 598,647 | |||||||
Liabilities in Excess of | (26,270 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 572,377 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 200 | E-mini Russell 2000 | 09/16/11 | $ | 16,508 | $ | 667 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% |
| ||||||
Consumer Discretionary — 14.7% |
| |||||||
Auto Components — 0.8% |
| |||||||
| 6 | Dana Holding Corp. (a) | 110 | ||||||
| 9 | Drew Industries, Inc. | 225 | ||||||
| 3 | Shiloh Industries, Inc. | 27 | ||||||
| 10 | Superior Industries International, Inc. | 216 | ||||||
|
| |||||||
| 578 | ||||||||
|
| |||||||
Automobiles — 0.2% |
| |||||||
| 18 | Winnebago Industries, Inc. (a) | 173 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% |
| |||||||
| 16 | Ameristar Casinos, Inc. | 382 | ||||||
| 2 | Biglari Holdings, Inc. (a) | 665 | ||||||
| 7 | Cheesecake Factory, Inc. (The) (a) | 220 | ||||||
| 1 | DineEquity, Inc. (a) | 57 | ||||||
| 11 | Monarch Casino & Resort, Inc. (a) | 116 | ||||||
| 9 | O’Charley’s, Inc. (a) | 68 | ||||||
| 7 | Red Robin Gourmet Burgers, Inc. (a) | 269 | ||||||
| 28 | Town Sports International Holdings, Inc. (a) | 210 | ||||||
|
| |||||||
| 1,987 | ||||||||
|
| |||||||
Household Durables — 2.8% |
| |||||||
| 24 | American Greetings Corp., Class A (c) | 572 | ||||||
| 6 | Blyth, Inc. | 312 | ||||||
| 4 | CSS Industries, Inc. | 88 | ||||||
| 13 | Furniture Brands International, Inc. (a) (c) | 53 | ||||||
| 7 | Helen of Troy Ltd., (Bermuda) (a) | 231 | ||||||
| 19 | Leggett & Platt, Inc. | 471 | ||||||
| 17 | Lifetime Brands, Inc. | 194 | ||||||
|
| |||||||
| 1,921 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 6 | PetMed Express, Inc. | 68 | ||||||
|
| |||||||
Leisure Equipment & Products — 1.6% |
| |||||||
| 13 | Arctic Cat, Inc. (a) | 175 | ||||||
| 11 | Brunswick Corp. | 226 | ||||||
| 38 | JAKKS Pacific, Inc. (a) (c) | 703 | ||||||
|
| |||||||
| 1,104 | ||||||||
|
| |||||||
Media — 1.9% |
| |||||||
| 14 | Entercom Communications Corp., Class A (a) | 119 | ||||||
| 13 | Global Sources Ltd., (Bermuda) (a) | 115 | ||||||
| 11 | Journal Communications, Inc., Class A (a) | 56 | ||||||
| 12 | LodgeNet Interactive Corp. (a) (c) | 37 | ||||||
| 65 | McClatchy Co. (The), Class A (a) (c) | 182 | ||||||
| 4 | Nexstar Broadcasting Group, Inc., Class A (a) | 36 | ||||||
| 3 | Outdoor Channel Holdings, Inc. (a) | 20 | ||||||
| 3 | Pandora Media, Inc. (a) (c) | 55 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
| 9 | Scholastic Corp. | 229 | ||||||
| 43 | Sinclair Broadcast Group, Inc., Class A | 473 | ||||||
|
| |||||||
| 1,322 | ||||||||
|
| |||||||
Multiline Retail — 1.2% |
| |||||||
| 5 | Bon-Ton Stores, Inc. (The) (c) | 45 | ||||||
| 15 | Dillard’s, Inc., Class A (c) | 766 | ||||||
|
| |||||||
| 811 | ||||||||
|
| |||||||
Specialty Retail — 2.0% |
| |||||||
| 19 | Conn’s, Inc. (a) (c) | 168 | ||||||
| 37 | Finish Line, Inc. (The), Class A | 787 | ||||||
| 22 | Midas, Inc. (a) | 136 | ||||||
| 35 | OfficeMax, Inc. (a) | 271 | ||||||
| 1 | Rent-A-Center, Inc. | 34 | ||||||
|
| |||||||
| 1,396 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
| 41 | Liz Claiborne, Inc. (a) (c) | 220 | ||||||
| 6 | Movado Group, Inc. | 96 | ||||||
| 7 | Oxford Industries, Inc. | 250 | ||||||
| 2 | Timberland Co. (The), Class A (a) | 99 | ||||||
| 10 | Unifi, Inc. (a) | 131 | ||||||
|
| |||||||
| 796 | ||||||||
|
| |||||||
Total Consumer Discretionary | 10,156 | |||||||
|
| |||||||
Consumer Staples — 3.0% |
| |||||||
Beverages — 0.6% |
| |||||||
| 38 | MGP Ingredients, Inc. | 332 | ||||||
| 5 | National Beverage Corp. | 72 | ||||||
|
| |||||||
| 404 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.0% |
| |||||||
| 1 | Arden Group, Inc., Class A | 120 | ||||||
| 9 | Fresh Market, Inc. (The) (a) | 336 | ||||||
| 3 | Pantry, Inc. (The) (a) | 56 | ||||||
| 156 | Rite Aid Corp. (a) | 207 | ||||||
|
| |||||||
| 719 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
| 8 | B&G Foods, Inc. | 159 | ||||||
| 6 | Dole Food Co., Inc. (a) (c) | 77 | ||||||
|
| |||||||
| 236 | ||||||||
|
| |||||||
Household Products — 0.0% (g) |
| |||||||
| 1 | Central Garden & Pet Co., Class A (a) | 11 | ||||||
|
| |||||||
Personal Products — 1.1% |
| |||||||
| 8 | Herbalife Ltd., (Cayman Islands) | 450 | ||||||
| 2 | Inter Parfums, Inc. | 53 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Personal Products — Continued |
| |||||||
| 3 | Nature’s Sunshine Products, Inc. (a) | 64 | ||||||
| 13 | Prestige Brands Holdings, Inc. (a) | 167 | ||||||
|
| |||||||
| 734 | ||||||||
|
| |||||||
Total Consumer Staples | 2,104 | |||||||
|
| |||||||
Energy — 6.5% |
| |||||||
Energy Equipment & Services — 2.1% |
| |||||||
| 93 | Cal Dive International, Inc. (a) | 556 | ||||||
| 5 | Complete Production Services, Inc. (a) | 163 | ||||||
| 4 | Dresser-Rand Group, Inc. (a) | 210 | ||||||
| 6 | Global Geophysical Services, Inc. (a) | 112 | ||||||
| 2 | Gulf Island Fabrication, Inc. | 58 | ||||||
| 12 | Hercules Offshore, Inc. (a) | 68 | ||||||
| 7 | ION Geophysical Corp. (a) | 63 | ||||||
| 4 | Patterson-UTI Energy, Inc. | 123 | ||||||
| 8 | Pioneer Drilling Co. (a) | 128 | ||||||
|
| |||||||
| 1,481 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.4% |
| |||||||
| 1 | Clayton Williams Energy, Inc. (a) | 42 | ||||||
| 17 | Cloud Peak Energy, Inc. (a) | 351 | ||||||
| 24 | Delek US Holdings, Inc. | 380 | ||||||
| 28 | Energy Partners Ltd. (a) | 416 | ||||||
| 3 | Frontline Ltd., (Bermuda) (c) | 47 | ||||||
| 1 | Gevo, Inc. (a) | 8 | ||||||
| 9 | KiOR, Inc., Class A (a) | 139 | ||||||
| 7 | McMoRan Exploration Co. (a) | 124 | ||||||
| 26 | Petroquest Energy, Inc. (a) (c) | 182 | ||||||
| 2 | Solazyme, Inc. (a) | 46 | ||||||
| 10 | Stone Energy Corp. (a) | 289 | ||||||
| 5 | Swift Energy Co. (a) | 183 | ||||||
| 33 | VAALCO Energy, Inc. (a) | 199 | ||||||
| 24 | W&T Offshore, Inc. | 614 | ||||||
| — | (h) | World Fuel Services Corp. (c) | 7 | |||||
|
| |||||||
| 3,027 | ||||||||
|
| |||||||
Total Energy | 4,508 | |||||||
|
| |||||||
Financials — 19.1% |
| |||||||
Capital Markets — 1.0% |
| |||||||
| 4 | Affiliated Managers Group, Inc. (a) | 396 | ||||||
| 5 | Federated Investors, Inc., Class B (c) | 110 | ||||||
| 4 | Gladstone Capital Corp. | 32 | ||||||
| 1 | Janus Capital Group, Inc. | 6 | ||||||
| 5 | NGP Capital Resources Co. | 39 | ||||||
| 2 | Piper Jaffray Cos. (a) | 60 | ||||||
| 11 | Pzena Investment Management, Inc., Class A | 62 | ||||||
|
| |||||||
| 705 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — 5.1% |
| |||||||
| 4 | 1st Source Corp. | 81 | ||||||
| 9 | BancFirst Corp. | 340 | ||||||
| 8 | Cathay General Bancorp | 126 | ||||||
| 9 | City Holding Co. (c) | 301 | ||||||
| 8 | Financial Institutions, Inc. | 133 | ||||||
| 57 | First Commonwealth Financial Corp. | 326 | ||||||
| 15 | First Financial Bancorp | 257 | ||||||
| 4 | First Interstate Bancsystem, Inc. | 52 | ||||||
| 3 | First Merchants Corp. | 22 | ||||||
| 13 | FNB Corp. | 135 | ||||||
| 2 | Hampton Roads Bankshares, Inc. (a) | 17 | ||||||
| 4 | Heartland Financial USA, Inc. | 57 | ||||||
| 3 | MainSource Financial Group, Inc. | 27 | ||||||
| 7 | Nara Bancorp, Inc. (a) | 54 | ||||||
| 17 | Oriental Financial Group, Inc. | 213 | ||||||
| 4 | Sierra Bancorp | 47 | ||||||
| 9 | Simmons First National Corp., Class A | 226 | ||||||
| 22 | Southwest Bancorp, Inc. (a) | 219 | ||||||
| 12 | Suffolk Bancorp | 162 | ||||||
| 12 | Susquehanna Bancshares, Inc. | 98 | ||||||
| 1 | SVB Financial Group (a) (c) | 84 | ||||||
| 21 | TCF Financial Corp. (c) | 286 | ||||||
| 3 | UMB Financial Corp. | 117 | ||||||
| 6 | West Bancorp, Inc. | 53 | ||||||
| 25 | Wilshire Bancorp, Inc. (a) | 73 | ||||||
|
| |||||||
| 3,506 | ||||||||
|
| |||||||
Consumer Finance — 2.2% |
| |||||||
| 9 | Advance America Cash Advance Centers, Inc. | 61 | ||||||
| 4 | Credit Acceptance Corp. (a) | 313 | ||||||
| 26 | Dollar Financial Corp. (a) | 556 | ||||||
| 7 | Imperial Holdings, Inc. (a) | 75 | ||||||
| 8 | World Acceptance Corp. (a) (c) | 531 | ||||||
|
| |||||||
| 1,536 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
| 10 | Marlin Business Services Corp. (a) | 122 | ||||||
| 10 | PHH Corp. (a) | 195 | ||||||
| 2 | Portfolio Recovery Associates, Inc. (a) | 178 | ||||||
|
| |||||||
| 495 | ||||||||
|
| |||||||
Insurance — 2.5% |
| |||||||
| 26 | American Equity Investment Life Holding Co. | 334 | ||||||
| 1 | Aspen Insurance Holdings Ltd., (Bermuda) | 36 | ||||||
| 3 | Axis Capital Holdings Ltd., (Bermuda) | 99 | ||||||
| 37 | CNO Financial Group, Inc. (a) | 289 | ||||||
| 1 | Delphi Financial Group, Inc., Class A | 20 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 5 | Harleysville Group, Inc. (c) | 141 | ||||||
| 7 | Meadowbrook Insurance Group, Inc. | 66 | ||||||
| 4 | Navigators Group, Inc. (The) (a) | 165 | ||||||
| 10 | Platinum Underwriters Holdings Ltd., (Bermuda) | 316 | ||||||
| 4 | ProAssurance Corp. (a) | 245 | ||||||
|
| |||||||
| 1,711 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.1% |
| |||||||
| 23 | Anworth Mortgage Asset Corp. | 171 | ||||||
| 14 | Ashford Hospitality Trust, Inc. | 171 | ||||||
| 1 | Associated Estates Realty Corp. | 18 | ||||||
| 4 | BioMed Realty Trust, Inc. | 75 | ||||||
| 31 | Capstead Mortgage Corp. | 414 | ||||||
| 9 | CBL & Associates Properties, Inc. | 165 | ||||||
| 2 | Colonial Properties Trust | 42 | ||||||
| 20 | DCT Industrial Trust, Inc. (c) | 106 | ||||||
| 10 | DiamondRock Hospitality Co. | 108 | ||||||
| 4 | EastGroup Properties, Inc. | 166 | ||||||
| 9 | Education Realty Trust, Inc. | 78 | ||||||
| 1 | Equity Lifestyle Properties, Inc. | 69 | ||||||
| 19 | FelCor Lodging Trust, Inc. (a) | 99 | ||||||
| 4 | Home Properties, Inc. | 237 | ||||||
| 9 | Hospitality Properties Trust | 221 | ||||||
| 35 | Lexington Realty Trust (c) | 316 | ||||||
| 15 | LTC Properties, Inc. | 428 | ||||||
| 30 | MFA Financial, Inc. | 244 | ||||||
| 1 | Mid-America Apartment Communities, Inc. | 47 | ||||||
| 12 | Mission West Properties, Inc. | 102 | ||||||
| 40 | MPG Office Trust, Inc. (a) (c) | 115 | ||||||
| 12 | Pennsylvania Real Estate Investment Trust | 182 | ||||||
| 4 | PS Business Parks, Inc. | 215 | ||||||
| 18 | Ramco-Gershenson Properties Trust | 225 | ||||||
| 6 | Saul Centers, Inc. | 248 | ||||||
| 30 | Strategic Hotels & Resorts, Inc. (a) | 214 | ||||||
| 27 | Sunstone Hotel Investors, Inc. (a) | 253 | ||||||
| 3 | Taubman Centers, Inc. | 166 | ||||||
|
| |||||||
| 4,895 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5% |
| |||||||
| 6 | Astoria Financial Corp. | 77 | ||||||
| 1 | Capitol Federal Financial, Inc. | 12 | ||||||
| 12 | MGIC Investment Corp. (a) | 71 | ||||||
| 6 | OceanFirst Financial Corp. | 81 | ||||||
| 10 | Ocwen Financial Corp. (a) | 130 | ||||||
|
| |||||||
| 371 | ||||||||
|
| |||||||
Total Financials | 13,219 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 13.3% | ||||||||
Biotechnology — 4.2% | ||||||||
| 7 | Achillion Pharmaceuticals, Inc. (a) | 54 | ||||||
| 9 | Acorda Therapeutics, Inc. (a) | 294 | ||||||
| 19 | Affymax, Inc. (a) | 127 | ||||||
| 26 | Ariad Pharmaceuticals, Inc. (a) | 293 | ||||||
| 14 | ArQule, Inc. (a) | 88 | ||||||
| 29 | BioCryst Pharmaceuticals, Inc. (a) (c) | 110 | ||||||
| 19 | BioMimetic Therapeutics, Inc. (a) | 95 | ||||||
| 21 | Chelsea Therapeutics International Ltd. (a) | 109 | ||||||
| 59 | Dynavax Technologies Corp. (a) | 161 | ||||||
| 15 | Incyte Corp., Ltd. (a) (c) | 292 | ||||||
| 6 | Ironwood Pharmaceuticals, Inc. (a) | 88 | ||||||
| 6 | Medivation, Inc. (a) | 137 | ||||||
| 11 | Momenta Pharmaceuticals, Inc. (a) (c) | 218 | ||||||
| — | (h) | Myrexis, Inc. (a) | 2 | |||||
| 4 | Onyx Pharmaceuticals, Inc. (a) | 124 | ||||||
| 3 | Pharmasset, Inc. (a) | 359 | ||||||
| 17 | Savient Pharmaceuticals, Inc. (a) (c) | 124 | ||||||
| 8 | Seattle Genetics, Inc. (a) | 166 | ||||||
| 4 | Targacept, Inc. (a) | 88 | ||||||
|
| |||||||
| 2,929 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.8% |
| |||||||
| 32 | Greatbatch, Inc. (a) | 856 | ||||||
| 2 | HeartWare International, Inc. (a) | 178 | ||||||
| 9 | Immucor, Inc. (a) | 186 | ||||||
| 13 | Invacare Corp. | 431 | ||||||
| 5 | Sirona Dental Systems, Inc. (a) | 260 | ||||||
|
| |||||||
| 1,911 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 24 | Alliance HealthCare Services, Inc. (a) | 90 | ||||||
| 9 | American Dental Partners, Inc. (a) | 119 | ||||||
| 1 | AMERIGROUP Corp. (a) | 78 | ||||||
| 53 | Cross Country Healthcare, Inc. (a) | 400 | ||||||
| 5 | Magellan Health Services, Inc. (a) | 274 | ||||||
| 44 | PharMerica Corp. (a) | 562 | ||||||
| 6 | Providence Service Corp. (The) (a) | 81 | ||||||
| 19 | Sunrise Senior Living, Inc. (a) | 177 | ||||||
| 8 | Team Health Holdings, Inc. (a) | 169 | ||||||
| 16 | Vanguard Health Systems, Inc. (a) (c) | 266 | ||||||
| 10 | WellCare Health Plans, Inc. (a) | 488 | ||||||
|
| |||||||
| 2,704 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 5 | ePocrates, Inc. (a) | 97 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
| 107 | Affymetrix, Inc. (a) | 851 | ||||||
| — | (h) | Mettler-Toledo International, Inc. (a) | 68 | |||||
| 13 | Pacific Biosciences of California, Inc. (a) | 154 | ||||||
|
| |||||||
| 1,073 | ||||||||
|
| |||||||
Pharmaceuticals — 0.7% |
| |||||||
| 13 | Aegerion Pharmaceuticals, Inc. (a) (c) | 198 | ||||||
| 13 | Cadence Pharmaceuticals, Inc. (a) (c) | 121 | ||||||
| 5 | Sagent Pharmaceuticals, Inc. (a) | 135 | ||||||
|
| |||||||
| 454 | ||||||||
|
| |||||||
Total Health Care | 9,168 | |||||||
|
| |||||||
Industrials — 14.1% | ||||||||
Aerospace & Defense — 1.2% | ||||||||
| 12 | Cubic Corp. | 627 | ||||||
| 27 | GenCorp, Inc. (a) (c) | 171 | ||||||
|
| |||||||
| 798 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.4% |
| |||||||
| 3 | Hub Group, Inc., Class A (a) | 120 | ||||||
| 19 | Pacer International, Inc. (a) | 89 | ||||||
| 2 | Park-Ohio Holdings Corp. (a) | 36 | ||||||
|
| |||||||
| 245 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
| 40 | Hawaiian Holdings, Inc. (a) | 228 | ||||||
| 4 | Republic Airways Holdings, Inc. (a) | 19 | ||||||
|
| |||||||
| 247 | ||||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
| 28 | Gibraltar Industries, Inc. (a) | 314 | ||||||
| 8 | Insteel Industries, Inc. | 94 | ||||||
| 12 | Quanex Building Products Corp. | 192 | ||||||
|
| |||||||
| 600 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.5% |
| |||||||
| 30 | ACCO Brands Corp. (a) | 234 | ||||||
| 15 | American Reprographics Co. (a) | 107 | ||||||
| 10 | Deluxe Corp. | 242 | ||||||
| 4 | G&K Services, Inc., Class A | 132 | ||||||
| 14 | Intersections, Inc. | 248 | ||||||
| 33 | Knoll, Inc. (c) | 668 | ||||||
| 6 | Metalico, Inc. (a) | 35 | ||||||
| 3 | Standard Parking Corp. (a) | 45 | ||||||
| 4 | Steelcase, Inc., Class A (c) | 40 | ||||||
|
| |||||||
| 1,751 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
| 1 | Argan, Inc. (a) | 12 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — Continued |
| |||||||
| 20 | EMCOR Group, Inc. (a) | 595 | ||||||
|
| |||||||
| 607 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
| 5 | Acuity Brands, Inc. | 273 | ||||||
|
| |||||||
Industrial Conglomerates — 0.5% |
| |||||||
| 7 | Standex International Corp. | 215 | ||||||
| 9 | Tredegar Corp. | 161 | ||||||
|
| |||||||
| 376 | ||||||||
|
| |||||||
Machinery — 3.8% |
| |||||||
| 3 | Cascade Corp. | 133 | ||||||
| 6 | Douglas Dynamics, Inc. | 102 | ||||||
| 4 | Hurco Cos., Inc (a) | 119 | ||||||
| 1 | Kadant, Inc. (a) | 31 | ||||||
| 9 | Mueller Industries, Inc. | 345 | ||||||
| 1 | NACCO Industries, Inc., Class A | 68 | ||||||
| 15 | Nordson Corp. (c) | 845 | ||||||
| 16 | Sauer-Danfoss, Inc. (a) | 806 | ||||||
| 8 | Trimas Corp. (a) | 208 | ||||||
|
| |||||||
| 2,657 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 4 | Barrett Business Services, Inc. | 50 | ||||||
| 28 | School Specialty, Inc. (a) | 404 | ||||||
| 20 | SFN Group, Inc. (a) | 185 | ||||||
|
| |||||||
| 639 | ||||||||
|
| |||||||
Road & Rail — 1.1% |
| |||||||
| 3 | Celadon Group, Inc. (a) | 39 | ||||||
| 4 | Con-way, Inc. | 151 | ||||||
| 10 | Heartland Express, Inc. | 157 | ||||||
| 25 | Saia, Inc. (a) | 421 | ||||||
| 1 | Zipcar, Inc. (a) (c) | 27 | ||||||
|
| |||||||
| 795 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
| 10 | Aircastle Ltd. | 121 | ||||||
| 7 | Applied Industrial Technologies, Inc. | 249 | ||||||
| 7 | TAL International Group, Inc. | 256 | ||||||
| 2 | WESCO International, Inc. (a) | 108 | ||||||
|
| |||||||
| 734 | ||||||||
|
| |||||||
Total Industrials | 9,722 | |||||||
|
| |||||||
Information Technology — 16.2% |
| |||||||
Communications Equipment — 2.3% |
| |||||||
| 7 | Arris Group, Inc. (a) | 78 | ||||||
| 3 | Aviat Networks, Inc. (a) | 13 | ||||||
| 8 | Black Box Corp. | 263 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Communications Equipment — Continued |
| |||||||
| 7 | Comtech Telecommunications Corp. | 193 | ||||||
| 10 | Emulex Corp. (a) | 88 | ||||||
| 12 | InterDigital, Inc. (c) | 486 | ||||||
| 17 | Oplink Communications, Inc. (a) | 307 | ||||||
| 4 | Plantronics, Inc. | 128 | ||||||
| 20 | Powerwave Technologies, Inc. (a) | 60 | ||||||
|
| |||||||
| 1,616 | ||||||||
|
| |||||||
Computers & Peripherals — 0.7% | ||||||||
| 6 | Electronics for Imaging, Inc. (a) | 96 | ||||||
| 4 | Fusion-io, Inc. (a) (c) | 123 | ||||||
| 7 | Hypercom Corp. (a) | 69 | ||||||
| 13 | Imation Corp. (a) | 126 | ||||||
| 16 | Quantum Corp. (a) | 52 | ||||||
|
| |||||||
| 466 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.8% |
| |||||||
| 5 | Agilysys, Inc. (a) | 41 | ||||||
| 3 | Anixter International, Inc. | 163 | ||||||
| 38 | Brightpoint, Inc. (a) | 304 | ||||||
| 19 | Checkpoint Systems, Inc. (a) | 345 | ||||||
| 11 | Coherent, Inc. (a) | 602 | ||||||
| 3 | Electro Rent Corp. | 48 | ||||||
| 13 | Methode Electronics, Inc. | 146 | ||||||
| 1 | NeoPhotonics Corp. (a) | 8 | ||||||
| 4 | Newport Corp. (a) | 71 | ||||||
| 9 | Power-One, Inc. (a) (c) | 74 | ||||||
| 20 | Pulse Electronics Corp. | 87 | ||||||
| 4 | RadiSys Corp. (a) (c) | 25 | ||||||
|
| |||||||
| 1,914 | ||||||||
|
| |||||||
Internet Software & Services — 0.7% | ||||||||
| 1 | Ancestry.com, Inc. (a) | 45 | ||||||
| 7 | Cornerstone OnDemand, Inc. (a) (c) | 131 | ||||||
| 2 | Demand Media, Inc. (a) (c) | 24 | ||||||
| 12 | QuinStreet, Inc. (a) | 160 | ||||||
| 4 | Responsys, Inc. (a) | 69 | ||||||
| 5 | Saba Software, Inc. (a) | 48 | ||||||
|
| |||||||
| 477 | ||||||||
|
| |||||||
IT Services — 0.9% | ||||||||
| 11 | CIBER, Inc. (a) | 58 | ||||||
| 5 | CSG Systems International, Inc. (a) | 91 | ||||||
| 7 | Global Cash Access Holdings, Inc. (a) | 21 | ||||||
| 4 | Heartland Payment Systems, Inc. | 72 | ||||||
| 6 | ServiceSource International, Inc. (a) | 122 | ||||||
| 1 | TNS, Inc. (a) | 13 | ||||||
| 4 | Unisys Corp. (a) | 101 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — Continued | ||||||||
| 3 | VeriFone Systems, Inc. (a) | 147 | ||||||
|
| |||||||
| 625 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
| 9 | Amkor Technology, Inc. (a) | 56 | ||||||
| 5 | Applied Micro Circuits Corp. (a) | 47 | ||||||
| 4 | ATMI, Inc. (a) | 71 | ||||||
| 7 | Cirrus Logic, Inc. (a) | 110 | ||||||
| 4 | Cymer, Inc. (a) | 208 | ||||||
| 4 | DSP Group, Inc. (a) | 30 | ||||||
| 10 | GSI Technology, Inc. (a) | 71 | ||||||
| 25 | GT Solar International, Inc. (a) (c) | 410 | ||||||
| 7 | Integrated Device Technology, Inc. (a) | 55 | ||||||
| 7 | Kulicke & Soffa Industries, Inc. (a) | 82 | ||||||
| 12 | Lattice Semiconductor Corp. (a) | 76 | ||||||
| 66 | LSI Corp. (a) | 467 | ||||||
| 13 | LTX-Credence Corp. (a) | 115 | ||||||
| 26 | Micrel, Inc. | 271 | ||||||
| 1 | Novellus Systems, Inc. (a) | 51 | ||||||
| 8 | Photronics, Inc. (a) | 71 | ||||||
| 22 | RF Micro Devices, Inc. (a) | 137 | ||||||
| 4 | Rudolph Technologies, Inc. (a) | 42 | ||||||
| 4 | Semtech Corp. (a) | 115 | ||||||
| 1 | Veeco Instruments, Inc. (a) | 34 | ||||||
|
| |||||||
| 2,519 | ||||||||
|
| |||||||
Software — 5.2% | ||||||||
| 35 | Aspen Technology, Inc. (a) | 608 | ||||||
| 5 | EPIQ Systems, Inc. | 67 | ||||||
| 4 | Fair Isaac Corp. | 118 | ||||||
| 4 | JDA Software Group, Inc. (a) | 115 | ||||||
| 22 | Manhattan Associates, Inc. (a) | 761 | ||||||
| 3 | MicroStrategy, Inc., Class A (a) | 407 | ||||||
| 39 | Monotype Imaging Holdings, Inc. (a) | 545 | ||||||
| 3 | Quest Software, Inc. (a) | 57 | ||||||
| 19 | TeleNav, Inc. (a) | 342 | ||||||
| 7 | TIBCO Software, Inc. (a) | 194 | ||||||
| 15 | Websense, Inc. (a) | 382 | ||||||
|
| |||||||
| 3,596 | ||||||||
|
| |||||||
Total Information Technology | 11,213 | |||||||
|
| |||||||
Materials — 4.8% | ||||||||
Chemicals — 2.3% | ||||||||
| 14 | Georgia Gulf Corp. (a) | 338 | ||||||
| 4 | Innophos Holdings, Inc. | 190 | ||||||
| 11 | Minerals Technologies, Inc. | 742 | ||||||
| 7 | PolyOne Corp. | 101 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Chemicals — Continued | ||||||||
| 36 | Spartech Corp. (a) | 220 | ||||||
|
| |||||||
| 1,591 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% | ||||||||
| 3 | Boise, Inc. | 19 | ||||||
| 21 | Graphic Packaging Holding Co. (a) | 114 | ||||||
| 6 | Myers Industries, Inc. | 65 | ||||||
| 1 | Rock-Tenn Co., Class A | 93 | ||||||
|
| |||||||
| 291 | ||||||||
|
| |||||||
Metals & Mining — 1.3% | ||||||||
| 6 | Hecla Mining Co. (a) (c) | 48 | ||||||
| 20 | Noranda Aluminum Holding Corp. (a) | 303 | ||||||
| 24 | Worthington Industries, Inc. | 559 | ||||||
|
| |||||||
| 910 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% | ||||||||
| 6 | Buckeye Technologies, Inc. | 151 | ||||||
| 2 | Domtar Corp., (Canada) | 171 | ||||||
| 7 | Neenah Paper, Inc. | 157 | ||||||
| 5 | PH Glatfelter Co. | 74 | ||||||
|
| |||||||
| 553 | ||||||||
Total Materials | 3,345 | |||||||
|
| |||||||
Telecommunication Services — 1.6% | ||||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
| 6 | Boingo Wireless, Inc. (a) | 57 | ||||||
| 17 | Consolidated Communications Holdings, Inc. | 327 | ||||||
| 109 | Vonage Holdings Corp. (a) | 482 | ||||||
|
| |||||||
| 866 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.3% | ||||||||
| 14 | USA Mobility, Inc. | 220 | ||||||
|
| |||||||
Total Telecommunication Services | 1,086 | |||||||
|
| |||||||
Utilities — 3.2% | ||||||||
Electric Utilities — 1.0% | ||||||||
| 9 | El Paso Electric Co. | 284 | ||||||
| 9 | Portland General Electric Co. | 220 | ||||||
| 4 | UniSource Energy Corp. | 146 | ||||||
|
| |||||||
| 650 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 1.3% | ||||||||
| 3 | Laclede Group, Inc. (The) | 106 | ||||||
| 3 | New Jersey Resources Corp. | 138 | ||||||
| 6 | Nicor, Inc. | 345 | ||||||
| 5 | Piedmont Natural Gas Co., Inc. | 160 | ||||||
| 4 | Southwest Gas Corp. | 151 | ||||||
|
| |||||||
| 900 | ||||||||
|
| |||||||
Multi-Utilities — 0.9% | ||||||||
| 19 | NorthWestern Corp. | 639 | ||||||
|
| |||||||
Total Utilities | 2,189 | |||||||
|
| |||||||
Total Common Stocks | 66,710 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.3% | |||||||
| 175 | U.S. Treasury Note, 0.750%, 11/30/11 (k) | 175 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.8% |
| ||||||
Investment Company — 2.8% | ||||||||
| 1,968 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 1,968 | ||||||
|
| |||||||
| Investments of Cash Collateral for Securities on Loan — 8.1% |
| ||||||
Investment Company — 8.1% | ||||||||
| 5,597 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 5,597 | ||||||
|
| |||||||
Total Investments — 107.7% | 74,450 | |||||||
Liabilities in Excess of | (5,299 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 69,151 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 28 | E-mini Russell 2000 | 09/16/11 | $ | 2,311 | $ | 96 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan Small Cap FundS
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than one thousand (shares or dollars). |
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. | |
| (l) | — The rate shown is the current yield as of June 30, 2011. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011
(Amounts in thousands, except per share amounts)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 367,291 | $ | 447,543 | $ | 2,457,850 | ||||||
Investments in affiliates, at value | 32,358 | 122,972 | 108,949 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 399,649 | 570,515 | 2,566,799 | |||||||||
Deposits at broker for futures contracts | — | 2,990 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 12,040 | 3,510 | 11,623 | |||||||||
Fund shares sold | 2,766 | 1,110 | 19,247 | |||||||||
Interest and dividends | 118 | 450 | 1,311 | |||||||||
Securities lending income | 48 | 39 | 29 | |||||||||
Variation margin on futures contracts | — | 805 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 414,621 | 579,419 | 2,599,009 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | 126 | — | |||||||||
Investment securities purchased | 13,116 | 2,416 | 888 | |||||||||
Collateral for securities lending program | 23,887 | 26,812 | 54,593 | |||||||||
Fund shares redeemed | 569 | 38 | 16,478 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 189 | 251 | 818 | |||||||||
Administration Fees | 26 | 36 | 183 | |||||||||
Shareholder servicing fees | 73 | — | 345 | |||||||||
Distribution fees | 70 | — | 174 | |||||||||
Custodian and accounting fees | 24 | 20 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | 2 | |||||||||
Other | 292 | 189 | 879 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 38,247 | 29,889 | 74,416 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 376,374 | $ | 549,530 | $ | 2,524,593 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 316,072 | $ | 491,968 | $ | 1,810,760 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (280 | ) | 1,920 | 7,438 | ||||||||
Accumulated net realized gains (losses) | (19,102 | ) | (66,762 | ) | 91,304 | |||||||
Net unrealized appreciation (depreciation) | 79,684 | 122,404 | 615,091 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 376,374 | $ | 549,530 | $ | 2,524,593 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 159,290 | $ | — | $ | 699,042 | ||||||
Class B | 1,865 | — | 13,032 | |||||||||
Class C | 64,298 | — | 39,403 | |||||||||
Class R2 | — | — | 5,109 | |||||||||
Class R5 | — | — | 567,675 | |||||||||
Select Class | 150,921 | 549,530 | 1,200,332 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 376,374 | $ | 549,530 | $ | 2,524,593 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 7,885 | — | 19,037 | |||||||||
Class B | 104 | — | 414 | |||||||||
Class C | 3,576 | — | 1,255 | |||||||||
Class R2 | — | — | 140 | |||||||||
Class R5 | — | — | 14,178 | |||||||||
Select Class | 7,055 | 13,934 | 30,024 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 20.20 | $ | — | $ | 36.72 | ||||||
Class B — Offering price per share (a) | 18.01 | — | 31.46 | |||||||||
Class C — Offering price per share (a) | 17.98 | — | 31.41 | |||||||||
Class R2 — Offering and redemption price per share | — | — | 36.41 | |||||||||
Class R5 — Offering and redemption price per share | — | — | 40.04 | |||||||||
Select Class — Offering and redemption price per share | 21.39 | 39.44 | 39.98 | |||||||||
Class A maximum sales charge | 5.25 | % | — | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 21.32 | $ | — | $ | 38.75 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 287,607 | $ | 328,981 | $ | 1,842,759 | ||||||
Cost of investments in affiliates | 32,358 | 122,972 | 108,949 | |||||||||
Value of securities on loan | 23,406 | 26,318 | 53,687 | |||||||||
| (a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except per share amounts)
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 725,046 | $ | 555,274 | $ | 66,885 | ||||||
Investments in affiliates, at value | 77,139 | 43,373 | 7,565 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 802,185 | 598,647 | 74,450 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 23,936 | 8,688 | 1,127 | |||||||||
Fund shares sold | 5,541 | 3,337 | 213 | |||||||||
Interest and dividends | 238 | 946 | 62 | |||||||||
Securities lending income | 113 | 57 | 6 | |||||||||
Variation margin on futures contracts | — | 118 | 16 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 832,013 | 611,793 | 75,874 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | — | 351 | — | |||||||||
Investment securities purchased | 16,328 | 8,391 | 983 | |||||||||
Collateral for securities lending program | 68,596 | 29,152 | 5,597 | |||||||||
Fund shares redeemed | 915 | 759 | 35 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 337 | 292 | 23 | |||||||||
Administration Fees | 2 | 44 | 5 | |||||||||
Shareholder servicing fees | 105 | 58 | 10 | |||||||||
Distribution fees | 82 | 65 | 3 | |||||||||
Custodian and accounting fees | 21 | 35 | 19 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 2 | — | (a) | ||||||||
Other | 146 | 267 | 48 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 86,533 | 39,416 | 6,723 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 745,480 | $ | 572,377 | $ | 69,151 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 570,654 | $ | 552,535 | $ | 64,029 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (559 | ) | (159 | ) | 137 | |||||||
Accumulated net realized gains (losses) | 6,756 | (69,343 | ) | (6,577 | ) | |||||||
Net unrealized appreciation (depreciation) | 168,629 | 89,344 | 11,562 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 745,480 | $ | 572,377 | $ | 69,151 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 271,606 | $ | 202,094 | $ | 12,271 | ||||||
Class B | 6,049 | 6,611 | — | |||||||||
Class C | 31,665 | 31,602 | 1,173 | |||||||||
Class R2 | 16,109 | 6,082 | — | |||||||||
Class R5 | — | 31,899 | — | |||||||||
Class R6 | 83,457 | 103,457 | — | |||||||||
Institutional Class | 207,977 | — | 20,763 | |||||||||
Select Class | 128,617 | 190,632 | 34,944 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 745,480 | $ | 572,377 | $ | 69,151 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 22,326 | 10,644 | 1,155 | |||||||||
Class B | 602 | 394 | — | |||||||||
Class C | 3,021 | 1,899 | 112 | |||||||||
Class R2 | 1,333 | 321 | — | |||||||||
Class R5 | — | 1,609 | — | |||||||||
Class R6 | 6,481 | 5,216 | — | |||||||||
Institutional Class | 16,159 | — | 1,932 | |||||||||
Select Class | 10,093 | 9,616 | 3,246 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 12.17 | $ | 18.99 | $ | 10.62 | ||||||
Class B — Offering price per share (b) | 10.04 | 16.78 | — | |||||||||
Class C — Offering price per share (b) | 10.48 | 16.64 | 10.50 | |||||||||
Class R2 — Offering and redemption price per share | 12.09 | 18.93 | — | |||||||||
Class R5 — Offering and redemption price per share | — | 19.82 | — | |||||||||
Class R6 — Offering and redemption price per share | 12.88 | 19.83 | — | |||||||||
Institutional Class — Offering and redemption price per share | 12.87 | — | 10.75 | |||||||||
Select Class — Offering and redemption price per share | 12.74 | 19.82 | 10.76 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 12.84 | $ | 20.04 | $ | 11.21 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 556,417 | $ | 466,597 | $ | 55,419 | ||||||
Cost of investments in affiliates | 77,139 | 43,373 | 7,565 | |||||||||
Value of securities on loan | 67,031 | 28,515 | 5,473 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2011
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 4 | $ | — | ||||||
Dividend income from non-affiliates | 1,106 | 5,706 | 37,021 | |||||||||
Dividend income from affiliates | 8 | 14 | 95 | |||||||||
Income from securities lending (net) | 308 | 448 | 1,053 | |||||||||
Other income | 8 | 13 | 21 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 1,430 | 6,185 | 38,190 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 1,813 | 3,400 | 14,431 | |||||||||
Administration fees | 250 | 471 | 1,996 | |||||||||
Distribution fees: | ||||||||||||
Class A | 287 | — | 1,565 | |||||||||
Class B | 16 | — | 103 | |||||||||
Class C | 427 | — | 280 | |||||||||
Class R2 | — | — | 26 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 287 | — | 1,565 | |||||||||
Class B | 5 | — | 34 | |||||||||
Class C | 142 | — | 93 | |||||||||
Class R2 | — | — | 13 | |||||||||
Class R5 | — | — | 197 | |||||||||
Select Class | 263 | 1,308 | 2,858 | |||||||||
Custodian and accounting fees | 54 | 56 | 132 | |||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | (a) | ||||||
Professional fees | 50 | 56 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 4 | 7 | 24 | |||||||||
Printing and mailing costs | 60 | 387 | 291 | |||||||||
Registration and filing fees | 55 | 11 | 146 | |||||||||
Transfer agent fees | 498 | 3 | 2,954 | |||||||||
Other | 9 | 6 | 21 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 4,220 | 5,705 | 26,785 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (279 | ) | (1,543 | ) | (3,224 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 3,941 | 4,162 | 23,561 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (2,511 | ) | 2,023 | 14,629 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 28,202 | 46,383 | 94,478 | |||||||||
Futures | — | 2,001 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 28,202 | 48,384 | 94,478 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 65,759 | 109,786 | 572,464 | |||||||||
Futures | — | 4,065 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 65,759 | 113,851 | 572,464 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 93,961 | 162,235 | 666,942 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 91,450 | $ | 164,258 | $ | 681,571 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 5 | $ | — | (a) | |||||
Dividend income from non-affiliates | 2,294 | 8,987 | 589 | |||||||||
Dividend income from affiliates | 17 | 16 | 2 | |||||||||
Income from securities lending (net) | 676 | 635 | 52 | |||||||||
Other income | 27 | 8 | 16 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 3,014 | 9,651 | 659 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 3,748 | 3,267 | 313 | |||||||||
Administration fees | 518 | 452 | 47 | |||||||||
Distribution fees: | ||||||||||||
Class A | 529 | 458 | 18 | |||||||||
Class B | 48 | 56 | — | |||||||||
Class C | 195 | 211 | 5 | |||||||||
Class R2 | 37 | 15 | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 529 | 458 | 18 | |||||||||
Class B | 16 | 19 | — | |||||||||
Class C | 65 | 70 | 1 | |||||||||
Class R2 | 18 | 8 | — | |||||||||
Class R5 | — | 22 | — | |||||||||
Institutional Class | 172 | — | 16 | |||||||||
Select Class | 298 | 459 | 71 | |||||||||
Custodian and accounting fees | 53 | 78 | 43 | |||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | |||||||
Professional fees | 52 | 46 | 52 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 4 | 3 | 1 | |||||||||
Printing and mailing costs | 91 | 103 | 3 | |||||||||
Registration and filing fees | 96 | 94 | 47 | |||||||||
Transfer agent fees | 575 | 605 | 24 | |||||||||
Other | 16 | 15 | 7 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 7,060 | 6,439 | 666 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (840 | ) | (775 | ) | (148 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 6,220 | 5,664 | 518 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (3,206 | ) | 3,987 | 141 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 70,690 | 14,696 | 4,074 | |||||||||
Futures | — | 2,961 | 326 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 70,690 | 17,657 | 4,400 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 133,726 | 106,574 | 9,955 | |||||||||
Futures | — | 795 | 100 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 133,726 | 107,369 | 10,055 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 204,416 | 125,026 | 14,455 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 201,210 | $ | 129,013 | $ | 14,596 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (2,511 | ) | $ | (1,819 | ) | $ | 2,023 | $ | 1,820 | ||||||
Net realized gain (loss) | 28,202 | 19,547 | 48,384 | 590 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 65,759 | 5,085 | 113,851 | 76,952 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 91,450 | 22,813 | 164,258 | 79,362 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (1,795 | ) | (3,749 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (1,795 | ) | (3,749 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 112,643 | 4,594 | (103,994 | ) | 77,467 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 204,093 | 27,407 | 58,469 | 153,080 | ||||||||||||
Beginning of period | 172,281 | 144,874 | 491,061 | 337,981 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 376,374 | $ | 172,281 | $ | 549,530 | $ | 491,061 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (280 | ) | $ | (10 | ) | $ | 1,920 | $ | 1,770 | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 14,629 | $ | 5,932 | $ | (3,206 | ) | $ | (2,223 | ) | ||||||
Net realized gain (loss) | 94,478 | 121,929 | 70,690 | 37,233 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 572,464 | 84,303 | 133,726 | 34,785 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 681,571 | 212,164 | 201,210 | 69,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,060 | ) | (686 | ) | — | — | ||||||||||
From net realized gains | (19,043 | ) | — | — | — | |||||||||||
Class B | ||||||||||||||||
From net realized gains | (506 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net realized gains | (1,347 | ) | — | — | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | (4 | ) | — | — | |||||||||||
From net realized gains | (172 | ) | — | — | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | (1,948 | ) | (940 | ) | — | — | ||||||||||
From net realized gains | (9,777 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (4,611 | ) | (2,992 | ) | — | — | ||||||||||
From net realized gains | (33,431 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (71,895 | ) | (4,622 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 144,612 | 454,753 | 126,045 | 28,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 754,288 | 662,295 | 327,255 | 97,910 | ||||||||||||
Beginning of period | 1,770,305 | 1,108,010 | 418,225 | 320,315 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,524,593 | $ | 1,770,305 | $ | 745,480 | $ | 418,225 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 7,438 | $ | 714 | $ | (559 | ) | $ | (13 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 3,987 | $ | 3,331 | $ | 141 | $ | 126 | ||||||||
Net realized gain (loss) | 17,657 | (11,967 | ) | 4,400 | 1,350 | |||||||||||
Change in net unrealized appreciation (depreciation) | 107,369 | 107,160 | 10,055 | 6,774 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 129,013 | 98,524 | 14,596 | 8,250 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,299 | ) | (882 | ) | (29 | ) | (4 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (27 | ) | (11 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (126 | ) | (39 | ) | — | (2 | ) | |||||||||
Class R2 | ||||||||||||||||
From net investment income | (29 | ) | (1 | ) | — | — | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | (293 | ) | (319 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (700 | ) | (266 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (46 | ) | (118 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (1,496 | ) | (1,371 | ) | (51 | ) | (241 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (3,970 | ) | (2,889 | ) | (126 | ) | (365 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 18,276 | (36,031 | ) | 18,766 | (2,088 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 143,319 | 59,604 | 33,236 | 5,797 | ||||||||||||
Beginning of period | 429,058 | 369,454 | 35,915 | 30,118 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 572,377 | $ | 429,058 | $ | 69,151 | $ | 35,915 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (159 | ) | $ | (178 | ) | $ | 137 | $ | 122 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Small Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 94,508 | $ | 49,016 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (44,068 | ) | (37,435 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 50,440 | $ | 11,581 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | 52 | 1,917 | — | — | ||||||||||||
Cost of shares redeemed | (1,314 | ) | (16,976 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (1,262 | ) | $ | (15,059 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 23,259 | 19,599 | — | — | ||||||||||||
Cost of shares redeemed | (25,022 | ) | (20,792 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (1,763 | ) | $ | (1,193 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 110,890 | 62,358 | 50,308 | 137,575 | ||||||||||||
Dividends and distributions reinvested | — | — | 1,638 | 3,093 | ||||||||||||
Cost of shares redeemed | (45,662 | ) | (53,093 | ) | (155,940 | ) | (63,201 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 65,228 | $ | 9,265 | $ | (103,994 | ) | $ | 77,467 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 112,643 | $ | 4,594 | $ | (103,994 | ) | $ | 77,467 | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 5,157 | 3,547 | — | — | ||||||||||||
Redeemed | (2,500 | ) | (2,645 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,657 | 902 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 3 | 162 | — | — | ||||||||||||
Redeemed | (87 | ) | (1,473 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (84 | ) | (1,311 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,440 | 1,578 | — | — | ||||||||||||
Redeemed | (1,584 | ) | (1,667 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (144 | ) | (89 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 5,859 | 4,210 | 1,456 | 4,714 | ||||||||||||
Reinvested | — | — | 45 | 109 | ||||||||||||
Redeemed | (2,366 | ) | (3,575 | ) | (4,737 | ) | (2,173 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 3,493 | 635 | (3,236 | ) | 2,650 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 193,253 | $ | 228,115 | $ | 130,913 | $ | 62,712 | ||||||||
Dividends and distributions reinvested | 17,092 | 581 | — | — | ||||||||||||
Cost of shares redeemed | (211,462 | ) | (135,499 | ) | (76,654 | ) | (49,042 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (1,117 | ) | $ | 93,197 | $ | 54,259 | $ | 13,670 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | 154 | 217 | 731 | 742 | ||||||||||||
Dividends and distributions reinvested | 456 | — | — | — | ||||||||||||
Cost of shares redeemed | (4,282 | ) | (3,329 | ) | (3,418 | ) | (4,047 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (3,672 | ) | $ | (3,112 | ) | $ | (2,687 | ) | $ | (3,305 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 3,420 | 4,734 | 10,534 | 6,713 | ||||||||||||
Dividends and distributions reinvested | 1,029 | — | — | — | ||||||||||||
Cost of shares redeemed | (7,383 | ) | (8,308 | ) | (7,197 | ) | (4,739 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (2,934 | ) | $ | (3,574 | ) | $ | 3,337 | $ | 1,974 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 2,674 | 6,709 | 15,456 | 2,659 | ||||||||||||
Dividends and distributions reinvested | 55 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (3,719 | ) | (4,091 | ) | (2,622 | ) | (1,091 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | (990 | ) | $ | 2,619 | $ | 12,834 | $ | 1,568 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 297,001 | 200,560 | — | — | ||||||||||||
Dividends and distributions reinvested | 11,063 | 898 | — | — | ||||||||||||
Cost of shares redeemed | (96,978 | ) | (51,157 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 211,086 | $ | 150,301 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | — | — | 79,204 | — | ||||||||||||
Cost of shares redeemed | — | — | (277 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 78,927 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | — | — | 128,356 | 77,122 | ||||||||||||
Cost of shares redeemed | — | — | (133,441 | ) | (59,288 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | (5,085 | ) | $ | 17,834 | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 402,797 | 509,125 | 72,991 | 42,947 | ||||||||||||
Dividends and distributions reinvested | 26,913 | 1,979 | — | — | ||||||||||||
Cost of shares redeemed | (487,471 | ) | (295,782 | ) | (88,531 | ) | (46,573 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (57,761 | ) | $ | 215,322 | $ | (15,540 | ) | $ | (3,626 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 144,612 | $ | 454,753 | $ | 126,045 | $ | 28,115 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 5,780 | 8,252 | 12,058 | 7,562 | ||||||||||||
Reinvested | 514 | 21 | — | — | ||||||||||||
Redeemed | (6,454 | ) | (4,864 | ) | (7,144 | ) | (5,981 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (160 | ) | 3,409 | 4,914 | 1,581 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 5 | 10 | 81 | 108 | ||||||||||||
Reinvested | 16 | — | — | — | ||||||||||||
Redeemed | (149 | ) | (138 | ) | (398 | ) | (593 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (128 | ) | (128 | ) | (317 | ) | (485 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 119 | 202 | 1,098 | 941 | ||||||||||||
Reinvested | 36 | — | — | — | (a) | |||||||||||
Redeemed | (258 | ) | (345 | ) | (791 | ) | (658 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (103 | ) | (143 | ) | 307 | 283 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 82 | 258 | 1,374 | 310 | ||||||||||||
Reinvested | 1 | — | (a) | — | — | |||||||||||
Redeemed | (113 | ) | (150 | ) | (230 | ) | (129 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (30 | ) | 108 | 1,144 | 181 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 7,893 | 6,830 | — | — | ||||||||||||
Reinvested | 304 | 30 | — | — | ||||||||||||
Redeemed | (2,591 | ) | (1,649 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 5,606 | 5,211 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | — | — | 6,501 | — | ||||||||||||
Redeemed | — | — | (20 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 6,481 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 11,081 | 8,864 | ||||||||||||
Redeemed | — | — | (11,667 | ) | (6,513 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | (586 | ) | 2,351 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 11,168 | 17,328 | 6,430 | 4,970 | ||||||||||||
Reinvested | 742 | 66 | — | — | ||||||||||||
Redeemed | (13,187 | ) | (9,692 | ) | (7,950 | ) | (5,724 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (1,277 | ) | 7,702 | (1,520 | ) | (754 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 75,776 | $ | 92,113 | $ | 12,982 | $ | 1,350 | ||||||||
Dividends and distributions reinvested | 1,221 | 754 | 29 | 4 | ||||||||||||
Cost of shares redeemed | (70,870 | ) | (78,820 | ) | (3,018 | ) | (1,042 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 6,127 | $ | 14,047 | $ | 9,993 | $ | 312 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | 155 | 363 | — | — | ||||||||||||
Dividends and distributions reinvested | 25 | 10 | — | — | ||||||||||||
Cost of shares redeemed | (2,954 | ) | (6,605 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (2,774 | ) | $ | (6,232 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 8,850 | 8,138 | 821 | 331 | ||||||||||||
Dividends and distributions reinvested | 101 | 30 | — | 2 | ||||||||||||
Cost of shares redeemed | (7,833 | ) | (6,546 | ) | (178 | ) | (68 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 1,118 | $ | 1,622 | $ | 643 | $ | 265 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 6,061 | 654 | — | — | ||||||||||||
Dividends and distributions reinvested | 25 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (1,011 | ) | (176 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 5,075 | $ | 479 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 37,941 | 41,010 | — | — | ||||||||||||
Dividends and distributions reinvested | 114 | 172 | — | — | ||||||||||||
Cost of shares redeemed | (70,073 | )(c) | (10,553 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | (32,018 | ) | $ | 30,629 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | 84,590 | (c) | 24,469 | — | — | |||||||||||
Dividends and distributions reinvested | 700 | — | — | — | ||||||||||||
Cost of shares redeemed | (12,534 | ) | (25,160 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 72,756 | $ | (691 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | — | — | 6,216 | 99 | ||||||||||||
Dividends and distributions reinvested | — | — | 46 | 85 | ||||||||||||
Cost of shares redeemed | — | — | (615 | ) | (948 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 5,647 | $ | (764 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 48,920 | 56,173 | 7,607 | 948 | ||||||||||||
Dividends and distributions reinvested | 588 | 502 | 38 | 175 | ||||||||||||
Cost of shares redeemed | (81,516 | ) | (132,560 | ) | (5,162 | ) | (3,024 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (32,008 | ) | $ | (75,885 | ) | $ | 2,483 | $ | (1,901 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 18,276 | $ | (36,031 | ) | $ | 18,766 | $ | (2,088 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,296 | 6,155 | 1,378 | 161 | ||||||||||||
Reinvested | 65 | 50 | 3 | — | ||||||||||||
Redeemed | (4,060 | ) | (5,321 | ) | (300 | ) | (126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 301 | 884 | 1,081 | 35 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 10 | 28 | — | — | ||||||||||||
Reinvested | 2 | 1 | — | — | ||||||||||||
Redeemed | (189 | ) | (501 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (177 | ) | (472 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 567 | 625 | 81 | 43 | ||||||||||||
Reinvested | 6 | 2 | — | — | (a) | |||||||||||
Redeemed | (512 | ) | (511 | ) | (18 | ) | (9 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 61 | 116 | 63 | 34 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 341 | 43 | — | — | ||||||||||||
Reinvested | 1 | — | (a) | — | — | |||||||||||
Redeemed | (58 | ) | (11 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 284 | 32 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 2,072 | 2,729 | — | — | ||||||||||||
Reinvested | 6 | 11 | — | — | ||||||||||||
Redeemed | (3,647 | )(c) | (679 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (1,569 | ) | 2,061 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | 4,356 | (c) | 1,627 | — | — | |||||||||||
Reinvested | 35 | — | — | — | ||||||||||||
Redeemed | (736 | ) | (1,584 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 3,655 | 43 | — | �� | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 618 | 13 | ||||||||||||
Reinvested | — | — | 5 | 11 | ||||||||||||
Redeemed | — | — | (59 | ) | (122 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 564 | (98 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 2,602 | 3,618 | 704 | 118 | ||||||||||||
Reinvested | 30 | 33 | 4 | 22 | ||||||||||||
Redeemed | (4,602 | ) | (8,933 | ) | (545 | ) | (387 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (1,970 | ) | (5,282 | ) | 163 | (247 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Small Cap Value Fund. |
| (c) | On December 23, 2010, certain affiliated shareholders of the Fund exchanged approximately 2,094,000 Class R5 Shares for 2,093,000 Class R6 Shares. This exchange amounted to approximately $40,210,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 59 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2011 | $ | 13.80 | $ | (0.16 | )(c) | $ | 6.56 | $ | 6.40 | $ | — | |||||||||
Year Ended June 30, 2010 | 11.89 | (0.13 | )(c) | 2.04 | 1.91 | — | ||||||||||||||
Year Ended June 30, 2009 | 16.65 | (0.11 | )(c) | (4.65 | ) | (4.76 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 20.73 | (0.19 | )(c) | (2.09 | ) | (2.28 | ) | (1.80 | ) | |||||||||||
Year Ended June 30, 2007 | 19.34 | (0.19 | )(c) | 3.59 | 3.40 | (2.01 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2011 | 12.37 | (0.23 | )(c) | 5.87 | 5.64 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.73 | (0.19 | )(c) | 1.83 | 1.64 | — | ||||||||||||||
Year Ended June 30, 2009 | 15.12 | (0.16 | )(c) | (4.23 | ) | (4.39 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 19.09 | (0.28 | )(c) | (1.89 | ) | (2.17 | ) | (1.80 | ) | |||||||||||
Year Ended June 30, 2007 | 18.07 | (0.29 | )(c) | 3.32 | 3.03 | (2.01 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2011 | 12.35 | (0.23 | )(c) | 5.86 | 5.63 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.71 | (0.19 | )(c) | 1.83 | 1.64 | — | ||||||||||||||
Year Ended June 30, 2009 | 15.09 | (0.16 | )(c) | (4.22 | ) | (4.38 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 19.06 | (0.28 | )(c) | (1.89 | ) | (2.17 | ) | (1.80 | ) | |||||||||||
Year Ended June 30, 2007 | 18.04 | (0.29 | )(c) | 3.32 | 3.03 | (2.01 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 14.56 | (0.11 | )(c) | 6.94 | 6.83 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.50 | (0.08 | )(c) | 2.14 | 2.06 | — | ||||||||||||||
Year Ended June 30, 2009 | 17.44 | (0.06 | )(c) | (4.88 | ) | (4.94 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 21.53 | (0.12 | )(c) | (2.17 | ) | (2.29 | ) | (1.80 | ) | |||||||||||
Year Ended June 30, 2007 | 19.95 | (0.12 | )(c) | 3.71 | 3.59 | (2.01 | ) | |||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 20.20 | 46.38 | % | $ | 159,290 | 1.42 | % | (0.91 | )% | 1.50 | % | 79 | % | |||||||||||||
| 13.80 | 16.06 | 72,134 | 1.49 | (0.92 | ) | 1.78 | 120 | |||||||||||||||||||
| 11.89 | (28.59 | ) | 51,434 | 1.50 | (0.86 | ) | 2.16 | 83 | ||||||||||||||||||
| 16.65 | (11.92 | ) | 77,384 | 1.50 | (0.99 | ) | 1.95 | 122 | ||||||||||||||||||
| 20.73 | 18.59 | 87,347 | 1.50 | (1.00 | ) | 2.04 | 144 | |||||||||||||||||||
| 18.01 | 45.59 | 1,865 | 1.99 | (1.48 | ) | 2.04 | 79 | |||||||||||||||||||
| 12.37 | 15.28 | 2,326 | 2.09 | (1.58 | ) | 2.39 | 120 | |||||||||||||||||||
| 10.73 | (29.03 | ) | 16,081 | 2.10 | (1.46 | ) | 2.65 | 83 | ||||||||||||||||||
| 15.12 | (12.38 | ) | 27,388 | 2.10 | (1.59 | ) | 2.44 | 122 | ||||||||||||||||||
| 19.09 | 17.81 | 35,349 | 2.10 | (1.61 | ) | 2.53 | 144 | |||||||||||||||||||
| 17.98 | 45.59 | 64,298 | 1.98 | (1.47 | ) | 2.02 | 79 | |||||||||||||||||||
| 12.35 | 15.31 | 45,949 | 2.09 | (1.53 | ) | 2.30 | 120 | |||||||||||||||||||
| 10.71 | (29.03 | ) | 40,775 | 2.10 | (1.46 | ) | 2.66 | 83 | ||||||||||||||||||
| 15.09 | (12.40 | ) | 58,290 | 2.10 | (1.59 | ) | 2.44 | 122 | ||||||||||||||||||
| 19.06 | 17.84 | 72,836 | 2.10 | (1.60 | ) | 2.55 | 144 | |||||||||||||||||||
| 21.39 | 46.91 | 150,921 | 1.08 | (0.57 | ) | 1.24 | 79 | |||||||||||||||||||
| 14.56 | 16.48 | 51,872 | 1.09 | (0.52 | ) | 1.53 | 120 | |||||||||||||||||||
| 12.50 | (28.33 | ) | 36,584 | 1.10 | (0.46 | ) | 1.92 | 83 | ||||||||||||||||||
| 17.44 | (11.50 | ) | 35,071 | 1.10 | (0.60 | ) | 1.70 | 122 | ||||||||||||||||||
| 21.53 | 19.00 | 31,603 | 1.10 | (0.60 | ) | 1.80 | 144 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 61 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Small Cap Core Fund |
| |||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 28.60 | $ | 0.17 | $ | 10.80 | $ | 10.97 | $ | (0.13 | ) | $ | — | $ | (0.13 | ) | ||||||||||||
Year Ended June 30, 2010 | 23.28 | 0.09 | 5.47 | 5.56 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 35.77 | 0.27 | (10.26 | )(c)(d) | (9.99 | ) | (0.14 | ) | (2.36 | ) | (2.50 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 51.34 | 0.34 | (9.43 | ) | (9.09 | ) | (0.27 | ) | (6.21 | ) | (6.48 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 47.21 | 0.25 | 7.07 | 7.32 | (0.22 | ) | (2.97 | ) | (3.19 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. Without this payment, the net realized and unrealized gains (losses) on investments per share would have been $(10.27), and the total return would have been (27.69)%. |
| (d) | Includes gains resulting from litigation payments on securities owned in prior year. Without these gains, the net realized and unrealized gains (losses) on investments per share would have been $(10.30) and the total return would have been (27.78)%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $39.44 | 38.37 | % | $ | 549,530 | 0.79 | % | 0.39 | % | 1.09 | % | 38 | % | ||||||||||||||
| 28.60 | 23.89 | 491,061 | 0.80 | 0.40 | 1.09 | 40 | ||||||||||||||||||||
| 23.28 | (27.66 | )(c)(d) | 337,981 | 0.80 | 0.96 | 1.10 | 42 | |||||||||||||||||||
| 35.77 | (18.23 | ) | 558,129 | 0.80 | 0.77 | 1.07 | 35 | |||||||||||||||||||
| 51.34 | 15.99 | 1,016,826 | 0.80 | 0.49 | 1.08 | 37 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 63 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 27.54 | $ | 0.14 | (e) | $ | 10.15 | $ | 10.29 | $ | (0.06 | ) | $ | (1.05 | ) | $ | (1.11 | ) | ||||||||||
Year Ended June 30, 2010 | 23.59 | 0.05 | (e) | 3.94 | 3.99 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 27.42 | (0.03 | )(e) | (3.80 | ) | (3.83 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2008 | 33.16 | 0.05 | (e) | (3.91 | ) | (3.86 | ) | (0.12 | ) | (1.76 | ) | (1.88 | ) | |||||||||||||||
Year Ended June 30, 2007 | 28.30 | 0.13 | (e) | 6.01 | 6.14 | — | (f) | (1.28 | ) | (1.28 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 23.79 | (0.01 | )(e) | 8.73 | 8.72 | — | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.46 | (0.08 | )(e) | 3.41 | 3.33 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 23.90 | (0.12 | )(e) | (3.32 | ) | (3.44 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2008 | 29.17 | (0.08 | )(e) | (3.43 | ) | (3.51 | ) | — | (1.76 | ) | (1.76 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 25.16 | (0.03 | )(e) | 5.32 | 5.29 | — | (1.28 | ) | (1.28 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 23.75 | (0.02 | )(e) | 8.73 | 8.71 | — | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.42 | (0.08 | )(e) | 3.41 | 3.33 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 23.86 | (0.12 | )(e) | (3.32 | ) | (3.44 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2008 | 29.15 | (0.08 | )(e) | (3.43 | ) | (3.51 | ) | (0.02 | ) | (1.76 | ) | (1.78 | ) | |||||||||||||||
Year Ended June 30, 2007 | 25.14 | (0.02 | )(e) | 5.31 | 5.29 | — | (1.28 | ) | (1.28 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 27.33 | 0.07 | (e) | 10.06 | 10.13 | — | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 23.48 | (0.04 | )(e) | 3.92 | 3.88 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
November 3, 2008 (g) through June 30, 2009 | 20.98 | (0.06 | )(e) | 2.63 | 2.57 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 29.92 | 0.31 | (e) | 11.06 | 11.37 | (0.20 | ) | (1.05 | ) | (1.25 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 25.60 | 0.19 | (e) | 4.27 | 4.46 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 29.72 | 0.09 | (e) | (4.12 | ) | (4.03 | ) | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 35.75 | 0.21 | (e) | (4.21 | ) | (4.00 | ) | (0.27 | ) | (1.76 | ) | (2.03 | ) | |||||||||||||||
Year Ended June 30, 2007 | 30.38 | 0.32 | (e) | 6.45 | 6.77 | (0.12 | ) | (1.28 | ) | (1.40 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 29.88 | 0.27 | (e) | 11.02 | 11.29 | (0.14 | ) | (1.05 | ) | (1.19 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 25.58 | 0.13 | (e) | 4.27 | 4.40 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 29.68 | 0.04 | (e) | (4.11 | ) | (4.07 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 35.71 | 0.15 | (e) | (4.22 | ) | (4.07 | ) | (0.20 | ) | (1.76 | ) | (1.96 | ) | |||||||||||||||
Year Ended June 30, 2007 | 30.38 | 0.25 | (e) | 6.45 | 6.70 | (0.09 | ) | (1.28 | ) | (1.37 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 36.72 | 37.77 | % | $ | 699,042 | 1.29 | % | 0.43 | % | 1.40 | % | 39 | % | |||||||||||||
| 27.54 | 16.91 | 528,676 | 1.29 | 0.16 | 1.38 | 44 | ||||||||||||||||||||
| 23.59 | (13.97 | ) | 372,525 | 1.30 | (0.13 | ) | 1.44 | 45 | ||||||||||||||||||
| 27.42 | (11.80 | ) | 405,375 | 1.25 | 0.18 | 1.40 | 52 | |||||||||||||||||||
| 33.16 | 22.23 | 522,428 | 1.15 | 0.41 | 1.39 | 26 | ||||||||||||||||||||
| 31.46 | 37.10 | 13,032 | 1.79 | (0.05 | ) | 1.90 | 39 | |||||||||||||||||||
| 23.79 | 16.28 | 12,890 | 1.79 | (0.33 | ) | 1.88 | 44 | |||||||||||||||||||
| 20.46 | (14.39 | ) | 13,711 | 1.80 | (0.64 | ) | 1.94 | 45 | ||||||||||||||||||
| 23.90 | (12.21 | ) | 21,212 | 1.75 | (0.32 | ) | 1.90 | 52 | ||||||||||||||||||
| 29.17 | 21.60 | 30,769 | 1.65 | (0.10 | ) | 1.89 | 26 | |||||||||||||||||||
| 31.41 | 37.13 | 39,403 | 1.79 | (0.06 | ) | 1.90 | 39 | |||||||||||||||||||
| 23.75 | 16.31 | 32,259 | 1.79 | (0.33 | ) | 1.88 | 44 | |||||||||||||||||||
| 20.42 | (14.42 | ) | 30,661 | 1.80 | (0.64 | ) | 1.94 | 45 | ||||||||||||||||||
| 23.86 | (12.21 | ) | 45,375 | 1.75 | (0.32 | ) | 1.90 | 52 | ||||||||||||||||||
| 29.15 | 21.61 | 64,603 | 1.65 | (0.07 | ) | 1.89 | 26 | |||||||||||||||||||
| 36.41 | 37.46 | 5,109 | 1.54 | 0.22 | 1.65 | 39 | ||||||||||||||||||||
| 27.33 | 16.53 | 4,634 | 1.54 | (0.16 | ) | 1.63 | 44 | |||||||||||||||||||
| 23.48 | 12.30 | 1,461 | 1.55 | (0.39 | ) | 1.75 | 45 | |||||||||||||||||||
| 40.04 | 38.46 | 567,675 | 0.79 | 0.85 | 0.96 | 39 | ||||||||||||||||||||
| 29.92 | 17.44 | 256,458 | 0.79 | 0.63 | 0.93 | 44 | ||||||||||||||||||||
| 25.60 | (13.50 | ) | 86,024 | 0.80 | 0.38 | 0.99 | 45 | |||||||||||||||||||
| 29.72 | (11.35 | ) | 73,737 | 0.76 | 0.68 | 0.96 | 52 | |||||||||||||||||||
| 35.75 | 22.84 | 16,692 | 0.65 | 0.95 | 0.94 | 26 | ||||||||||||||||||||
| 39.98 | 38.21 | 1,200,332 | 0.99 | 0.75 | 1.15 | 39 | ||||||||||||||||||||
| 29.88 | 17.21 | 935,388 | 0.99 | 0.45 | 1.13 | 44 | ||||||||||||||||||||
| 25.58 | (13.69 | ) | 603,628 | 1.00 | 0.17 | 1.19 | 45 | |||||||||||||||||||
| 29.68 | (11.54 | ) | 644,973 | 0.94 | 0.48 | 1.15 | 52 | |||||||||||||||||||
| 35.71 | 22.58 | 875,737 | 0.85 | 0.74 | 1.14 | 26 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 65 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2011 | $ | 8.28 | $ | (0.08 | )(e) | $ | 3.97 | $ | 3.89 | $ | — | |||||||||
Year Ended June 30, 2010 | 6.80 | (0.06 | )(e) | 1.54 | 1.48 | — | ||||||||||||||
Year Ended June 30, 2009 | 8.94 | (0.04 | )(e) | (2.10 | )(f) | (2.14 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 11.98 | (0.06 | )(e) | (1.28 | ) | (1.34 | ) | (1.70 | ) | |||||||||||
Year Ended June 30, 2007 | 11.91 | (0.07 | )(e) | 1.93 | 1.86 | (1.79 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2011 | 6.87 | (0.11 | )(e) | 3.28 | 3.17 | — | ||||||||||||||
Year Ended June 30, 2010 | 5.67 | (0.09 | )(e) | 1.29 | 1.20 | — | ||||||||||||||
Year Ended June 30, 2009 | 7.52 | (0.07 | )(e) | (1.78 | )(f) | (1.85 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 10.41 | (0.11 | )(e) | (1.08 | ) | (1.19 | ) | (1.70 | ) | |||||||||||
Year Ended June 30, 2007 | 10.62 | (0.13 | )(e) | 1.71 | 1.58 | (1.79 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2011 | 7.17 | (0.12 | )(e) | 3.43 | 3.31 | — | ||||||||||||||
Year Ended June 30, 2010 | 5.92 | (0.09 | )(e) | 1.34 | 1.25 | — | ||||||||||||||
Year Ended June 30, 2009 | 7.84 | (0.07 | )(e) | (1.85 | )(f) | (1.92 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 10.78 | (0.11 | )(e) | (1.13 | ) | (1.24 | ) | (1.70 | ) | |||||||||||
Year Ended June 30, 2007 | 10.94 | (0.13 | )(e) | 1.76 | 1.63 | (1.79 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2011 | 8.25 | (0.11 | )(e) | 3.95 | 3.84 | — | ||||||||||||||
Year Ended June 30, 2010 | 6.79 | (0.08 | )(e) | 1.54 | 1.46 | — | ||||||||||||||
November 3, 2008 (h) through June 30, 2009 | 6.28 | (0.03 | )(e) | 0.54 | 0.51 | — | ||||||||||||||
Class R6 | ||||||||||||||||||||
November 30, 2010 (h) through June 30, 2011 | 11.02 | (0.02 | )(e) | 1.88 | 1.86 | — | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 8.73 | (0.04 | )(e) | 4.18 | 4.14 | — | ||||||||||||||
Year Ended June 30, 2010 | 7.13 | (0.03 | )(e) | 1.63 | 1.60 | — | ||||||||||||||
Year Ended June 30, 2009 | 9.36 | (0.01 | )(e) | (2.22 | )(f) | (2.23 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 12.41 | (0.02 | )(e) | (1.33 | ) | (1.35 | ) | (1.70 | ) | |||||||||||
Year Ended June 30, 2007 | 12.23 | (0.03 | )(e) | 2.00 | 1.97 | (1.79 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 8.65 | (0.05 | )(e) | 4.14 | 4.09 | — | ||||||||||||||
Year Ended June 30, 2010 | 7.08 | (0.04 | )(e) | 1.61 | 1.57 | — | ||||||||||||||
Year Ended June 30, 2009 | 9.30 | (0.03 | )(e) | (2.19 | )(f) | (2.22 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 12.37 | (0.04 | )(e) | (1.33 | ) | (1.37 | ) | (1.70 | ) | |||||||||||
Year Ended June 30, 2007 | 12.21 | (0.05 | )(e) | 2.00 | 1.95 | (1.79 | ) | |||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return. |
| (g) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 12.17 | 46.98 | % | $ | 271,606 | 1.24 | % | (0.72 | )% | 1.39 | % | 79 | % | |||||||||||||
| 8.28 | 21.76 | 144,214 | 1.25 | (0.71 | ) | 1.44 | 83 | |||||||||||||||||||
| 6.80 | (23.94 | )(f) | 107,591 | 1.25 | (0.55 | ) | 1.58 | 83 | ||||||||||||||||||
| 8.94 | (12.93 | )(g) | 120,723 | 1.25 | (0.56 | ) | 1.39 | 71 | ||||||||||||||||||
| 11.98 | 16.90 | 108,013 | 1.25 | (0.65 | ) | 1.36 | 86 | |||||||||||||||||||
| 10.04 | 46.14 | 6,049 | 1.78 | (1.26 | ) | 1.89 | 79 | |||||||||||||||||||
| 6.87 | 21.16 | 6,318 | 1.85 | (1.33 | ) | 1.94 | 83 | |||||||||||||||||||
| 5.67 | (24.60 | )(f) | 7,967 | 1.85 | (1.15 | ) | 2.06 | 83 | ||||||||||||||||||
| 7.52 | (13.48 | )(g) | 13,420 | 1.85 | (1.18 | ) | 1.89 | 71 | ||||||||||||||||||
| 10.41 | 16.26 | 20,719 | 1.84 | (1.25 | ) | 1.86 | 86 | |||||||||||||||||||
| 10.48 | 46.16 | 31,665 | 1.78 | (1.26 | ) | 1.89 | 79 | |||||||||||||||||||
| 7.17 | 21.11 | 19,472 | 1.85 | (1.31 | ) | 1.94 | 83 | |||||||||||||||||||
| 5.92 | (24.49 | )(f) | 14,396 | 1.85 | (1.15 | ) | 2.07 | 83 | ||||||||||||||||||
| 7.84 | (13.49 | )(g) | 18,615 | 1.85 | (1.17 | ) | 1.89 | 71 | ||||||||||||||||||
| 10.78 | 16.25 | 20,280 | 1.84 | (1.24 | ) | 1.86 | 86 | |||||||||||||||||||
| 12.09 | 46.55 | 16,109 | 1.50 | (0.98 | ) | 1.64 | 79 | |||||||||||||||||||
| 8.25 | 21.50 | 1,561 | 1.50 | (0.89 | ) | 1.66 | 83 | |||||||||||||||||||
| 6.79 | 8.12 | (f) | 54 | 1.50 | (0.72 | ) | 1.93 | 83 | ||||||||||||||||||
| 12.88 | 16.88 | 83,457 | 0.74 | (0.24 | ) | 0.88 | 79 | |||||||||||||||||||
| 12.87 | 47.42 | 207,977 | 0.85 | (0.32 | ) | 1.00 | 79 | |||||||||||||||||||
| 8.73 | 22.44 | 146,161 | 0.85 | (0.31 | ) | 1.04 | 83 | |||||||||||||||||||
| 7.13 | (23.82 | )(f) | 102,695 | 0.85 | (0.15 | ) | 1.19 | 83 | ||||||||||||||||||
| 9.36 | (12.53 | )(g) | 91,439 | 0.85 | (0.15 | ) | 0.99 | 71 | ||||||||||||||||||
| 12.41 | 17.39 | 66,811 | 0.85 | (0.25 | ) | 0.96 | 86 | |||||||||||||||||||
| 12.74 | 47.28 | 128,617 | 0.99 | (0.47 | ) | 1.14 | 79 | |||||||||||||||||||
| 8.65 | 22.18 | 100,499 | 1.00 | (0.46 | ) | 1.19 | 83 | |||||||||||||||||||
| 7.08 | (23.87 | )(f) | 87,612 | 1.00 | (0.31 | ) | 1.30 | 83 | ||||||||||||||||||
| 9.30 | (12.74 | )(g) | 201,462 | 1.00 | (0.34 | ) | 1.13 | 71 | ||||||||||||||||||
| 12.37 | 17.25 | 373,174 | 1.00 | (0.40 | ) | 1.11 | 86 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 67 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 14.53 | $ | 0.12 | (e) | $ | 4.46 | $ | 4.58 | $ | (0.12 | ) | $ | — | $ | (0.12 | ) | |||||||||||
Year Ended June 30, 2010 | 11.46 | 0.09 | (e) | 3.06 | 3.15 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 17.45 | 0.18 | (e) | (4.93 | )(f) | (4.75 | ) | (0.21 | ) | (1.03 | ) | (1.24 | ) | |||||||||||||||
Year Ended June 30, 2008 | 24.56 | 0.17 | (e) | (4.61 | ) | (4.44 | ) | (0.16 | ) | (2.51 | ) | (2.67 | ) | |||||||||||||||
Year Ended June 30, 2007 | 23.89 | 0.11 | (e) | 3.70 | 3.81 | (0.14 | ) | (3.00 | ) | (3.14 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 12.88 | 0.01 | (e) | 3.95 | 3.96 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 10.17 | — | (e)(h) | 2.72 | 2.72 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 15.72 | 0.09 | (e) | (4.45 | )(f) | (4.36 | ) | (0.16 | ) | (1.03 | ) | (1.19 | ) | |||||||||||||||
Year Ended June 30, 2008 | 22.47 | 0.03 | (e) | (4.18 | ) | (4.15 | ) | (0.09 | ) | (2.51 | ) | (2.60 | ) | |||||||||||||||
Year Ended June 30, 2007 | 22.13 | (0.03 | )(e) | 3.40 | 3.37 | (0.03 | ) | (3.00 | ) | (3.03 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 12.78 | 0.01 | (e) | 3.92 | 3.93 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 10.10 | — | (e)(h) | 2.70 | 2.70 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 15.61 | 0.09 | (e) | (4.41 | )(f) | (4.32 | ) | (0.16 | ) | (1.03 | ) | (1.19 | ) | |||||||||||||||
Year Ended June 30, 2008 | 22.34 | 0.03 | (e) | (4.16 | ) | (4.13 | ) | (0.09 | ) | (2.51 | ) | (2.60 | ) | |||||||||||||||
Year Ended June 30, 2007 | 22.02 | (0.03 | )(e) | 3.39 | 3.36 | (0.04 | ) | (3.00 | ) | (3.04 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 14.51 | 0.08 | (e) | 4.45 | 4.53 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.45 | 0.06 | (e) | 3.06 | 3.12 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
November 3, 2008 (i) through June 30, 2009 | 13.84 | 0.10 | (e) | (1.29 | ) | (1.19 | ) | (0.17 | ) | (1.03 | ) | (1.20 | ) | |||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.15 | 0.18 | (e) | 4.66 | 4.84 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.94 | 0.15 | (e) | 3.19 | 3.34 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 18.08 | 0.22 | (e) | (5.09 | )(f) | (4.87 | ) | (0.24 | ) | (1.03 | ) | (1.27 | ) | |||||||||||||||
Year Ended June 30, 2008 | 25.32 | 0.24 | (e) | (4.75 | ) | (4.51 | ) | (0.22 | ) | (2.51 | ) | (2.73 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.54 | 0.20 | (e) | 3.80 | 4.00 | (0.22 | ) | (3.00 | ) | (3.22 | ) | |||||||||||||||||
Class R6 (j) | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.15 | 0.20 | (e) | 4.65 | 4.85 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.95 | 0.15 | (e) | 3.19 | 3.34 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 18.09 | 0.24 | (e) | (5.11 | )(f) | (4.87 | ) | (0.24 | ) | (1.03 | ) | (1.27 | ) | |||||||||||||||
Year Ended June 30, 2008 | 25.34 | 0.25 | (e) | (4.76 | ) | (4.51 | ) | (0.23 | ) | (2.51 | ) | (2.74 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.55 | 0.21 | (e) | 3.81 | 4.02 | (0.23 | ) | (3.00 | ) | (3.23 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.15 | 0.17 | (e) | 4.65 | 4.82 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.94 | 0.13 | (e) | 3.20 | 3.33 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 18.09 | 0.22 | (e) | (5.11 | )(f) | (4.89 | ) | (0.23 | ) | (1.03 | ) | (1.26 | ) | |||||||||||||||
Year Ended June 30, 2008 | 25.33 | 0.22 | (e) | (4.75 | ) | (4.53 | ) | (0.20 | ) | (2.51 | ) | (2.71 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.55 | 0.18 | (e) | 3.79 | 3.97 | (0.19 | ) | (3.00 | ) | (3.19 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return. |
| (g) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (h) | Amount rounds to less than $0.01. |
| (i) | Commencement of offering of class of shares. |
| (j) | Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 18.99 | 31.56 | % | $ | 202,094 | 1.24 | % | 0.68 | % | 1.43 | % | 43 | % | |||||||||||||
| 14.53 | 27.50 | 150,297 | 1.25 | 0.64 | 1.48 | 50 | ||||||||||||||||||||
| 11.46 | (26.91 | )(f) | 108,414 | 1.25 | 1.42 | 1.55 | 33 | |||||||||||||||||||
| 17.45 | (18.44 | )(g) | 155,745 | 1.25 | 0.82 | 1.41 | 35 | |||||||||||||||||||
| 24.56 | 16.73 | 208,767 | 1.24 | 0.47 | 1.35 | 38 | ||||||||||||||||||||
| 16.78 | 30.75 | 6,611 | 1.85 | 0.06 | 1.93 | 43 | ||||||||||||||||||||
| 12.88 | 26.77 | 7,355 | 1.86 | 0.03 | 1.98 | 50 | ||||||||||||||||||||
| 10.17 | (27.42 | )(f) | 10,614 | 1.86 | 0.79 | 2.04 | 33 | |||||||||||||||||||
| 15.72 | (18.93 | ) (g) | 19,488 | 1.87 | 0.18 | 1.91 | 35 | |||||||||||||||||||
| 22.47 | 16.02 | 33,326 | 1.84 | (0.14 | ) | 1.85 | 38 | |||||||||||||||||||
| 16.64 | 30.72 | 31,602 | 1.85 | 0.07 | 1.93 | 43 | ||||||||||||||||||||
| 12.78 | 26.74 | 23,499 | 1.86 | 0.03 | 1.98 | 50 | ||||||||||||||||||||
| 10.10 | (27.34 | )(f) | 17,402 | 1.86 | 0.79 | 2.04 | 33 | |||||||||||||||||||
| 15.61 | (18.95 | )(g) | 30,533 | 1.87 | 0.18 | 1.91 | 35 | |||||||||||||||||||
| 22.34 | 16.03 | 53,186 | 1.84 | (0.13 | ) | 1.85 | 38 | |||||||||||||||||||
| 18.93 | 31.22 | 6,082 | 1.49 | 0.45 | 1.64 | 43 | ||||||||||||||||||||
| 14.51 | 27.20 | 534 | 1.50 | 0.39 | 1.71 | 50 | ||||||||||||||||||||
| 11.45 | (8.17 | ) | 59 | 1.50 | 1.34 | 1.91 | 33 | |||||||||||||||||||
| 19.82 | 31.95 | 31,899 | 0.90 | 1.03 | 1.00 | 43 | ||||||||||||||||||||
| 15.15 | 27.96 | 48,135 | 0.91 | 0.98 | 1.02 | 50 | ||||||||||||||||||||
| 11.94 | (26.63 | )(f) | 13,342 | 0.91 | 1.74 | 1.14 | 33 | |||||||||||||||||||
| 18.08 | (18.17 | )(g) | 10,077 | 0.91 | 1.17 | 0.96 | 35 | |||||||||||||||||||
| 25.32 | 17.10 | 11,270 | 0.89 | 0.81 | 0.91 | 38 | ||||||||||||||||||||
| 19.83 | 32.06 | 103,457 | 0.85 | 1.06 | 0.89 | 43 | ||||||||||||||||||||
| 15.15 | 27.91 | 23,660 | 0.86 | 1.02 | 0.98 | 50 | ||||||||||||||||||||
| 11.95 | (26.59 | )(f) | 18,137 | 0.86 | 1.80 | 1.05 | 33 | |||||||||||||||||||
| 18.09 | (18.16 | )(g) | 28,433 | 0.86 | 1.21 | 0.91 | 35 | |||||||||||||||||||
| 25.34 | 17.19 | 59,684 | 0.84 | 0.86 | 0.85 | 38 | ||||||||||||||||||||
| 19.82 | 31.86 | 190,632 | 0.99 | 0.92 | 1.18 | 43 | ||||||||||||||||||||
| 15.15 | 27.83 | 175,578 | 1.00 | 0.90 | 1.23 | 50 | ||||||||||||||||||||
| 11.94 | (26.72 | )(f) | 201,486 | 1.00 | 1.64 | 1.30 | 33 | |||||||||||||||||||
| 18.09 | (18.24 | )(g) | 350,596 | 1.00 | 1.05 | 1.16 | 35 | |||||||||||||||||||
| 25.33 | 16.98 | 592,724 | 0.99 | 0.71 | 1.10 | 38 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 69 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
U.S. Small Company Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 7.79 | $ | — | (e)(h) | $ | 2.86 | $ | 2.86 | $ | (0.03 | ) | $ | — | $ | (0.03 | ) | |||||||||||
Year Ended June 30, 2010 | 6.17 | 0.01 | (e) | 1.68 | 1.69 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 8.37 | 0.05 | (e) | (2.17 | )(f) | (2.12 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||
November 1, 2007 (g) through June 30, 2008 | 9.73 | 0.03 | (e) | (1.14 | ) | (1.11 | ) | (0.08 | ) | (0.17 | ) | (0.25 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.71 | (0.05 | )(e) | 2.84 | 2.79 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 6.14 | (0.03 | )(e) | 1.68 | 1.65 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 8.34 | 0.02 | (e) | (2.16 | )(f) | (2.14 | ) | — | (g) | (0.06 | ) | (0.06 | ) | |||||||||||||||
November 1, 2007 (g) through June 30, 2008 | 9.73 | — | (e)(h) | (1.14 | ) | (1.14 | ) | (0.08 | ) | (0.17 | ) | (0.25 | ) | |||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.84 | 0.04 | (e) | 2.90 | 2.94 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.20 | 0.04 | (e) | 1.68 | 1.72 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 8.39 | 0.07 | (e) | (2.16 | )(f) | (2.09 | ) | (0.04 | ) | (0.06 | ) | (0.10 | ) | |||||||||||||||
Year Ended June 30, 2008 | 14.02 | 0.08 | (e) | (2.32 | ) | (2.24 | ) | (0.09 | ) | (3.30 | ) | (3.39 | ) | |||||||||||||||
Year Ended June 30, 2007 | 13.90 | 0.07 | (e) | 2.01 | 2.08 | (0.09 | ) | (1.87 | ) | (1.96 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.86 | 0.03 | (e) | 2.89 | 2.92 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.22 | 0.02 | (e) | 1.70 | 1.72 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 8.40 | 0.07 | (e) | (2.17 | )(f) | (2.10 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||
Year Ended June 30, 2008 | 14.03 | 0.06 | (e) | (2.33 | ) | (2.27 | ) | (0.06 | ) | (3.30 | ) | (3.36 | ) | |||||||||||||||
Year Ended June 30, 2007 | 13.89 | 0.04 | (e) | 2.02 | 2.06 | (0.05 | ) | (1.87 | ) | (1.92 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes gains resulting from litigation payments on securities owned in a prior year. Without these gains, the net realized and unrealized gains (losses) on investments per share would have been $(2.24), $(2.23), $(2.24) and $(2.25) and the total returns would have been (26.15)%, (26.47)%, (25.81)% and (25.88)%, for Class A, Class C, Institutional Class and Select Class Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.01. |
| (i) | Includes interest expense of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.62 | 36.78 | % | $ | 12,271 | 1.25 | % | 0.02 | % | 1.50 | % | 48 | % | |||||||||||||
| 7.79 | 27.48 | 576 | 1.26 | 0.06 | 1.67 | 56 | ||||||||||||||||||||
| 6.17 | (25.30 | )(f) | 240 | 1.26 | 0.75 | 1.70 | 52 | |||||||||||||||||||
| 8.37 | (11.51 | ) | 149 | 1.26 | 0.56 | 1.62 | 130 | |||||||||||||||||||
| 10.50 | 36.19 | 1,173 | 1.75 | (0.50 | ) | 2.02 | 48 | |||||||||||||||||||
| 7.71 | 26.81 | 381 | 1.76 | (0.44 | ) | 2.18 | 56 | |||||||||||||||||||
| 6.14 | (25.62 | )(f) | 94 | 1.76 | 0.27 | 2.20 | 52 | |||||||||||||||||||
| 8.34 | (11.82 | ) | 45 | 1.75 | 0.03 | 2.18 | 130 | |||||||||||||||||||
| 10.75 | 37.58 | 20,763 | 0.82 | 0.42 | 1.13 | 48 | ||||||||||||||||||||
| 7.84 | 27.78 | 10,729 | 0.83 | 0.48 | 1.30 | 56 | ||||||||||||||||||||
| 6.20 | (24.84 | )(f) | 9,086 | 0.83 | 1.17 | 1.30 | 52 | |||||||||||||||||||
| 8.39 | (19.41 | ) | 15,035 | 0.84 | (i) | 0.78 | 1.18 | 130 | ||||||||||||||||||
| 14.02 | 16.06 | 40,769 | 0.83 | 0.49 | 0.99 | 46 | ||||||||||||||||||||
| 10.76 | 37.14 | 34,944 | 1.00 | 0.27 | 1.29 | 48 | ||||||||||||||||||||
| 7.86 | 27.61 | 24,229 | 1.01 | 0.30 | 1.45 | 56 | ||||||||||||||||||||
| 6.22 | (24.92 | )(f) | 20,698 | 1.01 | 1.00 | 1.44 | 52 | |||||||||||||||||||
| 8.40 | (19.62 | ) | 34,092 | 1.02 | (i) | 0.59 | 1.33 | 130 | ||||||||||||||||||
| 14.03 | 15.87 | 81,115 | 1.01 | 0.31 | 1.14 | 46 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 71 | ||||||
Table of Contents
AS OF JUNE 30, 2011
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 6 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Dynamic Small Cap Growth Fund | Class A, Class B, Class C and Select Class | JPM I | Diversified | |||
| Small Cap Core Fund | Select Class | JPM I | Diversified | |||
| Small Cap Equity Fund | Class A, Class B, Class C, Class R2, Class R5 and Select Class | JPM I | Diversified | |||
| Small Cap Growth Fund | Class A, Class B, Class C, Class R2, Class R6, Institutional Class and Select Class | JPM II | Diversified | |||
| Small Cap Value Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| U.S. Small Company Fund | Class A, Class C, Institutional Class and Select Class | JPM I | Diversified |
Class R6 Shares commenced operation on November 30, 2010 for the Small Cap Growth Fund.
Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Small Cap Value Fund.
All share classes of the Small Cap Equity Fund are publicly offered only on a limited basis. Effective August 12, 2011, all share classes of the Dynamic Small Cap Growth Fund and Small Cap Growth Fund are publically offered only on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in their prospectuses.
Effective November 1, 2009, Class B Shares of the Dynamic Small Cap Growth Fund, Small Cap Equity Fund, Small Cap Growth Fund and Small Cap Value Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Fund primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Fund may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition
| 72 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
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of the investments. 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. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Total Investments in Securities # | $ | 399,649 | $ | — | $ | — | $ | 399,649 | ||||||||
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Small Cap Core Fund | ||||||||||||||||
Total Investments in Securities ### | $ | 568,630 | $ | 1,885 | $ | — | $ | 570,515 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 3,842 | $ | — | $ | — | $ | 3,842 | ||||||||
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Small Cap Equity Fund | ||||||||||||||||
Total Investments in Securities # | $ | 2,566,799 | $ | — | $ | — | $ | 2,566,799 | ||||||||
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Small Cap Growth Fund | ||||||||||||||||
Total Investments in Securities # | $ | 802,185 | $ | — | $ | — | $ | 802,185 | ||||||||
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Small Cap Value Fund | ||||||||||||||||
Total Investments in Securities ## | $ | 597,752 | $ | 895 | $ | — | $ | 598,647 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 667 | $ | — | $ | — | $ | 667 | ||||||||
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U.S. Small Company Fund | ||||||||||||||||
Total Investments in Securities ### | $ | 74,275 | $ | 175 | $ | — | $ | 74,450 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 96 | $ | — | $ | — | $ | 96 | ||||||||
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| # | All portfolio holdings designated as Level 1 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ## | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of a Right and a U.S. Treasury Note that is held for futures collateral. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ### | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of a U.S. Treasury Note that is held for futures collateral. Please refer to the SOI for industry specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2011.
B. Futures Contracts — The Small Cap Core Fund, Small Cap Value Fund and U.S. Small Company Fund use index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds buy futures contracts to immediately invest incoming cash in the market or sell futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Funds to equity price risk.
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 73 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the 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 unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The 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 Statements of Assets and Liabilities, 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, future exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
The table below discloses the volume of the Funds’ futures activities during the year ended June 30, 2011 (amounts in thousands):
| Small Cap Core Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
Average Notional Balance Long | $ | 20,654 | $ | 13,885 | $ | 1,558 | ||||||
Ending Notional Balance Long | 102,185 | 16,508 | 2,311 | |||||||||
C. Securities Lending — Each Fund may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for the Funds pursuant to a Securities Lending Agreement (the “GS Bank Securities Lending Agreement”). Prior to March 1, 2011, JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, served as lending agent for Small Cap Core Fund, Small Cap Equity Fund, Small Cap Growth Fund and Small Cap Value Fund pursuant to a Securities Lending Agreement (the “JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 67 | ||
Small Cap Core Fund | 33 | |||
Small Cap Equity Fund | 116 | |||
Small Cap Growth Fund | 61 | |||
Small Cap Value Fund | 34 | |||
U.S. Small Company Fund | 10 |
Under the GS Bank Securities Lending Agreement, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GS Bank Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities. Under the JPMCB Securities Lending Agreement, at the inception of a loan, securities were exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement required that the loaned securities be marked to market on a daily basis and additional cash collateral was requested from borrowers when the cash received from borrowers became less than 102% and 105% of the value of loaned U.S. dollar denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.
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The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Investments | ||||||||||
Dynamic Small Cap Growth Fund | $ | 23,406 | $ | 23,887 | $ | 23,887 | ||||||
Small Cap Core Fund | 26,318 | 26,812 | 26,812 | |||||||||
Small Cap Equity Fund | 53,687 | 54,593 | 54,593 | |||||||||
Small Cap Growth Fund | 67,031 | 68,596 | 68,596 | |||||||||
Small Cap Value Fund | 28,515 | 29,152 | 29,152 | |||||||||
U.S. Small Company Fund | 5,473 | 5,597 | 5,597 | |||||||||
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GS Bank and JPMCB each have agreed to indemnify the Funds, under their respective agreements, from losses resulting from a borrower’s failure to return a loaned security, as applicable.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands).
Dynamic Small Cap Growth Fund | $ | 40 | ||
Small Cap Core Fund | 20 | |||
Small Cap Equity Fund | 68 | |||
Small Cap Growth Fund | 38 | |||
Small Cap Value Fund | 20 | |||
U.S. Small Company Fund | 6 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the JPMCB Securities Lending Agreement, JPMCB was entitled to a fee paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the year ended June 30, 2011 (amounts in thousands):
Small Cap Core Fund | $ | 5 | ||
Small Cap Equity Fund | 19 | |||
Small Cap Growth Fund | 9 | |||
Small Cap Value Fund | 5 |
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid at least annually, except for Small Cap Value Fund, which are declared and paid quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in Capital | Accumulated (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on | ||||||||||
Dynamic Small Cap Growth Fund | $ | (2,300 | ) | $ | 2,241 | $ | 59 | |||||
Small Cap Core Fund | (26 | ) | (78 | ) | 104 | |||||||
Small Cap Equity Fund | (4 | ) | (286 | ) | 290 | |||||||
Small Cap Growth Fund | (2,660 | ) | 2,660 | — | ||||||||
Small Cap Value Fund | (9 | ) | 2 | 7 | ||||||||
U.S. Small Company Fund | — | (a) | — | (a) | — | (a) | ||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to net operating loss (Dynamic Small Cap Growth Fund and Small Cap Growth Fund), distributions from investments in real estate investment trusts (Small Cap Core Fund, Small Cap Value Fund and U.S. Small Company Fund), non-taxable special dividends (Small Cap Core Fund and Small Cap Equity Fund) and passive foreign investment company (PFIC) gains and losses (Small Cap Core Fund, Small Cap Value and U.S. Small Company Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
Dynamic Small Cap Growth Fund | 0.65 | % | ||
Small Cap Core Fund | 0.65 | |||
Small Cap Equity Fund | 0.65 | |||
Small Cap Growth Fund | 0.65 | |||
Small Cap Value Fund | 0.65 | |||
U.S. Small Company Fund | 0.60 |
The Advisors waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
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The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | |||||||||||||
Dynamic Small Cap Growth Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||
Small Cap Equity Fund | 0.25 | 0.75 | 0.75 | 0.50 | % | |||||||||||
Small Cap Growth Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Small Cap Value Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
U.S. Small Company Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Dynamic Small Cap Growth Fund | $ | 6 | $ | 5 | ||||
Small Cap Equity Fund | 5 | 11 | ||||||
Small Cap Growth Fund | 37 | 8 | ||||||
Small Cap Value Fund | 69 | 15 | ||||||
U.S. Small Company Fund | 2 | — | (a) | |||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Institutional Class | Select Class | ||||||||||||||||||||||
Dynamic Small Cap Growth Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | n/a | n/a | 0.25 | % | |||||||||||||||||
Small Cap Core Fund | n/a | n/a | n/a | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Small Cap Equity Fund | 0.25 | 0.25 | 0.25 | 0.25 | % | 0.05 | % | n/a | 0.25 | |||||||||||||||||||
Small Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | ||||||||||||||||||||
Small Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | |||||||||||||||||||||
U.S. Small Company Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | 0.25 | |||||||||||||||||||||
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||||||||||||||||||
Dynamic Small Cap Growth Fund | 1.50 | % | 2.10 | % | 2.10 | % | n/a | n/a | n/a | n/a | 1.10 | % | ||||||||||||||||||||
Small Cap Core Fund | n/a | n/a | n/a | n/a | n/a | n/a | n/a | 0.80 | ||||||||||||||||||||||||
Small Cap Equity Fund | 1.30 | 1.80 | 1.80 | 1.55 | % | 0.80 | % | n/a | n/a | 1.00 | ||||||||||||||||||||||
Small Cap Growth Fund | 1.25 | 1.87 | 1.87 | 1.50 | n/a | 0.75 | % | 0.85 | % | 1.00 | ||||||||||||||||||||||
Small Cap Value Fund | 1.25 | 1.86 | 1.86 | 1.50 | 0.91 | 0.86 | n/a | 1.00 | ||||||||||||||||||||||||
U.S. Small Company Fund | 1.26 | n/a | 1.76 | n/a | n/a | n/a | 0.83 | 1.01 | ||||||||||||||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Prior to November 1, 2010, the contractual expense limitation for the Dynamic Small Cap Growth Fund was 2.12% for Class B and Class C Shares.
Prior to November 1, 2010, the contractual expense limitation for the Small Cap Core Fund was 1.00% for Select Class Shares.
Prior to November 1, 2010, the contractual expense limitations for the Small Cap Equity Fund were 1.38%, 2.12%, 2.12% and 1.63% for Class A, Class B, Class C and Class R2 Shares, respectively.
Prior to November 1, 2010, the contractual expense limitation for the Small Cap Value Fund was 2.00% for Class B and Class C Shares.
Except as noted above, the contractual expense limitation agreements were in effect for the year ended June 30, 2011. The contractual expense limitation percentages in the table above are in place until at least October 31, 2011. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2011. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 78 | $ | 4 | $ | 178 | $ | 260 | ||||||||
Small Cap Core Fund | 131 | 81 | 1,308 | 1,520 | ||||||||||||
Small Cap Equity Fund | 2,145 | — | 769 | 2,914 | ||||||||||||
Small Cap Growth Fund | 153 | 456 | 181 | 790 | ||||||||||||
Small Cap Value Fund | 344 | 1 | 393 | 738 | ||||||||||||
U.S. Small Company Fund | 133 | — | 12 | 145 | ||||||||||||
| Voluntary Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 3 | $ | 1 | $ | — | $ | 4 | ||||||||
Small Cap Equity Fund | 143 | — | — | 143 | ||||||||||||
Small Cap Growth Fund | 6 | 21 | — | 27 | ||||||||||||
Small Cap Value Fund | 14 | — | — | 14 | ||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisors, Administrator and the Distributor as shareholder servicing agent waive an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in the money market funds for the year ended June 30, 2011 were as follows (excluding the waiver disclosed in Note 2.C. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 15 | ||
Small Cap Core Fund | 23 | |||
Small Cap Equity Fund | 167 | |||
Small Cap Growth Fund | 23 | |||
Small Cap Value Fund | 23 | |||
U.S. Small Company Fund | 3 |
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors.
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The Funds may use related party broker/dealers. For the year ended June 30, 2011, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisors.
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 year ended June 30, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 320,630 | $ | 214,239 | $ | — | $ | — | ||||||||
Small Cap Core Fund | 192,297 | 381,086 | 688 | 900 | ||||||||||||
Small Cap Equity Fund | 934,322 | 844,523 | — | — | ||||||||||||
Small Cap Growth Fund | 559,956 | 446,810 | — | — | ||||||||||||
Small Cap Value Fund | 230,614 | 208,878 | 839 | 1,140 | ||||||||||||
U.S. Small Company Fund | 42,109 | 24,286 | 126 | 85 | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 322,296 | $ | 86,281 | $ | 8,928 | $ | 77,353 | ||||||||
Small Cap Core Fund | 455,585 | 129,123 | 14,193 | 114,930 | ||||||||||||
Small Cap Equity Fund | 1,956,470 | 670,645 | 60,316 | 610,329 | ||||||||||||
Small Cap Growth Fund | 640,179 | 178,962 | 16,956 | 162,006 | ||||||||||||
Small Cap Value Fund | 520,164 | 112,455 | 33,972 | 78,483 | ||||||||||||
U.S. Small Company Fund | 63,951 | 13,115 | 2,616 | 10,499 | ||||||||||||
For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and mark to market of passive foreign investment companies (PFICs) (Dynamic Small Cap Growth Fund).
The tax character of distributions paid during the fiscal year ended June 30, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||||||
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Small Cap Core Fund | $ | 1,795 | $ | — | $ | 1,795 | ||||||
Small Cap Equity Fund | 37,972 | 33,923 | 71,895 | |||||||||
Small Cap Value Fund | 3,970 | — | 3,970 | |||||||||
U.S. Small Company Fund | 126 | — | 126 | |||||||||
The tax character of distributions paid during the fiscal year ended June 30, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||
| Ordinary Income | Total Distributions Paid | |||||||
Small Cap Core Fund | $ | 3,749 | $ | 3,749 | ||||
Small Cap Equity Fund | 4,622 | 4,622 | ||||||
Small Cap Value Fund | 2,889 | 2,889 | ||||||
U.S. Small Company Fund | 365 | 365 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
At June 30, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Long-Term Capital Gain (Tax Basis Capital | Unrealized Appreciation (Depreciation) | ||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | (17,040 | ) | $ | 77,353 | |||||
Small Cap Core Fund | 2,078 | (59,420 | ) | 114,930 | ||||||||
Small Cap Equity Fund | 63,234 | 40,291 | 610,329 | |||||||||
Small Cap Growth Fund | — | 12,833 | 162,006 | |||||||||
Small Cap Value Fund | 442 | (58,712 | ) | 78,483 | ||||||||
U.S. Small Company Fund | 167 | (5,538 | ) | 10,499 | ||||||||
For the Funds, the cumulative timing differences primarily consist of mark to market of passive foreign investment companies (PFICs) (Dynamic Small Cap Growth Fund, Small Cap Core Fund, Small Cap Growth Fund, Small Cap Value Fund and U.S. Small Company Fund), trustee deferred compensation (Small Cap Core Fund, Small Cap Equity Fund and U.S. Small Company Fund), mark to market of futures contracts (Small Cap Core Fund), distributions payable (Small Cap Value Fund) and wash sale loss deferrals (all funds).
As of June 30, 2011, the Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2018 | Total | |||||||
Dynamic Small Cap Growth Fund | $ | 17,040 | $ | 17,040 | ||||
Small Cap Core Fund | 59,420 | 59,420 | ||||||
Small Cap Value Fund | 58,712 | 58,712 | ||||||
U.S. Small Company Fund | 5,538 | 5,538 | ||||||
During the year ended June 30, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 27,785 | ||
Small Cap Core Fund | 51,358 | |||
Small Cap Growth Fund | 56,410 | |||
Small Cap Value Fund | 18,616 | |||
U.S. Small Company Fund | 4,500 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (“the Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to this Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2011, or at any time during the six months then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
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7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for U.S. Small Company Fund. In addition, the J.P. Morgan Investor Funds, which are affiliated funds of funds, own, in the aggregate approximately 14.9%, of the net assets of Small Cap Value Fund. Significant shareholder transactions, if any, may impact the Funds’ performance.
Additionally, Dynamic Small Cap Growth Fund has several shareholders, which are accounts maintained by financial intermediaries on behalf of their clients, that own significant portions of the Fund’s outstanding shares.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Dynamic Small Cap Growth Fund, JPMorgan Small Cap Core Fund, JPMorgan Small Cap Equity Fund, JPMorgan Small Cap Growth Fund, JPMorgan Small Cap Value Fund and JPMorgan U.S. Small Company Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Dynamic Small Cap Growth Fund, JPMorgan Small Cap Core Fund, JPMorgan Small Cap Equity Fund, JPMorgan U.S. Small Company Fund (each a separate fund of JPMorgan Trust I), JPMorgan Small Cap Growth Fund and JPMorgan Small Cap Value Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2011
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 149 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 149 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 149 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 149 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 149 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 149 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 149 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 149 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 149 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 83 | ||||||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 149 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 149 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 149 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 149 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (149 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
| Patricia A. Maleski (1960), President and Principal Executive Officer (2010) | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Carmine Lekstutis (1980) Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, January 1, 2011, and continued to hold your shares at the end of the reporting period, June 30, 2011.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,084.90 | $ | 7.19 | 1.39 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,081.70 | 9.81 | 1.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.37 | 9.49 | 1.90 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,082.50 | 9.76 | 1.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.42 | 9.44 | 1.89 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,086.30 | 5.59 | 1.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.44 | 5.41 | 1.08 | ||||||||||||
Small Cap Core Fund | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,080.80 | 4.13 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,086.40 | 6.67 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,083.70 | 9.25 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,083.90 | 9.25 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
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| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
Small Cap Equity Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,085.20 | $ | 7.96 | 1.54 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,089.20 | 4.09 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,088.20 | 5.13 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,089.50 | 6.48 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,085.40 | 9.05 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,086.00 | 9.05 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,087.20 | 7.76 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,091.50 | 3.89 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,090.70 | 4.41 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,089.80 | 5.18 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,049.30 | 6.35 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,046.00 | 9.38 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.62 | 9.25 | 1.85 | ||||||||||||
Class C | �� | |||||||||||||||
Actual | 1,000.00 | 1,045.50 | 9.38 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.62 | 9.25 | 1.85 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,047.70 | 7.62 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,050.40 | 4.58 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,050.60 | 4.32 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,050.00 | 5.08 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 87 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,082.60 | $ | 6.45 | 1.25 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,080.20 | 9.08 | 1.76 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.07 | 8.80 | 1.76 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,084.80 | 4.24 | 0.82 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.73 | 4.11 | 0.82 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,083.60 | 5.17 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 88 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2011 | ||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2011:
| Dividends Received Deduction | ||||
Small Cap Core Fund | 100.00 | % | ||
Small Cap Equity Fund | 48.67 | |||
Small Cap Value Fund | 100.00 | |||
U.S. Small Company Fund | 100.00 | |||
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended June 30, 2011 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Small Cap Equity Fund | $ | 33,923 | ||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Small Cap Core Fund | $ | 1,795 | ||
Small Cap Equity Fund | 20,119 | |||
Small Cap Value Fund | 3,970 | |||
U.S. Small Company Fund | 126 | |||
Short Term Gains and Qualified Interest Income (QII)
For the fiscal year ended June 30, 2011, The Funds designate the following amounts of ordinary distributions paid during the Fund’s fiscal year that are from qualified interest income and short-term capital gain (amounts in thousands):
| Short-Term Gain | ||||
Small Cap Equity Fund | $ | 30,353 | ||
| JUNE 30, 2011 | J.P. MORGAN SMALL CAP FUNDS | 89 | ||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2011. All rights reserved. June 2011. | AN-SC-611 |
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Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2011
JPMorgan Growth Advantage Fund
JPMorgan Mid Cap Core Fund
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
JPMorgan Mid Cap Value Fund
JPMorgan Multi-Cap Market Neutral Fund
JPMorgan Value Advantage Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 12 | ||||
| 15 | ||||
| 18 | ||||
| Schedules of Portfolio Investments | 20 | |||
| Financial Statements | 52 | |||
| Financial Highlights | 70 | |||
| Notes to Financial Statements | 84 | |||
| Report of Independent Registered Public Accounting Firm | 96 | |||
| Trustees | 97 | |||
| Officers | 99 | |||
| Schedule of Shareholder Expenses | 100 | |||
| Tax Letter | 103 | |||
Privacy Notice — Located at the back of this Annual Report | ||||
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objective, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
Table of Contents
August 8, 2011 (Unaudited)
Dear Shareholder:
Last summer, investors’ optimism about the markets was tempered by a wave of both discouraging U.S. economic data and sovereign debt issues in Europe, which led to a market correction.
 |
“Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.” |
As we enter the second half of 2011, concerns about softening U.S. economic data persist. While we are encouraged that corporate earnings and profits have continued to grow consistently, spending levels in many areas of the economy remain critically low, which has resulted in tight inventories and pent-up consumer demand. Meanwhile, investors still lack confidence in the ability of the European governments to combat the region’s debt crisis. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger the recent downturn, as August 8, 2011 saw each of the three major U.S. stock indices experience their worst one-day performance since December 1, 2008. The current slowdown in growth should not be viewed as a surprise. Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.
Monetary stimulus and corporate profits move stocks higher
Despite periods of volatility, monetary and fiscal stimulus and strong corporate profits lifted stocks higher over the past year. As of the end of the 12-month reporting period ended June 30, 2011, the S&P 500 Index was at a level of 1,321, an increase of 30.7% from 12 months earlier.
Small cap growth stocks led all style categories for the 12-month reporting period, with the Russell 2000 Growth Index returning 43.5%. For the same period, the Russell Midcap Growth Index returned 43.3%, compared to 35.0% for the Russell 1000 Growth Index. In the value category, the Russell Midcap Value Index returned 34.3%, outperforming both the Russell 2000 Value Index, which returned 31.4%, and the Russell 1000 Value index, which returned 28.9%.
Most U.S. Treasury yields rise amid softer economic data
In the U.S. bond markets, yields were generally volatile, but longer-term Treasury yields generally rose, while shorter-term yields declined as economic expectations weakened. The yield on the 10-year U.S. Treasury bond rose from 3.0% to 3.2% as of the end of the 12-month reporting period ended June 30, 2011, while yields on the 30-year U.S. Treasury bond increased from 3.9% to 4.4%. Yields on the 2-year U.S. Treasury bond dropped from 0.6% to 0.5% as of the end of the same period.
Is the economic soft patch temporary?
As we enter the second half of 2011, the markets have clearly entered a period of uncertainty. Stocks have been volatile in response to weaker economic growth, as well as concerns over the European sovereign debt crisis, the credit downgrade of U.S.-issued debt, policy tightening in China, and the conclusion of the second round of quantitative easing (QE2) in the U.S. Given these events, it’s not surprising that investors remain largely risk averse, and less than confident about prospects for future growth.
Despite the slowdown and uncertain political environment, however, we do believe that some aspects of our markets and economy — including strong corporate balance sheets and valuations — present potential opportunities for investors. As always, we advise investors to be mindful of continued volatility and other unexpected risks by maintaining a diversified and balanced approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Management Americas
J.P. Morgan Asset Management
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 1 | ||||||
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J.P. Morgan Mid Cap/Multi-Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
Stocks in most of the world’s capital markets rallied during the twelve months ended June 30, 2011. In the United States, investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis, political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period but stocks still finished with gains.
U.S. stocks, as measured by the Russell 3000 Index, returned 32.37% for the twelve months ended June 30, 2011. The Russell Midcap Index, which is comprised of U.S. mid-cap stocks, returned 38.47% for the twelve months ended June 30, 2011, while the Russell Midcap Growth Index and the Russell Midcap Value Index returned 43.25% and 34.28%, respectively.
| 2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
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JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 37.28% | |||
| Russell 3000 Growth Index | 35.68% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 1,216,156 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the consumer discretionary and health care sectors contributed to relative performance, while the Fund’s stock selection in the energy and materials and processing sectors detracted from relative performance.
The Fund’s individual contributors to relative performance included Amazon.com, Inc., UnitedHealth Group, Inc. and Valeant Pharmaceuticals International Inc. Amazon.com, Inc., an online retailer, reported better-than-expected profit, as the company continued to grow its revenue and gain market share despite the challenging environment for retail spending. Shares of UnitedHealth Group, Inc., an accident and health insurance company, increased after the company reported better-than-expected first-quarter profit, fueled by enrollment growth across its health plans. Shares of Valeant Pharmaceuticals International Inc. rose after the specialty pharmaceutical company completed its merger with Biovail Corp. and reported a positive outlook for 2011, suggesting that the integration of the two companies was proceeding faster than investors had initially anticipated.
Individual detractors from the Fund’s relative performance included the Fund’s underweight positions in Exxon Mobil Corp., Caterpillar, Inc. and International Business Machines Corp. (“IBM”) as these stocks were strong performers in the Benchmark during the reporting period. Shares of integrated energy company Exxon Mobil Corp. advanced due to rising oil prices and increased production of natural gas during the reporting period. Shares of construction and agricultural machinery provider Caterpillar, Inc. advanced on the company’s strong earnings, boosted by recovering demand for its products. Shares of IBM advanced following the company’s better-than-expected first-quarter revenue, driven by strong software sales.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies
across market capitalizations in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the financial services sector, while the Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.8 | % | |||||
| 2. | QUALCOMM, Inc. | 2.3 | ||||||
| 3. | Amazon.com, Inc. | 2.2 | ||||||
| 4. | Oracle Corp. | 2.1 | ||||||
| 5. | Coach, Inc. | 2.0 | ||||||
| 6. | MasterCard, Inc. | 1.8 | ||||||
| 7. | UnitedHealth Group, Inc. | 1.8 | ||||||
| 8. | Valeant Pharmaceuticals International, Inc. | 1.8 | ||||||
| 9. | American Express Co. | 1.8 | ||||||
| 10. | Schlumberger Ltd. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 32.2 | % | ||
| Consumer Discretionary | 19.7 | |||
| Health Care | 14.7 | |||
| Industrials | 12.8 | |||
| Energy | 9.1 | |||
| Financials | 7.8 | |||
| Materials | 3.2 | |||
| Short-Term Investments | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 10/29/99 | |||||||||||||||
Without Sales Charge | 37.28 | % | 6.96 | % | 4.94 | % | ||||||||||
With Sales Charge* | 30.15 | 5.80 | 4.37 | |||||||||||||
CLASS B SHARES | 10/29/99 | |||||||||||||||
Without CDSC | 36.67 | 6.35 | 4.37 | |||||||||||||
With CDSC** | 31.67 | 6.03 | 4.37 | |||||||||||||
CLASS C SHARES | 5/1/06 | |||||||||||||||
Without CDSC | 36.45 | 6.31 | 4.27 | |||||||||||||
With CDSC*** | 35.45 | 6.31 | 4.27 | |||||||||||||
CLASS R5 SHARES | 1/8/09 | 37.81 | 7.29 | 5.12 | ||||||||||||
SELECT CLASS SHARES | 5/1/06 | 37.48 | 7.18 | 5.06 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
As of August 17, 2005, the Fund changed its name, investment objective, certain investment policies and benchmark. Prior to that time, the Fund operated as JPMorgan Mid Cap Growth Fund. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to August 17, 2005 might be less pertinent for investors considering whether to purchase shares of the Fund. Returns for the Class C Shares prior to their inception date are based on the performance of Class B Shares, whose expenses are substantially similar to those of Class C Shares. Returns for the Select Class Shares prior to their inception date are based on the performance of Class A Shares. During this period, the actual returns of Select Class Shares would have been different because Select Class Shares have different expenses than Class A Shares. Returns for Class R5 Shares prior to its inception date are based on the performance of Select Class Shares from May 1, 2006 to June 30, 2009 and Class A Shares prior to May 1, 2006. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class and Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the Russell 3000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 Index companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
| 4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
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Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year annual average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 | ||||||
Table of Contents
FUND COMMENTARY
FOR THE PERIOD NOVEMBER 30, 2010 (FUND INCEPTION DATE) THROUGH JUNE 30, 2011
(Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 14.84% | |||
| Russell Midcap Index | 15.56% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 91,782 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Core Fund (the “Fund”) seeks long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell Midcap Index for the period November 30, 2010 through June 30, 2011. The Fund’s stock selection in the consumer discretionary sector detracted from relative performance, while the Fund’s stock selection in the producer durables sector contributed to relative performance.
Individual detractors from relative performance included Greenhill & Co., Inc and Marvell Technology Group Ltd. Shares of financial advisory firm Greenhill & Co., Inc. declined as the company’s increased compensation costs associated with its expansion plans and lower financial advisor fees resulted in profits below what investors had anticipated. Marvell Technology Group Ltd. provides parts for products manufactured by Research In Motion. The stock declined after Research In Motion reported disappointing sales, prompting investors’ concerns about slowing demand for Marvell Technology Group Ltd.’s products.
Individual contributors to relative performance included the Fund’s positions in UnitedHealth Group, Inc. and KAR Auction Services, Inc. Shares of UnitedHealth Group, Inc., an accident and health insurance company, increased after the company reported better-than-expected first-quarter profits, fueled by enrollment growth across its health plans. Shares of KAR Auction Services, Inc., a provider of vehicle auction services in North America, increased after the company announced strong first-quarter profits.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary
fundamental analysis. The Fund’s portfolio managers invested in companies that, in their view, had leading competitive advantages, predictable and durable business models, sustainable free cash flow generation and management teams committed to increasing intrinsic value.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Devon Energy Corp. | 2.8 | % | |||||
| 2. | Jarden Corp. | 2.8 | ||||||
| 3. | Silgan Holdings, Inc. | 2.7 | ||||||
| 4. | Iberiabank Corp. | 2.2 | ||||||
| 5. | Walgreen Co. | 2.2 | ||||||
| 6. | Calamos Asset Management, Inc., Class A | 2.0 | ||||||
| 7. | ProAssurance Corp. | 2.0 | ||||||
| 8. | Chubb Corp. | 2.0 | ||||||
| 9. | Joy Global, Inc. | 1.9 | ||||||
| 10. | Coventry Health Care, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 19.4 | % | ||
| Consumer Discretionary | 18.1 | |||
| Industrials | 14.9 | |||
| Health Care | 10.0 | |||
| Information Technology | 8.8 | |||
| Materials | 8.7 | |||
| Energy | 8.3 | |||
| Utilities | 6.1 | |||
| Consumer Staples | 1.8 | |||
| Short-Term Investment | 3.9 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions any may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2011. The Fund’s composition is subject to change. |
| 6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
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TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||
| INCEPTION DATE OF CLASS | SINCE INCEPTION | |||||||
CLASS A SHARES | 11/30/10 | |||||||
Without Sales Charge | 14.70 | % | ||||||
With Sales Charge* | 8.69 | |||||||
CLASS C SHARES | 11/30/10 | |||||||
Without CDSC | 14.33 | |||||||
With CDSC** | 13.33 | |||||||
CLASS R2 SHARES | 11/30/10 | 14.53 | ||||||
CLASS R5 SHARES | 11/30/10 | 15.00 | ||||||
CLASS R6 SHARES | 1/31/11 | 15.00 | ||||||
SELECT CLASS SHARES | 11/30/10 | 14.84 | ||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (11/30/2010-6/30/2011)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-data, month-end performance information please call 1-800-480-4111.
The fund commenced operations on November 30, 2010.
Returns for Class R6 Shares prior to its inception date were based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Core Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from November 30, 2010 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of
the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an Index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 37.15% | |||
| Russell Midcap Index | 38.47% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 572,219 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the consumer discretionary and financials sectors detracted from relative performance, while the Fund’s stock selection in the information technology and health care sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s underweight positions in priceline.com, Inc., Discover Financial Services and Altera Corp., three stocks that performed strongly in the Benchmark. Shares of priceline.com, Inc., an online travel company, rose on investor optimism that increasing on-line commerce would continue to benefit the company. Shares of consumer financial services company Discover Financial Services gained due to consistent improvements in credit card delinquencies. Shares of chipmaker Altera Corp. benefited from increased capital spending on global wireless infrastructure.
Individual contributors to relative performance included the Fund’s positions in Valeant Pharmaceuticals International Inc., Coventry Health Care, Inc. and Williams Cos. Shares of Valeant Pharmaceuticals International Inc. rose after the specialty pharmaceutical company completed its merger with Biovail Corp. and reported a positive outlook for 2011, suggesting that the integration of the two companies was proceeding faster than investors had initially anticipated. Shares of Coventry Health Care, Inc. increased as investor concerns about healthcare reform eased. In addition, the company continued to experience lower medical costs and increased member enrollment. Shares of Williams Cos., an integrated energy company, rose as investors reacted positively to the announcement that it would separate into two distinct publicly traded companies.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on
company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to identify dominant franchises with predictable business models deemed capable of achieving sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | TE Connectivity Ltd., (Switzerland) | 1.6 | % | |||||
| 2. | Lincare Holdings, Inc. | 1.3 | ||||||
| 3. | Humana, Inc. | 1.3 | ||||||
| 4. | Sherwin-Williams Co. (The) | 1.3 | ||||||
| 5. | Carlisle Cos., Inc. | 1.2 | ||||||
| 6. | Coach, Inc. | 1.2 | ||||||
| 7. | Coventry Health Care, Inc. | 1.1 | ||||||
| 8. | Concho Resources, Inc. | 1.1 | ||||||
| 9. | Marriott International, Inc., Class A | 1.1 | ||||||
| 10. | T. Rowe Price Group, Inc. | 1.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Consumer Discretionary | 19.3 | % | ||
| Financials | 15.7 | |||
| Information Technology | 15.3 | |||
| Industrials | 13.0 | |||
| Health Care | 11.2 | |||
| Energy | 8.1 | |||
| Materials | 5.4 | |||
| Utilities | 5.0 | |||
| Consumer Staples | 3.0 | |||
| Telecommunication Services | 0.8 | |||
| Short-Term Investment | 3.2 | |||
| * | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| 8 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/2/09 | |||||||||||||||
Without Sales Charge | 36.66 | % | 5.46 | % | 7.39 | % | ||||||||||
With Sales Charge* | 29.49 | 4.33 | 6.81 | |||||||||||||
CLASS C SHARES | 11/2/09 | |||||||||||||||
Without CDSC | 36.04 | 5.29 | 7.31 | |||||||||||||
With CDSC** | 35.04 | 5.29 | 7.31 | |||||||||||||
SELECT CLASS SHARES | 1/1/97 | 37.15 | 5.58 | 7.45 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class A and Class C Shares prior to their inception date were based on the performance of Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, the Lipper Mid-Cap Core Funds Index and the Lipper Multi-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index and the
Lipper Multi-Cap Core Funds Index include expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index and the Lipper Multi-Cap Core Funds Index are indexes based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an Index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 43.01% | |||
| Russell Midcap Growth Index | 43.25% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 1,775,753 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital and secondarily, current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the consumer discretionary and materials and processing sectors detracted from relative performance, while the Fund’s stock selection in the producer durables and health care sectors contributed to relative performance
Individual detractors from the Fund’s relative performance included the Fund’s underweight positions in priceline.com, Inc., Altera Corp. and Wynn Resorts Ltd., three stocks that performed strongly in the Benchmark. Shares of online travel company priceline.com, Inc. increased due to the company’s better-than-expected earnings, driven by strong growth in its global hotel business. Shares of chipmaker Altera Corp. benefited from the company’s higher-than-expected second-quarter sales. Casino and gaming company Wynn Resorts Ltd. benefited from investor optimism about growth from the company’s position in the Macau gaming industry.
Individual contributors to relative performance included the Fund’s positions in Valeant Pharmaceuticals International Inc., Coventry Health Care, Inc. and Cummins Inc. Shares of Valeant Pharmaceuticals International Inc. rose after the specialty pharmaceutical company completed its merger with Biovail Corp. and reported a positive outlook for 2011, suggesting that the integration of the two companies was proceeding faster than investors had initially anticipated. Shares of accident and health insurance company Coventry Health Care, Inc. increased after the company reported better-than-expected first-quarter earnings. Cummins Inc., a provider of components for truck engines, reported strong earnings driven mainly by robust demand for new trucks in emerging markets. Meanwhile, demand in North America continued to recover from very depressed levels as trucking companies replaced their aging truck fleets.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies
in an effort to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest overweights versus the Benchmark were in the technology and financial services sectors and the Fund’s largest underweights versus the Benchmark were in the consumer staples and materials and processing sectors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Coach, Inc. | 2.3 | % | |||||
| 2. | Concho Resources, Inc. | 2.2 | ||||||
| 3. | Agilent Technologies, Inc. | 1.9 | ||||||
| 4. | W.W. Grainger, Inc. | 1.9 | ||||||
| 5. | Valeant Pharmaceuticals International, Inc., (Canada) | 1.8 | ||||||
| 6. | Cameron International Corp. | 1.7 | ||||||
| 7. | TE Connectivity Ltd., (Switzerland) | 1.6 | ||||||
| 8. | Humana, Inc. | 1.6 | ||||||
| 9. | Cummins, Inc. | 1.5 | ||||||
| 10. | Coventry Health Care, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 24.6 | % | ||
| Consumer Discretionary | 19.3 | |||
| Industrials | 17.0 | |||
| Health Care | 16.2 | |||
| Financials | 8.7 | |||
| Energy | 8.4 | |||
| Materials | 3.6 | |||
| Short-Term Investment | 2.2 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| 10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 42.59 | % | 6.19 | % | 5.36 | % | ||||||||||
With Sales Charge* | 35.07 | 5.05 | 4.79 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 41.89 | 5.58 | 4.79 | |||||||||||||
With CDSC** | 36.89 | 5.26 | 4.79 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 41.85 | 5.57 | 4.67 | |||||||||||||
With CDSC*** | 40.85 | 5.57 | 4.67 | |||||||||||||
CLASS R2 SHARES | 6/19/09 | 42.37 | 6.02 | 5.18 | ||||||||||||
SELECT CLASS SHARES | 3/2/89 | 43.01 | 6.49 | 5.64 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2 Shares prior to its inception date are based on the performance of Select Class Shares. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses and sales charges between classes.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index, the Lipper Multi-Cap Growth Funds Index and Lipper Mid-Cap Growth Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Growth Funds Index and Lipper Mid-Cap Growth Funds Index include expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index and Lipper Mid-Cap Growth Funds Index are indexes based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 11 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 32.66% | |||
| Russell Midcap Value Index | 34.28% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 6,775,834 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s relative underperformance versus the Benchmark was primarily driven by negative stock selection in the health care and financials sectors. The Fund’s stock selection in the information technology sector as well as stock selection and an underweight in the utilities sector contributed to relative performance.
Individual detractors from the Fund’s relative performance included the Fund’s underweight positions in Cigna Corp., Discover Financial Services and Spectra Energy Corp., three stocks that performed strongly in the Benchmark. Insurance company Cigna raised its expectations for 2011 earnings, which helped the stock. Shares of consumer financial services company Discover Financial Services advanced due to consistent improvements in credit card delinquencies. Shares of natural gas company, Spectra Energy Corp. increased as investors began to recognize that a lower percentage of company profits are being derived from commodity sensitive activities while pipelines were making larger contributions to cash flow.
Individual contributors to relative performance included Williams Cos., Tiffany & Co. and Albemarle Corp. Shares of Williams Cos., an integrated energy company, rose as investors reacted positively to the announcement that it would separate into two distinct publicly traded companies. Shares of jewelry retailer Tiffany & Co. gained after the company reported strong fiscal first-quarter earnings and raised its outlook for full-year earnings, as its strong market position more than offset the impact from rising raw materials costs. Shares of Albemarle Corp., a specialty chemical company, advanced on strong earnings gains throughout the reporting period, driven by the continued growth in electronics, which led to increased demand for brominated flame retardants.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate sustainable levels of free
cash flow. The Fund’s portfolio managers believed that these types of companies should perform relatively well in what they view as a slow but sustainable economic recovery in the United States. The Fund’s largest overweight continued to be in the consumer discretionary sector. The Fund’s portfolio managers sought to own retailers with strong brands and business models that produce recurring revenue, believing that these factors, coupled with lower levels of capital spending, should contribute to their sustainable generation of free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Republic Services, Inc. | 2.1 | % | |||||
| 2. | Energen Corp. | 1.9 | ||||||
| 3. | Loews Corp. | 1.9 | ||||||
| 4. | Fortune Brands, Inc. | 1.7 | ||||||
| 5. | Oneok, Inc. | 1.7 | ||||||
| 6. | CMS Energy Corp. | 1.6 | ||||||
| 7. | Bed Bath & Beyond, Inc. | 1.6 | ||||||
| 8. | Ball Corp. | 1.6 | ||||||
| 9. | TE Connectivity Ltd., (Switzerland) | 1.6 | ||||||
| 10. | Devon Energy Corp. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 23.4 | % | ||
| Consumer Discretionary | 19.6 | |||
| Utilities | 10.1 | |||
| Industrials | 9.0 | |||
| Energy | 7.8 | |||
| Materials | 7.3 | |||
| Health Care | 6.2 | |||
| Consumer Staples | 6.1 | |||
| Information Technology | 5.9 | |||
| Telecommunication Services | 1.9 | |||
| Short-Term Investment | 2.7 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| 12 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 4/30/01 | |||||||||||||||
Without Sales Charge | 31.96 | % | 4.47 | % | 8.86 | % | ||||||||||
With Sales Charge* | 25.02 | 3.35 | 8.27 | |||||||||||||
CLASS B SHARES | 4/30/01 | |||||||||||||||
Without CDSC | 31.33 | 3.95 | 8.35 | |||||||||||||
With CDSC** | 26.33 | 3.60 | 8.35 | |||||||||||||
CLASS C SHARES | 4/30/01 | |||||||||||||||
Without CDSC | 31.29 | 3.95 | 8.26 | |||||||||||||
With CDSC*** | 30.29 | 3.95 | 8.26 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 31.66 | 4.33 | 8.79 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 11/13/97 | 32.66 | 5.00 | 9.40 | ||||||||||||
SELECT CLASS SHARES | 10/31/01 | 32.29 | 4.74 | 9.14 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Mid Cap Value Fund, the Russell Mid-cap Value Index, the Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Value Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect
reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Value Funds Index include expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Core Funds Index and the Lipper Mid-Cap Value Funds Index are indexes based on total returns of certain groups of mutual funds as determined by Lipper, Inc. The Fund’s Lipper Index changed to the Lipper Mid-Cap Core Funds Index because Lipper recategorized the Fund. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return 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 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.23% | |||
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.16% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $546,447 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Multi-Cap Market Neutral Fund (the “Fund”) seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index for the twelve months ended June 30, 2011.
The Fund’s portfolio managers employed a quantitative bottom-up approach to their stock selection process, focusing on both valuation and fundamentals. The Fund’s valuation stock selection model seeks to determine how a stock is priced relative to its intrinsic value by considering valuation factors such as a company’s cash flow and price-to-book values. The Fund’s fundamentals stock selection model attempts to identify how healthy a company’s short-term operating trends are judged to be, using metrics such as stock price momentum and earnings momentum.
During the reporting period, the environment was positive for the Fund’s stock selection process as investors began to refocus on stock specific information and trade less based on macroeconomic data. As a result, the Fund experienced positive returns in each of the following five supersectors: consumer, financial, industrial, technology and health care sectors. Stock selection in the technology, consumer and health care sectors contributed the most to the Fund’s return.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers ranked stocks within a universe of approximately 1,300 large-cap, mid-cap and high-end small-cap stocks. The Fund owned more than 350 long and short positions during the reporting period and was sector-neutral. The Fund’s portfolio managers sought to go long on inexpensive stocks with improving fundamentals and short on expensive stocks with deteriorating fundamentals. They continued to use strategies designed to produce returns that have no correlation with general domestic market performance.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
| TOP TEN EQUITY LONG HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | GT Solar International, Inc. | 0.5 | % | |||||
| 2. | TRW Automotive Holdings Corp. | 0.4 | ||||||
| 3. | Lorillard, Inc. | 0.4 | ||||||
| 4. | IAC/InterActiveCorp. | 0.4 | ||||||
| 5. | Forest Laboratories, Inc. | 0.4 | ||||||
| 6. | Alliance Data Systems Corp. | 0.4 | ||||||
| 7. | AMERIGROUP Corp. | 0.4 | ||||||
| 8. | Complete Production Services, Inc. | 0.4 | ||||||
| 9. | RPC, Inc. | 0.4 | ||||||
| 10. | Healthspring, Inc. | 0.4 | ||||||
| TOP TEN EQUITY SHORT HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Robbins & Myers, Inc. | 0.5 | % | |||||
| 2. | Green Mountain Coffee Roasters, Inc. | 0.5 | ||||||
| 3. | Pharmasset, Inc. | 0.5 | ||||||
| 4. | Under Armour, Inc., Class A | 0.5 | ||||||
| 5. | CarMax, Inc. | 0.5 | ||||||
| 6. | Spectra Energy Corp. | 0.5 | ||||||
| 7. | Eastman Kodak Co. | 0.5 | ||||||
| 8. | Carpenter Technology Corp. | 0.5 | ||||||
| 9. | Office Depot, Inc. | 0.5 | ||||||
| 10. | Mead Johnson Nutrition Co. | 0.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR LONG POSITIONS*** | ||||
| Consumer Discretionary | 17.9 | % | ||
| Information Technology | 17.5 | |||
| Industrials | 12.2 | |||
| Financials | 11.0 | |||
| Health Care | 9.6 | |||
| Energy | 7.4 | |||
| Materials | 6.3 | |||
| Utilities | 5.9 | |||
| Consumer Staples | 4.9 | |||
| Telecommunication Services | 0.9 | |||
| Short-Term Investment | 6.4 | |||
PORTFOLIO COMPOSITION BY SECTOR SHORT POSITIONS**** | ||||
| Information Technology | 16.5 | % | ||
| Industrials | 14.4 | |||
| Consumer Discretionary | 13.4 | |||
| Financials | 12.8 | |||
| Health Care | 11.2 | |||
| Energy | 10.8 | |||
| Materials | 8.2 | |||
| Utilities | 6.0 | |||
| Consumer Staples | 5.0 | |||
| Telecommunication Services | 1.7 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total long investments as of June 30, 2011. The Fund’s composition is subject to change. |
| **** | Percentages indicated are based upon total short investments as of June 30, 2011. The Fund’s composition is subject to change. |
| 16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 5/23/03 | |||||||||||||||
Without Sales Charge | 1.03 | % | (0.63 | )% | 1.51 | % | ||||||||||
With Sales Charge* | (4.29 | ) | (1.69 | ) | 0.85 | |||||||||||
CLASS B SHARES | 5/23/03 | |||||||||||||||
Without CDSC | 0.32 | (1.36 | ) | 0.77 | ||||||||||||
With CDSC** | (4.68 | ) | (1.79 | ) | 0.77 | |||||||||||
CLASS C SHARES | 5/23/03 | |||||||||||||||
Without CDSC | 0.21 | (1.37 | ) | 0.76 | ||||||||||||
With CDSC*** | (0.79 | ) | (1.37 | ) | 0.76 | |||||||||||
SELECT CLASS SHARES | 5/23/03 | 1.23 | (0.39 | ) | 1.76 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (5/23/03 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on May 23, 2003.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Equity Market-Neutral Funds Average from May 23, 2003 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Equity Market-Neutral Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The BofA Merrill Lynch
3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. The Lipper Equity Market-Neutral Funds Average is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because the Class B Shares automatically convert to Class A Shares after eight years, the since inception average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net assets value in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 27.06% | |||
| Russell 3000 Value Index | 29.13% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 918,841 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s relative underperformance versus the Benchmark was driven primarily by the Fund’s stock selection in the energy and health care sectors. The Fund’s stock selection in the consumer discretionary sector also detracted from the Fund’s relative performance. The Fund’s stock selection in the financials and utilities sector contributed to relative performance. The Fund’s stock selection and underweight in the consumer staples sector also contributed to the Fund’s relative performance.
Individual detractors from the Fund’s relative performance included the Fund’s underweight positions in Chevron Corp., General Electric Co. and Verizon Communications Inc., three stocks that performed strongly in the Benchmark. Integrated energy company Chevron Corp. benefited from higher oil and gas prices as well as the corresponding increase in production volumes. Shares of General Electric Co. advanced as the company became increasingly optimistic about the economic recovery. Shares of Verizon Communications Inc. benefited from increased investor optimism about the company becoming a provider of the iPhone and its potential positive impact to future earnings.
Individual contributors to relative performance included Oneok, Inc., Loews Corp. and Albemarle Corp. Shares of diversified natural gas company Oneok, Inc. benefited from the company’s interest in Oneok Partners, a master limited partnership that reported strong first-quarter results. Shares of diversified holding company Loews Corp. increased after the company announced better-than-expected earnings and the reinstatement of its quarterly dividend. Shares of Albemarle Corp., a specialty chemical company, advanced on strong earnings gains throughout the reporting period, driven by the continued growth in electronics, which led to increased demand for brominated flame retardants.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate significant levels of free cash flow. The Fund’s largest overweight was in the consumer discretionary sector. The Fund’s portfolio managers sought retailers with strong brands and recurring revenue business models. They believed that these factors coupled with lower levels of capital spending should contribute to the generation of free cash flow for the retailers.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.7 | % | |||||
| 2. | Loews Corp. | 3.2 | ||||||
| 3. | Devon Energy Corp. | 2.8 | ||||||
| 4. | AT&T, Inc. | 2.6 | ||||||
| 5. | Exxon Mobil Corp. | 2.5 | ||||||
| 6. | Johnson & Johnson | 2.2 | ||||||
| 7. | Oneok, Inc. | 1.9 | ||||||
| 8. | Teekay Corp. (Canada) | 1.8 | ||||||
| 9. | Procter & Gamble Co. (The) | 1.7 | ||||||
| 10. | Pfizer, Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 30.5 | % | ||
| Consumer Discretionary | 14.9 | |||
| Energy | 11.2 | |||
| Health Care | 10.5 | |||
| Utilities | 7.4 | |||
| Consumer Staples | 6.2 | |||
| Telecommunication Services | 4.8 | |||
| Industrials | 3.9 | |||
| Materials | 3.5 | |||
| Information Technology | 2.6 | |||
| Investment Company | 1.0 | |||
| Short-Term Investment | 3.5 | |||
| * | The return shown is based on net asset value calculated for share- holder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2011. The Fund’s composition is subject to change. |
| 18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/28/05 | |||||||||||||||
Without Sales Charge | 26.45 | % | 4.89 | % | 6.33 | % | ||||||||||
With Sales Charge* | 19.84 | 3.76 | 5.43 | |||||||||||||
CLASS C SHARES | 2/28/05 | |||||||||||||||
Without CDSC | 25.82 | 4.37 | 5.80 | |||||||||||||
With CDSC** | 24.82 | 4.37 | 5.80 | |||||||||||||
INSTITUTIONAL CLASS SHARES | 2/28/05 | 27.06 | 5.42 | 6.78 | ||||||||||||
SELECT CLASS SHARES | 2/28/05 | 26.75 | 5.16 | 6.60 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/05 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2005.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from February 28, 2005 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 3000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Value Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.6% | |||||||
Consumer Discretionary — 19.7% | ||||||||
Auto Components — 2.2% |
| |||||||
| 162 | BorgWarner, Inc. (a) | 13,056 | ||||||
| 334 | Johnson Controls, Inc. | 13,931 | ||||||
|
| |||||||
| 26,987 | ||||||||
|
| |||||||
Automobiles — 1.6% |
| |||||||
| 327 | Harley-Davidson, Inc. | 13,381 | ||||||
| 186 | Tesla Motors, Inc. (a) (c) | 5,421 | ||||||
|
| |||||||
| 18,802 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.5% |
| |||||||
| 236 | American Public Education, Inc. (a) | 10,500 | ||||||
| 168 | Sotheby’s | 7,312 | ||||||
|
| |||||||
| 17,812 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.0% |
| |||||||
| 169 | BJ’s Restaurants, Inc. (a) | 8,854 | ||||||
| 230 | Cheesecake Factory, Inc. (The) (a) | 7,227 | ||||||
| 302 | Gaylord Entertainment Co. (a) | 9,060 | ||||||
| 327 | Marriott International, Inc., Class A | 11,609 | ||||||
|
| |||||||
| 36,750 | ||||||||
|
| |||||||
Internet & Catalog Retail — 3.5% |
| |||||||
| 131 | Amazon.com, Inc. (a) | 26,727 | ||||||
| 170 | HomeAway, Inc. (a) | 6,587 | ||||||
| 37 | NetFlix, Inc. (a) | 9,772 | ||||||
|
| |||||||
| 43,086 | ||||||||
|
| |||||||
Media — 4.5% |
| |||||||
| 319 | DIRECTV, Class A (a) | 16,196 | ||||||
| 290 | Scripps Networks Interactive, Inc., Class A | 14,190 | ||||||
| 4,467 | Sirius XM Radio, Inc. (a) | 9,783 | ||||||
| 361 | Walt Disney Co. (The) | 14,078 | ||||||
|
| |||||||
| 54,247 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods— 3.4% |
| |||||||
| 374 | Coach, Inc. | 23,903 | ||||||
| 102 | Deckers Outdoor Corp. (a) | 8,982 | ||||||
| 224 | Vera Bradley, Inc. (a) | 8,549 | ||||||
|
| |||||||
| 41,434 | ||||||||
|
| |||||||
Total Consumer Discretionary | 239,118 | |||||||
|
| |||||||
Energy — 9.1% |
| |||||||
Energy Equipment & Services — 4.2% |
| |||||||
| 345 | Cameron International Corp. (a) | 17,364 | ||||||
| 171 | National Oilwell Varco, Inc. | 13,382 | ||||||
| 234 | Schlumberger Ltd. | 20,191 | ||||||
|
| |||||||
| 50,937 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 4.9% |
| |||||||
| 90 | Apache Corp. | 11,056 | ||||||
| 211 | Concho Resources, Inc. (a) | 19,362 | ||||||
| 294 | Forest Oil Corp. (a) | 7,856 | ||||||
| 151 | Newfield Exploration Co. (a) | 10,264 | ||||||
| 271 | Southwestern Energy Co. (a) | 11,633 | ||||||
|
| |||||||
| 60,171 | ||||||||
|
| |||||||
Total Energy | 111,108 | |||||||
|
| |||||||
Financials — 7.8% |
| |||||||
Capital Markets — 2.4% |
| |||||||
| 281 | Lazard Ltd., (Bermuda), Class A | 10,440 | ||||||
| 467 | Och-Ziff Capital Management Group LLC, Class A | 6,473 | ||||||
| 201 | T. Rowe Price Group, Inc. | 12,152 | ||||||
|
| |||||||
| 29,065 | ||||||||
|
| |||||||
Commercial Banks — 1.9% |
| |||||||
| 465 | U.S. Bancorp | 11,855 | ||||||
| 417 | Wells Fargo & Co. | 11,698 | ||||||
|
| |||||||
| 23,553 | ||||||||
|
| |||||||
Consumer Finance — 1.8% |
| |||||||
| 417 | American Express Co. | 21,554 | ||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 34 | CME Group, Inc. | 9,856 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
| 172 | ACE Ltd., (Switzerland) | 11,288 | ||||||
|
| |||||||
Total Financials | 95,316 | |||||||
|
| |||||||
Health Care — 14.8% |
| |||||||
Biotechnology — 3.3% |
| |||||||
| 170 | Alexion Pharmaceuticals, Inc. (a) | 7,995 | ||||||
| 175 | Biogen Idec, Inc. (a) | 18,711 | ||||||
| 212 | Celgene Corp. (a) | 12,806 | ||||||
|
| |||||||
| 39,512 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.7% |
| |||||||
| 217 | Sirona Dental Systems, Inc. (a) | 11,496 | ||||||
| 269 | Thoratec Corp. (a) | 8,842 | ||||||
|
| |||||||
| 20,338 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.0% |
| |||||||
| 130 | DaVita, Inc. (a) | 11,216 | ||||||
| 293 | Emeritus Corp. (a) (c) | 6,230 | ||||||
| 188 | Healthspring, Inc. (a) | 8,683 | ||||||
| 450 | Lincare Holdings, Inc. | 13,176 | ||||||
| 423 | UnitedHealth Group, Inc. | 21,803 | ||||||
|
| |||||||
| 61,108 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
| 356 | Agilent Technologies, Inc. (a) | 18,200 | ||||||
|
| |||||||
Pharmaceuticals — 3.3% |
| |||||||
| 355 | Aegerion Pharmaceuticals, Inc. (a) | 5,598 | ||||||
| 155 | Allergan, Inc. | 12,879 | ||||||
| 420 | Valeant Pharmaceuticals International, Inc., (Canada) (c) | 21,802 | ||||||
|
| |||||||
| 40,279 | ||||||||
|
| |||||||
Total Health Care | 179,437 | |||||||
|
| |||||||
Industrials — 12.8% |
| |||||||
Aerospace & Defense — 2.1% |
| |||||||
| 130 | Goodrich Corp. | 12,415 | ||||||
| 184 | HEICO Corp. (c) | 10,078 | ||||||
| 42 | TransDigm Group, Inc. (a) | 3,821 | ||||||
|
| |||||||
| 26,314 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
| 237 | EnerSys (a) | 8,164 | ||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
| 243 | Carlisle Cos., Inc. | 11,963 | ||||||
|
| |||||||
Machinery — 3.5% |
| |||||||
| 171 | Cummins, Inc. | 17,697 | ||||||
| 171 | Deere & Co. | 14,082 | ||||||
| 172 | Wabtec Corp. | 11,304 | ||||||
|
| |||||||
| 43,083 | ||||||||
|
| |||||||
Professional Services — 0.7% |
| |||||||
| 104 | IHS, Inc., Class A (a) | 8,651 | ||||||
|
| |||||||
Road & Rail — 2.5% |
| |||||||
| 477 | Avis Budget Group, Inc. (a) | 8,155 | ||||||
| 210 | J.B. Hunt Transport Services, Inc. | 9,880 | ||||||
| 327 | Old Dominion Freight Line, Inc. (a) | 12,182 | ||||||
|
| |||||||
| 30,217 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.3% |
| |||||||
| 334 | Air Lease Corp. (a) | 8,115 | ||||||
| 127 | W.W. Grainger, Inc. (c) | 19,529 | ||||||
|
| |||||||
| 27,644 | ||||||||
|
| |||||||
Total Industrials | 156,036 | |||||||
|
| |||||||
Information Technology — 32.2% |
| |||||||
Communications Equipment — 4.4% |
| |||||||
| 462 | JDS Uniphase Corp. (a) | 7,697 | ||||||
| 346 | Juniper Networks, Inc. (a) | 10,887 | ||||||
| 495 | QUALCOMM, Inc. | 28,094 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Communications Equipment — Continued |
| |||||||
| 165 | Riverbed Technology, Inc. (a) | 6,544 | ||||||
|
| |||||||
| 53,222 | ||||||||
|
| |||||||
Computers & Peripherals — 7.6% |
| |||||||
| 209 | Apple, Inc. (a) | 70,004 | ||||||
| 431 | EMC Corp. (a) | 11,874 | ||||||
| 190 | NetApp, Inc. (a) | 10,012 | ||||||
|
| |||||||
| 91,890 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
| 157 | Amphenol Corp., Class A | 8,471 | ||||||
| 464 | TE Connectivity Ltd., (Switzerland) | 17,057 | ||||||
|
| |||||||
| 25,528 | ||||||||
|
| |||||||
Internet Software & Services — 1.4% |
| |||||||
| 24 | Google, Inc., Class A (a) | 12,305 | ||||||
| 55 | LinkedIn Corp., Class A (a) (c) | 4,964 | ||||||
|
| |||||||
| 17,269 | ||||||||
|
| |||||||
IT Services — 3.9% |
| |||||||
| 402 | CGI Group, Inc., (Canada), Class A (a) | 9,909 | ||||||
| 208 | Cognizant Technology Solutions Corp., Class A (a) | 15,284 | ||||||
| 74 | MasterCard, Inc., Class A | 22,209 | ||||||
|
| |||||||
| 47,402 | ||||||||
|
| |||||||
Office Electronics — 0.8% |
| |||||||
| 231 | Zebra Technologies Corp., Class A (a) | 9,754 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
| 260 | Avago Technologies Ltd., (Singapore) | 9,873 | ||||||
| 579 | Freescale Semiconductor Holdings I Ltd. (a) | 10,653 | ||||||
| 223 | Lam Research Corp. (a) | 9,883 | ||||||
| 412 | Xilinx, Inc. | 15,018 | ||||||
|
| |||||||
| 45,427 | ||||||||
|
| |||||||
Software — 8.3% |
| |||||||
| 398 | Adobe Systems, Inc. (a) (m) | 12,511 | ||||||
| 225 | Autodesk, Inc. (a) | 8,685 | ||||||
| 141 | Concur Technologies, Inc. (a) | 7,040 | ||||||
| 242 | MICROS Systems, Inc. (a) | 12,040 | ||||||
| 394 | Nuance Communications, Inc. (a) | 8,468 | ||||||
| 778 | Oracle Corp. | 25,594 | ||||||
| 195 | RealPage, Inc. (a) | 5,170 | ||||||
| 89 | Salesforce.com, Inc. (a) | 13,319 | ||||||
| 220 | Taleo Corp., Class A (a) | 8,139 | ||||||
|
| |||||||
| 100,966 | ||||||||
|
| |||||||
Total Information Technology | 391,458 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Materials — 3.2% |
| |||||||
Chemicals — 2.4% |
| |||||||
| 168 | FMC Corp. | 14,434 | ||||||
| 174 | Sherwin-Williams Co. (The) | 14,593 | ||||||
|
| |||||||
| 29,027 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
| 174 | Freeport-McMoRan Copper & Gold, Inc. | 9,210 | ||||||
|
| |||||||
Total Materials | 38,237 | |||||||
|
| |||||||
Total Common Stocks | 1,210,710 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 0.5% | |||||||
Investment Company — 0.5% |
| |||||||
| 5,903 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 5,903 | ||||||
|
| |||||||
| Investments of Cash Collateral for Securities on Loan — 3.2% | |||||||
Investment Company — 3.2% |
| |||||||
| 39,434 | JPMorgan Prime Money Market Fund, | 39,434 | ||||||
|
| |||||||
Total Investments — 103.3% | 1,256,047 | |||||||
Liabilities in Excess of | (39,891 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,216,156 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Mid Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.1% | |||||||
Consumer Discretionary — 18.0% |
| |||||||
Automobiles — 2.0% | ||||||||
| 44 | Harley-Davidson, Inc. | 1,808 | ||||||
|
| |||||||
Distributors — 1.1% | ||||||||
| 19 | Genuine Parts Co. | 1,022 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.2% |
| |||||||
| 33 | Brinker International, Inc. (m) | 808 | ||||||
| 33 | Papa John’s International, Inc. (a) | 1,108 | ||||||
| 47 | Penn National Gaming, Inc. (a) | 1,897 | ||||||
|
| |||||||
| 3,813 | ||||||||
|
| |||||||
Household Durables — 4.8% | ||||||||
| 71 | Jarden Corp. | 2,440 | ||||||
| 50 | Newell Rubbermaid, Inc. | 781 | ||||||
| 63 | Toll Brothers, Inc. (a) | 1,298 | ||||||
|
| |||||||
| 4,519 | ||||||||
|
| |||||||
Multiline Retail — 1.9% | ||||||||
| 37 | Nordstrom, Inc. | 1,733 | ||||||
|
| |||||||
Specialty Retail — 4.0% | ||||||||
| 80 | American Eagle Outfitters, Inc. (m) | 1,018 | ||||||
| 88 | Chico’s FAS, Inc. | 1,344 | ||||||
| 36 | Williams-Sonoma, Inc. | 1,308 | ||||||
|
| |||||||
| 3,670 | ||||||||
|
| |||||||
Total Consumer Discretionary | 16,565 | |||||||
|
| |||||||
Consumer Staples — 1.8% |
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
| 40 | Walgreen Co. | 1,679 | ||||||
|
| |||||||
Energy — 8.3% | ||||||||
Energy Equipment & Services — 3.7% |
| |||||||
| 46 | Exterran Holdings, Inc. (a) | 914 | ||||||
| 47 | Patterson-UTI Energy, Inc. | 1,489 | ||||||
| 18 | Tidewater, Inc. | 978 | ||||||
|
| |||||||
| 3,381 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.6% |
| |||||||
| 19 | Cimarex Energy Co. | 1,676 | ||||||
| 33 | Devon Energy Corp. | 2,585 | ||||||
|
| |||||||
| 4,261 | ||||||||
|
| |||||||
Total Energy | 7,642 | |||||||
|
| |||||||
Financials — 19.5% |
| |||||||
Capital Markets — 7.3% |
| |||||||
| 125 | Calamos Asset Management, Inc., Class A | 1,818 | ||||||
| 21 | Greenhill & Co., Inc. | 1,123 | ||||||
| 54 | HFF, Inc., Class A (a) | 813 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
| 103 | Janus Capital Group, Inc. | 977 | ||||||
| 96 | TD AMERITRADE Holding Corp. | 1,880 | ||||||
|
| |||||||
| 6,611 | ||||||||
|
| |||||||
Commercial Banks — 4.1% |
| |||||||
| 27 | First Republic Bank (a) | 874 | ||||||
| 23 | Iberiabank Corp. | 1,339 | ||||||
| 133 | Umpqua Holdings Corp. | 1,535 | ||||||
|
| |||||||
| 3,748 | ||||||||
|
| |||||||
Insurance — 4.1% | ||||||||
| 27 | Chubb Corp. | 1,712 | ||||||
| 29 | ProAssurance Corp. (a) | 2,054 | ||||||
|
| |||||||
| 3,766 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.0% |
| |||||||
| 23 | Mid-America Apartment Communities, Inc. | 1,520 | ||||||
| 48 | National Retail Properties, Inc. | 1,180 | ||||||
| 56 | RLJ Lodging Trust | 969 | ||||||
|
| |||||||
| 3,669 | ||||||||
|
| |||||||
Total Financials | 17,794 | |||||||
|
| |||||||
Health Care — 10.0% | ||||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
| 15 | IDEXX Laboratories, Inc. (a) | 1,198 | ||||||
|
| |||||||
Health Care Providers & Services — 8.7% |
| |||||||
| 55 | Coventry Health Care, Inc. (a) | 2,000 | ||||||
| 18 | Laboratory Corp. of America Holdings (a) | 1,707 | ||||||
| 35 | Patterson Cos., Inc. | 1,151 | ||||||
| 40 | UnitedHealth Group, Inc. | 2,084 | ||||||
| 49 | VCA Antech, Inc. (a) | 1,044 | ||||||
|
| |||||||
| 7,986 | ||||||||
|
| |||||||
Total Health Care | 9,184 | |||||||
|
| |||||||
Industrials — 14.9% | ||||||||
Aerospace & Defense — 3.0% |
| |||||||
| 13 | Goodrich Corp. | 1,199 | ||||||
| 17 | TransDigm Group, Inc. (a) | 1,566 | ||||||
|
| |||||||
| 2,765 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.9% |
| |||||||
| 73 | KAR Auction Services, Inc. (a) | 1,375 | ||||||
| 42 | Waste Connections, Inc. | 1,327 | ||||||
|
| |||||||
| 2,702 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
| 16 | Regal-Beloit Corp. | 1,091 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Mid Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Machinery — 6.5% |
| |||||||
| 25 | Dover Corp. | 1,671 | ||||||
| 27 | Eaton Corp. | 1,381 | ||||||
| 18 | Joy Global, Inc. | 1,694 | ||||||
| 20 | Toro Co. (The) | 1,210 | ||||||
|
| |||||||
| 5,956 | ||||||||
|
| |||||||
Road & Rail — 1.3% |
| |||||||
| 15 | Norfolk Southern Corp. | 1,149 | ||||||
|
| |||||||
Total Industrials | 13,663 | |||||||
|
| |||||||
Information Technology — 8.8% |
| |||||||
Computers & Peripherals — 1.0% |
| |||||||
| 18 | NetApp, Inc. (a) | 958 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
| 22 | Anixter International, Inc. (m) | 1,453 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 79 | Intersil Corp., Class A | 1,016 | ||||||
| 35 | Linear Technology Corp. | 1,161 | ||||||
| 56 | Marvell Technology Group Ltd., (Bermuda) (a) | 830 | ||||||
|
| |||||||
| 3,007 | ||||||||
|
| |||||||
Software — 2.9% |
| |||||||
| 27 | MICROS Systems, Inc. (a) | 1,351 | ||||||
| 23 | Solera Holdings, Inc. | 1,343 | ||||||
|
| |||||||
| 2,694 | ||||||||
|
| |||||||
Total Information Technology | 8,112 | |||||||
|
| |||||||
Materials — 8.7% |
| |||||||
Chemicals — 2.8% |
| |||||||
| 19 | Airgas, Inc. (m) | 1,345 | ||||||
| 24 | Scotts Miracle-Gro Co. (The), Class A | 1,221 | ||||||
|
| |||||||
| 2,566 | ||||||||
|
| |||||||
Containers & Packaging — 4.4% |
| |||||||
| 43 | Crown Holdings, Inc. (a) | 1,679 | ||||||
| 58 | Silgan Holdings, Inc. | 2,372 | ||||||
|
| |||||||
| 4,051 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 1.5% |
| |||||||
| 27 | Reliance Steel & Aluminum Co. | 1,332 | ||||||
|
| |||||||
Total Materials | 7,949 | |||||||
|
| |||||||
Utilities — 6.1% |
| |||||||
Electric Utilities — 1.2% |
| |||||||
| 27 | Southern Co. | 1,090 | ||||||
|
| |||||||
Gas Utilities — 1.0% |
| |||||||
| 21 | Northwest Natural Gas Co. | 948 | ||||||
|
| |||||||
Multi-Utilities — 3.9% |
| |||||||
| 59 | CMS Energy Corp. | 1,170 | ||||||
| 34 | NorthWestern Corp. | 1,125 | ||||||
| 40 | Wisconsin Energy Corp. | 1,263 | ||||||
|
| |||||||
| 3,558 | ||||||||
|
| |||||||
Total Utilities | 5,596 | |||||||
|
| |||||||
Total Common Stocks | 88,184 | |||||||
|
| |||||||
| Short-Term Investment — 3.9% | |||||||
Investment Company — 3.9% |
| |||||||
| 3,576 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 3,576 | ||||||
|
| |||||||
Total Investments — 100.0% | 91,760 | |||||||
Other Assets in Excess of | 22 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 91,782 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% | |||||||
Consumer Discretionary — 19.2% |
| |||||||
Auto Components — 0.7% |
| |||||||
| 49 | BorgWarner, Inc. (a) | 3,943 | ||||||
|
| |||||||
Automobiles — 0.9% |
| |||||||
| 96 | Harley-Davidson, Inc. | 3,929 | ||||||
| 44 | Tesla Motors, Inc. (a) (c) | 1,267 | ||||||
|
| |||||||
| 5,196 | ||||||||
|
| |||||||
Distributors — 0.5% |
| |||||||
| 52 | Genuine Parts Co. | 2,806 | ||||||
|
| |||||||
Diversified Consumer Services — 0.6% |
| |||||||
| 30 | DeVry, Inc. | 1,792 | ||||||
| 40 | Sotheby’s | 1,753 | ||||||
|
| |||||||
| 3,545 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.7% |
| |||||||
| 57 | Cheesecake Factory, Inc. (The) (a) | 1,798 | ||||||
| 60 | Darden Restaurants, Inc. | 2,969 | ||||||
| 45 | Gaylord Entertainment Co. (a) | 1,362 | ||||||
| 124 | International Game Technology | 2,181 | ||||||
| 172 | Marriott International, Inc., Class A | 6,090 | ||||||
| 126 | Royal Caribbean Cruises Ltd. (a) | 4,734 | ||||||
| 35 | Yum! Brands, Inc. | 1,911 | ||||||
|
| |||||||
| 21,045 | ||||||||
|
| |||||||
Household Durables — 1.8% |
| |||||||
| 76 | Fortune Brands, Inc. | 4,853 | ||||||
| 57 | Harman International Industries, Inc. | 2,593 | ||||||
| 52 | Jarden Corp. | 1,784 | ||||||
| 16 | Mohawk Industries, Inc. (a) | 948 | ||||||
|
| |||||||
| 10,178 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.9% |
| |||||||
| 76 | Expedia, Inc. | 2,195 | ||||||
| 12 | NetFlix, Inc. (a) | 3,073 | ||||||
|
| |||||||
| 5,268 | ||||||||
|
| |||||||
Media — 3.9% | ||||||||
| 88 | Cablevision Systems Corp., Class A | 3,197 | ||||||
| 111 | CBS Corp., Class B | 3,168 | ||||||
| 91 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 1,158 | ||||||
| 69 | DISH Network Corp., Class A (a) | 2,101 | ||||||
| 120 | Gannett Co., Inc. | 1,713 | ||||||
| 76 | Lamar Advertising Co., Class A (a) | 2,072 | ||||||
| 28 | Omnicom Group, Inc. | 1,368 | ||||||
| 83 | Scripps Networks Interactive, Inc., Class A | 4,032 | ||||||
| 1,360 | Sirius XM Radio, Inc. (a) | 2,979 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued | ||||||||
| 2 | Washington Post Co. (The), Class B | 693 | ||||||
|
| |||||||
| 22,481 | ||||||||
|
| |||||||
Multiline Retail — 0.4% | ||||||||
| 41 | Kohl’s Corp. | 2,065 | ||||||
|
| |||||||
Specialty Retail — 3.2% | ||||||||
| 9 | AutoZone, Inc. (a) | 2,712 | ||||||
| 79 | Bed Bath & Beyond, Inc. (a) | 4,588 | ||||||
| 67 | Dick’s Sporting Goods, Inc. (a) | 2,584 | ||||||
| 158 | Gap, Inc. (The) | 2,856 | ||||||
| 29 | Tiffany & Co. | 2,293 | ||||||
| 67 | TJX Cos., Inc. | 3,504 | ||||||
|
| |||||||
| 18,537 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.6% | ||||||||
| 105 | Coach, Inc. | 6,738 | ||||||
| 24 | Deckers Outdoor Corp. (a) | 2,106 | ||||||
| 21 | Fossil, Inc. (a) | 2,460 | ||||||
| 15 | Lululemon Athletica, Inc., (Canada) (a) | 1,633 | ||||||
| 30 | Phillips-Van Heusen Corp. | 1,958 | ||||||
|
| |||||||
| 14,895 | ||||||||
|
| |||||||
Total Consumer Discretionary | 109,959 | |||||||
|
| |||||||
Consumer Staples — 2.9% | ||||||||
Beverages — 0.6% | ||||||||
| 24 | Brown-Forman Corp., Class B | 1,791 | ||||||
| 41 | Dr. Pepper Snapple Group, Inc. | 1,732 | ||||||
|
| |||||||
| 3,523 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.5% | ||||||||
| 120 | Safeway, Inc. | 2,814 | ||||||
|
| |||||||
Food Products — 1.4% | ||||||||
| 23 | Hershey Co. (The) | 1,308 | ||||||
| 49 | JM Smucker Co. (The) | 3,738 | ||||||
| 38 | Ralcorp Holdings, Inc. (a) | 3,281 | ||||||
|
| |||||||
| 8,327 | ||||||||
|
| |||||||
Household Products — 0.4% | ||||||||
| 30 | Energizer Holdings, Inc. (a) | 2,164 | ||||||
|
| |||||||
Total Consumer Staples | 16,828 | |||||||
|
| |||||||
Energy — 8.1% | ||||||||
Energy Equipment & Services — 1.3% | ||||||||
| 97 | Cameron International Corp. (a) | 4,890 | ||||||
| 15 | CARBO Ceramics, Inc. (c) | 2,363 | ||||||
|
| |||||||
| 7,253 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Oil, Gas & Consumable Fuels — 6.8% | ||||||||
| 69 | Concho Resources, Inc. (a) | 6,310 | ||||||
| 47 | CVR Energy, Inc. (a) | 1,145 | ||||||
| 53 | Devon Energy Corp. | 4,201 | ||||||
| 97 | Energen Corp. | 5,452 | ||||||
| 38 | EQT Corp. | 2,017 | ||||||
| 73 | Forest Oil Corp. (a) | 1,962 | ||||||
| 17 | Kinder Morgan Management LLC (a) | 1,104 | ||||||
| 84 | Newfield Exploration Co. (a) | 5,693 | ||||||
| 49 | Peabody Energy Corp. | 2,857 | ||||||
| 51 | Range Resources Corp. | 2,853 | ||||||
| 50 | Teekay Corp., (Canada) | 1,532 | ||||||
| 129 | Williams Cos., Inc. (The) | 3,899 | ||||||
|
| |||||||
| 39,025 | ||||||||
|
| |||||||
Total Energy | 46,278 | |||||||
|
| |||||||
Financials — 15.7% |
| |||||||
Capital Markets — 3.5% |
| |||||||
| 63 | Ameriprise Financial, Inc. | 3,657 | ||||||
| 106 | Invesco Ltd. | 2,483 | ||||||
| 74 | Lazard Ltd., (Bermuda), Class A | 2,731 | ||||||
| 28 | Northern Trust Corp. | 1,273 | ||||||
| 91 | Och-Ziff Capital Management Group LLC, Class A | 1,258 | ||||||
| 100 | T. Rowe Price Group, Inc. | 6,061 | ||||||
| 117 | TD AMERITRADE Holding Corp. | 2,279 | ||||||
|
| |||||||
| 19,742 | ||||||||
|
| |||||||
Commercial Banks — 3.6% |
| |||||||
| 27 | BancorpSouth, Inc. | 333 | ||||||
| 41 | BB&T Corp. | 1,098 | ||||||
| 46 | BOK Financial Corp. (c) | 2,497 | ||||||
| 41 | City National Corp. | 2,246 | ||||||
| 56 | Comerica, Inc. | 1,950 | ||||||
| 32 | Cullen/Frost Bankers, Inc. | 1,796 | ||||||
| 205 | Fifth Third Bancorp | 2,611 | ||||||
| 123 | Huntington Bancshares, Inc. | 804 | ||||||
| 42 | M&T Bank Corp. | 3,676 | ||||||
| 82 | SunTrust Banks, Inc. | 2,123 | ||||||
| 65 | Zions Bancorp | 1,563 | ||||||
|
| |||||||
| 20,697 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
| 99 | Moody’s Corp. | 3,812 | ||||||
|
| |||||||
Insurance — 5.2% |
| |||||||
| 104 | AON Corp. | 5,334 | ||||||
| 42 | Arch Capital Group Ltd., (Bermuda) (a) | 1,334 | ||||||
| 49 | Cincinnati Financial Corp. | 1,434 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
| 125 | Loews Corp. | 5,265 | ||||||
| 200 | Old Republic International Corp. | 2,345 | ||||||
| 78 | OneBeacon Insurance Group Ltd., Class A | 1,050 | ||||||
| 56 | Principal Financial Group, Inc. | 1,694 | ||||||
| 19 | Torchmark Corp. | 1,225 | ||||||
| 80 | Transatlantic Holdings, Inc. | 3,940 | ||||||
| 113 | W.R. Berkley Corp. | 3,663 | ||||||
| 122 | XL Group plc, (Ireland) | 2,686 | ||||||
|
| |||||||
| 29,970 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
| 45 | Camden Property Trust | 2,863 | ||||||
| 51 | HCP, Inc. | 1,856 | ||||||
| 30 | Kimco Realty Corp. | 550 | ||||||
| 55 | Regency Centers Corp. | 2,423 | ||||||
| 27 | Vornado Realty Trust | 2,531 | ||||||
|
| |||||||
| 10,223 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.3% |
| |||||||
| 103 | Brookfield Office Properties, Inc. | 1,993 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.6% |
| |||||||
| 75 | Capitol Federal Financial, Inc. | 876 | ||||||
| 176 | People’s United Financial, Inc. | 2,359 | ||||||
|
| |||||||
| 3,235 | ||||||||
|
| |||||||
Total Financials | 89,672 | |||||||
|
| |||||||
Health Care — 11.1% |
| |||||||
Biotechnology — 0.7% |
| |||||||
| 62 | Alexion Pharmaceuticals, Inc. (a) | 2,906 | ||||||
| 35 | Dendreon Corp. (a) | 1,369 | ||||||
|
| |||||||
| 4,275 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.6% |
| |||||||
| 35 | Becton, Dickinson & Co. | 3,042 | ||||||
| 57 | Sirona Dental Systems, Inc. (a) | 3,032 | ||||||
| 93 | Thoratec Corp. (a) | 3,042 | ||||||
|
| |||||||
| 9,116 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.9% |
| |||||||
| 60 | AmerisourceBergen Corp. | 2,463 | ||||||
| 121 | Brookdale Senior Living, Inc. (a) | 2,942 | ||||||
| 180 | Coventry Health Care, Inc. (a) | 6,548 | ||||||
| 47 | DaVita, Inc. (a) | 4,053 | ||||||
| 47 | HCA Holdings, Inc. (a) | 1,548 | ||||||
| 91 | Humana, Inc. | 7,366 | ||||||
| 261 | Lincare Holdings, Inc. | 7,637 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Health Care Providers & Services — Continued |
| |||||||
| 51 | VCA Antech, Inc. (a) | 1,083 | ||||||
|
| |||||||
| 33,640 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 40 | Cerner Corp. (a) (c) | 2,459 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
| 107 | Agilent Technologies, Inc. (a) | 5,469 | ||||||
| 62 | Bruker Corp. (a) | 1,259 | ||||||
| 31 | Illumina, Inc. (a) | 2,321 | ||||||
|
| |||||||
| 9,049 | ||||||||
|
| |||||||
Pharmaceuticals — 0.9% |
| |||||||
| 100 | Valeant Pharmaceuticals International, Inc., (Canada) (c) | 5,201 | ||||||
|
| |||||||
Total Health Care | 63,740 | |||||||
|
| |||||||
Industrials — 13.0% |
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
| 33 | Alliant Techsystems, Inc. | 2,318 | ||||||
| 40 | Goodrich Corp. | 3,801 | ||||||
| 22 | L-3 Communications Holdings, Inc. | 1,941 | ||||||
| 10 | TransDigm Group, Inc. (a) | 876 | ||||||
|
| |||||||
| 8,936 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
| 249 | Delta Air Lines, Inc. (a) | 2,279 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
| 194 | Republic Services, Inc. | 5,982 | ||||||
| 36 | Stericycle, Inc. (a) | 3,249 | ||||||
|
| |||||||
| 9,231 | ||||||||
|
| |||||||
Electrical Equipment — 2.7% |
| |||||||
| 67 | AMETEK, Inc. | 3,004 | ||||||
| 45 | Cooper Industries plc | 2,667 | ||||||
| 52 | Hubbell, Inc., Class B | 3,397 | ||||||
| 40 | Regal-Beloit Corp. | 2,664 | ||||||
| 42 | Roper Industries, Inc. | 3,510 | ||||||
|
| |||||||
| 15,242 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 141 | Carlisle Cos., Inc. | 6,945 | ||||||
|
| |||||||
Machinery — 2.9% |
| |||||||
| 50 | AGCO Corp. (a) | 2,448 | ||||||
| 42 | Cummins, Inc. | 4,338 | ||||||
| 33 | Parker Hannifin Corp. | 2,926 | ||||||
| 52 | Snap-On, Inc. | 3,243 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
| 53 | Wabtec Corp. | 3,494 | ||||||
|
| |||||||
| 16,449 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
| 33 | IHS, Inc., Class A (a) | 2,786 | ||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
| 116 | Avis Budget Group, Inc. (a) | 1,975 | ||||||
| 62 | J.B. Hunt Transport Services, Inc. | 2,901 | ||||||
|
| |||||||
| 4,876 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.3% |
| |||||||
| 80 | Air Lease Corp. (a) (c) | 1,948 | ||||||
| 35 | W.W. Grainger, Inc. (c) | 5,393 | ||||||
|
| |||||||
| 7,341 | ||||||||
|
| |||||||
Total Industrials | 74,085 | |||||||
|
| |||||||
Information Technology — 15.2% |
| |||||||
Communications Equipment — 2.0% |
| |||||||
| 66 | Aruba Networks, Inc. (a) | 1,953 | ||||||
| 24 | F5 Networks, Inc. (a) | 2,602 | ||||||
| 133 | JDS Uniphase Corp. (a) | 2,221 | ||||||
| 48 | Polycom, Inc. (a) | 3,073 | ||||||
| 40 | Riverbed Technology, Inc. (a) | 1,580 | ||||||
|
| |||||||
| 11,429 | ||||||||
|
| |||||||
Computers & Peripherals — 0.5% |
| |||||||
| 54 | NetApp, Inc. (a) | 2,866 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.9% |
| |||||||
| 97 | Amphenol Corp., Class A | 5,223 | ||||||
| 53 | Arrow Electronics, Inc. (a) | 2,183 | ||||||
| 244 | TE Connectivity Ltd., (Switzerland) | 8,973 | ||||||
|
| |||||||
| 16,379 | ||||||||
|
| |||||||
Internet Software & Services — 0.7% |
| |||||||
| 28 | Equinix, Inc. (a) | 2,788 | ||||||
| 13 | LinkedIn Corp., Class A (a) (c) | 1,144 | ||||||
|
| |||||||
| 3,932 | ||||||||
|
| |||||||
IT Services — 2.2% |
| |||||||
| 40 | Alliance Data Systems Corp. (a) (c) | 3,735 | ||||||
| 114 | CGI Group, Inc., (Canada), Class A (a) | 2,815 | ||||||
| 49 | FleetCor Technologies, Inc. (a) | 1,444 | ||||||
| 94 | Jack Henry & Associates, Inc. | 2,821 | ||||||
| 46 | VeriFone Systems, Inc. (a) | 2,022 | ||||||
|
| |||||||
| 12,837 | ||||||||
|
| |||||||
Office Electronics — 0.4% |
| |||||||
| 59 | Zebra Technologies Corp., Class A (a) | 2,471 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
| 52 | Analog Devices, Inc. | 2,047 | ||||||
| 70 | Avago Technologies Ltd., (Singapore) | 2,671 | ||||||
| 132 | Freescale Semiconductor Holdings I Ltd. (a) | 2,424 | ||||||
| 78 | Microchip Technology, Inc. (c) | 2,961 | ||||||
| 99 | Xilinx, Inc. | 3,607 | ||||||
|
| |||||||
| 13,710 | ||||||||
|
| |||||||
Software — 4.1% |
| |||||||
| 83 | Adobe Systems, Inc. (a) | 2,601 | ||||||
| 68 | Autodesk, Inc. (a) | 2,625 | ||||||
| 41 | Citrix Systems, Inc. (a) | 3,264 | ||||||
| 34 | Concur Technologies, Inc. (a) | 1,713 | ||||||
| 58 | MICROS Systems, Inc. (a) | 2,883 | ||||||
| 102 | Nuance Communications, Inc. (a) | 2,186 | ||||||
| 58 | Red Hat, Inc. (a) | 2,671 | ||||||
| 19 | Salesforce.com, Inc. (a) | 2,875 | ||||||
| 101 | Synopsys, Inc. (a) | 2,607 | ||||||
|
| |||||||
| 23,425 | ||||||||
|
| |||||||
Total Information Technology | 87,049 | |||||||
|
| |||||||
Materials — 5.4% |
| |||||||
Chemicals — 3.3% |
| |||||||
| 34 | Airgas, Inc. | 2,374 | ||||||
| 42 | Albemarle Corp. | 2,881 | ||||||
| 40 | FMC Corp. | 3,441 | ||||||
| 87 | Sherwin-Williams Co. (The) | 7,280 | ||||||
| 43 | Sigma-Aldrich Corp. | 3,185 | ||||||
|
| |||||||
| 19,161 | ||||||||
|
| |||||||
Containers & Packaging — 2.1% |
| |||||||
| 115 | Ball Corp. | 4,415 | ||||||
| 43 | Greif, Inc., Class A | 2,809 | ||||||
| 35 | Rock-Tenn Co., Class A | 2,322 | ||||||
| 56 | Silgan Holdings, Inc. | 2,293 | ||||||
|
| |||||||
| 11,839 | ||||||||
|
| |||||||
Total Materials | 31,000 | |||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
| 78 | CenturyLink, Inc. | 3,153 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
| 65 | Telephone & Data Systems, Inc. | 1,748 | ||||||
|
| |||||||
Total Telecommunication Services | 4,901 | |||||||
|
| |||||||
Utilities — 5.0% |
| |||||||
Electric Utilities — 1.1% |
| |||||||
| 41 | Northeast Utilities | 1,439 | ||||||
| 99 | NV Energy, Inc. | 1,524 | ||||||
| 130 | Westar Energy, Inc. | 3,485 | ||||||
|
| |||||||
| 6,448 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 65 | Oneok, Inc. | 4,840 | ||||||
|
| |||||||
Multi-Utilities — 3.0% |
| |||||||
| 235 | CMS Energy Corp. | 4,629 | ||||||
| 63 | NSTAR | 2,897 | ||||||
| 45 | Sempra Energy | 2,369 | ||||||
| 112 | Wisconsin Energy Corp. | 3,505 | ||||||
| 161 | Xcel Energy, Inc. | 3,912 | ||||||
|
| |||||||
| 17,312 | ||||||||
|
| |||||||
Total Utilities | 28,600 | |||||||
|
| |||||||
Total Common Stocks | 552,112 | |||||||
|
| |||||||
| Short-Term Investment — 3.2% | |||||||
Investment Company — 3.2% |
| |||||||
| 18,277 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 18,277 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 3.1% | |||||||
Investment Company — 3.1% |
| |||||||
| 17,693 | JPMorgan Prime Money Market Fund, | 17,693 | ||||||
|
| |||||||
Total Investments — 102.8% | 588,082 | |||||||
Liabilities in Excess of | (15,863 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 572,219 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 93.3% |
| ||||||
Consumer Discretionary — 18.4% |
| |||||||
Auto Components — 1.3% |
| |||||||
| 290 | BorgWarner, Inc. (a) | 23,397 | ||||||
|
| |||||||
Automobiles — 1.7% |
| |||||||
| 569 | Harley-Davidson, Inc. | 23,320 | ||||||
| 256 | Tesla Motors, Inc. (a) (c) | 7,460 | ||||||
|
| |||||||
| 30,780 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
| 180 | DeVry, Inc. | 10,638 | ||||||
| 238 | Sotheby’s | 10,366 | ||||||
|
| |||||||
| 21,004 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.1% |
| |||||||
| 340 | Cheesecake Factory, Inc. (The) (a) | 10,650 | ||||||
| 268 | Gaylord Entertainment Co. (a) | 8,049 | ||||||
| 735 | International Game Technology | 12,928 | ||||||
| 678 | Marriott International, Inc., Class A | 24,077 | ||||||
| 445 | Royal Caribbean Cruises Ltd. (a) | 16,746 | ||||||
|
| |||||||
| 72,450 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 338 | Harman International Industries, Inc. | 15,398 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 70 | NetFlix, Inc. (a) | 18,283 | ||||||
|
| |||||||
Media — 3.0% |
| |||||||
| 449 | Lamar Advertising Co., Class A (a) | 12,286 | ||||||
| 490 | Scripps Networks Interactive, Inc., Class A | 23,956 | ||||||
| 8,075 | Sirius XM Radio, Inc. (a) | 17,684 | ||||||
|
| |||||||
| 53,926 | ||||||||
|
| |||||||
Specialty Retail — 0.9% |
| |||||||
| 396 | Dick’s Sporting Goods, Inc. (a) | 15,215 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 4.3% |
| |||||||
| 618 | Coach, Inc. | 39,521 | ||||||
| 142 | Deckers Outdoor Corp. (a) | 12,516 | ||||||
| 122 | Fossil, Inc. (a) | 14,385 | ||||||
| 87 | Lululemon Athletica, Inc., (Canada) (a) (c) | 9,751 | ||||||
|
| |||||||
| 76,173 | ||||||||
|
| |||||||
Total Consumer Discretionary | 326,626 | |||||||
|
| |||||||
Energy — 8.0% |
| |||||||
Energy Equipment & Services — 2.4% |
| |||||||
| 578 | Cameron International Corp. (a) | 29,071 | ||||||
| 86 | CARBO Ceramics, Inc. | 14,046 | ||||||
|
| |||||||
| 43,117 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 5.6% |
| |||||||
| 405 | Concho Resources, Inc. (a) | 37,190 | ||||||
| 436 | Forest Oil Corp. (a) | 11,634 | ||||||
| 258 | Newfield Exploration Co. (a) | 17,556 | ||||||
| 283 | Peabody Energy Corp. | 16,695 | ||||||
| 300 | Range Resources Corp. | 16,661 | ||||||
|
| |||||||
| 99,736 | ||||||||
|
| |||||||
Total Energy | 142,853 | |||||||
|
| |||||||
Financials — 8.2% |
| |||||||
Capital Markets — 3.5% |
| |||||||
| 463 | Lazard Ltd., (Bermuda), Class A | 17,188 | ||||||
| 743 | Och-Ziff Capital Management Group LLC, Class A | 10,312 | ||||||
| 349 | T. Rowe Price Group, Inc. | 21,056 | ||||||
| 693 | TD AMERITRADE Holding Corp. | 13,519 | ||||||
|
| |||||||
| 62,075 | ||||||||
|
| |||||||
Commercial Banks — 1.5% |
| |||||||
| 271 | BOK Financial Corp. | 14,815 | ||||||
| 335 | Comerica, Inc. | 11,564 | ||||||
|
| |||||||
| 26,379 | ||||||||
|
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
| 590 | Moody’s Corp. | 22,642 | ||||||
|
| |||||||
Insurance — 1.0% |
| |||||||
| 338 | AON Corp. | 17,319 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 267 | Camden Property Trust | 16,980 | ||||||
|
| |||||||
Total Financials | 145,395 | |||||||
|
| |||||||
Health Care — 15.5% |
| |||||||
Biotechnology — 1.4% |
| |||||||
| 367 | Alexion Pharmaceuticals, Inc. (a) | 17,265 | ||||||
| 205 | Dendreon Corp. (a) | 8,085 | ||||||
|
| |||||||
| 25,350 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
| 339 | Sirona Dental Systems, Inc. (a) | 17,996 | ||||||
| 551 | Thoratec Corp. (a) | 18,067 | ||||||
|
| |||||||
| 36,063 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.5% |
| |||||||
| 720 | Brookdale Senior Living, Inc. (a) | 17,470 | ||||||
| 697 | Coventry Health Care, Inc. (a) | 25,419 | ||||||
| 278 | DaVita, Inc. (a) | 24,056 | ||||||
| 328 | Humana, Inc. | 26,411 | ||||||
| 723 | Lincare Holdings, Inc. | 21,171 | ||||||
|
| |||||||
| 114,527 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Health Care Technology — 0.8% |
| |||||||
| 239 | Cerner Corp. (a) | 14,623 | ||||||
|
| |||||||
Life Sciences Tools & Services — 3.0% |
| |||||||
| 625 | Agilent Technologies, Inc. (a) | 31,954 | ||||||
| 386 | Bruker Corp. (a) | 7,855 | ||||||
| 183 | Illumina, Inc. (a) | 13,745 | ||||||
|
| |||||||
| 53,554 | ||||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
| 595 | Valeant Pharmaceuticals International, Inc., (Canada) (c) | 30,931 | ||||||
|
| |||||||
Total Health Care | 275,048 | |||||||
|
| |||||||
Industrials — 16.2% |
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
| 237 | Goodrich Corp. | 22,586 | ||||||
| 61 | TransDigm Group, Inc. (a) | 5,599 | ||||||
|
| |||||||
| 28,185 | ||||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
| 1,473 | Delta Air Lines, Inc. (a) | 13,511 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.1% |
| |||||||
| 217 | Stericycle, Inc. (a) | 19,310 | ||||||
|
| |||||||
Electrical Equipment — 2.0% |
| |||||||
| 310 | Hubbell, Inc., Class B | 20,160 | ||||||
| 180 | Roper Industries, Inc. | 14,981 | ||||||
|
| |||||||
| 35,141 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
| 514 | Carlisle Cos., Inc. | 25,324 | ||||||
|
| |||||||
Machinery — 4.4% |
| |||||||
| 294 | AGCO Corp. (a) | 14,512 | ||||||
| 247 | Cummins, Inc. | 25,578 | ||||||
| 194 | Parker Hannifin Corp. | 17,383 | ||||||
| 314 | Wabtec Corp. | 20,644 | ||||||
|
| |||||||
| 78,117 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 198 | IHS, Inc., Class A (a) | 16,517 | ||||||
|
| |||||||
Road & Rail — 1.6% |
| |||||||
| 685 | Avis Budget Group, Inc. (a) | 11,710 | ||||||
| 366 | J.B. Hunt Transport Services, Inc. | 17,216 | ||||||
|
| |||||||
| 28,926 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.4% |
| |||||||
| 476 | Air Lease Corp. (a) (c) | 11,555 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — Continued |
| |||||||
| 205 | W.W. Grainger, Inc. | 31,544 | ||||||
|
| |||||||
| 43,099 | ||||||||
|
| |||||||
Total Industrials | 288,130 | |||||||
|
| |||||||
Information Technology — 23.5% |
| |||||||
Communications Equipment — 3.8% |
| |||||||
| 387 | Aruba Networks, Inc. (a) | 11,442 | ||||||
| 140 | F5 Networks, Inc. (a) | 15,413 | ||||||
| 791 | JDS Uniphase Corp. (a) | 13,175 | ||||||
| 284 | Polycom, Inc. (a) | 18,235 | ||||||
| 236 | Riverbed Technology, Inc. (a) | 9,347 | ||||||
|
| |||||||
| 67,612 | ||||||||
|
| |||||||
Computers & Peripherals — 1.0% |
| |||||||
| 319 | NetApp, Inc. (a) | 16,810 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.4% |
| |||||||
| 299 | Amphenol Corp., Class A | 16,141 | ||||||
| 739 | TE Connectivity Ltd., (Switzerland) | 27,162 | ||||||
|
| |||||||
| 43,303 | ||||||||
|
| |||||||
Internet Software & Services — 1.3% |
| |||||||
| 164 | Equinix, Inc. (a) | 16,568 | ||||||
| 77 | LinkedIn Corp., Class A (a) (c) | 6,946 | ||||||
|
| |||||||
| 23,514 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 236 | Alliance Data Systems Corp. (a) (c) | 22,182 | ||||||
| 678 | CGI Group, Inc., (Canada), Class A (a) | 16,701 | ||||||
| 288 | FleetCor Technologies, Inc. (a) | 8,539 | ||||||
| 270 | VeriFone Systems, Inc. (a) | 11,983 | ||||||
|
| |||||||
| 59,405 | ||||||||
|
| |||||||
Office Electronics — 0.8% |
| |||||||
| 348 | Zebra Technologies Corp., Class A (a) | 14,663 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
| 416 | Avago Technologies Ltd., (Singapore) | 15,797 | ||||||
| 784 | Freescale Semiconductor Holdings I Ltd. (a) (c) | 14,408 | ||||||
| 464 | Microchip Technology, Inc. (c) | 17,583 | ||||||
| 588 | Xilinx, Inc. | 21,426 | ||||||
|
| |||||||
| 69,214 | ||||||||
|
| |||||||
Software — 6.9% |
| |||||||
| 483 | Adobe Systems, Inc. (a) | 15,187 | ||||||
| 397 | Autodesk, Inc. (a) | 15,332 | ||||||
| 242 | Citrix Systems, Inc. (a) | 19,352 | ||||||
| 202 | Concur Technologies, Inc. (a) | 10,134 | ||||||
| 345 | MICROS Systems, Inc. (a) | 17,125 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Software — Continued |
| |||||||
| 604 | Nuance Communications, Inc. (a) | 12,957 | ||||||
| 345 | Red Hat, Inc. (a) | 15,850 | ||||||
| 114 | Salesforce.com, Inc. (a) | 16,909 | ||||||
|
| |||||||
| 122,846 | ||||||||
|
| |||||||
Total Information Technology | 417,367 | |||||||
|
| |||||||
Materials — 3.5% |
| |||||||
Chemicals — 2.5% |
| |||||||
| 238 | FMC Corp. | 20,456 | ||||||
| 287 | Sherwin-Williams Co. (The) | 24,062 | ||||||
|
| |||||||
| 44,518 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
| 256 | Greif, Inc., Class A | 16,674 | ||||||
|
| |||||||
Total Materials | 61,192 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Total Common Stocks | 1,656,611 | |||||||
|
| |||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% |
| |||||||
| 36,757 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 36,757 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 4.0% |
| ||||||
Investment Company — 4.0% |
| |||||||
| 70,726 | JPMorgan Prime Money Market Fund, | 70,726 | ||||||
Total Investments — 99.3% | 1,764,094 | |||||||
|
| |||||||
Other Assets in Excess of | 11,659 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,775,753 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 536 | S&P Mid Cap 400 | 09/16/11 | $ | 52,340 | $ | 173 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.1% |
| ||||||
Consumer Discretionary — 19.6% |
| |||||||
Distributors — 1.0% |
| |||||||
| 1,243 | Genuine Parts Co. | 67,640 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% |
| |||||||
| 1,436 | Darden Restaurants, Inc. | 71,453 | ||||||
| 1,340 | Marriott International, Inc., Class A | 47,550 | ||||||
| 1,205 | Royal Caribbean Cruises Ltd. (a) | 45,373 | ||||||
| 832 | Yum! Brands, Inc. | 45,952 | ||||||
|
| |||||||
| 210,328 | ||||||||
|
| |||||||
Household Durables — 2.7% |
| |||||||
| 1,827 | Fortune Brands, Inc. | 116,476 | ||||||
| 1,245 | Jarden Corp. | 42,963 | ||||||
| 381 | Mohawk Industries, Inc. (a) | 22,846 | ||||||
|
| |||||||
| 182,285 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.8% |
| |||||||
| 1,824 | Expedia, Inc. | 52,891 | ||||||
|
| |||||||
Media — 4.9% |
| |||||||
| 2,123 | Cablevision Systems Corp., Class A | 76,858 | ||||||
| 2,676 | CBS Corp., Class B | 76,227 | ||||||
| 2,170 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 27,562 | ||||||
| 1,637 | DISH Network Corp., Class A (a) | 50,203 | ||||||
| 3,624 | Gannett Co., Inc. | 51,897 | ||||||
| 684 | Omnicom Group, Inc. | 32,947 | ||||||
| 39 | Washington Post Co. (The), Class B (c) | 16,264 | ||||||
|
| |||||||
| 331,958 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 995 | Kohl’s Corp. | 49,747 | ||||||
|
| |||||||
Specialty Retail — 5.7% |
| |||||||
| 221 | AutoZone, Inc. (a) | 65,097 | ||||||
| 1,887 | Bed Bath & Beyond, Inc. (a) | 110,136 | ||||||
| 3,798 | Gap, Inc. (The) | 68,746 | ||||||
| 709 | Tiffany & Co. | 55,646 | ||||||
| 1,608 | TJX Cos., Inc. | 84,476 | ||||||
|
| |||||||
| 384,101 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 716 | Phillips-Van Heusen Corp. | 46,850 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,325,800 | |||||||
|
| |||||||
Consumer Staples — 6.0% |
| |||||||
Beverages — 1.2% |
| |||||||
| 578 | Brown-Forman Corp., Class B | 43,170 | ||||||
| 987 | Dr. Pepper Snapple Group, Inc. | 41,381 | ||||||
|
| |||||||
| 84,551 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 1.0% |
| |||||||
| 2,935 | Safeway, Inc. | 68,600 | ||||||
|
| |||||||
Food Products — 3.0% |
| |||||||
| 553 | Hershey Co. (The) | 31,464 | ||||||
| 1,172 | JM Smucker Co. (The) | 89,603 | ||||||
| 909 | Ralcorp Holdings, Inc. (a) | 78,726 | ||||||
|
| |||||||
| 199,793 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
| 721 | Energizer Holdings, Inc. (a) | 52,155 | ||||||
|
| |||||||
Total Consumer Staples | 405,099 | |||||||
|
| |||||||
Energy — 7.8% |
| |||||||
Oil, Gas & Consumable Fuels — 7.8% |
| |||||||
| 1,119 | CVR Energy, Inc. (a) | 27,551 | ||||||
| 1,279 | Devon Energy Corp. | 100,761 | ||||||
| 2,318 | Energen Corp. | 130,950 | ||||||
| 924 | EQT Corp. | 48,521 | ||||||
| 403 | Kinder Morgan Management LLC (a) | 26,460 | ||||||
| 967 | Newfield Exploration Co. (a) | 65,784 | ||||||
| 1,193 | Teekay Corp., (Canada) | 36,825 | ||||||
| 3,092 | Williams Cos., Inc. (The) | 93,527 | ||||||
|
| |||||||
Total Energy | 530,379 | |||||||
|
| |||||||
Financials — 23.3% |
| |||||||
Capital Markets — 3.5% |
| |||||||
| 1,527 | Ameriprise Financial, Inc. | 88,095 | ||||||
| 2,555 | Invesco Ltd. | 59,790 | ||||||
| 659 | Northern Trust Corp. | 30,306 | ||||||
| 1,005 | T. Rowe Price Group, Inc. | 60,622 | ||||||
|
| |||||||
| 238,813 | ||||||||
|
| |||||||
Commercial Banks — 5.8% |
| |||||||
| 618 | BancorpSouth, Inc. (c) | 7,666 | ||||||
| 972 | BB&T Corp. | 26,094 | ||||||
| 996 | City National Corp. | 54,038 | ||||||
| 761 | Cullen/Frost Bankers, Inc. | 43,274 | ||||||
| 4,933 | Fifth Third Bancorp | 62,892 | ||||||
| 2,897 | Huntington Bancshares, Inc. | 19,002 | ||||||
| 1,001 | M&T Bank Corp. | 88,051 | ||||||
| 1,981 | SunTrust Banks, Inc. | 51,119 | ||||||
| 1,551 | Zions Bancorp | 37,247 | ||||||
|
| |||||||
| 389,383 | ||||||||
|
| |||||||
Insurance — 9.6% |
| |||||||
| 1,127 | AON Corp. | 57,795 | ||||||
| 1,006 | Arch Capital Group Ltd., (Bermuda) (a) | 32,121 | ||||||
| 1,184 | Cincinnati Financial Corp. (c) | 34,551 | ||||||
| 3,002 | Loews Corp. | 126,367 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued | ||||||||
| 4,776 | Old Republic International Corp. | 56,113 | ||||||
| 2,143 | OneBeacon Insurance Group Ltd., Class A | 28,699 | ||||||
| 1,330 | Principal Financial Group, Inc. | 40,455 | ||||||
| 460 | Torchmark Corp. | 29,485 | ||||||
| 1,928 | Transatlantic Holdings, Inc. | 94,491 | ||||||
| 2,720 | W.R. Berkley Corp. | 88,227 | ||||||
| 2,926 | XL Group plc, (Ireland) | 64,310 | ||||||
|
| |||||||
| 652,614 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
| 1,208 | HCP, Inc. | 44,314 | ||||||
| 710 | Kimco Realty Corp. | 13,237 | ||||||
| 1,320 | Regency Centers Corp. | 58,027 | ||||||
| 649 | Vornado Realty Trust | 60,506 | ||||||
|
| |||||||
| 176,084 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.7% |
| |||||||
| 2,470 | Brookfield Office Properties, Inc. | 47,618 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% |
| |||||||
| 1,766 | Capitol Federal Financial, Inc. | 20,762 | ||||||
| 4,199 | People’s United Financial, Inc. | 56,440 | ||||||
|
| |||||||
| 77,202 | ||||||||
|
| |||||||
Total Financials | 1,581,714 | |||||||
|
| |||||||
Health Care — 6.2% |
| |||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
| 847 | Becton, Dickinson & Co. | 72,952 | ||||||
|
| |||||||
Health Care Providers & Services — 5.1% |
| |||||||
| 1,424 | AmerisourceBergen Corp. | 58,937 | ||||||
| 1,489 | Coventry Health Care, Inc. (a) | 54,286 | ||||||
| 1,120 | HCA Holdings, Inc. (a) | 36,973 | ||||||
| 869 | Humana, Inc. | 69,989 | ||||||
| 3,339 | Lincare Holdings, Inc. | 97,731 | ||||||
| 1,215 | VCA Antech, Inc. (a) | 25,764 | ||||||
|
| |||||||
| 343,680 | ||||||||
|
| |||||||
Total Health Care | 416,632 | |||||||
|
| |||||||
Industrials — 9.0% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 777 | Alliant Techsystems, Inc. | 55,419 | ||||||
| 531 | L-3 Communications Holdings, Inc. | 46,455 | ||||||
|
| |||||||
| 101,874 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.1% |
| |||||||
| 4,657 | Republic Services, Inc. | 143,682 | ||||||
|
| |||||||
Electrical Equipment — 3.3% |
| |||||||
| 1,609 | AMETEK, Inc. | 72,241 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — Continued | ||||||||
| 1,074 | Cooper Industries plc | 64,084 | ||||||
| 962 | Regal-Beloit Corp. | 64,250 | ||||||
| 284 | Roper Industries, Inc. | 23,651 | ||||||
|
| |||||||
| 224,226 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
| 1,304 | Carlisle Cos., Inc. | 64,188 | ||||||
|
| |||||||
Machinery — 1.1% |
| |||||||
| 1,243 | Snap-On, Inc. | 77,682 | ||||||
|
| |||||||
Total Industrials | 611,652 | |||||||
|
| |||||||
Information Technology — 5.9% |
| |||||||
Electronic Equipment, Instruments & Components — 3.3% |
| |||||||
| 1,110 | Amphenol Corp., Class A | 59,945 | ||||||
| 1,282 | Arrow Electronics, Inc. (a) | 53,210 | ||||||
| 2,875 | TE Connectivity Ltd., (Switzerland) | 105,689 | ||||||
|
| |||||||
| 218,844 | ||||||||
|
| |||||||
IT Services — 1.0% |
| |||||||
| 2,252 | Jack Henry & Associates, Inc. | 67,576 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.7% |
| |||||||
| 1,259 | Analog Devices, Inc. | 49,276 | ||||||
|
| |||||||
Software — 0.9% |
| |||||||
| 2,427 | Synopsys, Inc. (a) | 62,406 | ||||||
|
| |||||||
Total Information Technology | 398,102 | |||||||
|
| |||||||
Materials — 7.3% |
| |||||||
Chemicals — 4.1% |
| |||||||
| 811 | Airgas, Inc. | 56,828 | ||||||
| 998 | Albemarle Corp. | 69,083 | ||||||
| 917 | Sherwin-Williams Co. (The) | 76,889 | ||||||
| 1,039 | Sigma-Aldrich Corp. | 76,271 | ||||||
|
| |||||||
| 279,071 | ||||||||
|
| |||||||
Containers & Packaging — 3.2% |
| |||||||
| 2,754 | Ball Corp. | 105,936 | ||||||
| 838 | Rock-Tenn Co., Class A | 55,567 | ||||||
| 1,348 | Silgan Holdings, Inc. | 55,219 | ||||||
|
| |||||||
| 216,722 | ||||||||
|
| |||||||
Total Materials | 495,793 | |||||||
|
| |||||||
Telecommunication Services — 1.9% |
| |||||||
Diversified Telecommunication Services — 1.1% |
| |||||||
| 1,869 | CenturyLink, Inc. | 75,551 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.8% |
| |||||||
| 1,996 | Telephone & Data Systems, Inc. | 53,746 | ||||||
|
| |||||||
Total Telecommunication Services | 129,297 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Utilities — 10.1% |
| |||||||
Electric Utilities — 2.3% |
| |||||||
| 976 | Northeast Utilities | 34,312 | ||||||
| 2,388 | NV Energy, Inc. | 36,663 | ||||||
| 3,104 | Westar Energy, Inc. | 83,531 | ||||||
|
| |||||||
| 154,506 | ||||||||
|
| |||||||
Gas Utilities — 1.7% |
| |||||||
| 1,568 | Oneok, Inc. | 116,068 | ||||||
|
| |||||||
Multi-Utilities — 6.1% |
| |||||||
| 5,643 | CMS Energy Corp. | 111,101 | ||||||
| 1,508 | NSTAR | 69,338 | ||||||
| 1,077 | Sempra Energy | 56,945 | ||||||
| 2,680 | Wisconsin Energy Corp. | 84,018 | ||||||
| 3,862 | Xcel Energy, Inc. | 93,839 | ||||||
|
| |||||||
| 415,241 | ||||||||
|
| |||||||
Total Utilities | 685,815 | |||||||
|
| |||||||
Total Common Stocks | 6,580,283 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.7% |
| ||||||
Investment Company — 2.7% |
| |||||||
| 183,564 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 183,564 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.6% |
| ||||||
Investment Company — 0.6% |
| |||||||
| 36,367 | JPMorgan Prime Money Market Fund, | 36,367 | ||||||
|
| |||||||
Total Investments — 100.4% | 6,800,214 | |||||||
Liabilities in Excess of | (24,380 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 6,775,834 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — 104.0% (j) |
| ||||||
Common Stocks — 97.4% |
| |||||||
Consumer Discretionary — 18.7% |
| |||||||
Auto Components — 1.9% |
| |||||||
| 27 | Autoliv, Inc., (Sweden) | 2,144 | ||||||
| 14 | BorgWarner, Inc. (a) | 1,139 | ||||||
| 80 | Cooper Tire & Rubber Co. | 1,592 | ||||||
| 78 | Goodyear Tire & Rubber Co. (The) (a) | 1,305 | ||||||
| 38 | Tenneco, Inc. (a) | 1,680 | ||||||
| 43 | TRW Automotive Holdings Corp. (a) | 2,545 | ||||||
|
| |||||||
| 10,405 | ||||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
| 128 | Ford Motor Co. (a) | 1,765 | ||||||
| 38 | Harley-Davidson, Inc. | 1,577 | ||||||
|
| |||||||
| 3,342 | ||||||||
|
| |||||||
Diversified Consumer Services — 2.2% |
| |||||||
| 52 | Apollo Group, Inc., Class A (a) | 2,263 | ||||||
| 69 | Career Education Corp. (a) | 1,463 | ||||||
| 43 | Coinstar, Inc. (a) | 2,352 | ||||||
| 25 | ITT Educational Services, Inc. (a) | 1,979 | ||||||
| 32 | Regis Corp. | 491 | ||||||
| 100 | Service Corp. International | 1,167 | ||||||
| 7 | Strayer Education, Inc. | 836 | ||||||
| 17 | Weight Watchers International, Inc. | 1,295 | ||||||
|
| |||||||
| 11,846 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
| 96 | Brinker International, Inc. | 2,342 | ||||||
| 33 | Cracker Barrel Old Country Store, Inc. | 1,619 | ||||||
| 30 | Las Vegas Sands Corp. (a) | 1,247 | ||||||
| 24 | MGM Resorts International (a) | 314 | ||||||
| 44 | Penn National Gaming, Inc. (a) | 1,774 | ||||||
| 26 | PF Chang’s China Bistro, Inc. | 1,026 | ||||||
| 32 | Vail Resorts, Inc. | 1,492 | ||||||
| 37 | Wyndham Worldwide Corp. | 1,254 | ||||||
| 15 | Wynn Resorts Ltd. | 2,115 | ||||||
|
| |||||||
| 13,183 | ||||||||
|
| |||||||
Household Durables — 1.5% |
| |||||||
| 61 | Garmin Ltd., (Switzerland) | 2,007 | ||||||
| 7 | Harman International Industries, Inc. | 305 | ||||||
| 46 | Jarden Corp. | 1,571 | ||||||
| 31 | Tempur-Pedic International, Inc. (a) | 2,088 | ||||||
| 26 | Whirlpool Corp. | 2,144 | ||||||
|
| |||||||
| 8,115 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — 0.9% |
| |||||||
| 2 | Amazon.com, Inc. (a) | 343 | ||||||
| 75 | Expedia, Inc. | 2,176 | ||||||
| 3 | NetFlix, Inc. (a) | 747 | ||||||
| 27 | Shutterfly, Inc. (a) | 1,572 | ||||||
|
| |||||||
| 4,838 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.6% |
| |||||||
| 54 | Brunswick Corp. | 1,092 | ||||||
| 4 | Mattel, Inc. | 106 | ||||||
| 17 | Polaris Industries, Inc. | 1,930 | ||||||
|
| |||||||
| 3,128 | ||||||||
|
| |||||||
Media — 2.3% |
| |||||||
| 57 | CBS Corp., Class B | 1,630 | ||||||
| 60 | DISH Network Corp., Class A (a) | 1,833 | ||||||
| 58 | Gannett Co., Inc. | 837 | ||||||
| 24 | John Wiley & Sons, Inc., Class A | 1,253 | ||||||
| 40 | Liberty Global, Inc., Class A (a) | 1,820 | ||||||
| 24 | Liberty Media Corp. - Starz, Class A (a) | 1,780 | ||||||
| 8 | McGraw-Hill Cos., Inc. (The) | 344 | ||||||
| 19 | Time Warner Cable, Inc. | 1,497 | ||||||
| 49 | Virgin Media, Inc. | 1,463 | ||||||
|
| |||||||
| 12,457 | ||||||||
|
| |||||||
Multiline Retail — 0.6% |
| |||||||
| 21 | Dollar Tree, Inc. (a) | 1,384 | ||||||
| 72 | Macy’s, Inc. | 2,096 | ||||||
|
| |||||||
| 3,480 | ||||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
| 20 | Abercrombie & Fitch Co., Class A | 1,364 | ||||||
| 20 | Aeropostale, Inc. (a) | 356 | ||||||
| 82 | American Eagle Outfitters, Inc. | 1,042 | ||||||
| 35 | ANN, Inc. (a) | 915 | ||||||
| 55 | Ascena Retail Group, Inc. (a) | 1,863 | ||||||
| 6 | AutoZone, Inc. (a) | 1,894 | ||||||
| 14 | Bed Bath & Beyond, Inc. (a) | 833 | ||||||
| 36 | Buckle, Inc. (The) | 1,535 | ||||||
| 61 | Foot Locker, Inc. | 1,457 | ||||||
| 72 | GameStop Corp., Class A (a) | 1,913 | ||||||
| 54 | Limited Brands, Inc. | 2,079 | ||||||
| 31 | Men’s Wearhouse, Inc. (The) | 1,044 | ||||||
| 40 | Penske Automotive Group, Inc. | 916 | ||||||
| 171 | Pier 1 Imports, Inc. (a) | 1,973 | ||||||
| 83 | RadioShack Corp. | 1,100 | ||||||
| 40 | Sally Beauty Holdings, Inc. (a) | 683 | ||||||
| 29 | Williams-Sonoma, Inc. | 1,052 | ||||||
|
| |||||||
| 22,019 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
| 48 | CROCS, Inc. (a) | 1,243 | ||||||
| 15 | Deckers Outdoor Corp. (a) | 1,332 | ||||||
| 20 | Fossil, Inc. (a) | 2,325 | ||||||
| 84 | Iconix Brand Group, Inc. (a) | 2,022 | ||||||
| 13 | V.F. Corp. | 1,397 | ||||||
| 14 | Warnaco Group, Inc. (The) (a) | 743 | ||||||
|
| |||||||
| 9,062 | ||||||||
|
| |||||||
Total Consumer Discretionary | 101,875 | |||||||
|
| |||||||
Consumer Staples — 5.1% |
| |||||||
Beverages — 1.1% |
| |||||||
| 55 | Coca-Cola Enterprises, Inc. | 1,592 | ||||||
| 85 | Constellation Brands, Inc., Class A (a) | 1,773 | ||||||
| 50 | Dr. Pepper Snapple Group, Inc. | 2,097 | ||||||
| 2 | PepsiCo, Inc. | 164 | ||||||
|
| |||||||
| 5,626 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
| 17 | Casey’s General Stores, Inc. | 732 | ||||||
| 33 | Kroger Co. (The) | 817 | ||||||
| 65 | Safeway, Inc. | 1,520 | ||||||
| 94 | SUPERVALU, Inc. | 885 | ||||||
|
| |||||||
| 3,954 | ||||||||
|
| |||||||
Food Products — 1.8% |
| |||||||
| 29 | ConAgra Foods, Inc. | 750 | ||||||
| 27 | Corn Products International, Inc. | 1,485 | ||||||
| 103 | Dean Foods Co. (a) | 1,260 | ||||||
| 35 | Fresh Del Monte Produce, Inc. | 936 | ||||||
| 38 | Hormel Foods Corp. | 1,125 | ||||||
| 91 | Smithfield Foods, Inc. (a) | 1,979 | ||||||
| 120 | Tyson Foods, Inc., Class A | 2,337 | ||||||
|
| |||||||
| 9,872 | ||||||||
|
| |||||||
Personal Products — 0.6% |
| |||||||
| 36 | Herbalife Ltd., (Cayman Islands) | 2,095 | ||||||
| 32 | Nu Skin Enterprises, Inc., Class A | 1,195 | ||||||
|
| |||||||
| 3,290 | ||||||||
|
| |||||||
Tobacco — 0.9% |
| |||||||
| 23 | Lorillard, Inc. | 2,543 | ||||||
| 18 | Philip Morris International, Inc. | 1,191 | ||||||
| 8 | Reynolds American, Inc. | 292 | ||||||
| 28 | Universal Corp. | 1,051 | ||||||
|
| |||||||
| 5,077 | ||||||||
|
| |||||||
Total Consumer Staples | 27,819 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 7.7% |
| |||||||
Energy Equipment & Services — 3.0% |
| |||||||
| 71 | Complete Production Services, Inc. (a) | 2,374 | ||||||
| 29 | Diamond Offshore Drilling, Inc. | 2,039 | ||||||
| 130 | Helix Energy Solutions Group, Inc. (a) | 2,148 | ||||||
| 37 | Key Energy Services, Inc. (a) | 666 | ||||||
| 102 | McDermott International, Inc. (a) | 2,019 | ||||||
| 17 | Nabors Industries Ltd., (Bermuda) (a) | 426 | ||||||
| 55 | Patterson-UTI Energy, Inc. | 1,745 | ||||||
| 96 | RPC, Inc. | 2,361 | ||||||
| 25 | Superior Energy Services, Inc. (a) | 925 | ||||||
| 18 | Transocean Ltd., (Switzerland) | 1,151 | ||||||
| 6 | Unit Corp. (a) | 373 | ||||||
|
| |||||||
| 16,227 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
| 25 | Alpha Natural Resources, Inc. (a) | 1,121 | ||||||
| 40 | Arch Coal, Inc. | 1,071 | ||||||
| 20 | Chevron Corp. | 2,099 | ||||||
| 24 | Concho Resources, Inc. (a) | 2,207 | ||||||
| 98 | Denbury Resources, Inc. (a) | 1,954 | ||||||
| 4 | Devon Energy Corp. | 303 | ||||||
| 61 | Gulfport Energy Corp. (a) | 1,798 | ||||||
| 8 | Marathon Oil Corp. | 417 | ||||||
| 28 | Newfield Exploration Co. (a) | 1,896 | ||||||
| 14 | Occidental Petroleum Corp. | 1,451 | ||||||
| 26 | Peabody Energy Corp. | 1,506 | ||||||
| 20 | Rosetta Resources, Inc. (a) | 1,041 | ||||||
| 69 | Stone Energy Corp. (a) | 2,109 | ||||||
| 55 | Swift Energy Co. (a) | 2,042 | ||||||
| 70 | Valero Energy Corp. | 1,796 | ||||||
| 75 | W&T Offshore, Inc. | 1,953 | ||||||
| 40 | Williams Cos., Inc. (The) | 1,199 | ||||||
|
| |||||||
| 25,963 | ||||||||
|
| |||||||
Total Energy | 42,190 | |||||||
|
| |||||||
Financials — 11.4% |
| |||||||
Capital Markets — 1.6% |
| |||||||
| 5 | Affiliated Managers Group, Inc. (a) | 464 | ||||||
| 31 | Ameriprise Financial, Inc. | 1,811 | ||||||
| 113 | Ares Capital Corp. | 1,810 | ||||||
| 56 | Bank of New York Mellon Corp. (The) | 1,426 | ||||||
| 122 | Knight Capital Group, Inc., Class A (a) | 1,347 | ||||||
| 34 | State Street Corp. | 1,551 | ||||||
|
| |||||||
| 8,409 | ||||||||
|
| |||||||
Commercial Banks — 1.7% |
| |||||||
| 13 | Bank of Hawaii Corp. | 624 | ||||||
| 36 | FirstMerit Corp. | 602 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
| 126 | KeyCorp | 1,053 | ||||||
| 25 | PNC Financial Services Group, Inc. | 1,508 | ||||||
| 8 | Popular, Inc. (a) | 21 | ||||||
| 7 | Prosperity Bancshares, Inc. | 301 | ||||||
| 27 | Signature Bank (a) | 1,539 | ||||||
| 37 | TCF Financial Corp. | 515 | ||||||
| 62 | U.S. Bancorp | 1,572 | ||||||
| 61 | Wells Fargo & Co. | 1,722 | ||||||
|
| |||||||
| 9,457 | ||||||||
|
| |||||||
Consumer Finance — 1.3% |
| |||||||
| 29 | Capital One Financial Corp. | 1,506 | ||||||
| 66 | Discover Financial Services | 1,765 | ||||||
| 45 | Ezcorp, Inc., Class A (a) | 1,584 | ||||||
| 134 | SLM Corp. | 2,253 | ||||||
|
| |||||||
| 7,108 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 80 | Bank of America Corp. | 880 | ||||||
| 48 | Citigroup, Inc. | 2,015 | ||||||
| 53 | NASDAQ OMX Group, Inc. (The) (a) | 1,352 | ||||||
|
| |||||||
| 4,247 | ||||||||
|
| |||||||
Insurance — 5.3% |
| |||||||
| 31 | ACE Ltd., (Switzerland) | 2,027 | ||||||
| 37 | Aflac, Inc. | 1,722 | ||||||
| 34 | Allied World Assurance Co. Holdings Ltd., (Switzerland) | 1,948 | ||||||
| 45 | American Financial Group, Inc. | 1,617 | ||||||
| 56 | Assurant, Inc. | 2,049 | ||||||
| 126 | Assured Guaranty Ltd., (Bermuda) | 2,048 | ||||||
| 6 | Chubb Corp. | 379 | ||||||
| 28 | CNA Financial Corp. | 814 | ||||||
| 185 | CNO Financial Group, Inc. (a) | 1,463 | ||||||
| 51 | Delphi Financial Group, Inc., Class A | 1,497 | ||||||
| 21 | Everest Re Group Ltd., (Bermuda) | 1,729 | ||||||
| 72 | Hartford Financial Services Group, Inc. | 1,886 | ||||||
| 62 | Lincoln National Corp. | 1,760 | ||||||
| 149 | MBIA, Inc. (a) | 1,296 | ||||||
| 19 | MetLife, Inc. | 820 | ||||||
| 49 | Montpelier Re Holdings Ltd., (Bermuda) | 890 | ||||||
| 8 | Principal Financial Group, Inc. | 250 | ||||||
| 61 | Protective Life Corp. | 1,404 | ||||||
| 23 | Prudential Financial, Inc. | 1,434 | ||||||
| 24 | Reinsurance Group of America, Inc. | 1,445 | ||||||
| 8 | RenaissanceRe Holdings Ltd., (Bermuda) | 568 | ||||||
|
| |||||||
| 29,046 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — 0.7% |
| |||||||
| 4 | AvalonBay Communities, Inc. | 532 | ||||||
| 7 | Camden Property Trust | 468 | ||||||
| 26 | CBL & Associates Properties, Inc. | 473 | ||||||
| 34 | Douglas Emmett, Inc. (m) | 681 | ||||||
| 11 | Mid-America Apartment Communities, Inc. | 732 | ||||||
| 3 | Simon Property Group, Inc. | 324 | ||||||
| 6 | UDR, Inc. | 158 | ||||||
| 7 | Vornado Realty Trust | 668 | ||||||
|
| |||||||
| 4,036 | ||||||||
|
| |||||||
Total Financials | 62,303 | |||||||
|
| |||||||
Health Care — 10.0% |
| |||||||
Biotechnology — 1.2% |
| |||||||
| 66 | Amylin Pharmaceuticals, Inc. (a) | 876 | ||||||
| 18 | Biogen Idec, Inc. (a) | 1,881 | ||||||
| 11 | Human Genome Sciences, Inc. (a) | 265 | ||||||
| 58 | Incyte Corp., Ltd. (a) | 1,096 | ||||||
| 16 | Onyx Pharmaceuticals, Inc. (a) | 573 | ||||||
| 32 | United Therapeutics Corp. (a) | 1,767 | ||||||
|
| |||||||
| 6,458 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
| 19 | CareFusion Corp. (a) | 508 | ||||||
| 20 | Cooper Cos., Inc. (The) | 1,565 | ||||||
| 53 | Hologic, Inc. (a) | 1,064 | ||||||
|
| |||||||
| 3,137 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
| 35 | AMERIGROUP Corp. (a) | 2,437 | ||||||
| 8 | AmerisourceBergen Corp. | 317 | ||||||
| 7 | Cardinal Health, Inc. | 318 | ||||||
| 46 | CIGNA Corp. | 2,349 | ||||||
| 45 | Community Health Systems, Inc. (a) | 1,165 | ||||||
| 42 | Coventry Health Care, Inc. (a) | 1,542 | ||||||
| 38 | Health Net, Inc. (a) | 1,207 | ||||||
| 51 | Healthspring, Inc. (a) | 2,357 | ||||||
| 25 | Humana, Inc. | 2,053 | ||||||
| 13 | LifePoint Hospitals, Inc. (a) | 503 | ||||||
| 56 | Molina Healthcare, Inc. (a) | 1,518 | ||||||
| 28 | UnitedHealth Group, Inc. | 1,427 | ||||||
| 30 | WellCare Health Plans, Inc. (a) | 1,554 | ||||||
| 6 | WellPoint, Inc. | 479 | ||||||
|
| |||||||
| 19,226 | ||||||||
|
| |||||||
Health Care Technology — 0.3% |
| |||||||
| 31 | SXC Health Solutions Corp. (a) | 1,824 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
| 24 | Bruker Corp. (a) | 487 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Life Sciences Tools & Services — Continued |
| |||||||
| 14 | Illumina, Inc. (a) | 1,026 | ||||||
|
| |||||||
| 1,513 | ||||||||
|
| |||||||
Pharmaceuticals — 4.1% |
| |||||||
| 38 | Abbott Laboratories | 2,012 | ||||||
| 60 | Bristol-Myers Squibb Co. | 1,734 | ||||||
| 56 | Eli Lilly & Co. | 2,107 | ||||||
| 46 | Endo Pharmaceuticals Holdings, Inc. (a) | 1,836 | ||||||
| 63 | Forest Laboratories, Inc. (a) | 2,459 | ||||||
| 11 | Impax Laboratories, Inc. (a) | 246 | ||||||
| 27 | Jazz Pharmaceuticals, Inc. (a) | 884 | ||||||
| 41 | Medicis Pharmaceutical Corp., Class A | 1,563 | ||||||
| 42 | Merck & Co., Inc. | 1,497 | ||||||
| 92 | Pfizer, Inc. | 1,888 | ||||||
| 49 | Salix Pharmaceuticals Ltd. (a) | 1,949 | ||||||
| 73 | ViroPharma, Inc. (a) | 1,346 | ||||||
| 75 | Warner Chilcott plc, (Ireland), Class A | 1,808 | ||||||
| 14 | Watson Pharmaceuticals, Inc. (a) | 979 | ||||||
|
| |||||||
| 22,308 | ||||||||
|
| |||||||
Total Health Care | 54,466 | |||||||
|
| |||||||
Industrials — 12.7% |
| |||||||
Aerospace & Defense — 2.3% |
| |||||||
| 9 | Alliant Techsystems, Inc. | 618 | ||||||
| 5 | Esterline Technologies Corp. (a) | 356 | ||||||
| 24 | General Dynamics Corp. | 1,808 | ||||||
| 24 | L-3 Communications Holdings, Inc. | 2,125 | ||||||
| 24 | Lockheed Martin Corp. | 1,908 | ||||||
| 32 | Northrop Grumman Corp. | 2,253 | ||||||
| 31 | Raytheon Co. | 1,540 | ||||||
| 79 | Textron, Inc. | 1,873 | ||||||
| 3 | Triumph Group, Inc. | 252 | ||||||
|
| |||||||
| 12,733 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
| 36 | Atlas Air Worldwide Holdings, Inc. (a) | 2,166 | ||||||
| 4 | United Parcel Service, Inc., Class B | 316 | ||||||
|
| |||||||
| 2,482 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
| 6 | Alaska Air Group, Inc. (a) | 422 | ||||||
| 57 | Southwest Airlines Co. | 652 | ||||||
| 123 | U.S. Airways Group, Inc. (a) | 1,099 | ||||||
|
| |||||||
| 2,173 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 20 | Brink’s Co. (The) | 586 | ||||||
| 42 | Deluxe Corp. | 1,031 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — Continued |
| |||||||
| 27 | R.R. Donnelley & Sons Co. | 529 | ||||||
|
| |||||||
| 2,146 | ||||||||
|
| |||||||
Construction & Engineering — 1.3% |
| |||||||
| 11 | EMCOR Group, Inc. (a) | 324 | ||||||
| 17 | Fluor Corp. | 1,110 | ||||||
| 52 | KBR, Inc. | 1,948 | ||||||
| 89 | MasTec, Inc. (a) | 1,754 | ||||||
| 45 | URS Corp. (a) | 2,012 | ||||||
|
| |||||||
| 7,148 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
| 16 | AMETEK, Inc. | 710 | ||||||
| 15 | Belden, Inc. | 521 | ||||||
| 29 | General Cable Corp. (a) | 1,243 | ||||||
| 31 | Polypore International, Inc. (a) | 2,110 | ||||||
| 35 | Thomas & Betts Corp. (a) | 1,888 | ||||||
|
| |||||||
| 6,472 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
| 118 | General Electric Co. | 2,220 | ||||||
|
| |||||||
Machinery — 3.9% |
| |||||||
| 42 | Actuant Corp., Class A | 1,130 | ||||||
| 22 | AGCO Corp. (a) | 1,092 | ||||||
| 19 | Caterpillar, Inc. | 2,056 | ||||||
| 31 | CNH Global N.V., (Netherlands) (a) | 1,214 | ||||||
| 14 | Cummins, Inc. | 1,462 | ||||||
| 20 | Dover Corp. | 1,358 | ||||||
| 21 | Joy Global, Inc. | 2,003 | ||||||
| 27 | Kennametal, Inc. | 1,120 | ||||||
| 79 | Meritor, Inc. (a) | 1,271 | ||||||
| 11 | Middleby Corp. (a) | 1,036 | ||||||
| 34 | Navistar International Corp. (a) | 1,930 | ||||||
| 24 | Parker Hannifin Corp. | 2,168 | ||||||
| 29 | Stanley Black & Decker, Inc. | 2,064 | ||||||
| 24 | Timken Co. | 1,207 | ||||||
| 2 | Toro Co. (The) | 92 | ||||||
|
| |||||||
| 21,203 | ||||||||
|
| |||||||
Marine — 0.4% |
| |||||||
| 24 | Alexander & Baldwin, Inc. | 1,160 | ||||||
| 19 | Kirby Corp. (a) | 1,083 | ||||||
|
| |||||||
| 2,243 | ||||||||
|
| |||||||
Road & Rail — 1.2% |
| |||||||
| 39 | Con-way, Inc. | 1,522 | ||||||
| 56 | CSX Corp. | 1,465 | ||||||
| 17 | Hertz Global Holdings, Inc. (a) | 263 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Road & Rail — Continued |
| |||||||
| 21 | Norfolk Southern Corp. | 1,541 | ||||||
| 39 | Old Dominion Freight Line, Inc. (a) | 1,467 | ||||||
| 5 | Union Pacific Corp. | 566 | ||||||
|
| |||||||
| 6,824 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
| 94 | RSC Holdings, Inc. (a) | 1,118 | ||||||
| 36 | TAL International Group, Inc. | 1,232 | ||||||
| 62 | United Rentals, Inc. (a) | 1,563 | ||||||
|
| |||||||
| 3,913 | ||||||||
|
| |||||||
Total Industrials | 69,557 | |||||||
|
| |||||||
Information Technology — 18.3% |
| |||||||
Communications Equipment — 2.0% |
| |||||||
| 86 | Arris Group, Inc. (a) | 994 | ||||||
| 70 | Cisco Systems, Inc. | 1,095 | ||||||
| 33 | Harris Corp. | 1,488 | ||||||
| 42 | Motorola Solutions, Inc. (a) | 1,925 | ||||||
| 56 | Plantronics, Inc. | 2,035 | ||||||
| 52 | Research In Motion Ltd., (Canada) (a) | 1,489 | ||||||
| 44 | Riverbed Technology, Inc. (a) | 1,733 | ||||||
|
| |||||||
| 10,759 | ||||||||
|
| |||||||
Computers & Peripherals — 0.9% |
| |||||||
| 5 | Apple, Inc. (a) | 1,798 | ||||||
| 133 | Dell, Inc. (a) | 2,212 | ||||||
| 36 | Diebold, Inc. | 1,114 | ||||||
|
| |||||||
| 5,124 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.4% |
| |||||||
| 36 | Arrow Electronics, Inc. (a) | 1,512 | ||||||
| 29 | Avnet, Inc. (a) | 934 | ||||||
| 15 | Coherent, Inc. (a) | 842 | ||||||
| 106 | Corning, Inc. | 1,918 | ||||||
| 24 | IPG Photonics Corp. (a) | 1,766 | ||||||
| 14 | Itron, Inc. (a) | 658 | ||||||
| 229 | Power-One, Inc. (a) | 1,853 | ||||||
| 14 | Rofin-Sinar Technologies, Inc. (a) | 493 | ||||||
| 17 | SYNNEX Corp. (a) | 532 | ||||||
| 26 | Universal Display Corp. (a) | 915 | ||||||
| 102 | Vishay Intertechnology, Inc. (a) | 1,533 | ||||||
|
| |||||||
| 12,956 | ||||||||
|
| |||||||
Internet Software & Services — 2.1% |
| |||||||
| 35 | Ancestry.com, Inc. (a) | 1,467 | ||||||
| 65 | eBay, Inc. (a) | 2,102 | ||||||
| 66 | IAC/InterActiveCorp. (a) | 2,523 | ||||||
| 15 | Sohu.com, Inc., (China) (a) | 1,069 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — Continued |
| |||||||
| 12 | Travelzoo, Inc. (a) | 774 | ||||||
| 88 | ValueClick, Inc. (a) | 1,462 | ||||||
| 60 | VeriSign, Inc. | 2,022 | ||||||
|
| |||||||
| 11,419 | ||||||||
|
| |||||||
IT Services — 3.5% |
| |||||||
| 6 | Accenture plc, (Ireland), Class A | 353 | ||||||
| 26 | Alliance Data Systems Corp. (a) | 2,439 | ||||||
| 52 | Amdocs Ltd., (United Kingdom) (a) | 1,588 | ||||||
| 64 | Broadridge Financial Solutions, Inc. | 1,545 | ||||||
| 33 | CACI International, Inc., Class A (a) | 2,082 | ||||||
| 67 | Convergys Corp. (a) | 912 | ||||||
| 30 | DST Systems, Inc. | 1,576 | ||||||
| 46 | Fidelity National Information Services, Inc. | 1,427 | ||||||
| 15 | Global Payments, Inc. | 784 | ||||||
| 125 | SAIC, Inc. (a) | 2,095 | ||||||
| 45 | Unisys Corp. (a) | 1,159 | ||||||
| 39 | VeriFone Systems, Inc. (a) | 1,716 | ||||||
| 72 | Western Union Co. (The) | 1,451 | ||||||
|
| |||||||
| 19,127 | ||||||||
|
| |||||||
Office Electronics — 0.4% |
| |||||||
| 199 | Xerox Corp. | 2,072 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
| 242 | Amkor Technology, Inc. (a) | 1,493 | ||||||
| 113 | Applied Materials, Inc. | 1,465 | ||||||
| 39 | Fairchild Semiconductor International, Inc. (a) | 659 | ||||||
| 168 | GT Solar International, Inc. (a) | 2,729 | ||||||
| 39 | Intel Corp. | 870 | ||||||
| 54 | KLA-Tencor Corp. | 2,190 | ||||||
| 40 | Lam Research Corp. (a) | 1,779 | ||||||
| 78 | Marvell Technology Group Ltd., (Bermuda) (a) | 1,148 | ||||||
| 70 | MEMC Electronic Materials, Inc. (a) | 601 | ||||||
| 156 | Micron Technology, Inc. (a) | 1,168 | ||||||
| 34 | MKS Instruments, Inc. | 893 | ||||||
| 13 | National Semiconductor Corp. | 308 | ||||||
| 63 | Novellus Systems, Inc. (a) | 2,269 | ||||||
| 59 | OmniVision Technologies, Inc. (a) | 2,057 | ||||||
| 100 | Teradyne, Inc. (a) | 1,487 | ||||||
| 41 | Tessera Technologies, Inc. (a) | 704 | ||||||
| 47 | Veeco Instruments, Inc. (a) | 2,294 | ||||||
|
| |||||||
| 24,114 | ||||||||
|
| |||||||
Software — 2.6% |
| |||||||
| 177 | Activision Blizzard, Inc. | 2,062 | ||||||
| 25 | BMC Software, Inc. (a) | 1,360 | ||||||
| 88 | CA, Inc. | 2,003 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Software — Continued |
| |||||||
| 196 | Cadence Design Systems, Inc. (a) | 2,069 | ||||||
| 47 | Fair Isaac Corp. | 1,414 | ||||||
| 84 | Microsoft Corp. | 2,176 | ||||||
| 67 | Oracle Corp. | 2,194 | ||||||
| 42 | Symantec Corp. (a) | 819 | ||||||
|
| |||||||
| 14,097 | ||||||||
|
| |||||||
Total Information Technology | 99,668 | |||||||
|
| |||||||
Materials — 6.5% |
| |||||||
Chemicals — 2.9% |
| |||||||
| 30 | Cabot Corp. | 1,205 | ||||||
| 30 | Celanese Corp., Class A | 1,607 | ||||||
| 12 | CF Industries Holdings, Inc. | 1,715 | ||||||
| 28 | Cytec Industries, Inc. | 1,612 | ||||||
| 12 | Eastman Chemical Co. | 1,233 | ||||||
| 94 | Ferro Corp. (a) | 1,264 | ||||||
| 23 | Kraton Performance Polymers, Inc. (a) | 909 | ||||||
| 32 | OM Group, Inc. (a) | 1,316 | ||||||
| 36 | Rockwood Holdings, Inc. (a) | 1,967 | ||||||
| 86 | Solutia, Inc. (a) | 1,964 | ||||||
| 18 | Westlake Chemical Corp. | 928 | ||||||
|
| |||||||
| 15,720 | ||||||||
|
| |||||||
Containers & Packaging — 1.1% |
| |||||||
| 38 | Ball Corp. | 1,446 | ||||||
| 40 | Crown Holdings, Inc. (a) | 1,535 | ||||||
| 30 | Rock-Tenn Co., Class A | 1,964 | ||||||
| 54 | Sealed Air Corp. | 1,274 | ||||||
|
| |||||||
| 6,219 | ||||||||
|
| |||||||
Metals & Mining — 2.1% |
| |||||||
| 47 | Alcoa, Inc. | 744 | ||||||
| 107 | Century Aluminum Co. (a) | 1,672 | ||||||
| 23 | Cliffs Natural Resources, Inc. | 2,168 | ||||||
| 44 | Freeport-McMoRan Copper & Gold, Inc. | 2,310 | ||||||
| 5 | Schnitzer Steel Industries, Inc., Class A | 304 | ||||||
| 93 | Steel Dynamics, Inc. | 1,513 | ||||||
| 17 | Walter Energy, Inc. | 1,920 | ||||||
| 43 | Worthington Industries, Inc. | 991 | ||||||
|
| |||||||
| 11,622 | ||||||||
|
| |||||||
Paper & Forest Products — 0.4% |
| |||||||
| 23 | Domtar Corp., (Canada) | 2,144 | ||||||
|
| |||||||
Total Materials | 35,705 | |||||||
|
| |||||||
Telecommunication Services — 0.9% |
| |||||||
Diversified Telecommunication Services — 0.4% |
| |||||||
| 360 | Level 3 Communications, Inc. (a) | 878 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Telecommunication Services — Continued |
| |||||||
| 36 | Verizon Communications, Inc. | 1,339 | ||||||
|
| |||||||
| 2,217 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
| 82 | MetroPCS Communications, Inc. (a) | 1,407 | ||||||
| 260 | Sprint Nextel Corp. (a) | 1,403 | ||||||
|
| |||||||
| 2,810 | ||||||||
|
| |||||||
Total Telecommunication Services | 5,027 | |||||||
|
| |||||||
Utilities — 6.1% |
| |||||||
Electric Utilities — 2.7% |
| |||||||
| 50 | American Electric Power Co., Inc. | 1,874 | ||||||
| 80 | Duke Energy Corp. | 1,516 | ||||||
| 24 | Edison International | 919 | ||||||
| 24 | El Paso Electric Co. | 767 | ||||||
| 26 | Entergy Corp. | 1,764 | ||||||
| 22 | Exelon Corp. | 948 | ||||||
| 105 | Pepco Holdings, Inc. | 2,068 | ||||||
| 81 | PNM Resources, Inc. | 1,357 | ||||||
| 85 | Portland General Electric Co. | 2,146 | ||||||
| 35 | Unisource Energy Corp. | 1,320 | ||||||
|
| |||||||
| 14,679 | ||||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
| 39 | Atmos Energy Corp. | 1,282 | ||||||
| 117 | Questar Corp. | 2,067 | ||||||
| 19 | South Jersey Industries, Inc. | 1,012 | ||||||
| 20 | Southwest Gas Corp. | 776 | ||||||
| 51 | UGI Corp. | 1,619 | ||||||
|
| |||||||
| 6,756 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.6% |
| |||||||
| 133 | AES Corp. (The) (a) | 1,690 | ||||||
| 63 | NRG Energy, Inc. (a) | 1,542 | ||||||
|
| |||||||
| 3,232 | ||||||||
|
| |||||||
Multi-Utilities — 1.5% |
| |||||||
| 70 | Ameren Corp. | 2,031 | ||||||
| 106 | CMS Energy Corp. | 2,084 | ||||||
| 87 | MDU Resources Group, Inc. | 1,963 | ||||||
| 22 | NorthWestern Corp. | 719 | ||||||
| 28 | Sempra Energy | 1,506 | ||||||
|
| |||||||
| 8,303 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
| 15 | American Water Works Co., Inc. | 431 | ||||||
|
| |||||||
Total Utilities | 33,401 | |||||||
|
| |||||||
Total Common Stocks | 532,011 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Short-Term Investment — 6.6% |
| |||||||
Investment Company — 6.6% |
| |||||||
| 36,094 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (Cost $36,094) | 36,094 | ||||||
|
| |||||||
Total Investments — 104.0% | 568,105 | |||||||
Liabilities in Excess of | (21,658 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 546,447 | ||||||
|
| |||||||
| Short Positions — 97.5% |
| ||||||
Common Stocks — 97.5% |
| |||||||
Consumer Discretionary — 13.1% |
| |||||||
| �� | Auto Components — 0.3% |
| ||||||
| 11 | Gentex Corp. | 336 | ||||||
| 32 | Johnson Controls, Inc. | 1,327 | ||||||
|
| |||||||
| 1,663 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
| 27 | Thor Industries, Inc. | 775 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
| 41 | H&R Block, Inc. | 661 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.7% |
| |||||||
| 24 | Bally Technologies, Inc. (a) | 981 | ||||||
| 36 | BJ’s Restaurants, Inc. (a) | 1,887 | ||||||
| 20 | Carnival Corp. | 746 | ||||||
| 6 | Chipotle Mexican Grill, Inc. (a) | 1,939 | ||||||
| 71 | Gaylord Entertainment Co. (a) | 2,131 | ||||||
| 38 | Hyatt Hotels Corp., Class A (a) | 1,571 | ||||||
| 7 | Starbucks Corp. | 265 | ||||||
| 34 | Starwood Hotels & Resorts Worldwide, Inc. | 1,925 | ||||||
| 333 | Wendy’s/Arby’s Group, Inc., Class A | 1,687 | ||||||
| 35 | WMS Industries, Inc. (a) | 1,079 | ||||||
| 6 | Yum! Brands, Inc. | 329 | ||||||
|
| |||||||
| 14,540 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
| 96 | Lennar Corp., Class A | 1,742 | ||||||
| 72 | MDC Holdings, Inc. | 1,772 | ||||||
| 266 | Pulte Group, Inc. (a) | 2,040 | ||||||
| 79 | Toll Brothers, Inc. (a) | 1,629 | ||||||
|
| |||||||
| 7,183 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 14 | HSN, Inc. (a) | 477 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.5% |
| |||||||
| 692 | Eastman Kodak Co. (a) | 2,478 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — 2.7% |
| |||||||
| 42 | Discovery Communications, Inc., Class A (a) | 1,735 | ||||||
| 82 | DreamWorks Animation SKG, Inc., Class A (a) | 1,656 | ||||||
| 57 | Lamar Advertising Co., Class A (a) | 1,547 | ||||||
| 168 | Live Nation Entertainment, Inc. (a) | 1,924 | ||||||
| 261 | New York Times Co. (The), Class A (a) | 2,279 | ||||||
| 89 | Regal Entertainment Group, Class A | 1,095 | ||||||
| 30 | Scripps Networks Interactive, Inc., Class A | 1,487 | ||||||
| 56 | Thomson Reuters Corp. | 2,095 | ||||||
| 22 | Walt Disney Co. (The) | 865 | ||||||
|
| |||||||
| 14,683 | ||||||||
|
| |||||||
Multiline Retail — 0.3% |
| |||||||
| 37 | J.C. Penney Co., Inc. | 1,292 | ||||||
| 12 | Kohl’s Corp. | 591 | ||||||
|
| |||||||
| 1,883 | ||||||||
|
| |||||||
Specialty Retail — 2.5% |
| |||||||
| 81 | Cabela’s, Inc. (a) | 2,203 | ||||||
| 76 | CarMax, Inc. (a) | 2,514 | ||||||
| 115 | Collective Brands, Inc. (a) | 1,693 | ||||||
| 7 | Home Depot, Inc. | 253 | ||||||
| 579 | Office Depot, Inc. (a) | 2,443 | ||||||
| 13 | OfficeMax, Inc. (a) | 105 | ||||||
| 136 | Staples, Inc. | 2,141 | ||||||
| 4 | Tiffany & Co. | 338 | ||||||
| 6 | Tractor Supply Co. | 387 | ||||||
| 58 | Urban Outfitters, Inc. (a) | 1,632 | ||||||
|
| |||||||
| 13,709 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.5% |
| |||||||
| 60 | Carter’s, Inc. (a) | 1,845 | ||||||
| 26 | Columbia Sportswear Co. | 1,644 | ||||||
| 75 | Hanesbrands, Inc. (a) | 2,134 | ||||||
| 146 | Jones Group, Inc. (The) | 1,585 | ||||||
| 13 | NIKE, Inc., Class B | 1,189 | ||||||
| 27 | Steven Madden Ltd. (a) | 995 | ||||||
| 33 | Under Armour, Inc., Class A (a) | 2,518 | ||||||
| 35 | Wolverine World Wide, Inc. | 1,459 | ||||||
|
| |||||||
| 13,369 | ||||||||
|
| |||||||
Total Consumer Discretionary | 71,421 | |||||||
|
| |||||||
Consumer Staples — 4.8% |
| |||||||
Beverages — 0.2% |
| |||||||
| 5 | Brown-Forman Corp., Class B | 337 | ||||||
| 10 | Coca-Cola Co. (The) | 666 | ||||||
|
| |||||||
| 1,003 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Food & Staples Retailing — 0.8% |
| |||||||
| 36 | BJ’s Wholesale Club, Inc. (a) | 1,803 | ||||||
| 40 | United Natural Foods, Inc. (a) | 1,717 | ||||||
| 12 | Whole Foods Market, Inc. | 731 | ||||||
|
| |||||||
| 4,251 | ||||||||
|
| |||||||
Food Products — 3.2% |
| |||||||
| 23 | Bunge Ltd. | 1,556 | ||||||
| 29 | Campbell Soup Co. | 997 | ||||||
| 25 | Darling International, Inc. (a) | 440 | ||||||
| 14 | Diamond Foods, Inc. | 1,061 | ||||||
| 75 | Flowers Foods, Inc. | 1,652 | ||||||
| 30 | Green Mountain Coffee Roasters, Inc. (a) | 2,659 | ||||||
| 32 | Kellogg Co. | 1,774 | ||||||
| 65 | Kraft Foods, Inc., Class A | 2,287 | ||||||
| 31 | McCormick & Co., Inc. (Non-Voting) | 1,532 | ||||||
| 35 | Mead Johnson Nutrition Co. | 2,334 | ||||||
| 10 | Sanderson Farms, Inc. | 473 | ||||||
| 15 | TreeHouse Foods, Inc. (a) | 798 | ||||||
|
| |||||||
| 17,563 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
| 47 | Church & Dwight Co., Inc. | 1,901 | ||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
| 16 | Estee Lauder Cos., Inc. (The), Class A | 1,701 | ||||||
|
| |||||||
Total Consumer Staples | 26,419 | |||||||
|
| |||||||
Energy — 10.6% |
| |||||||
Energy Equipment & Services — 2.5% |
| |||||||
| 17 | Cameron International Corp. (a) | 848 | ||||||
| 11 | Dresser-Rand Group, Inc. (a) | 588 | ||||||
| 23 | Dril-Quip, Inc. (a) | 1,551 | ||||||
| 84 | Exterran Holdings, Inc. (a) | 1,661 | ||||||
| 28 | FMC Technologies, Inc. (a) | 1,257 | ||||||
| 35 | Global Industries Ltd. (a) | 192 | ||||||
| 11 | Lufkin Industries, Inc. | 931 | ||||||
| 52 | Noble Corp., (Switzerland) | 2,056 | ||||||
| 23 | Rowan Cos., Inc. (a) | 907 | ||||||
| 16 | Schlumberger Ltd. | 1,351 | ||||||
| 39 | Tidewater, Inc. | 2,105 | ||||||
|
| |||||||
| 13,447 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.1% |
| |||||||
| 75 | Brigham Exploration Co. (a) | 2,253 | ||||||
| 10 | Cabot Oil & Gas Corp. | 630 | ||||||
| 9 | Carrizo Oil & Gas, Inc. (a) | 374 | ||||||
| 23 | Chesapeake Energy Corp. | 688 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 17 | Cimarex Energy Co. | 1,525 | ||||||
| 87 | Cobalt International Energy, Inc. (a) | 1,186 | ||||||
| 75 | Comstock Resources, Inc. (a) | 2,151 | ||||||
| 38 | Consol Energy, Inc. | 1,831 | ||||||
| 105 | El Paso Corp. | 2,125 | ||||||
| 12 | EOG Resources, Inc. | 1,279 | ||||||
| 44 | EQT Corp. | 2,302 | ||||||
| 105 | Frontline Ltd., (Bermuda) | 1,551 | ||||||
| 17 | Hess Corp. | 1,248 | ||||||
| 332 | Kodiak Oil & Gas Corp. (a) | 1,918 | ||||||
| 124 | McMoRan Exploration Co. (a) | 2,295 | ||||||
| 59 | Nordic American Tanker Shipping Ltd., (Bermuda) | 1,340 | ||||||
| 48 | Northern Oil & Gas, Inc. (a) | 1,070 | ||||||
| 54 | Overseas Shipholding Group, Inc. | 1,443 | ||||||
| 65 | Patriot Coal Corp. (a) | 1,450 | ||||||
| 46 | Petroleum Development Corp. (a) | 1,372 | ||||||
| 26 | QEP Resources, Inc. | 1,092 | ||||||
| 88 | Quicksilver Resources, Inc. (a) | 1,299 | ||||||
| 6 | Range Resources Corp. | 329 | ||||||
| 197 | SandRidge Energy, Inc. (a) | 2,104 | ||||||
| 40 | Southwestern Energy Co. (a) | 1,722 | ||||||
| 91 | Spectra Energy Corp. | 2,492 | ||||||
| 39 | Sunoco, Inc. | 1,631 | ||||||
| 44 | Teekay Corp., (Canada) | 1,347 | ||||||
| 62 | World Fuel Services Corp. | 2,211 | ||||||
|
| |||||||
| 44,258 | ||||||||
|
| |||||||
Total Energy | 57,705 | |||||||
|
| |||||||
Financials — 12.5% |
| |||||||
Capital Markets — 2.5% |
| |||||||
| 100 | Charles Schwab Corp. (The) | 1,646 | ||||||
| 149 | E*Trade Financial Corp. (a) | 2,050 | ||||||
| 26 | Greenhill & Co., Inc. | 1,405 | ||||||
| 66 | Legg Mason, Inc. | 2,176 | ||||||
| 269 | MF Global Holdings Ltd. (a) | 2,085 | ||||||
| 21 | Morgan Stanley | 484 | ||||||
| 75 | SEI Investments Co. | 1,685 | ||||||
| 14 | T. Rowe Price Group, Inc. | 852 | ||||||
| 50 | TD AMERITRADE Holding Corp. | 977 | ||||||
|
| |||||||
| 13,360 | ||||||||
|
| |||||||
Commercial Banks — 4.5% |
| |||||||
| 69 | Associated Banc-Corp. | 958 | ||||||
| 130 | BancorpSouth, Inc. | 1,612 | ||||||
| 348 | CapitalSource, Inc. | 2,246 | ||||||
| 44 | CIT Group, Inc. (a) | 1,927 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
| 46 | Comerica, Inc. | 1,586 | ||||||
| 97 | Fifth Third Bancorp | 1,239 | ||||||
| 186 | First Horizon National Corp. | 1,773 | ||||||
| 43 | Hancock Holding Co. | 1,334 | ||||||
| 30 | Iberiabank Corp. | 1,729 | ||||||
| 262 | Regions Financial Corp. | 1,623 | ||||||
| 81 | SunTrust Banks, Inc. | 2,080 | ||||||
| 958 | Synovus Financial Corp. | 1,994 | ||||||
| 145 | Umpqua Holdings Corp. | 1,673 | ||||||
| 21 | Wintrust Financial Corp. | 662 | ||||||
| 88 | Zions Bancorp | 2,123 | ||||||
|
| |||||||
| 24,559 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 6 | CME Group, Inc. | 1,692 | ||||||
| 11 | IntercontinentalExchange, Inc. (a) | 1,423 | ||||||
| 38 | MSCI, Inc., Class A (a) | 1,449 | ||||||
|
| |||||||
| 4,564 | ||||||||
|
| |||||||
Insurance — 2.6% |
| |||||||
| 54 | Allstate Corp. (The) | 1,652 | ||||||
| 6 | AON Corp. | 298 | ||||||
| 71 | Cincinnati Financial Corp. | 2,086 | ||||||
| 33 | First American Financial Corp. | 519 | ||||||
| 198 | Genworth Financial, Inc., Class A (a) | 2,032 | ||||||
| 40 | Hanover Insurance Group, Inc. (The) | 1,502 | ||||||
| 3 | Markel Corp. (a) | 1,361 | ||||||
| 32 | Marsh & McLennan Cos., Inc. | 1,007 | ||||||
| 40 | Mercury General Corp. | 1,578 | ||||||
| 176 | Old Republic International Corp. | 2,067 | ||||||
|
| |||||||
| 14,102 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 24 | Apartment Investment & Management Co., Class A | 604 | ||||||
| 14 | BRE Properties, Inc. | 697 | ||||||
| 24 | Corporate Office Properties Trust | 741 | ||||||
| 8 | Federal Realty Investment Trust | 658 | ||||||
| 14 | Kilroy Realty Corp. | 572 | ||||||
| 80 | Weyerhaeuser Co. | 1,739 | ||||||
|
| |||||||
| 5,011 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.2% |
| |||||||
| 121 | Capitol Federal Financial, Inc. | 1,421 | ||||||
| 178 | Hudson City Bancorp, Inc. | 1,460 | ||||||
| 130 | MGIC Investment Corp. (a) | 775 | ||||||
| 80 | Northwest Bancshares, Inc. | 1,005 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — Continued |
| |||||||
| 138 | People’s United Financial, Inc. | 1,850 | ||||||
|
| |||||||
| 6,511 | ||||||||
|
| |||||||
Total Financials | 68,107 | |||||||
|
| |||||||
Health Care — 11.0% |
| |||||||
Biotechnology — 1.2% |
| |||||||
| 45 | Alkermes, Inc. (a) | 829 | ||||||
| 22 | Celgene Corp. (a) | 1,320 | ||||||
| 25 | Cepheid, Inc. (a) | 853 | ||||||
| 42 | Myriad Genetics, Inc. (a) | 963 | ||||||
| 23 | Pharmasset, Inc. (a) | 2,596 | ||||||
|
| |||||||
| 6,561 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.7% |
| |||||||
| 148 | Boston Scientific Corp. (a) | 1,022 | ||||||
| 43 | DENTSPLY International, Inc. | 1,651 | ||||||
| 6 | Edwards Lifesciences Corp. (a) | 547 | ||||||
| 4 | Gen-Probe, Inc. (a) | 309 | ||||||
| 13 | Haemonetics Corp. (a) | 835 | ||||||
| 21 | HeartWare International, Inc. (a) | 1,569 | ||||||
| 21 | IDEXX Laboratories, Inc. (a) | 1,606 | ||||||
| 3 | Intuitive Surgical, Inc. (a) | 1,090 | ||||||
| 39 | Masimo Corp. | 1,152 | ||||||
| 39 | Medtronic, Inc. | 1,512 | ||||||
| 62 | NuVasive, Inc. (a) | 2,047 | ||||||
| 68 | NxStage Medical, Inc. (a) | 1,424 | ||||||
| 31 | ResMed, Inc. (a) | 961 | ||||||
| 41 | Thoratec Corp. (a) | 1,333 | ||||||
| 52 | Volcano Corp. (a) | 1,669 | ||||||
| 36 | West Pharmaceutical Services, Inc. | 1,561 | ||||||
|
| |||||||
| 20,288 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
| 87 | Brookdale Senior Living, Inc. (a) | 2,116 | ||||||
| 13 | Chemed Corp. | 878 | ||||||
| 81 | Healthsouth Corp. (a) | 2,120 | ||||||
| 29 | Henry Schein, Inc. (a) | 2,061 | ||||||
| 3 | HMS Holdings Corp. (a) | 246 | ||||||
| 16 | Mednax, Inc. (a) | 1,190 | ||||||
| 36 | Owens & Minor, Inc. | 1,239 | ||||||
| 30 | Patterson Cos., Inc. | 974 | ||||||
| 35 | PSS World Medical, Inc. (a) | 991 | ||||||
| 37 | Universal Health Services, Inc., Class B | 1,902 | ||||||
| 73 | VCA Antech, Inc. (a) | 1,554 | ||||||
|
| |||||||
| 15,271 | ||||||||
|
| |||||||
Health Care Technology — 0.6% |
| |||||||
| 28 | Cerner Corp. (a) | 1,709 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Health Care Technology — Continued |
| |||||||
| 14 | Quality Systems, Inc. | 1,229 | ||||||
|
| |||||||
| 2,938 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.3% |
| |||||||
| 25 | Agilent Technologies, Inc. (a) | 1,269 | ||||||
| 5 | Mettler-Toledo International, Inc. (a) | 784 | ||||||
| 76 | Parexel International Corp. (a) | 1,785 | ||||||
| 55 | Pharmaceutical Product Development, Inc. | 1,480 | ||||||
| 27 | Thermo Fisher Scientific, Inc. (a) | 1,741 | ||||||
|
| |||||||
| 7,059 | ||||||||
|
| |||||||
Pharmaceuticals — 1.4% |
| |||||||
| 76 | Auxilium Pharmaceuticals, Inc. (a) | 1,493 | ||||||
| 34 | Hospira, Inc. (a) | 1,922 | ||||||
| 70 | Mylan, Inc. (a) | 1,722 | ||||||
| 169 | Nektar Therapeutics (a) | 1,232 | ||||||
| 16 | Perrigo Co. | 1,373 | ||||||
|
| |||||||
| 7,742 | ||||||||
|
| |||||||
Total Health Care | 59,859 | |||||||
|
| |||||||
Industrials — 14.0% |
| |||||||
Aerospace & Defense — 1.4% |
| |||||||
| 21 | Boeing Co. (The) | 1,560 | ||||||
| 66 | DigitalGlobe, Inc. (a) | 1,671 | ||||||
| 10 | Goodrich Corp. | 984 | ||||||
| 16 | Hexcel Corp. (a) | 353 | ||||||
| 14 | Rockwell Collins, Inc. | 869 | ||||||
| 100 | Spirit Aerosystems Holdings, Inc., Class A (a) | 2,192 | ||||||
|
| |||||||
| 7,629 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.8% |
| |||||||
| 23 | C.H. Robinson Worldwide, Inc. | 1,846 | ||||||
| 30 | Hub Group, Inc., Class A (a) | 1,131 | ||||||
| 67 | UTi Worldwide, Inc., (United Kingdom) | 1,320 | ||||||
|
| |||||||
| 4,297 | ||||||||
|
| |||||||
Airlines — 0.2% |
| |||||||
| 218 | AMR Corp. (a) | 1,175 | ||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
| 30 | Lennox International, Inc. | 1,292 | ||||||
| 118 | Masco Corp. | 1,414 | ||||||
| 58 | Owens Corning (a) | 2,181 | ||||||
| 159 | USG Corp. (a) | 2,286 | ||||||
|
| |||||||
| 7,173 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.4% |
| |||||||
| 52 | Cintas Corp. | 1,701 | ||||||
| 16 | Clean Harbors, Inc. (a) | 1,681 | ||||||
| 67 | GEO Group, Inc. (The) (a) | 1,546 | ||||||
| 10 | HNI Corp. | 262 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — Continued |
| |||||||
| 23 | Republic Services, Inc. | 699 | ||||||
| 49 | Waste Connections, Inc. | 1,564 | ||||||
|
| |||||||
| 7,453 | ||||||||
|
| |||||||
Construction & Engineering — 1.2% |
| |||||||
| 12 | Foster Wheeler AG, (Switzerland) (a) | 363 | ||||||
| 52 | Jacobs Engineering Group, Inc. (a) | 2,230 | ||||||
| 111 | Quanta Services, Inc. (a) | 2,241 | ||||||
| 62 | Shaw Group, Inc. (The) (a) | 1,874 | ||||||
|
| |||||||
| 6,708 | ||||||||
|
| |||||||
Electrical Equipment — 1.6% |
| |||||||
| 32 | Acuity Brands, Inc. | 1,773 | ||||||
| 21 | American Superconductor Corp. (a) | 192 | ||||||
| 73 | Babcock & Wilcox Co. (The) (a) | 2,026 | ||||||
| 5 | Cooper Industries plc | 312 | ||||||
| 3 | Emerson Electric Co. | 149 | ||||||
| 79 | GrafTech International Ltd. (a) | 1,595 | ||||||
| 16 | Regal-Beloit Corp. | 1,077 | ||||||
| 50 | Woodward, Inc. | 1,730 | ||||||
|
| |||||||
| 8,854 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
| 9 | 3M Co. | 849 | ||||||
| 31 | Carlisle Cos., Inc. | 1,537 | ||||||
|
| |||||||
| 2,386 | ||||||||
|
| |||||||
Machinery — 3.5% |
| |||||||
| 34 | Chart Industries, Inc. (a) | 1,822 | ||||||
| 13 | Danaher Corp. | 673 | ||||||
| 19 | Flowserve Corp. | 2,082 | ||||||
| 67 | Harsco Corp. | 2,182 | ||||||
| 30 | Kaydon Corp. | 1,132 | ||||||
| 65 | Oshkosh Corp. (a) | 1,895 | ||||||
| 51 | Robbins & Myers, Inc. | 2,694 | ||||||
| 16 | SPX Corp. | 1,314 | ||||||
| 81 | Terex Corp. (a) | 2,291 | ||||||
| 67 | Trinity Industries, Inc. | 2,329 | ||||||
| 3 | Valmont Industries, Inc. | 317 | ||||||
| 5 | Wabtec Corp. | 321 | ||||||
|
| |||||||
| 19,052 | ||||||||
|
| |||||||
Professional Services — 1.3% |
| |||||||
| 20 | Dun & Bradstreet Corp. | 1,547 | ||||||
| 23 | FTI Consulting, Inc. (a) | 883 | ||||||
| 20 | IHS, Inc., Class A (a) | 1,629 | ||||||
| 5 | Manpower, Inc. | 276 | ||||||
| 60 | Robert Half International, Inc. | 1,619 | ||||||
| 33 | Verisk Analytics, Inc., Class A (a) | 1,125 | ||||||
|
| |||||||
| 7,079 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Road & Rail — 0.2% |
| |||||||
| 20 | Avis Budget Group, Inc. (a) | 334 | ||||||
| 52 | Knight Transportation, Inc. | 878 | ||||||
|
| |||||||
| 1,212 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
| 60 | Fastenal Co. | 2,150 | ||||||
| 22 | MSC Industrial Direct Co., Class A | 1,477 | ||||||
|
| |||||||
| 3,627 | ||||||||
|
| |||||||
Total Industrials | 76,645 | |||||||
|
| |||||||
Information Technology — 16.1% |
| |||||||
Communications Equipment — 1.2% |
| |||||||
| 28 | Acme Packet, Inc. (a) | 1,938 | ||||||
| 76 | Ciena Corp. (a) | 1,395 | ||||||
| 42 | Motorola Mobility Holdings, Inc. (a) | 919 | ||||||
| 133 | Tellabs, Inc. | 612 | ||||||
| 40 | ViaSat, Inc. (a) | 1,731 | ||||||
|
| |||||||
| 6,595 | ||||||||
|
| |||||||
Computers & Peripherals — 1.4% |
| |||||||
| 37 | EMC Corp. (a) | 1,013 | ||||||
| 59 | Hewlett-Packard Co. | 2,142 | ||||||
| 36 | SanDisk Corp. (a) | 1,503 | ||||||
| 91 | Seagate Technology plc, (Ireland) | 1,469 | ||||||
| 32 | Western Digital Corp. (a) | 1,176 | ||||||
|
| |||||||
| 7,303 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.1% |
| |||||||
| 32 | Amphenol Corp., Class A | 1,711 | ||||||
| 47 | Cognex Corp. | 1,659 | ||||||
| 44 | Dolby Laboratories, Inc., Class A (a) | 1,885 | ||||||
| 61 | FLIR Systems, Inc. | 2,054 | ||||||
| 119 | Ingram Micro, Inc., Class A (a) | 2,157 | ||||||
| 68 | Molex, Inc. | 1,751 | ||||||
| 17 | National Instruments Corp. | 518 | ||||||
| 46 | Plexus Corp. (a) | 1,614 | ||||||
| 52 | Trimble Navigation Ltd. (a) | 2,045 | ||||||
| 108 | TTM Technologies, Inc. (a) | 1,728 | ||||||
|
| |||||||
| 17,122 | ||||||||
|
| |||||||
Internet Software & Services — 1.8% |
| |||||||
| 62 | Akamai Technologies, Inc. (a) | 1,948 | ||||||
| 31 | Digital River, Inc. (a) | 1,007 | ||||||
| 22 | Equinix, Inc. (a) | 2,235 | ||||||
| 1 | Google, Inc., Class A (a) | 258 | ||||||
| 40 | LogMeIn, Inc. (a) | 1,525 | ||||||
| 63 | Monster Worldwide, Inc. (a) | 916 | ||||||
| 5 | VistaPrint N.V., (Netherlands) (a) | 242 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — Continued |
| |||||||
| 125 | Yahoo!, Inc. (a) | 1,874 | ||||||
|
| |||||||
| 10,005 | ||||||||
|
| |||||||
IT Services — 2.1% |
| |||||||
| 17 | Automatic Data Processing, Inc. | 897 | ||||||
| 90 | CoreLogic, Inc. (a) | 1,497 | ||||||
| 2 | International Business Machines Corp. | 328 | ||||||
| 51 | Jack Henry & Associates, Inc. | 1,533 | ||||||
| 42 | NeuStar, Inc., Class A (a) | 1,108 | ||||||
| 42 | Paychex, Inc. | 1,296 | ||||||
| 28 | Sapient Corp. (a) | 424 | ||||||
| 12 | Syntel, Inc. | 694 | ||||||
| 34 | Teradata Corp. (a) | 2,066 | ||||||
| 32 | Wright Express Corp. (a) | 1,663 | ||||||
|
| |||||||
| 11,506 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
| 269 | Advanced Micro Devices, Inc. (a) | 1,883 | ||||||
| 63 | Atmel Corp. (a) | 889 | ||||||
| 9 | Broadcom Corp., Class A (a) | 313 | ||||||
| 35 | Cavium, Inc. (a) | 1,505 | ||||||
| 41 | Cirrus Logic, Inc. (a) | 652 | ||||||
| 54 | Cree, Inc. (a) | 1,810 | ||||||
| 96 | Cypress Semiconductor Corp. (a) | 2,028 | ||||||
| 10 | Diodes, Inc. (a) | 252 | ||||||
| 21 | Hittite Microwave Corp. (a) | 1,277 | ||||||
| 2 | PMC-Sierra, Inc. (a) | 15 | ||||||
| 37 | Power Integrations, Inc. | 1,428 | ||||||
| 26 | Silicon Laboratories, Inc. (a) | 1,054 | ||||||
| 29 | Skyworks Solutions, Inc. (a) | 673 | ||||||
| 143 | TriQuint Semiconductor, Inc. (a) | 1,456 | ||||||
| 27 | Xilinx, Inc. | 986 | ||||||
|
| |||||||
| 16,221 | ||||||||
|
| |||||||
Software — 3.5% |
| |||||||
| 34 | ANSYS, Inc. (a) | 1,869 | ||||||
| 95 | AsiaInfo-Linkage, Inc., (China) (a) | 1,572 | ||||||
| 13 | CommVault Systems, Inc. (a) | 595 | ||||||
| 33 | Electronic Arts, Inc. (a) | 784 | ||||||
| 14 | Fortinet, Inc. (a) | 374 | ||||||
| 7 | JDA Software Group, Inc. (a) | 226 | ||||||
| 48 | NetSuite, Inc. (a) | 1,885 | ||||||
| 66 | Parametric Technology Corp. (a) | 1,520 | ||||||
| 34 | Pegasystems, Inc. | 1,567 | ||||||
| 33 | Red Hat, Inc. (a) | 1,529 | ||||||
| 6 | Rovi Corp. (a) | 340 | ||||||
| 5 | Salesforce.com, Inc. (a) | 758 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Software — Continued |
| |||||||
| 87 | SolarWinds, Inc. (a) | 2,268 | ||||||
| 6 | Solera Holdings, Inc. | 330 | ||||||
| 20 | Synchronoss Technologies, Inc. (a) | 634 | ||||||
| 45 | Taleo Corp., Class A (a) | 1,658 | ||||||
| 12 | Ultimate Software Group, Inc. (a) | 647 | ||||||
| 5 | VMware, Inc., Class A (a) | 477 | ||||||
|
| |||||||
| 19,033 | ||||||||
|
| |||||||
Total Information Technology | 87,785 | |||||||
|
| |||||||
Materials — 8.0% |
| |||||||
Chemicals — 3.8% |
| |||||||
| 11 | Air Products & Chemicals, Inc. | 1,011 | ||||||
| 28 | Airgas, Inc. | 1,927 | ||||||
| 24 | Albemarle Corp. | 1,657 | ||||||
| 22 | Ashland, Inc. | 1,417 | ||||||
| 12 | Dow Chemical Co. (The) | 426 | ||||||
| 35 | Ecolab, Inc. | 1,962 | ||||||
| 20 | FMC Corp. | 1,759 | ||||||
| 35 | H.B. Fuller Co. | 846 | ||||||
| 58 | Huntsman Corp. | 1,100 | ||||||
| 30 | International Flavors & Fragrances, Inc. | 1,902 | ||||||
| 50 | Intrepid Potash, Inc. (a) | 1,626 | ||||||
| 4 | Monsanto Co. | 317 | ||||||
| 20 | Mosaic Co. (The) | 1,349 | ||||||
| 17 | Praxair, Inc. | 1,887 | ||||||
| 35 | RPM International, Inc. | 817 | ||||||
| 10 | Sigma-Aldrich Corp. | 734 | ||||||
|
| |||||||
| 20,737 | ||||||||
|
| |||||||
Construction Materials — 1.2% |
| |||||||
| 58 | Eagle Materials, Inc. | 1,621 | ||||||
| 17 | Martin Marietta Materials, Inc. | 1,355 | ||||||
| 41 | Texas Industries, Inc. | 1,714 | ||||||
| 55 | Vulcan Materials Co. | 2,132 | ||||||
|
| |||||||
| 6,822 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 23 | Aptargroup, Inc. | 1,200 | ||||||
| 22 | Owens-Illinois, Inc. (a) | 562 | ||||||
| 51 | Packaging Corp. of America | 1,432 | ||||||
| 34 | Silgan Holdings, Inc. | 1,393 | ||||||
|
| |||||||
| 4,587 | ||||||||
|
| |||||||
Metals & Mining — 2.2% |
| |||||||
| 140 | AK Steel Holding Corp. | 2,202 | ||||||
| 60 | Allied Nevada Gold Corp. (a) | 2,137 | ||||||
| 42 | Carpenter Technology Corp. | 2,448 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — Continued |
| |||||||
| 11 | Compass Minerals International, Inc. | 923 | ||||||
| 24 | Royal Gold, Inc. | 1,417 | ||||||
| 65 | Titanium Metals Corp. | 1,199 | ||||||
| 33 | United States Steel Corp. | 1,508 | ||||||
|
| |||||||
| 11,834 | ||||||||
|
| |||||||
Total Materials | 43,980 | |||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 12 | AboveNet, Inc. | 879 | ||||||
| 14 | CenturyLink, Inc. | 583 | ||||||
| 257 | Frontier Communications Corp. | 2,075 | ||||||
| 90 | tw telecom, inc. (a) | 1,839 | ||||||
|
| |||||||
| 5,376 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.6% |
| |||||||
| 41 | American Tower Corp., Class A (a) | 2,170 | ||||||
| 32 | NII Holdings, Inc. (a) | 1,343 | ||||||
|
| |||||||
| 3,513 | ||||||||
|
| |||||||
Total Telecommunication Services | 8,889 | |||||||
|
| |||||||
Utilities — 5.8% |
| |||||||
Electric Utilities — 2.4% |
| |||||||
| 50 | Cleco Corp. | 1,757 | ||||||
| 36 | FirstEnergy Corp. | 1,597 | ||||||
| 16 | Great Plains Energy, Inc. | 336 | ||||||
| 17 | Hawaiian Electric Industries, Inc. | 419 | ||||||
| 10 | IDACORP, Inc. | 378 | ||||||
| 37 | NextEra Energy, Inc. | 2,129 | ||||||
| 44 | Northeast Utilities | 1,554 | ||||||
| 75 | PPL Corp. | 2,074 | ||||||
| 29 | Southern Co. | 1,182 | ||||||
| 45 | UIL Holdings Corp. | 1,442 | ||||||
| 12 | Westar Energy, Inc. | 320 | ||||||
|
| |||||||
| 13,188 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 26 | National Fuel Gas Co. | 1,872 | ||||||
| 15 | New Jersey Resources Corp. | 678 | ||||||
| 9 | Nicor, Inc. | 496 | ||||||
| 27 | Northwest Natural Gas Co. | 1,207 | ||||||
| 26 | Piedmont Natural Gas Co., Inc. | 779 | ||||||
|
| |||||||
| 5,032 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.8% |
| |||||||
| 137 | Calpine Corp. (a) | 2,206 | ||||||
| 540 | GenOn Energy, Inc. (a) | 2,086 | ||||||
|
| |||||||
| 4,292 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Multi-Utilities — 1.5% |
| |||||||
| 52 | Black Hills Corp. | 1,560 | ||||||
| 73 | CenterPoint Energy, Inc. | 1,416 | ||||||
| 7 | Consolidated Edison, Inc. | 374 | ||||||
| 7 | DTE Energy Co. | 334 | ||||||
| 42 | OGE Energy Corp. | 2,119 | ||||||
| 71 | TECO Energy, Inc. | 1,341 | ||||||
| 31 | Vectren Corp. | 856 | ||||||
| 13 | Xcel Energy, Inc. | 313 | ||||||
|
| |||||||
| 8,313 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Water Utilities — 0.2% |
| |||||||
| 48 | Aqua America, Inc. | 1,061 | ||||||
|
| |||||||
Total Utilities | 31,886 | |||||||
|
| |||||||
Total Short Positions | 532,696 | |||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.1% |
| ||||||
Consumer Discretionary — 15.0% |
| |||||||
Distributors — 1.0% |
| |||||||
| 167 | Genuine Parts Co. | 9,090 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.9% |
| |||||||
| 66 | McDonald’s Corp. | 5,599 | ||||||
| 212 | Monarch Casino & Resort, Inc. (a) | 2,208 | ||||||
|
| |||||||
| 7,807 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
| 194 | Fortune Brands, Inc. | 12,397 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.8% |
| |||||||
| 266 | Expedia, Inc. | 7,706 | ||||||
|
| |||||||
Media — 3.7% |
| |||||||
| 247 | AH Belo Corp., Class A | 1,839 | ||||||
| 382 | Belo Corp., Class A (a) | 2,878 | ||||||
| 119 | Cablevision Systems Corp., Class A | 4,298 | ||||||
| 220 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 2,790 | ||||||
| 340 | Entercom Communications Corp., Class A (a) | 2,950 | ||||||
| 406 | Gannett Co., Inc. | 5,811 | ||||||
| 551 | LIN TV Corp., Class A (a) | 2,684 | ||||||
| 61 | Time Warner Cable, Inc. | 4,729 | ||||||
| 81 | Time Warner, Inc. | 2,931 | ||||||
| 7 | Washington Post Co. (The), Class B | 2,933 | ||||||
|
| |||||||
| 33,843 | ||||||||
|
| |||||||
Multiline Retail — 2.1% |
| |||||||
| 140 | Kohl’s Corp. | 7,016 | ||||||
| 171 | Sears Holdings Corp. (a) | 12,181 | ||||||
|
| |||||||
| 19,197 | ||||||||
|
| |||||||
Specialty Retail — 5.2% |
| |||||||
| 33 | AutoZone, Inc. (a) | 9,848 | ||||||
| 227 | Bed Bath & Beyond, Inc. (a) | 13,238 | ||||||
| 510 | Gap, Inc. (The) | 9,231 | ||||||
| 222 | Home Depot, Inc. | 8,052 | ||||||
| 144 | TJX Cos., Inc. | 7,564 | ||||||
|
| |||||||
| 47,933 | ||||||||
|
| |||||||
Total Consumer Discretionary | 137,973 | |||||||
|
| |||||||
Consumer Staples — 6.2% |
| |||||||
Beverages — 0.8% |
| |||||||
| 96 | Diageo plc, (United Kingdom), ADR | 7,818 | ||||||
|
| |||||||
Food & Staples Retailing — 2.2% |
| |||||||
| 314 | Walgreen Co. | 13,333 | ||||||
| 132 | Wal-Mart Stores, Inc. | 6,993 | ||||||
|
| |||||||
| 20,326 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 1.4% |
| |||||||
| 167 | JM Smucker Co. (The) | 12,750 | ||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
| 254 | Procter & Gamble Co. (The) | 16,115 | ||||||
|
| |||||||
Total Consumer Staples | 57,009 | |||||||
|
| |||||||
Energy — 11.3% |
| |||||||
Oil, Gas & Consumable Fuels — 11.3% |
| |||||||
| 333 | Devon Energy Corp. | 26,252 | ||||||
| 314 | El Paso Corp. | 6,333 | ||||||
| 229 | Energen Corp. | 12,910 | ||||||
| 126 | Energy Transfer Equity LP | 5,674 | ||||||
| 283 | Exxon Mobil Corp. | 23,006 | ||||||
| 257 | NuStar GP Holdings LLC | 9,237 | ||||||
| 532 | Teekay Corp., (Canada) | 16,431 | ||||||
| 135 | Williams Cos., Inc. (The) | 4,075 | ||||||
|
| |||||||
Total Energy | 103,918 | |||||||
|
| |||||||
Financials — 30.7% |
| |||||||
Capital Markets — 3.5% |
| |||||||
| 171 | Ameriprise Financial, Inc. | 9,834 | ||||||
| 343 | Charles Schwab Corp. (The) | 5,636 | ||||||
| 39 | Goldman Sachs Group, Inc. (The) | 5,204 | ||||||
| 285 | Invesco Ltd. | 6,669 | ||||||
| 123 | W.P. Carey & Co. LLC | 4,974 | ||||||
|
| |||||||
| 32,317 | ||||||||
|
| |||||||
Commercial Banks — 6.6% |
| |||||||
| 104 | M&T Bank Corp. | 9,103 | ||||||
| 238 | SunTrust Banks, Inc. | 6,143 | ||||||
| 438 | U.S. Bancorp | 11,171 | ||||||
| 1,232 | Wells Fargo & Co. | 34,570 | ||||||
|
| |||||||
| 60,987 | ||||||||
|
| |||||||
Consumer Finance — 1.1% |
| |||||||
| 195 | Capital One Financial Corp. | 10,071 | ||||||
|
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
| 293 | Citigroup, Inc. | 12,215 | ||||||
|
| |||||||
Insurance — 12.0% |
| |||||||
| 105 | American International Group, Inc. (a) | 3,067 | ||||||
| 119 | AON Corp. | 6,125 | ||||||
| — | (h) | Berkshire Hathaway, Inc., Class A (a) | 7,663 | |||||
| 61 | Cincinnati Financial Corp. | 1,792 | ||||||
| 280 | Fortegra Financial Corp. (a) | 2,192 | ||||||
| 450 | Genworth Financial, Inc., Class A (a) | 4,625 | ||||||
| 696 | Loews Corp. | 29,282 | ||||||
| 185 | MetLife, Inc. | 8,103 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 283 | Old Republic International Corp. | 3,325 | ||||||
| 166 | OneBeacon Insurance Group Ltd., Class A | 2,225 | ||||||
| 114 | ProAssurance Corp. (a) | 8,001 | ||||||
| 154 | Prudential Financial, Inc. | 9,761 | ||||||
| 249 | Transatlantic Holdings, Inc. | 12,194 | ||||||
| 354 | W.R. Berkley Corp. | 11,490 | ||||||
|
| |||||||
| 109,845 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.3% |
| |||||||
| 208 | Agree Realty Corp. | 4,640 | ||||||
| 439 | Annaly Capital Management, Inc. | 7,923 | ||||||
| 544 | Cousins Properties, Inc. | 4,645 | ||||||
| 545 | CreXus Investment Corp. | 6,058 | ||||||
| 412 | Excel Trust, Inc. | 4,544 | ||||||
| 164 | Getty Realty Corp. | 4,128 | ||||||
| 79 | National Health Investors, Inc. | 3,489 | ||||||
| 81 | Regency Centers Corp. | 3,562 | ||||||
|
| |||||||
| 38,989 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
| 287 | Brookfield Asset Management, Inc., (Canada), Class A | 9,503 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.9% |
| |||||||
| 138 | Capitol Federal Financial, Inc. | 1,626 | ||||||
| 476 | People’s United Financial, Inc. | 6,403 | ||||||
|
| |||||||
| 8,029 | ||||||||
|
| |||||||
Total Financials | 281,956 | |||||||
|
| |||||||
Health Care — 10.6% |
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
| 53 | Becton, Dickinson & Co. | 4,567 | ||||||
|
| |||||||
Health Care Providers & Services — 3.7% |
| |||||||
| 242 | AmerisourceBergen Corp. | 10,031 | ||||||
| 60 | Humana, Inc. | 4,792 | ||||||
| 291 | Lincare Holdings, Inc. | 8,528 | ||||||
| 211 | National Healthcare Corp. | 10,460 | ||||||
|
| |||||||
| 33,811 | ||||||||
|
| |||||||
Pharmaceuticals — 6.4% |
| |||||||
| 324 | Bristol-Myers Squibb Co. | 9,389 | ||||||
| 312 | Johnson & Johnson | 20,721 | ||||||
| 394 | Merck & Co., Inc. | 13,897 | ||||||
| 711 | Pfizer, Inc. | 14,651 | ||||||
|
| |||||||
| 58,658 | ||||||||
|
| |||||||
Total Health Care | 97,036 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 3.9% |
| |||||||
Commercial Services & Supplies — 0.6% |
| |||||||
| 170 | Republic Services, Inc. | 5,248 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 226 | Carlisle Cos., Inc. | 11,101 | ||||||
|
| |||||||
Machinery — 1.2% |
| |||||||
| 200 | Illinois Tool Works, Inc. | 11,304 | ||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
| 143 | Equifax, Inc. | 4,968 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
| 90 | GATX Corp. | 3,322 | ||||||
|
| |||||||
Total Industrials | 35,943 | |||||||
|
| |||||||
Information Technology — 2.7% |
| |||||||
Communications Equipment — 0.5% |
| |||||||
| 79 | QUALCOMM, Inc. | 4,492 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 245 | TE Connectivity Ltd., (Switzerland) | 9,010 | ||||||
|
| |||||||
Software — 1.2% |
| |||||||
| 417 | Microsoft Corp. | 10,850 | ||||||
|
| |||||||
Total Information Technology | 24,352 | |||||||
|
| |||||||
Materials — 3.5% |
| |||||||
Chemicals — 1.7% |
| |||||||
| 137 | Albemarle Corp. | 9,460 | ||||||
| 77 | Sherwin-Williams Co. (The) | 6,449 | ||||||
|
| |||||||
| 15,909 | ||||||||
|
| |||||||
Construction Materials — 0.3% |
| |||||||
| 33 | Martin Marietta Materials, Inc. | 2,599 | ||||||
|
| |||||||
Containers & Packaging — 0.9% |
| |||||||
| 129 | Rock-Tenn Co., Class A | 8,525 | ||||||
|
| |||||||
Paper & Forest Products — 0.6% |
| |||||||
| 159 | MeadWestvaco Corp. | 5,283 | ||||||
|
| |||||||
Total Materials | 32,316 | |||||||
|
| |||||||
Telecommunication Services — 4.8% |
| |||||||
Diversified Telecommunication Services — 3.7% |
| |||||||
| 773 | AT&T, Inc. | 24,267 | ||||||
| 232 | CenturyLink, Inc. | 9,384 | ||||||
|
| |||||||
| 33,651 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 1.1% |
| |||||||
| 183 | Telephone & Data Systems, Inc. | 4,916 | ||||||
| 213 | Vodafone Group plc, (United Kingdom), ADR | 5,702 | ||||||
|
| |||||||
| 10,618 | ||||||||
|
| |||||||
Total Telecommunication Services | 44,269 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 49 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Utilities — 7.4% |
| |||||||
Electric Utilities — 3.8% |
| |||||||
| 159 | NextEra Energy, Inc. | 9,125 | ||||||
| 158 | Northeast Utilities | 5,557 | ||||||
| 156 | Progress Energy, Inc. | 7,504 | ||||||
| 317 | Southern Co. | 12,800 | ||||||
|
| |||||||
| 34,986 | ||||||||
|
| |||||||
Gas Utilities — 1.9% |
| |||||||
| 237 | Oneok, Inc. | 17,503 | ||||||
|
| |||||||
Multi-Utilities — 1.7% |
| |||||||
| 160 | PG&E Corp. | 6,717 | ||||||
| 171 | Sempra Energy | 9,037 | ||||||
|
| |||||||
| 15,754 | ||||||||
|
| |||||||
Total Utilities | 68,243 | |||||||
|
| |||||||
Total Common Stocks | 883,015 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Company — 1.0% |
| ||||||
| 503 | Cohen & Steers Infrastructure Fund, Inc. | 8,946 | ||||||
|
| |||||||
| Short-Term Investment — 3.5% |
| ||||||
Investment Company — 3.5% | ||||||||
| 32,245 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 32,245 | ||||||
|
| |||||||
Total Investments — 100.6% | 924,206 | |||||||
Liabilities in Excess of | (5,365 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 918,841 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
| ADR | — American Depositary Receipt | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than one thousand (shares or dollars). | |
| (j) | — All or a portion of these securities are segregated for short sales. | |
| (l) | — The rate shown is the current yield as of June 30, 2011. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011
(Amounts in thousands, except per share amounts)
Growth Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 1,210,710 | $ | 88,184 | $ | 552,112 | $ | 1,656,611 | ||||||||
Investments in affiliates, at value | 45,337 | 3,576 | 35,970 | 107,483 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 1,256,047 | 91,760 | 588,082 | 1,764,094 | ||||||||||||
Cash | 2 | — | — | — | ||||||||||||
Deposits at broker for futures contracts | — | — | — | 1,620 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 10,609 | — | 1,855 | 85,852 | ||||||||||||
Fund shares sold | 1,413 | 6,625 | 1,936 | 2,429 | ||||||||||||
Interest and dividends | 525 | 46 | 466 | 858 | ||||||||||||
Securities lending income | 39 | — | 12 | 78 | ||||||||||||
Variation margin on futures contracts | — | — | — | 173 | ||||||||||||
Due from Advisor | — | 20 | — | — | ||||||||||||
Due from Administrator | — | — | (a) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 1,268,635 | 98,451 | 592,351 | 1,855,104 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Due to custodian | — | — | — | 35 | ||||||||||||
Dividends | — | — | 386 | — | ||||||||||||
Investment securities purchased | 4,595 | 6,520 | 1,204 | 2,010 | ||||||||||||
Collateral for securities lending program | 39,434 | — | 17,693 | 70,726 | ||||||||||||
Fund shares redeemed | 7,294 | 21 | 391 | 4,424 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 619 | — | 174 | 911 | ||||||||||||
Administration fees | 83 | — | 1 | 115 | ||||||||||||
Shareholder servicing fees | 199 | 16 | — | (a) | 246 | |||||||||||
Distribution fees | 50 | — | (a) | 1 | 167 | |||||||||||
Custodian and accounting fees | 31 | 24 | 19 | 28 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | (a) | 2 | 6 | |||||||||||
Other | 173 | 88 | 261 | 683 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 52,479 | 6,669 | 20,132 | 79,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 1,216,156 | $ | 91,782 | $ | 572,219 | $ | 1,775,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
Growth Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 1,027,123 | $ | 91,262 | $ | 466,429 | $ | 1,325,089 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (37 | ) | 44 | (220 | ) | (122 | ) | |||||||||
Accumulated net realized gains (losses) | (54,390 | ) | 78 | (21,500 | ) | 22,057 | ||||||||||
Net unrealized appreciation (depreciation) | 243,460 | 398 | 127,510 | 428,729 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 1,216,156 | $ | 91,782 | $ | 572,219 | $ | 1,775,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 176,492 | $ | 276 | $ | 2,918 | $ | 696,334 | ||||||||
Class B | 3,157 | — | — | 18,648 | ||||||||||||
Class C | 20,676 | 99 | 447 | 29,187 | ||||||||||||
Class R2 | — | 57 | — | 121 | ||||||||||||
Class R5 | 179,677 | 57 | — | — | ||||||||||||
Class R6 | — | 53 | — | — | ||||||||||||
Select Class | 836,154 | 91,240 | 568,854 | 1,031,463 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,216,156 | $ | 91,782 | $ | 572,219 | $ | 1,775,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 19,026 | 16 | 93 | 29,882 | ||||||||||||
Class B | 367 | — | — | 1,020 | ||||||||||||
Class C | 2,400 | 6 | 14 | 1,398 | ||||||||||||
Class R2 | — | 3 | — | 5 | ||||||||||||
Class R5 | 19,031 | 3 | — | — | ||||||||||||
Class R6 | — | 3 | — | — | ||||||||||||
Select Class | 89,009 | 5,300 | 18,140 | 41,304 | ||||||||||||
Net Asset Value: | ||||||||||||||||
Class A — Redemption price per share | $ | 9.28 | $ | 17.19 | $ | 31.29 | $ | 23.30 | ||||||||
Class B — Offering price per share (b) | 8.61 | — | — | 18.29 | ||||||||||||
Class C — Offering price per share (b) | 8.61 | 17.15 | 31.16 | 20.88 | ||||||||||||
Class R2 — Offering and redemption price per share | — | 17.17 | — | 24.73 | ||||||||||||
Class R5 — Offering and redemption price per share | 9.44 | 17.23 | — | — | ||||||||||||
Class R6 — Offering and redemption price per share | — | 17.24 | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 9.39 | 17.22 | 31.36 | 24.97 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 9.79 | $ | 18.14 | $ | 33.02 | $ | 24.59 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 967,250 | $ | 87,786 | $ | 424,602 | $ | 1,228,055 | ||||||||
Cost of investments in affiliates | 45,337 | 3,576 | 35,970 | 107,483 | ||||||||||||
Value of securities on loan | 38,658 | — | 17,421 | 70,219 | ||||||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except per share amounts)
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 6,580,283 | $ | 532,011 | $ | 891,961 | ||||||
Investments in affiliates, at value | 219,931 | 36,094 | 32,245 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 6,800,214 | 568,105 | 924,206 | |||||||||
Cash | 1 | — | — | |||||||||
Deposits at broker for securities sold short | — | 569,315 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 26,539 | 43,165 | — | |||||||||
Fund shares sold | 18,101 | 8,215 | 1,946 | |||||||||
Interest and dividends | 7,985 | 419 | 1,783 | |||||||||
Securities lending income | 22 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 6,852,862 | 1,189,219 | 927,935 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | 3,975 | — | |||||||||
Securities sold short, at value | — | 532,696 | — | |||||||||
Dividends for securities sold short | — | 429 | — | |||||||||
Investment securities purchased | 21,524 | 43,430 | — | |||||||||
Interest expense for securities sold short | — | 88 | — | |||||||||
Collateral for securities lending program | 36,367 | — | — | |||||||||
Fund shares redeemed | 12,852 | 61,382 | 8,410 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 2,853 | 515 | 363 | |||||||||
Administration fees | 28 | 34 | — | (a) | ||||||||
Shareholder servicing fees | 777 | 5 | 128 | |||||||||
Distribution fees | 691 | 35 | 128 | |||||||||
Custodian and accounting fees | 130 | 15 | 19 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | 5 | 3 | |||||||||
Other | 1,803 | 163 | 43 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 77,028 | 642,772 | 9,094 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 6,775,834 | $ | 546,447 | $ | 918,841 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 5,539,610 | $ | 587,781 | $ | 832,160 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 60,033 | (37 | ) | 5,361 | ||||||||
Accumulated net realized gains (losses) | (391,073 | ) | (119,327 | ) | (61,530 | ) | ||||||
Net unrealized appreciation (depreciation) | 1,567,264 | 78,030 | 142,850 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 6,775,834 | $ | 546,447 | $ | 918,841 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,979,270 | $ | 29,216 | $ | 232,103 | ||||||
Class B | 90,427 | 3,484 | — | |||||||||
Class C | 373,415 | 22,094 | 131,743 | |||||||||
Class R2 | 6,500 | — | — | |||||||||
Institutional Class | 2,812,296 | — | 284,433 | |||||||||
Select Class | 1,513,926 | 491,653 | 270,562 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 6,775,834 | $ | 546,447 | $ | 918,841 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 79,947 | 2,979 | 12,171 | |||||||||
Class B | 3,752 | 368 | — | |||||||||
Class C | 15,476 | 2,331 | 6,929 | |||||||||
Class R2 | 268 | — | — | |||||||||
Institutional Class | 111,653 | — | 14,882 | |||||||||
Select Class | 60,625 | 49,605 | 14,154 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 24.76 | $ | 9.81 | $ | 19.07 | ||||||
Class B — Offering price per share (b) | 24.10 | 9.47 | — | |||||||||
Class C — Offering price per share (b) | 24.13 | 9.48 | 19.01 | |||||||||
Class R2 — Offering and redemption price per share | 24.27 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 25.19 | — | 19.11 | |||||||||
Select Class — Offering and redemption price per share | 24.97 | 9.91 | 19.12 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 26.13 | $ | 10.35 | $ | 20.13 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 5,013,019 | $ | 443,125 | $ | 749,111 | ||||||
Cost of investments in affiliates | 219,931 | 36,094 | 32,245 | |||||||||
Value of securities on loan | 35,750 | — | — | |||||||||
Proceeds from securities sold short | — | 521,840 | — | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE PERIOD ENDED JUNE 30, 2011
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Core Fund (b) | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from non-affiliates | $ | 7,161 | $ | 152 | $ | 6,125 | $ | 12,214 | ||||||||
Interest income from non-affiliates | — | (a) | — | (a) | — | — | ||||||||||
Dividend income from affiliates | 21 | 1 | 16 | 34 | ||||||||||||
Income from securities lending (net) | 250 | — | 86 | 400 | ||||||||||||
Other income | 9 | — | 5 | 95 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 7,441 | 153 | 6,232 | 12,743 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 6,085 | 71 | 2,905 | 10,402 | ||||||||||||
Administration fees | 841 | 10 | 401 | 1,439 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 367 | — | (a) | 6 | 1,624 | |||||||||||
Class B | 24 | — | — | 157 | ||||||||||||
Class C | 133 | — | (a) | 2 | 203 | |||||||||||
Class R2 | — | — | (a) | — | — | (a) | ||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 367 | — | (a) | 6 | 1,624 | |||||||||||
Class B | 8 | — | — | 52 | ||||||||||||
Class C | 44 | — | (a) | 1 | 68 | |||||||||||
Class R2 | — | — | (a) | — | — | (a) | ||||||||||
Class R5 | 64 | — | (a) | — | — | |||||||||||
Select Class | 1,599 | 27 | 1,111 | 2,257 | ||||||||||||
Custodian and accounting fees | 65 | 28 | 33 | 69 | ||||||||||||
Interest expense to affiliates | 1 | — | — | (a) | — | |||||||||||
Professional fees | 52 | 97 | 47 | 47 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 11 | — | (a) | 5 | 27 | |||||||||||
Printing and mailing costs | 60 | 35 | 76 | 139 | ||||||||||||
Registration and filing fees | 88 | 107 | 92 | 167 | ||||||||||||
Transfer agent fees | 316 | 11 | 986 | 1,381 | ||||||||||||
Other | 100 | 7 | 15 | 30 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 10,225 | 393 | 5,686 | 19,686 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (133 | ) | (81 | ) | (1,683 | ) | (2,430 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Less expense reimbursements | — | (203 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 10,092 | 109 | 4,003 | 17,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (2,651 | ) | 44 | 2,229 | (4,513 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 80,245 | 74 | 27,793 | 267,778 | ||||||||||||
Futures | — | 4 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 80,245 | 78 | 27,793 | 267,778 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments in non-affiliates | 181,810 | 398 | 96,239 | 276,061 | ||||||||||||
Futures | — | — | — | 173 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | 181,810 | 398 | 96,239 | 276,234 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 262,055 | 476 | 124,032 | 544,012 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 259,404 | $ | 520 | $ | 126,261 | $ | 539,499 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Commencement of operations was November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 124,279 | $ | 7,259 | $ | 18,731 | ||||||
Interest income from non-affiliates | — | 12 | — | |||||||||
Dividend income from affiliates | 183 | 55 | 33 | |||||||||
Income from securities lending (net) | 372 | — | — | |||||||||
Other income | 34 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 124,868 | 7,326 | 18,764 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 39,810 | 7,184 | 4,828 | |||||||||
Administration fees | 5,508 | 518 | 667 | |||||||||
Distribution fees: | ||||||||||||
Class A | 4,842 | 227 | 510 | |||||||||
Class B | 741 | 43 | — | |||||||||
Class C | 2,636 | 227 | 937 | |||||||||
Class R2 | 20 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 4,842 | 227 | 510 | |||||||||
Class B | 247 | 14 | — | |||||||||
Class C | 879 | 76 | 312 | |||||||||
Class R2 | 10 | — | — | |||||||||
Institutional Class | 2,414 | — | 235 | |||||||||
Select Class | 3,298 | 1,120 | 446 | |||||||||
Custodian and accounting fees | 286 | 48 | 45 | |||||||||
Professional fees | 123 | 56 | 52 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 66 | 3 | 8 | |||||||||
Printing and mailing costs | 847 | 72 | 45 | |||||||||
Registration and filing fees | 250 | 61 | 121 | |||||||||
Transfer agent fees | 7,710 | 397 | 458 | |||||||||
Other | 195 | 14 | 19 | |||||||||
Dividend expense on securities sold short | — | 7,789 | — | |||||||||
Interest expense to non-affiliates on securities sold short | — | 449 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 74,724 | 18,525 | 9,193 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (11,938 | ) | (2,585 | ) | (968 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 62,786 | 15,940 | 8,225 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 62,082 | (8,614 | ) | 10,539 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 261,763 | 113,791 | 43,953 | |||||||||
Securities sold short | — | (101,730 | ) | — | ||||||||
Payment by affiliate (See Note 3) | 31 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 261,794 | 12,061 | 43,953 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 1,311,629 | 72,852 | 101,318 | |||||||||
Securities sold short | — | (69,423 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 1,311,629 | 3,429 | 101,318 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 1,573,423 | 15,490 | 145,271 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,635,505 | $ | 6,876 | $ | 155,810 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Core Fund | |||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Period Ended 6/30/2011 (a) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||
Net investment income (loss) | $ | (2,651 | ) | $ | (1,459 | ) | $ | 44 | ||||
Net realized gain (loss) | 80,245 | 52,894 | 78 | |||||||||
Change in net unrealized appreciation (depreciation) | 181,810 | 38,819 | 398 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | 259,404 | 90,254 | 520 | |||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Class A | ||||||||||||
From net investment income | — | — | — | (b) | ||||||||
Class R5 | ||||||||||||
From net investment income | — | — | — | (b) | ||||||||
Select Class | ||||||||||||
From net investment income | — | — | (1 | ) | ||||||||
|
|
|
|
|
| |||||||
Total distributions to shareholders | — | — | (1 | ) | ||||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets from capital transactions | 157,627 | 136,769 | 91,263 | |||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | 417,031 | 227,023 | 91,782 | |||||||||
Beginning of period | 799,125 | 572,102 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 1,216,156 | $ | 799,125 | $ | 91,782 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (37 | ) | $ | (13 | ) | $ | 44 | ||||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations was November 30, 2010. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 2,229 | $ | 1,933 | $ | (4,513 | ) | $ | (5,412 | ) | ||||||
Net realized gain (loss) | 27,793 | 9,383 | 267,778 | 107,222 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 96,239 | 26,548 | 276,234 | 131,041 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 126,261 | 37,864 | 539,499 | 232,851 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (5 | ) | (1 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | (a) | — | (a) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (1,984 | ) | (1,929 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,989 | ) | (1,930 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (16,990 | ) | 233,218 | (53,988 | ) | (149,860 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 107,282 | 269,152 | 485,511 | 82,991 | ||||||||||||
Beginning of period | 464,937 | 195,785 | 1,290,242 | 1,207,251 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 572,219 | $ | 464,937 | $ | 1,775,753 | $ | 1,290,242 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (220 | ) | $ | (190 | ) | $ | (122 | ) | $ | (82 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 62,082 | $ | 62,503 | $ | (8,614 | ) | $ | (9,582 | ) | ||||||
Net realized gain (loss) | 261,794 | 23,325 | 12,061 | 43,479 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 1,311,629 | 936,527 | 3,429 | (63,292 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,635,505 | 1,022,355 | 6,876 | (29,395 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (15,422 | ) | — | — | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (167 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (1,171 | ) | — | — | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | (36 | ) | — | — | — | |||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (29,944 | ) | (1,669 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (13,423 | ) | (279 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (60,163 | ) | (1,948 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 111,762 | (131,054 | ) | (35,976 | ) | (65,653 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,687,104 | 889,353 | (29,100 | ) | (95,048 | ) | ||||||||||
Beginning of period | 5,088,730 | 4,199,377 | 575,547 | 670,595 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,775,834 | $ | 5,088,730 | $ | 546,447 | $ | 575,547 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 60,033 | $ | 59,967 | $ | (37 | ) | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Value Advantage Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 10,539 | $ | 6,916 | ||||
Net realized gain (loss) | 43,953 | (10,567 | ) | |||||
Change in net unrealized appreciation (depreciation) | 101,318 | 96,114 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 155,810 | 92,463 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (1,878 | ) | (1,905 | ) | ||||
Class C | ||||||||
From net investment income | (513 | ) | (889 | ) | ||||
Institutional Class | ||||||||
From net investment income | (3,215 | ) | (1,840 | ) | ||||
Select Class | ||||||||
From net investment income | (2,578 | ) | (995 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (8,184 | ) | (5,629 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | 285,229 | 66,865 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 432,855 | 153,699 | ||||||
Beginning of period | 485,986 | 332,287 | ||||||
|
|
|
| |||||
End of period | $ | 918,841 | $ | 485,986 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 5,361 | $ | 2,634 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 61 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Core Fund | |||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Period Ended 6/30/2011 (a) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Class A | ||||||||||||
Proceeds from shares issued | $ | 92,600 | $ | 55,364 | $ | 296 | ||||||
Dividends and distributions reinvested | — | — | — | (b) | ||||||||
Cost of shares redeemed | (59,032 | ) | (36,207 | ) | (33 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets from Class A capital transactions | $ | 33,568 | $ | 19,157 | $ | 263 | ||||||
|
|
|
|
|
| |||||||
Class B | ||||||||||||
Proceeds from shares issued | 267 | 520 | — | |||||||||
Cost of shares redeemed | (1,177 | ) | (1,277 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in net assets from Class B capital transactions | $ | (910 | ) | $ | (757 | ) | $ | — | ||||
|
|
|
|
|
| |||||||
Class C | ||||||||||||
Proceeds from shares issued | 11,077 | 5,617 | 100 | |||||||||
Cost of shares redeemed | (7,860 | ) | (3,392 | ) | (9 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets from Class C capital transactions | $ | 3,217 | $ | 2,225 | $ | 91 | ||||||
|
|
|
|
|
| |||||||
Class R2 | ||||||||||||
Proceeds from shares issued | — | — | 50 | |||||||||
Cost of shares redeemed | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | 50 | ||||||
|
|
|
|
|
| |||||||
Class R5 | ||||||||||||
Proceeds from shares issued | 67,907 | 27,290 | 50 | |||||||||
Dividends and distributions reinvested | — | — | — | (b) | ||||||||
Cost of shares redeemed | (762 | ) | (3,562 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in net assets from Class R5 capital transactions | $ | 67,145 | $ | 23,728 | $ | 50 | ||||||
|
|
|
|
|
| |||||||
Class R6 (c) | ||||||||||||
Proceeds from shares issued | — | — | 50 | |||||||||
Cost of shares redeemed | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 50 | ||||||
|
|
|
|
|
| |||||||
Select Class | ||||||||||||
Proceeds from shares issued | 418,656 | 324,548 | 94,382 | |||||||||
Dividends and distributions reinvested | — | — | 1 | |||||||||
Cost of shares redeemed | (364,049 | ) | (232,132 | ) | (3,624 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets from Select Class capital transactions | $ | 54,607 | $ | 92,416 | $ | 90,759 | ||||||
|
|
|
|
|
| |||||||
Total change in net assets from capital transactions | $ | 157,627 | $ | 136,769 | $ | 91,263 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Core Fund | |||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Period Ended 6/30/2011 (a) | ||||||||||
SHARE TRANSACTIONS: | ||||||||||||
Class A | ||||||||||||
Issued | 10,834 | 7,959 | 18 | |||||||||
Reinvested | — | — | — | (b) | ||||||||
Redeemed | (6,865 | ) | (5,122 | ) | (2 | ) | ||||||
|
|
|
|
|
| |||||||
Change in Class A Shares | 3,969 | 2,837 | 16 | |||||||||
|
|
|
|
|
| |||||||
Class B | ||||||||||||
Issued | 32 | 83 | — | |||||||||
Redeemed | (152 | ) | (196 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in Class B Shares | (120 | ) | (113 | ) | — | |||||||
|
|
|
|
|
| |||||||
Class C | ||||||||||||
Issued | 1,351 | 868 | 6 | |||||||||
Redeemed | (981 | ) | (524 | ) | — | (b) | ||||||
|
|
|
|
|
| |||||||
Change in Class C Shares | 370 | 344 | 6 | |||||||||
|
|
|
|
|
| |||||||
Class R2 | ||||||||||||
Issued | — | — | 3 | |||||||||
Redeemed | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in Class R2 Shares | — | — | 3 | |||||||||
|
|
|
|
|
| |||||||
Class R5 | ||||||||||||
Issued | 7,917 | 3,874 | 3 | |||||||||
Reinvested | — | — | — | (b) | ||||||||
Redeemed | (85 | ) | (480 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in Class R5 Shares | 7,832 | 3,394 | 3 | |||||||||
|
|
|
|
|
| |||||||
Class R6 (c) | ||||||||||||
Issued | — | — | 3 | |||||||||
Redeemed | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in Class R6 Shares | — | — | 3 | |||||||||
|
|
|
|
|
| |||||||
Select Class | ||||||||||||
Issued | 46,982 | 46,815 | 5,510 | |||||||||
Reinvested | — | — | — | (b) | ||||||||
Redeemed | (46,450 | ) | (32,808 | ) | (210 | ) | ||||||
|
|
|
|
|
| |||||||
Change in Select Class Shares | 532 | 14,007 | 5,300 | |||||||||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations was November 30, 2010. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
| (c) | Commencement of offering of class of shares effective January 31, 2011 for Mid Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 63 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 2,423 | $ | 1,597 | $ | 75,693 | $ | 103,096 | ||||||||
Dividends and distributions reinvested | 5 | 1 | — | — | ||||||||||||
Cost of shares redeemed | (1,487 | ) | (95 | ) | (160,643 | ) | (167,798 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 941 | $ | 1,503 | $ | (84,950 | ) | $ | (64,702 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 693 | $ | 1,165 | ||||||||
Cost of shares redeemed | — | — | (10,361 | ) | (16,165 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (9,668 | ) | $ | (15,000 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 443 | $ | 66 | $ | 3,672 | $ | 2,193 | ||||||||
Dividends and distributions reinvested | — | (a) | — | (a) | — | — | ||||||||||
Cost of shares redeemed | (113 | ) | (3 | ) | (6,894 | ) | (9,337 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 330 | $ | 63 | $ | (3,222 | ) | $ | (7,144 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 31 | $ | — | (a) | |||||||
Cost of shares redeemed | — | — | — | (a) | (32 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | 31 | $ | (32 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 269,128 | $ | 316,115 | $ | 247,747 | $ | 155,494 | ||||||||
Dividends and distributions reinvested | 447 | 305 | — | — | ||||||||||||
Cost of shares redeemed | (287,836 | ) | (84,768 | ) | (203,926 | ) | (218,476 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (18,261 | ) | $ | 231,652 | $ | 43,821 | $ | (62,982 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (16,990 | ) | $ | 233,218 | $ | (53,988 | ) | $ | (149,860 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 84 | 65 | 3,594 | 6,323 | ||||||||||||
Reinvested | — | (a) | — | (a) | — | — | ||||||||||
Redeemed | (52 | ) | (4 | ) | (7,968 | ) | (10,091 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 32 | 61 | (4,374 | ) | (3,768 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 41 | 93 | ||||||||||||
Reinvested | — | — | — | — | ||||||||||||
Redeemed | — | — | (641 | ) | (1,235 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (600 | ) | (1,142 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 15 | 3 | 189 | 146 | ||||||||||||
Reinvested | — | (a) | — | (a) | — | — | ||||||||||
Redeemed | (4 | ) | — | (a) | (379 | ) | (627 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 11 | 3 | (190 | ) | (481 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 1 | — | (a) | |||||||||||
Redeemed | — | — | — | (a) | (2 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 1 | (2 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 9,351 | 13,451 | 11,401 | 8,781 | ||||||||||||
Reinvested | 15 | 13 | — | — | ||||||||||||
Redeemed | (11,406 | ) | (3,604 | ) | (9,364 | ) | (12,859 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (2,040 | ) | 9,860 | 2,037 | (4,078 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 373,327 | $ | 286,766 | $ | 34,632 | $ | 64,504 | ||||||||
Dividends and distributions reinvested | 14,615 | — | — | — | ||||||||||||
Cost of shares redeemed | (621,660 | ) | (562,984 | ) | (100,820 | ) | (33,398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (233,718 | ) | $ | (276,218 | ) | $ | (66,188 | ) | $ | 31,106 | |||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 626 | $ | 1,155 | $ | 22 | $ | 84 | ||||||||
Dividends and distributions reinvested | 148 | — | — | — | ||||||||||||
Cost of shares redeemed | (34,335 | ) | (37,583 | ) | (4,375 | ) | (4,436 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (33,561 | ) | $ | (36,428 | ) | $ | (4,353 | ) | $ | (4,352 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 37,081 | $ | 24,188 | $ | 1,079 | $ | 4,139 | ||||||||
Dividends and distributions reinvested | 873 | — | — | — | ||||||||||||
Cost of shares redeemed | (65,800 | ) | (83,767 | ) | (18,536 | ) | (23,169 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (27,846 | ) | $ | (59,579 | ) | $ | (17,457 | ) | $ | (19,030 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 5,542 | $ | 2,331 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 28 | — | — | — | ||||||||||||
Cost of shares redeemed | (1,307 | ) | (1,209 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 4,263 | $ | 1,122 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 789,825 | $ | 527,453 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 22,919 | 1,318 | — | — | ||||||||||||
Cost of shares redeemed | (526,461 | ) | (435,724 | ) | — | — | ||||||||||
Redemptions in-kind (See Note 9) | — | 47,173 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | 286,283 | $ | 140,220 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 449,654 | $ | 468,382 | $ | 155,618 | $ | 153,988 | ||||||||
Dividends and distributions reinvested | 9,285 | 167 | — | — | ||||||||||||
Cost of shares redeemed | (342,598 | ) | (368,720 | ) | (103,596 | ) | (227,365 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 116,341 | $ | 99,829 | $ | 52,022 | $ | (73,377 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 111,762 | $ | (131,054 | ) | $ | (35,976 | ) | $ | (65,653 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 16,395 | 15,310 | 3,576 | 6,429 | ||||||||||||
Reinvested | 636 | — | — | — | ||||||||||||
Redeemed | (27,300 | ) | (30,094 | ) | (10,335 | ) | (3,339 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (10,269 | ) | (14,784 | ) | (6,759 | ) | 3,090 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 29 | 66 | 2 | 8 | ||||||||||||
Reinvested | 7 | — | — | — | ||||||||||||
Redeemed | (1,559 | ) | (2,050 | ) | (465 | ) | (453 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (1,523 | ) | (1,984 | ) | (463 | ) | (445 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,660 | 1,313 | 115 | 423 | ||||||||||||
Reinvested | 39 | — | (a) | — | — | |||||||||||
Redeemed | (3,011 | ) | (4,607 | ) | (1,973 | ) | (2,368 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (1,312 | ) | (3,294 | ) | (1,858 | ) | (1,945 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 245 | 121 | — | — | ||||||||||||
Reinvested | 1 | — | — | — | ||||||||||||
Redeemed | (55 | ) | (64 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 191 | 57 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 34,031 | 27,515 | — | — | ||||||||||||
Reinvested | 983 | 69 | — | — | ||||||||||||
Redeemed | (22,926 | ) | (22,644 | ) | — | — | ||||||||||
Redemptions in-kind (See Note 9) | — | 2,355 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 12,088 | 7,295 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 19,629 | 25,058 | 15,949 | 15,269 | ||||||||||||
Reinvested | 401 | 9 | — | — | ||||||||||||
Redeemed | (15,059 | ) | (19,421 | ) | (10,636 | ) | (22,446 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 4,971 | 5,646 | 5,313 | (7,177 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Value Advantage Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 119,805 | $ | 72,764 | ||||
Dividends and distributions reinvested | 1,727 | 1,731 | ||||||
Cost of shares redeemed | (81,151 | ) | (67,947 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | 40,381 | $ | 6,548 | ||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 22,682 | $ | 17,785 | ||||
Dividends and distributions reinvested | 413 | 717 | ||||||
Cost of shares redeemed | (26,534 | ) | (33,293 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | (3,439 | ) | $ | (14,791 | ) | ||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 138,756 | $ | 76,158 | ||||
Dividends and distributions reinvested | 2,906 | 1,753 | ||||||
Cost of shares redeemed | (20,173 | ) | (9,427 | ) | ||||
Redemptions in-kind (See Note 9) | (41,498 | ) | — | |||||
|
|
|
| |||||
Change in net assets from Institutional Class capital transactions | $ | 79,991 | $ | 68,484 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 196,760 | $ | 28,225 | ||||
Dividends and distributions reinvested | 1,855 | 411 | ||||||
Cost of shares redeemed | (30,319 | ) | (22,012 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | 168,296 | $ | 6,624 | ||||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | 285,229 | $ | 66,865 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 6,732 | 4,748 | ||||||
Reinvested | 96 | 114 | ||||||
Redeemed | (4,517 | ) | (4,392 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 2,311 | 470 | ||||||
|
|
|
| |||||
Class C | ||||||||
Issued | 1,279 | 1,153 | ||||||
Reinvested | 23 | 47 | ||||||
Redeemed | (1,501 | ) | (2,236 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (199 | ) | (1,036 | ) | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 7,736 | 4,877 | ||||||
Reinvested | 162 | 115 | ||||||
Redeemed | (1,098 | ) | (619 | ) | ||||
Redemptions in-kind (See Note 9) | (2,189 | ) | — | |||||
|
|
|
| |||||
Change in Institutional Class Shares | 4,611 | 4,373 | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 11,074 | 1,827 | ||||||
Reinvested | 103 | 27 | ||||||
Redeemed | (1,687 | ) | (1,427 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 9,490 | 427 | ||||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 69 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||
| Investment operations | ||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized gains (losses) on | Total from investment operations | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Year Ended June 30, 2011 | $ | 6.76 | $ | (0.04 | )(e) | $ | 2.56 | $ | 2.52 | |||||||
Year Ended June 30, 2010 | 5.88 | (0.03 | )(e) | 0.91 | 0.88 | |||||||||||
Year Ended June 30, 2009 | 8.14 | (0.03 | )(e) | (2.23 | ) | (2.26 | ) | |||||||||
Year Ended June 30, 2008 | 8.18 | (0.05 | )(e) | 0.01 | (0.04 | ) | ||||||||||
Year Ended June 30, 2007 | 6.63 | (0.05 | )(e) | 1.60 | 1.55 | |||||||||||
Class B | ||||||||||||||||
Year Ended June 30, 2011 | 6.31 | (0.07 | )(e) | 2.37 | 2.30 | |||||||||||
Year Ended June 30, 2010 | 5.51 | (0.06 | )(e) | 0.86 | 0.80 | |||||||||||
Year Ended June 30, 2009 | 7.67 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | |||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | — | (g) | (0.09 | ) | |||||||||
Year Ended June 30, 2007 | 6.33 | (0.10 | )(e) | 1.53 | 1.43 | |||||||||||
Class C | ||||||||||||||||
Year Ended June 30, 2011 | 6.31 | (0.08 | )(e) | 2.38 | 2.30 | |||||||||||
Year Ended June 30, 2010 | 5.52 | (0.06 | )(e) | 0.85 | 0.79 | |||||||||||
Year Ended June 30, 2009 | 7.68 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | |||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | 0.01 | (0.08 | ) | ||||||||||
Year Ended June 30, 2007 | 6.34 | (0.11 | )(e) | 1.53 | 1.42 | |||||||||||
Class R5 | ||||||||||||||||
Year Ended June 30, 2011 | 6.86 | — | (e)(g) | 2.58 | 2.58 | |||||||||||
Year Ended June 30, 2010 | 5.93 | — | (e)(g) | 0.93 | 0.93 | |||||||||||
January 8, 2009 (h) through June 30, 2009 | 5.37 | — | (e)(g) | 0.56 | 0.56 | |||||||||||
Select Class | ||||||||||||||||
Year Ended June 30, 2011 | 6.83 | (0.02 | )(e) | 2.58 | 2.56 | |||||||||||
Year Ended June 30, 2010 | 5.93 | (0.01 | )(e) | 0.91 | 0.90 | |||||||||||
Year Ended June 30, 2009 | 8.18 | (0.01 | )(e) | (2.24 | ) | (2.25 | ) | |||||||||
Year Ended June 30, 2008 | 8.20 | (0.03 | )(e) | 0.01 | (0.02 | ) | ||||||||||
Year Ended June 30, 2007 | 6.64 | (0.04 | )(e) | 1.60 | 1.56 | |||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes interest expense of 0.01%. |
| (g) | Amount rounds to less than $0.01. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 9.28 | 37.28 | % | $ | 176,492 | 1.25 | % | (0.45 | )% | 1.31 | % | 96 | % | |||||||||||||
| 6.76 | 14.97 | 101,814 | 1.31 | (0.41 | ) | 1.31 | 102 | |||||||||||||||||||
| 5.88 | (27.76 | ) | 71,841 | 1.35 | (0.48 | ) | 1.42 | 119 | ||||||||||||||||||
| 8.14 | (0.49 | ) | 70,546 | 1.34 | (0.58 | ) | 1.47 | 118 | ||||||||||||||||||
| 8.18 | 23.38 | 49,782 | 1.36 | (f) | (0.71 | ) | 1.66 | 159 | ||||||||||||||||||
| 8.61 | 36.45 | 3,157 | 1.75 | (0.94 | ) | 1.81 | 96 | |||||||||||||||||||
| 6.31 | 14.52 | 3,070 | 1.81 | (0.91 | ) | 1.81 | 102 | |||||||||||||||||||
| 5.51 | (28.16 | ) | 3,304 | 1.87 | (1.02 | ) | 1.92 | 119 | ||||||||||||||||||
| 7.67 | (1.16 | ) | 4,340 | 1.91 | (1.16 | ) | 1.94 | 118 | ||||||||||||||||||
| 7.76 | 22.59 | 1,501 | 2.06 | (f) | (1.43 | ) | 2.17 | 159 | ||||||||||||||||||
| 8.61 | 36.45 | 20,676 | 1.75 | (0.95 | ) | 1.81 | 96 | |||||||||||||||||||
| 6.31 | 14.31 | 12,811 | 1.81 | (0.91 | ) | 1.81 | 102 | |||||||||||||||||||
| 5.52 | (28.13 | ) | 9,300 | 1.87 | (1.02 | ) | 1.91 | 119 | ||||||||||||||||||
| 7.68 | (1.03 | ) | 14,499 | 1.88 | (1.16 | ) | 1.89 | 118 | ||||||||||||||||||
| 7.76 | 22.40 | 251 | 2.07 | (f) | (1.49 | ) | 2.18 | 159 | ||||||||||||||||||
| 9.44 | 37.61 | 179,677 | 0.86 | (0.05 | ) | 0.86 | 96 | |||||||||||||||||||
| 6.86 | 15.68 | 76,767 | 0.86 | 0.05 | 0.86 | 102 | ||||||||||||||||||||
| 5.93 | 10.43 | 46,312 | 0.90 | (0.08 | ) | 1.06 | 119 | |||||||||||||||||||
| 9.39 | 37.48 | 836,154 | 1.06 | (0.27 | ) | 1.06 | 96 | |||||||||||||||||||
| 6.83 | 15.18 | 604,663 | 1.06 | (0.16 | ) | 1.06 | 102 | |||||||||||||||||||
| 5.93 | (27.51 | ) | 441,345 | 1.10 | (0.24 | ) | 1.17 | 119 | ||||||||||||||||||
| 8.18 | (0.24 | ) | 399,777 | 1.09 | (0.41 | ) | 1.12 | 118 | ||||||||||||||||||
| 8.20 | 23.49 | 10,985 | 1.11 | (f) | (0.50 | ) | 1.45 | 159 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 71 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Mid Cap Core Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
November 30, 2010 (e) through June 30, 2011 | $ | 15.00 | $ | 0.01 | (f) | $ | 2.18 | $ | 2.19 | $ | — | (g) | ||||||||
Class C | ||||||||||||||||||||
November 30, 2010 (e) through June 30, 2011 | 15.00 | (0.04 | )(f) | 2.19 | 2.15 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
November 30, 2010 (e) through June 30, 2011 | 15.00 | (0.02 | )(f) | 2.19 | 2.17 | — | ||||||||||||||
Class R5 | ||||||||||||||||||||
November 30, 2010 (e) through June 30, 2011 | 15.00 | 0.05 | (f) | 2.19 | 2.24 | (0.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
January 31, 2011 (i) through June 30, 2011 | 16.36 | 0.05 | (f) | 0.83 | 0.88 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
November 30, 2010 (e) through June 30, 2011 | 15.00 | 0.04 | (f) | 2.19 | 2.23 | (0.01 | ) | |||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Commencement of operations. |
| (f) | Calculated based upon average shares outstanding |
| (g) | Amount rounds to less than $0.01. |
| (h) | Ratios are disproportionate between classes due to the size of net assets and fixed expenses. |
| (i) | Commencement of offering of class of shares. |
| (j) | Certain non-recurring expenses incurred by the Fund were not annualized for the period ended June 30, 2011. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | �� | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | |||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 17.19 | 14.70 | % | $ | 276 | 1.24 | %(j) | 0.11 | %(j) | 5.79 | %(h)(j) | 13 | % | |||||||||||||
| 17.15 | 14.33 | 99 | 1.75 | (j) | (0.39 | )(j) | 6.49 | (h)(j) | 13 | |||||||||||||||||
| 17.17 | 14.53 | 57 | 1.49 | (j) | (0.17 | )(j) | 6.84 | (h)(j) | 13 | |||||||||||||||||
| 17.23 | 15.00 | 57 | 0.80 | (j) | 0.52 | (j) | 6.17 | (h)(j) | 13 | |||||||||||||||||
| 17.24 | 5.38 | 53 | 0.75 | (j) | 0.68 | (j) | 5.52 | (h)(j) | 13 | |||||||||||||||||
| 17.22 | 14.84 | 91,240 | 1.00 | (j) | 0.41 | (j) | 3.41 | (h)(j) | 13 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 73 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 22.95 | $ | 0.04 | (e) | $ | 8.36 | $ | 8.40 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | |||||||||||
November 2, 2009 (f) through June 30, 2010 | 21.55 | 0.05 | 1.41 | 1.46 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 22.93 | (0.12 | )(e) | 8.37 | 8.25 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
November 2, 2009 (f) through June 30, 2010 | 21.55 | (0.03 | ) | 1.41 | 1.38 | — | (g) | — | — | (g) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 22.97 | 0.14 | (e) | 8.37 | 8.51 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 18.97 | 0.12 | 4.00 | 4.12 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 28.63 | 0.18 | (8.37 | ) | (8.19 | ) | (0.17 | ) | (1.30 | ) | (1.47 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 37.93 | 0.11 | (2.80 | ) | (2.69 | ) | (0.11 | ) | (6.50 | ) | (6.61 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 34.51 | 0.12 | 6.13 | 6.25 | (0.10 | ) | (2.73 | ) | (2.83 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 31.29 | 36.60 | % | $ | 2,918 | 1.24 | % | 0.14 | % | 1.53 | % | 88 | % | |||||||||||||
| 22.95 | 6.77 | 1,394 | 1.24 | 0.30 | 1.44 | 56 | ||||||||||||||||||||
| 31.16 | 35.98 | 447 | 1.74 | (0.40 | ) | 2.06 | 88 | |||||||||||||||||||
| 22.93 | 6.40 | 65 | 1.74 | (0.23 | ) | 1.92 | 56 | |||||||||||||||||||
| 31.36 | 37.09 | 568,854 | 0.89 | 0.50 | 1.27 | 88 | ||||||||||||||||||||
| 22.97 | 21.72 | 463,478 | 0.89 | 0.55 | 1.17 | 56 | ||||||||||||||||||||
| 18.97 | (28.02 | ) | 195,785 | 0.90 | 0.94 | 1.20 | 107 | |||||||||||||||||||
| 28.63 | (8.19 | ) | 189,589 | 0.91 | 0.32 | 1.12 | 79 | |||||||||||||||||||
| 37.93 | 18.97 | 284,546 | 0.90 | 0.35 | 1.09 | 82 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 75 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2011 | $ | 16.35 | $ | (0.09 | )(e) | $ | 7.04 | $ | 6.95 | $ | — | |||||||||
Year Ended June 30, 2010 | 13.68 | (0.09 | )(e) | 2.76 | 2.67 | — | ||||||||||||||
Year Ended June 30, 2009 | 20.46 | (0.07 | )(e) | (6.33 | )(f) | (6.40 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 24.89 | (0.17 | )(e) | (0.45 | ) | (0.62 | ) | (3.81 | ) | |||||||||||
Year Ended June 30, 2007 | 24.85 | (0.18 | )(e) | 4.41 | 4.23 | (4.19 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2011 | 12.90 | (0.16 | )(e) | 5.55 | 5.39 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.85 | (0.14 | )(e) | 2.19 | 2.05 | — | ||||||||||||||
Year Ended June 30, 2009 | 16.45 | (0.13 | )(e) | (5.09 | )(f) | (5.22 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 20.88 | (0.26 | )(e) | (0.36 | ) | (0.62 | ) | (3.81 | ) | |||||||||||
Year Ended June 30, 2007 | 21.59 | (0.28 | )(e) | 3.76 | 3.48 | (4.19 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2011 | 14.73 | (0.18 | )(e) | 6.33 | 6.15 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.39 | (0.16 | )(e) | 2.50 | 2.34 | — | ||||||||||||||
Year Ended June 30, 2009 | 18.70 | (0.15 | )(e) | (5.78 | )(f) | (5.93 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 23.21 | (0.29 | )(e) | (0.41 | ) | (0.70 | ) | (3.81 | ) | |||||||||||
Year Ended June 30, 2007 | 23.57 | (0.31 | )(e) | 4.14 | 3.83 | (4.19 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2011 | 17.38 | (0.13 | )(e) | 7.48 | 7.35 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.56 | (0.12 | )(e) | 2.94 | 2.82 | — | ||||||||||||||
June 19, 2009 (h) through June 30, 2009 | 14.56 | — | (e)(i) | — | (i) | — | (i) | — | ||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 17.47 | (0.03 | )(e) | 7.53 | 7.50 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.57 | (0.04 | )(e) | 2.94 | 2.90 | — | ||||||||||||||
Year Ended June 30, 2009 | 21.68 | (0.03 | )(e) | (6.70 | )(f) | (6.73 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 26.10 | (0.12 | )(e) | (0.49 | ) | (0.61 | ) | (3.81 | ) | |||||||||||
Year Ended June 30, 2007 | 25.81 | (0.12 | )(e) | 4.60 | 4.48 | (4.19 | ) | |||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Commencement of offering of class of shares. |
| (i) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 23.30 | 42.51 | % | $ | 696,334 | 1.24 | % | (0.44 | )% | 1.36 | % | 79 | % | |||||||||||||
| 16.35 | 19.52 | 560,054 | 1.24 | (0.53 | ) | 1.42 | 82 | |||||||||||||||||||
| 13.68 | (30.97 | )(f) | 520,201 | 1.24 | (0.48 | ) | 1.56 | 96 | ||||||||||||||||||
| 20.46 | (3.22 | )(g) | 384,225 | 1.24 | (0.75 | ) | 1.39 | 95 | ||||||||||||||||||
| 24.89 | 18.65 | 480,084 | 1.24 | (0.73 | ) | 1.36 | 119 | |||||||||||||||||||
| 18.29 | 41.78 | 18,648 | 1.77 | (0.97 | ) | 1.86 | 79 | |||||||||||||||||||
| 12.90 | 18.89 | 20,893 | 1.77 | (1.07 | ) | 1.92 | 82 | |||||||||||||||||||
| 10.85 | (31.35 | )(f) | 29,963 | 1.88 | (1.14 | ) | 2.03 | 96 | ||||||||||||||||||
| 16.45 | (3.90 | )(g) | 69,186 | 1.88 | (1.38 | ) | 1.89 | 95 | ||||||||||||||||||
| 20.88 | 17.93 | 123,779 | 1.86 | (1.35 | ) | 1.86 | 119 | |||||||||||||||||||
| 20.88 | 41.75 | 29,187 | 1.77 | (0.97 | ) | 1.86 | 79 | |||||||||||||||||||
| 14.73 | 18.89 | 23,389 | 1.77 | (1.06 | ) | 1.92 | 82 | |||||||||||||||||||
| 12.39 | (31.38 | )(f) | 25,624 | 1.88 | (1.13 | ) | 2.04 | 96 | ||||||||||||||||||
| 18.70 | (3.85 | )(g) | 27,785 | 1.88 | (1.38 | ) | 1.89 | 95 | ||||||||||||||||||
| 23.21 | 17.90 | 38,805 | 1.86 | (1.35 | ) | 1.86 | 119 | |||||||||||||||||||
| 24.73 | 42.29 | 121 | 1.40 | (0.59 | ) | 1.60 | 79 | |||||||||||||||||||
| 17.38 | 19.37 | 63 | 1.40 | (0.69 | ) | 1.67 | 82 | |||||||||||||||||||
| 14.56 | 0.00 | 83 | 1.22 | (0.31 | ) | 1.94 | 96 | |||||||||||||||||||
| 24.97 | 42.93 | 1,031,463 | 0.93 | (0.13 | ) | 1.10 | 79 | |||||||||||||||||||
| 17.47 | 19.90 | 685,843 | 0.93 | (0.22 | ) | 1.17 | 82 | |||||||||||||||||||
| 14.57 | (30.74 | )(f) | 631,380 | 0.98 | (0.23 | ) | 1.30 | 96 | ||||||||||||||||||
| 21.68 | (3.02 | )(g) | 539,292 | 0.99 | (0.49 | ) | 1.13 | 95 | ||||||||||||||||||
| 26.10 | 18.95 | 740,208 | 0.99 | (0.48 | ) | 1.11 | 119 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 77 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 18.91 | $ | 0.18 | (e) | $ | 5.85 | (h) | $ | 6.03 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | ||||||||||
Year Ended June 30, 2010 | 15.24 | 0.19 | (e) | 3.48 | 3.67 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.91 | 0.28 | (e) | (5.92 | ) | (5.64 | ) | (0.34 | ) | (0.69 | ) | (1.03 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.71 | 0.16 | (3.78 | ) | (3.62 | ) | (0.12 | ) | (2.06 | ) | (2.18 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 24.73 | 0.17 | 4.21 | 4.38 | (0.25 | ) | (1.15 | ) | (1.40 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.38 | 0.07 | (e) | 5.69 | (h) | 5.76 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 14.89 | 0.10 | (e) | 3.39 | 3.49 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.39 | 0.20 | (e) | (5.79 | ) | (5.59 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.11 | 0.03 | (3.69 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | |||||||||||||||||
Year Ended June 30, 2007 | 24.21 | 0.05 | 4.12 | 4.17 | (0.12 | ) | (1.15 | ) | (1.27 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.44 | 0.07 | (e) | 5.69 | (h) | 5.76 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 14.94 | 0.10 | (e) | 3.40 | 3.50 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.45 | 0.20 | (e) | (5.80 | ) | (5.60 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.17 | 0.04 | (3.70 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | |||||||||||||||||
Year Ended June 30, 2007 | 24.26 | 0.05 | 4.13 | 4.18 | (0.12 | ) | (1.15 | ) | (1.27 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.63 | 0.12 | (e) | 5.76 | (h) | 5.88 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 15.06 | 0.15 | (e) | 3.42 | 3.57 | — | — | — | ||||||||||||||||||||
November 3, 2008 (g) through June 30, 2009 | 16.34 | 0.20 | (e) | (0.30 | ) | (0.10 | ) | (0.49 | ) | (0.69 | ) | (1.18 | ) | |||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 19.22 | 0.30 | (e) | 5.95 | (h) | 6.25 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 15.43 | 0.29 | (e) | 3.52 | 3.81 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.31 | 0.38 | (e) | (6.06 | ) | (5.68 | ) | (0.51 | ) | (0.69 | ) | (1.20 | ) | |||||||||||||||
Year Ended June 30, 2008 | 28.17 | 0.31 | (3.85 | ) | (3.54 | ) | (0.26 | ) | (2.06 | ) | (2.32 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 25.10 | 0.30 | 4.29 | 4.59 | (0.37 | ) | (1.15 | ) | (1.52 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 19.07 | 0.24 | (e) | 5.90 | (h) | 6.14 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 15.34 | 0.24 | (e) | 3.49 | 3.73 | — | (f) | — | — | (f) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.14 | 0.34 | (e) | (6.01 | ) | (5.67 | ) | (0.44 | ) | (0.69 | ) | (1.13 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.96 | 0.27 | (3.85 | ) | (3.58 | ) | (0.18 | ) | (2.06 | ) | (2.24 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 24.93 | 0.27 | 4.22 | 4.49 | (0.31 | ) | (1.15 | ) | (1.46 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of offering of class of shares. |
| (h) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b)(c) | end of period (000’s) | Net expenses (d) | Net income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 24.76 | 31.96 | %(h) | $ | 1,979,270 | 1.23 | % | 0.81 | % | 1.39 | % | 41 | % | |||||||||||||
| 18.91 | 24.08 | 1,705,572 | 1.23 | 1.04 | 1.40 | 34 | ||||||||||||||||||||
| 15.24 | (25.49 | ) | 1,600,044 | 1.25 | 1.71 | 1.42 | 47 | |||||||||||||||||||
| 21.91 | (13.70 | ) | 2,661,377 | 1.25 | 0.66 | 1.42 | 31 | |||||||||||||||||||
| 27.71 | 18.21 | 3,822,632 | 1.25 | 0.71 | 1.35 | 45 | ||||||||||||||||||||
| 24.10 | 31.33 | (h) | 90,427 | 1.74 | 0.30 | 1.89 | 41 | |||||||||||||||||||
| 18.38 | 23.44 | 96,966 | 1.74 | 0.53 | 1.90 | 34 | ||||||||||||||||||||
| 14.89 | (25.89 | ) | 108,114 | 1.75 | 1.21 | 1.92 | 47 | |||||||||||||||||||
| 21.39 | (14.14 | ) | 163,091 | 1.75 | 0.15 | 1.92 | 31 | |||||||||||||||||||
| 27.11 | 17.65 | 237,745 | 1.75 | 0.20 | 1.85 | 45 | ||||||||||||||||||||
| 24.13 | 31.29 | (h) | 373,415 | 1.74 | 0.30 | 1.89 | 41 | |||||||||||||||||||
| 18.44 | 23.43 | 309,513 | 1.74 | 0.53 | 1.90 | 34 | ||||||||||||||||||||
| 14.94 | (25.88 | ) | 299,956 | 1.75 | 1.20 | 1.92 | 47 | |||||||||||||||||||
| 21.45 | (14.11 | ) | 523,722 | 1.75 | 0.14 | 1.92 | 31 | |||||||||||||||||||
| 27.17 | 17.64 | 818,261 | 1.75 | 0.20 | 1.85 | 45 | ||||||||||||||||||||
| 24.27 | 31.66 | (h) | 6,500 | 1.49 | 0.50 | 1.65 | 41 | |||||||||||||||||||
| 18.63 | 23.71 | 1,441 | 1.49 | 0.77 | 1.65 | 34 | ||||||||||||||||||||
| 15.06 | (0.24 | ) | 294 | 1.50 | 2.12 | 1.69 | 47 | |||||||||||||||||||
| 25.19 | 32.66 | (h) | 2,812,296 | 0.74 | 1.29 | 0.99 | 41 | |||||||||||||||||||
| 19.22 | 24.68 | 1,913,930 | 0.74 | 1.52 | 1.00 | 34 | ||||||||||||||||||||
| 15.43 | (25.15 | ) | 1,424,004 | 0.75 | 2.26 | 1.02 | 47 | |||||||||||||||||||
| 22.31 | (13.25 | ) | 1,777,057 | 0.75 | 1.16 | 1.02 | 31 | |||||||||||||||||||
| 28.17 | 18.82 | 2,566,230 | 0.75 | 1.21 | 0.95 | 45 | ||||||||||||||||||||
| 24.97 | 32.29 | (h) | 1,513,926 | 0.98 | 1.05 | 1.14 | 41 | |||||||||||||||||||
| 19.07 | 24.35 | 1,061,308 | 0.98 | 1.29 | 1.15 | 34 | ||||||||||||||||||||
| 15.34 | (25.31 | ) | 766,965 | 1.00 | 2.05 | 1.18 | 47 | |||||||||||||||||||
| 22.14 | (13.46 | ) | 721,777 | 1.00 | 0.90 | 1.16 | 31 | |||||||||||||||||||
| 27.96 | 18.49 | 1,183,839 | 1.00 | 0.95 | 1.10 | 45 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 79 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Return of capital | Total distributions | ||||||||||||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 9.71 | $ | (0.16 | )(d) | $ | 0.26 | $ | 0.10 | $ | — | $ | — | $ | — | |||||||||||||
Year Ended June 30, 2010 | 10.21 | (0.17 | )(d) | (0.33 | ) | (0.50 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.23 | (0.08 | )(d) | 0.06 | (0.02 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.24 | 0.28 | (d) | (0.74 | ) | (0.46 | ) | (0.54 | ) | (0.01 | ) | (0.55 | ) | |||||||||||||||
Year Ended June 30, 2007 | 10.98 | 0.37 | 0.20 | 0.57 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.44 | (0.23 | )(d) | 0.26 | 0.03 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.01 | (0.23 | )(d) | (0.34 | ) | (0.57 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.10 | (0.15 | )(d) | 0.06 | (0.09 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.17 | (d) | (0.70 | ) | (0.53 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | |||||||||||||||
Year Ended June 30, 2007 | 10.80 | 0.29 | 0.20 | 0.49 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.46 | (0.23 | )(d) | 0.25 | 0.02 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.02 | (0.23 | )(d) | (0.33 | ) | (0.56 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.12 | (0.15 | )(d) | 0.05 | (0.10 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.19 | (d) | (0.71 | ) | (0.52 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | |||||||||||||||
Year Ended June 30, 2007 | 10.80 | �� | 0.29 | 0.20 | 0.49 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.79 | (0.14 | )(d) | 0.26 | 0.12 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.27 | (0.14 | )(d) | (0.34 | ) | (0.48 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.27 | (0.05 | )(d) | 0.05 | — | (e) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.31 | 0.30 | (d) | (0.73 | ) | (0.43 | ) | (0.60 | ) | (0.01 | ) | (0.61 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.04 | 0.36 | 0.25 | 0.61 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Commencing on June 30, 2009, the Fund presented portfolio turnover in two ways, one including short sales and the other excluding short sales. For periods prior to June 30, 2009, the Fund's portfolio turnover calculation excluded short sales. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (b) | Net expenses (excluding dividend and interest expense for securities sold short) (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) | Expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) | Portfolio short sales) (c) | Portfolio turnover rate (including | |||||||||||||||||||||||||||||
| $ | 9.81 | 1.03 | % | $ | 29,216 | 2.92 | % | 1.49 | % | (1.65 | )% | 3.38 | % | 1.95 | % | 145 | % | 339 | % | |||||||||||||||||||
| 9.71 | (4.90 | ) | 94,549 | 2.94 | 1.49 | (1.65 | ) | 3.39 | 1.94 | 146 | 348 | |||||||||||||||||||||||||||
| 10.21 | (0.20 | ) | 67,884 | 2.84 | 1.50 | (0.79 | ) | 3.29 | 1.95 | 175 | 350 | |||||||||||||||||||||||||||
| 10.23 | (4.00 | ) | 77,838 | 2.52 | 1.51 | 2.62 | 2.94 | 1.93 | 116 | — | ||||||||||||||||||||||||||||
| 11.24 | 5.27 | 204,059 | 2.69 | 1.50 | 3.32 | 3.10 | 1.91 | 96 | — | |||||||||||||||||||||||||||||
| 9.47 | 0.32 | 3,484 | 3.67 | 2.24 | (2.47 | ) | 3.88 | 2.45 | 145 | 339 | ||||||||||||||||||||||||||||
| 9.44 | (5.69 | ) | 7,849 | 3.69 | 2.24 | (2.39 | ) | 3.89 | 2.44 | 146 | 348 | |||||||||||||||||||||||||||
| 10.01 | (0.89 | ) | 12,766 | 3.59 | 2.25 | (1.55 | ) | 3.79 | 2.45 | 175 | 350 | |||||||||||||||||||||||||||
| 10.10 | (4.77 | ) | 16,402 | 3.28 | 2.26 | 1.66 | 3.45 | 2.43 | 116 | — | ||||||||||||||||||||||||||||
| 11.07 | 4.56 | 24,974 | 3.44 | 2.25 | 2.60 | 3.60 | 2.41 | 96 | — | |||||||||||||||||||||||||||||
| 9.48 | 0.21 | 22,094 | 3.67 | 2.24 | (2.46 | ) | 3.88 | 2.45 | 145 | 339 | ||||||||||||||||||||||||||||
| 9.46 | (5.59 | ) | 39,610 | 3.70 | 2.24 | (2.39 | ) | 3.89 | 2.44 | 146 | 348 | |||||||||||||||||||||||||||
| 10.02 | (0.99 | ) | 61,467 | 3.59 | 2.25 | (1.54 | ) | 3.79 | 2.45 | 175 | 350 | |||||||||||||||||||||||||||
| 10.12 | (4.71 | ) | 90,603 | 3.28 | 2.26 | 1.79 | 3.45 | 2.43 | 116 | — | ||||||||||||||||||||||||||||
| 11.07 | 4.56 | 187,546 | 3.44 | 2.25 | 2.60 | 3.60 | 2.41 | 96 | — | |||||||||||||||||||||||||||||
| 9.91 | 1.23 | 491,653 | 2.67 | 1.24 | (1.39 | ) | 3.13 | 1.70 | 145 | 339 | ||||||||||||||||||||||||||||
| 9.79 | (4.67 | ) | 433,539 | 2.70 | 1.24 | (1.39 | ) | 3.15 | 1.69 | 146 | 348 | |||||||||||||||||||||||||||
| 10.27 | 0.00 | 528,478 | 2.59 | 1.25 | (0.45 | ) | 3.04 | 1.70 | 175 | 350 | ||||||||||||||||||||||||||||
| 10.27 | (3.73 | ) | 933,631 | 2.27 | 1.25 | 2.79 | 2.69 | 1.67 | 116 | — | ||||||||||||||||||||||||||||
| 11.31 | 5.59 | 1,852,145 | 2.44 | 1.25 | 3.55 | 2.85 | 1.66 | 96 | — | |||||||||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 81 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 15.22 | $ | 0.23 | (c) | $ | 3.79 | $ | 4.02 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | |||||||||||
Year Ended June 30, 2010 | 12.01 | 0.23 | (c) | 3.17 | 3.40 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.38 | 0.30 | (c) | (4.40 | ) | (4.10 | ) | (0.20 | ) | (0.07 | ) | (0.27 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.45 | 0.35 | (3.19 | ) | (2.84 | ) | (0.24 | ) | (0.99 | ) | (1.23 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 17.17 | 0.26 | (c) | 3.42 | 3.68 | (0.12 | ) | (0.28 | ) | (0.40 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.17 | 0.14 | (c) | 3.77 | 3.91 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.97 | 0.15 | (c) | 3.17 | 3.32 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.25 | 0.23 | (c) | (4.34 | ) | (4.11 | ) | (0.10 | ) | (0.07 | ) | (0.17 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.31 | 0.26 | (3.18 | ) | (2.92 | ) | (0.15 | ) | (0.99 | ) | (1.14 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 17.10 | 0.17 | (c) | 3.38 | 3.55 | (0.06 | ) | (0.28 | ) | (0.34 | ) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.24 | 0.32 | (c) | 3.79 | 4.11 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.31 | (c) | 3.18 | 3.49 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.40 | 0.37 | (c) | (4.42 | ) | (4.05 | ) | (0.27 | ) | (0.07 | ) | (0.34 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.47 | 0.44 | (3.19 | ) | (2.75 | ) | (0.33 | ) | (0.99 | ) | (1.32 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 17.16 | 0.39 | (c) | 3.38 | 3.77 | (0.18 | ) | (0.28 | ) | (0.46 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.27 | 0.28 | (c) | 3.79 | 4.07 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.04 | 0.27 | (c) | 3.19 | 3.46 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.44 | 0.34 | (c) | (4.42 | ) | (4.08 | ) | (0.25 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.52 | 0.37 | (3.17 | ) | (2.80 | ) | (0.29 | ) | (0.99 | ) | (1.28 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 17.22 | 0.31 | (c) | 3.43 | 3.74 | (0.16 | ) | (0.28 | ) | (0.44 | ) | |||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 19.07 | 26.45 | % | $ | 232,103 | 1.24 | % | 1.28 | % | 1.34 | % | 33 | % | |||||||||||||
| 15.22 | 28.35 | 150,081 | 1.24 | 1.52 | 1.38 | 45 | ||||||||||||||||||||
| 12.01 | (24.82 | ) | 112,739 | 1.25 | 2.45 | 1.50 | 70 | |||||||||||||||||||
| 16.38 | (14.42 | ) | 152,696 | 1.25 | 1.87 | 1.43 | 103 | |||||||||||||||||||
| 20.45 | 21.58 | 201,151 | 1.25 | 1.36 | 1.41 | 77 | ||||||||||||||||||||
| 19.01 | 25.82 | 131,743 | 1.74 | 0.78 | 1.84 | 33 | ||||||||||||||||||||
| 15.17 | 27.72 | 108,165 | 1.74 | 1.01 | 1.88 | 45 | ||||||||||||||||||||
| 11.97 | (25.19 | ) | 97,723 | 1.75 | 1.86 | 1.99 | 70 | |||||||||||||||||||
| 16.25 | (14.86 | ) | 182,093 | 1.75 | 1.36 | 1.93 | 103 | |||||||||||||||||||
| 20.31 | 20.93 | 247,794 | 1.75 | 0.87 | 1.91 | 77 | ||||||||||||||||||||
| 19.11 | 27.06 | 284,433 | 0.74 | 1.79 | 0.94 | 33 | ||||||||||||||||||||
| 15.24 | 29.03 | 156,531 | 0.74 | 2.04 | 0.98 | 45 | ||||||||||||||||||||
| 12.01 | (24.41 | ) | 70,825 | 0.75 | 3.11 | 1.15 | 70 | |||||||||||||||||||
| 16.40 | (13.97 | ) | 19,872 | 0.75 | 2.37 | 1.03 | 103 | |||||||||||||||||||
| 20.47 | 22.16 | 24,710 | 0.75 | 1.97 | 1.00 | 77 | ||||||||||||||||||||
| 19.12 | 26.75 | 270,562 | 0.99 | 1.53 | 1.09 | 33 | ||||||||||||||||||||
| 15.27 | 28.70 | 71,209 | 0.99 | 1.77 | 1.13 | 45 | ||||||||||||||||||||
| 12.04 | (24.62 | ) | 51,000 | 1.00 | 2.75 | 1.25 | 70 | |||||||||||||||||||
| 16.44 | (14.19 | ) | 49,262 | 1.00 | 2.18 | 1.18 | 103 | |||||||||||||||||||
| 20.52 | 21.89 | 36,884 | 1.00 | 1.62 | 1.16 | 77 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 83 | ||||||
Table of Contents
AS OF JUNE 30, 2011
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trusts dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), an open-end management investment company, was organized as a Massachusetts business trust on September 23, 1997.
J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.
The following are 7 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Growth Advantage Fund | Class A, Class B, Class C, Class R5 and Select Class | JPMMFIT | Diversified | |||
| Mid Cap Core Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM I | Diversified | |||
| Mid Cap Equity Fund | Class A, Class C, and Select Class | JPM I | Diversified | |||
| Mid Cap Growth Fund | Class A, Class B, Class C, Class R2, and Select Class | JPM II | Diversified | |||
| Mid Cap Value Fund | Class A, Class B, Class C, Class R2, Institutional Class and Select Class | JPMFMFG | Diversified | |||
| Multi-Cap Market Neutral Fund | Class A, Class B, Class C, and Select Class | JPM II | Diversified | |||
| Value Advantage Fund | Class A, Class C, Institutional Class and Select Class | JPM I | Diversified |
Class A and Class C Shares commenced operations on November 2, 2009 for the Mid Cap Equity Fund.
The Mid Cap Core Fund commenced operations on November 30, 2010.
Class R6 Shares commenced operations on January 31, 2011 for the Mid Cap Core Fund.
Effective November 1, 2009, Class B Shares of the Growth Advantage Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B shares until they automatically convert to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Select Class and Institutional Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine
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the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. 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. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following tables represent each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Growth Advantage Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities # | $ | 1,256,047 | $ | — | $ | — | $ | 1,256,047 | ||||||||
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Mid Cap Core Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities # | $ | 91,760 | $ | — | $ | — | $ | 91,760 | ||||||||
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Mid Cap Equity Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities # | $ | 588,082 | $ | — | $ | — | $ | 588,082 | ||||||||
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Mid Cap Growth Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities # | $ | 1,764,094 | $ | — | $ | — | $ | 1,764,094 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 173 | $ | — | $ | — | $ | 173 | ||||||||
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Mid Cap Value Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities # | $ | 6,800,214 | $ | — | $ | — | $ | 6,800,214 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Multi-Cap Market Neutral Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities # | $ | 568,105 | $ | — | $ | — | $ | 568,105 | ||||||||
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Liabilities in Securities Sold Short # | $ | (532,696 | ) | $ | — | $ | — | $ | (532,696 | ) | ||||||
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Value Advantage Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Total Investments in Securities ## | $ | 910,686 | $ | 13,520 | $ | — | $ | 924,206 | ||||||||
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| # | All portfolio holdings designated as Level 1 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ## | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of ADRs, the reported values of which are an evaluated price. Please refer to the SOI for industry specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the period ended June 30, 2011.
B. Short Sales — The Multi-Cap Market Neutral Fund engages in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund must purchase the same securities at the current market price and deliver them to the broker.
The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the SOI. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security) and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. The net income or fee amount is included as interest income or interest expense on securities sold short, respectively, in the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on record date. Dividends on short positions are recorded on the Statements of Operations as dividend expense on ex-dividend date.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations. Short sale transactions may result in unlimited losses as the short position loses value and the securities’ price increases. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the security declines between those dates.
As of June 30, 2011, the Fund had outstanding short sales as listed on its SOI.
C. Futures Contracts — The Mid Cap Core Fund and Mid Cap Growth Fund use index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds buy futures contracts to immediately invest incoming cash in the market or sell futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Funds to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the 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 unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The 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 Statements of Assets and Liabilities, up to the
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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 unfavorable positions.
The table below discloses the volume of the Funds’ futures activities during the period ended June 30, 2011:
Mid Cap Core Fund | Mid Cap Growth Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 1,247 | (a) | $ | 52,340 | (b) | ||
Ending Notional Balance Long | $ | — | $ | 52,340 | ||||
| (a) | For the period March 1, 2011 through March 31, 2011 |
| (b) | For the period June 1, 2011 through June 30, 2011. |
D. Securities Lending — Each Fund (except Mid Cap Core Fund, Multi-Cap Market Neutral Fund and Value Advantage Fund) may lend securities to brokers approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for the Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund and Mid Cap Value Fund pursuant to a Securities Lending Agreement (the “GS Bank Securities Lending Agreement”). Prior to March 1, 2011, JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, served as lending agent for Mid Cap Growth Fund and Mid Cap Value Fund pursuant to a Securities Lending Agreement (the “JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the period ended June 30, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands).
Growth Advantage Fund | $ | 131 | ||
Mid Cap Equity Fund | 54 | |||
Mid Cap Growth Fund | 61 | |||
Mid Cap Value Fund | 96 |
Under the GS Bank Securities Lending Agreement, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GS Bank Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities. Under the JPMCB Securities Lending Agreement, at the inception of a loan, securities were exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement required that the loaned securities be marked to market on a daily basis and additional cash collateral was requested from borrowers when the cash received from borrowers became less than 102% and 105% of the value of loaned U.S. dollar denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Investments | ||||||||||
Growth Advantage Fund | $ | 38,658 | $ | 39,434 | $ | 39,434 | ||||||
Mid Cap Equity Fund | 17,421 | 17,693 | * | 17,693 | ||||||||
Mid Cap Growth Fund | 70,219 | 70,726 | * | 70,726 | ||||||||
Mid Cap Value Fund | 35,750 | 36,367 | * | 36,367 | ||||||||
| * | Subsequent to June 30, 2011, additional collateral was received from borrowers. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GS Bank and JPMCB each have agreed to indemnify the Funds, under their respective agreements, from losses resulting from a borrower’s failure to return a loaned security, as applicable.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands).
Growth Advantage Fund | $ | 74 | ||
Mid Cap Equity Fund | 31 | |||
Mid Cap Growth Fund | 36 | |||
Mid Cap Value Fund | 59 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the JPMCB Securities Lending Agreement, JPMCB was entitled to a fee paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the period ended June 30, 2011 (amounts in thousands):
| Lending Agent Fees Incurred | ||||
Mid Cap Growth Fund | $ | 9 | ||
Mid Cap Value Fund | 13 | |||
E. Offering and Organization Costs — Offering costs (Registration and filing fees) paid in connection with the offering of shares of the Mid Cap Core Fund are amortized up to 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Fund were recorded as an expense at the time they commenced operations and are included as part of Professional fees on the Statements of Operations.
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 adjusted for amortization of premiums and accretion of discounts. Dividend income and expense on securities sold short less foreign taxes withheld, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
G. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
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 gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
I. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid annually, except for the Mid Cap Equity, Mid Cap Growth and Multi-Cap Market Neutral Funds, which are declared and paid quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized
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capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on | ||||||||||
Growth Advantage Fund | $ | (3,266 | ) | $ | 2,627 | $ | 639 | |||||
Mid Cap Core Fund | (1 | ) | 1 | — | ||||||||
Mid Cap Equity Fund | — | (270 | ) | 270 | ||||||||
Mid Cap Growth Fund | (6,191 | ) | 4,473 | 1,718 | ||||||||
Mid Cap Value Fund | — | (1,853 | ) | 1,853 | ||||||||
Multi-Cap Market Neutral Fund | (8,597 | ) | 8,614 | (17 | ) | |||||||
Value Advantage Fund | 14,316 | 372 | (14,688 | ) | ||||||||
The reclassifications for the Funds relate primarily to investments in partnerships (Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund and Value Advantage Fund), net operating loss (Growth Advantage Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund), non-taxable special dividends (Mid Cap Equity Fund and Mid Cap Value Fund), redemptions in-kind (Value Advantage Fund) and nondeductible 12b-1 fees in the initial years of operations (Mid Cap Core Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
Growth Advantage Fund | 0.65 | % | ||
Mid Cap Core Fund | 0.65 | |||
Mid Cap Equity Fund | 0.65 | |||
Mid Cap Growth Fund | 0.65 | |||
Mid Cap Value Fund | 0.65 | |||
Multi-Cap Market Neutral Fund | 1.25 | |||
Value Advantage Fund | 0.65 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the period ended June 30, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | |||||||||||||
Growth Advantage Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||
Mid Cap Core Fund | 0.25 | n/a | 0.75 | 0.50 | % | |||||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
Mid Cap Growth Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Mid Cap Value Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.75 | 0.75 | n/a | ||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the period ended June 30, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 27 | $ | 11 | ||||
Mid Cap Core Fund | — | (a) | — | (a) | ||||
Mid Cap Equity Fund | 3 | — | (a) | |||||
Mid Cap Growth Fund | 19 | 17 | ||||||
Mid Cap Value Fund | 89 | 46 | ||||||
Multi-Cap Market Neutral Fund | 3 | 6 | ||||||
Value Advantage Fund | 32 | 5 | ||||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Institutional Class | Select Class | ||||||||||||||||||||||
Growth Advantage Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||
Mid Cap Core Fund | 0.25 | n/a | 0.25 | 0.25 | % | 0.05 | n/a | 0.25 | ||||||||||||||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Mid Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.25 | n/a | n/a | 0.25 | |||||||||||||||||||||
Mid Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | ||||||||||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | 0.25 | |||||||||||||||||||||
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
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F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend and interest expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||||||||||||||||||
Growth Advantage Fund | 1.25 | % | 1.75 | % | 1.75 | % | n/a | 0.90 | % | n/a | n/a | 1.10 | % | |||||||||||||||||||
Mid Cap Core Fund | 1.25 | n/a | 1.75 | 1.50 | % | 0.80 | 0.75 | % | n/a | 1.00 | ||||||||||||||||||||||
Mid Cap Equity Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | n/a | 0.90 | ||||||||||||||||||||||||
Mid Cap Growth Fund | 1.24 | 1.77 | 1.77 | 1.40 | n/a | n/a | n/a | 0.93 | ||||||||||||||||||||||||
Mid Cap Value Fund | 1.24 | 1.75 | 1.75 | 1.50 | n/a | n/a | 0.75 | % | 0.99 | |||||||||||||||||||||||
Multi-Cap Market Neutral Fund | 1.75 | 2.50 | 2.50 | n/a | n/a | n/a | n/a | 1.50 | ||||||||||||||||||||||||
Value Advantage Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | 0.75 | 1.00 | ||||||||||||||||||||||||
The contractual expense limitation agreements were in effect for the period ended June 30, 2011. The contractual expense limitation percentages in the table above are in place until at least October 31, 2011 for all Funds except Mid Cap Core Fund. For Mid Cap Core Fund, the contractual expense limitation percentages in the table above are in place until at least November 30, 2011 for Class A, Class C, Class R2, Class R5 and Select Class Shares and are in place until at least January 31, 2012 for Class R6 Shares. In addition, the Funds’ service providers have voluntarily waived fees during the period ended June 30, 2011. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
Prior to September 1, 2010, the contractual expense limitations for Class A, Class B and Class C Shares of the Growth Advantage Fund were 1.35%, 2.05% and 2.05% respectively.
Prior to November 1, 2010, the contractual expense limitation for Select Class Shares of the Mid Cap Equity Fund was 1.00%.
For the period ended June 30, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | Reimbursements | |||||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||||||
Growth Advantage Fund | $ | — | $ | — | $ | 93 | $ | 93 | $ | — | ||||||||||
Mid Cap Core Fund | 71 | 10 | — | 81 | 203 | |||||||||||||||
Mid Cap Equity Fund | 279 | 274 | 1,101 | 1,654 | — | |||||||||||||||
Mid Cap Growth Fund | — | 520 | 1,867 | 2,387 | — | |||||||||||||||
Mid Cap Value Fund | 3,862 | 5,000 | 2,740 | 11,602 | — | |||||||||||||||
Multi-Cap Market Neutral Fund | 1 | — | 1,095 | 1,096 | — | |||||||||||||||
Value Advantage Fund | 128 | 544 | 235 | 907 | — | |||||||||||||||
| Voluntary Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Multi-Cap Market Neutral Fund | $ | 968 | $ | 200 | $ | 251 | $ | 1,419 | ||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisors, Administrator and the Distributor as shareholder servicing agent waive an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in the money market funds for the period ended June 30, 2011 were as follows (excluding the waiver disclosed in Note 2.C. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Growth Advantage Fund | $ | 40 | ||
Mid Cap Equity Fund | 29 | |||
Mid Cap Growth Fund | 43 | |||
Mid Cap Value Fund | 336 | |||
Multi-Cap Market Neutral Fund | 70 | |||
Value Advantage Fund | 61 |
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the period ended June 30, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with Advisors.
The Funds may use related party broker/dealers. For the period ended June 30, 2011, the Funds did not incur any brokerage commissions with brokers/dealers affiliated with the Advisors.
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.
An Affiliate of JPMCB made a payment to the Mid Cap Value Fund in the amount of approximately $31,000 relating to an operational error.
4. Investment Transactions
During the period ended June 30, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Growth Advantage Fund | $ | 1,035,282 | $ | 885,525 | $ | — | $ | — | ||||||||
Mid Cap Core Fund | 90,770 | 3,057 | — | — | ||||||||||||
Mid Cap Equity Fund | 390,634 | 402,036 | — | — | ||||||||||||
Mid Cap Growth Fund | 1,235,596 | 1,388,274 | — | — | ||||||||||||
Mid Cap Value Fund | 2,424,872 | 2,417,753 | — | — | ||||||||||||
Multi-Cap Market Neutral Fund | 773,209 | 911,442 | 904,957 | 1,032,160 | ||||||||||||
Value Advantage Fund | 513,617 | 236,675 | — | — | ||||||||||||
During the period ended June 30, 2011, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 1,019,140 | $ | 249,507 | $ | 12,600 | $ | 236,907 | ||||||||
Mid Cap Core Fund | 91,378 | 1,779 | 1,397 | 382 | ||||||||||||
Mid Cap Equity Fund | 473,761 | 117,054 | 2,733 | 114,321 | ||||||||||||
Mid Cap Growth Fund | 1,357,642 | 418,560 | 12,108 | 406,452 | ||||||||||||
Mid Cap Value Fund | 5,291,485 | 1,601,287 | 92,558 | 1,508,729 | ||||||||||||
Multi-Cap Market Neutral Fund | 484,742 | 91,532 | 8,169 | 83,363 | ||||||||||||
Value Advantage Fund | 790,045 | 140,800 | 6,639 | 134,161 | ||||||||||||
For all of the Funds, the difference between the book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and partnership basis outstanding (Value Advantage Fund).
The tax character of distributions paid during the fiscal period ended June 30, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From: | Total Distributions Paid | |||||||||||
| Ordinary Income | Net Long Term Capital Gains | |||||||||||
Mid Cap Core Fund | $ | 1 | $ | — | $ | 1 | ||||||
Mid Cap Equity Fund | 1,989 | — | 1,989 | |||||||||
Mid Cap Value Fund | 60,163 | — | 60,163 | |||||||||
Value Advantage Fund | 8,184 | — | 8,184 | |||||||||
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The tax character of distributions paid during the fiscal year ended June 30, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From: | Total Distributions Paid | |||||||||||
| Ordinary Income | Net Long Term Capital Gains | |||||||||||
Mid Cap Equity Fund | $ | 1,930 | $ | — | $ | 1,930 | ||||||
Mid Cap Value Fund | 1,948 | — | 1,948 | |||||||||
Value Advantage Fund | 5,629 | — | 5,629 | |||||||||
At June 30, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Long-Term Capital Gain or (Tax Basis Capital | Unrealized Appreciation (Depreciation) | ||||||||||
Growth Advantage Fund | $ | — | $ | (47,838 | ) | $ | 236,907 | |||||
Mid Cap Core Fund | 135 | 2 | 382 | |||||||||
Mid Cap Equity Fund | 183 | (8,310 | ) | 114,321 | ||||||||
Mid Cap Growth Fund | — | 134,277 | 406,452 | |||||||||
Mid Cap Value Fund | 60,235 | (332,540 | ) | 1,508,729 | ||||||||
Multi-Cap Market Neutral Fund | — | (98,936 | ) | 57,638 | ||||||||
Value Advantage Fund | 6,285 | (53,759 | ) | 134,161 | ||||||||
For the Funds, the cumulative timing differences primarily consist of trustee deferred compensation (Growth Advantage Fund, Mid Cap Core Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund), post-October loss deferrals (Growth Advantage Fund and Mid Cap Growth Fund), distributions payable (Mid Cap Equity Fund), partnership basis outstanding (Value Advantage), loss deferrals on unsettled short sales (Multi-Cap Market Neutral), limitations on capital loss carry forwards acquired in a merger (Mid Cap Growth Fund) and wash sale loss deferrals.
As of June 30, 2011, the Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2015 | 2016 | 2017 | 2018 | Total | ||||||||||||||||
Growth Advantage Fund | $ | — | $ | — | $ | — | $ | 47,838 | $ | 47,838 | ||||||||||
Mid Cap Equity Fund | — | — | — | 8,310 | 8,310 | |||||||||||||||
Mid Cap Value Fund | — | 1,151 | 14,176 | 317,213 | 332,540 | * | ||||||||||||||
Multi-Cap Market Neutral Fund | 1,901 | 97,035 | — | — | 98,936 | |||||||||||||||
Value Advantage Fund | — | — | — | 53,759 | 53,759 | |||||||||||||||
During the period ended June 30, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Growth Advantage Fund | $ | 77,942 | ||
Mid Cap Equity Fund | 24,453 | |||
Mid Cap Growth Fund | 119,160 | |||
Mid Cap Value Fund | 251,037 | |||
Multi-Cap Market Neutral Fund | 462 | |||
Value Advantage Fund | 24,523 |
During the period ended June 30, 2011, the following Funds had capital loss carryforwards disallowed (amounts in thousands):
Mid Cap Growth Fund | $ | 89,945 | * |
Net Capital losses and currency losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the period ended June 30, 2011, the Funds deferred to July 1, 2011 post October capital losses of:
| Capital Losses | Currency Losses | |||||||
Growth Advantage Fund | $ | — | $ | 25 | ||||
Mid Cap Equity Fund | — | 5 | ||||||
Mid Cap Growth Fund | — | 40 | ||||||
| * | Amounts include capital loss carry forwards from business combinations, which may be limited in future years under Internal Revenue Code Sections 381-384. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (“the Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to this Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2011. Average borrowings from the Facility for the period ended June 30, 2011, were as follows (amounts in thousands):
Average Borrowings | Number of Days Used | Interest Paid | ||||||||||
Growth Advantage Fund | $ | 13,659 | 3 | $ | — | (a) | ||||||
| (a) | Amount rounds to less than $1,000. |
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Growth Advantage Fund, Mid Cap Core Fund and Mid Cap Equity Fund. Additionally, the Advisor owns a significant portion of the outstanding shares of Mid Cap Core Fund.
In addition, the JPMorgan Investor Funds, JPMorgan Access Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, own, in the aggregate more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Investor Funds | J.P. Morgan Access Funds | JPMorgan SmartRetirement Funds | ||||||||||
Growth Advantage Fund | N/A | N/A | 14.1 | % | ||||||||
Mid Cap Core Fund | N/A | 25.2 | % | N/A | ||||||||
Multi-Cap Market Neutral Fund | 75.7 | % | N/A | N/A | ||||||||
Value Advantage Fund | N/A | N/A | 18.2 | |||||||||
Significant shareholder transactions, if any, may impact the Funds’ performance.
As of June 30, 2011, the Multi-Cap Market Neutral Fund pledged substantially all of its assets for securities sold short to Credit Suisse Group, who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain
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funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
9. Transfers-In-Kind
Pursuant to procedures approved by the Board of Trustees, on May 24, 2010, certain shareholders of the Mid Cap Value Fund redeemed Institutional Class Shares and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities.
| Value (000’s) | Realized Gains/(Losses) (000’s) | Type | ||||||||||
Institutional Class | $ | 47,173 | $ | (7,817 | ) | Redemption-In-Kind | ||||||
Pursuant to procedures approved by the Board of Trustees, on March 29, 2011, an affiliate of the Value Advantage Fund redeemed Institutional Class Shares and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities.
| Value (000’s) | Realized Gains/(Losses) (000’s) | Type | ||||||||||
Institutional Class | $ | 41,498 | $ | 14,315 | Redemption-In-Kind | |||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of J.P. Morgan Mutual Fund Investment Trust, J.P. Morgan Fleming Mutual Fund Group, Inc., JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Growth Advantage Fund, JPMorgan Mid Cap Core Fund, JPMorgan Mid Cap Equity Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Mid Cap Value Fund, JPMorgan Multi-Cap Market Neutral Fund and JPMorgan Value Advantage Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Mid Cap Equity Fund, JPMorgan Value Advantage Fund (each a separate fund of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund (each a separate fund of JPMorgan Trust II), JPMorgan Growth Advantage Fund (a separate fund of J.P. Morgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (a separate fund of J.P. Morgan Fleming Mutual Fund Group, Inc.) at June 30, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, and the financial position of JPMorgan Mid Cap Core Fund (a separate fund of JPMorgan Trust I)(hereafter collectively referred to as the “Funds”) at June 30, 2011, the results of its operations, the changes in its net assets and the financial highlights for the period November 30, 2010 (commencement of operations) through June 30, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2011
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 149 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 149 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 149 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 149 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 149 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 149 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 149 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 149 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 149 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 149 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 149 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 149 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 149 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (149 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 98 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Carmine Lekstutis (1980) Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 99 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, January 1, 2011, and continued to hold your shares at the end of the reporting period, June 30, 2011.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011 | Annualized Expense Ratio | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,064.20 | $ | 6.40 | 1.25 | % | ||||||||
Hypothetical* | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,061.70 | 8.95 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,061.70 | 8.95 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,066.70 | 4.41 | 0.86 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.53 | 4.31 | 0.86 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,064.60 | 5.43 | 1.06 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.54 | 5.31 | 1.06 | ||||||||||||
Mid Cap Core Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,082.50 | 6.45 | 1.25 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,080.00 | 9.03 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,081.20 | 7.74 | 1.50 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
| 100 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011 | Annualized Expense Ratio | |||||||||||||
Mid Cap Core Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,085.00 | $ | 4.14 | 0.80 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,053.80 | 3.17 | 0.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,084.40 | 5.17 | 1.00 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,075.20 | 6.43 | 1.25 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,072.90 | 8.94 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,077.40 | 4.64 | 0.90 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,084.20 | 6.41 | 1.24 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,081.60 | 9.14 | 1.77 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.02 | 8.85 | 1.77 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,081.30 | 9.13 | 1.77 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.02 | 8.85 | 1.77 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,083.20 | 7.23 | 1.40 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,086.10 | 4.81 | 0.93 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.18 | 4.66 | 0.93 | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,070.50 | 6.31 | 1.23 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,067.80 | 8.92 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,067.70 | 8.92 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,069.20 | 7.64 | 1.49 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,072.80 | 3.80 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 101 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011 | Annualized Expense Ratio | |||||||||||||
Mid Cap Value Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,071.70 | $ | 5.03 | 0.98 | % | ||||||||
Hypothetical* | 1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,024.00 | 12.80 | 2.55 | ||||||||||||
Hypothetical* | 1,000.00 | 1,012.15 | 12.72 | 2.55 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,020.50 | 15.63 | 3.12 | ||||||||||||
Hypothetical* | 1,000.00 | 1,009.32 | 15.54 | 3.12 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,019.40 | 15.82 | 3.16 | ||||||||||||
Hypothetical* | 1,000.00 | 1,009.12 | 15.74 | 3.16 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,024.80 | 11.75 | 2.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,013.19 | 11.68 | 2.34 | ||||||||||||
Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,048.40 | 6.30 | 1.24 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,045.70 | 8.83 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,051.20 | 3.76 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,050.00 | 5.03 | 0.99 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period). |
| ** | Expenses are equal to the Fund’s annualized expense ratio, multiplied by the average account value over the period, multiplied by 151/365 to reflect the actual period). Commencement of offering class of shares was January 31, 2011. |
| 102 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2011:
Dividends Received Deduction | ||||
Mid Cap Core Fund | 100.00 | % | ||
Mid Cap Equity Fund | 100.00 | |||
Mid Cap Value Fund | 100.00 | |||
Value Advantage Fund | 100.00 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Mid Cap Core Fund | $ | 1 | ||
Mid Cap Equity Fund | 1,989 | |||
Mid Cap Value Fund | 60,163 | |||
Value Advantage Fund | 8,184 | |||
| JUNE 30, 2011 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 103 | ||||||
Table of Contents
Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡ Social Security number and account balances
¡ transaction history and account transactions
¡ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
Table of Contents
Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2011. All rights reserved. June 2011. | AN-MC-611 |
Table of Contents
Annual Report
J.P. Morgan Large Cap Funds
June 30, 2011
JPMorgan Disciplined Equity Fund
JPMorgan Dynamic Growth Fund
JPMorgan Equity Income Fund
JPMorgan Growth and Income Fund
JPMorgan Large Cap Growth Fund
JPMorgan Large Cap Value Fund
JPMorgan U.S. Equity Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| 11 | ||||
| 13 | ||||
| 16 | ||||
| Schedules of Portfolio Investments | 19 | |||
| Financial Statements | 42 | |||
| Financial Highlights | 60 | |||
| Notes to Financial Statements | 74 | |||
| Report of Independent Registered Public Accounting Firm | 87 | |||
| Trustees | 88 | |||
| Officers | 90 | |||
| Schedule of Shareholder Expenses | 91 | |||
| Tax Letter | 94 | |||
| Privacy Notice — Located at the back of this Annual Report | ||||
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 conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
Table of Contents
AUGUST 8, 2011 (Unaudited)
Dear Shareholder:
Last summer, investors’ optimism about the markets was tempered by a wave of both discouraging U.S. economic data and sovereign debt issues in Europe, which led to a market correction.
 |
“Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.” |
As we enter the second half of 2011, concerns about softening U.S. economic data persist. While we are encouraged that corporate earnings and profits have continued to grow consistently, spending levels in many areas of the economy remain critically low, which has resulted in tight inventories and pent-up consumer demand. Meanwhile, investors still lack confidence in the ability of the European governments to combat the region’s debt crisis. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger the recent downturn, as August 8, 2011 saw each of the three major U.S. stock indices experience their worst one-day performance since December 1, 2008. The current slowdown in growth should not be viewed as a surprise. Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.
Monetary stimulus and corporate profits move stocks higher
Despite periods of volatility, monetary and fiscal stimulus and strong corporate profits lifted stocks higher over the past year. As of the end of the 12-month reporting period ended June 30, 2011, the S&P 500 Index was at a level of 1,321, an increase of 30.7% from 12 months earlier.
Small cap growth stocks led all style categories for the 12-month reporting period, with the Russell 2000 Growth Index returning 43.5%. For the same period, the Russell Midcap Growth Index returned 43.3%, compared to 35.0% for the Russell 1000 Growth Index. In the value category, the Russell Midcap Value Index returned 34.3%, outperforming both the Russell 2000 Value Index, which returned 31.4%, and the Russell 1000 Value index, which returned 28.9%.
Most U.S. Treasury yields rise amid softer economic data
In the U.S. bond markets, yields were generally volatile, but longer-term Treasury yields generally rose, while shorter-term yields declined as economic expectations weakened. The yield on the 10-year U.S. Treasury bond rose from 3.0% to 3.2% as of the end of the 12-month reporting period ended June 30, 2011, while yields on the 30-year U.S. Treasury bond increased from 3.9% to 4.4%. Yields on the 2-year U.S. Treasury bond dropped from 0.6% to 0.5% as of the end of the same period.
Is the economic soft patch temporary?
As we enter the second half of 2011, the markets have clearly entered a period of uncertainty. Stocks have been volatile in response to weaker economic growth, as well as concerns over the European sovereign debt crisis, the credit downgrade of U.S.-issued debt, policy tightening in China, and the conclusion of the second round of quantitative easing (QE2) in the U.S. Given these events, it’s not surprising that investors remain largely risk averse, and less than confident about prospects for future growth.
Despite the slowdown and uncertain political environment, however, we do believe that some aspects of our markets and economy — including strong corporate balance sheets and valuations — present potential opportunities for investors. As always, we advise investors to be mindful of continued volatility and other unexpected risks by maintaining a diversified and balanced approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Management Americas
J.P. Morgan Asset Management
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 1 | ||||||
Table of Contents
MARKET OVERVIEW
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
Stocks in most of the world’s capital markets rallied during the twelve months ended June 30, 2011. In the United States, investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis, political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period, but stocks still finished with gains.
U.S. stocks, as measured by the S&P 500 Index, returned 30.69% for the twelve months ended June 30, 2011. U.S. large-cap growth stocks outperformed U.S. large-cap value stocks, as the Russell 1000 Growth Index returned 35.01% compared to the 28.94% return for the Russell 1000 Value Index.
| 2 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 30.33% | |||
| S&P 500 Index | 30.69% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 712,181 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Disciplined Equity Fund (the “Fund”) seeks to provide a consistently high total return from a broadly diversified portfolio of equity securities with risk characteristics similar to the Standard and Poor’s 500 Composite Stock Price Index (S&P 500 Index).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the banks and brokers and consumer cyclical sectors detracted from relative performance, while the Fund’s stock selection in the basic materials and industrial cyclical sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in EOG Resources, Inc. and Bank of America Corp. Shares of EOG Resources, Inc. underperformed the Benchmark and its sector peers as the oil and gas operations company faced short-term challenges in its effort to apply its natural gas extraction technology to the extraction of oil from shale. Shares of Bank of America Corp. were hurt by uncertainty about potential federal regulation. In addition, concerns about losses from Bank of America Corp.’s mortgage business weighed on the stock.
Individual contributors to relative performance included Biogen Idec, Inc. and CSX Corp. Shares of biotechnology and drugs company Biogen Idec, Inc. increased as strong revenue from its TYSABRI® and AVONEX® products boosted the company’s first-quarter earnings. Shares of railroad operator CSX Corp. benefited from strong demand for freight rail transportation due to the rebound in economic activity. The company also increased its quarterly dividend and announced a stock buyback.
HOW WAS THE FUND POSITIONED?
To help ensure that stock selection was the principal source of potential excess return, the Fund’s portfolio managers allowed only modest deviations in sector weightings relative to the Benchmark. The Fund’s portfolio managers sought investment
opportunities in companies that were attractive based on valuation and strong fundamentals. In particular, they emphasized companies that they believed were inexpensively valued and that would perform well in an improving macro economic environment.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 3.5 | % | |||||
| 2. | Chevron Corp. | 2.7 | ||||||
| 3. | Exxon Mobil Corp. | 2.3 | ||||||
| 4. | Coca-Cola Co. (The) | 2.1 | ||||||
| 5. | International Business Machines Corp. | 2.1 | ||||||
| 6. | Procter & Gamble Co. (The) | 2.0 | ||||||
| 7. | Wells Fargo & Co. | 2.0 | ||||||
| 8. | Verizon Communications, Inc. | 1.9 | ||||||
| 9. | Microsoft Corp. | 1.7 | ||||||
| 10. | United Technologies Corp. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 16.5 | % | ||
| Financials | 13.6 | |||
| Energy | 12.4 | |||
| Health Care | 11.8 | |||
| Consumer Discretionary | 11.8 | |||
| Industrials | 11.3 | |||
| Consumer Staples | 10.5 | |||
| Telecommunication Services | 3.9 | |||
| Materials | 3.7 | |||
| Utilities | 3.4 | |||
| U.S. Treasury Obligation | 0.1 | |||
| Short-Term Investment | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (exclud- ing Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 3 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 9/28/01 | |||||||||||||||
Without Sales Charge | 29.86 | % | 3.41 | % | 2.17 | % | ||||||||||
With Sales Charge* | 23.08 | 2.30 | 1.62 | |||||||||||||
CLASS R6 SHARES** | 3/24/03 | 30.45 | 3.94 | 2.69 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 1/3/97 | 30.33 | 3.84 | 2.61 | ||||||||||||
SELECT CLASS SHARES | 9/10/01 | 30.17 | 3.68 | 2.43 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Effective November 30, 2010, the Fund’s Ultra Shares were renamed Class R6 Shares. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 1/3/97 and prior to 9/7/01 operated in a master-feeder structure. The returns for the Institutional Class Shares before they were launched on 9/10/01 reflect the performance of the institutional feeder of the Disciplined Equity Portfolio. The historical expenses of the institutional feeder are substantially similar to those of the Institutional Class Shares. The returns for the Select Class Shares prior to its inception date reflect the performance of the retail feeder, whose historical expenses are substantially similar to those of the Select Class Shares.
Returns for the Class A Shares prior to its inception date are based on the performance of Select Class Shares. The actual returns of Class A Shares would have been lower than shown because Class A Shares have higher expenses than Select Class Shares.
Returns for the Class R6 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns of Class R6 Shares would have been different than shown because Class R6 Shares have different expenses than Institutional Class Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Disciplined Equity Fund, S&P 500
Index and Lipper Large-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 35.62% | |||
| Russell 1000 Growth Index | 35.01% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 43,848 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Dynamic Growth Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the technology and consumer discretionary sectors contributed to relative performance, while the Fund’s stock selection in the financial services sector and stock selection and overweight in the health care sector detracted from relative performance.
The Fund’s individual contributors to relative performance included the positions in Fossil, Inc., Amazon.com, Inc. and ARM Holdings plc. Shares of Fossil, Inc., a specialty retailer, increased after the company reported better-than-expected first-quarter earnings. Amazon.com, Inc., an online retailer, reported better-than-expected profits, as the company continued to grow its revenue and gain market share despite the challenging environment for retail spending. Shares of chipmaker ARM Holdings plc. increased following the company’s better-than-expected first-quarter earnings, driven by strength in its processor business.
Individual detractors from relative performance included the Fund’s underweight positions in Exxon Mobil Corp., International Business Machines Corp. (“IBM”) and Schlumberger Ltd., three stocks that performed strongly in the Benchmark. Shares of integrated energy company Exxon Mobil Corp. benefited from rising oil prices during the reporting period. Shares of IBM advanced following the company’s better-than-expected first-quarter revenue, driven by strong software sales. Shares of Schlumberger Ltd., an oil well services and equipment company, increased as the company’s profit was bolstered by its expansion efforts in North America. The stock also benefited from rising oil prices during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong
fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged period of time.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the technology sector and the Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 9.1 | % | |||||
| 2. | Express Scripts, Inc. | 5.3 | ||||||
| 3. | Cognizant Technology Solutions Corp., Class A | 4.8 | ||||||
| 4. | Capital One Financial Corp. | 4.4 | ||||||
| 5. | QUALCOMM, Inc. | 4.4 | ||||||
| 6. | Amazon.com, Inc. | 4.2 | ||||||
| 7. | National Oilwell Varco, Inc. | 4.1 | ||||||
| 8. | Schlumberger Ltd. | 4.1 | ||||||
| 9. | Kansas City Southern | 3.9 | ||||||
| 10. | Celgene Corp. | 3.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 30.8 | % | ||
| Consumer Discretionary | 22.4 | |||
| Health Care | 15.2 | |||
| Industrials | 13.4 | |||
| Energy | 8.2 | |||
| Financials | 4.4 | |||
| Materials | 0.8 | |||
| Short-Term Investment | 4.8 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages are based upon total investments as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Dynamic Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 11/30/07 | |||||||||||||||
Without Sales Charge | 35.31 | % | 3.23 | % | 0.89 | % | ||||||||||
With Sales Charge* | 28.25 | 1.39 | (0.61 | ) | ||||||||||||
CLASS C SHARES | 11/30/07 | |||||||||||||||
Without CDSC | 34.72 | 2.70 | 0.39 | |||||||||||||
With CDSC** | 33.72 | 2.70 | 0.39 | |||||||||||||
CLASS R5 SHARES | 11/30/07 | 35.87 | 3.67 | 1.33 | ||||||||||||
SELECT CLASS SHARES | 11/30/07 | 35.62 | 3.47 | 1.13 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (11/30/07 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.
The Fund commenced operations on November 30, 2007.
The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of the JPMorgan Dynamic Growth Fund, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from November 30, 2007 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Growth Index
is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
From the Fund’s inception through August 5, 2010, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 32.42% | |||
| Russell 1000 Value Index | 28.94% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 459,678 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Income Fund (the “Fund”) seeks current income through regular payment of dividends with the secondary goal of achieving capital appreciation by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the financials and consumer staples sectors contributed to relative performance, while the Fund’s stock selection in the health care and energy sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in ConocoPhillips and Tiffany & Co. Shares of energy company ConocoPhillips gained as investors reacted positively to the progress of the company’s multi-year restructuring program, which involved several asset divestitures, reduced debt, accelerated share repurchases and an increase in its quarterly dividend. Shares of jewelry retailer Tiffany & Co. gained after the company reported strong fiscal first-quarter earnings and raised its outlook for full-year earnings, as its strong market position more than offset the impact from rising raw materials costs.
Individual detractors from the Fund’s relative performance included the Fund’s underweight positions in General Electric Co. and UnitedHealth Group, Inc., two stocks that performed strongly in the Benchmark. Shares of General Electric Co. advanced as the company became increasingly optimistic about the economic recovery helping the company’s profits. Shares of UnitedHealth Group, Inc., an accident and health insurance company, increased after the company reported solid results throughout the reporting period, fueled by lower medical costs and enrollment growth across its health plans.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers’ focus remained on stock selection, as they believed that quality companies trading at attractive valuations would have the greatest potential to
outperform in the long term. As the Fund aimed to purchase stocks with above average dividend yields, the research process was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Chevron Corp. | 3.1 | % | |||||
| 2. | Wells Fargo & Co. | 3.0 | ||||||
| 3. | Pfizer, Inc. | 2.8 | ||||||
| 4. | ConocoPhillips | 2.4 | ||||||
| 5. | Merck & Co., Inc. | 2.3 | ||||||
| 6. | Philip Morris International, Inc. | 1.9 | ||||||
| 7. | Johnson & Johnson | 1.8 | ||||||
| 8. | Exxon Mobil Corp. | 1.8 | ||||||
| 9. | Verizon Communications, Inc. | 1.7 | ||||||
| 10. | American Express Co. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 19.7 | % | ||
| Consumer Discretionary | 14.2 | |||
| Energy | 13.2 | |||
| Industrials | 10.8 | |||
| Health Care | 10.6 | |||
| Consumer Staples | 9.0 | |||
| Information Technology | 6.3 | |||
| Utilities | 5.6 | |||
| Materials | 5.4 | |||
| Telecommunication Services | 3.6 | |||
| Short-Term Investment | 1.6 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 32.06 | % | 3.95 | % | 3.93 | % | ||||||||||
With Sales Charge* | 25.16 | 2.83 | 3.38 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 31.44 | 3.43 | 3.41 | |||||||||||||
With CDSC** | 26.44 | 3.07 | 3.41 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 31.52 | 3.42 | 3.32 | |||||||||||||
With CDSC*** | 30.52 | 3.42 | 3.32 | |||||||||||||
CLASS R2 SHARES | 2/28/11 | 31.68 | 3.83 | 3.82 | ||||||||||||
CLASS R5 SHARES | 2/28/11 | 32.39 | 4.28 | 4.24 | ||||||||||||
SELECT CLASS SHARES | 7/2/87 | 32.42 | 4.28 | 4.24 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2 Shares and Class R5 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R2 would have been lower than those shown because Class R2 Shares have different expenses than Select Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Income Fund, the Russell 1000 Value Index and the Lipper Equity Income Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Equity Income Funds Index includes expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Value Index is an unmanaged index, which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Equity Income Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 28.03% | |||
| S&P 500/Citigroup Value Index | 27.90% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 320,859 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Growth and Income Fund (the “Fund”) seeks to provide capital growth over the long-term and earn income from dividends.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the S&P 500/Citigroup Value Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the consumer discretionary and financials sectors contributed to relative performance, while the Fund’s stock selection in the health care and materials sectors detracted from relative performance.
Individual contributors to relative performance included Tiffany & Co. and United Technologies Corp. Shares of jewelry retailer Tiffany & Co. gained after the company reported strong fiscal first-quarter earnings and raised its outlook for full-year earnings, as its strong market position more than offset the impact from rising raw materials costs. Shares of United Technologies Corp., a provider of technology products and services to the building systems and aerospace industries, rose throughout the reporting period as the company saw increased equipment orders across all business segments and raised its outlook for 2011 profits.
Individual detractors from the Fund’s relative performance included the Fund’s underweight positions in General Electric Co. and Exxon Mobil Corp., two stocks that performed strongly in the Benchmark. Shares of General Electric Co. advanced as the company became increasingly optimistic about the economic recovery helping the company’s profits. Shares of integrated energy company Exxon Mobil Corp. advanced due to rising oil prices and increased production of natural gas during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on stock selection and aimed to invest in undervalued companies with durable franchises, strong management and the ability to grow their intrinsic
value per share. The Fund was overweight the consumer discretionary sector, a sector where the Fund’s portfolio managers found many of the qualities they typically seek, such as strong brands, recurring revenue business models and the consistent generation of free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.1 | % | |||||
| 2. | Devon Energy Corp. | 2.9 | ||||||
| 3. | Exxon Mobil Corp. | 2.5 | ||||||
| 4. | ConocoPhillips | 2.5 | ||||||
| 5. | Microsoft Corp. | 2.4 | ||||||
| 6. | Chevron Corp. | 2.4 | ||||||
| 7. | United Technologies Corp. | 2.1 | ||||||
| 8. | General Electric Co. | 2.1 | ||||||
| 9. | U.S. Bancorp | 2.1 | ||||||
| 10. | American Express Co. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 26.0 | % | ||
| Energy | 15.4 | |||
| Consumer Discretionary | 15.0 | |||
| Industrials | 10.8 | |||
| Health Care | 9.3 | |||
| Information Technology | 7.8 | |||
| Consumer Staples | 5.9 | |||
| Materials | 2.6 | |||
| Telecommunication Services | 2.4 | |||
| Utilities | 1.4 | |||
| Short-Term Investment | 3.4 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 9/23/87 | |||||||||||||||
Without Sales Charge | 28.03 | % | 1.25 | % | 2.26 | % | ||||||||||
With Sales Charge* | 21.29 | 0.16 | 1.71 | |||||||||||||
CLASS B SHARES | 11/4/93 | |||||||||||||||
Without CDSC | 27.40 | 0.74 | 1.85 | |||||||||||||
With CDSC** | 22.40 | 0.35 | 1.85 | |||||||||||||
CLASS C SHARES | 1/2/98 | |||||||||||||||
Without CDSC | 27.35 | 0.74 | 1.75 | |||||||||||||
With CDSC*** | 26.35 | 0.74 | 1.75 | |||||||||||||
SELECT CLASS SHARES | 1/25/96 | 28.41 | 1.56 | 2.61 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth and Income Fund, S&P 500/Citigroup Value Index, the Lipper Large-Cap Core Funds Index and the Lipper Large-Cap Value Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the S&P 500/Citigroup Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap Core Funds Index and the Lipper Large-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P 500/Citigroup Value Index is an unmanaged index which includes the performance of large U.S. companies with low price-to-book ratios
relative to the S&P 500 Index. The Lipper Large-Cap Core Funds Index and the Lipper Large-Cap Value Funds Index are indices based on the total returns of certain groups of mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 10 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 41.29% | |||
| Russell 1000 Growth Index | 35.01% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 1,925,999 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Growth Fund (the “Fund”) seeks long-term capital appreciation and growth of income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the technology and consumer discretionary sectors contributed to relative performance. The Fund’s underweight and stock selection in the energy sector and stock selection in the consumer staples sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s overweight positions in Amazon.com, Inc., priceline.com, Inc. and Cognizant Technology Solutions Corp. Amazon.com, Inc., an online retailer, reported better-than-expected profits, as the company continued to grow its revenue and gain market share despite the challenging environment for retail spending. Shares of online travel company priceline.com, Inc. increased due to the company’s better-than-expected earnings, driven by strong growth in its global hotel business. Cognizant Technology Solutions Corp. is a provider of custom information technology consulting, technology services, and outsourcing services that offers its clients an onsite project manager with offshore global delivery. Shares of the company benefited amid continued signs that its clients had restarted projects with offshore vendors that they had delayed during the recession.
Individual detractors from relative performance included the Fund’s underweight positions in Exxon Mobil Corp., QUALCOMM, Inc. and Caterpillar, Inc., three stocks that performed strongly in the Benchmark. Shares of integrated energy company Exxon Mobil Corp. advanced due to rising oil prices and increased production of natural gas during the reporting period. Shares of communications equipment provider QUALCOMM, Inc. increased due to the company’s strong quarterly earnings and increased expectations for its full-year profit. Shares of construction and agricultural machinery provider Caterpillar, Inc. advanced on the company’s strong earnings, boosted by recovering demand for its products.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in
an effort to construct portfolios of stocks that have strong fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged period of time.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the technology sector, where the Fund’s portfolio managers identified their most attractive investment opportunities. The Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 6.7 | % | |||||
| 2. | Amazon.com, Inc. | 4.1 | ||||||
| 3. | International Business Machines Corp. | 3.3 | ||||||
| 4. | Cognizant Technology Solutions Corp., Class A | 2.8 | ||||||
| 5. | Occidental Petroleum Corp. | 2.0 | ||||||
| 6. | Express Scripts, Inc. | 2.0 | ||||||
| 7. | BorgWarner, Inc. | 2.0 | ||||||
| 8. | McDonald’s Corp. | 2.0 | ||||||
| 9. | DIRECTV, Class A | 2.0 | ||||||
| 10. | Allergan, Inc. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 31.2 | % | ||
Consumer Discretionary | 19.2 | |||
Industrials | 13.0 | |||
Health Care | 12.9 | |||
Energy | 9.3 | |||
Consumer Staples | 5.8 | |||
Materials | 3.7 | |||
Financials | 1.0 | |||
Short-Term Investment | 3.9 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/22/94 | |||||||||||||||
Without Sales Charge | 41.11 | % | 6.95 | % | 2.49 | % | ||||||||||
With Sales Charge* | 33.69 | 5.80 | 1.94 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 40.35 | 6.36 | 2.03 | |||||||||||||
With CDSC** | 35.35 | 6.05 | 2.03 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 40.31 | 6.38 | 1.86 | |||||||||||||
With CDSC*** | 39.31 | 6.38 | 1.86 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 40.67 | 6.68 | 2.21 | ||||||||||||
CLASS R5 SHARES | 4/14/09 | 41.62 | 7.28 | 2.78 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 41.68 | 7.29 | 2.78 | ||||||||||||
SELECT CLASS SHARES | 2/28/92 | 41.29 | 7.20 | 2.74 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2, Class R5 and Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. With respect to Class R2 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Large Cap Growth Fund, Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap
Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Growth Index is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 26.52% | |||
| Russell 1000 Value Index | 28.94% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 667,824 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Value Fund (the “Fund”) seeks capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the technology sector and overweight in the banks and brokers sector detracted from relative performance, while the Fund’s stock selection in the industrial cyclical and basic materials sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Hewlett-Packard Co. and Cisco Systems, Inc. Shares of Hewlett-Packard Co. declined following the unexpected resignation of the company’s chief executive officer. Investor concerns about the company’s ability to compete in an environment increasingly dominated by mobile and cloud computing also weighed on the stock. Shares of Cisco Systems, Inc. declined after the communications equipment provider’s fourth-quarter earnings fell short of investors’ expectations. The Fund’s position in EOG Resources, Inc. also detracted from relative performance. Shares of EOG Resources, Inc. underperformed as the oil and gas operations company faced short-term challenges in its effort to apply its natural gas extraction technology to the extraction of oil from shale.
Individual contributors to relative performance included the Fund’s positions in Freeport-McMoRan Copper & Gold, Inc. and Biogen Idec, Inc. Freeport-McMoRan Copper & Gold, Inc., a copper and gold mining company, reported strong earnings due to historically high copper prices and strong demand from China. Shares of biotechnology and drugs company Biogen Idec, Inc. advanced as strong revenue from its TYSABRI® and AVONEX® products boosted the company’s first-quarter earnings. The Fund’s position in UnitedHealth Group, Inc., an accident and health insurance company, also contributed to relative performance. The stock increased after the company reported better-than-expected first-quarter profit, fueled by enrollment growth across its health plans.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers combined a bottom-up fundamental approach to stock selection with a systematic valuation process. Overall, the Fund’s portfolio managers looked to take advantage of mispriced stocks that they believed appeared attractive relative to their fair value. As a result of this process, the Fund’s largest overweight versus the Benchmark was in the technology sector. The Fund’s portfolio managers saw attractive investment opportunities in this sector, particularly among hardware and networking companies that offered attractive valuations and which the Fund’s portfolio managers believed appeared well positioned to benefit from the continued increase in enterprise technology spending.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Chevron Corp. | 3.5 | % | |||||
| 2. | Wells Fargo & Co. | 3.4 | ||||||
| 3. | Citigroup, Inc. | 3.4 | ||||||
| 4. | Merck & Co., Inc. | 2.5 | ||||||
| 5. | Verizon Communications, Inc. | 2.4 | ||||||
| 6. | ConocoPhillips | 2.2 | ||||||
| 7. | MetLife, Inc. | 2.0 | ||||||
| 8. | Prudential Financial, Inc. | 2.0 | ||||||
| 9. | UnitedHealth Group, Inc. | 2.0 | ||||||
| 10. | Pfizer, Inc. | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 26.3 | % | ||
| Health Care | 14.5 | |||
| Energy | 13.3 | |||
| Information Technology | 12.0 | |||
| Consumer Discretionary | 10.8 | |||
| Industrials | 9.0 | |||
| Materials | 3.7 | |||
| Consumer Staples | 3.6 | |||
| Telecommunication Services | 3.6 | |||
| Utilities | 3.1 | |||
| 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| 14 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 26.42 | % | 1.18 | % | 1.65 | % | ||||||||||
With Sales Charge* | 19.75 | 0.09 | 1.10 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 25.71 | 0.64 | 1.15 | |||||||||||||
With CDSC** | 20.71 | 0.25 | 1.15 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 25.76 | 0.64 | 1.03 | |||||||||||||
With CDSC*** | 24.76 | 0.64 | 1.03 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 26.15 | 0.89 | 1.37 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 26.78 | 1.60 | 1.99 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 26.83 | 1.61 | 1.99 | ||||||||||||
SELECT CLASS SHARES | 3/1/91 | 26.52 | 1.38 | 1.88 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2 Shares and Class R5 Shares prior to their inception date are based on the performance of Select Class Shares. With respect to Class R2 Shares, prior Class performance has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 Shares would have been different than shown because Class R5 Shares have different expenses than Select Class Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to May 15, 2006, Select Class Shares. The actual returns for Class R6 Shares would have been different than shown because Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Large Cap Value Fund, Russell 1000 Value Index and the Lipper Large-Cap Value Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been
adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Large-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 15 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 29.60% | |||
| S&P 500 Index | 30.69% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 4,832,408 | ||
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Equity Fund (the “Fund”) seeks to provide high total return from a portfolio of selected equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the energy and big banks and brokers sectors detracted from relative performance, while the Fund’s stock selection in the industrial cyclical and pharmaceutical/medical technology sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in EOG Resources, Inc. and Cisco Systems, Inc. Shares of EOG Resources, Inc. underperformed the Benchmark and its sector peers as the oil and gas operations company faced short-term challenges in its effort to apply its natural gas extraction technology to the extraction of oil from shale. Shares of Cisco Systems, Inc. declined after the communications equipment provider reported consecutive weak quarterly results, falling short of investors’ expectations.
Individual contributors to relative performance included Biogen Idec, Inc. and Freeport-McMoRan Copper & Gold, Inc. Shares of biotechnology and drugs company Biogen Idec, Inc. increased as strong revenue from its TYSABRI® and AVONEX® products boosted the company’s first-quarter earnings. Freeport-McMoRan Copper & Gold, Inc., a copper and gold mining company, reported strong earnings due to historically high copper prices and strong demand from China.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, rigorously researching companies to determine their underlying value and potential for future earnings growth. As a result of the Fund’s bottom-up fundamental approach to stock selection, the Fund had a modest tilt toward stocks that the Fund’s portfolio managers believed would benefit from an economic recovery, favoring
companies with strong cash flow, market leadership and solid growth prospects.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.1 | % | |||||
| 2. | Chevron Corp. | 2.1 | ||||||
| 3. | Time Warner, Inc. | 2.1 | ||||||
| 4. | Exxon Mobil Corp. | 2.1 | ||||||
| 5. | Schlumberger Ltd. | 2.0 | ||||||
| 6. | Wells Fargo & Co. | 2.0 | ||||||
| 7. | Microsoft Corp. | 1.9 | ||||||
| 8. | Procter & Gamble Co. (The) | 1.9 | ||||||
| 9. | Merck & Co., Inc. | 1.8 | ||||||
| 10. | Coca-Cola Co. (The) | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 18.7 | % | ||
| Consumer Discretionary | 13.4 | |||
| Financials | 13.3 | |||
| Health Care | 13.2 | |||
| Energy | 12.9 | |||
| Industrials | 10.1 | |||
| Consumer Staples | 7.4 | |||
| Materials | 3.8 | |||
| Telecommunication Services | 3.2 | |||
| Utilities | 2.7 | |||
| U.S. Treasury Obligation | 0.1 | |||
| Short-Term Investment | 1.2 | |||
| * | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| 16 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 9/10/01 | |||||||||||||||
Without Sales Charge | 29.29 | % | 5.14 | % | 3.33 | % | ||||||||||
With Sales Charge* | 22.50 | 4.00 | 2.78 | |||||||||||||
CLASS B SHARES | 9/10/01 | |||||||||||||||
Without CDSC | 28.66 | 4.61 | 2.83 | |||||||||||||
With CDSC** | 23.66 | 4.27 | 2.83 | |||||||||||||
CLASS C SHARES | 9/10/01 | |||||||||||||||
Without CDSC | 28.56 | 4.60 | 2.75 | |||||||||||||
With CDSC*** | 27.56 | 4.60 | 2.75 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 28.96 | 5.01 | 3.27 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 29.78 | 5.61 | 3.79 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 29.83 | 5.62 | 3.80 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 9/17/93 | 29.60 | 5.55 | 3.76 | ||||||||||||
SELECT CLASS SHARES | 9/10/01 | 29.47 | 5.41 | 3.60 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 9/17/93 and prior to 9/7/01 operated in a master-feeder structure. The returns for the Institutional Class Shares before they were launched on 9/10/01 reflect the performance of the institutional feeder of the U.S. Equity Portfolio, whose historical expenses are substantially similar to those of the Institutional Class Shares. The returns for the Select Class Shares before they were launched on 9/10/01 and for the Class A, Class B and Class C Shares from 12/31/99 to 9/15/00 reflect the performance of the retail feeder. The historical expenses of the retail feeder are substantially similar to those of the Select Class Shares and lower than the expenses of the Class A, Class B and Class C Shares (during this period, therefore, the performance of Class A, Class B and Class C Shares would have been lower because they have higher expenses). The returns for the Class A, Class B and Class C Shares from 9/15/00 to 9/10/01 reflect the performance of the advisor feeder, whose historical expenses are substantially similar to those of the Class A Shares and lower than those of the Class B and Class C Shares (during this period the performance for Class B and Class C Shares would have been lower because of their higher expenses). Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than shown because Class R2 Shares have higher expenses than Class A Shares. Returns for the Class R5 Shares prior to its
inception date are based on the performance of Institutional Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Institutional Class Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to May 15, 2006, Institutional Class Shares. The actual returns for Class R6 Shares would have been different than shown because Class R6 Shares have different expenses than Institutional Class Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan U.S. Equity Fund, S&P 500 Index and Lipper Large-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper Large-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 18 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.3% | |||||||
Consumer Discretionary — 11.7% |
| |||||||
Auto Components — 0.8% |
| |||||||
| 138 | Johnson Controls, Inc. | 5,753 | ||||||
|
| |||||||
Automobiles — 0.5% |
| |||||||
| 123 | General Motors Co. (a) | 3,719 | ||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
| 22 | ITT Educational Services, Inc. (a) | 1,745 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
| 98 | Carnival Corp. | 3,669 | ||||||
| 40 | McDonald’s Corp. | 3,398 | ||||||
| 22 | Royal Caribbean Cruises Ltd. (a) | 813 | ||||||
| 19 | Yum! Brands, Inc. | 1,050 | ||||||
|
| |||||||
| 8,930 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
| 72 | Lennar Corp., Class A | 1,301 | ||||||
| 8 | Whirlpool Corp. | 683 | ||||||
|
| |||||||
| 1,984 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.2% |
| |||||||
| 43 | Amazon.com, Inc. (a) | 8,752 | ||||||
|
| |||||||
Media — 4.0% |
| |||||||
| 2 | Cablevision Systems Corp., Class A | 76 | ||||||
| 250 | CBS Corp. (Non-Voting), Class B | 7,134 | ||||||
| 43 | Comcast Corp., Class A | 1,082 | ||||||
| 60 | DIRECTV, Class A (a) | 3,049 | ||||||
| 36 | DISH Network Corp., Class A (a) | 1,110 | ||||||
| 37 | Gannett Co., Inc. | 529 | ||||||
| 210 | Time Warner, Inc. | 7,620 | ||||||
| 197 | Walt Disney Co. (The) | 7,675 | ||||||
|
| |||||||
| 28,275 | ||||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
| 7 | Family Dollar Stores, Inc. | 342 | ||||||
| 16 | Kohl’s Corp. | 810 | ||||||
| 37 | Macy’s, Inc. | 1,070 | ||||||
| 16 | Nordstrom, Inc. | 765 | ||||||
| 97 | Target Corp. | 4,564 | ||||||
|
| |||||||
| 7,551 | ||||||||
|
| |||||||
Specialty Retail — 2.1% |
| |||||||
| 9 | Advance Auto Parts, Inc. | 509 | ||||||
| 14 | AutoZone, Inc. (a) | 4,216 | ||||||
| 27 | Bed Bath & Beyond, Inc. (a) | 1,576 | ||||||
| 11 | CarMax, Inc. (a) | 364 | ||||||
| 153 | Lowe’s Cos., Inc. | 3,557 | ||||||
| 13 | Ross Stores, Inc. | 1,066 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — Continued |
| |||||||
| 41 | Staples, Inc. | 654 | ||||||
| 59 | TJX Cos., Inc. | 3,120 | ||||||
|
| |||||||
| 15,062 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.2% |
| |||||||
| 14 | Coach, Inc. | 863 | ||||||
| 5 | V.F. Corp. | 543 | ||||||
|
| |||||||
| 1,406 | ||||||||
|
| |||||||
Total Consumer Discretionary | 83,177 | |||||||
|
| |||||||
Consumer Staples — 10.4% |
| |||||||
Beverages — 3.3% |
| |||||||
| 224 | Coca-Cola Co. (The) | 15,093 | ||||||
| 119 | PepsiCo, Inc. | 8,374 | ||||||
|
| |||||||
| 23,467 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.4% |
| |||||||
| 78 | CVS Caremark Corp. | 2,935 | ||||||
| 110 | Kroger Co. (The) | 2,738 | ||||||
| 78 | Safeway, Inc. | 1,832 | ||||||
| 177 | Wal-Mart Stores, Inc. | 9,417 | ||||||
|
| |||||||
| 16,922 | ||||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 58 | ConAgra Foods, Inc. | 1,497 | ||||||
| 129 | General Mills, Inc. | 4,783 | ||||||
| 25 | Kellogg Co. | 1,377 | ||||||
|
| |||||||
| 7,657 | ||||||||
|
| |||||||
Household Products — 3.0% |
| |||||||
| 47 | Colgate-Palmolive Co. | 4,100 | ||||||
| 53 | Kimberly-Clark Corp. | 3,548 | ||||||
| 222 | Procter & Gamble Co. (The) | 14,125 | ||||||
|
| |||||||
| 21,773 | ||||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
| 68 | Philip Morris International, Inc. | 4,540 | ||||||
|
| |||||||
Total Consumer Staples | 74,359 | |||||||
|
| |||||||
Energy — 12.4% |
| |||||||
Energy Equipment & Services — 1.5% |
| |||||||
| 6 | Helmerich & Payne, Inc. | 403 | ||||||
| 34 | National Oilwell Varco, Inc. | 2,667 | ||||||
| 87 | Schlumberger Ltd. | 7,482 | ||||||
|
| |||||||
| 10,552 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.9% |
| |||||||
| 79 | Anadarko Petroleum Corp. | 6,064 | ||||||
| 35 | Apache Corp. | 4,356 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 65 | Chesapeake Energy Corp. | 1,918 | ||||||
| 184 | Chevron Corp. | 18,953 | ||||||
| 104 | ConocoPhillips | 7,782 | ||||||
| 54 | Devon Energy Corp. | 4,264 | ||||||
| 51 | EOG Resources, Inc. | 5,363 | ||||||
| 202 | Exxon Mobil Corp. | 16,423 | ||||||
| 41 | Marathon Oil Corp. | 2,176 | ||||||
| 9 | Noble Energy, Inc. | 780 | ||||||
| 16 | Pioneer Natural Resources Co. | 1,406 | ||||||
| 21 | Range Resources Corp. | 1,149 | ||||||
| 96 | Valero Energy Corp. | 2,442 | ||||||
| 141 | Williams Cos., Inc. (The) | 4,274 | ||||||
|
| |||||||
| 77,350 | ||||||||
|
| |||||||
Total Energy | 87,902 | |||||||
|
| |||||||
Financials — 13.5% |
| |||||||
Capital Markets — 2.2% |
| |||||||
| 58 | Charles Schwab Corp. (The) | 957 | ||||||
| 11 | E*Trade Financial Corp. (a) | 151 | ||||||
| 24 | Goldman Sachs Group, Inc. (The) | 3,194 | ||||||
| 44 | Invesco Ltd. | 1,034 | ||||||
| 11 | Janus Capital Group, Inc. | 101 | ||||||
| 59 | Morgan Stanley | 1,360 | ||||||
| 30 | Northern Trust Corp. | 1,361 | ||||||
| 146 | State Street Corp. | 6,601 | ||||||
| 36 | TD Ameritrade Holding Corp. | 702 | ||||||
|
| |||||||
| 15,461 | ||||||||
|
| |||||||
Commercial Banks — 3.2% |
| |||||||
| 144 | Huntington Bancshares, Inc. | 946 | ||||||
| 144 | Popular, Inc. (a) | 397 | ||||||
| 31 | SunTrust Banks, Inc. | 805 | ||||||
| 239 | U.S. Bancorp | 6,102 | ||||||
| 498 | Wells Fargo & Co. | 13,960 | ||||||
| 38 | Zions Bancorp | 915 | ||||||
|
| |||||||
| 23,125 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
| 75 | American Express Co. | 3,857 | ||||||
| 40 | Capital One Financial Corp. | 2,061 | ||||||
|
| |||||||
| 5,918 | ||||||||
|
| |||||||
Diversified Financial Services — 3.4% |
| |||||||
| 870 | Bank of America Corp. | 9,535 | ||||||
| 273 | Citigroup, Inc. | 11,359 | ||||||
| 24 | IntercontinentalExchange, Inc. (a) | 3,018 | ||||||
|
| |||||||
| 23,912 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 2.8% |
| |||||||
| 43 | ACE Ltd., (Switzerland) | 2,810 | ||||||
| 66 | Aflac, Inc. | 3,081 | ||||||
| 42 | Axis Capital Holdings Ltd., (Bermuda) | 1,294 | ||||||
| 24 | Berkshire Hathaway, Inc., Class B (a) | 1,850 | ||||||
| 17 | Everest Re Group Ltd., (Bermuda) | 1,398 | ||||||
| 114 | MetLife, Inc. | 4,997 | ||||||
| 77 | Prudential Financial, Inc. | 4,894 | ||||||
|
| |||||||
| 20,324 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
| 4 | Alexandria Real Estate Equities, Inc. | 341 | ||||||
| 14 | AvalonBay Communities, Inc. | 1,759 | ||||||
| 30 | DuPont Fabros Technology, Inc. (c) | 746 | ||||||
| 11 | Essex Property Trust, Inc. | 1,461 | ||||||
| 199 | Host Hotels & Resorts, Inc. | 3,368 | ||||||
|
| |||||||
| 7,675 | ||||||||
|
| |||||||
Total Financials | 96,415 | |||||||
|
| |||||||
Health Care — 11.7% |
| |||||||
Biotechnology — 2.0% |
| |||||||
| 55 | Biogen Idec, Inc. (a) | 5,859 | ||||||
| 100 | Celgene Corp. (a) | 6,002 | ||||||
| 55 | Dendreon Corp. (a) | 2,154 | ||||||
|
| |||||||
| 14,015 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
| 51 | Baxter International, Inc. | 3,038 | ||||||
| 31 | Becton, Dickinson & Co. | 2,628 | ||||||
| 110 | Covidien plc, (Ireland) | 5,861 | ||||||
| 57 | St. Jude Medical, Inc. | 2,737 | ||||||
|
| |||||||
| 14,264 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% |
| |||||||
| 3 | CIGNA Corp. | 159 | ||||||
| 61 | DaVita, Inc. (a) | 5,283 | ||||||
| 49 | Humana, Inc. | 3,963 | ||||||
| 30 | McKesson Corp. | 2,484 | ||||||
| 128 | UnitedHealth Group, Inc. | 6,577 | ||||||
|
| |||||||
| 18,466 | ||||||||
|
| |||||||
Pharmaceuticals — 5.1% |
| |||||||
| 217 | Abbott Laboratories | 11,408 | ||||||
| 56 | Johnson & Johnson | 3,745 | ||||||
| 278 | Merck & Co., Inc. | 9,811 | ||||||
| 86 | Mylan, Inc. (a) | 2,124 | ||||||
| 465 | Pfizer, Inc. | 9,579 | ||||||
|
| |||||||
| 36,667 | ||||||||
|
| |||||||
Total Health Care | 83,412 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Industrials — 11.2% |
| |||||||
Aerospace & Defense — 3.0% |
| |||||||
| 104 | Honeywell International, Inc. | 6,168 | ||||||
| 2 | Huntington Ingalls Industries, Inc. (a) | 59 | ||||||
| 11 | ITT Corp. | 625 | ||||||
| 13 | L-3 Communications Holdings, Inc. | 1,137 | ||||||
| 20 | Raytheon Co. | 987 | ||||||
| 28 | Textron, Inc. | 656 | ||||||
| 130 | United Technologies Corp. | 11,515 | ||||||
|
| |||||||
| 21,147 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
| 94 | Southwest Airlines Co. | 1,077 | ||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
| 94 | Fluor Corp. | 6,065 | ||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
| 44 | Emerson Electric Co. | 2,458 | ||||||
| 7 | Thomas & Betts Corp. (a) | 377 | ||||||
|
| |||||||
| 2,835 | ||||||||
|
| |||||||
Industrial Conglomerates — 3.4% |
| |||||||
| 76 | 3M Co. | 7,237 | ||||||
| 560 | General Electric Co. | 10,560 | ||||||
| 131 | Tyco International Ltd., (Switzerland) | 6,450 | ||||||
|
| |||||||
| 24,247 | ||||||||
|
| |||||||
Machinery — 1.4% |
| |||||||
| 6 | Donaldson Co., Inc. | 346 | ||||||
| 35 | Eaton Corp. | 1,806 | ||||||
| 10 | Joy Global, Inc. | 943 | ||||||
| 9 | Kennametal, Inc. | 363 | ||||||
| 123 | PACCAR, Inc. | 6,279 | ||||||
|
| |||||||
| 9,737 | ||||||||
|
| |||||||
Road & Rail — 2.1% |
| |||||||
| 200 | CSX Corp. | 5,239 | ||||||
| 92 | Norfolk Southern Corp. | 6,879 | ||||||
| 24 | Union Pacific Corp. | 2,547 | ||||||
|
| |||||||
| 14,665 | ||||||||
|
| |||||||
Total Industrials | 79,773 | |||||||
|
| |||||||
Information Technology — 16.4% |
| |||||||
Communications Equipment — 1.2% |
| |||||||
| 230 | Cisco Systems, Inc. | 3,584 | ||||||
| 6 | Harris Corp. | 289 | ||||||
| 32 | Juniper Networks, Inc. (a) | 1,005 | ||||||
| 69 | QUALCOMM, Inc. | 3,924 | ||||||
|
| |||||||
| 8,802 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Computers & Peripherals — 5.0% |
| |||||||
| 74 | Apple, Inc. (a) | 24,974 | ||||||
| 211 | EMC Corp. (a) | 5,805 | ||||||
| 41 | NetApp, Inc. (a) | 2,143 | ||||||
| 68 | SanDisk Corp. (a) | 2,822 | ||||||
|
| |||||||
| 35,744 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 10 | Amphenol Corp., Class A | 551 | ||||||
| 22 | Avnet, Inc. (a) | 714 | ||||||
| 168 | Corning, Inc. | 3,040 | ||||||
| 84 | TE Connectivity Ltd., (Switzerland) | 3,080 | ||||||
|
| |||||||
| 7,385 | ||||||||
|
| |||||||
Internet Software & Services — 0.1% |
| |||||||
| 1 | Google, Inc., Class A (a) | 354 | ||||||
|
| |||||||
IT Services — 3.6% |
| |||||||
| 73 | Accenture plc, (Ireland), Class A | 4,423 | ||||||
| 46 | Cognizant Technology Solutions Corp., Class A (a) | 3,344 | ||||||
| 61 | Genpact Ltd., (Bermuda) (a) | 1,051 | ||||||
| 85 | International Business Machines Corp. | 14,582 | ||||||
| 8 | MasterCard, Inc., Class A | 2,411 | ||||||
|
| |||||||
| 25,811 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
| 128 | Applied Materials, Inc. | 1,670 | ||||||
| 111 | Broadcom Corp., Class A (a) | 3,724 | ||||||
| 48 | Freescale Semiconductor Holdings I Ltd. (a) | 888 | ||||||
| 19 | KLA-Tencor Corp. | 781 | ||||||
| 44 | Lam Research Corp. (a) | 1,962 | ||||||
| 21 | Novellus Systems, Inc. (a) | 748 | ||||||
| 67 | Texas Instruments, Inc. | 2,213 | ||||||
| 114 | Xilinx, Inc. | 4,147 | ||||||
|
| |||||||
| 16,133 | ||||||||
|
| |||||||
Software — 3.2% |
| |||||||
| 10 | Citrix Systems, Inc. (a) | 776 | ||||||
| 472 | Microsoft Corp. | 12,275 | ||||||
| 289 | Oracle Corp. | 9,501 | ||||||
|
| |||||||
| 22,552 | ||||||||
|
| |||||||
Total Information Technology | 116,781 | |||||||
|
| |||||||
Materials — 3.7% |
| |||||||
Chemicals — 2.4% |
| |||||||
| 11 | Air Products & Chemicals, Inc. | 1,051 | ||||||
| 11 | CF Industries Holdings, Inc. | 1,502 | ||||||
| 145 | Dow Chemical Co. (The) | 5,216 | ||||||
| 158 | E.I. du Pont de Nemours & Co. | 8,524 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts )
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Chemicals — Continued |
| |||||||
| 20 | Georgia Gulf Corp. (a) | 480 | ||||||
| 8 | PPG Industries, Inc. | 745 | ||||||
|
| |||||||
| 17,518 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
| 55 | Ball Corp. | 2,111 | ||||||
|
| |||||||
Metals & Mining — 1.0% |
| |||||||
| 339 | Alcoa, Inc. | 5,375 | ||||||
| 28 | Freeport-McMoRan Copper & Gold, Inc. | 1,471 | ||||||
|
| |||||||
| 6,846 | ||||||||
|
| |||||||
Total Materials | 26,475 | |||||||
|
| |||||||
Telecommunication Services — 3.9% |
| |||||||
Diversified Telecommunication Services — 2.5% |
| |||||||
| 124 | AT&T, Inc. | 3,892 | ||||||
| 58 | Frontier Communications Corp. | 467 | ||||||
| 355 | Verizon Communications, Inc. | 13,217 | ||||||
|
| |||||||
| 17,576 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 1.4% |
| |||||||
| 29 | American Tower Corp., Class A (a) | 1,533 | ||||||
| 74 | Crown Castle International Corp. (a) | 3,006 | ||||||
| 1,069 | Sprint Nextel Corp. (a) | 5,760 | ||||||
|
| |||||||
| 10,299 | ||||||||
|
| |||||||
Total Telecommunication Services | 27,875 | |||||||
|
| |||||||
Utilities — 3.4% |
| |||||||
Electric Utilities — 1.6% |
| |||||||
| 58 | FirstEnergy Corp. | 2,561 | ||||||
| 90 | NextEra Energy, Inc. | 5,194 | ||||||
| 102 | Northeast Utilities | 3,594 | ||||||
|
| |||||||
| 11,349 | ||||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
| 52 | AGL Resources, Inc. | 2,125 | ||||||
| 29 | Oneok, Inc. | 2,161 | ||||||
|
| |||||||
| 4,286 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Independent Power Producers & Energy Traders — 0.5% |
| |||||||
| 52 | AES Corp. (The) (a) | 665 | ||||||
| 79 | Constellation Energy Group, Inc. | 2,999 | ||||||
|
| |||||||
| 3,664 | ||||||||
|
| |||||||
Multi-Utilities — 0.7% |
| |||||||
| 107 | CenterPoint Energy, Inc. | 2,074 | ||||||
| 53 | Sempra Energy | 2,803 | ||||||
|
| |||||||
| 4,877 | ||||||||
|
| |||||||
Total Utilities | 24,176 | |||||||
|
| |||||||
Total Common Stocks | 700,345 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.1% | |||||||
| 500 | U.S. Treasury Note, 0.625%, 06/30/12 (k) | 502 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.0% | |||||||
Investment Company — 1.0% |
| |||||||
| 7,099 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) | 7,099 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% | |||||||
Investment Company — 0.1% |
| |||||||
| 728 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 728 | ||||||
|
| |||||||
Total Investments — 99.5% | 708,674 | |||||||
Other Assets in Excess of | 3,507 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 712,181 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 171 | E-mini S&P 500 | 09/16/11 | $ | 11,248 | $ | 263 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Dynamic Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.4% |
| ||||||
Consumer Discretionary — 22.7% |
| |||||||
Hotels, Restaurants & Leisure — 6.8% |
| |||||||
| 19 | McDonald’s Corp. | 1,621 | ||||||
| 25 | Starwood Hotels & Resorts Worldwide, Inc. | 1,377 | ||||||
|
| |||||||
| 2,998 | ||||||||
|
| |||||||
Internet & Catalog Retail — 9.2% |
| |||||||
| 9 | Amazon.com, Inc. (a) | 1,877 | ||||||
| 2 | NetFlix, Inc. (a) | 604 | ||||||
| 3 | priceline.com, Inc. (a) | 1,559 | ||||||
|
| |||||||
| 4,040 | ||||||||
|
| |||||||
Media — 3.7% |
| |||||||
| 32 | DIRECTV, Class A (a) | 1,604 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.0% |
| |||||||
| 11 | Fossil, Inc. (a) | 1,311 | ||||||
|
| |||||||
Total Consumer Discretionary | 9,953 | |||||||
| �� |
|
| ||||||
Energy — 8.3% |
| |||||||
Energy Equipment & Services — 8.3% |
| |||||||
| 23 | National Oilwell Varco, Inc. | 1,815 | ||||||
| 21 | Schlumberger Ltd. | 1,801 | ||||||
|
| |||||||
Total Energy | 3,616 | |||||||
|
| |||||||
Financials — 4.5% |
| |||||||
Consumer Finance — 4.5% |
| |||||||
| 38 | Capital One Financial Corp. | 1,958 | ||||||
|
| |||||||
Health Care — 15.4% |
| |||||||
Biotechnology — 5.5% |
| |||||||
| 7 | Biogen Idec, Inc. (a) | 749 | ||||||
| 28 | Celgene Corp. (a) | 1,672 | ||||||
|
| |||||||
| 2,421 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.4% |
| |||||||
| 44 | Express Scripts, Inc. (a) | 2,371 | ||||||
|
| |||||||
Pharmaceuticals — 4.5% |
| |||||||
| 10 | Allergan, Inc. | 826 | ||||||
| 12 | Teva Pharmaceutical Industries Ltd., (Israel), ADR | 580 | ||||||
| 11 | Valeant Pharmaceuticals International, Inc., (Canada) | 568 | ||||||
|
| |||||||
| 1,974 | ||||||||
|
| |||||||
Total Health Care | 6,766 | |||||||
|
| |||||||
Industrials — 13.5% |
| |||||||
Construction & Engineering — 2.4% |
| |||||||
| 16 | Fluor Corp. | 1,064 | ||||||
|
| |||||||
Machinery — 5.4% |
| |||||||
| 12 | Cummins, Inc. | 1,246 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
| 12 | Parker Hannifin Corp. | 1,107 | ||||||
|
| |||||||
| 2,353 | ||||||||
|
| |||||||
Road & Rail — 5.7% |
| |||||||
| 29 | Kansas City Southern (a) | 1,731 | ||||||
| 8 | Union Pacific Corp. | 789 | ||||||
|
| |||||||
| 2,520 | ||||||||
|
| |||||||
Total Industrials | 5,937 | |||||||
|
| |||||||
Information Technology — 31.2% |
| |||||||
Communications Equipment — 7.0% |
| |||||||
| 36 | Juniper Networks, Inc. (a) | 1,145 | ||||||
| 34 | QUALCOMM, Inc. | 1,935 | ||||||
|
| |||||||
| 3,080 | ||||||||
|
| |||||||
Computers & Peripherals — 15.1% |
| |||||||
| 12 | Apple, Inc. (a) | 4,038 | ||||||
| 52 | EMC Corp. (a) | 1,444 | ||||||
| 22 | NetApp, Inc. (a) | 1,152 | ||||||
|
| |||||||
| 6,634 | ||||||||
|
| |||||||
IT Services — 6.6% |
| |||||||
| 29 | Cognizant Technology Solutions | |||||||
Corp., Class A (a) | 2,120 | |||||||
| 3 | MasterCard, Inc., Class A | 755 | ||||||
|
| |||||||
| 2,875 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 38 | ARM Holdings plc, (United Kingdom), ADR | 1,086 | ||||||
|
| |||||||
Total Information Technology | 13,675 | |||||||
|
| |||||||
Materials — 0.8% |
| |||||||
Chemicals — 0.8% |
| |||||||
| 3 | CF Industries Holdings, Inc. | 354 | ||||||
|
| |||||||
Total Common Stocks | 42,259 | |||||||
|
| |||||||
| Short-Term Investment — 4.8% |
| ||||||
Investment Company — 4.8% |
| |||||||
| 2,119 | JPMorgan Prime Money Market Fund, | 2,119 | ||||||
|
| |||||||
Total Investments — 101.2% | 44,378 | |||||||
Liabilities in Excess of | (530 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 43,848 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.3% |
| ||||||
Consumer Discretionary — 14.2% |
| |||||||
Auto Components — 0.7% |
| |||||||
| 105 | Gentex Corp. | 3,177 | ||||||
|
| |||||||
Distributors — 0.8% |
| |||||||
| 67 | Genuine Parts Co. | 3,645 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.3% |
| |||||||
| 80 | McDonald’s Corp. | 6,763 | ||||||
| 70 | Yum! Brands, Inc. | 3,850 | ||||||
|
| |||||||
| 10,613 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 60 | Tupperware Brands Corp. | 4,074 | ||||||
|
| |||||||
Media — 4.8% |
| |||||||
| 232 | Cinemark Holdings, Inc. | 4,811 | ||||||
| 74 | McGraw-Hill Cos., Inc. (The) | 3,101 | ||||||
| 49 | Omnicom Group, Inc. | 2,345 | ||||||
| 173 | Regal Entertainment Group, Class A | 2,134 | ||||||
| 69 | Time Warner Cable, Inc. | 5,346 | ||||||
| 121 | Time Warner, Inc. | 4,412 | ||||||
|
| |||||||
| 22,149 | ||||||||
|
| |||||||
Specialty Retail — 3.1% |
| |||||||
| 84 | Gap, Inc. (The) | 1,515 | ||||||
| 82 | Home Depot, Inc. | 2,984 | ||||||
| 119 | Limited Brands, Inc. | 4,564 | ||||||
| 25 | Tiffany & Co. | 1,932 | ||||||
| 61 | TJX Cos., Inc. | 3,204 | ||||||
|
| |||||||
| 14,199 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
| 41 | NIKE, Inc., Class B | 3,653 | ||||||
| 34 | V.F. Corp. | 3,691 | ||||||
|
| |||||||
| 7,344 | ||||||||
|
| |||||||
Total Consumer Discretionary | 65,201 | |||||||
|
| |||||||
Consumer Staples — 9.0% |
| |||||||
Beverages — 1.5% |
| |||||||
| 66 | Coca-Cola Co. (The) | 4,441 | ||||||
| 61 | Dr. Pepper Snapple Group, Inc. | 2,541 | ||||||
|
| |||||||
| 6,982 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.7% |
| |||||||
| 57 | Wal-Mart Stores, Inc. | 3,045 | ||||||
|
| |||||||
Food Products — 2.3% |
| |||||||
| 95 | Hershey Co. (The) | 5,424 | ||||||
| 65 | JM Smucker Co. (The) | 4,999 | ||||||
|
| |||||||
| 10,423 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 1.6% |
| |||||||
| 29 | Colgate-Palmolive Co. | 2,491 | ||||||
| 79 | Procter & Gamble Co. (The) | 4,990 | ||||||
|
| |||||||
| 7,481 | ||||||||
|
| |||||||
Tobacco — 2.9% |
| |||||||
| 41 | Lorillard, Inc. | 4,496 | ||||||
| 132 | Philip Morris International, Inc. | 8,841 | ||||||
|
| |||||||
| 13,337 | ||||||||
|
| |||||||
Total Consumer Staples | 41,268 | |||||||
|
| |||||||
Energy — 13.2% |
| |||||||
Oil, Gas & Consumable Fuels — 13.2% |
| |||||||
| 137 | Chevron Corp. | 14,068 | ||||||
| 147 | ConocoPhillips | 11,029 | ||||||
| 63 | Energy Transfer Equity LP | 2,837 | ||||||
| 90 | EQT Corp. | 4,748 | ||||||
| 101 | Exxon Mobil Corp. | 8,211 | ||||||
| 25 | Kinder Morgan, Inc. (c) | 730 | ||||||
| 42 | Marathon Oil Corp. | 2,191 | ||||||
| 81 | NuStar GP Holdings LLC | 2,902 | ||||||
| 37 | Occidental Petroleum Corp. | 3,860 | ||||||
| 86 | Spectra Energy Corp. | 2,354 | ||||||
| 120 | Teekay Corp., (Canada) | 3,706 | ||||||
| 128 | Williams Cos., Inc. (The) | 3,875 | ||||||
|
| |||||||
Total Energy | 60,511 | |||||||
|
| |||||||
Financials — 19.6% |
| |||||||
Capital Markets — 3.4% |
| |||||||
| 17 | BlackRock, Inc. | 3,184 | ||||||
| 99 | Northern Trust Corp. | 4,564 | ||||||
| 84 | T. Rowe Price Group, Inc. | 5,038 | ||||||
| 74 | W.P. Carey & Co. LLC | 3,011 | ||||||
|
| |||||||
| 15,797 | ||||||||
|
| |||||||
Commercial Banks — 5.9% |
| |||||||
| 118 | BB&T Corp. | 3,175 | ||||||
| 65 | M&T Bank Corp. | 5,743 | ||||||
| 180 | U.S. Bancorp | 4,592 | ||||||
| 486 | Wells Fargo & Co. | 13,623 | ||||||
|
| |||||||
| 27,133 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
| 134 | American Express Co. | 6,918 | ||||||
|
| |||||||
Insurance — 4.9% |
| |||||||
| 81 | Chubb Corp. | 5,040 | ||||||
| 74 | Cincinnati Financial Corp. | 2,168 | ||||||
| 171 | Old Republic International Corp. | 2,012 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 99 | OneBeacon Insurance Group Ltd., Class A | 1,327 | ||||||
| 96 | Travelers Cos., Inc. (The) | 5,622 | ||||||
| 116 | Validus Holdings Ltd., (Bermuda) | 3,603 | ||||||
| 131 | XL Group plc, (Ireland) | 2,875 | ||||||
|
| |||||||
| 22,647 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.4% |
| |||||||
| 78 | Acadia Realty Trust | 1,584 | ||||||
| 70 | Agree Realty Corp. | 1,572 | ||||||
| 38 | Alexandria Real Estate Equities, Inc. | 2,911 | ||||||
| 63 | National Health Investors, Inc. | 2,817 | ||||||
| 20 | Public Storage | 2,280 | ||||||
| 96 | Regency Centers Corp. | 4,230 | ||||||
|
| |||||||
| 15,394 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5% |
| |||||||
| 45 | Capitol Federal Financial, Inc. | 526 | ||||||
| 142 | People’s United Financial, Inc. | 1,912 | ||||||
|
| |||||||
| 2,438 | ||||||||
|
| |||||||
Total Financials | 90,327 | |||||||
|
| |||||||
Health Care — 10.6% |
| |||||||
Health Care Equipment & Supplies — 2.3% |
| |||||||
| 49 | Baxter International, Inc. | 2,949 | ||||||
| 49 | Becton, Dickinson & Co. | 4,248 | ||||||
| 66 | Covidien plc, (Ireland) | 3,486 | ||||||
|
| |||||||
| 10,683 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.0% |
| |||||||
| 159 | Lincare Holdings, Inc. | 4,651 | ||||||
|
| |||||||
Pharmaceuticals — 7.3% |
| |||||||
| 31 | Abbott Laboratories | 1,647 | ||||||
| 125 | Johnson & Johnson | 8,322 | ||||||
| 301 | Merck & Co., Inc. | 10,626 | ||||||
| 618 | Pfizer, Inc. | 12,735 | ||||||
|
| |||||||
| 33,330 | ||||||||
|
| |||||||
Total Health Care | 48,664 | |||||||
|
| |||||||
Industrials — 10.8% |
| |||||||
Aerospace & Defense — 2.4% |
| |||||||
| 85 | Honeywell International, Inc. | 5,035 | ||||||
| 69 | United Technologies Corp. | 6,081 | ||||||
|
| |||||||
| 11,116 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 41 | United Parcel Service, Inc., Class B | 3,005 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — 0.7% |
| |||||||
| 110 | Republic Services, Inc. | 3,394 | ||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
| 46 | Emerson Electric Co. | 2,604 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
| 66 | 3M Co. | 6,298 | ||||||
|
| |||||||
Machinery — 2.3% |
| |||||||
| 27 | Deere & Co. | 2,243 | ||||||
| 70 | Illinois Tool Works, Inc. | 3,937 | ||||||
| 74 | Snap-On, Inc. | 4,592 | ||||||
|
| |||||||
| 10,772 | ||||||||
|
| |||||||
Marine — 0.7% |
| |||||||
| 209 | Seaspan Corp., (Hong Kong) | 3,055 | ||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 43 | Norfolk Southern Corp. | 3,231 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.4% |
| |||||||
| 21 | W.W. Grainger, Inc. (c) | 3,227 | ||||||
| 46 | Watsco, Inc. | 3,093 | ||||||
|
| |||||||
| 6,320 | ||||||||
|
| |||||||
Total Industrials | 49,795 | |||||||
|
| |||||||
Information Technology — 6.3% |
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 79 | Molex, Inc. (c) | 2,036 | ||||||
|
| |||||||
IT Services — 1.6% |
| |||||||
| 61 | Automatic Data Processing, Inc. | 3,219 | ||||||
| 24 | International Business Machines Corp. | 4,083 | ||||||
|
| |||||||
| 7,302 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.9% |
| |||||||
| 87 | Analog Devices, Inc. | 3,405 | ||||||
| 143 | Intel Corp. | 3,165 | ||||||
| 80 | KLA-Tencor Corp. | 3,226 | ||||||
| 100 | Xilinx, Inc. | 3,643 | ||||||
|
| |||||||
| 13,439 | ||||||||
|
| |||||||
Software — 1.3% |
| |||||||
| 233 | Microsoft Corp. | 6,045 | ||||||
|
| |||||||
Total Information Technology | 28,822 | |||||||
|
| |||||||
Materials — 5.4% |
| |||||||
Chemicals — 4.6% |
| |||||||
| 46 | Air Products & Chemicals, Inc. | 4,406 | ||||||
| 116 | E.I. du Pont de Nemours & Co. | 6,286 | ||||||
| 55 | PPG Industries, Inc. | 5,002 | ||||||
| 59 | Scotts Miracle-Gro Co. (The), Class A | 3,038 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Chemicals — Continued |
| |||||||
| 28 | Sherwin-Williams Co. (The) | 2,315 | ||||||
|
| |||||||
| 21,047 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 57 | Greif, Inc., Class A | 3,713 | ||||||
|
| |||||||
Total Materials | 24,760 | |||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
Diversified Telecommunication Services — 3.6% |
| |||||||
| 140 | AT&T, Inc. | 4,391 | ||||||
| 106 | CenturyLink, Inc. | 4,294 | ||||||
| 212 | Verizon Communications, Inc. | 7,900 | ||||||
|
| |||||||
Total Telecommunication Services | 16,585 | |||||||
|
| |||||||
Utilities — 5.6% |
| |||||||
Electric Utilities — 2.7% |
| |||||||
| 44 | Edison International | 1,705 | ||||||
| 57 | NextEra Energy, Inc. | 3,275 | ||||||
| 103 | Northeast Utilities | 3,626 | ||||||
| 97 | Southern Co. | 3,901 | ||||||
|
| |||||||
| 12,507 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 60 | Oneok, Inc. | 4,404 | ||||||
|
| |||||||
Multi-Utilities — 1.8% |
| |||||||
| 199 | CMS Energy Corp. (c) | 3,914 | ||||||
| 80 | Sempra Energy | 4,252 | ||||||
|
| |||||||
| 8,166 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Water Utilities — 0.2% |
| |||||||
| 29 | American Water Works Co., Inc. | 864 | ||||||
|
| |||||||
Total Utilities | 25,941 | |||||||
|
| |||||||
Total Common Stocks | 451,874 | |||||||
|
| |||||||
| Short-Term Investment — 1.7% |
| ||||||
Investment Company — 1.7% |
| |||||||
| 7,624 | JPMorgan Liquid Assets Money Market Fund, | 7,624 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.7% |
| ||||||
Investment Company — 0.7% |
| |||||||
| 3,339 | JPMorgan Prime Money Market Fund, | 3,339 | ||||||
|
| |||||||
Total Investments — 100.7% | 462,837 | |||||||
Liabilities in Excess of | (3,159 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 459,678 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.7% |
| ||||||
Consumer Discretionary — 15.0% |
| |||||||
Hotels, Restaurants & Leisure — 2.0% |
| |||||||
| 33 | McDonald’s Corp. | 2,757 | ||||||
| 69 | Yum! Brands, Inc. | 3,817 | ||||||
|
| |||||||
| 6,574 | ||||||||
|
| |||||||
Household Durables — 1.1% |
| |||||||
| 54 | Fortune Brands, Inc. | 3,444 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.7% |
| |||||||
| 79 | Expedia, Inc. | 2,290 | ||||||
|
| |||||||
Media — 5.3% |
| |||||||
| 139 | Comcast Corp., Class A | 3,512 | ||||||
| 156 | Gannett Co., Inc. | 2,227 | ||||||
| 50 | McGraw-Hill Cos., Inc. (The) | 2,083 | ||||||
| 72 | Omnicom Group, Inc. | 3,487 | ||||||
| 83 | Time Warner, Inc. | 3,004 | ||||||
| 67 | Walt Disney Co. (The) | 2,619 | ||||||
|
| |||||||
| 16,932 | ||||||||
|
| |||||||
Specialty Retail — 4.3% |
| |||||||
| 10 | AutoZone, Inc. (a) | 2,801 | ||||||
| 64 | Gap, Inc. (The) | 1,153 | ||||||
| 111 | Home Depot, Inc. | 4,002 | ||||||
| 36 | Tiffany & Co. | 2,819 | ||||||
| 59 | TJX Cos., Inc. | 3,115 | ||||||
|
| |||||||
| 13,890 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
| 32 | NIKE, Inc., Class B | 2,916 | ||||||
| 21 | V.F. Corp. | 2,247 | ||||||
|
| |||||||
| 5,163 | ||||||||
|
| |||||||
Total Consumer Discretionary | 48,293 | |||||||
|
| |||||||
Consumer Staples — 5.8% |
| |||||||
Food & Staples Retailing — 2.4% |
| |||||||
| 95 | Walgreen Co. | 4,029 | ||||||
| 73 | Wal-Mart Stores, Inc. | 3,901 | ||||||
|
| |||||||
| 7,930 | ||||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 45 | JM Smucker Co. (The) | 3,439 | ||||||
|
| |||||||
Household Products — 1.0% |
| |||||||
| 50 | Procter & Gamble Co. (The) | 3,150 | ||||||
|
| |||||||
Tobacco — 1.3% |
| |||||||
| 64 | Philip Morris International, Inc. | 4,266 | ||||||
|
| |||||||
Total Consumer Staples | 18,785 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 15.4% |
| |||||||
Oil, Gas & Consumable Fuels — 15.4% |
| |||||||
| 75 | Chevron Corp. | 7,667 | ||||||
| 105 | ConocoPhillips | 7,878 | ||||||
| 118 | Devon Energy Corp. | 9,323 | ||||||
| 77 | El Paso Corp. | 1,563 | ||||||
| 30 | Energen Corp. | 1,667 | ||||||
| 76 | EQT Corp. | 4,007 | ||||||
| 99 | Exxon Mobil Corp. | 8,064 | ||||||
| 60 | Marathon Oil Corp. | 3,182 | ||||||
| 81 | Teekay Corp., (Canada) | 2,514 | ||||||
| 121 | Williams Cos., Inc. (The) | 3,654 | ||||||
|
| |||||||
Total Energy | 49,519 | |||||||
|
| |||||||
Financials — 26.1% |
| |||||||
Capital Markets — 5.6% |
| |||||||
| 23 | Affiliated Managers Group, Inc. (a) | 2,293 | ||||||
| 108 | Charles Schwab Corp. (The) | 1,770 | ||||||
| 18 | Goldman Sachs Group, Inc. (The) | 2,396 | ||||||
| 133 | Invesco Ltd. | 3,117 | ||||||
| 61 | Northern Trust Corp. | 2,785 | ||||||
| 92 | T. Rowe Price Group, Inc. | 5,575 | ||||||
|
| |||||||
| 17,936 | ||||||||
|
| |||||||
Commercial Banks — 6.7% |
| |||||||
| 73 | BB&T Corp. | 1,962 | ||||||
| 35 | M&T Bank Corp. | 3,043 | ||||||
| 260 | U.S. Bancorp | 6,620 | ||||||
| 353 | Wells Fargo & Co. | 9,895 | ||||||
|
| |||||||
| 21,520 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
| 122 | American Express Co. | 6,328 | ||||||
|
| |||||||
Diversified Financial Services — 3.8% |
| |||||||
| 269 | Bank of America Corp. | 2,953 | ||||||
| 148 | Citigroup, Inc. | 6,182 | ||||||
| 10 | CME Group, Inc. | 3,003 | ||||||
|
| |||||||
| 12,138 | ||||||||
|
| |||||||
Insurance — 5.2% |
| |||||||
| 52 | Arch Capital Group Ltd., (Bermuda) (a) | 1,647 | ||||||
| 84 | Hartford Financial Services Group, Inc. | 2,223 | ||||||
| 69 | Loews Corp. | 2,896 | ||||||
| 65 | Prudential Financial, Inc. | 4,133 | ||||||
| 43 | Transatlantic Holdings, Inc. | 2,083 | ||||||
| 55 | Validus Holdings Ltd., (Bermuda) | 1,713 | ||||||
| 89 | XL Group plc, (Ireland) | 1,954 | ||||||
|
| |||||||
| 16,649 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Real Estate Management & Development — 2.4% |
| |||||||
| 138 | Brookfield Asset Management, Inc., | |||||||
(Canada), Class A | 4,574 | |||||||
| 170 | Brookfield Office Properties, Inc. | 3,280 | ||||||
|
| |||||||
| 7,854 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 93 | People’s United Financial, Inc. | 1,248 | ||||||
|
| |||||||
Total Financials | 83,673 | |||||||
|
| |||||||
Health Care — 9.3% |
| |||||||
Health Care Equipment & Supplies — 2.2% |
| |||||||
| 38 | Baxter International, Inc. | 2,262 | ||||||
| 20 | Becton, Dickinson & Co. | 1,706 | ||||||
| 55 | Covidien plc, (Ireland) | 2,924 | ||||||
|
| |||||||
| 6,892 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
| 150 | Lincare Holdings, Inc. | 4,388 | ||||||
| 65 | UnitedHealth Group, Inc. | 3,363 | ||||||
|
| |||||||
| 7,751 | ||||||||
|
| |||||||
Pharmaceuticals — 4.7% |
| |||||||
| 28 | Abbott Laboratories | 1,489 | ||||||
| 57 | Johnson & Johnson | 3,772 | ||||||
| 124 | Merck & Co., Inc. | 4,361 | ||||||
| 272 | Pfizer, Inc. | 5,611 | ||||||
|
| |||||||
| 15,233 | ||||||||
|
| |||||||
Total Health Care | 29,876 | |||||||
|
| |||||||
Industrials — 10.8% |
| |||||||
Aerospace & Defense — 4.1% |
| |||||||
| 71 | Honeywell International, Inc. | 4,219 | ||||||
| 23 | L-3 Communications Holdings, Inc. | 1,976 | ||||||
| 78 | United Technologies Corp. | 6,869 | ||||||
|
| |||||||
| 13,064 | ||||||||
|
| |||||||
Electrical Equipment — 1.6% |
| |||||||
| 40 | Cooper Industries plc | 2,369 | ||||||
| 51 | Emerson Electric Co. | 2,863 | ||||||
|
| |||||||
| 5,232 | ||||||||
|
| |||||||
Industrial Conglomerates — 3.3% |
| |||||||
| 37 | 3M Co. | 3,538 | ||||||
| 363 | General Electric Co. | 6,850 | ||||||
|
| |||||||
| 10,388 | ||||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
| 15 | Caterpillar, Inc. | 1,618 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
| 84 | PACCAR, Inc. | 4,266 | ||||||
|
| |||||||
| 5,884 | ||||||||
|
| |||||||
Total Industrials | 34,568 | |||||||
|
| |||||||
Information Technology — 7.8% |
| |||||||
Communications Equipment — 1.7% |
| |||||||
| 117 | Cisco Systems, Inc. | 1,829 | ||||||
| 64 | QUALCOMM, Inc. | 3,618 | ||||||
|
| |||||||
| 5,447 | ||||||||
|
| |||||||
Computers & Peripherals — 2.2% |
| |||||||
| 17 | Apple, Inc. (a) | 5,606 | ||||||
| 42 | Hewlett-Packard Co. | 1,540 | ||||||
|
| |||||||
| 7,146 | ||||||||
|
| |||||||
Internet Software & Services — 0.5% |
| |||||||
| 96 | Yahoo!, Inc. (a) | 1,450 | ||||||
|
| |||||||
IT Services — 1.0% |
| |||||||
| 19 | International Business Machines Corp. | 3,242 | ||||||
|
| |||||||
Software — 2.4% |
| |||||||
| 295 | Microsoft Corp. | 7,667 | ||||||
|
| |||||||
Total Information Technology | 24,952 | |||||||
|
| |||||||
Materials — 2.7% |
| |||||||
Chemicals — 2.0% |
| |||||||
| 58 | Dow Chemical Co. (The) | 2,092 | ||||||
| 81 | E.I. du Pont de Nemours & Co. | 4,389 | ||||||
|
| |||||||
| 6,481 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
| 60 | Bemis Co., Inc. | 2,040 | ||||||
|
| |||||||
Total Materials | 8,521 | |||||||
|
| |||||||
Telecommunication Services — 2.4% |
| |||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
| 79 | AT&T, Inc. | 2,472 | ||||||
| 140 | Verizon Communications, Inc. | 5,194 | ||||||
|
| |||||||
Total Telecommunication Services | 7,666 | |||||||
|
| |||||||
Utilities — 1.4% |
| |||||||
Multi-Utilities — 1.4% |
| |||||||
| 149 | CMS Energy Corp. | 2,930 | ||||||
| 30 | Sempra Energy | 1,560 | ||||||
|
| |||||||
Total Utilities | 4,490 | |||||||
|
| |||||||
Total Common Stocks | 310,343 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.4% |
| ||||||
Investment Company — 3.4% |
| |||||||
| 10,780 | JPMorgan Prime Money Market Fund, | 10,780 | ||||||
|
| |||||||
Total Investments — 100.1% | 321,123 | |||||||
Liabilities in Excess of | (264 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 320,859 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 93.8% |
| ||||||
Consumer Discretionary — 18.9% |
| |||||||
Auto Components — 2.6% |
| |||||||
| 465 | BorgWarner, Inc. (a) | 37,527 | ||||||
| 285 | Johnson Controls, Inc. | 11,873 | ||||||
|
| |||||||
| 49,400 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% |
| |||||||
| 444 | McDonald’s Corp. | 37,430 | ||||||
| 159 | Wynn Resorts Ltd. | 22,851 | ||||||
|
| |||||||
| 60,281 | ||||||||
|
| |||||||
Internet & Catalog Retail — 6.1% |
| |||||||
| 385 | Amazon.com, Inc. (a) | 78,696 | ||||||
| 50 | NetFlix, Inc. (a) | 13,056 | ||||||
| 49 | priceline.com, Inc. (a) | 24,828 | ||||||
|
| |||||||
| 116,580 | ||||||||
|
| |||||||
Media — 1.9% |
| |||||||
| 736 | DIRECTV, Class A (a) | 37,421 | ||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
| 322 | Dollar Tree, Inc. (a) | 21,452 | ||||||
|
| |||||||
Specialty Retail — 1.3% |
| |||||||
| 385 | O’Reilly Automotive, Inc. (a) | 25,202 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.8% |
| |||||||
| 189 | Fossil, Inc. (a) | 22,261 | ||||||
| 233 | Polo Ralph Lauren Corp. | 30,938 | ||||||
|
| |||||||
| 53,199 | ||||||||
|
| |||||||
Total Consumer Discretionary | 363,535 | |||||||
|
| |||||||
Consumer Staples — 4.8% |
| |||||||
Beverages — 1.4% |
| |||||||
| 412 | Coca-Cola Co. (The) | 27,744 | ||||||
|
| |||||||
Personal Products — 1.6% |
| |||||||
| 291 | Estee Lauder Cos., Inc. (The), Class A | 30,568 | ||||||
|
| |||||||
Tobacco — 1.8% |
| |||||||
| 511 | Philip Morris International, Inc. | 34,147 | ||||||
|
| |||||||
Total Consumer Staples | 92,459 | |||||||
|
| |||||||
Energy — 9.2% |
| |||||||
Energy Equipment & Services — 2.9% |
| |||||||
| 439 | FMC Technologies, Inc. (a) | 19,649 | ||||||
| 275 | National Oilwell Varco, Inc. | 21,506 | ||||||
| 162 | Schlumberger Ltd. | 14,004 | ||||||
|
| |||||||
| 55,159 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.3% |
| |||||||
| 282 | Concho Resources, Inc. (a) | 25,893 | ||||||
| 457 | Exxon Mobil Corp. | 37,215 | ||||||
| 367 | Occidental Petroleum Corp. | 38,141 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 364 | Whiting Petroleum Corp. (a) | 20,715 | ||||||
|
| |||||||
| 121,964 | ||||||||
|
| |||||||
Total Energy | 177,123 | |||||||
|
| |||||||
Financials — 1.0% |
| |||||||
Capital Markets — 1.0% |
| |||||||
| 327 | T. Rowe Price Group, Inc. | 19,713 | ||||||
|
| |||||||
Health Care — 12.7% |
| |||||||
Biotechnology — 4.0% |
| |||||||
| 621 | Alexion Pharmaceuticals, Inc. (a) | 29,224 | ||||||
| 295 | Biogen Idec, Inc. (a) | 31,531 | ||||||
| 68 | Celgene Corp. (a) | 4,114 | ||||||
| 290 | Dendreon Corp. (a) | 11,432 | ||||||
|
| |||||||
| 76,301 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
| 171 | Edwards Lifesciences Corp. (a) | 14,881 | ||||||
| 33 | Intuitive Surgical, Inc. (a) | 12,280 | ||||||
|
| |||||||
| 27,161 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.9% |
| |||||||
| 697 | Express Scripts, Inc. (a) | 37,610 | ||||||
|
| |||||||
Health Care Technology — 0.8% |
| |||||||
| 242 | Cerner Corp. (a) (c) | 14,801 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
| 287 | Illumina, Inc. (a) | 21,568 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% |
| |||||||
| 449 | Allergan, Inc. | 37,337 | ||||||
| 240 | Novo Nordisk A/S, (Denmark), ADR | 30,055 | ||||||
|
| |||||||
| 67,392 | ||||||||
|
| |||||||
Total Health Care | 244,833 | |||||||
|
| |||||||
Industrials — 12.8% |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
| 247 | Goodrich Corp. | 23,541 | ||||||
| 150 | Precision Castparts Corp. | 24,697 | ||||||
|
| |||||||
| 48,238 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.8% |
| |||||||
| 189 | C.H. Robinson Worldwide, Inc. | 14,924 | ||||||
|
| |||||||
Machinery — 6.1% |
| |||||||
| 320 | Caterpillar, Inc. | 34,089 | ||||||
| 358 | Cummins, Inc. | 37,039 | ||||||
| 309 | Deere & Co. | 25,485 | ||||||
| 224 | Joy Global, Inc. | 21,372 | ||||||
|
| |||||||
| 117,985 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Road & Rail — 1.6% |
| |||||||
| 297 | Union Pacific Corp. | 31,007 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.8% |
| |||||||
| 227 | W.W. Grainger, Inc. | 34,848 | ||||||
|
| |||||||
Total Industrials | 247,002 | |||||||
|
| |||||||
Information Technology — 30.7% |
| |||||||
Communications Equipment — 2.0% |
| |||||||
| 61 | F5 Networks, Inc. (a) | 6,681 | ||||||
| 569 | QUALCOMM, Inc. | 32,319 | ||||||
|
| |||||||
| 39,000 | ||||||||
|
| |||||||
Computers & Peripherals — 8.8% |
| |||||||
| 377 | Apple, Inc. (a) | 126,638 | ||||||
| 628 | EMC Corp. (a) | 17,291 | ||||||
| 491 | NetApp, Inc. (a) | 25,936 | ||||||
|
| |||||||
| 169,865 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
| 381 | Amphenol Corp., Class A | 20,549 | ||||||
|
| |||||||
Internet Software & Services — 1.5% |
| |||||||
| 95 | Baidu, Inc., (China), ADR (a) | 13,368 | ||||||
| 32 | Google, Inc., Class A (a) | 16,192 | ||||||
|
| |||||||
| 29,560 | ||||||||
|
| |||||||
IT Services — 6.7% |
| |||||||
| 736 | Cognizant Technology Solutions Corp., Class A (a) | 53,971 | ||||||
| 367 | International Business Machines Corp. | 62,904 | ||||||
| 38 | MasterCard, Inc., Class A | 11,300 | ||||||
|
| |||||||
| 128,175 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 438 | Altera Corp. | 20,283 | ||||||
| 660 | ARM Holdings plc, (United Kingdom), ADR | 18,752 | ||||||
|
| |||||||
| 39,035 | ||||||||
|
| |||||||
Software — 8.6% |
| |||||||
| 224 | Citrix Systems, Inc. (a) | 17,920 | ||||||
| 167 | FactSet Research Systems, Inc. | 17,077 | ||||||
| 347 | Intuit, Inc. (a) | 18,016 | ||||||
| 1,046 | Oracle Corp. | 34,416 | ||||||
| 371 | Red Hat, Inc. (a) | 17,034 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
| 314 | Rovi Corp. (a) | 17,982 | ||||||
| 215 | Salesforce.com, Inc. (a) | 32,016 | ||||||
| 109 | VMware, Inc., Class A (a) | 10,965 | ||||||
|
| |||||||
| 165,426 | ||||||||
|
| |||||||
Total Information Technology | 591,610 | |||||||
|
| |||||||
Materials — 3.7% |
| |||||||
Chemicals — 2.5% |
| |||||||
| 78 | CF Industries Holdings, Inc. | 11,036 | ||||||
| 242 | Praxair, Inc. | 26,198 | ||||||
| 128 | Sherwin-Williams Co. (The) | 10,718 | ||||||
|
| |||||||
| 47,952 | ||||||||
|
| |||||||
Metals & Mining — 1.2% |
| |||||||
| 432 | Freeport-McMoRan Copper & Gold, Inc. | 22,853 | ||||||
|
| |||||||
Total Materials | 70,805 | |||||||
|
| |||||||
Total Common Stocks | 1,807,080 | |||||||
|
| |||||||
| Preferred Stock — 0.9% |
| ||||||
Consumer Staples — 0.9% |
| |||||||
Beverages — 0.9% |
| |||||||
| 508 | Cia de Bebidas das Americas, (Brazil), ADR | 17,142 | ||||||
|
| |||||||
| Short-Term Investment — 3.9% |
| ||||||
Investment Company — 3.9% |
| |||||||
| 74,802 | JPMorgan Liquid Assets Money Market Fund, | 74,802 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% (g) |
| ||||||
Investment Company — 0.0% (g) |
| |||||||
| 747 | JPMorgan Prime Money Market Fund, | 747 | ||||||
|
| |||||||
Total Investments — 98.6% | 1,899,771 | |||||||
Other Assets in Excess of | 26,228 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,925,999 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 100.1% |
| ||||||
Consumer Discretionary — 10.8% |
| |||||||
Auto Components — 1.6% | ||||||||
| 165 | Johnson Controls, Inc. | 6,879 | ||||||
| 68 | TRW Automotive Holdings Corp. (a) | 3,995 | ||||||
|
| |||||||
| 10,874 | ||||||||
|
| |||||||
Automobiles — 0.9% |
| |||||||
| 201 | General Motors Co. (a) | 6,117 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.5% |
| |||||||
| 87 | Carnival Corp. | 3,271 | ||||||
|
| |||||||
Household Durables — 0.0% (g) |
| |||||||
| 2 | Lennar Corp., Class A | 35 | ||||||
|
| |||||||
Media — 6.0% |
| |||||||
| 295 | CBS Corp. (Non-Voting), Class B | 8,408 | ||||||
| 132 | DIRECTV, Class A (a) | 6,714 | ||||||
| 122 | Gannett Co., Inc. | 1,753 | ||||||
| 46 | Time Warner Cable, Inc. | 3,581 | ||||||
| 256 | Time Warner, Inc. | 9,311 | ||||||
| 265 | Walt Disney Co. (The) | 10,340 | ||||||
|
| |||||||
| 40,107 | ||||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
| 70 | Kohl’s Corp. | 3,518 | ||||||
| 69 | Target Corp. | 3,233 | ||||||
|
| |||||||
| 6,751 | ||||||||
|
| |||||||
Specialty Retail — 0.8% |
| |||||||
| — | (h) | AutoZone, Inc. (a) | 35 | |||||
| 89 | Bed Bath & Beyond, Inc. (a) | 5,172 | ||||||
| 4 | Lowe’s Cos., Inc. | 84 | ||||||
|
| |||||||
| 5,291 | ||||||||
|
| |||||||
Total Consumer Discretionary | 72,446 | |||||||
|
| |||||||
Consumer Staples — 3.6% |
| |||||||
Beverages — 0.5% |
| |||||||
| 49 | Coca-Cola Co. (The) | 3,293 | ||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
| 273 | CVS Caremark Corp. | 10,261 | ||||||
|
| |||||||
Household Products — 1.6% |
| |||||||
| — | (h) | Colgate-Palmolive Co. | 27 | |||||
| 167 | Procter & Gamble Co. (The) | 10,603 | ||||||
|
| |||||||
| 10,630 | ||||||||
|
| |||||||
Total Consumer Staples | 24,184 | |||||||
|
| |||||||
Energy — 13.4% |
| |||||||
Energy Equipment & Services — 1.2% |
| |||||||
| 68 | Baker Hughes, Inc. | 4,925 | ||||||
| 61 | Halliburton Co. | 3,106 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — Continued |
| |||||||
| 1 | Schlumberger Ltd. | 84 | ||||||
|
| |||||||
| 8,115 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 12.2% |
| |||||||
| 100 | Anadarko Petroleum Corp. | 7,678 | ||||||
| 55 | Apache Corp. | 6,762 | ||||||
| 228 | Chevron Corp. | 23,486 | ||||||
| 196 | ConocoPhillips | 14,767 | ||||||
| 83 | Devon Energy Corp. | 6,509 | ||||||
| 30 | EOG Resources, Inc. | 3,162 | ||||||
| 1 | Exxon Mobil Corp. | 94 | ||||||
| 82 | Marathon Oil Corp. | 4,295 | ||||||
| 84 | Occidental Petroleum Corp. | 8,752 | ||||||
| 190 | Williams Cos., Inc. (The) | 5,733 | ||||||
|
| |||||||
| 81,238 | ||||||||
|
| |||||||
Total Energy | 89,353 | |||||||
|
| |||||||
Financials — 26.4% |
| |||||||
Capital Markets — 4.4% |
| |||||||
| 73 | Goldman Sachs Group, Inc. (The) | 9,671 | ||||||
| 322 | Morgan Stanley | 7,406 | ||||||
| 214 | State Street Corp. | 9,629 | ||||||
| 131 | TD Ameritrade Holding Corp. | 2,565 | ||||||
|
| |||||||
| 29,271 | ||||||||
|
| |||||||
Commercial Banks — 6.1% |
| |||||||
| 180 | BB&T Corp. | 4,837 | ||||||
| 2 | Comerica, Inc. | 56 | ||||||
| 214 | Fifth Third Bancorp | 2,730 | ||||||
| 8 | Huntington Bancshares, Inc. | 54 | ||||||
| 296 | U.S. Bancorp | 7,560 | ||||||
| 809 | Wells Fargo & Co. | 22,709 | ||||||
| 112 | Zions Bancorp | 2,689 | ||||||
|
| |||||||
| 40,635 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
| 132 | Capital One Financial Corp. | 6,807 | ||||||
| 310 | Imperial Holdings, Inc. (a) | 3,151 | ||||||
|
| |||||||
| 9,958 | ||||||||
|
| |||||||
Diversified Financial Services — 6.1% |
| |||||||
| 979 | Bank of America Corp. | 10,728 | ||||||
| 539 | Citigroup, Inc. | 22,454 | ||||||
| 2 | CME Group, Inc. | 671 | ||||||
| 478 | KKR Financial Holdings LLC | 4,688 | ||||||
| 136 | North American Financial Holdings, Inc., Class A (a) (e) (f) (i) | 2,306 | ||||||
|
| |||||||
| 40,847 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — 7.4% |
| |||||||
| 143 | ACE Ltd., (Switzerland) | 9,415 | ||||||
| 212 | Aflac, Inc. (m) | 9,897 | ||||||
| 1 | Berkshire Hathaway, Inc., Class B (a) | 41 | ||||||
| 39 | Everest Re Group Ltd., (Bermuda) | 3,212 | ||||||
| 306 | MetLife, Inc. | 13,418 | ||||||
| 209 | Prudential Financial, Inc. | 13,273 | ||||||
| 1 | RenaissanceRe Holdings Ltd., (Bermuda) | 35 | ||||||
|
| |||||||
| 49,291 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 340 | Annaly Capital Management, Inc. | 6,136 | ||||||
| 1 | HCP, Inc. | 43 | ||||||
|
| |||||||
| 6,179 | ||||||||
|
| |||||||
Total Financials | 176,181 | |||||||
|
| |||||||
Health Care — 14.5% |
| |||||||
Biotechnology — 1.8% |
| |||||||
| 67 | Biogen Idec, Inc. (a) | 7,167 | ||||||
| 81 | Celgene Corp. (a) | 4,862 | ||||||
|
| |||||||
| 12,029 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
| 25 | Becton, Dickinson & Co. | 2,138 | ||||||
| 168 | Covidien plc, (Ireland) | 8,919 | ||||||
| 46 | St. Jude Medical, Inc. | 2,182 | ||||||
|
| |||||||
| 13,239 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.3% |
| |||||||
| 42 | Humana, Inc. | 3,356 | ||||||
| 64 | McKesson Corp. | 5,324 | ||||||
| 257 | UnitedHealth Group, Inc. | 13,250 | ||||||
| 88 | WellPoint, Inc. | 6,913 | ||||||
|
| |||||||
| 28,843 | ||||||||
|
| |||||||
Pharmaceuticals — 6.4% |
| |||||||
| 114 | Abbott Laboratories | 6,020 | ||||||
| 109 | Johnson & Johnson | 7,232 | ||||||
| 482 | Merck & Co., Inc. | 16,994 | ||||||
| 627 | Pfizer, Inc. | 12,912 | ||||||
|
| |||||||
| 43,158 | ||||||||
|
| |||||||
Total Health Care | 97,269 | |||||||
|
| |||||||
Industrials — 9.0% |
| |||||||
Aerospace & Defense — 1.1% |
| |||||||
| 59 | Honeywell International, Inc. | 3,509 | ||||||
| 42 | United Technologies Corp. | 3,761 | ||||||
|
| |||||||
| 7,270 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — 0.6% |
| |||||||
| 58 | Fluor Corp. | 3,742 | ||||||
|
| |||||||
Industrial Conglomerates — 2.6% |
| |||||||
| 40 | 3M Co. | 3,833 | ||||||
| 407 | General Electric Co. | 7,673 | ||||||
| 126 | Tyco International Ltd., (Switzerland) | 6,230 | ||||||
|
| |||||||
| 17,736 | ||||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
| 92 | Eaton Corp. | 4,728 | ||||||
| 20 | Joy Global, Inc. | 1,864 | ||||||
| 69 | Navistar International Corp. (a) | 3,881 | ||||||
| 61 | Parker Hannifin Corp. | 5,493 | ||||||
|
| |||||||
| 15,966 | ||||||||
|
| |||||||
Road & Rail — 2.3% |
| |||||||
| 169 | Hertz Global Holdings, Inc. (a) | 2,683 | ||||||
| 130 | Norfolk Southern Corp. | 9,733 | ||||||
| 32 | Union Pacific Corp. | 3,311 | ||||||
|
| |||||||
| 15,727 | ||||||||
|
| |||||||
Total Industrials | 60,441 | |||||||
|
| |||||||
Information Technology — 12.0% |
| |||||||
Communications Equipment — 1.4% |
| |||||||
| 391 | Cisco Systems, Inc. | 6,105 | ||||||
| 52 | Motorola Mobility Holdings, Inc. (a) | 1,154 | ||||||
| 35 | QUALCOMM, Inc. | 1,965 | ||||||
|
| |||||||
| 9,224 | ||||||||
|
| |||||||
Computers & Peripherals — 2.2% |
| |||||||
| 15 | Apple, Inc. (a) | 5,099 | ||||||
| 258 | Hewlett-Packard Co. | 9,373 | ||||||
|
| |||||||
| 14,472 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.0% |
| |||||||
| 61 | Arrow Electronics, Inc. (a) | 2,523 | ||||||
| 90 | Avnet, Inc. (a) | 2,863 | ||||||
| 103 | Corning, Inc. | 1,869 | ||||||
| 124 | Ingram Micro, Inc., Class A (a) | 2,250 | ||||||
| 108 | TE Connectivity Ltd., (Switzerland) | 3,954 | ||||||
|
| |||||||
| 13,459 | ||||||||
|
| |||||||
IT Services — 1.6% |
| |||||||
| 29 | Accenture plc, (Ireland), Class A | 1,728 | ||||||
| 35 | Global Payments, Inc. | 1,764 | ||||||
| 13 | MasterCard, Inc., Class A | 3,999 | ||||||
| 151 | Western Union Co. (The) | 3,032 | ||||||
|
| |||||||
| 10,523 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 122 | Broadcom Corp., Class A (a) | 4,114 | ||||||
| 102 | Freescale Semiconductor Holdings I Ltd. (a) (c) | 1,872 | ||||||
| 298 | Intel Corp. | 6,613 | ||||||
| 61 | Lam Research Corp. (a) | 2,684 | ||||||
| 241 | Micron Technology, Inc. (a) | 1,802 | ||||||
| 1 | Novellus Systems, Inc. (a) | 18 | ||||||
| 140 | Xilinx, Inc. | 5,101 | ||||||
|
| |||||||
| 22,204 | ||||||||
|
| |||||||
Software — 1.5% |
| |||||||
| 52 | Adobe Systems, Inc. (a) | 1,629 | ||||||
| 325 | Microsoft Corp. | 8,452 | ||||||
|
| |||||||
| 10,081 | ||||||||
|
| |||||||
Total Information Technology | 79,963 | |||||||
|
| |||||||
Materials — 3.7% |
| |||||||
Chemicals — 2.1% |
| |||||||
| 160 | Dow Chemical Co. (The) | 5,764 | ||||||
| 152 | E.I. du Pont de Nemours & Co. | 8,206 | ||||||
|
| |||||||
| 13,970 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% |
| |||||||
| 67 | Ball Corp. | 2,592 | ||||||
| 69 | Crown Holdings, Inc. (a) | 2,659 | ||||||
|
| |||||||
| 5,251 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
| 332 | Alcoa, Inc. | 5,266 | ||||||
|
| |||||||
Total Materials | 24,487 | |||||||
|
| |||||||
Telecommunication Services — 3.6% |
| |||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
| 434 | Verizon Communications, Inc. | 16,146 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.2% |
| |||||||
| 1,442 | Sprint Nextel Corp. (a) | 7,772 | ||||||
|
| |||||||
Total Telecommunication Services | 23,918 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 3.1% |
| |||||||
Electric Utilities — 1.5% |
| |||||||
| 1 | FirstEnergy Corp. | 64 | ||||||
| 111 | NextEra Energy, Inc. | 6,383 | ||||||
| 217 | NV Energy, Inc. | 3,333 | ||||||
|
| |||||||
| 9,780 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
| 13 | Oneok, Inc. | 928 | ||||||
|
| |||||||
Multi-Utilities — 0.8% |
| |||||||
| 86 | CenterPoint Energy, Inc. | 1,654 | ||||||
| 72 | Sempra Energy | 3,833 | ||||||
|
| |||||||
| 5,487 | ||||||||
|
| |||||||
Water Utilities — 0.7% |
| |||||||
| 151 | American Water Works Co., Inc. | 4,446 | ||||||
|
| |||||||
Total Utilities | 20,641 | |||||||
|
| |||||||
Total Common Stocks | 668,883 | |||||||
|
| |||||||
| Short-Term Investment — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
| 527 | JPMorgan Liquid Assets Money Market Fund, | 527 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.3% |
| ||||||
Investment Company — 0.3% |
| |||||||
| 1,765 | JPMorgan Prime Money Market Fund, | 1,765 | ||||||
|
| |||||||
Total Investments — 100.5% | 671,175 | |||||||
Liabilities in Excess of | (3,351 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 667,824 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.3% |
| ||||||
Consumer Discretionary — 13.3% |
| |||||||
Auto Components — 1.7% |
| |||||||
| 119 | BorgWarner, Inc. (a) | 9,587 | ||||||
| 1,701 | Johnson Controls, Inc. | 70,849 | ||||||
| 41 | TRW Automotive Holdings Corp. (a) | 2,408 | ||||||
|
| |||||||
| 82,844 | ||||||||
|
| |||||||
Automobiles — 1.0% |
| |||||||
| 1,560 | General Motors Co. (a) | 47,364 | ||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
| 101 | ITT Educational Services, Inc. (a) | 7,871 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% |
| |||||||
| 912 | Carnival Corp. | 34,337 | ||||||
| 46 | Darden Restaurants, Inc. | 2,285 | ||||||
| 113 | McDonald’s Corp. | 9,569 | ||||||
| 60 | Starwood Hotels & Resorts Worldwide, Inc. (c) | 3,372 | ||||||
| 41 | Wynn Resorts Ltd. | 5,815 | ||||||
| 496 | Yum! Brands, Inc. | 27,385 | ||||||
|
| |||||||
| 82,763 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
| 425 | Lennar Corp., Class A | 7,707 | ||||||
| 15 | NVR, Inc. (a) (c) | 10,936 | ||||||
|
| |||||||
| 18,643 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.8% |
| |||||||
| 388 | Amazon.com, Inc. (a) | 79,363 | ||||||
| 12 | NetFlix, Inc. (a) (c) | 3,252 | ||||||
| 12 | priceline.com, Inc. (a) | 6,317 | ||||||
|
| |||||||
| 88,932 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.1% |
| |||||||
| 131 | Mattel, Inc. | 3,607 | ||||||
|
| |||||||
Media — 3.9% |
| |||||||
| 870 | CBS Corp. (Non-Voting), Class B | 24,793 | ||||||
| 816 | Comcast Corp., Class A | 20,690 | ||||||
| 293 | DIRECTV, Class A (a) | 14,887 | ||||||
| 502 | Gannett Co., Inc. | 7,195 | ||||||
| 2,804 | Time Warner, Inc. | 101,974 | ||||||
| 540 | Walt Disney Co. (The) | 21,062 | ||||||
|
| |||||||
| 190,601 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
| 81 | Dollar Tree, Inc. (a) | 5,424 | ||||||
| 145 | Kohl’s Corp. | 7,240 | ||||||
| 224 | Target Corp. | 10,511 | ||||||
|
| |||||||
| 23,175 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 1.4% |
| |||||||
| 49 | AutoZone, Inc. (a) | 14,409 | ||||||
| 54 | Bed Bath & Beyond, Inc. (a) | 3,146 | ||||||
| 619 | Home Depot, Inc. | 22,425 | ||||||
| 780 | Lowe’s Cos., Inc. | 18,191 | ||||||
| 98 | O’Reilly Automotive, Inc. (a) | 6,405 | ||||||
| 164 | Staples, Inc. | 2,584 | ||||||
|
| |||||||
| 67,160 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 218 | Coach, Inc. | 13,963 | ||||||
| 49 | Fossil, Inc. (a) | 5,740 | ||||||
| 8 | NIKE, Inc., Class B | 679 | ||||||
| 60 | Polo Ralph Lauren Corp. | 7,951 | ||||||
| 17 | V.F. Corp. | 1,813 | ||||||
|
| |||||||
| 30,146 | ||||||||
|
| |||||||
Total Consumer Discretionary | 643,106 | |||||||
|
| |||||||
Consumer Staples — 7.3% |
| |||||||
Beverages — 2.6% |
| |||||||
| 1,295 | Coca-Cola Co. (The) | 87,158 | ||||||
| 14 | Dr. Pepper Snapple Group, Inc. | 604 | ||||||
| 548 | PepsiCo, Inc. | 38,585 | ||||||
|
| |||||||
| 126,347 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
| 466 | CVS Caremark Corp. | 17,519 | ||||||
| 481 | Sysco Corp. | 14,989 | ||||||
| 197 | Wal-Mart Stores, Inc. | 10,492 | ||||||
|
| |||||||
| 43,000 | ||||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
| 612 | Campbell Soup Co. | 21,160 | ||||||
| 576 | General Mills, Inc. | 21,421 | ||||||
| 103 | Kellogg Co. | 5,712 | ||||||
|
| |||||||
| 48,293 | ||||||||
|
| |||||||
Household Products — 2.4% |
| |||||||
| 331 | Colgate-Palmolive Co. | 28,950 | ||||||
| 1,415 | Procter & Gamble Co. (The) | 89,965 | ||||||
|
| |||||||
| 118,915 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
| 74 | Estee Lauder Cos., Inc. (The), Class A | 7,813 | ||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
| 132 | Philip Morris International, Inc. | 8,818 | ||||||
|
| |||||||
Total Consumer Staples | 353,186 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Energy — 12.9% |
| |||||||
Energy Equipment & Services — 3.0% |
| |||||||
| 122 | Baker Hughes, Inc. | 8,852 | ||||||
| 201 | Cameron International Corp. (a) | 10,099 | ||||||
| 116 | FMC Technologies, Inc. (a) | 5,196 | ||||||
| 134 | Halliburton Co. | 6,833 | ||||||
| 214 | National Oilwell Varco, Inc. | 16,748 | ||||||
| 1,109 | Schlumberger Ltd. | 95,793 | ||||||
|
| |||||||
| 143,521 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.9% |
| |||||||
| 59 | Anadarko Petroleum Corp. | 4,552 | ||||||
| 168 | Apache Corp. | 20,769 | ||||||
| 1,006 | Chevron Corp. | 103,470 | ||||||
| 72 | Concho Resources, Inc. (a) | 6,639 | ||||||
| 646 | ConocoPhillips | 48,597 | ||||||
| 375 | Devon Energy Corp. | 29,587 | ||||||
| 441 | EOG Resources, Inc. | 46,071 | ||||||
| 1,217 | Exxon Mobil Corp. | 99,034 | ||||||
| 48 | Marathon Oil Corp. | 2,534 | ||||||
| 20 | Noble Energy, Inc. | 1,785 | ||||||
| 722 | Occidental Petroleum Corp. | 75,113 | ||||||
| 269 | Southwestern Energy Co. (a) | 11,528 | ||||||
| 93 | Whiting Petroleum Corp. (a) | 5,314 | ||||||
| 739 | Williams Cos., Inc. (The) | 22,359 | ||||||
|
| |||||||
| 477,352 | ||||||||
|
| |||||||
Total Energy | 620,873 | |||||||
|
| |||||||
Financials — 13.3% |
| |||||||
Capital Markets — 2.8% |
| |||||||
| 373 | Goldman Sachs Group, Inc. (The) | 49,686 | ||||||
| 569 | Invesco Ltd. | 13,322 | ||||||
| 1,494 | Morgan Stanley | 34,381 | ||||||
| 558 | State Street Corp. | 25,154 | ||||||
| 83 | T. Rowe Price Group, Inc. | 4,998 | ||||||
| 263 | TD Ameritrade Holding Corp. | 5,140 | ||||||
|
| |||||||
| 132,681 | ||||||||
|
| |||||||
Commercial Banks — 2.9% |
| |||||||
| 303 | BB&T Corp. | 8,136 | ||||||
| 943 | Fifth Third Bancorp | 12,024 | ||||||
| 154 | Huntington Bancshares, Inc. | 1,009 | ||||||
| 88 | SVB Financial Group (a) (c) | 5,281 | ||||||
| 527 | U.S. Bancorp | 13,443 | ||||||
| 3,381 | Wells Fargo & Co. | 94,858 | ||||||
| 232 | Zions Bancorp | 5,576 | ||||||
|
| |||||||
| 140,327 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Finance — 0.6% |
| |||||||
| 417 | American Express Co. | 21,565 | ||||||
| 79 | Capital One Financial Corp. | 4,074 | ||||||
| 187 | Imperial Holdings, Inc. (a) | 1,897 | ||||||
|
| |||||||
| 27,536 | ||||||||
|
| |||||||
Diversified Financial Services — 3.2% |
| |||||||
| 5,020 | Bank of America Corp. | 55,023 | ||||||
| 1,827 | Citigroup, Inc. | 76,080 | ||||||
| 29 | CME Group, Inc. | 8,526 | ||||||
| 100 | IntercontinentalExchange, Inc. (a) | 12,426 | ||||||
| 372 | KKR Financial Holdings LLC | 3,651 | ||||||
|
| |||||||
| 155,706 | ||||||||
|
| |||||||
Insurance — 3.4% |
| |||||||
| 444 | ACE Ltd., (Switzerland) | 29,231 | ||||||
| 493 | Aflac, Inc. (m) | 23,001 | ||||||
| 71 | Axis Capital Holdings Ltd., (Bermuda) | 2,196 | ||||||
| 113 | Berkshire Hathaway, Inc., Class B (a) | 8,751 | ||||||
| 78 | Everest Re Group Ltd., (Bermuda) | 6,355 | ||||||
| 240 | First American Financial Corp. | 3,761 | ||||||
| 928 | MetLife, Inc. | 40,716 | ||||||
| 597 | Prudential Financial, Inc. | 37,958 | ||||||
| 88 | RenaissanceRe Holdings Ltd., (Bermuda) | 6,165 | ||||||
| 205 | XL Group plc, (Ireland) | 4,504 | ||||||
|
| |||||||
| 162,638 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
| 163 | Annaly Capital Management, Inc. | 2,931 | ||||||
| 436 | HCP, Inc. | 16,009 | ||||||
| 32 | ProLogis, Inc. | 1,136 | ||||||
| 27 | Regency Centers Corp. | 1,189 | ||||||
|
| |||||||
| 21,265 | ||||||||
|
| |||||||
Total Financials | 640,153 | |||||||
|
| |||||||
Health Care — 13.1% |
| |||||||
Biotechnology — 2.6% |
| |||||||
| 159 | Alexion Pharmaceuticals, Inc. (a) | 7,459 | ||||||
| 543 | Biogen Idec, Inc. (a) | 58,030 | ||||||
| 695 | Celgene Corp. (a) | 41,939 | ||||||
| 467 | Dendreon Corp. (a) | 18,419 | ||||||
|
| |||||||
| 125,847 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.9% |
| |||||||
| 257 | Becton, Dickinson & Co. | 22,119 | ||||||
| 808 | �� | Covidien plc, (Ireland) | 42,996 | |||||
| 43 | Edwards Lifesciences Corp. (a) | 3,743 | ||||||
| 8 | Intuitive Surgical, Inc. (a) | 3,074 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
| 421 | St. Jude Medical, Inc. | 20,094 | ||||||
|
| |||||||
| 92,026 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
| 466 | Cardinal Health, Inc. | 21,145 | ||||||
| 168 | DaVita, Inc. (a) | 14,589 | ||||||
| 179 | Express Scripts, Inc. (a) | 9,651 | ||||||
| 265 | Humana, Inc. | 21,345 | ||||||
| 199 | McKesson Corp. | 16,682 | ||||||
| 780 | UnitedHealth Group, Inc. | 40,218 | ||||||
| 148 | WellPoint, Inc. | 11,635 | ||||||
|
| |||||||
| 135,265 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 66 | Cerner Corp. (a) | 4,058 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
| 73 | Illumina, Inc. (a) | 5,468 | ||||||
| 56 | Thermo Fisher Scientific, Inc. (a) | 3,631 | ||||||
|
| |||||||
| 9,099 | ||||||||
|
| |||||||
Pharmaceuticals — 5.5% |
| |||||||
| 1,288 | Abbott Laboratories | 67,791 | ||||||
| 115 | Allergan, Inc. | 9,607 | ||||||
| 613 | Johnson & Johnson | 40,804 | ||||||
| 2,514 | Merck & Co., Inc. | 88,731 | ||||||
| 188 | Mylan, Inc. (a) | 4,633 | ||||||
| 63 | Novo Nordisk A/S, (Denmark), ADR | 7,855 | ||||||
| 1,756 | Pfizer, Inc. | 36,183 | ||||||
| 247 | Teva Pharmaceutical Industries Ltd., | 11,892 | ||||||
|
| |||||||
| 267,496 | ||||||||
|
| |||||||
Total Health Care | 633,791 | |||||||
|
| |||||||
Industrials — 10.1% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
| 63 | Goodrich Corp. | 6,055 | ||||||
| 710 | Honeywell International, Inc. | 42,323 | ||||||
| 38 | Precision Castparts Corp. | 6,289 | ||||||
| 926 | United Technologies Corp. | 81,994 | ||||||
|
| |||||||
| 136,661 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
| 49 | C.H. Robinson Worldwide, Inc. | 3,832 | ||||||
|
| |||||||
Construction & Engineering — 0.6% |
| |||||||
| 481 | Fluor Corp. | 31,096 | ||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
| 314 | Emerson Electric Co. | 17,679 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrial Conglomerates — 1.9% |
| |||||||
| 439 | 3M Co. | 41,637 | ||||||
| 1,012 | General Electric Co. | 19,091 | ||||||
| 656 | Tyco International Ltd., (Switzerland) | 32,405 | ||||||
|
| |||||||
| 93,133 | ||||||||
|
| |||||||
Machinery — 1.9% |
| |||||||
| 82 | Caterpillar, Inc. | 8,714 | ||||||
| 92 | Cummins, Inc. | 9,521 | ||||||
| 83 | Deere & Co. | 6,833 | ||||||
| 71 | Joy Global, Inc. | 6,789 | ||||||
| 1,114 | PACCAR, Inc. | 56,904 | ||||||
| 44 | Parker Hannifin Corp. | 3,906 | ||||||
|
| |||||||
| 92,667 | ||||||||
|
| |||||||
Road & Rail — 2.2% |
| |||||||
| 840 | CSX Corp. | 22,036 | ||||||
| 102 | Hertz Global Holdings, Inc. (a) | 1,616 | ||||||
| 637 | Norfolk Southern Corp. | 47,696 | ||||||
| 320 | Union Pacific Corp. | 33,384 | ||||||
|
| |||||||
| 104,732 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
| 58 | W.W. Grainger, Inc. (c) | 8,896 | ||||||
|
| |||||||
Total Industrials | 488,696 | |||||||
|
| |||||||
Information Technology — 18.6% |
| |||||||
Communications Equipment — 2.4% |
| |||||||
| 3,096 | Cisco Systems, Inc. | 48,329 | ||||||
| 15 | F5 Networks, Inc. (a) | 1,622 | ||||||
| 720 | Juniper Networks, Inc. (a) | 22,685 | ||||||
| 117 | Motorola Mobility Holdings, Inc. (a) | 2,576 | ||||||
| 747 | QUALCOMM, Inc. | 42,430 | ||||||
|
| |||||||
| 117,642 | ||||||||
|
| |||||||
Computers & Peripherals — 4.9% |
| |||||||
| 588 | Apple, Inc. (a) | 197,323 | ||||||
| 302 | EMC Corp. (a) | 8,322 | ||||||
| 483 | Hewlett-Packard Co. | 17,570 | ||||||
| 125 | NetApp, Inc. (a) | 6,592 | ||||||
| 122 | SanDisk Corp. (a) | 5,053 | ||||||
|
| |||||||
| 234,860 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
| 97 | Amphenol Corp., Class A | 5,215 | ||||||
| 37 | Arrow Electronics, Inc. (a) | 1,535 | ||||||
| 54 | Avnet, Inc. (a) | 1,728 | ||||||
| 76 | Ingram Micro, Inc., Class A (a) | 1,370 | ||||||
| 563 | TE Connectivity Ltd., (Switzerland) | 20,690 | ||||||
|
| |||||||
| 30,538 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Internet Software & Services — 0.5% |
| |||||||
| 28 | Baidu, Inc., (China), ADR (a) | 3,898 | ||||||
| 36 | Google, Inc., Class A (a) | 18,366 | ||||||
|
| |||||||
| 22,264 | ||||||||
|
| |||||||
IT Services — 3.2% |
| |||||||
| 245 | Accenture plc, (Ireland), Class A | 14,800 | ||||||
| 614 | Cognizant Technology Solutions Corp., | 45,011 | ||||||
| 500 | Genpact Ltd., (Bermuda) (a) | 8,626 | ||||||
| 27 | Global Payments, Inc. | 1,376 | ||||||
| 238 | International Business Machines Corp. | 40,744 | ||||||
| 85 | MasterCard, Inc., Class A | 25,720 | ||||||
| 260 | VeriFone Systems, Inc. (a) | 11,552 | ||||||
| 38 | Visa, Inc., Class A | 3,209 | ||||||
| 93 | Western Union Co. (The) | 1,857 | ||||||
|
| |||||||
| 152,895 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.7% |
| |||||||
| 106 | Altera Corp. | 4,928 | ||||||
| 148 | Analog Devices, Inc. | 5,802 | ||||||
| 170 | ARM Holdings plc, (United Kingdom), ADR | 4,832 | ||||||
| 976 | Broadcom Corp., Class A (a) | 32,821 | ||||||
| 566 | Freescale Semiconductor Holdings I Ltd. (a) | 10,413 | ||||||
| 176 | Intel Corp. | 3,902 | ||||||
| 112 | KLA-Tencor Corp. | 4,548 | ||||||
| 749 | Lam Research Corp. (a) | 33,162 | ||||||
| 75 | Novellus Systems, Inc. (a) | 2,716 | ||||||
| 829 | Xilinx, Inc. | 30,246 | ||||||
|
| |||||||
| 133,370 | ||||||||
|
| |||||||
Software — 4.3% |
| |||||||
| 580 | Adobe Systems, Inc. (a) | 18,238 | ||||||
| 154 | Citrix Systems, Inc. (a) | 12,325 | ||||||
| 42 | FactSet Research Systems, Inc. | 4,307 | ||||||
| 90 | Intuit, Inc. (a) | 4,654 | ||||||
| 3,594 | Microsoft Corp. | 93,446 | ||||||
| 1,669 | Oracle Corp. | 54,918 | ||||||
| 94 | Red Hat, Inc. (a) | 4,301 | ||||||
| 79 | Rovi Corp. (a) | 4,549 | ||||||
| 55 | Salesforce.com, Inc. (a) | 8,235 | ||||||
| 27 | VMware, Inc., Class A (a) | 2,716 | ||||||
|
| |||||||
| 207,689 | ||||||||
|
| |||||||
Total Information Technology | 899,258 | |||||||
|
| |||||||
Materials — 3.8% |
| |||||||
Chemicals — 2.6% |
| |||||||
| 302 | Air Products & Chemicals, Inc. | 28,857 | ||||||
| 20 | CF Industries Holdings, Inc. | 2,835 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 680 | Dow Chemical Co. (The) | 24,490 | ||||||
| 991 | E.I. du Pont de Nemours & Co. | 53,587 | ||||||
| 265 | Georgia Gulf Corp. (a) | 6,387 | ||||||
| 61 | Praxair, Inc. | 6,644 | ||||||
| 32 | Sherwin-Williams Co. (The) | 2,698 | ||||||
|
| |||||||
| 125,498 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
| 41 | Ball Corp. | 1,558 | ||||||
| 177 | Crown Holdings, Inc. (a) | 6,863 | ||||||
|
| |||||||
| 8,421 | ||||||||
|
| |||||||
Metals & Mining — 1.0% |
| |||||||
| 1,550 | Alcoa, Inc. | 24,582 | ||||||
| 425 | Freeport-McMoRan Copper & Gold, Inc. | 22,461 | ||||||
|
| |||||||
| 47,043 | ||||||||
|
| |||||||
Total Materials | 180,962 | |||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
| 829 | AT&T, Inc. | 26,051 | ||||||
| 586 | Frontier Communications Corp. | 4,732 | ||||||
| 2,129 | Verizon Communications, Inc. | 79,271 | ||||||
|
| |||||||
| 110,054 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
| 65 | American Tower Corp., Class A (a) | 3,399 | ||||||
| 7,966 | Sprint Nextel Corp. (a) | 42,939 | ||||||
|
| |||||||
| 46,338 | ||||||||
|
| |||||||
Total Telecommunication Services | 156,392 | |||||||
|
| |||||||
Utilities — 2.7% |
| |||||||
Electric Utilities — 1.5% |
| |||||||
| 311 | FirstEnergy Corp. | 13,728 | ||||||
| 633 | NextEra Energy, Inc. | 36,387 | ||||||
| 403 | Northeast Utilities | 14,161 | ||||||
| 695 | NV Energy, Inc. | 10,667 | ||||||
|
| |||||||
| 74,943 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
| 153 | AGL Resources, Inc. | 6,216 | ||||||
| 60 | Oneok, Inc. | 4,419 | ||||||
|
| |||||||
| 10,635 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.2% |
| |||||||
| 231 | Constellation Energy Group, Inc. | 8,779 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Multi-Utilities — 0.6% |
| |||||||
| 602 | CenterPoint Energy, Inc. | 11,641 | ||||||
| 360 | Sempra Energy | 19,015 | ||||||
|
| |||||||
| 30,656 | ||||||||
|
| |||||||
Water Utilities — 0.2% |
| |||||||
| 254 | American Water Works Co., Inc. | 7,475 | ||||||
|
| |||||||
Total Utilities | 132,488 | |||||||
|
| |||||||
Total Common Stocks | 4,748,905 | |||||||
|
| |||||||
| Preferred Stock — 0.1% |
| ||||||
Consumer Staples — 0.1% |
| |||||||
Beverages — 0.1% |
| |||||||
| 128 | Cia de Bebidas das Americas, (Brazil), ADR | 4,314 | ||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.1% |
| ||||||
| 3,200 | U.S. Treasury Note, 0.625%, 06/30/12 (k) (m) | 3,213 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.2% |
| ||||||
Investment Company — 1.2% |
| |||||||
| 60,008 | JPMorgan Prime Money Market Fund, | 60,008 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
| 7,243 | JPMorgan Prime Money Market Fund, | 7,243 | ||||||
|
| |||||||
Total Investments — 99.8% | 4,823,683 | |||||||
Other Assets in Excess of | 8,725 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,832,408 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 564 | E-mini S&P 500 | 09/16/11 | $ | 37,097 | $ | 1,214 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 39 | ||||||
Table of Contents
J.P. Morgan Large Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
| ADR | — American Depositary Receipt | |
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Security, or portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |
| (e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. | |
| (f) | — Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The following approximates the value and percentage of these investments based on total investments (amounts in thousands): | |||||
| Fund | Value | Percentage | ||||
| Large Cap Value Fund | $2,306 | 0.3 | % | |||
| (g) | — Amount rounds to less than 0.1%. | |||||
| (h) | — Amount rounds to less than one thousand (shares or dollars). | |||||
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. | |||||
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. | |||||
| (l) | — The rate shown is the current yield as of June 30, 2011. | |||||
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011
(Amounts in thousands, except per share amounts)
| Disciplined Equity Fund | Dynamic Growth Fund | Equity Income Fund | Growth and Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 700,847 | $ | 42,259 | $ | 451,874 | $ | 310,343 | ||||||||
Investments in affiliates, at value | 7,827 | 2,119 | 10,963 | 10,780 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 708,674 | 44,378 | 462,837 | 321,123 | ||||||||||||
Cash | — | — | — | (a) | — | (a) | ||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 3,296 | 1,045 | — | — | ||||||||||||
Fund shares sold | 3,678 | — | 3,405 | 91 | ||||||||||||
Interest and dividends | 773 | 9 | 913 | 326 | ||||||||||||
Securities lending income | 1 | — | 1 | 2 | ||||||||||||
Variation margin on futures contracts | 65 | — | — | — | ||||||||||||
Prepaid expenses and other assets | �� | 18 | — | — | 2 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 716,505 | 45,432 | 467,156 | 321,544 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 22 | — | 425 | 49 | ||||||||||||
Investment securities purchased | 3,145 | 1,243 | 2,718 | — | ||||||||||||
Collateral for securities lending program | 728 | — | 3,339 | — | ||||||||||||
Fund shares redeemed | 153 | 250 | 594 | 156 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 138 | 21 | 113 | 102 | ||||||||||||
Administration fees | 40 | 3 | 32 | 24 | ||||||||||||
Shareholder servicing fees | 13 | 9 | 88 | 64 | ||||||||||||
Distribution fees | — | (a) | — | (a) | 63 | 67 | ||||||||||
Custodian and accounting fees | 31 | 13 | 14 | 8 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | (a) | 4 | — | |||||||||||
Transfer agent fees | — | 8 | 43 | 139 | ||||||||||||
Other | 53 | 37 | 45 | 76 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 4,324 | 1,584 | 7,478 | 685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 712,181 | $ | 43,848 | $ | 459,678 | $ | 320,859 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Disciplined Equity Fund | Dynamic Growth Fund | Equity Income Fund | Growth and Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 635,788 | $ | 44,065 | $ | 375,012 | $ | 330,047 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 125 | — | (a) | (477 | ) | (67 | ) | |||||||||
Accumulated net realized gains (losses) | (21,817 | ) | (1,925 | ) | 1,031 | (94,457 | ) | |||||||||
Net unrealized appreciation (depreciation) | 98,085 | 1,708 | 84,112 | 85,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 712,181 | $ | 43,848 | $ | 459,678 | $ | 320,859 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 3,399 | $ | 103 | $ | 217,462 | $ | 306,850 | ||||||||
Class B | — | — | 5,962 | 4,439 | ||||||||||||
Class C | — | 102 | 28,947 | 3,837 | ||||||||||||
Class R2 | — | — | 51 | — | ||||||||||||
Class R5 | — | 26 | 2,925 | — | ||||||||||||
Class R6 | 577,140 | — | — | — | ||||||||||||
Institutional Class | 119,152 | — | — | — | ||||||||||||
Select Class | 12,490 | 43,617 | 204,331 | 5,733 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 712,181 | $ | 43,848 | $ | 459,678 | $ | 320,859 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 202 | 7 | 23,177 | 10,859 | ||||||||||||
Class B | — | — | 639 | 161 | ||||||||||||
Class C | — | 7 | 3,113 | 146 | ||||||||||||
Class R2 | — | — | 5 | — | ||||||||||||
Class R5 | — | 2 | 308 | — | ||||||||||||
Class R6 | 34,294 | — | — | — | ||||||||||||
Institutional Class | 7,080 | — | — | — | ||||||||||||
Select Class | 741 | 2,794 | 21,518 | 195 | ||||||||||||
Net Asset Value: | ||||||||||||||||
Class A — Redemption price per share | $ | 16.80 | $ | 15.47 | $ | 9.38 | $ | 28.26 | ||||||||
Class B — Offering price per share (b) | — | — | 9.33 | 27.62 | ||||||||||||
Class C — Offering price per share (b) | — | 15.21 | 9.30 | 26.27 | ||||||||||||
Class R2 — Offering and redemption price per share | — | — | 9.38 | — | ||||||||||||
Class R5 — Offering and redemption price per share | — | 15.72 | 9.49 | — | ||||||||||||
Class R6 — Offering and redemption price per share | 16.83 | — | — | — | ||||||||||||
Institutional Class — Offering and redemption price per share | 16.83 | — | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 16.86 | 15.61 | 9.50 | 29.39 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 17.73 | $ | 16.33 | $ | 9.90 | $ | 29.83 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 603,025 | $ | 40,551 | $ | 367,762 | $ | 225,007 | ||||||||
Cost of investments in affiliates | 7,827 | 2,119 | 10,963 | 10,780 | ||||||||||||
Value of securities on loan | 706 | — | 3,306 | — | ||||||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except per share amounts)
| Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 1,824,222 | $ | 668,883 | $ | 4,756,432 | ||||||
Investments in affiliates, at value | 75,549 | 2,292 | 67,251 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 1,899,771 | 671,175 | 4,823,683 | |||||||||
Cash | 1 | — | 3 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 6,605 | 7,359 | 29,858 | |||||||||
Fund shares sold | 34,441 | 111 | 18,575 | |||||||||
Interest and dividends | 1,194 | 888 | 4,694 | |||||||||
Securities lending income | — | (a) | 3 | 3 | ||||||||
Variation margin on futures contracts | — | — | 316 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,942,012 | 679,536 | 4,877,132 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | — | 1,748 | 6,790 | |||||||||
Investment securities purchased | 11,333 | 7,349 | 21,706 | |||||||||
Collateral for securities lending program | 747 | 1,765 | 7,243 | |||||||||
Fund shares redeemed | 2,220 | 298 | 5,924 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 705 | 213 | 1,283 | |||||||||
Administration fees | 128 | 50 | 342 | |||||||||
Shareholder servicing fees | 347 | 125 | 735 | |||||||||
Distribution fees | 92 | 9 | 127 | |||||||||
Custodian and accounting fees | 15 | 16 | 92 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 3 | 3 | |||||||||
Other | 424 | 136 | 479 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 16,013 | 11,712 | 44,724 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,925,999 | $ | 667,824 | $ | 4,832,408 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 1,913,678 | $ | 688,751 | $ | 4,078,458 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (37 | ) | 236 | 170 | ||||||||
Accumulated net realized gains (losses) | (50,892 | ) | (147,919 | ) | (137,988 | ) | ||||||
Net unrealized appreciation (depreciation) | 63,250 | 126,756 | 891,768 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,925,999 | $ | 667,824 | $ | 4,832,408 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 328,012 | $ | 25,668 | $ | 426,536 | ||||||
Class B | 18,374 | 2,336 | 7,113 | |||||||||
Class C | 31,181 | 3,186 | 57,089 | |||||||||
Class R2 | 626 | 123 | 8,533 | |||||||||
Class R5 | 53,668 | 28,479 | 153,501 | |||||||||
Class R6 | 30,386 | 11,006 | 549,478 | |||||||||
Institutional Class | — | — | 500,991 | |||||||||
Select Class | 1,463,752 | 597,026 | 3,129,167 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,925,999 | $ | 667,824 | $ | 4,832,408 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 14,657 | 2,242 | 40,047 | |||||||||
Class B | 922 | 207 | 677 | |||||||||
Class C | 1,577 | 284 | 5,452 | |||||||||
Class R2 | 28 | 11 | 804 | |||||||||
Class R5 | 2,397 | 2,510 | 14,393 | |||||||||
Class R6 | 1,356 | 970 | 51,489 | |||||||||
Institutional Class | — | — | 46,982 | |||||||||
Select Class | 65,616 | 52,824 | 293,828 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 22.38 | $ | 11.45 | $ | 10.65 | ||||||
Class B — Offering price per share (b) | 19.93 | 11.28 | 10.51 | |||||||||
Class C — Offering price per share (b) | 19.77 | 11.22 | 10.47 | |||||||||
Class R2 — Offering and redemption price per share | 22.24 | 11.42 | 10.62 | |||||||||
Class R5 — Offering and redemption price per share | 22.39 | 11.34 | 10.66 | |||||||||
Class R6 — Offering and redemption price per share | 22.40 | 11.34 | 10.67 | |||||||||
Institutional Class — Offering and redemption price per share | — | — | 10.66 | |||||||||
Select Class — Offering and redemption price per share | 22.31 | 11.30 | 10.65 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 23.62 | $ | 12.08 | $ | 11.24 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 1,760,972 | $ | 542,127 | $ | 3,865,878 | ||||||
Cost of investments in affiliates | 75,549 | 2,292 | 67,251 | |||||||||
Value of securities on loan | 739 | 1,778 | 7,105 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2011
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | Equity Income Fund | Growth and Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 2 | $ | — | $ | — | $ | — | ||||||||
Dividend income from non-affiliates | 9,985 | 94 | 9,236 | 6,905 | ||||||||||||
Dividend income from affiliates | 10 | 1 | 10 | 5 | ||||||||||||
Income from securities lending (net) | 19 | — | 21 | 29 | ||||||||||||
Other income | 75 | — | 33 | 69 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 10,091 | 95 | 9,300 | 7,008 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,311 | 103 | 1,151 | 1,243 | ||||||||||||
Administration fees | 470 | 15 | 258 | 280 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 5 | — | (a) | 352 | 748 | |||||||||||
Class B | — | — | 48 | 37 | ||||||||||||
Class C | — | 1 | 103 | 24 | ||||||||||||
Class R2 | — | — | — | (a) | — | |||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 5 | — | (a) | 352 | 748 | |||||||||||
Class B | — | — | 16 | 13 | ||||||||||||
Class C | — | — | (a) | 34 | 8 | |||||||||||
Class R2 | — | — | — | (a) | — | |||||||||||
Class R5 | — | — | (a) | — | (a) | — | ||||||||||
Institutional Class | 214 | — | — | — | ||||||||||||
Select Class | 26 | 42 | 316 | 8 | ||||||||||||
Custodian and accounting fees | 75 | 32 | 35 | 22 | ||||||||||||
Interest expense to affiliates | — | — | (a) | — | — | |||||||||||
Professional fees | 62 | 56 | 46 | 52 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | — | (a) | 3 | 6 | |||||||||||
Printing and mailing costs | 17 | 17 | 43 | 44 | ||||||||||||
Registration and filing fees | 47 | — | 85 | 48 | ||||||||||||
Transfer agent fees | 29 | 3 | 209 | 446 | ||||||||||||
Other | 12 | 9 | 11 | 12 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 2,279 | 278 | 3,062 | 3,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (211 | ) | (55 | ) | (256 | ) | (11 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Less expense reimbursements | — | (56 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 2,068 | 167 | 2,806 | 3,728 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 8,023 | (72 | ) | 6,494 | 3,280 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 33,642 | (1,016 | ) | 9,924 | 7,603 | |||||||||||
Futures | 959 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 34,601 | (1,016 | ) | 9,924 | 7,603 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments in non-affiliates | 71,059 | 1,479 | 52,533 | 63,810 | ||||||||||||
Futures | 324 | — | — | — | ||||||||||||
Securities sold short | 1 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | 71,384 | 1,479 | 52,533 | 63,810 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 105,985 | 463 | 62,457 | 71,413 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 114,008 | $ | 391 | $ | 68,951 | $ | 74,693 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | — | $ | 44 | ||||||
Dividend income from non-affiliates | 7,884 | 11,982 | 67,292 | |||||||||
Dividend income from affiliates | 64 | 8 | 98 | |||||||||
Income from securities lending (net) | 7 | 13 | 107 | |||||||||
Other income | 292 | 45 | 161 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 8,247 | 12,048 | 67,702 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 4,576 | 2,337 | 15,166 | |||||||||
Administration fees | 818 | 525 | 3,405 | |||||||||
Distribution fees: | ||||||||||||
Class A | 596 | 62 | 764 | |||||||||
Class B | 158 | 21 | 60 | |||||||||
Class C | 124 | 26 | 321 | |||||||||
Class R2 | 1 | — | (a) | 19 | ||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 596 | 62 | 764 | |||||||||
Class B | 53 | 7 | 20 | |||||||||
Class C | 41 | 9 | 107 | |||||||||
Class R2 | 1 | — | (a) | 9 | ||||||||
Class R5 | 9 | 16 | 121 | |||||||||
Institutional Class | — | — | 486 | |||||||||
Select Class | 1,539 | 1,293 | 6,191 | |||||||||
Custodian and accounting fees | 41 | 47 | 201 | |||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | (a) | ||||||
Professional fees | 48 | 49 | 119 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 10 | 4 | 39 | |||||||||
Printing and mailing costs | 101 | 34 | 288 | |||||||||
Registration and filing fees | 110 | 73 | 220 | |||||||||
Transfer agent fees | 749 | 279 | 1,977 | |||||||||
Other | 30 | 17 | 48 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 9,601 | 4,861 | 30,325 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (611 | ) | (157 | ) | (1,369 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 8,990 | 4,704 | 28,956 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (743 | ) | 7,344 | 38,746 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 282,043 | 25,904 | 112,623 | |||||||||
Futures | — | — | 13,989 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 282,043 | 25,904 | 126,612 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | (44,388 | ) | 92,323 | 685,751 | ||||||||
Futures | — | — | 6,809 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | (44,388 | ) | 92,323 | 692,560 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 237,655 | 118,227 | 819,172 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 236,912 | $ | 125,571 | $ | 857,918 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 8,023 | $ | 3,874 | $ | (72 | ) | $ | (9 | ) | ||||||
Net realized gain (loss) | 34,601 | 25,654 | (1,016 | ) | 14 | |||||||||||
Change in net unrealized appreciation (depreciation) | 71,384 | (4,027 | ) | 1,479 | 306 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 114,008 | 25,501 | 391 | 311 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (24 | ) | (17 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (4,234 | ) | (638 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (3,509 | ) | (3,039 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (130 | ) | (160 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (7,897 | ) | (3,854 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 365,534 | (571 | ) | 41,156 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 471,645 | 21,076 | 41,547 | 311 | ||||||||||||
Beginning of period | 240,536 | 219,460 | 2,301 | 1,990 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 712,181 | $ | 240,536 | $ | 43,848 | $ | 2,301 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 125 | $ | 66 | $ | — | (b) | $ | — | (b) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares for the Disciplined Equity Fund. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Equity Income Fund | Growth and Income Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 6,494 | $ | 4,209 | $ | 3,280 | $ | 4,439 | ||||||||
Net realized gain (loss) | 9,924 | 7,495 | 7,603 | 2,714 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 52,533 | 14,011 | 63,810 | 36,774 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 68,951 | 25,715 | 74,693 | 43,927 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (3,059 | ) | (1,786 | ) | (3,110 | ) | (4,170 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (110 | ) | (134 | ) | (27 | ) | (59 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (258 | ) | (88 | ) | (23 | ) | (29 | ) | ||||||||
Class R2 (a) | ||||||||||||||||
From net investment income | — | (b) | — | — | — | |||||||||||
Class R5 (a) | ||||||||||||||||
From net investment income | (13 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (3,166 | ) | (2,100 | ) | (47 | ) | (27 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (6,606 | ) | (4,108 | ) | (3,207 | ) | (4,285 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 216,829 | 2,769 | (26,616 | ) | (27,120 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 279,174 | 24,376 | 44,870 | 12,522 | ||||||||||||
Beginning of period | 180,504 | 156,128 | 275,989 | 263,467 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 459,678 | $ | 180,504 | $ | 320,859 | $ | 275,989 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated distributions in excess of net investment income | $ | (477 | ) | $ | (221 | ) | $ | (67 | ) | $ | (77 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective February 28, 2011 for the Equity Income Fund. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (743 | ) | $ | (836 | ) | $ | 7,344 | $ | 5,492 | ||||||
Net realized gain (loss) | 282,043 | 43,498 | 25,904 | 35,181 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (44,388 | ) | 59,409 | 92,323 | 9,238 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 236,912 | 102,071 | 125,571 | 49,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (256 | ) | (159 | ) | ||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (14 | ) | (10 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (18 | ) | (11 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (1 | ) | — | (a) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (480 | ) | (123 | ) | ||||||||||
Class R6 (b) | ||||||||||||||||
From net investment income | — | — | (75 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (6,412 | ) | (3,782 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (7,256 | ) | (4,085 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 1,176,092 | (117,359 | ) | 92,237 | 33,835 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,413,004 | (15,288 | ) | 210,552 | 79,661 | |||||||||||
Beginning of period | 512,995 | 528,283 | 457,272 | 377,611 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,925,999 | $ | 512,995 | $ | 667,824 | $ | 457,272 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (37 | ) | $ | (36 | ) | $ | 236 | $ | 130 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 38,746 | $ | 23,894 | ||||
Net realized gain (loss) | 126,612 | 124,951 | ||||||
Change in net unrealized appreciation (depreciation) | 692,560 | 5,015 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 857,918 | 153,860 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (2,611 | ) | (1,351 | ) | ||||
Class B | ||||||||
From net investment income | (30 | ) | (25 | ) | ||||
Class C | ||||||||
From net investment income | (223 | ) | (83 | ) | ||||
Class R2 | ||||||||
From net investment income | (35 | ) | (2 | ) | ||||
Class R5 | ||||||||
From net investment income | (2,223 | ) | (1,277 | ) | ||||
Class R6 (a) | ||||||||
From net investment income | (3,806 | ) | — | |||||
Institutional Class | ||||||||
From net investment income | (5,016 | ) | (4,150 | ) | ||||
Select Class | ||||||||
From net investment income | (24,402 | ) | (16,699 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (38,346 | ) | (23,587 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | 1,398,645 | 958,802 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 2,218,217 | 1,089,075 | ||||||
Beginning of period | 2,614,191 | 1,525,116 | ||||||
|
|
|
| |||||
End of period | $ | 4,832,408 | $ | 2,614,191 | ||||
|
|
|
| |||||
Accumulated undistributed net investment income | $ | 170 | $ | 213 | ||||
|
|
|
| |||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 2,001 | $ | 429 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 22 | 15 | — | — | ||||||||||||
Cost of shares redeemed | (512 | ) | (96 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 1,511 | $ | 348 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 559,938 | (b) | $ | 3,115 | $ | — | $ | — | |||||||
Dividends and distributions reinvested | 4,234 | 493 | — | — | ||||||||||||
Cost of shares redeemed | (55,165 | ) | (54,178 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 509,007 | $ | (50,570 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 251,624 | $ | 96,299 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 3,505 | 2,945 | — | — | ||||||||||||
Cost of shares redeemed | (401,169 | )(b) | (46,438 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | (146,040 | ) | $ | 52,806 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 3,717 | $ | 391 | $ | 43,933 | $ | — | ||||||||
Dividends and distributions reinvested | 67 | 92 | — | — | ||||||||||||
Cost of shares redeemed | (2,728 | ) | (3,638 | ) | (2,777 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 1,056 | $ | (3,155 | ) | $ | 41,156 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 365,534 | $ | (571 | ) | $ | 41,156 | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 125 | 31 | — | — | ||||||||||||
Reinvested | 1 | 1 | — | — | ||||||||||||
Redeemed | (33 | ) | (7 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 93 | 25 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | 34,542 | (b) | 222 | — | — | |||||||||||
Reinvested | 254 | 36 | — | — | ||||||||||||
Redeemed | (3,242 | ) | (4,773 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 31,554 | (4,515 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 16,977 | 7,113 | — | — | ||||||||||||
Reinvested | 223 | 214 | — | — | ||||||||||||
Redeemed | (24,965 | )(b) | (3,276 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | (7,765 | ) | 4,051 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 229 | 29 | 2,792 | — | ||||||||||||
Reinvested | 4 | 6 | — | — | ||||||||||||
Redeemed | (177 | ) | (261 | ) | (183 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 56 | (226 | ) | 2,609 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares for the Disciplined Equity Fund. |
| (b) | On December 23, 2010, certain affiliated shareholders of the Fund exchanged approximately 23,446,000 Institutional Shares for 23,446,000 Class R6 Shares. This exchange amounted to approximately $377,010,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Equity Income Fund | Growth and Income Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 139,727 | $ | 19,526 | $ | 9,059 | $ | 7,546 | ||||||||
Dividends and distributions reinvested | 2,832 | 1,646 | 2,918 | 3,917 | ||||||||||||
Cost of shares redeemed | (33,330 | ) | (17,326 | ) | (40,745 | ) | (36,624 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 109,229 | $ | 3,846 | $ | (28,768 | ) | $ | (25,161 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 703 | $ | 1,546 | $ | 105 | $ | 190 | ||||||||
Dividends and distributions reinvested | 100 | 123 | 27 | 57 | ||||||||||||
Cost of shares redeemed | (3,078 | ) | (4,090 | ) | (1,849 | ) | (2,236 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (2,275 | ) | $ | (2,421 | ) | $ | (1,717 | ) | $ | (1,989 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 25,331 | $ | 2,940 | $ | 1,021 | $ | 1,132 | ||||||||
Dividends and distributions reinvested | 215 | 78 | 20 | 32 | ||||||||||||
Cost of shares redeemed | (4,560 | ) | (1,835 | ) | (702 | ) | (647 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 20,986 | $ | 1,183 | $ | 339 | $ | 517 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 50 | $ | — | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | — | (b) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 50 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 2,964 | $ | — | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 13 | — | — | — | ||||||||||||
Cost of shares redeemed | (26 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 2,951 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 163,037 | $ | 45,511 | $ | 3,862 | $ | 382 | ||||||||
Dividends and distributions reinvested | 564 | 237 | 29 | 22 | ||||||||||||
Cost of shares redeemed | (77,713 | ) | (45,587 | ) | (361 | ) | (891 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 85,888 | $ | 161 | $ | 3,530 | $ | (487 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 216,829 | $ | 2,769 | $ | (26,616 | ) | $ | (27,120 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Income Fund | Growth and Income Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 15,758 | 2,583 | 339 | 319 | ||||||||||||
Reinvested | 320 | 221 | 109 | 166 | ||||||||||||
Redeemed | (3,814 | ) | (2,311 | ) | (1,542 | ) | (1,562 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 12,264 | 493 | (1,094 | ) | (1,077 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 80 | 208 | 4 | 9 | ||||||||||||
Reinvested | 12 | 17 | 1 | 2 | ||||||||||||
Redeemed | (362 | ) | (558 | ) | (71 | ) | (98 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (270 | ) | (333 | ) | (66 | ) | (87 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 2,848 | 391 | 40 | 52 | ||||||||||||
Reinvested | 24 | 10 | 1 | 2 | ||||||||||||
Redeemed | (529 | ) | (247 | ) | (30 | ) | (31 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 2,343 | 154 | 11 | 23 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (a) | ||||||||||||||||
Issued | 5 | — | — | — | ||||||||||||
Reinvested | — | (b) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 5 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (a) | ||||||||||||||||
Issued | 310 | — | — | — | ||||||||||||
Reinvested | 1 | — | — | — | ||||||||||||
Redeemed | (3 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 308 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 17,994 | 5,981 | 136 | 16 | ||||||||||||
Reinvested | 63 | 32 | 1 | 1 | ||||||||||||
Redeemed | (8,677 | ) | (6,079 | ) | (13 | ) | (40 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 9,380 | (66 | ) | 124 | (23 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective February, 28, 2011 for the Equity Income Fund. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 136,831 | $ | 18,889 | $ | 6,956 | $ | 5,567 | ||||||||
Dividends and distributions reinvested | — | — | 227 | 136 | ||||||||||||
Cost of shares redeemed | (56,181 | ) | (33,981 | ) | (9,150 | ) | (6,673 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 80,650 | $ | (15,092 | ) | $ | (1,967 | ) | $ | (970 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 482 | $ | 1,197 | $ | 80 | $ | 140 | ||||||||
Dividends and distributions reinvested | — | — | 14 | 9 | ||||||||||||
Cost of shares redeemed | (10,232 | ) | (11,508 | ) | (1,310 | ) | (1,705 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (9,750 | ) | $ | (10,311 | ) | $ | (1,216 | ) | $ | (1,556 | ) | ||||
| �� |
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 27,328 | $ | 2,033 | $ | 1,118 | $ | 2,779 | ||||||||
Dividends and distributions reinvested | — | — | 16 | 9 | ||||||||||||
Cost of shares redeemed | (6,716 | ) | (2,630 | ) | (2,166 | ) | (870 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 20,612 | $ | (597 | ) | $ | (1,032 | ) | $ | 1,918 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 562 | $ | — | (a) | $ | 55 | $ | — | |||||||
Dividends and distributions reinvested | — | — | 1 | — | (a) | |||||||||||
Cost of shares redeemed | (33 | ) | — | (14 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 529 | $ | — | (a) | $ | 42 | $ | — | (a) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 58,341 | $ | 14,481 | $ | 29,071 | $ | 14,474 | ||||||||
Dividends and distributions reinvested | — | — | 481 | 1 | ||||||||||||
Cost of shares redeemed | (20,118 | ) | (4,371 | ) | (18,502 | ) | (4,168 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 38,223 | $ | 10,110 | $ | 11,050 | $ | 10,307 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 30,263 | $ | — | $ | 11,217 | $ | — | ||||||||
Dividends and distributions reinvested | — | — | 75 | — | ||||||||||||
Cost of shares redeemed | (435 | ) | — | (94 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 29,828 | $ | — | $ | 11,198 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 1,121,868 | 67,287 | 116,915 | 91,166 | ||||||||||||
Dividends and distributions reinvested | — | — | 72 | 32 | ||||||||||||
Cost of shares redeemed | (105,868 | ) | (168,756 | ) | (42,825 | ) | (67,062 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 1,016,000 | $ | (101,469 | ) | $ | 74,162 | $ | 24,136 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 1,176,092 | $ | (117,359 | ) | $ | 92,237 | $ | 33,835 | |||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 6,395 | 1,138 | 633 | 564 | ||||||||||||
Reinvested | — | — | 21 | 14 | ||||||||||||
Redeemed | (2,743 | ) | (2,103 | ) | (846 | ) | (684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 3,652 | (965 | ) | (192 | ) | (106 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 26 | 84 | 8 | 15 | ||||||||||||
Reinvested | — | — | 1 | 1 | ||||||||||||
Redeemed | (572 | ) | (776 | ) | (123 | ) | (178 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (546 | ) | (692 | ) | (114 | ) | (162 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,465 | 141 | 102 | 281 | ||||||||||||
Reinvested | — | — | 2 | 1 | ||||||||||||
Redeemed | (356 | ) | (175 | ) | (207 | ) | (90 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,109 | (34 | ) | (103 | ) | 192 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 26 | — | 6 | — | ||||||||||||
Reinvested | — | — | — | (a) | — | (a) | ||||||||||
Redeemed | (2 | ) | — | (1 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 24 | — | 5 | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 2,656 | 933 | 3,028 | 1,510 | ||||||||||||
Reinvested | — | — | 45 | — | (a) | |||||||||||
Redeemed | (931 | ) | (265 | ) | (1,658 | ) | (422 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 1,725 | 668 | 1,415 | 1,088 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | 1,376 | — | 971 | — | ||||||||||||
Reinvested | — | — | 7 | — | ||||||||||||
Redeemed | (20 | ) | — | (8 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 1,356 | — | 970 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 51,982 | 4,156 | 10,605 | 9,308 | ||||||||||||
Reinvested | — | — | 7 | 3 | ||||||||||||
Redeemed | (5,390 | ) | (10,429 | ) | (4,113 | ) | (6,983 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 46,592 | (6,273 | ) | 6,499 | 2,328 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | Commencement of offering of class of shares effective November, 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 288,805 | $ | 102,954 | ||||
Dividends and distributions reinvested | 2,411 | 1,214 | ||||||
Cost of shares redeemed | (111,112 | ) | (31,944 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | 180,104 | $ | 72,224 | ||||
|
|
|
| |||||
Class B | ||||||||
Proceeds from shares issued | $ | 566 | $ | 1,924 | ||||
Dividends and distributions reinvested | 28 | 24 | ||||||
Cost of shares redeemed | (3,701 | ) | (3,497 | ) | ||||
|
|
|
| |||||
Change in net assets from Class B capital transactions | $ | (3,107 | ) | $ | (1,549 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 35,307 | $ | 22,500 | ||||
Dividends and distributions reinvested | 189 | 73 | ||||||
Cost of shares redeemed | (14,793 | ) | (5,195 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | 20,703 | $ | 17,378 | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 10,856 | $ | 562 | ||||
Dividends and distributions reinvested | 21 | 2 | ||||||
Cost of shares redeemed | (3,132 | ) | (90 | ) | ||||
|
|
|
| |||||
Change in net assets from Class R2 capital transactions | $ | 7,745 | $ | 474 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 270,327 | $ | 276,440 | ||||
Dividends and distributions reinvested | 2,062 | 507 | ||||||
Cost of shares redeemed | (403,734 | )(a) | (45,806 | ) | ||||
|
|
|
| |||||
Change in net assets from Class R5 capital transactions | $ | (131,345 | ) | $ | 231,141 | |||
|
|
|
| |||||
Class R6 (b) | ||||||||
Proceeds from shares issued | $ | 540,527 | (a) | $ | — | |||
Dividends and distributions reinvested | 3,806 | — | ||||||
Cost of shares redeemed | (5,802 | ) | — | |||||
|
|
|
| |||||
Change in net assets from Class R6 capital transactions | $ | 538,531 | $ | — | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 245,239 | $ | 246,813 | ||||
Subscriptions in-kind (See Note 9) | — | 24,024 | ||||||
Dividends and distributions reinvested | 2,768 | 1,764 | ||||||
Cost of shares redeemed | (309,619 | ) | (119,301 | ) | ||||
|
|
|
| |||||
Change in net assets from Institutional Class capital transactions | $ | (61,612 | ) | $ | 153,300 | |||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 1,352,402 | $ | 846,933 | ||||
Dividends and distributions reinvested | 3,551 | 2,783 | ||||||
Cost of shares redeemed | (508,327 | ) | (363,882 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | 847,626 | $ | 485,834 | ||||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | 1,398,645 | $ | 958,802 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Equity Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 28,479 | 11,710 | ||||||
Reinvested | 232 | 137 | ||||||
Redeemed | (10,930 | ) | (3,602 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 17,781 | 8,245 | ||||||
|
|
|
| |||||
Class B | ||||||||
Issued | 56 | 222 | ||||||
Reinvested | 3 | 3 | ||||||
Redeemed | (380 | ) | (405 | ) | ||||
|
|
|
| |||||
Change in Class B Shares | (321 | ) | (180 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 3,517 | 2,585 | ||||||
Reinvested | 18 | 8 | ||||||
Redeemed | (1,487 | ) | (598 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 2,048 | 1,995 | ||||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 1,045 | 62 | ||||||
Reinvested | 2 | — | (c) | |||||
Redeemed | (302 | ) | (10 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 745 | 52 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 28,025 | 30,126 | ||||||
Reinvested | 207 | 61 | ||||||
Redeemed | (39,068 | )(a) | (5,039 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | (10,836 | ) | 25,148 | |||||
|
|
|
| |||||
Class R6 (b) | ||||||||
Issued | 51,669 | (a) | — | |||||
Reinvested | 356 | — | ||||||
Redeemed | (536 | ) | — | |||||
|
|
|
| |||||
Change in Class R6 Shares | 51,489 | — | ||||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 24,103 | 28,000 | ||||||
Subscriptions in-kind (See Note 9) | — | 2,830 | ||||||
Reinvested | 271 | 200 | ||||||
Redeemed | (30,551 | ) | (13,749 | ) | ||||
|
|
|
| |||||
Change in Institutional Class Shares | (6,177 | ) | 17,281 | |||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 134,052 | 96,102 | ||||||
Reinvested | 343 | 318 | ||||||
Redeemed | (50,487 | ) | (41,494 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 83,908 | 54,926 | ||||||
|
|
|
| |||||
| (a) | On December 23, 2010, certain affiliated shareholders of the Fund exchanged approximately 25,036,000 Class R5 Shares for 25,036,000 Class R6 Shares. This exchange amounted to approximately $257,117,000. |
| (b) | Commencement of offering of class of shares effective November 30, 2010. |
| (c) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 59 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Disciplined Equity Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2011 | $ | 13.07 | $ | 0.17 | (c) | $ | 3.72 | $ | 3.89 | $ | (0.16 | ) | ||||||||
Year Ended June 30, 2010 | 11.52 | 0.18 | (c) | 1.54 | 1.72 | (0.17 | ) | |||||||||||||
Year Ended June 30, 2009 | 15.44 | 0.31 | (c)(d) | (3.93 | )(d) | (3.62 | ) | (0.30 | ) | |||||||||||
Year Ended June 30, 2008 | 18.45 | 0.22 | (c) | (3.00 | ) | (2.78 | ) | (0.23 | ) | |||||||||||
Year Ended June 30, 2007 | 15.33 | 0.18 | (c) | 3.15 | 3.33 | (0.21 | ) | |||||||||||||
Class R6 (e) | ||||||||||||||||||||
Year Ended June 30, 2011 | 13.08 | 0.25 | (c) | 3.73 | 3.98 | (0.23 | ) | |||||||||||||
Year Ended June 30, 2010 | 11.52 | 0.24 | (c) | 1.56 | 1.80 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2009 | 15.45 | 0.37 | (c)(d) | (3.94 | )(d) | (3.57 | ) | (0.36 | ) | |||||||||||
Year Ended June 30, 2008 | 18.47 | 0.31 | (c) | (3.02 | ) | (2.71 | ) | (0.31 | ) | |||||||||||
Year Ended June 30, 2007 | 15.33 | 0.26 | (c) | 3.17 | 3.43 | (0.29 | ) | |||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 13.09 | 0.24 | (c) | 3.72 | 3.96 | (0.22 | ) | |||||||||||||
Year Ended June 30, 2010 | 11.52 | 0.23 | (c) | 1.57 | 1.80 | (0.23 | ) | |||||||||||||
Year Ended June 30, 2009 | 15.45 | 0.32 | (c)(d) | (3.90 | )(d) | (3.58 | ) | (0.35 | ) | |||||||||||
Year Ended June 30, 2008 | 18.47 | 0.29 | (c) | (3.01 | ) | (2.72 | ) | (0.30 | ) | |||||||||||
Year Ended June 30, 2007 | 15.33 | 0.25 | (c) | 3.16 | 3.41 | (0.27 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 13.11 | 0.21 | (c) | 3.73 | 3.94 | (0.19 | ) | |||||||||||||
Year Ended June 30, 2010 | 11.54 | 0.21 | (c) | 1.56 | 1.77 | (0.20 | ) | |||||||||||||
Year Ended June 30, 2009 | 15.48 | 0.33 | (c)(d) | (3.94 | )(d) | (3.61 | ) | (0.33 | ) | |||||||||||
Year Ended June 30, 2008 | 18.48 | 0.26 | (c) | (3.00 | ) | (2.74 | ) | (0.26 | ) | |||||||||||
Year Ended June 30, 2007 | 15.34 | 0.22 | (c) | 3.16 | 3.38 | (0.24 | ) | |||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes gains resulting from litigation payments on securities owned in a prior year. Without these gains, the net investment income (loss) per share would have been $0.24, $0.30, $0.26, and $0.27, the net realized and unrealized gains (losses) on investments per share would have been $(3.98), $(3.99), $(3.95), and $(4.00), the total return would have been (24.09)%, (23.75)%, (23.76)%, and (23.97)%, and the net investment income (loss) ratio would have been 2.02%, 2.52%, 2.19% and 2.19% for Class A, Class R6, Institutional Class and Select Class, respectively. |
| (e) | Effective November 30, 2010, Ultra Shares were renamed Class R6 Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 16.80 | 29.86 | % | $ | 3,399 | 0.85 | % | 1.07 | % | 0.89 | % | 169 | % | |||||||||||||
| 13.07 | 14.88 | 1,425 | 0.85 | 1.27 | 0.95 | 169 | ||||||||||||||||||||
| 11.52 | (23.29 | )(d) | 965 | 0.85 | 2.59 | (d) | 0.97 | 92 | ||||||||||||||||||
| 15.44 | (15.18 | ) | 1,487 | 0.85 | 1.26 | 0.92 | 72 | |||||||||||||||||||
| 18.45 | 21.82 | 1,628 | 0.85 | 1.07 | 0.92 | 59 | ||||||||||||||||||||
| 16.83 | 30.55 | 577,140 | 0.35 | 1.49 | 0.38 | 169 | ||||||||||||||||||||
| 13.08 | 15.51 | 35,855 | 0.35 | 1.76 | 0.45 | 169 | ||||||||||||||||||||
| 11.52 | (22.95 | )(d) | 83,583 | 0.35 | 3.09 | (d) | 0.47 | 92 | ||||||||||||||||||
| 15.45 | (14.78 | ) | 112,725 | 0.35 | 1.76 | 0.42 | 72 | |||||||||||||||||||
| 18.47 | 22.53 | 135,785 | 0.35 | 1.55 | 0.42 | 59 | ||||||||||||||||||||
| 16.83 | 30.33 | 119,152 | 0.44 | 1.59 | 0.50 | 169 | ||||||||||||||||||||
| 13.09 | 15.49 | 194,273 | 0.45 | 1.68 | 0.55 | 169 | ||||||||||||||||||||
| 11.52 | (23.03 | )(d) | 124,398 | 0.45 | 2.76 | (d) | 0.58 | 92 | ||||||||||||||||||
| 15.45 | (14.88 | ) | 73,219 | 0.45 | 1.66 | 0.52 | 72 | |||||||||||||||||||
| 18.47 | 22.40 | 115,178 | 0.45 | 1.47 | 0.51 | 59 | ||||||||||||||||||||
| 16.86 | 30.17 | 12,490 | 0.60 | 1.33 | 0.64 | 169 | ||||||||||||||||||||
| 13.11 | 15.28 | 8,983 | 0.60 | 1.55 | 0.70 | 169 | ||||||||||||||||||||
| 11.54 | (23.17 | )(d) | 10,514 | 0.60 | 2.76 | (d) | 0.72 | 92 | ||||||||||||||||||
| 15.48 | (14.93 | ) | 17,063 | 0.60 | 1.45 | 0.68 | 72 | |||||||||||||||||||
| 18.48 | 22.16 | 68,341 | 0.60 | 1.32 | 0.66 | 59 | ||||||||||||||||||||
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 61 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Dynamic Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2011 | $ | 11.44 | $ | (0.10 | )(f) | $ | 4.13 | $ | 4.03 | $ | — | |||||||||
Year Ended June 30, 2010 | 9.91 | (0.07 | ) | 1.60 | 1.53 | — | ||||||||||||||
Year Ended June 30, 2009 | 14.07 | (0.04 | ) | (4.12 | ) | (4.16 | ) | — | ||||||||||||
November 30, 2007 (g) through June 30, 2008 | 15.00 | (0.05 | ) | (0.88 | ) | (0.93 | ) | — | (h) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2011 | 11.29 | (0.17 | )(f) | 4.09 | 3.92 | — | ||||||||||||||
Year Ended June 30, 2010 | 9.84 | (0.13 | ) | 1.58 | 1.45 | — | ||||||||||||||
Year Ended June 30, 2009 | 14.04 | (0.09 | ) | (4.11 | ) | (4.20 | ) | — | ||||||||||||
November 30, 2007 (g) through June 30, 2008 | 15.00 | (0.09 | ) | (0.87 | ) | (0.96 | ) | — | ||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2011 | 11.57 | (0.04 | )(f) | 4.19 | 4.15 | — | ||||||||||||||
Year Ended June 30, 2010 | 9.98 | (0.02 | ) | 1.61 | 1.59 | — | ||||||||||||||
Year Ended June 30, 2009 | 14.11 | 0.01 | (4.14 | ) | (4.13 | ) | — | |||||||||||||
November 30, 2007 (g) through June 30, 2008 | 15.00 | (0.01 | ) | (0.87 | ) | (0.88 | ) | (0.01 | ) | |||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 11.51 | (0.06 | )(f) | 4.16 | 4.10 | — | ||||||||||||||
Year Ended June 30, 2010 | 9.95 | (0.04 | ) | 1.60 | 1.56 | — | ||||||||||||||
Year Ended June 30, 2009 | 14.09 | (0.01 | ) | (4.13 | ) | (4.14 | ) | — | ||||||||||||
November 30, 2007 (g) through June 30, 2008 | 15.00 | (0.03 | ) | (0.87 | ) | (0.90 | ) | (0.01 | ) | |||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Ratios are disproportionate between classes due to the size of net assets and fixed expenses. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of operations. |
| (h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (e) | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 15.47 | 35.23 | % | $ | 103 | 1.23 | % | (0.71 | )% | 3.18 | % | 97 | % | |||||||||||||
| 11.44 | 15.44 | 76 | 1.25 | (0.61 | ) | 5.82 | 39 | |||||||||||||||||||
| 9.91 | (29.57 | ) | 66 | 1.25 | (0.37 | ) | 7.27 | 73 | ||||||||||||||||||
| 14.07 | (6.17 | ) | 94 | 1.25 | (0.60 | ) | 7.36 | 24 | ||||||||||||||||||
| 15.21 | 34.72 | 102 | 1.73 | (1.21 | ) | 3.68 | 97 | |||||||||||||||||||
| 11.29 | 14.74 | 75 | 1.75 | (1.11 | ) | 6.32 | 39 | |||||||||||||||||||
| 9.84 | (29.91 | ) | 66 | 1.75 | (0.87 | ) | 7.77 | 73 | ||||||||||||||||||
| 14.04 | (6.40 | ) | 94 | 1.75 | (1.10 | ) | 7.86 | 24 | ||||||||||||||||||
| 15.72 | 35.87 | 26 | 0.78 | (0.26 | ) | 2.73 | 97 | |||||||||||||||||||
| 11.57 | 15.93 | 19 | 0.80 | (0.17 | ) | 5.37 | 39 | |||||||||||||||||||
| 9.98 | (29.27 | ) | 17 | 0.80 | 0.07 | 6.82 | 73 | |||||||||||||||||||
| 14.11 | (5.88 | ) | 23 | 0.80 | (0.15 | ) | 6.90 | 24 | ||||||||||||||||||
| 15.61 | 35.62 | 43,617 | 0.97 | (0.41 | ) | 1.59 | 97 | |||||||||||||||||||
| 11.51 | 15.68 | 2,130 | 1.00 | (0.36 | ) | 5.57 | 39 | |||||||||||||||||||
| 9.95 | (29.38 | ) | 1,842 | 1.00 | (0.12 | ) | 7.02 | 73 | ||||||||||||||||||
| 14.09 | (6.02 | ) | 2,608 | 1.00 | (0.35 | ) | 7.11 | 24 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 63 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 7.26 | $ | 0.19 | (e) | $ | 2.12 | $ | 2.31 | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | |||||||||||
Year Ended June 30, 2010 | 6.35 | 0.17 | (e) | 0.91 | 1.08 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.11 | 0.22 | (e) | (2.30 | ) | (2.08 | ) | (0.21 | ) | (0.47 | ) | (0.68 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.42 | 0.28 | (e) | (2.17 | ) | (1.89 | ) | (0.26 | ) | (1.16 | ) | (1.42 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.10 | 0.26 | (e) | 2.26 | 2.52 | (0.26 | ) | (1.94 | ) | (2.20 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.22 | 0.14 | (e) | 2.12 | 2.26 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.30 | 0.13 | (e) | 0.92 | 1.05 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.05 | 0.18 | (e) | (2.29 | ) | (2.11 | ) | (0.17 | ) | (0.47 | ) | (0.64 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.36 | 0.22 | (e) | (2.16 | ) | (1.94 | ) | (0.21 | ) | (1.16 | ) | (1.37 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.05 | 0.20 | (e) | 2.25 | 2.45 | (0.20 | ) | (1.94 | ) | (2.14 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.20 | 0.15 | (e) | 2.11 | 2.26 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.30 | 0.13 | (e) | 0.90 | 1.03 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.05 | 0.18 | (e) | (2.29 | ) | (2.11 | ) | (0.17 | ) | (0.47 | ) | (0.64 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.35 | 0.22 | (e) | (2.15 | ) | (1.93 | ) | (0.21 | ) | (1.16 | ) | (1.37 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.04 | 0.20 | (e) | 2.25 | 2.45 | (0.20 | ) | (1.94 | ) | (2.14 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
February 28, 2011 (g) through June 30, 2011 | 9.20 | 0.06 | (e) | 0.17 | 0.23 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
February 28, 2011 (g) through June 30, 2011 | 9.31 | 0.10 | (e) | 0.16 | 0.26 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.35 | 0.22 | (e) | 2.14 | 2.36 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.42 | 0.20 | (e) | 0.92 | 1.12 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.20 | 0.25 | (e) | (2.32 | ) | (2.07 | ) | (0.24 | ) | (0.47 | ) | (0.71 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.53 | 0.31 | (e) | (2.19 | ) | (1.88 | ) | (0.29 | ) | (1.16 | ) | (1.45 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.19 | 0.30 | (e) | 2.27 | 2.57 | (0.29 | ) | (1.94 | ) | (2.23 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 9.38 | 32.06 | % | $ | 217,462 | 1.05 | % | 2.16 | % | 1.14 | % | 37 | % | |||||||||||||
| 7.26 | 16.94 | 79,236 | 1.20 | 2.29 | 1.22 | 43 | ||||||||||||||||||||
| 6.35 | (22.86 | ) | 66,117 | 1.23 | 3.13 | 1.39 | 54 | |||||||||||||||||||
| 9.11 | (16.48 | )(f) | 97,572 | 1.18 | 2.61 | 1.18 | 49 | |||||||||||||||||||
| 12.42 | 21.98 | 156,220 | 1.18 | 2.13 | 1.18 | 23 | ||||||||||||||||||||
| 9.33 | 31.44 | 5,962 | 1.56 | 1.66 | 1.65 | 37 | ||||||||||||||||||||
| 7.22 | 16.63 | 6,563 | 1.72 | 1.77 | 1.72 | 43 | ||||||||||||||||||||
| 6.30 | (23.39 | ) | 7,829 | 1.85 | 2.49 | 1.89 | 54 | |||||||||||||||||||
| 9.05 | (16.99 | )(f) | 14,129 | 1.68 | 2.04 | 1.68 | 49 | |||||||||||||||||||
| 12.36 | 21.39 | 27,245 | 1.68 | 1.62 | 1.68 | 23 | ||||||||||||||||||||
| 9.30 | 31.52 | 28,947 | 1.55 | 1.69 | 1.63 | 37 | ||||||||||||||||||||
| 7.20 | 16.34 | 5,549 | 1.71 | 1.79 | 1.72 | 43 | ||||||||||||||||||||
| 6.30 | (23.36 | ) | 3,879 | 1.85 | 2.54 | 1.90 | 54 | |||||||||||||||||||
| 9.05 | (16.92 | )(f) | 4,425 | 1.68 | 2.05 | 1.68 | 49 | |||||||||||||||||||
| 12.35 | 21.42 | 7,138 | 1.68 | 1.63 | 1.68 | 23 | ||||||||||||||||||||
| 9.38 | 2.54 | 51 | 1.28 | 1.80 | 1.36 | 37 | ||||||||||||||||||||
| 9.49 | 2.77 | 2,925 | 0.58 | 3.21 | 0.66 | 37 | ||||||||||||||||||||
| 9.50 | 32.42 | 204,331 | 0.80 | 2.45 | 0.89 | 37 | ||||||||||||||||||||
| 7.35 | 17.45 | 89,156 | 0.86 | 2.64 | 0.97 | 43 | ||||||||||||||||||||
| 6.42 | (22.59 | ) | 78,303 | 0.89 | 3.51 | 1.15 | 54 | |||||||||||||||||||
| 9.20 | (16.26 | )(f) | 67,729 | 0.89 | 2.86 | 0.93 | 49 | |||||||||||||||||||
| 12.53 | 22.32 | 98,581 | 0.89 | 2.41 | 0.93 | 23 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 65 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Growth and Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 22.30 | $ | 0.28 | (c) | $ | 5.96 | $ | 6.24 | $ | (0.28 | ) | $ | — | $ | (0.28 | ) | |||||||||||
Year Ended June 30, 2010 | 19.46 | 0.35 | (c) | 2.83 | 3.18 | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 27.97 | 0.44 | (c)(d) | (8.52 | )(d) | (8.08 | ) | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 40.42 | 0.39 | (c) | (7.22 | ) | (6.83 | ) | (0.37 | ) | (5.25 | ) | (5.62 | ) | |||||||||||||||
Year Ended June 30, 2007 | 34.67 | 0.35 | (c) | 7.49 | 7.84 | (0.35 | ) | (1.74 | ) | (2.09 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 21.80 | 0.15 | (c) | 5.82 | 5.97 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 19.03 | 0.23 | (c) | 2.76 | 2.99 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 27.36 | 0.32 | (c)(d) | (8.32 | )(d) | (8.00 | ) | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 39.67 | 0.21 | (c) | (7.07 | ) | (6.86 | ) | (0.20 | ) | (5.25 | ) | (5.45 | ) | |||||||||||||||
Year Ended June 30, 2007 | 34.05 | 0.16 | (c) | 7.35 | 7.51 | (0.15 | ) | (1.74 | ) | (1.89 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 20.77 | 0.14 | (c) | 5.53 | 5.67 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 18.15 | 0.21 | (c) | 2.66 | 2.87 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 26.13 | 0.31 | (c)(d) | (7.95 | )(d) | (7.64 | ) | (0.34 | ) | — | (0.34 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 38.18 | 0.21 | (c) | (6.79 | ) | (6.58 | ) | (0.22 | ) | (5.25 | ) | (5.47 | ) | |||||||||||||||
Year Ended June 30, 2007 | 32.86 | 0.16 | (c) | 7.08 | 7.24 | (0.18 | ) | (1.74 | ) | (1.92 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 23.18 | 0.37 | (c) | 6.20 | 6.57 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.21 | 0.43 | (c) | 2.95 | 3.38 | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 29.02 | 0.52 | (c)(d) | (8.82 | )(d) | (8.30 | ) | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 41.71 | 0.50 | (c) | (7.49 | ) | (6.99 | ) | (0.45 | ) | (5.25 | ) | (5.70 | ) | |||||||||||||||
Year Ended June 30, 2007 | 35.71 | 0.48 | (c) | 7.72 | 8.20 | (0.46 | ) | (1.74 | ) | (2.20 | ) | |||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes gains resulting from litigation payments on securities owned in a prior year. Without these gains, the net investment income (loss) per share would have been $0.41, $0.29, $0.28, $0.49, the net realized and unrealized gains (losses) on investments per share would have been $(8.57), $(8.37), $(7.99), and $(8.88), the total return would have been (29.17)%, (29.54)%, (29.51)%, and (28.93)%, and the net investment income (loss) ratio would have been 1.93%, 1.40%, 1.41%, and 2.01% for Class A, Class B, Class C, and Select Class, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 28.26 | 28.03 | % | $ | 306,850 | 1.19 | % | 1.07 | % | 1.19 | % | 23 | % | |||||||||||||
| 22.30 | 16.25 | 266,587 | 1.21 | 1.49 | 1.21 | 41 | ||||||||||||||||||||
| 19.46 | (28.88 | )(d) | 253,559 | 1.27 | 2.06 | (d) | 1.28 | 52 | ||||||||||||||||||
| 27.97 | (18.43 | ) | 413,710 | 1.16 | 1.15 | 1.16 | 69 | |||||||||||||||||||
| 40.42 | 23.20 | 581,817 | 1.17 | 0.94 | 1.17 | 49 | ||||||||||||||||||||
| 27.62 | 27.40 | 4,439 | 1.69 | 0.57 | 1.69 | 23 | ||||||||||||||||||||
| 21.80 | 15.66 | 4,959 | 1.71 | 1.01 | 1.72 | 41 | ||||||||||||||||||||
| 19.03 | (29.24 | )(d) | 5,976 | 1.77 | 1.53 | (d) | 1.78 | 52 | ||||||||||||||||||
| 27.36 | (18.84 | ) | 12,097 | 1.66 | 0.62 | 1.66 | 69 | |||||||||||||||||||
| 39.67 | 22.61 | 21,336 | 1.67 | 0.43 | 1.67 | 49 | ||||||||||||||||||||
| 26.27 | 27.35 | 3,837 | 1.69 | 0.56 | 1.69 | 23 | ||||||||||||||||||||
| 20.77 | 15.72 | 2,797 | 1.70 | 0.97 | 1.71 | 41 | ||||||||||||||||||||
| 18.15 | (29.24 | )(d) | 2,027 | 1.77 | 1.54 | (d) | 1.78 | 52 | ||||||||||||||||||
| 26.13 | (18.85 | ) | 3,598 | 1.66 | 0.64 | 1.66 | 69 | |||||||||||||||||||
| 38.18 | 22.61 | 5,349 | 1.67 | 0.44 | 1.67 | 49 | ||||||||||||||||||||
| 29.39 | 28.41 | 5,733 | 0.90 | 1.32 | 0.95 | 23 | ||||||||||||||||||||
| 23.18 | 16.63 | 1,646 | 0.89 | 1.80 | 0.97 | 41 | ||||||||||||||||||||
| 20.21 | (28.61 | )(d) | 1,905 | 0.90 | 2.14 | (d) | 1.04 | 52 | ||||||||||||||||||
| 29.02 | (18.23 | ) | 8,596 | 0.90 | 1.45 | 0.91 | 69 | |||||||||||||||||||
| 41.71 | 23.57 | 9,431 | 0.87 | 1.22 | 0.90 | 49 | ||||||||||||||||||||
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 67 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | ||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2011 | $ | 15.86 | $ | (0.04 | )(e) | $ | 6.56 | $ | 6.52 | $ | — | |||||||||
Year Ended June 30, 2010 | 13.38 | (0.04 | )(e) | 2.52 | (f) | 2.48 | — | |||||||||||||
Year Ended June 30, 2009 | 19.50 | 0.01 | (e) | (6.11 | )(g) | (6.10 | ) | (0.02 | ) | |||||||||||
Year Ended June 30, 2008 | 18.67 | (0.07 | )(e) | 0.90 | 0.83 | — | ||||||||||||||
Year Ended June 30, 2007 | 16.03 | (0.05 | )(e) | 2.69 | 2.64 | — | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2011 | 14.20 | (0.13 | )(e) | 5.86 | 5.73 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.05 | (0.12 | )(e) | 2.27 | (f) | 2.15 | — | |||||||||||||
Year Ended June 30, 2009 | 17.65 | (0.07 | )(e) | (5.52 | )(g) | (5.59 | ) | (0.01 | ) | |||||||||||
Year Ended June 30, 2008 | 16.99 | (0.16 | )(e) | 0.82 | 0.66 | — | ||||||||||||||
Year Ended June 30, 2007 | 14.65 | (0.13 | )(e) | 2.47 | 2.34 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2011 | 14.09 | (0.13 | )(e) | 5.81 | 5.68 | — | ||||||||||||||
Year Ended June 30, 2010 | 11.95 | (0.12 | )(e) | 2.26 | (f) | 2.14 | — | |||||||||||||
Year Ended June 30, 2009 | 17.50 | (0.06 | )(e) | (5.48 | )(g) | (5.54 | ) | (0.01 | ) | |||||||||||
Year Ended June 30, 2008 | 16.84 | (0.16 | )(e) | 0.82 | 0.66 | — | ||||||||||||||
Year Ended June 30, 2007 | 14.53 | (0.13 | )(e) | 2.44 | 2.31 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2011 | 15.81 | (0.11 | )(e) | 6.54 | 6.43 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.37 | (0.08 | )(e) | 2.52 | (f) | 2.44 | — | |||||||||||||
November 3, 2008 (i) through June 30, 2009 | 13.68 | 0.01 | (e) | (0.31 | )(g) | (0.30 | ) | (0.01 | ) | |||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2011 | 15.81 | 0.04 | (e) | 6.54 | 6.58 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.28 | 0.03 | (e) | 2.50 | (f) | 2.53 | — | |||||||||||||
April 14, 2009 (i) through June 30, 2009 | 12.47 | 0.01 | (e) | 0.81 | 0.82 | (0.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
November 30, 2010 (i) through June 30, 2011 | 19.94 | 0.03 | (e) | 2.43 | 2.46 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2011 | 15.79 | — | (e)(j) | 6.52 | 6.52 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.28 | — | (e)(j) | 2.51 | (f) | 2.51 | — | |||||||||||||
Year Ended June 30, 2009 | 19.33 | 0.04 | (e) | (6.06 | )(g) | (6.02 | ) | (0.03 | ) | |||||||||||
Year Ended June 30, 2008 | 18.46 | (0.02 | )(e) | 0.89 | 0.87 | — | ||||||||||||||
Year Ended June 30, 2007 | 15.80 | (0.01 | )(e) | 2.67 | 2.66 | — | ||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses from an operational error. There was less than $0.01 and 0.01% impact on the net realized and unrealized gains (losses) on investments per share and the total return, respectively. |
| (g) | Includes a gain resulting from a litigation payment on a security owned in a prior year. Without this gain, the net realized and unrealized gains (losses) on investments per share would have been $(6.18), $(5.59), $(5.55), $(0.38), and $(6.13), and the total return would have been (31.62)%, (32.08)%, (32.01)%, (2.74)% and (31.49)% for Class A, Class B, Class C, Class R2 and Select Class Shares, respectively. |
| (h) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (i) | Commencement of offering of class of shares. |
| (j) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 22.38 | 41.11 | % | $ | 328,012 | 1.11 | % | (0.19 | )% | 1.23 | % | 84 | % | |||||||||||||
| 15.86 | 18.54 | (f) | 174,585 | 1.24 | (0.27 | ) | 1.31 | 61 | ||||||||||||||||||
| 13.38 | (31.26 | )(g) | 160,168 | 1.24 | 0.05 | 1.45 | 124 | |||||||||||||||||||
| 19.50 | 4.45 | (h) | 251,333 | 1.24 | (0.36 | ) | 1.28 | 52 | ||||||||||||||||||
| 18.67 | 16.47 | 227,544 | 1.24 | (0.29 | ) | 1.26 | 35 | |||||||||||||||||||
| 19.93 | 40.35 | 18,374 | 1.62 | (0.70 | ) | 1.74 | 84 | |||||||||||||||||||
| 14.20 | 17.84 | (f) | 20,842 | 1.77 | (0.80 | ) | 1.82 | 61 | ||||||||||||||||||
| 12.05 | (31.69 | )(g) | 26,025 | 1.78 | (0.52 | ) | 1.93 | 124 | ||||||||||||||||||
| 17.65 | 3.88 | (h) | 60,623 | 1.77 | (0.88 | ) | 1.78 | 52 | ||||||||||||||||||
| 16.99 | 15.97 | 107,034 | 1.76 | (0.81 | ) | 1.76 | 35 | |||||||||||||||||||
| 19.77 | 40.31 | 31,181 | 1.60 | (0.68 | ) | 1.71 | 84 | |||||||||||||||||||
| 14.09 | 17.91 | (f) | 6,588 | 1.77 | (0.80 | ) | 1.81 | 61 | ||||||||||||||||||
| 11.95 | (31.67 | )(g) | 5,996 | 1.78 | (0.50 | ) | 1.94 | 124 | ||||||||||||||||||
| 17.50 | 3.92 | (h) | 12,465 | 1.77 | (0.88 | ) | 1.78 | 52 | ||||||||||||||||||
| 16.84 | 15.90 | 11,602 | 1.76 | (0.81 | ) | 1.76 | 35 | |||||||||||||||||||
| 22.24 | 40.67 | 626 | 1.34 | (0.50 | ) | 1.42 | 84 | |||||||||||||||||||
| 15.81 | 18.25 | (f) | 58 | 1.48 | (0.52 | ) | 1.56 | 61 | ||||||||||||||||||
| 13.37 | (2.16 | )(g) | 49 | 1.49 | 0.16 | 1.80 | 124 | |||||||||||||||||||
| 22.39 | 41.62 | 53,668 | 0.71 | 0.22 | 0.76 | 84 | ||||||||||||||||||||
| 15.81 | 19.05 | (f) | 10,618 | 0.78 | 0.20 | 0.85 | 61 | |||||||||||||||||||
| 13.28 | 6.56 | 53 | 0.79 | 0.19 | 1.17 | 124 | ||||||||||||||||||||
| 22.40 | 12.34 | 30,386 | 0.63 | 0.25 | 0.65 | 84 | ||||||||||||||||||||
| 22.31 | 41.29 | 1,463,752 | 0.91 | (0.01 | ) | 0.95 | 84 | |||||||||||||||||||
| 15.79 | 18.90 | (f) | 300,304 | 0.99 | (0.02 | ) | 1.07 | 61 | ||||||||||||||||||
| 13.28 | (31.13 | )(g) | 335,992 | 0.99 | 0.29 | 1.19 | 124 | |||||||||||||||||||
| 19.33 | 4.71 | (h) | 581,830 | 0.99 | (0.10 | ) | 1.03 | 52 | ||||||||||||||||||
| 18.46 | 16.84 | 669,951 | 0.99 | (0.04 | ) | 1.01 | 35 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 69 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 9.15 | $ | 0.12 | (e) | $ | 2.29 | $ | 2.41 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | |||||||||||
Year Ended June 30, 2010 | 8.09 | 0.09 | (e) | 1.04 | 1.13 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.66 | 0.18 | (e)(f) | (2.54 | )(f) | (2.36 | ) | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 18.54 | 0.20 | (e) | (3.94 | ) | (3.74 | ) | (0.17 | ) | (3.97 | ) | (4.14 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.55 | 0.23 | (e) | 3.52 | 3.75 | (0.23 | ) | (1.53 | ) | (1.76 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.02 | 0.06 | (e) | 2.26 | 2.32 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.99 | 0.04 | (e) | 1.02 | 1.06 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.52 | 0.13 | (e)(f) | (2.50 | )(f) | (2.37 | ) | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 18.38 | 0.13 | (e) | (3.92 | ) | (3.79 | ) | (0.10 | ) | (3.97 | ) | (4.07 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.42 | 0.14 | (e) | 3.50 | 3.64 | (0.15 | ) | (1.53 | ) | (1.68 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.97 | 0.06 | (e) | 2.25 | 2.31 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.95 | 0.04 | (e) | 1.01 | 1.05 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.47 | 0.14 | (e)(f) | (2.50 | )(f) | (2.36 | ) | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 18.32 | 0.13 | (e) | (3.91 | ) | (3.78 | ) | (0.10 | ) | (3.97 | ) | (4.07 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.37 | 0.13 | (e) | 3.50 | 3.63 | (0.15 | ) | (1.53 | ) | (1.68 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.13 | 0.09 | (e) | 2.29 | 2.38 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.08 | 0.07 | (e) | 1.03 | 1.10 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
November 3, 2008 (h) through June 30, 2009 | 8.10 | 0.11 | (e)(f) | 0.02 | (f) | 0.13 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.07 | 0.16 | (e) | 2.26 | 2.42 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.01 | 0.14 | (e) | 1.02 | 1.16 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.52 | 0.25 | (e)(f) | (2.54 | )(f) | (2.29 | ) | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 18.37 | 0.27 | (e) | (3.91 | ) | (3.64 | ) | (0.24 | ) | (3.97 | ) | (4.21 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.41 | 0.30 | (e) | 3.50 | 3.80 | (0.31 | ) | (1.53 | ) | (1.84 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
November 30, 2010 (h) through June 30, 2011 | 10.19 | 0.10 | (e) | 1.17 | 1.27 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 9.04 | 0.13 | (e) | 2.26 | 2.39 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.99 | 0.12 | (e) | 1.01 | 1.13 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.53 | 0.20 | (e)(f) | (2.51 | )(f) | (2.31 | ) | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 18.39 | 0.24 | (e) | (3.92 | ) | (3.68 | ) | (0.21 | ) | (3.97 | ) | (4.18 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.42 | 0.27 | (e) | 3.50 | 3.77 | (0.27 | ) | (1.53 | ) | (1.80 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes gains resulting from litigation payments on securities owned in a prior year. Without these gains, the net investment income (loss) per share would have been $0.16, $0.11, $0.11, $0.09, $0.23 and $0.18, the net realized and unrealized gains (losses) on investments per share would have been $(2.59), $(2.55), $(2.54), $(0.03), $(2.59) and $(2.56), the total return would have been (22.67)%, (23.00)%, (23.02)%, 1.07%, (22.27)% and (22.46)%, and the net investment income (loss) ratio would have been 1.89%, 1.34%, 1.40%, 1.87%, 2.76% and 2.17% for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively. |
| (g) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 11.45 | 26.42 | % | $ | 25,668 | 0.97 | % | 1.09 | % | 1.08 | % | 65 | % | |||||||||||||
| 9.15 | 13.86 | 22,273 | 1.10 | 0.95 | 1.10 | 86 | ||||||||||||||||||||
| 8.09 | (22.00 | )(f) | 20,557 | 1.16 | 2.17 | (f) | 1.17 | 108 | ||||||||||||||||||
| 10.66 | (23.52 | )(g) | 31,227 | 1.09 | 1.39 | 1.09 | 93 | |||||||||||||||||||
| 18.54 | 23.49 | 48,264 | 1.07 | 1.27 | 1.07 | 77 | ||||||||||||||||||||
| 11.28 | 25.71 | 2,336 | 1.47 | 0.58 | 1.58 | 65 | ||||||||||||||||||||
| 9.02 | 13.19 | 2,891 | 1.60 | 0.45 | 1.60 | 86 | ||||||||||||||||||||
| 7.99 | (22.32 | )(f) | 3,858 | 1.66 | 1.61 | (f) | 1.67 | 108 | ||||||||||||||||||
| 10.52 | (24.04 | )(g) | 7,337 | 1.59 | 0.89 | 1.59 | 93 | |||||||||||||||||||
| 18.38 | 22.89 | 14,870 | 1.57 | 0.77 | 1.57 | 77 | ||||||||||||||||||||
| 11.22 | 25.76 | 3,186 | 1.47 | 0.58 | 1.58 | 65 | ||||||||||||||||||||
| 8.97 | 13.22 | 3,473 | 1.59 | 0.45 | 1.60 | 86 | ||||||||||||||||||||
| 7.95 | (22.34 | )(f) | 1,551 | 1.66 | 1.67 | (f) | 1.67 | 108 | ||||||||||||||||||
| 10.47 | (24.06 | )(g) | 2,830 | 1.59 | 0.89 | 1.59 | 93 | |||||||||||||||||||
| 18.32 | 22.92 | 5,143 | 1.57 | 0.77 | 1.57 | 77 | ||||||||||||||||||||
| 11.42 | 26.15 | 123 | 1.21 | 0.84 | 1.32 | 65 | ||||||||||||||||||||
| 9.13 | 13.54 | 58 | 1.35 | 0.70 | 1.35 | 86 | ||||||||||||||||||||
| 8.08 | 1.95 | (f) | 51 | 1.46 | 2.29 | (f) | 1.47 | 108 | ||||||||||||||||||
| 11.34 | 26.78 | 28,479 | 0.60 | 1.48 | 0.63 | 65 | ||||||||||||||||||||
| 9.07 | 14.39 | 9,930 | 0.64 | 1.43 | 0.64 | 86 | ||||||||||||||||||||
| 8.01 | (21.58 | )(f) | 57 | 0.70 | 3.04 | (f) | 0.70 | 108 | ||||||||||||||||||
| 10.52 | (23.36 | )(g) | 30,165 | 0.64 | 1.87 | 0.64 | 93 | |||||||||||||||||||
| 18.37 | 24.04 | 37,350 | 0.62 | 1.70 | 0.62 | 77 | ||||||||||||||||||||
| 11.34 | 12.50 | 11,006 | 0.54 | 1.48 | 0.55 | 65 | ||||||||||||||||||||
| 11.30 | 26.52 | 597,026 | 0.80 | 1.26 | 0.83 | 65 | ||||||||||||||||||||
| 9.04 | 14.13 | 418,647 | 0.85 | 1.20 | 0.85 | 86 | ||||||||||||||||||||
| 7.99 | (21.78 | )(f) | 351,537 | 0.91 | 2.44 | (f) | 0.92 | 108 | ||||||||||||||||||
| 10.53 | (23.43 | )(g) | 508,456 | 0.84 | 1.66 | 0.84 | 93 | |||||||||||||||||||
| 18.39 | 23.83 | 710,573 | 0.82 | 1.53 | 0.82 | 77 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 71 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 8.30 | $ | 0.08 | (e) | $ | 2.35 | $ | 2.43 | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | |||||||||||
Year Ended June 30, 2010 | 7.35 | 0.07 | (e) | 0.95 | 1.02 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.56 | 0.11 | (e) | (2.17 | ) | (2.06 | ) | (0.10 | ) | (0.05 | ) | (0.15 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.36 | 0.10 | (e) | (1.25 | ) | (1.15 | ) | (0.09 | ) | (1.56 | ) | (1.65 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.28 | 0.10 | (e) | 2.47 | 2.57 | (0.10 | ) | (1.39 | ) | (1.49 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.20 | 0.03 | (e) | 2.32 | 2.35 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.26 | 0.03 | (e) | 0.93 | 0.96 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.45 | 0.07 | (e) | (2.13 | ) | (2.06 | ) | (0.08 | ) | (0.05 | ) | (0.13 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.24 | 0.04 | (e) | (1.24 | ) | (1.20 | ) | (0.03 | ) | (1.56 | ) | (1.59 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.18 | 0.04 | (e) | 2.45 | 2.49 | (0.04 | ) | (1.39 | ) | (1.43 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.18 | 0.03 | (e) | 2.31 | 2.34 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.25 | 0.03 | (e) | 0.93 | 0.96 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.44 | 0.07 | (e) | (2.13 | ) | (2.06 | ) | (0.08 | ) | (0.05 | ) | (0.13 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.23 | 0.04 | (e) | (1.23 | ) | (1.19 | ) | (0.04 | ) | (1.56 | ) | (1.60 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.18 | 0.04 | (e) | 2.44 | 2.48 | (0.04 | ) | (1.39 | ) | (1.43 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.29 | 0.05 | (e) | 2.35 | 2.40 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.05 | (e) | 0.95 | 1.00 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
November 3, 2008 (g) through June 30, 2009 | 7.36 | 0.07 | (e) | 0.04 | 0.11 | (0.07 | ) | (0.05 | ) | (0.12 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.31 | 0.12 | (e) | 2.34 | 2.46 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.36 | 0.12 | (e) | 0.94 | 1.06 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.55 | 0.16 | (e) | (2.17 | ) | (2.01 | ) | (0.13 | ) | (0.05 | ) | (0.18 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.35 | 0.15 | (e) | (1.25 | ) | (1.10 | ) | (0.14 | ) | (1.56 | ) | (1.70 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.27 | 0.16 | (e) | 2.46 | 2.62 | (0.15 | ) | (1.39 | ) | (1.54 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 9.59 | 0.07 | (e) | 1.10 | 1.17 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.31 | 0.11 | (e) | 2.35 | 2.46 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.11 | (e) | 0.95 | 1.06 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.55 | 0.14 | (e) | (2.16 | ) | (2.02 | ) | (0.13 | ) | (0.05 | ) | (0.18 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.35 | 0.15 | (e) | (1.25 | ) | (1.10 | ) | (0.14 | ) | (1.56 | ) | (1.70 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.27 | 0.15 | (e) | 2.47 | 2.62 | (0.15 | ) | (1.39 | ) | (1.54 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.30 | 0.10 | (e) | 2.34 | 2.44 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.10 | (e) | 0.94 | 1.04 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.54 | 0.13 | (e) | (2.15 | ) | (2.02 | ) | (0.12 | ) | (0.05 | ) | (0.17 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.34 | 0.13 | (e) | (1.25 | ) | (1.12 | ) | (0.12 | ) | (1.56 | ) | (1.68 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.26 | 0.13 | (e) | 2.47 | 2.60 | (0.13 | ) | (1.39 | ) | (1.52 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of (000’s) | Net expenses (d) | Net investment income (loss) | without waivers, | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.65 | 29.29 | % | $ | 426,536 | 0.97 | % | 0.81 | % | 1.07 | % | 69 | % | |||||||||||||
| 8.30 | 13.83 | 184,862 | 1.05 | 0.84 | 1.08 | 84 | ||||||||||||||||||||
| 7.35 | (21.36 | ) | 103,103 | 1.05 | 1.49 | 1.12 | 101 | |||||||||||||||||||
| 9.56 | (10.55 | )(f) | 120,365 | 1.05 | 0.91 | 1.07 | 103 | |||||||||||||||||||
| 12.36 | 24.09 | 143,393 | 1.05 | 0.85 | 1.10 | 112 | ||||||||||||||||||||
| 10.51 | 28.66 | 7,113 | 1.48 | 0.31 | 1.56 | 69 | ||||||||||||||||||||
| 8.20 | 13.25 | 8,190 | 1.57 | 0.33 | 1.58 | 84 | ||||||||||||||||||||
| 7.26 | (21.70 | ) | 8,559 | 1.57 | 0.96 | 1.61 | 101 | |||||||||||||||||||
| 9.45 | (11.08 | )(f) | 12,548 | 1.57 | 0.38 | 1.57 | 103 | |||||||||||||||||||
| 12.24 | 23.50 | 22,375 | 1.57 | 0.33 | 1.60 | 112 | ||||||||||||||||||||
| 10.47 | 28.56 | 57,089 | 1.48 | 0.30 | 1.57 | 69 | ||||||||||||||||||||
| 8.18 | 13.26 | 27,838 | 1.57 | 0.32 | 1.58 | 84 | ||||||||||||||||||||
| 7.25 | (21.69 | ) | 10,216 | 1.57 | 0.97 | 1.62 | 101 | |||||||||||||||||||
| 9.44 | (11.03 | )(f) | 8,589 | 1.57 | 0.40 | 1.57 | 103 | |||||||||||||||||||
| 12.23 | 23.43 | 9,417 | 1.57 | 0.33 | 1.60 | 112 | ||||||||||||||||||||
| 10.62 | 28.96 | 8,533 | 1.22 | 0.51 | 1.32 | 69 | ||||||||||||||||||||
| 8.29 | 13.56 | 492 | 1.30 | 0.57 | 1.33 | 84 | ||||||||||||||||||||
| 7.35 | 1.70 | 51 | 1.30 | 1.47 | 1.39 | 101 | ||||||||||||||||||||
| 10.66 | 29.66 | 153,501 | 0.59 | 1.27 | 0.61 | 69 | ||||||||||||||||||||
| 8.31 | 14.30 | 209,619 | 0.59 | 1.39 | 0.63 | 84 | ||||||||||||||||||||
| 7.36 | (20.91 | ) | 596 | 0.59 | 2.08 | 0.65 | 101 | |||||||||||||||||||
| 9.55 | (10.16 | )(f) | 96,194 | 0.59 | 1.42 | 0.62 | 103 | |||||||||||||||||||
| 12.35 | 24.66 | 43,851 | 0.59 | 1.31 | 0.65 | 112 | ||||||||||||||||||||
| 10.67 | 12.17 | 549,478 | 0.54 | 1.15 | 0.57 | 69 | ||||||||||||||||||||
| 10.66 | 29.60 | 500,991 | 0.64 | 1.16 | 0.66 | 69 | ||||||||||||||||||||
| 8.31 | 14.40 | 441,540 | 0.64 | 1.25 | 0.68 | 84 | ||||||||||||||||||||
| 7.35 | (21.04 | ) | 263,859 | 0.64 | 1.88 | 0.72 | 101 | |||||||||||||||||||
| 9.55 | (10.20 | )(f) | 249,806 | 0.64 | 1.33 | 0.67 | 103 | |||||||||||||||||||
| 12.35 | 24.60 | 223,850 | 0.64 | 1.27 | 0.70 | 112 | ||||||||||||||||||||
| 10.65 | 29.47 | 3,129,167 | 0.79 | 1.00 | 0.82 | 69 | ||||||||||||||||||||
| 8.30 | 14.10 | 1,741,650 | 0.79 | 1.10 | 0.83 | 84 | ||||||||||||||||||||
| 7.35 | (21.04 | ) | 1,138,732 | 0.79 | 1.76 | 0.87 | 101 | |||||||||||||||||||
| 9.54 | (10.34 | )(f) | 987,949 | 0.79 | 1.17 | 0.82 | 103 | |||||||||||||||||||
| 12.34 | 24.44 | 1,099,173 | 0.79 | 1.11 | 0.85 | 112 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 73 | ||||||
Table of Contents
AS OF JUNE 30, 2011
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were each formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and each is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 7 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Disciplined Equity Fund | Class A, Class R6, Institutional Class and Select Class | JPM I | Diversified | |||
| Dynamic Growth Fund | Class A, Class C, Class R5 and Select Class | JPM I | Non-Diversified | |||
| Equity Income Fund | Class A, Class B, Class C, Class R2, Class R5 and Select Class | JPM II | Diversified | |||
| Growth and Income Fund | Class A, Class B, Class C and Select Class | JPM I | Diversified | |||
| Large Cap Growth Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Large Cap Value Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| U.S. Equity Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6, Institutional Class and Select Class | JPM I | Diversified |
Currently, Class A, Class C and Class R5 Shares of the Dynamic Growth Fund are not publicly offered for investment. Effective August 6, 2010, Select Class Shares of the Dynamic Growth Fund were publicly offered for investment.
Class R6 Shares commenced operations on November 30, 2010, for the Large Cap Growth Fund, Large Cap Value Fund and U.S. Equity Fund.
Class R2 and Class R5 Shares commenced operations on February 28, 2011 for Equity Income Fund.
Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Disciplined Equity Fund.
Effective November 1, 2009, Class B Shares of the Equity Income Fund, Growth and Income Fund, Large Cap Growth Fund, Large Cap Value Fund and U.S. Equity Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Funds primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the
| 74 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
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investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. 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. Trading in securities on most foreign exchanges and over-the-counter markets
is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Disciplined Equity Fund | ||||||||||||||||
Total Investments in Securities # | $ | 708,172 | $ | 502 | $ | — | $ | 708,674 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 263 | $ | — | $ | — | $ | 263 | ||||||||
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Dynamic Growth Fund | ||||||||||||||||
Total Investments in Securities ## | $ | 42,712 | $ | 1,666 | $ | — | $ | 44,378 | ||||||||
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Equity Income Fund | ||||||||||||||||
Total Investments in Securities ### | $ | 462,837 | $ | — | $ | — | $ | 462,837 | ||||||||
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Growth and Income Fund | ||||||||||||||||
Total Investments in Securities ### | $ | 321,123 | $ | — | $ | — | $ | 321,123 | ||||||||
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Large Cap Growth Fund | ||||||||||||||||
Total Investments in Securities #### | $ | 1,820,454 | $ | 79,317 | $ | — | $ | 1,899,771 | ||||||||
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| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 75 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Large Cap Value Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 72,446 | $ | — | $ | — | $ | 72,446 | ||||||||
Consumer Staples | 24,184 | — | — | 24,184 | ||||||||||||
Energy | 89,353 | — | — | 89,353 | ||||||||||||
Financials | 173,875 | — | 2,306 | 176,181 | ||||||||||||
Health Care | 97,269 | — | — | 97,269 | ||||||||||||
Industrials | 60,441 | — | — | 60,441 | ||||||||||||
Information Technology | 79,963 | — | — | 79,963 | ||||||||||||
Materials | 24,487 | — | — | 24,487 | ||||||||||||
Telecommunication Services | 23,918 | — | — | 23,918 | ||||||||||||
Utilities | 20,641 | — | — | 20,641 | ||||||||||||
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Total Common Stocks | 666,577 | — | 2,306 | 668,883 | ||||||||||||
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Short-Term Investment | ||||||||||||||||
Investment Company | 527 | — | — | 527 | ||||||||||||
Investment of Cash Collateral for Securities on Loan | ||||||||||||||||
Investment Company | 1,765 | — | — | 1,765 | ||||||||||||
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Total Investments in Securities | $ | 668,869 | $ | — | $ | 2,306 | $ | 671,175 | ||||||||
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U.S. Equity Fund | ||||||||||||||||
Total Investments in Securities ##### | $ | 4,787,679 | $ | 36,004 | $ | — | $ | 4,823,683 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 1,214 | $ | — | $ | — | $ | 1,214 | ||||||||
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| # | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of a U.S. Treasury Note that is held for futures collateral. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ## | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of certain ADRs, the reported value of which is an evaluated price. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ### | All portfolio holdings designated as Level 1 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of the portfolio holdings. |
| #### | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of preferred stock and certain ADRs, the reported value of which is an evaluated price. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ##### | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of preferred stock, a U.S. Treasury Note that is held for futures collateral and certain ADRs, the reported value of which is an evaluated price. Please refer to the SOI for industry specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2011.
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
| Large Cap Value Fund | Balance as of 6/30/10 | Realized gain (loss) | Change in unrealized appreciation (depreciation) | Net amortization (accretion) | Purchases1 | Sales2 | Transfers into Level 3 | Transfers out of Level 3 | Balance as of 6/30/11 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Common Stocks — Financials | $ | 2,646 | $ | — | $ | (340 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,306 | |||||||||||||||||
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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 a corporate action. |
The change in unrealized appreciation (depreciation) attributable to securities owned at June 30, 2011, which were valued using significant unobservable inputs (Level 3) was approximately $(340,000) for Large Cap Value Fund. This amount is included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations and Statements of Changes in Net Assets.
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B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale or are illiquid. Restricted securities generally may be resold in transactions exempt from registration. An illiquid security is a security which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately its fair value and includes, but is not limited to, repurchase agreements maturing in excess of seven days, time deposits with a withdrawal penalty, non-negotiable instruments and instruments for which no market exists. Disposal of these securities may involve time-consuming negotiations and expense, and prompt sale at the current valuation may be difficult.
The following is the value and percentage of net assets of illiquid securities as of June 30, 2011 (amounts in thousands):
| Value | Percentage | |||||||
Large Cap Value Fund | $ | 2,306 | 0.3 | % | ||||
C. Futures Contracts — The Disciplined Equity Fund and U.S. Equity Fund use index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds buy futures contracts to immediately invest incoming cash in the market or sell futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Funds to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the 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 unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The 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 Statements of Assets and Liabilities, 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, future exchanges may establish daily limits on the amount that the price of a futures contract can vary from previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
The table below discloses the volume of the Funds’ futures activities during the year ended June 30, 2011 (amounts in thousands):
| Disciplined Equity Fund | U.S. Equity Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 7,793 | $ | 64,140 | ||||
Ending Notional Balance Long | 11,248 | 37,097 | ||||||
D. Securities Lending — Each Fund (except Dynamic Growth Fund) may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for the Disciplined Equity Fund, Equity Income Fund, Growth and Income Fund, Large Cap Growth Fund, Large Cap Value Fund and U.S. Equity Fund, pursuant to a Securities Lending Agreement (the “GS Bank Securities Lending Agreement”). Prior to March 1, 2011, JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, served as lending agent for Large Cap Growth Fund and Large Cap Value Fund pursuant to a Securities Lending Agreement (the “JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
For the year ended June 30, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Disciplined Equity Fund | $ | 14 | ||
Equity Income Fund | 23 | |||
Growth and Income Fund | 22 | |||
Large Cap Growth Fund | 6 | |||
Large Cap Value Fund | 4 | |||
U.S. Equity Fund | 138 |
Under the GS Bank Securities Lending Agreement, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GS Bank Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities. Under the JPMCB Securities Lending Agreement, at the inception of a loan, securities were exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement required that the loaned securities be marked to market on a daily basis and additional cash collateral was requested from borrowers when the cash received from borrowers became less than 102% and 105% of the value of loaned U.S. dollar denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Investments | ||||||||||
Disciplined Equity Fund | $ | 706 | $ | 728 | $ | 728 | ||||||
Equity Income Fund | 3,306 | 3,339 | * | 3,339 | ||||||||
Large Cap Growth Fund | 739 | 747 | * | 747 | ||||||||
Large Cap Value Fund | 1,778 | 1,765 | * | 1,765 | ||||||||
U.S. Equity Fund | 7,105 | 7,243 | 7,243 | |||||||||
| * | Subsequent to June 30, 2011, additional collateral was received from borrowers |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GS Bank and JPMCB each have agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Disciplined Equity Fund | $ | 8 | ||
Equity Income Fund | 13 | |||
Growth and Income Fund | 12 | |||
Large Cap Growth Fund | 3 | |||
Large Cap Value Fund | 3 | |||
U.S. Equity Fund | 78 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the JPMCB Securities Lending Agreement, JPMCB was entitled to a fee paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non-dollar-denominated securities outstanding during a given month.
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The Funds incurred lending agent fees to JPMCB as follows for the year ended June 30, 2011 (amounts in thousands):
Lending Agent Fees Incurred | ||||
Large Cap Growth Fund | $ | 1 | ||
Large Cap Value Fund | 1 | |||
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income and expense on securities sold short less foreign taxes withheld, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
H. 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.
I. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid quarterly, except for the Dynamic Growth Fund, which are declared and paid annually, and the Equity Income Fund, which are declared and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-In Capital | Accumulated (Overdistributed) Net Investment Income | Accumulated on Investments | ||||||||||
Disciplined Equity Fund | $ | (6,073 | ) | $ | (67 | ) | $ | 6,140 | ||||
Dynamic Growth Fund | (72 | ) | 72 | — | ||||||||
Equity Income Fund | — | (a) | (144 | ) | 144 | |||||||
Growth and Income Fund | (60 | ) | (63 | ) | 123 | |||||||
Large Cap Growth Fund | (12,158 | ) | 742 | 11,416 | ||||||||
Large Cap Value Fund | — | 18 | (18 | ) | ||||||||
U.S. Equity Fund | — | (443 | ) | 443 | ||||||||
| (a) | Amount rounds to less than $1,000. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 79 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
The reclassifications for the Funds relate primarily to expiration of capital loss carryforwards (Disciplined Equity Fund and Large Cap Growth Fund), net operating loss (Dynamic Growth Fund), distributions from investments in real estate investment trusts (Large Cap Value Fund and U.S. Equity Fund), investments in partnerships (Equity Income Fund), non-taxable special dividends (Growth and Income Fund) and prior year distribution in excess of net income (Growth and Income Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual fee rate for each Fund is as follows:
Disciplined Equity Fund | 0.25 | % | ||
| Dynamic Growth Fund | 0.60 | |||
| Equity Income Fund | 0.40 | |||
| Growth and Income Fund | 0.40 | |||
| Large Cap Growth Fund | 0.50 | |||
| Large Cap Value Fund | 0.40 | |||
| U.S. Equity Fund | 0.40 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2011, the annual effective rate of each Fund’s average daily net assets was 0.09%.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | |||||
| Disciplined Equity Fund | 0.25% | n/a | n/a | n/a | ||||
| Dynamic Growth Fund | 0.25 | n/a | 0.75% | n/a | ||||
| Equity Income Fund | 0.25 | 0.75% | 0.75 | 0.50% | ||||
| Growth and Income Fund | 0.25 | 0.75 | 0.75 | n/a | ||||
| Large Cap Growth Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||
| Large Cap Value Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||
| U.S. Equity Fund | 0.25 | 0.75 | 0.75 | 0.50 |
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Disciplined Equity Fund | $ | 1 | $ | — | ||||
Equity Income Fund | 68 | 12 | ||||||
Growth and Income Fund | 14 | 5 | ||||||
Large Cap Growth Fund | 51 | 22 | ||||||
Large Cap Value Fund | 9 | 5 | ||||||
U.S. Equity Fund | 187 | 32 | ||||||
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D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Institutional Class | Select Class | ||||||||
| Disciplined Equity Fund | 0.25% | n/a | n/a | n/a | n/a | 0.10% | 0.25% | |||||||
| Dynamic Growth Fund | 0.25 | n/a | 0.25% | n/a | 0.05% | n/a | 0.25 | |||||||
| Equity Income Fund | 0.25 | 0.25% | 0.25 | 0.25% | 0.05 | n/a | 0.25 | |||||||
| Growth and Income Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | |||||||
| Large Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | |||||||
| Large Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | |||||||
| U.S. Equity Fund | 0.25 | 0.25 | 0.25 | 0.25 | 0.05 | 0.10 | 0.25 |
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend and interest expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||
| Disciplined Equity Fund | 0.85% | n/a | n/a | n/a | n/a | 0.35% | 0.45% | 0.60% | ||||||||
| Dynamic Growth Fund | 1.25 | n/a | 1.75% | n/a | 0.80% | n/a | n/a | 1.00 | ||||||||
| Equity Income Fund | 1.04 | 1.54% | 1.54 | 1.29% | 0.59 | n/a | n/a | 0.79 | ||||||||
| Growth and Income Fund | 1.30 | 1.80 | 1.80 | n/a | n/a | n/a | n/a | 0.90 | ||||||||
| Large Cap Growth Fund | 1.10 | 1.60 | 1.60 | 1.35 | 0.75 | 0.70 | n/a | 0.95 | ||||||||
| Large Cap Value Fund | 0.95 | 1.45 | 1.45 | 1.20 | 0.60 | 0.55 | n/a | 0.80 | ||||||||
| U.S. Equity Fund | 0.97 | 1.47 | 1.47 | 1.22 | 0.59 | 0.54 | 0.64 | 0.79 |
Prior to September 1, 2010, the contractual expense limitations for the Equity Income Fund were 1.24%, 1.99%, 1.99% and 0.89% for Class A, Class B, Class C and Select Class shares, respectively.
Prior to September 1, 2010, the contractual expense limitations for the Large Cap Growth Fund were 1.24%, 1.78%, 1.78%, 1.49%, 0.79% and 0.99% for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively.
Prior to September 1, 2010, the contractual expense limitations for the Large Cap Value Fund were 1.24%, 1.99%, 1.99%, 1.49%, 0.79% and 0.99% for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively.
Prior to September 1, 2010, the contractual expense limitations for the U.S. Equity Fund were 1.05%, 1.57%, 1.57% and 1.30% for Class A, Class B, Class C and Class R2 Shares, respectively.
Prior to November 1, 2010, the contractual expense limitations for the Disciplined Equity Fund were 0.95% and 0.75% for Class A and Select Class Shares, respectively.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Except as noted above, the contractual expense limitation agreements were in effect for the year ended June 30, 2011. The contractual expense limitation percentages in the table above are in place until at least October 31, 2011 except for the following:
| Share Class | Date | |||
| Equity Income Fund | Class R2 Shares | March 1, 2012 | ||
| Equity Income Fund | Class R5 Shares | March 1, 2012 | ||
| Large Cap Growth Fund | Class R6 Shares | November 30, 2011 | ||
| Large Cap Value | Class R6 Shares | November 30, 2011 | ||
| U.S. Equity Fund | Class R6 Shares | November 30, 2011 |
In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2011. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | Contractual Reimbursements | ||||||||||||||||
Disciplined Equity Fund | $ | 30 | $ | 160 | $ | — | $ | 190 | $ | — | ||||||||||
Dynamic Growth Fund | 41 | 6 | 7 | 54 | 56 | |||||||||||||||
Equity Income Fund | 215 | — | 27 | 242 | — | |||||||||||||||
Growth and Income Fund | — | — | 1 | 1 | — | |||||||||||||||
Large Cap Growth Fund | 105 | 193 | 217 | 515 | — | |||||||||||||||
Large Cap Value Fund | 121 | — | 25 | 146 | — | |||||||||||||||
U.S. Equity Fund | 726 | — | 481 | 1,207 | — | |||||||||||||||
| Voluntary Waivers | ||||||||||||
| Investment Advisory | Administration | Total | ||||||||||
Disciplined Equity Fund | $ | 1 | $ | 2 | $ | 3 | ||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisors or their affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in the money market funds for the year ended June 30, 2011 was as follows (excluding the waiver disclosed in Note 2.D. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):
Disciplined Equity Fund | $ | 18 | ||
Dynamic Growth Fund | 1 | |||
Equity Income Fund | 14 | |||
Growth and Income Fund | 10 | |||
Large Cap Growth Fund | 96 | |||
Large Cap Value Fund | 11 | |||
U.S. Equity Fund | 162 |
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors.
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The Funds may use related party broker/dealers. For the year ended December, 2010, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisors.
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 year ended June 30, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Disciplined Equity Fund | $ | 1,223,792 | $ | 865,763 | $ | 502 | $ | 360 | ||||||||
Dynamic Growth Fund | 56,062 | 16,239 | — | — | ||||||||||||
Equity Income Fund | 315,258 | 103,904 | — | — | ||||||||||||
Growth and Income Fund | 71,149 | 105,315 | — | — | ||||||||||||
Large Cap Growth Fund | 1,838,060 | 748,850 | — | — | ||||||||||||
Large Cap Value Fund | 466,097 | 372,671 | — | — | ||||||||||||
U.S. Equity Fund | 4,032,407 | 2,528,954 | 3,213 | 11,044 | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Disciplined Equity Fund | $ | 624,942 | $ | 89,737 | $ | 6,005 | $ | 83,732 | ||||||||
Dynamic Growth Fund | 42,847 | 2,072 | 541 | 1,531 | ||||||||||||
Equity Income Fund | 380,613 | 83,770 | 1,546 | 82,224 | ||||||||||||
Growth and Income Fund | 239,089 | 85,581 | 3,547 | 82,034 | ||||||||||||
Large Cap Growth Fund | 1,837,346 | 75,782 | 13,357 | 62,425 | ||||||||||||
Large Cap Value Fund | 561,668 | 115,816 | 6,309 | 109,507 | ||||||||||||
U.S. Equity Fund | 4,094,691 | 770,604 | 41,612 | 728,992 | ||||||||||||
For all of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, partnership basis outstanding (Equity Income Fund) and outstanding basis from RIC (regulated investment company) conversion (Growth and Income Fund).
The tax character of distributions paid during the fiscal year ended June 30, 2011, was as follows (amounts in thousands):
| Total Distributions Paid From | ||||||||
| Ordinary Income | Total Distributions | |||||||
Disciplined Equity Fund | $ | 7,897 | $ | 7,897 | ||||
Equity Income Fund | 6,606 | 6,606 | ||||||
Growth and Income Fund | 3,207 | 3,207 | ||||||
Large Cap Value Fund | 7,256 | 7,256 | ||||||
U.S. Equity Fund | 38,346 | 38,346 | ||||||
The tax character of distributions paid during the fiscal year ended June 30, 2010, was as follows (amounts in thousands):
| Total Distributions Paid From | ||||||||
| Ordinary Income | Total Distributions | |||||||
Disciplined Equity Fund | $ | 3,854 | $ | 3,854 | ||||
Equity Income Fund | 4,108 | 4,108 | ||||||
Growth and Income Fund | 4,285 | 4,285 | ||||||
Large Cap Value Fund | 4,085 | 4,085 | ||||||
U.S. Equity Fund | 23,587 | 23,587 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
At June 30, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Long-Term Capital Gain (Tax Basis Capital | Unrealized Appreciation (Depreciation) | ||||||||||
Disciplined Equity Fund | $ | 161 | $ | (7,465 | ) | $ | 83,732 | |||||
Dynamic Growth Fund | — | (909 | ) | 1,531 | ||||||||
Equity Income Fund | 9 | 2,871 | | 82,224 | | |||||||
Growth and Income Fund | 15 | (91,156 | ) | 82,034 | ||||||||
Large Cap Growth Fund | — | (50,067 | ) | 62,425 | ||||||||
Large Cap Value Fund | 2,010 | (130,672 | ) | 109,507 | ||||||||
U.S. Equity Fund | 7,019 | 24,789 | 728,992 | |||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, distributions payable (Disciplined Equity Fund, Equity Income Fund, Growth and Income Fund, Large Cap Value Fund and U.S. Equity Fund), trustee deferred compensation (Disciplined Equity Fund, Dynamic Growth Fund, Growth and Income Fund and Large Cap Growth Fund), post-October loss deferrals (Dynamic Growth Fund), partnership basis outstanding (Equity Income Fund) and outstanding basis from RIC conversion (Growth and Income Fund).
As of June 30, 2011, the Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2012 | 2017 | 2018 | 2019 | Total | ||||||||||||||||
Disciplined Equity Fund | $ | — | $ | 7,465 | $ | — | $ | — | $ | 7,465 | ||||||||||
Dynamic Growth Fund | — | 473 | 436 | — | (a) | 909 | ||||||||||||||
Growth and Income Fund | — | 15,120 | 76,036 | — | 91,156 | |||||||||||||||
Large Cap Growth Fund (b) | 896 | — | 49,171 | — | 50,067 | |||||||||||||||
Large Cap Value Fund | — | 44,519 | 86,153 | — | 130,672 | |||||||||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Includes approximately $896,000 of losses acquired from JPMorgan Equity Growth Fund. A portion of the capital loss carryforward from business combinations may be limited in future years. |
During the year ended June 30, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Disciplined Equity Fund | $ | 37,675 | ||
Equity Income Fund | 7,751 | |||
Growth and Income Fund | 6,262 | |||
Large Cap Growth Fund | 280,505 | |||
Large Cap Value Fund | 23,754 | |||
U.S. Equity Fund | 119,120 |
During the year ended June 30, 2011, the Funds had expired capital loss carryforwards as follows (amounts in thousands):
Disciplined Equity Fund | $ | 6,438 | ||
Large Cap Growth Fund (a) | 11,416 |
| (a) | Acquired from JPMorgan Equity Growth Fund. |
Net Capital losses and currency losses incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2011, the Funds deferred to July 1, 2011 post-October capital losses of (amounts in thousands):
Dynamic Growth Fund | $ | 839 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (“the Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to this Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the
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borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or the unsecured, uncommitted credit facility or another fund at June 30, 2011, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Equity Income Fund, Large Cap Growth Fund and U.S. Equity Fund.
In addition, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, each owns, in the aggregate more than 10% of the net assets of the Funds as follows:
J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Disciplined Equity Fund | n/a | 75.6 | % | |||||
Dynamic Growth Fund | 90.4 | % | n/a | |||||
Large Cap Growth Fund | 16.2 | n/a | ||||||
Large Cap Value Fund | 87.0 | n/a | ||||||
U.S. Equity Fund | 19.0 | n/a | ||||||
Significant shareholder transactions, if any, may impact the Funds’ performance.
Additionally, the Advisor owns a significant portion of the outstanding shares of the Dynamic Growth Fund and Large Cap Value Fund.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
9. Transfers-In-Kind
For the year ended June 30, 2010, certain shareholders of the U.S. Equity Fund purchased shares and the U.S. Equity Fund received portfolio securities primarily by means of a subscription in-kind for shares of the U.S. Equity Fund. Cash and portfolio securities were transferred as of the close of business on the date and at the market value listed below (amounts in thousands):
| Date | Value | Type | ||||||||
U.S. Equity Fund | 09/21/09 | $ | 6,506 | Subscription in-kind | ||||||
U.S. Equity Fund | 09/30/09 | 17,518 | Subscription in-kind | |||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Disciplined Equity Fund, JPMorgan Equity Income Fund, JPMorgan Growth and Income Fund, JPMorgan Large Cap Growth Fund, JPMorgan Large Cap Value Fund, JPMorgan U.S. Equity Fund and JPMorgan Dynamic Growth Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Disciplined Equity Fund, JPMorgan Growth and Income Fund, JPMorgan U.S. Equity Fund, JPMorgan Dynamic Growth Fund(each a separate fund of JPMorgan Trust I), JPMorgan Equity Income Fund, JPMorgan Large Cap Growth Fund and JPMorgan Large Cap Value Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2011
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 149 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 149 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 149 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 149 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 149 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 149 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 149 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 149 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 149 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
| 88 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 149 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 149 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 149 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 149 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (149 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 89 | ||||||
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Carmine Lekstutis (1980) Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| 90 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, January 1, 2011 and continued to hold your shares at the end of the reporting period, June 30, 2011.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During, January 1, 2011 to June 30, 2011 | Annualized Expense Ratio | |||||||||||||
Disciplined Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,051.30 | $ | 4.32 | 0.85 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,053.90 | 1.78 | 0.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,053.40 | 2.29 | 0.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,052.60 | 3.05 | 0.60 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Dynamic Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,043.20 | 6.18 | 1.22 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.74 | 6.11 | 1.22 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,041.80 | 8.71 | 1.72 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.27 | 8.60 | 1.72 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,045.90 | 3.91 | 0.77 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.98 | 3.86 | 0.77 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,044.80 | 4.92 | 0.97 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.98 | 4.86 | 0.97 | ||||||||||||
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 91 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During, January 1, 2011 to June 30, 2011 | Annualized Expense Ratio | |||||||||||||
Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,075.00 | $ | 5.30 | 1.03 | % | ||||||||
Hypothetical* | 1,000.00 | 1,019.69 | 5.16 | 1.03 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,072.80 | 7.86 | 1.53 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.21 | 7.65 | 1.53 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,072.40 | 7.91 | 1.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class R2 | ||||||||||||||||
Actual** | 1,000.00 | 1,025.40 | 4.33 | 1.28 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.45 | 6.41 | 1.28 | ||||||||||||
Class R5 | ||||||||||||||||
Actual** | 1,000.00 | 1,027.70 | 1.97 | 0.58 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.92 | 2.91 | 0.58 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,076.60 | 4.02 | 0.78 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.93 | 3.91 | 0.78 | ||||||||||||
Growth and Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,053.10 | 6.06 | 1.19 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,050.60 | 8.59 | 1.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.41 | 8.45 | 1.69 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,050.30 | 8.59 | 1.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.41 | 8.45 | 1.69 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,054.80 | 4.59 | 0.90 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,067.20 | 5.54 | 1.08 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.44 | 5.41 | 1.08 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,064.60 | 8.09 | 1.58 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.96 | 7.90 | 1.58 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,064.60 | 8.14 | 1.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.91 | 7.95 | 1.59 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,066.20 | 6.81 | 1.33 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 6.66 | 1.33 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,069.20 | 3.49 | 0.68 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.42 | 3.41 | 0.68 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,069.70 | 3.23 | 0.63 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.67 | 3.16 | 0.63 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,068.50 | 4.56 | 0.89 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
| 92 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During, January 1, 2011 to June 30, 2011 | Annualized Expense Ratio | |||||||||||||
Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,037.50 | $ | 4.80 | 0.95 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.08 | 4.76 | 0.95 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,034.40 | 7.31 | 1.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,034.80 | 7.32 | 1.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,036.40 | 6.06 | 1.20 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,038.60 | 2.98 | 0.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,038.90 | 2.73 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,037.90 | 3.99 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,044.80 | 4.92 | 0.97 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.98 | 4.86 | 0.97 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,042.80 | 7.45 | 1.47 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,042.30 | 7.44 | 1.47 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,044.10 | 6.18 | 1.22 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.74 | 6.11 | 1.22 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,046.50 | 2.99 | 0.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,047.70 | 2.74 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,046.30 | 3.25 | 0.64 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,046.70 | 4.01 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| ** | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 123/365 (to reflect the actual period). The Class commenced operations on February 28, 2011. |
| JUNE 30, 2011 | J.P. MORGAN LARGE CAP FUNDS | 93 | ||||||
Table of Contents
(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2011:
| Dividends Received Deduction | ||||
Disciplined Equity Fund | 100.00 | % | ||
Equity Income Fund | 100.00 | |||
Growth and Income Fund | 100.00 | |||
Large Cap Value Fund | 100.00 | |||
U.S. Equity Fund | 100.00 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Disciplined Equity Fund | $ | 7,897 | ||
Equity Income Fund | 6,606 | |||
Growth and Income Fund | 3,207 | |||
Large Cap Value Fund | 7,256 | |||
U.S. Equity Fund | 38,346 | |||
| 94 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2011 | ||||
Table of Contents
Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡ Social Security number and account balances
¡ transaction history and account transactions
¡ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
Table of Contents
Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2011. All rights reserved. June 2011. | AN-LCE-611 |
Table of Contents
Annual Report
J.P. Morgan Equity Funds
June 30, 2011
JPMorgan Equity Index Fund
JPMorgan Market Expansion Index Fund
 |
Table of Contents
| CEO’s Letter | 1 | |||
Fund Commentaries: | ||||
| 2 | ||||
| 5 | ||||
| Schedules of Portfolio Investments | 8 | |||
| Financial Statements | 30 | |||
| Financial Highlights | 36 | |||
| Notes to Financial Statements | 40 | |||
| Report of Independent Registered Public Accounting Firm | 48 | |||
| Trustees | 49 | |||
| Officers | 51 | |||
| Schedule of Shareholder Expenses | 52 | |||
| Tax Letter | 53 | |||
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 conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. 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 purpose 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 indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
AUGUST 8, 2011 (Unaudited)
Dear Shareholder:
Last summer, investors’ optimism about the markets was tempered by a wave of both discouraging U.S. economic data and sovereign debt issues in Europe, which led to a market correction.
 |
“Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises. ” |
As we enter the second half of 2011, concerns about softening U.S. economic data persist. While we are encouraged that corporate earnings and profits have continued to grow consistently, spending levels in many areas of the economy remain critically low, which has resulted in tight inventories and pent-up consumer demand. Meanwhile, investors still lack confidence in the ability of the European governments to combat the region’s debt crisis. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger the recent downturn, as August 8, 2011 saw each of the three major U.S. stock indices experience their worst one-day performance since December 1, 2008. The current slowdown in growth should not be viewed as a surprise. Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.
Monetary stimulus and corporate profits move stocks higher
Despite periods of volatility, monetary and fiscal stimulus and strong corporate profits lifted stocks higher over the past year. As of the end of the 12-month reporting period ended June 30, 2011, the S&P 500 Index was at a level of 1,321, an increase of 30.7% from 12 months earlier.
Small cap growth stocks led all style categories for the 12-month reporting period, with the Russell 2000 Growth Index returning 43.5%. For the same period, the Russell Midcap Growth Index returned 43.3%, compared to 35.0% for the Russell 1000 Growth Index. In the value category, the Russell
Midcap Value Index returned 34.3%, outperforming both the Russell 2000 Value Index, which returned 31.4%, and the Russell 1000 Value index, which returned 28.9%.
Most U.S. Treasury yields rise amid softer economic data
In the U.S. bond markets, yields were generally volatile, but longer-term Treasury yields generally rose, while shorter-term yields declined as economic expectations weakened. The yield on the 10-year U.S. Treasury bond rose from 3.0% to 3.2% as of the end of the 12-month reporting period ended June 30, 2011, while yields on the 30-year U.S. Treasury bond increased from 3.9% to 4.4%. Yields on the 2-year U.S. Treasury bond dropped from 0.6% to 0.5% as of the end of the same period.
Is the economic soft patch temporary?
As we enter the second half of 2011, the markets have clearly entered a period of uncertainty. Stocks have been volatile in response to weaker economic growth, as well as concerns over the European sovereign debt crisis, the credit downgrade of U.S.-issued debt, policy tightening in China, and the conclusion of the second round of quantitative easing (QE2) in the U.S. Given these events, it’s not surprising that investors remain largely risk averse, and less than confident about prospects for future growth.
Despite the slowdown and uncertain political environment, however, we do believe that some aspects of our markets and economy—including strong corporate balance sheets and valuations—present potential opportunities for investors. As always, we advise investors to be mindful of continued volatility and other unexpected risks by maintaining a diversified and balanced approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Management Americas
J.P. Morgan Asset Management
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 1 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 30.45% | |||
| S&P 500 Index | 30.69% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 1,893,161 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (S&P 500 Index).***
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) slightly underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2011. This was consistent with its indexing strategy and investment objective, as the Fund looks to generate returns that are comparable to that of the Benchmark.
U.S. stocks, as measured by the Benchmark, returned 30.69% for the twelve months ended June 30, 2011. Investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis,
political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period, but stocks still finished with gains.
All sectors in the Benchmark produced positive returns during the twelve-month period. The financials and utilities sectors generated the lowest returns, while the materials and energy sectors produced the strongest returns.
HOW WAS THE FUND POSITIONED?
The Fund was managed in strict conformity with a full replication index strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark. The Fund was generally 100% invested and used index futures contracts to manage daily cash flows and maintain market exposure in line with the Benchmark. The Fund’s portfolio managers attempted to minimize the transaction costs associated with implementing the strategy to lessen their impact on performance. Regardless of the market outlook, the Fund’s strategy did not change, as it continued to follow the full-replication index strategy.
| 2 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
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| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Exxon Mobil Corp. | 3.3 | % | |||||
| 2. | Apple, Inc. | 2.6 | ||||||
| 3. | International Business Machines Corp. | 1.7 | ||||||
| 4. | Chevron Corp. | 1.7 | ||||||
| 5. | General Electric Co. | 1.6 | ||||||
| 6. | Microsoft Corp. | 1.6 | ||||||
| 7. | AT&T, Inc. | 1.5 | ||||||
| 8. | Johnson & Johnson | 1.5 | ||||||
| 9. | Procter & Gamble Co. (The) | 1.5 | ||||||
| 10. | Pfizer, Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 17.6 | % | ||
| Financials | 15.0 | |||
| Energy | 12.5 | |||
| Health Care | 11.6 | |||
| Industrials | 11.1 | |||
| Consumer Staples | 10.5 | |||
| Consumer Discretionary | 10.5 | |||
| Materials | 3.7 | |||
| Utilities | 3.4 | |||
| Telecommunication Services | 3.1 | |||
| Short-Term Investments | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | “S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated with the Fund. |
| **** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 3 | ||||||
Table of Contents
JPMorgan Equity Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 02/18/92 | |||||||||||||||
Without Sales Charge | 30.09 | % | 2.54 | % | 2.25 | % | ||||||||||
With Sales Charge* | 23.25 | 1.44 | 1.70 | |||||||||||||
CLASS B SHARES | 01/14/94 | |||||||||||||||
Without CDSC | 29.10 | 1.77 | 1.63 | |||||||||||||
With CDSC** | 24.10 | 1.40 | 1.63 | |||||||||||||
CLASS C SHARES | 11/04/97 | |||||||||||||||
Without CDSC | 29.11 | 1.78 | 1.49 | |||||||||||||
With CDSC*** | 28.11 | 1.78 | 1.49 | |||||||||||||
SELECT CLASS SHARES | 07/02/91 | 30.45 | 2.80 | 2.50 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (06/30/01 TO 06/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Index Fund, the S&P 500 Index and the Lipper S&P 500 Objective Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper S&P 500 Objective Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The Lipper S&P 500 Objective Funds
Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Market Expansion Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 37.84% | |||
| S&P 1000 Index | 38.66% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 1,245,520 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Market Expansion Index Fund (the “Fund”) seeks to provide a return which substantially duplicates the price and yield performance of domestically traded common stocks in the small- and mid-capitalization equity markets, as represented by a market capitalization weighted combination of the Standard & Poor’s SmallCap 600 Index (S&P SmallCap 600) and the Standard & Poor’s MidCap 400 Index (S&P MidCap 400).***
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the S&P 1000 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Benchmark is a blend of the Standard & Poor’s SmallCap 600 Index and the Standard & Poor’s MidCap 400 Index.
Stocks in most of the world’s capital markets rallied during the twelve months ended June 30, 2011. In the United States, investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis, political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period but stocks still finished with gains. In the U.S., small- and mid-cap stocks outperformed large-cap stocks,
while growth stocks outperformed value stocks across asset classes.
There were two principal drivers to the Fund’s portfolio managers’ selection process: valuation (how a stock is priced relative to its intrinsic value) and fundamentals (how healthy they judge the company’s short-term operating trends to be). They used a “bottom up” approach, meaning they selected stocks based on the attractiveness of individual companies (as opposed to the so-called “top-down” approach, which focuses on economic, sector, and market data to guide stock selection). Relative to the Benchmark, the Fund’s worst performing sectors during the twelve-month period were the capital equipment and retail sectors. The best performing sectors were the consumer capital spending and health technology sectors.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to follow an industry-neutral approach to portfolio construction. Using a quantitative model, they focused on, what they believed to be, the best stocks in each of approximately 60 industries, and generally owned 850 to 900 stocks to retain the Fund’s enhanced index approach in implementing the strategy. The Fund’s portfolio managers took modestly active positions in individual stocks, generally 10 to 25 basis points greater or lesser than the Benchmark, to keep the tracking error low. Looking at valuation and fundamentals, the Fund’s portfolio managers overweighted attractively priced stocks with improving fundamentals and underweighted expensive stocks with deteriorating fundamentals based on their stock selection process.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 5 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | BorgWarner, Inc. | 0.8 | % | |||||
| 2. | Vertex Pharmaceuticals, Inc. | 0.7 | ||||||
| 3. | New York Community Bancorp, Inc. | 0.6 | ||||||
| 4. | Alliance Data Systems Corp. | 0.6 | ||||||
| 5. | Lam Research Corp. | 0.5 | ||||||
| 6. | Patterson-UTI Energy, Inc. | 0.5 | ||||||
| 7. | Endo Pharmaceuticals Holdings, Inc. | 0.5 | ||||||
| 8. | Arrow Electronics, Inc. | 0.5 | ||||||
| 9. | AGCO Corp. | 0.5 | ||||||
| 10. | Dollar Tree, Inc. | 0.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Financials | 18.1 | % | ||
| Information Technology | 17.2 | |||
| Industrials | 15.4 | |||
| Consumer Discretionary | 14.7 | |||
| Health Care | 11.1 | |||
| Materials | 6.2 | |||
| Energy | 6.1 | |||
| Utilities | 4.9 | |||
| Consumer Staples | 3.6 | |||
| Telecommunication Services | 0.5 | |||
| U.S. Treasury Obligation | 0.2 | |||
| Short-Term Investments | 2.0 | |||
| * | 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 advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | “S&P SmallCap 600 Index”, “S&P MidCap 400 Index” and “S&P 1000 Index” are registered service marks of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated with the Fund. |
| **** | Percentages indicated are based upon total investments (exclud- ing Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| 6 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 07/31/98 | |||||||||||||||
Without Sales Charge | 37.50 | % | 4.96 | % | 7.41 | % | ||||||||||
With Sales Charge* | 30.23 | 3.84 | 6.83 | |||||||||||||
CLASS B SHARES | 07/31/98 | |||||||||||||||
Without CDSC | 36.63 | 4.20 | 6.79 | |||||||||||||
With CDSC** | 31.63 | 3.86 | 6.79 | |||||||||||||
CLASS C SHARES | 03/22/99 | |||||||||||||||
Without CDSC | 36.53 | 4.18 | 6.62 | |||||||||||||
With CDSC*** | 35.53 | 4.18 | 6.62 | |||||||||||||
CLASS R2 SHARES | 11/03/08 | 36.97 | 4.58 | 7.04 | ||||||||||||
SELECT CLASS SHARES | 07/31/98 | 37.84 | 5.21 | 7.67 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (06/30/01 TO 06/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to their inception date are based on the performance of Select Class Shares. All prior class performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Market Expansion Index Fund, the S&P 1000 Index, the Lipper Small-Cap Core Funds Index, and the Lipper Mid-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the S&P 1000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index include expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P
1000 Index is an unmanaged index generally representative of the performance of small and mid-size companies in the U.S. stock market. The S&P 1000 Index is a combination of the S&P MidCap 400 Index and the S&P SmallCap 600 Index. The Lipper Small-Cap Core Funds Index and the Lipper Mid-Cap Core Funds Index are indexes based on total returns of certain groups of mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 7 | ||||||
Table of Contents
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% | |||||||
Consumer Discretionary — 10.5% |
| |||||||
Auto Components — 0.3% |
| |||||||
| 38 | Goodyear Tire & Rubber Co. (The) (a) | 636 | ||||||
| 105 | Johnson Controls, Inc. | 4,393 | ||||||
|
| |||||||
| 5,029 | ||||||||
|
| |||||||
Automobiles — 0.5% |
| |||||||
| 590 | Ford Motor Co. (a) | 8,140 | ||||||
| 37 | Harley-Davidson, Inc. | 1,504 | ||||||
|
| |||||||
| 9,644 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 24 | Genuine Parts Co. | 1,330 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
| 19 | Apollo Group, Inc., Class A (a) | 827 | ||||||
| 10 | DeVry, Inc. | 562 | ||||||
| 47 | H&R Block, Inc. | 761 | ||||||
|
| |||||||
| 2,150 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 67 | Carnival Corp. | 2,526 | ||||||
| 5 | Chipotle Mexican Grill, Inc. (a) | 1,490 | ||||||
| 21 | Darden Restaurants, Inc. | 1,055 | ||||||
| 47 | International Game Technology | 819 | ||||||
| 44 | Marriott International, Inc., Class A | 1,566 | ||||||
| 161 | McDonald’s Corp. | 13,596 | ||||||
| 116 | Starbucks Corp. | 4,600 | ||||||
| 30 | Starwood Hotels & Resorts Worldwide, Inc. | 1,699 | ||||||
| 26 | Wyndham Worldwide Corp. | 889 | ||||||
| 12 | Wynn Resorts Ltd. | 1,698 | ||||||
| 72 | Yum! Brands, Inc. | 3,997 | ||||||
|
| |||||||
| 33,935 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
| 44 | D.R. Horton, Inc. | 503 | ||||||
| 24 | Fortune Brands, Inc. | 1,528 | ||||||
| 11 | Harman International Industries, Inc. | 495 | ||||||
| 22 | Leggett & Platt, Inc. | 541 | ||||||
| 25 | Lennar Corp., Class A | 454 | ||||||
| 45 | Newell Rubbermaid, Inc. | 714 | ||||||
| 52 | Pulte Group, Inc. (a) | 401 | ||||||
| 12 | Whirlpool Corp. | 963 | ||||||
|
| |||||||
| 5,599 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.9% |
| |||||||
| 55 | Amazon.com, Inc. (a) | 11,349 | ||||||
| 31 | Expedia, Inc. | 899 | ||||||
| 7 | NetFlix, Inc. (a) | 1,779 | ||||||
| 8 | priceline.com, Inc. (a) | 3,949 | ||||||
|
| |||||||
| 17,976 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Leisure Equipment & Products — 0.1% |
| |||||||
| 21 | Hasbro, Inc. | 930 | ||||||
| 54 | Mattel, Inc. | 1,485 | ||||||
|
| |||||||
| 2,415 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
| 36 | Cablevision Systems Corp., Class A | 1,295 | ||||||
| 104 | CBS Corp., Class B | 2,961 | ||||||
| 430 | Comcast Corp., Class A | 10,893 | ||||||
| 119 | DIRECTV, Class A (a) | 6,064 | ||||||
| 43 | Discovery Communications, Inc., Class A (a) | 1,773 | ||||||
| 37 | Gannett Co., Inc. | 535 | ||||||
| 76 | Interpublic Group of Cos., Inc. (The) | 949 | ||||||
| 47 | McGraw-Hill Cos., Inc. (The) | 1,985 | ||||||
| 355 | News Corp., Class A | 6,286 | ||||||
| 44 | Omnicom Group, Inc. | 2,104 | ||||||
| 14 | Scripps Networks Interactive, Inc., Class A | 690 | ||||||
| 52 | Time Warner Cable, Inc. | 4,080 | ||||||
| 166 | Time Warner, Inc. | 6,052 | ||||||
| 91 | Viacom, Inc., Class B | 4,637 | ||||||
| 294 | Walt Disney Co. (The) | 11,468 | ||||||
| 1 | Washington Post Co. (The), Class B (c) | 336 | ||||||
|
| |||||||
| 62,108 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 12 | Big Lots, Inc. (a) | 387 | ||||||
| 19 | Family Dollar Stores, Inc. | 999 | ||||||
| 33 | J.C. Penney Co., Inc. | 1,145 | ||||||
| 44 | Kohl’s Corp. | 2,185 | ||||||
| 66 | Macy’s, Inc. | 1,939 | ||||||
| 26 | Nordstrom, Inc. | 1,224 | ||||||
| 7 | Sears Holdings Corp. (a) (c) | 478 | ||||||
| 107 | Target Corp. | 5,024 | ||||||
|
| |||||||
| 13,381 | ||||||||
|
| |||||||
Specialty Retail — 1.8% |
| |||||||
| 14 | Abercrombie & Fitch Co., Class A | 912 | ||||||
| 10 | AutoNation, Inc. (a) (c) | 362 | ||||||
| 4 | AutoZone, Inc. (a) | 1,158 | ||||||
| 39 | Bed Bath & Beyond, Inc. (a) | 2,260 | ||||||
| 50 | Best Buy Co., Inc. | 1,575 | ||||||
| 35 | CarMax, Inc. (a) | 1,161 | ||||||
| 22 | GameStop Corp., Class A (a) (c) | 586 | ||||||
| 61 | Gap, Inc. (The) | 1,099 | ||||||
| 247 | Home Depot, Inc. | 8,962 | ||||||
| 39 | Limited Brands, Inc. | 1,507 | ||||||
| 202 | Lowe’s Cos., Inc. | 4,717 | ||||||
| 21 | O’Reilly Automotive, Inc. (a) | 1,404 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Specialty Retail — Continued |
| |||||||
| 18 | Ross Stores, Inc. | 1,456 | ||||||
| 111 | Staples, Inc. | 1,751 | ||||||
| 20 | Tiffany & Co. | 1,558 | ||||||
| 60 | TJX Cos., Inc. | 3,152 | ||||||
| 19 | Urban Outfitters, Inc. (a) | 545 | ||||||
|
| |||||||
| 34,165 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 46 | Coach, Inc. | 2,917 | ||||||
| 59 | NIKE, Inc., Class B | 5,304 | ||||||
| 10 | Polo Ralph Lauren Corp. | 1,325 | ||||||
| 14 | V.F. Corp. | 1,477 | ||||||
|
| |||||||
| 11,023 | ||||||||
|
| |||||||
Total Consumer Discretionary | 198,755 | |||||||
|
| |||||||
Consumer Staples — 10.5% |
| |||||||
Beverages — 2.5% |
| |||||||
| 16 | Brown-Forman Corp., Class B | 1,197 | ||||||
| 356 | Coca-Cola Co. (The) | 23,939 | ||||||
| 51 | Coca-Cola Enterprises, Inc. | 1,474 | ||||||
| 28 | Constellation Brands, Inc., Class A (a) | 579 | ||||||
| 34 | Dr. Pepper Snapple Group, Inc. | 1,442 | ||||||
| 25 | Molson Coors Brewing Co., Class B | 1,105 | ||||||
| 246 | PepsiCo, Inc. | 17,301 | ||||||
|
| |||||||
| 47,037 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% |
| |||||||
| 68 | Costco Wholesale Corp. | 5,515 | ||||||
| 211 | CVS Caremark Corp. | 7,919 | ||||||
| 94 | Kroger Co. (The) | 2,337 | ||||||
| 55 | Safeway, Inc. | 1,286 | ||||||
| 33 | SUPERVALU, Inc. (c) | 310 | ||||||
| 91 | Sysco Corp. | 2,827 | ||||||
| 142 | Walgreen Co. | 6,041 | ||||||
| 297 | Wal-Mart Stores, Inc. | 15,773 | ||||||
| 23 | Whole Foods Market, Inc. | 1,473 | ||||||
|
| |||||||
| 43,481 | ||||||||
|
| |||||||
Food Products — 1.8% |
| |||||||
| 106 | Archer-Daniels-Midland Co. | 3,196 | ||||||
| 28 | Campbell Soup Co. | 980 | ||||||
| 64 | ConAgra Foods, Inc. | 1,640 | ||||||
| 28 | Dean Foods Co. (a) | 349 | ||||||
| 99 | General Mills, Inc. | 3,693 | ||||||
| 50 | H.J. Heinz Co. | 2,665 | ||||||
| 24 | Hershey Co. (The) | 1,355 | ||||||
| 22 | Hormel Foods Corp. | 643 | ||||||
| 18 | JM Smucker Co. (The) | 1,378 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — Continued |
| |||||||
| 39 | Kellogg Co. | 2,152 | ||||||
| 273 | Kraft Foods, Inc., Class A | 9,624 | ||||||
| 21 | McCormick & Co., Inc. (Non-Voting) | 1,021 | ||||||
| 32 | Mead Johnson Nutrition Co. | 2,145 | ||||||
| 91 | Sara Lee Corp. | 1,727 | ||||||
| 47 | Tyson Foods, Inc., Class A | 905 | ||||||
|
| |||||||
| 33,473 | ||||||||
|
| |||||||
Household Products — 2.1% |
| |||||||
| 21 | Clorox Co. | 1,397 | ||||||
| 76 | Colgate-Palmolive Co. | 6,641 | ||||||
| 61 | Kimberly-Clark Corp. | 4,064 | ||||||
| 434 | Procter & Gamble Co. (The) | 27,576 | ||||||
|
| |||||||
| 39,678 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
| 67 | Avon Products, Inc. | 1,872 | ||||||
| 18 | Estee Lauder Cos., Inc. (The), Class A | 1,864 | ||||||
|
| |||||||
| 3,736 | ||||||||
|
| |||||||
Tobacco — 1.6% |
| |||||||
| 325 | Altria Group, Inc. | 8,592 | ||||||
| 22 | Lorillard, Inc. | 2,431 | ||||||
| 276 | Philip Morris International, Inc. | 18,454 | ||||||
| 53 | Reynolds American, Inc. | 1,946 | ||||||
|
| |||||||
| 31,423 | ||||||||
|
| |||||||
Total Consumer Staples | 198,828 | |||||||
|
| |||||||
Energy — 12.5% |
| |||||||
Energy Equipment & Services — 2.3% |
| |||||||
| 68 | Baker Hughes, Inc. | 4,901 | ||||||
| 38 | Cameron International Corp. (a) | 1,915 | ||||||
| 11 | Diamond Offshore Drilling, Inc. (c) | 761 | ||||||
| 37 | FMC Technologies, Inc. (a) | 1,673 | ||||||
| 142 | Halliburton Co. | 7,252 | ||||||
| 17 | Helmerich & Payne, Inc. | 1,099 | ||||||
| 45 | Nabors Industries Ltd., (Bermuda) (a) | 1,100 | ||||||
| 66 | National Oilwell Varco, Inc. | 5,142 | ||||||
| 39 | Noble Corp., (Switzerland) | 1,544 | ||||||
| 20 | Rowan Cos., Inc. (a) | 769 | ||||||
| 211 | Schlumberger Ltd. | 18,220 | ||||||
|
| |||||||
| 44,376 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.2% |
| |||||||
| 35 | Alpha Natural Resources, Inc. (a) | 1,600 | ||||||
| 77 | Anadarko Petroleum Corp. | 5,935 | ||||||
| 60 | Apache Corp. | 7,353 | ||||||
| 16 | Cabot Oil & Gas Corp. | 1,076 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 102 | Chesapeake Energy Corp. | 3,034 | ||||||
| 312 | Chevron Corp. | 32,128 | ||||||
| 220 | ConocoPhillips | 16,517 | ||||||
| 35 | Consol Energy, Inc. | 1,707 | ||||||
| 62 | Denbury Resources, Inc. (a) | 1,235 | ||||||
| 66 | Devon Energy Corp. | 5,181 | ||||||
| 120 | El Paso Corp. | 2,414 | ||||||
| 42 | EOG Resources, Inc. | 4,361 | ||||||
| 23 | EQT Corp. | 1,220 | ||||||
| 766 | Exxon Mobil Corp. | 62,300 | ||||||
| 47 | Hess Corp. | 3,513 | ||||||
| 111 | Marathon Oil Corp. | 5,830 | ||||||
| 30 | Murphy Oil Corp. | 1,974 | ||||||
| 21 | Newfield Exploration Co. (a) | 1,398 | ||||||
| 27 | Noble Energy, Inc. | 2,458 | ||||||
| 126 | Occidental Petroleum Corp. | 13,143 | ||||||
| 42 | Peabody Energy Corp. | 2,479 | ||||||
| 18 | Pioneer Natural Resources Co. | 1,625 | ||||||
| 27 | QEP Resources, Inc. | 1,149 | ||||||
| 25 | Range Resources Corp. | 1,385 | ||||||
| 54 | Southwestern Energy Co. (a) | 2,318 | ||||||
| 101 | Spectra Energy Corp. | 2,769 | ||||||
| 19 | Sunoco, Inc. | 785 | ||||||
| 22 | Tesoro Corp. (a) | 512 | ||||||
| 89 | Valero Energy Corp. | 2,266 | ||||||
| 91 | Williams Cos., Inc. (The) | 2,765 | ||||||
|
| |||||||
| 192,430 | ||||||||
|
| |||||||
Total Energy | 236,806 | |||||||
|
| |||||||
Financials — 14.9% |
| |||||||
Capital Markets — 2.3% |
| |||||||
| 38 | Ameriprise Financial, Inc. | 2,172 | ||||||
| 193 | Bank of New York Mellon Corp. (The) | 4,944 | ||||||
| 15 | BlackRock, Inc. | 2,865 | ||||||
| 156 | Charles Schwab Corp. (The) | 2,561 | ||||||
| 39 | E*Trade Financial Corp. (a) | 540 | ||||||
| 14 | Federated Investors, Inc., Class B (c) | 345 | ||||||
| 22 | Franklin Resources, Inc. | 2,943 | ||||||
| 80 | Goldman Sachs Group, Inc. (The) | 10,708 | ||||||
| 72 | Invesco Ltd. | 1,680 | ||||||
| 29 | Janus Capital Group, Inc. | 273 | ||||||
| 23 | Legg Mason, Inc. | 757 | ||||||
| 240 | Morgan Stanley | 5,524 | ||||||
| 38 | Northern Trust Corp. | 1,727 | ||||||
| 78 | State Street Corp. | 3,532 | ||||||
| 40 | T. Rowe Price Group, Inc. | 2,436 | ||||||
|
| |||||||
| 43,007 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — 2.6% |
| |||||||
| 108 | BB&T Corp. | 2,905 | ||||||
| 27 | Comerica, Inc. | 950 | ||||||
| 143 | Fifth Third Bancorp | 1,820 | ||||||
| 41 | First Horizon National Corp. | 390 | ||||||
| 134 | Huntington Bancshares, Inc. | 880 | ||||||
| 148 | KeyCorp | 1,231 | ||||||
| 20 | M&T Bank Corp. | 1,715 | ||||||
| 82 | Marshall & Ilsley Corp. | 657 | ||||||
| 82 | PNC Financial Services Group, Inc. | 4,875 | ||||||
| 195 | Regions Financial Corp. | 1,211 | ||||||
| 83 | SunTrust Banks, Inc. | 2,153 | ||||||
| 299 | U.S. Bancorp | 7,638 | ||||||
| 822 | Wells Fargo & Co. | 23,064 | ||||||
| 29 | Zions Bancorp | 686 | ||||||
|
| |||||||
| 50,175 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
| 163 | American Express Co. | 8,403 | ||||||
| 71 | Capital One Financial Corp. | 3,686 | ||||||
| 85 | Discover Financial Services | 2,268 | ||||||
| 82 | SLM Corp. | 1,378 | ||||||
|
| |||||||
| 15,735 | ||||||||
|
| |||||||
Diversified Financial Services — 3.7% |
| |||||||
| 1,575 | Bank of America Corp. | 17,259 | ||||||
| 454 | Citigroup, Inc. | 18,900 | ||||||
| 10 | CME Group, Inc. | 3,039 | ||||||
| 11 | IntercontinentalExchange, Inc. (a) | 1,425 | ||||||
| 618 | JPMorgan Chase & Co. (q) | 25,282 | ||||||
| 31 | Leucadia National Corp. | 1,050 | ||||||
| 31 | Moody’s Corp. | 1,181 | ||||||
| 23 | NASDAQ OMX Group, Inc. (The) (a) | 590 | ||||||
| 41 | NYSE Euronext | 1,394 | ||||||
|
| |||||||
| 70,120 | ||||||||
|
| |||||||
Insurance — 3.7% |
| |||||||
| 52 | ACE Ltd., (Switzerland) | 3,451 | ||||||
| 73 | Aflac, Inc. | 3,393 | ||||||
| 81 | Allstate Corp. (The) | 2,481 | ||||||
| 68 | American International Group, Inc. (a) | 1,988 | ||||||
| 51 | AON Corp. | 2,635 | ||||||
| 15 | Assurant, Inc. | 544 | ||||||
| 269 | Berkshire Hathaway, Inc., Class B (a) | 20,822 | ||||||
| 45 | Chubb Corp. | 2,846 | ||||||
| 25 | Cincinnati Financial Corp. (c) | 739 | ||||||
| 76 | Genworth Financial, Inc., Class A (a) | 784 | ||||||
| 69 | Hartford Financial Services Group, Inc. | 1,821 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Insurance — Continued |
| |||||||
| 49 | Lincoln National Corp. | 1,388 | ||||||
| 48 | Loews Corp. | 2,032 | ||||||
| 85 | Marsh & McLennan Cos., Inc. | 2,655 | ||||||
| 164 | MetLife, Inc. | 7,207 | ||||||
| 50 | Principal Financial Group, Inc. | 1,519 | ||||||
| 102 | Progressive Corp. (The) | 2,172 | ||||||
| 76 | Prudential Financial, Inc. | 4,823 | ||||||
| 12 | Torchmark Corp. | 758 | ||||||
| 65 | Travelers Cos., Inc. (The) | 3,800 | ||||||
| 48 | Unum Group | 1,219 | ||||||
| 48 | XL Group plc, (Ireland) | 1,057 | ||||||
|
| |||||||
| 70,134 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
| 19 | Apartment Investment & Management Co., Class A | 474 | ||||||
| 14 | AvalonBay Communities, Inc. | 1,742 | ||||||
| 23 | Boston Properties, Inc. | 2,402 | ||||||
| 46 | Equity Residential | 2,747 | ||||||
| 63 | HCP, Inc. | 2,315 | ||||||
| 27 | Health Care REIT, Inc. | 1,440 | ||||||
| 107 | Host Hotels & Resorts, Inc. | 1,808 | ||||||
| 63 | Kimco Realty Corp. | 1,179 | ||||||
| 25 | Plum Creek Timber Co., Inc. | 1,020 | ||||||
| 71 | ProLogis, Inc. | 2,531 | ||||||
| 22 | Public Storage | 2,479 | ||||||
| 46 | Simon Property Group, Inc. | 5,298 | ||||||
| 25 | Ventas, Inc. | 1,339 | ||||||
| 25 | Vornado Realty Trust | 2,374 | ||||||
| 84 | Weyerhaeuser Co. | 1,830 | ||||||
|
| |||||||
| 30,978 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 45 | CB Richard Ellis Group, Inc., Class A (a) | 1,139 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
| 82 | Hudson City Bancorp, Inc. | 670 | ||||||
| 56 | People’s United Financial, Inc. | 748 | ||||||
|
| |||||||
| 1,418 | ||||||||
|
| |||||||
Total Financials | 282,706 | |||||||
|
| |||||||
Health Care — 11.6% |
| |||||||
Biotechnology — 1.2% |
| |||||||
| 144 | Amgen, Inc. (a) | 8,431 | ||||||
| 38 | Biogen Idec, Inc. (a) | 4,015 | ||||||
| 72 | Celgene Corp. (a) | 4,338 | ||||||
| 12 | Cephalon, Inc. (a) | 955 | ||||||
| 122 | Gilead Sciences, Inc. (a) | 5,065 | ||||||
|
| |||||||
| 22,804 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Equipment & Supplies — 1.9% |
| |||||||
| 89 | Baxter International, Inc. | 5,291 | ||||||
| 34 | Becton, Dickinson & Co. | 2,929 | ||||||
| 237 | Boston Scientific Corp. (a) | 1,641 | ||||||
| 13 | C.R. Bard, Inc. | 1,462 | ||||||
| 35 | CareFusion Corp. (a) | 944 | ||||||
| 77 | Covidien plc, (Ireland) | 4,101 | ||||||
| 22 | DENTSPLY International, Inc. | 833 | ||||||
| 18 | Edwards Lifesciences Corp. (a) | 1,554 | ||||||
| 6 | Intuitive Surgical, Inc. (a) | 2,272 | ||||||
| 166 | Medtronic, Inc. | 6,403 | ||||||
| 51 | St. Jude Medical, Inc. | 2,437 | ||||||
| 52 | Stryker Corp. | 3,044 | ||||||
| 18 | Varian Medical Systems, Inc. (a) | 1,275 | ||||||
| 30 | Zimmer Holdings, Inc. (a) | 1,885 | ||||||
|
| |||||||
| 36,071 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.2% |
| |||||||
| 59 | Aetna, Inc. | 2,600 | ||||||
| 43 | AmerisourceBergen Corp. | 1,763 | ||||||
| 54 | Cardinal Health, Inc. | 2,475 | ||||||
| 42 | CIGNA Corp. | 2,162 | ||||||
| 23 | Coventry Health Care, Inc. (a) | 840 | ||||||
| 15 | DaVita, Inc. (a) | 1,285 | ||||||
| 82 | Express Scripts, Inc. (a) | 4,441 | ||||||
| 26 | Humana, Inc. | 2,108 | ||||||
| 16 | Laboratory Corp. of America Holdings (a) | 1,507 | ||||||
| 39 | McKesson Corp. | 3,277 | ||||||
| 62 | Medco Health Solutions, Inc. (a) | 3,512 | ||||||
| 15 | Patterson Cos., Inc. | 490 | ||||||
| 24 | Quest Diagnostics, Inc. | 1,445 | ||||||
| 76 | Tenet Healthcare Corp. (a) | 475 | ||||||
| 168 | UnitedHealth Group, Inc. | 8,685 | ||||||
| 57 | WellPoint, Inc. | 4,495 | ||||||
|
| |||||||
| 41,560 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 22 | Cerner Corp. (a) | 1,374 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
| 54 | Agilent Technologies, Inc. (a) | 2,764 | ||||||
| 28 | Life Technologies Corp. (a) | 1,447 | ||||||
| 18 | PerkinElmer, Inc. | 472 | ||||||
| 60 | Thermo Fisher Scientific, Inc. (a) | 3,835 | ||||||
| 14 | Waters Corp. (a) | 1,363 | ||||||
|
| |||||||
| 9,881 | ||||||||
|
| |||||||
Pharmaceuticals — 5.7% |
| |||||||
| 242 | Abbott Laboratories | 12,710 | ||||||
| 47 | Allergan, Inc. | 3,943 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 11 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Pharmaceuticals — Continued |
| |||||||
| 265 | Bristol-Myers Squibb Co. | 7,678 | ||||||
| 158 | Eli Lilly & Co. | 5,942 | ||||||
| 44 | Forest Laboratories, Inc. (a) | 1,750 | ||||||
| 26 | Hospira, Inc. (a) | 1,477 | ||||||
| 426 | Johnson & Johnson | 28,337 | ||||||
| 480 | Merck & Co., Inc. | 16,928 | ||||||
| 68 | Mylan, Inc. (a) | 1,684 | ||||||
| 1,228 | Pfizer, Inc. | 25,294 | ||||||
| 20 | Watson Pharmaceuticals, Inc. (a) | 1,351 | ||||||
|
| |||||||
| 107,094 | ||||||||
|
| |||||||
Total Health Care | 218,784 | |||||||
|
| |||||||
Industrials — 11.1% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
| 115 | Boeing Co. (The) | 8,482 | ||||||
| 58 | General Dynamics Corp. | 4,308 | ||||||
| 19 | Goodrich Corp. | 1,853 | ||||||
| 122 | Honeywell International, Inc. | 7,288 | ||||||
| 29 | ITT Corp. | 1,686 | ||||||
| 16 | L-3 Communications Holdings, Inc. | 1,442 | ||||||
| 44 | Lockheed Martin Corp. | 3,584 | ||||||
| 45 | Northrop Grumman Corp. | 3,155 | ||||||
| 22 | Precision Castparts Corp. | 3,682 | ||||||
| 55 | Raytheon Co. | 2,759 | ||||||
| 24 | Rockwell Collins, Inc. | 1,477 | ||||||
| 43 | Textron, Inc. | 1,013 | ||||||
| 142 | United Technologies Corp. | 12,590 | ||||||
|
| |||||||
| 53,319 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.0% | ||||||||
| 25 | C.H. Robinson Worldwide, Inc. | 1,997 | ||||||
| 33 | Expeditors International of Washington, Inc. | 1,689 | ||||||
| 49 | FedEx Corp. | 4,653 | ||||||
| 153 | United Parcel Service, Inc., Class B | 11,178 | ||||||
|
| |||||||
| 19,517 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
| 123 | Southwest Airlines Co. | 1,405 | ||||||
|
| |||||||
Building Products — 0.0% (g) |
| |||||||
| 56 | Masco Corp. | 669 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.5% |
| |||||||
| 16 | Avery Dennison Corp. | 634 | ||||||
| 20 | Cintas Corp. | 649 | ||||||
| 31 | Iron Mountain, Inc. | 1,063 | ||||||
| 32 | Pitney Bowes, Inc. | 728 | ||||||
| 29 | R.R. Donnelley & Sons Co. | 572 | ||||||
| 47 | Republic Services, Inc. | 1,455 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — Continued |
| |||||||
| 13 | Stericycle, Inc. (a) | 1,189 | ||||||
| 74 | Waste Management, Inc. | 2,746 | ||||||
|
| |||||||
| 9,036 | ||||||||
|
| |||||||
Construction & Engineering — 0.2% |
| |||||||
| 27 | Fluor Corp. | 1,751 | ||||||
| 20 | Jacobs Engineering Group, Inc. (a) | 853 | ||||||
| 34 | Quanta Services, Inc. (a) | 678 | ||||||
|
| |||||||
| 3,282 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 117 | Emerson Electric Co. | 6,571 | ||||||
| 22 | Rockwell Automation, Inc. | 1,946 | ||||||
| 15 | Roper Industries, Inc. | 1,241 | ||||||
|
| |||||||
| 9,758 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.4% |
| |||||||
| 110 | 3M Co. | 10,474 | ||||||
| 1,648 | General Electric Co. (k) | 31,084 | ||||||
| 73 | Tyco International Ltd., (Switzerland) | 3,602 | ||||||
|
| |||||||
| 45,160 | ||||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
| 100 | Caterpillar, Inc. | 10,662 | ||||||
| 30 | Cummins, Inc. | 3,156 | ||||||
| 85 | Danaher Corp. | 4,484 | ||||||
| 65 | Deere & Co. | 5,378 | ||||||
| 29 | Dover Corp. | 1,966 | ||||||
| 53 | Eaton Corp. | 2,728 | ||||||
| 9 | Flowserve Corp. | 953 | ||||||
| 78 | Illinois Tool Works, Inc. | 4,390 | ||||||
| 51 | Ingersoll-Rand plc, (Ireland) | 2,338 | ||||||
| 16 | Joy Global, Inc. | 1,555 | ||||||
| 57 | PACCAR, Inc. | 2,902 | ||||||
| 18 | Pall Corp. | 1,015 | ||||||
| 25 | Parker Hannifin Corp. | 2,262 | ||||||
| 9 | Snap-On, Inc. | 565 | ||||||
| 26 | Stanley Black & Decker, Inc. | 1,882 | ||||||
|
| |||||||
| 46,236 | ||||||||
|
| |||||||
Professional Services — 0.1% |
| |||||||
| 8 | Dun & Bradstreet Corp. | 580 | ||||||
| 19 | Equifax, Inc. | 664 | ||||||
| 23 | Robert Half International, Inc. | 617 | ||||||
|
| |||||||
| 1,861 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 171 | CSX Corp. | 4,493 | ||||||
| 55 | Norfolk Southern Corp. | 4,113 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Road & Rail — Continued |
| |||||||
| 8 | Ryder System, Inc. | 454 | ||||||
| 76 | Union Pacific Corp. | 7,958 | ||||||
|
| |||||||
| 17,018 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
| 46 | Fastenal Co. (c) | 1,649 | ||||||
| 9 | W.W. Grainger, Inc. | 1,390 | ||||||
|
| |||||||
| 3,039 | ||||||||
|
| |||||||
Total Industrials | 210,300 | |||||||
|
| |||||||
Information Technology — 17.6% |
| |||||||
Communications Equipment — 2.0% |
| |||||||
| 855 | Cisco Systems, Inc. | 13,343 | ||||||
| 13 | F5 Networks, Inc. (a) | 1,390 | ||||||
| 20 | Harris Corp. | 891 | ||||||
| 35 | JDS Uniphase Corp. (a) | 588 | ||||||
| 83 | Juniper Networks, Inc. (a) | 2,610 | ||||||
| 46 | Motorola Mobility Holdings, Inc. (a) | 1,010 | ||||||
| 53 | Motorola Solutions, Inc. (a) | 2,429 | ||||||
| 259 | QUALCOMM, Inc. | 14,734 | ||||||
| 56 | Tellabs, Inc. | 260 | ||||||
|
| |||||||
| 37,255 | ||||||||
|
| |||||||
Computers & Peripherals — 4.2% |
| |||||||
| 144 | Apple, Inc. (a) | 48,240 | ||||||
| 255 | Dell, Inc. (a) | 4,254 | ||||||
| 320 | EMC Corp. (a) | 8,809 | ||||||
| 322 | Hewlett-Packard Co. | 11,733 | ||||||
| 12 | Lexmark International, Inc., Class A (a) | 360 | ||||||
| 57 | NetApp, Inc. (a) | 3,018 | ||||||
| 37 | SanDisk Corp. (a) | 1,537 | ||||||
| 36 | Western Digital Corp. (a) | 1,314 | ||||||
|
| |||||||
| 79,265 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
| 27 | Amphenol Corp., Class A | 1,478 | ||||||
| 244 | Corning, Inc. | 4,428 | ||||||
| 25 | FLIR Systems, Inc. | 837 | ||||||
| 31 | Jabil Circuit, Inc. | 617 | ||||||
| 22 | Molex, Inc. (c) | 557 | ||||||
|
| |||||||
| 7,917 | ||||||||
|
| |||||||
Internet Software & Services — 1.6% |
| |||||||
| 29 | Akamai Technologies, Inc. (a) | 913 | ||||||
| 177 | eBay, Inc. (a) | 5,728 | ||||||
| 39 | Google, Inc., Class A (a) | 19,780 | ||||||
| 20 | Monster Worldwide, Inc. (a) | 295 | ||||||
| 26 | VeriSign, Inc. | 876 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — Continued |
| |||||||
| 202 | Yahoo!, Inc. (a) | 3,045 | ||||||
|
| |||||||
| 30,637 | ||||||||
|
| |||||||
IT Services — 3.2% |
| |||||||
| 78 | Automatic Data Processing, Inc. | 4,091 | ||||||
| 47 | Cognizant Technology Solutions Corp., Class A (a) | 3,468 | ||||||
| 24 | Computer Sciences Corp. | 915 | ||||||
| 42 | Fidelity National Information Services, Inc. | 1,288 | ||||||
| 22 | Fiserv, Inc. (a) | 1,398 | ||||||
| 188 | International Business Machines Corp. | 32,291 | ||||||
| 15 | MasterCard, Inc., Class A | 4,409 | ||||||
| 50 | Paychex, Inc. | 1,537 | ||||||
| 43 | SAIC, Inc. (a) | 729 | ||||||
| 26 | Teradata Corp. (a) | 1,579 | ||||||
| 25 | Total System Services, Inc. | 467 | ||||||
| 74 | Visa, Inc., Class A | 6,272 | ||||||
| 98 | Western Union Co. (The) | 1,968 | ||||||
|
| |||||||
| 60,412 | ||||||||
|
| |||||||
Office Electronics — 0.1% |
| |||||||
| 218 | Xerox Corp. | 2,267 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
| 90 | Advanced Micro Devices, Inc. (a) | 627 | ||||||
| 50 | Altera Corp. | 2,321 | ||||||
| 47 | Analog Devices, Inc. | 1,823 | ||||||
| 205 | Applied Materials, Inc. | 2,665 | ||||||
| 74 | Broadcom Corp., Class A (a) | 2,494 | ||||||
| 8 | First Solar, Inc. (a) (c) | 1,116 | ||||||
| 824 | Intel Corp. | 18,259 | ||||||
| 26 | KLA-Tencor Corp. | 1,056 | ||||||
| 35 | Linear Technology Corp. | 1,169 | ||||||
| 94 | LSI Corp. (a) | 670 | ||||||
| 36 | MEMC Electronic Materials, Inc. (a) | 305 | ||||||
| 30 | Microchip Technology, Inc. (c) | 1,122 | ||||||
| 134 | Micron Technology, Inc. (a) | 1,001 | ||||||
| 37 | National Semiconductor Corp. | 922 | ||||||
| 14 | Novellus Systems, Inc. (a) | 502 | ||||||
| 93 | NVIDIA Corp. (a) | 1,487 | ||||||
| 29 | Teradyne, Inc. (a) | 427 | ||||||
| 180 | Texas Instruments, Inc. | 5,924 | ||||||
| 41 | Xilinx, Inc. | 1,506 | ||||||
|
| |||||||
| 45,396 | ||||||||
|
| |||||||
Software — 3.7% |
| |||||||
| 78 | Adobe Systems, Inc. (a) | 2,466 | ||||||
| 36 | Autodesk, Inc. (a) | 1,386 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 13 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Software — Continued |
| |||||||
| 27 | BMC Software, Inc. (a) | 1,503 | ||||||
| 59 | CA, Inc. | 1,347 | ||||||
| 29 | Citrix Systems, Inc. (a) | 2,337 | ||||||
| 34 | Compuware Corp. (a) | 331 | ||||||
| 52 | Electronic Arts, Inc. (a) | 1,219 | ||||||
| 43 | Intuit, Inc. (a) | 2,205 | ||||||
| 1,153 | Microsoft Corp. | 29,984 | ||||||
| 606 | Oracle Corp. | 19,929 | ||||||
| 30 | Red Hat, Inc. (a) | 1,377 | ||||||
| 19 | Salesforce.com, Inc. (a) | 2,790 | ||||||
| 117 | Symantec Corp. (a) | 2,316 | ||||||
|
| |||||||
| 69,190 | ||||||||
|
| |||||||
Total Information Technology | 332,339 | |||||||
|
| |||||||
Materials — 3.6% |
| |||||||
Chemicals — 2.2% |
| |||||||
| 33 | Air Products & Chemicals, Inc. | 3,147 | ||||||
| 11 | Airgas, Inc. | 760 | ||||||
| 11 | CF Industries Holdings, Inc. | 1,574 | ||||||
| 183 | Dow Chemical Co. (The) | 6,577 | ||||||
| 144 | E.I. du Pont de Nemours & Co. | 7,801 | ||||||
| 11 | Eastman Chemical Co. | 1,127 | ||||||
| 36 | Ecolab, Inc. | 2,033 | ||||||
| 11 | FMC Corp. | 959 | ||||||
| 12 | International Flavors & Fragrances, Inc. | 803 | ||||||
| 83 | Monsanto Co. | 6,042 | ||||||
| 25 | PPG Industries, Inc. | 2,231 | ||||||
| 47 | Praxair, Inc. | 5,122 | ||||||
| 14 | Sherwin-Williams Co. (The) | 1,152 | ||||||
| 19 | Sigma-Aldrich Corp. | 1,389 | ||||||
|
| |||||||
| 40,717 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
| 20 | Vulcan Materials Co. (c) | 773 | ||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
| 26 | Ball Corp. | 1,004 | ||||||
| 16 | Bemis Co., Inc. | 553 | ||||||
| 25 | Owens-Illinois, Inc. (a) | 658 | ||||||
| 25 | Sealed Air Corp. | 592 | ||||||
|
| |||||||
| 2,807 | ||||||||
|
| |||||||
Metals & Mining — 1.1% |
| |||||||
| 17 | AK Steel Holding Corp. | 270 | ||||||
| 165 | Alcoa, Inc. | 2,622 | ||||||
| 16 | Allegheny Technologies, Inc. | 1,047 | ||||||
| 22 | Cliffs Natural Resources, Inc. | 2,078 | ||||||
| 147 | Freeport-McMoRan Copper & Gold, Inc. | 7,788 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — Continued |
| |||||||
| 77 | Newmont Mining Corp. | 4,141 | ||||||
| 49 | Nucor Corp. | 2,025 | ||||||
| 14 | Titanium Metals Corp. | 256 | ||||||
| 22 | United States Steel Corp. | 1,028 | ||||||
|
| |||||||
| 21,255 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
| 68 | International Paper Co. | 2,026 | ||||||
| 26 | MeadWestvaco Corp. | 878 | ||||||
|
| |||||||
| 2,904 | ||||||||
|
| |||||||
Total Materials | 68,456 | |||||||
|
| |||||||
Telecommunication Services — 3.1% |
| |||||||
Diversified Telecommunication Services — 2.7% |
| |||||||
| 920 | AT&T, Inc. | 28,907 | ||||||
| 93 | CenturyLink, Inc. | 3,773 | ||||||
| 155 | Frontier Communications Corp. | 1,248 | ||||||
| 440 | Verizon Communications, Inc. | 16,369 | ||||||
| 79 | Windstream Corp. | 1,027 | ||||||
|
| |||||||
| 51,324 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
| 62 | American Tower Corp., Class A (a) | 3,226 | ||||||
| 41 | MetroPCS Communications, Inc. (a) | 710 | ||||||
| 465 | Sprint Nextel Corp. (a) | 2,506 | ||||||
|
| |||||||
| 6,442 | ||||||||
|
| |||||||
Total Telecommunication Services | 57,766 | |||||||
|
| |||||||
Utilities — 3.3% |
| |||||||
Electric Utilities — 1.8% |
| |||||||
| 75 | American Electric Power Co., Inc. | 2,821 | ||||||
| 207 | Duke Energy Corp. | 3,896 | ||||||
| 51 | Edison International | 1,962 | ||||||
| 28 | Entergy Corp. | 1,888 | ||||||
| 103 | Exelon Corp. | 4,410 | ||||||
| 65 | FirstEnergy Corp. | 2,869 | ||||||
| 66 | NextEra Energy, Inc. | 3,768 | ||||||
| 27 | Northeast Utilities | 966 | ||||||
| 35 | Pepco Holdings, Inc. | 689 | ||||||
| 17 | Pinnacle West Capital Corp. | 755 | ||||||
| 90 | PPL Corp. | 2,496 | ||||||
| 46 | Progress Energy, Inc. | 2,198 | ||||||
| 132 | Southern Co. | 5,329 | ||||||
|
| |||||||
| 34,047 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
| 7 | Nicor, Inc. | 388 | ||||||
| 17 | Oneok, Inc. | 1,232 | ||||||
|
| |||||||
| 1,620 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Independent Power Producers & Energy Traders — 0.2% |
| |||||||
| 102 | AES Corp. (The) (a) | 1,300 | ||||||
| 31 | Constellation Energy Group, Inc. | 1,184 | ||||||
| 37 | NRG Energy, Inc. (a) | 921 | ||||||
|
| |||||||
| 3,405 | ||||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 37 | Ameren Corp. | 1,081 | ||||||
| 66 | CenterPoint Energy, Inc. | 1,279 | ||||||
| 39 | CMS Energy Corp. | 772 | ||||||
| 45 | Consolidated Edison, Inc. | 2,421 | ||||||
| 89 | Dominion Resources, Inc. | 4,319 | ||||||
| 26 | DTE Energy Co. | 1,316 | ||||||
| 12 | Integrys Energy Group, Inc. | 627 | ||||||
| 43 | NiSource, Inc. | 880 | ||||||
| 62 | PG&E Corp. | 2,599 | ||||||
| 79 | Public Service Enterprise Group, Inc. | 2,566 | ||||||
| 18 | SCANA Corp. | 699 | ||||||
| 37 | Sempra Energy | 1,968 | ||||||
| 33 | TECO Energy, Inc. | 631 | ||||||
| 36 | Wisconsin Energy Corp. | 1,139 | ||||||
| 75 | Xcel Energy, Inc. | 1,829 | ||||||
|
| |||||||
| 24,126 | ||||||||
|
| |||||||
Total Utilities | 63,198 | |||||||
|
| |||||||
Total Common Stocks | 1,867,938 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrant — 0.0% (g) | |||||||
Financials — 0.0% (g) | ||||||||
Insurance — 0.0% (g) | ||||||||
| 12 | American International Group, Inc., expiring 01/19/21 | 127 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.0% | |||||||
Investment Company — 1.0% | ||||||||
| 19,103 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) (Cost $19,103) | 19,103 | ||||||
|
| |||||||
| Investments of Cash Collateral for Securities on Loan — 0.4% |
| ||||||
Investment Company — 0.4% | ||||||||
| 7,885 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 7,885 | ||||||
| �� |
|
| ||||||
Total Investments — 100.1% | 1,895,053 | |||||||
Liabilities in Excess of | (1,892 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,893,161 | ||||||
|
| |||||||
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 351 | E-mini S&P 500 | 09/16/11 | $ | 23,087 | $ | 603 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 15 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.9% |
| ||||||
Consumer Discretionary — 14.9% |
| |||||||
Auto Components — 0.9% |
| |||||||
| 119 | BorgWarner, Inc. (a) | 9,605 | ||||||
| 13 | Drew Industries, Inc. | 333 | ||||||
| 11 | Spartan Motors, Inc. | 59 | ||||||
| 13 | Standard Motor Products, Inc. | 200 | ||||||
| 16 | Superior Industries International, Inc. | 358 | ||||||
|
| |||||||
| 10,555 | ||||||||
|
| |||||||
Automobiles — 0.0% (g) |
| |||||||
| 13 | Thor Industries, Inc. | 368 | ||||||
| 9 | Winnebago Industries, Inc. (a) | 83 | ||||||
|
| |||||||
| 451 | ||||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
| 13 | Audiovox Corp., Class A (a) | 98 | ||||||
| 104 | LKQ Corp. (a) | 2,713 | ||||||
| 37 | Pool Corp. | 1,095 | ||||||
|
| |||||||
| 3,906 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.7% |
| |||||||
| 13 | American Public Education, Inc. (a) | 589 | ||||||
| 13 | Apollo Group, Inc., Class A (a) | 588 | ||||||
| 90 | Coinstar, Inc. (a) (c) | 4,925 | ||||||
| 61 | Corinthian Colleges, Inc. (a) (c) | 259 | ||||||
| 45 | Hillenbrand, Inc. | 1,069 | ||||||
| 43 | ITT Educational Services, Inc. (a) | 3,383 | ||||||
| 16 | Lincoln Educational Services Corp. | 280 | ||||||
| 21 | Matthews International Corp., Class A | 841 | ||||||
| 7 | Pre-Paid Legal Services, Inc. (a) | 463 | ||||||
| 224 | Service Corp. International | 2,619 | ||||||
| 125 | Sotheby’s | 5,426 | ||||||
| 5 | Strayer Education, Inc. (c) | 570 | ||||||
| 14 | Universal Technical Institute, Inc. | 285 | ||||||
|
| |||||||
| 21,297 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||
| 1 | Biglari Holdings, Inc. (a) | 418 | ||||||
| 23 | Bob Evans Farms, Inc. | 813 | ||||||
| 39 | Boyd Gaming Corp. (a) (c) | 342 | ||||||
| 201 | Brinker International, Inc. | 4,914 | ||||||
| 13 | Buffalo Wild Wings, Inc. (a) | 878 | ||||||
| 18 | California Pizza Kitchen, Inc. (a) | 328 | ||||||
| 15 | CEC Entertainment, Inc. | 596 | ||||||
| 58 | Cheesecake Factory, Inc. (The) (a) | 1,805 | ||||||
| 67 | Cracker Barrel Old Country Store, Inc. | 3,281 | ||||||
| 12 | DineEquity, Inc. (a) | 637 | ||||||
| 21 | International Speedway Corp., Class A | 609 | ||||||
| 29 | Interval Leisure Group, Inc. (a) | 398 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Hotels, Restaurants & Leisure — Continued |
| |||||||
| 16 | Life Time Fitness, Inc. (a) | 631 | ||||||
| 15 | Marcus Corp. | 146 | ||||||
| 6 | Monarch Casino & Resort, Inc. (a) | 65 | ||||||
| 13 | Multimedia Games Holding Co., Inc. (a) | 61 | ||||||
| 13 | O’Charley’s, Inc. (a) | 99 | ||||||
| 22 | Panera Bread Co., Class A (a) | 2,817 | ||||||
| 15 | Papa John’s International, Inc. (a) | 491 | ||||||
| 9 | Peet’s Coffee & Tea, Inc. (a) (c) | 522 | ||||||
| 71 | PF Chang’s China Bistro, Inc. (c) | 2,853 | ||||||
| 44 | Pinnacle Entertainment, Inc. (a) | 649 | ||||||
| 11 | Red Robin Gourmet Burgers, Inc. (a) | 393 | ||||||
| 47 | Ruby Tuesday, Inc. (a) | 509 | ||||||
| 17 | Ruth’s Hospitality Group, Inc. (a) | 94 | ||||||
| 48 | Scientific Games Corp., Class A (a) | 499 | ||||||
| 24 | Shuffle Master, Inc. (a) | 227 | ||||||
| 43 | Sonic Corp. (a) | 462 | ||||||
| 59 | Texas Roadhouse, Inc. | 1,043 | ||||||
|
| |||||||
| 26,580 | ||||||||
|
| |||||||
Household Durables — 1.2% |
| |||||||
| 29 | American Greetings Corp., Class A | 697 | ||||||
| 4 | Blyth, Inc. | 197 | ||||||
| 21 | Ethan Allen Interiors, Inc. | 455 | ||||||
| 22 | Helen of Troy Ltd., (Bermuda) (a) | 766 | ||||||
| 17 | Jarden Corp. | 596 | ||||||
| 52 | KB Home | 505 | ||||||
| 7 | Kid Brands, Inc. (a) | 37 | ||||||
| 36 | La-Z-Boy, Inc. (a) | 354 | ||||||
| 2 | Lennar Corp., Class A | 38 | ||||||
| 14 | M/I Homes, Inc. (a) | 166 | ||||||
| 23 | Meritage Homes Corp. (a) | 527 | ||||||
| 3 | NVR, Inc. (a) | 2,508 | ||||||
| 31 | Ryland Group, Inc. | 511 | ||||||
| 5 | Skyline Corp. | 83 | ||||||
| 68 | Standard Pacific Corp. (a) | 227 | ||||||
| 69 | Toll Brothers, Inc. (a) | 1,434 | ||||||
| 86 | Tupperware Brands Corp. | 5,794 | ||||||
| 11 | Universal Electronics, Inc. (a) | 274 | ||||||
|
| |||||||
| 15,169 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 10 | Blue Nile, Inc. (a) (c) | 446 | ||||||
| 21 | Nutrisystem, Inc. (c) | 292 | ||||||
| 16 | PetMed Express, Inc. | 192 | ||||||
|
| |||||||
| 930 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Leisure Equipment & Products — 0.6% |
| |||||||
| 9 | Arctic Cat, Inc. (a) | 126 | ||||||
| 45 | Callaway Golf Co. | 280 | ||||||
| 19 | JAKKS Pacific, Inc. (a) | 357 | ||||||
| 54 | Polaris Industries, Inc. | 6,014 | ||||||
| 13 | Sturm Ruger & Co., Inc. | 291 | ||||||
|
| |||||||
| 7,068 | ||||||||
|
| |||||||
Media — 0.8% |
| |||||||
| 42 | AMC Networks, Inc., Class A (a) | 1,810 | ||||||
| 20 | Arbitron, Inc. | 806 | ||||||
| 23 | E.W. Scripps Co., Class A (a) | 218 | ||||||
| 28 | Harte-Hanks, Inc. | 228 | ||||||
| 49 | John Wiley & Sons, Inc., Class A | 2,528 | ||||||
| 41 | Lamar Advertising Co., Class A (a) | 1,116 | ||||||
| 29 | Live Nation Entertainment, Inc. (a) | 336 | ||||||
| 78 | Meredith Corp. (c) | 2,415 | ||||||
| 18 | Scholastic Corp. | 470 | ||||||
|
| |||||||
| 9,927 | ||||||||
|
| |||||||
Multiline Retail — 0.6% |
| |||||||
| 18 | 99 Cents Only Stores (a) | 358 | ||||||
| 99 | Dollar Tree, Inc. (a) | 6,588 | ||||||
| 28 | Fred’s, Inc., Class A | 402 | ||||||
| 30 | Saks, Inc. (a) | 332 | ||||||
| 14 | Tuesday Morning Corp. (a) | 64 | ||||||
|
| |||||||
| 7,744 | ||||||||
|
| |||||||
Specialty Retail — 4.7% |
| |||||||
| 64 | Aaron’s, Inc. | 1,806 | ||||||
| 74 | Advance Auto Parts, Inc. | 4,312 | ||||||
| 166 | Aeropostale, Inc. (a) | 2,911 | ||||||
| 300 | American Eagle Outfitters, Inc. | 3,831 | ||||||
| 71 | ANN, Inc. (a) | 1,850 | ||||||
| 102 | Ascena Retail Group, Inc. (a) | 3,461 | ||||||
| 28 | Barnes & Noble, Inc. (c) | 471 | ||||||
| 7 | Big 5 Sporting Goods Corp. | 55 | ||||||
| 32 | Brown Shoe Co., Inc. | 336 | ||||||
| 79 | Buckle, Inc. (The) | 3,394 | ||||||
| 23 | Cato Corp. (The), Class A | 651 | ||||||
| 85 | Chico’s FAS, Inc. | 1,299 | ||||||
| 16 | Christopher & Banks Corp. | 95 | ||||||
| 35 | Coldwater Creek, Inc. (a) | 49 | ||||||
| 63 | Dick’s Sporting Goods, Inc. (a) | 2,423 | ||||||
| 39 | Finish Line, Inc. (The), Class A | 837 | ||||||
| 246 | Foot Locker, Inc. | 5,853 | ||||||
| 18 | Genesco, Inc. (a) | 947 | ||||||
| 17 | Group 1 Automotive, Inc. | 694 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — Continued |
| |||||||
| 23 | Guess?, Inc. | 967 | ||||||
| 13 | Haverty Furniture Cos., Inc. | 149 | ||||||
| 20 | Hibbett Sports, Inc. (a) | 811 | ||||||
| 31 | Hot Topic, Inc. | 230 | ||||||
| 4 | Jos. A. Bank Clothiers, Inc. (a) | 180 | ||||||
| 10 | Kirkland’s, Inc. (a) | 124 | ||||||
| 15 | Lithia Motors, Inc., Class A | 297 | ||||||
| 16 | Lumber Liquidators Holdings, Inc. (a) (c) | 416 | ||||||
| 16 | MarineMax, Inc. (a) | 138 | ||||||
| 111 | Men’s Wearhouse, Inc. (The) | 3,737 | ||||||
| 10 | Midas, Inc. (a) | 62 | ||||||
| 22 | Monro Muffler Brake, Inc. | 811 | ||||||
| 37 | PEP Boys-Manny Moe & Jack | 403 | ||||||
| 70 | PetSmart, Inc. | 3,187 | ||||||
| 77 | RadioShack Corp. | 1,022 | ||||||
| 11 | Rue21, Inc. (a) (c) | 349 | ||||||
| 39 | Select Comfort Corp. (a) | 708 | ||||||
| 26 | Sonic Automotive, Inc., Class A (c) | 386 | ||||||
| 26 | Stage Stores, Inc. | 444 | ||||||
| 19 | Stein Mart, Inc. | 178 | ||||||
| 20 | Tractor Supply Co. | 1,333 | ||||||
| 18 | Vitamin Shoppe, Inc. (a) | 834 | ||||||
| 144 | Williams-Sonoma, Inc. | 5,262 | ||||||
| 20 | Zale Corp. (a) | 112 | ||||||
| 15 | Zumiez, Inc. (a) | 363 | ||||||
|
| |||||||
| 57,778 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
| 126 | CROCS, Inc. (a) | 3,237 | ||||||
| 58 | Deckers Outdoor Corp. (a) | 5,112 | ||||||
| 34 | Fossil, Inc. (a) | 3,952 | ||||||
| 139 | Iconix Brand Group, Inc. (a) | 3,353 | ||||||
| 14 | K-Swiss, Inc., Class A (a) | 148 | ||||||
| 66 | Liz Claiborne, Inc. (a) (c) | 354 | ||||||
| 17 | Maidenform Brands, Inc. (a) | 469 | ||||||
| 12 | Movado Group, Inc. | 203 | ||||||
| 10 | Oxford Industries, Inc. | 326 | ||||||
| 8 | Perry Ellis International, Inc. (a) | 210 | ||||||
| 40 | Phillips-Van Heusen Corp. | 2,638 | ||||||
| 94 | Quiksilver, Inc. (a) | 444 | ||||||
| 25 | Skechers U.S.A., Inc., Class A (a) | 369 | ||||||
| 28 | Timberland Co. (The), Class A (a) | 1,202 | ||||||
| 18 | True Religion Apparel, Inc. (a) | 536 | ||||||
| 28 | Warnaco Group, Inc. (The) (a) | 1,459 | ||||||
|
| |||||||
| 24,012 | ||||||||
|
| |||||||
Total Consumer Discretionary | 185,417 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 17 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Consumer Staples — 3.6% |
| |||||||
Beverages — 0.1% |
| |||||||
| 7 | Boston Beer Co., Inc., Class A (a) | 611 | ||||||
| 9 | Hansen Natural Corp. (a) | 743 | ||||||
|
| |||||||
| 1,354 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
| 13 | Andersons, Inc. (The) | 568 | ||||||
| 61 | Casey’s General Stores, Inc. | 2,676 | ||||||
| 9 | Nash Finch Co. | 319 | ||||||
| 82 | Ruddick Corp. | 3,574 | ||||||
| 16 | Spartan Stores, Inc. | 305 | ||||||
|
| |||||||
| 7,442 | ||||||||
|
| |||||||
Food Products — 2.3% |
| |||||||
| 37 | B&G Foods, Inc. | 761 | ||||||
| 9 | Calavo Growers, Inc. | 180 | ||||||
| 9 | Cal-Maine Foods, Inc. (c) | 298 | ||||||
| 116 | Corn Products International, Inc. | 6,423 | ||||||
| 51 | Darling International, Inc. (a) | 904 | ||||||
| 7 | Diamond Foods, Inc. (c) | 573 | ||||||
| 80 | Flowers Foods, Inc. | 1,759 | ||||||
| 38 | Green Mountain Coffee Roasters, Inc. (a) | 3,359 | ||||||
| 53 | Hain Celestial Group, Inc. (The) (a) | 1,770 | ||||||
| 10 | J&J Snack Foods Corp. | 518 | ||||||
| 14 | Lancaster Colony Corp. (c) | 822 | ||||||
| 29 | Ralcorp Holdings, Inc. (a) | 2,546 | ||||||
| 6 | Seneca Foods Corp., Class A (a) | 161 | ||||||
| 272 | Smithfield Foods, Inc. (a) | 5,941 | ||||||
| 37 | Snyders-Lance, Inc. | 792 | ||||||
| 18 | Tootsie Roll Industries, Inc. | 540 | ||||||
| 21 | TreeHouse Foods, Inc. (a) | 1,136 | ||||||
|
| |||||||
| 28,483 | ||||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
| 42 | Central Garden & Pet Co., Class A (a) | 423 | ||||||
| 16 | Church & Dwight Co., Inc. | 647 | ||||||
| 56 | Energizer Holdings, Inc. (a) | 4,086 | ||||||
| 12 | WD-40 Co. | 475 | ||||||
|
| |||||||
| 5,631 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 11 | Inter Parfums, Inc. | 251 | ||||||
| 9 | Medifast, Inc. (a) (c) | 216 | ||||||
| 35 | Prestige Brands Holdings, Inc. (a) | 454 | ||||||
|
| |||||||
| 921 | ||||||||
|
| |||||||
Tobacco — 0.1% |
| |||||||
| 62 | Alliance One International, Inc. (a) | 200 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Tobacco — Continued |
| |||||||
| 23 | Universal Corp. | 869 | ||||||
|
| |||||||
| 1,069 | ||||||||
|
| |||||||
Total Consumer Staples | 44,900 | |||||||
|
| |||||||
Energy — 6.2% |
| |||||||
Energy Equipment & Services — 3.1% |
| |||||||
| 65 | Atwood Oceanics, Inc. (a) | 2,875 | ||||||
| 17 | Basic Energy Services, Inc. (a) | 547 | ||||||
| 12 | Bristow Group, Inc. | 635 | ||||||
| 9 | CARBO Ceramics, Inc. | 1,490 | ||||||
| 58 | Dresser-Rand Group, Inc. (a) | 3,099 | ||||||
| 10 | Gulf Island Fabrication, Inc. | 322 | ||||||
| 272 | Helix Energy Solutions Group, Inc. (a) | 4,497 | ||||||
| 17 | Hornbeck Offshore Services, Inc. (a) | 464 | ||||||
| 106 | ION Geophysical Corp. (a) | 1,003 | ||||||
| 5 | Lufkin Industries, Inc. | 438 | ||||||
| 18 | Matrix Service Co. (a) | 243 | ||||||
| 74 | Oceaneering International, Inc. | 2,996 | ||||||
| 43 | Oil States International, Inc. (a) | 3,434 | ||||||
| 3 | OYO Geospace Corp. (a) | 317 | ||||||
| 216 | Patterson-UTI Energy, Inc. | 6,829 | ||||||
| 41 | Pioneer Drilling Co. (a) | 631 | ||||||
| 17 | SEACOR Holdings, Inc. | 1,659 | ||||||
| 135 | Superior Energy Services, Inc. (a) | 5,026 | ||||||
| 55 | Tetra Technologies, Inc. (a) | 705 | ||||||
| 25 | Unit Corp. (a) | 1,550 | ||||||
|
| |||||||
| 38,760 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.1% |
| |||||||
| 238 | Arch Coal, Inc. | 6,356 | ||||||
| 31 | Bill Barrett Corp. (a) | 1,430 | ||||||
| 41 | Cimarex Energy Co. | 3,649 | ||||||
| 9 | Contango Oil & Gas Co. (a) | 523 | ||||||
| 52 | Energen Corp. | 2,914 | ||||||
| 93 | Forest Oil Corp. (a) | 2,480 | ||||||
| 73 | Frontier Oil Corp. | 2,374 | ||||||
| 13 | Georesources, Inc. (a) | 296 | ||||||
| 91 | Gulfport Energy Corp. (a) | 2,714 | ||||||
| 57 | Holly Corp. (a) | 3,958 | ||||||
| 33 | Penn Virginia Corp. | 439 | ||||||
| 39 | Petroquest Energy, Inc. (a) (c) | 273 | ||||||
| 83 | Plains Exploration & Production Co. (a) | 3,171 | ||||||
| 36 | SM Energy Co. | 2,670 | ||||||
| 135 | Stone Energy Corp. (a) | 4,098 | ||||||
| 14 | Swift Energy Co. (a) | 514 | ||||||
| 18 | World Fuel Services Corp. | 635 | ||||||
|
| |||||||
| 38,494 | ||||||||
|
| |||||||
Total Energy | 77,254 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Financials — 18.3% |
| |||||||
Capital Markets — 1.2% |
| |||||||
| 35 | Affiliated Managers Group, Inc. (a) | 3,547 | ||||||
| 84 | Apollo Investment Corp. | 858 | ||||||
| 14 | Calamos Asset Management, Inc., Class A | 207 | ||||||
| 63 | Eaton Vance Corp. | 1,909 | ||||||
| 24 | Investment Technology Group, Inc. (a) | 332 | ||||||
| 76 | Jefferies Group, Inc. | 1,541 | ||||||
| 31 | optionsXpress Holdings, Inc. | 525 | ||||||
| 11 | Piper Jaffray Cos. (a) | 315 | ||||||
| 77 | Prospect Capital Corp. (c) | 779 | ||||||
| 90 | Raymond James Financial, Inc. | 2,886 | ||||||
| 21 | SWS Group, Inc. | 124 | ||||||
| 50 | Waddell & Reed Financial, Inc., Class A | 1,830 | ||||||
|
| |||||||
| 14,853 | ||||||||
|
| |||||||
Commercial Banks — 4.0% |
| |||||||
| 93 | Bank of Hawaii Corp. | 4,325 | ||||||
| 10 | Bank of the Ozarks, Inc. | 497 | ||||||
| 52 | Boston Private Financial Holdings, Inc. | 340 | ||||||
| 76 | Cathay General Bancorp | 1,240 | ||||||
| 11 | City Holding Co. | 362 | ||||||
| 39 | City National Corp. | 2,090 | ||||||
| 28 | Columbia Banking System, Inc. | 480 | ||||||
| 87 | Commerce Bancshares, Inc. | 3,730 | ||||||
| 27 | Community Bank System, Inc. | 659 | ||||||
| 50 | Cullen/Frost Bankers, Inc. | 2,849 | ||||||
| 104 | East West Bancorp, Inc. | 2,100 | ||||||
| 12 | First Bancorp (a) (c) | 53 | ||||||
| 68 | First Commonwealth Financial Corp. | 389 | ||||||
| 42 | First Financial Bancorp | 702 | ||||||
| 23 | First Financial Bankshares, Inc. (c) | 785 | ||||||
| 54 | First Midwest Bancorp, Inc. | 663 | ||||||
| 98 | FirstMerit Corp. | 1,616 | ||||||
| 95 | FNB Corp. | 981 | ||||||
| 32 | Fulton Financial Corp. | 339 | ||||||
| 52 | Glacier Bancorp, Inc. | 702 | ||||||
| 20 | Hancock Holding Co. | 614 | ||||||
| 71 | Hanmi Financial Corp. (a) | 76 | ||||||
| 16 | Home Bancshares, Inc./AR | 373 | ||||||
| 15 | Independent Bank Corp. | 404 | ||||||
| 38 | International Bancshares Corp. | 638 | ||||||
| 19 | Nara Bancorp, Inc. (a) | 158 | ||||||
| 87 | National Penn Bancshares, Inc. | 694 | ||||||
| 26 | NBT Bancorp, Inc. | 582 | ||||||
| 67 | Old National Bancorp | 720 | ||||||
| 24 | PacWest Bancorp | 486 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
| 24 | Pinnacle Financial Partners, Inc. (a) (c) | 378 | ||||||
| 45 | PrivateBancorp, Inc. | 619 | ||||||
| 74 | Prosperity Bancshares, Inc. | 3,254 | ||||||
| 18 | S&T Bancorp, Inc. | 330 | ||||||
| 50 | Signature Bank (a) | 2,888 | ||||||
| 12 | Simmons First National Corp., Class A | 315 | ||||||
| 22 | Sterling Bancorp | 208 | ||||||
| 74 | Sterling Bancshares, Inc. | 602 | ||||||
| 57 | Susquehanna Bancshares, Inc. | 458 | ||||||
| 12 | SVB Financial Group (a) | 728 | ||||||
| 43 | TCF Financial Corp. | 596 | ||||||
| 27 | Texas Capital Bancshares, Inc. (a) | 689 | ||||||
| 6 | Tompkins Financial Corp. | 224 | ||||||
| 66 | Trustmark Corp. | 1,553 | ||||||
| 22 | UMB Financial Corp. | 910 | ||||||
| 30 | United Bankshares, Inc. (c) | 726 | ||||||
| 11 | United Community Banks, Inc. (a) (c) | 121 | ||||||
| 228 | Valley National Bancorp (c) | 3,099 | ||||||
| 66 | Webster Financial Corp. | 1,377 | ||||||
| 16 | Westamerica Bancorp | 791 | ||||||
| 35 | Wilshire Bancorp, Inc. (a) | 102 | ||||||
|
| |||||||
| 49,615 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
| 10 | Cash America International, Inc. | 600 | ||||||
| 44 | Ezcorp, Inc., Class A (a) | 1,571 | ||||||
| 22 | First Cash Financial Services, Inc. (a) | 936 | ||||||
| 11 | World Acceptance Corp. (a) | 741 | ||||||
|
| |||||||
| 3,848 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 30 | Interactive Brokers Group, Inc., Class A | 476 | ||||||
| 58 | MSCI, Inc., Class A (a) | 2,174 | ||||||
| 15 | Portfolio Recovery Associates, Inc. (a) | 1,244 | ||||||
|
| |||||||
| 3,894 | ||||||||
|
| |||||||
Insurance — 3.3% | ||||||||
| 113 | American Financial Group, Inc. | 4,019 | ||||||
| 13 | AMERISAFE, Inc. (a) | 297 | ||||||
| 28 | Aspen Insurance Holdings Ltd., (Bermuda) | 714 | ||||||
| 57 | Brown & Brown, Inc. | 1,473 | ||||||
| 76 | Delphi Financial Group, Inc., Class A | 2,206 | ||||||
| 16 | eHealth, Inc. (a) (c) | 212 | ||||||
| 30 | Employers Holdings, Inc. | 495 | ||||||
| 74 | Everest Re Group Ltd., (Bermuda) | 6,017 | ||||||
| 191 | Fidelity National Financial, Inc., Class A | 3,002 | ||||||
| 65 | HCC Insurance Holdings, Inc. | 2,044 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 19 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 29 | Horace Mann Educators Corp. | 449 | ||||||
| 9 | Infinity Property & Casualty Corp. | 503 | ||||||
| 38 | Meadowbrook Insurance Group, Inc. | 380 | ||||||
| 32 | National Financial Partners Corp. (a) | 372 | ||||||
| 9 | Navigators Group, Inc. (The) (a) | 427 | ||||||
| 15 | Presidential Life Corp. | 157 | ||||||
| 40 | ProAssurance Corp. (a) | 2,799 | ||||||
| 101 | Reinsurance Group of America, Inc. | 6,165 | ||||||
| 12 | RLI Corp. | 742 | ||||||
| 11 | Safety Insurance Group, Inc. | 459 | ||||||
| 39 | Selective Insurance Group, Inc. | 634 | ||||||
| — | (h) | StanCorp Financial Group, Inc. | 1 | |||||
| 11 | Stewart Information Services Corp. | 115 | ||||||
| 30 | Tower Group, Inc. | 710 | ||||||
| 37 | Transatlantic Holdings, Inc. | 1,835 | ||||||
| 9 | United Fire & Casualty Co. | 157 | ||||||
| 36 | Unitrin, Inc. | 1,058 | ||||||
| 127 | W.R. Berkley Corp. | 4,107 | ||||||
|
| |||||||
| 41,549 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.8% | ||||||||
| 29 | Acadia Realty Trust | 594 | ||||||
| 44 | Alexandria Real Estate Equities, Inc. | 3,432 | ||||||
| 95 | BioMed Realty Trust, Inc. | 1,829 | ||||||
| 53 | BRE Properties, Inc. | 2,628 | ||||||
| 51 | Camden Property Trust | 3,216 | ||||||
| 20 | Cedar Shopping Centers, Inc. | 102 | ||||||
| 63 | Colonial Properties Trust | 1,279 | ||||||
| 51 | Corporate Office Properties Trust | 1,588 | ||||||
| 74 | Cousins Properties, Inc. | 635 | ||||||
| 128 | DiamondRock Hospitality Co. | 1,373 | ||||||
| 183 | Duke Realty Corp. | 2,566 | ||||||
| 19 | EastGroup Properties, Inc. | 818 | ||||||
| 36 | Entertainment Properties Trust | 1,680 | ||||||
| 44 | Equity One, Inc. | 828 | ||||||
| 23 | Essex Property Trust, Inc. | 3,152 | ||||||
| 71 | Extra Space Storage, Inc. | 1,516 | ||||||
| 48 | Federal Realty Investment Trust | 4,110 | ||||||
| 50 | Franklin Street Properties Corp. | 644 | ||||||
| 19 | Getty Realty Corp. (c) | 485 | ||||||
| 52 | Healthcare Realty Trust, Inc. | 1,076 | ||||||
| 56 | Highwoods Properties, Inc. | 1,859 | ||||||
| 30 | Home Properties, Inc. | 1,830 | ||||||
| 89 | Hospitality Properties Trust | 2,168 | ||||||
| 58 | Inland Real Estate Corp. | 509 | ||||||
| 42 | Kilroy Realty Corp. | 1,656 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
| 45 | Kite Realty Group Trust | 226 | ||||||
| 61 | LaSalle Hotel Properties | 1,612 | ||||||
| 72 | Lexington Realty Trust (c) | 654 | ||||||
| 89 | Liberty Property Trust | 2,910 | ||||||
| 22 | LTC Properties, Inc. | 605 | ||||||
| 94 | Macerich Co. (The) | 5,027 | ||||||
| 63 | Mack-Cali Realty Corp. | 2,072 | ||||||
| 81 | Medical Properties Trust, Inc. | 930 | ||||||
| 26 | Mid-America Apartment Communities, Inc. | 1,760 | ||||||
| 61 | National Retail Properties, Inc. (c) | 1,496 | ||||||
| 92 | Nationwide Health Properties, Inc. | 3,793 | ||||||
| 78 | Omega Healthcare Investors, Inc. | 1,643 | ||||||
| 16 | Parkway Properties, Inc. | 269 | ||||||
| 42 | Pennsylvania Real Estate Investment Trust | 665 | ||||||
| 36 | Post Properties, Inc. | 1,478 | ||||||
| 29 | Potlatch Corp. | 1,023 | ||||||
| 14 | PS Business Parks, Inc. | 748 | ||||||
| 58 | Rayonier, Inc. | 3,805 | ||||||
| 91 | Realty Income Corp. | 3,049 | ||||||
| 65 | Regency Centers Corp. | 2,838 | ||||||
| 8 | Saul Centers, Inc. | 320 | ||||||
| 103 | Senior Housing Properties Trust | 2,405 | ||||||
| 59 | SL Green Realty Corp. | 4,929 | ||||||
| 20 | Sovran Self Storage, Inc. | 827 | ||||||
| 60 | Tanger Factory Outlet Centers | 1,596 | ||||||
| 40 | Taubman Centers, Inc. | 2,392 | ||||||
| 136 | UDR, Inc. | 3,344 | ||||||
| 9 | Universal Health Realty Income Trust | 360 | ||||||
| 16 | Urstadt Biddle Properties, Inc., Class A | 288 | ||||||
| 94 | Weingarten Realty Investors | 2,365 | ||||||
|
| |||||||
| 97,002 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.3% |
| |||||||
| 25 | Forestar Group, Inc. (a) | 411 | ||||||
| 31 | Jones Lang LaSalle, Inc. | 2,905 | ||||||
|
| |||||||
| 3,316 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% |
| |||||||
| 103 | Astoria Financial Corp. | 1,316 | ||||||
| 20 | Bank Mutual Corp. | 75 | ||||||
| 42 | Brookline Bancorp, Inc. | 392 | ||||||
| 20 | Dime Community Bancshares, Inc. | 296 | ||||||
| 219 | First Niagara Financial Group, Inc. | 2,888 | ||||||
| 504 | New York Community Bancorp, Inc. | 7,550 | ||||||
| 36 | Provident Financial Services, Inc. | 520 | ||||||
| 53 | Trustco Bank Corp. | 262 | ||||||
| 25 | Washington Federal, Inc. | 412 | ||||||
|
| |||||||
| 13,711 | ||||||||
|
| |||||||
Total Financials | 227,788 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care — 11.2% |
| |||||||
Biotechnology — 1.0% |
| |||||||
| 30 | ArQule, Inc. (a) | 189 | ||||||
| 31 | Cubist Pharmaceuticals, Inc. (a) | 1,127 | ||||||
| 16 | Emergent Biosolutions, Inc. (a) | 372 | ||||||
| 41 | Regeneron Pharmaceuticals, Inc. (a) | 2,346 | ||||||
| 50 | Savient Pharmaceuticals, Inc. (a) (c) | 376 | ||||||
| 164 | Vertex Pharmaceuticals, Inc. (a) | 8,542 | ||||||
|
| |||||||
| 12,952 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.2% |
| |||||||
| 16 | Abaxis, Inc. (a) | 441 | ||||||
| 22 | Align Technology, Inc. (a) | 511 | ||||||
| 9 | Analogic Corp. | 472 | ||||||
| 9 | Cantel Medical Corp. | 238 | ||||||
| 20 | CONMED Corp. (a) | 576 | ||||||
| 55 | Cooper Cos., Inc. (The) | 4,393 | ||||||
| 20 | CryoLife, Inc. (a) | 110 | ||||||
| 18 | Cyberonics, Inc. (a) | 490 | ||||||
| 17 | Greatbatch, Inc. (a) | 448 | ||||||
| 73 | Hill-Rom Holdings, Inc. | 3,353 | ||||||
| 322 | Hologic, Inc. (a) | 6,490 | ||||||
| 9 | ICU Medical, Inc. (a) | 374 | ||||||
| 18 | IDEXX Laboratories, Inc. (a) | 1,409 | ||||||
| 118 | Immucor, Inc. (a) | 2,400 | ||||||
| 14 | Integra LifeSciences Holdings Corp. (a) | 692 | ||||||
| 23 | Invacare Corp. | 747 | ||||||
| 7 | Kensey Nash Corp. (a) | 181 | ||||||
| 67 | Kinetic Concepts, Inc. (a) | 3,840 | ||||||
| 31 | Meridian Bioscience, Inc. | 757 | ||||||
| 30 | Merit Medical Systems, Inc. (a) | 530 | ||||||
| 21 | Natus Medical, Inc. (a) | 316 | ||||||
| 16 | Neogen Corp. (a) | 741 | ||||||
| 29 | NuVasive, Inc. (a) (c) | 937 | ||||||
| 14 | Palomar Medical Technologies, Inc. (a) | 155 | ||||||
| 70 | ResMed, Inc. (a) (c) | 2,174 | ||||||
| 10 | STERIS Corp. | 352 | ||||||
| 12 | SurModics, Inc. (a) | 134 | ||||||
| 25 | Symmetry Medical, Inc. (a) | 224 | ||||||
| 82 | Teleflex, Inc. | 5,016 | ||||||
| 3 | Thoratec Corp. (a) | 95 | ||||||
| 16 | Zoll Medical Corp. (a) | 880 | ||||||
|
| |||||||
| 39,476 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 8 | Air Methods Corp. (a) | 599 | ||||||
| 6 | Almost Family, Inc. (a) | 162 | ||||||
| 21 | Amedisys, Inc. (a) | 569 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
| 79 | AMERIGROUP Corp. (a) | 5,558 | ||||||
| 28 | AMN Healthcare Services, Inc. (a) | 237 | ||||||
| 23 | AmSurg Corp. (a) | 589 | ||||||
| 18 | Bio-Reference Labs, Inc. (a) | 366 | ||||||
| 61 | Catalyst Health Solutions, Inc. (a) | 3,378 | ||||||
| 119 | Community Health Systems, Inc. (a) | 3,063 | ||||||
| 5 | Corvel Corp. (a) | 226 | ||||||
| 21 | Cross Country Healthcare, Inc. (a) | 163 | ||||||
| 9 | Ensign Group, Inc. (The) | 280 | ||||||
| 22 | Gentiva Health Services, Inc. (a) | 449 | ||||||
| 23 | Hanger Orthopedic Group, Inc. (a) | 572 | ||||||
| 227 | Health Management Associates, Inc., Class A (a) | 2,450 | ||||||
| 168 | Health Net, Inc. (a) | 5,386 | ||||||
| 32 | Healthspring, Inc. (a) | 1,476 | ||||||
| 24 | Healthways, Inc. (a) | 358 | ||||||
| 32 | Henry Schein, Inc. (a) | 2,267 | ||||||
| 12 | IPC The Hospitalist Co., Inc. (a) | 577 | ||||||
| 38 | Kindred Healthcare, Inc. (a) | 811 | ||||||
| 7 | Landauer, Inc. | 415 | ||||||
| 6 | LCA-Vision, Inc. (a) | 29 | ||||||
| 11 | LHC Group, Inc. (a) | 257 | ||||||
| 99 | LifePoint Hospitals, Inc. (a) | 3,862 | ||||||
| 54 | Lincare Holdings, Inc. | 1,595 | ||||||
| — | (h) | Magellan Health Services, Inc. (a) | 7 | |||||
| 13 | Medcath Corp. (a) | 181 | ||||||
| 7 | Mednax, Inc. (a) | 533 | ||||||
| 9 | MWI Veterinary Supply, Inc. (a) | 725 | ||||||
| 173 | Omnicare, Inc. | 5,523 | ||||||
| 27 | Owens & Minor, Inc. | 941 | ||||||
| 21 | PharMerica Corp. (a) | 266 | ||||||
| 6 | PSS World Medical, Inc. (a) | 180 | ||||||
| 23 | Universal Health Services, Inc., Class B | 1,180 | ||||||
| 76 | WellCare Health Plans, Inc. (a) | 3,896 | ||||||
|
| |||||||
| 49,126 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 148 | Allscripts Healthcare Solutions, Inc. (a) | 2,872 | ||||||
| 8 | Computer Programs & Systems, Inc. | 504 | ||||||
| 24 | Omnicell, Inc. (a) | 366 | ||||||
| 12 | Quality Systems, Inc. | 1,026 | ||||||
|
| |||||||
| 4,768 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% |
| |||||||
| 49 | Affymetrix, Inc. (a) | 392 | ||||||
| 18 | Cambrex Corp. (a) | 84 | ||||||
| 33 | Covance, Inc. (a) | 1,936 | ||||||
| 23 | Enzo Biochem, Inc. (a) | 97 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 21 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Life Sciences Tools & Services — Continued |
| |||||||
| 30 | eResearchTechnology, Inc. (a) | 193 | ||||||
| 5 | Illumina, Inc. (a) | 373 | ||||||
| 11 | Kendle International, Inc. (a) | 163 | ||||||
| 2 | Mettler-Toledo International, Inc. (a) | 362 | ||||||
| 181 | Pharmaceutical Product Development, Inc. | 4,851 | ||||||
| 27 | Techne Corp. | 2,221 | ||||||
|
| |||||||
| 10,672 | ||||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
| 167 | Endo Pharmaceuticals Holdings, Inc. (a) | 6,708 | ||||||
| 7 | Hi-Tech Pharmacal Co., Inc. (a) (c) | 205 | ||||||
| 38 | Medicines Co. (The) (a) | 629 | ||||||
| 51 | Medicis Pharmaceutical Corp., Class A | 1,929 | ||||||
| 23 | Par Pharmaceutical Cos., Inc. (a) | 761 | ||||||
| 47 | Perrigo Co. | 4,102 | ||||||
| 44 | Questcor Pharmaceuticals, Inc. (a) | 1,058 | ||||||
| 76 | Salix Pharmaceuticals Ltd. (a) | 3,011 | ||||||
| 213 | ViroPharma, Inc. (a) | 3,949 | ||||||
|
| |||||||
| 22,352 | ||||||||
|
| |||||||
Total Health Care | 139,346 | |||||||
|
| |||||||
Industrials — 15.6% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 29 | AAR Corp. | 775 | ||||||
| 11 | Aerovironment, Inc. (a) | 385 | ||||||
| 54 | Alliant Techsystems, Inc. | 3,850 | ||||||
| 7 | American Science & Engineering, Inc. | 526 | ||||||
| 106 | BE Aerospace, Inc. (a) | 4,316 | ||||||
| 18 | Ceradyne, Inc. (a) | 696 | ||||||
| 12 | Cubic Corp. | 611 | ||||||
| 37 | Esterline Technologies Corp. (a) | 2,857 | ||||||
| 42 | GenCorp, Inc. (a) | 270 | ||||||
| 35 | Huntington Ingalls Industries, Inc. (a) | 1,213 | ||||||
| 33 | Moog, Inc., Class A (a) | 1,419 | ||||||
| 4 | National Presto Industries Inc. | 397 | ||||||
| 45 | Orbital Sciences Corp. (a) | 751 | ||||||
| 3 | Triumph Group, Inc. | 281 | ||||||
|
| |||||||
| 18,347 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
| 21 | Forward Air Corp. | 708 | ||||||
| 74 | UTi Worldwide, Inc., (United Kingdom) | 1,466 | ||||||
|
| |||||||
| 2,174 | ||||||||
|
| |||||||
Airlines — 0.9% |
| |||||||
| 90 | Alaska Air Group, Inc. (a) | 6,186 | ||||||
| 11 | Allegiant Travel Co. (a) | 564 | ||||||
| 724 | JetBlue Airways Corp. (a) | 4,416 | ||||||
| 39 | SkyWest, Inc. | 592 | ||||||
|
| |||||||
| 11,758 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Building Products — 0.5% |
| |||||||
| 54 | A.O. Smith Corp. | 2,275 | ||||||
| 13 | AAON, Inc. | 281 | ||||||
| 19 | Apogee Enterprises, Inc. | 250 | ||||||
| 22 | Gibraltar Industries, Inc. (a) | 248 | ||||||
| 33 | Griffon Corp. (a) | 329 | ||||||
| 32 | Lennox International, Inc. | 1,365 | ||||||
| 12 | NCI Building Systems, Inc. (a) | 131 | ||||||
| 26 | Quanex Building Products Corp. | 430 | ||||||
| 9 | Simpson Manufacturing Co., Inc. | 273 | ||||||
| 14 | Universal Forest Products, Inc. | 336 | ||||||
|
| |||||||
| 5,918 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
| 34 | ABM Industries, Inc. | 788 | ||||||
| 89 | Brink’s Co. (The) | 2,661 | ||||||
| 15 | Clean Harbors, Inc. (a) | 1,567 | ||||||
| 7 | Consolidated Graphics, Inc. (a) | 408 | ||||||
| 59 | Copart, Inc. (a) | 2,760 | ||||||
| 48 | Corrections Corp. of America (a) | 1,038 | ||||||
| 91 | Deluxe Corp. | 2,238 | ||||||
| 13 | G&K Services, Inc., Class A | 439 | ||||||
| 48 | Healthcare Services Group, Inc. | 779 | ||||||
| 15 | Herman Miller, Inc. | 416 | ||||||
| 47 | Interface, Inc., Class A | 905 | ||||||
| 22 | Mine Safety Appliances Co. | 830 | ||||||
| 32 | Mobile Mini, Inc. (a) | 684 | ||||||
| 45 | Rollins, Inc. | 918 | ||||||
| 8 | Standard Register Co. (The) | 25 | ||||||
| 31 | SYKES Enterprises, Inc. (a) | 671 | ||||||
| 10 | Tetra Tech, Inc. (a) | 235 | ||||||
| 11 | UniFirst Corp. | 593 | ||||||
| 14 | Viad Corp. | 319 | ||||||
|
| |||||||
| 18,274 | ||||||||
|
| |||||||
Construction & Engineering — 1.5% |
| |||||||
| — | (h) | Aecom Technology Corp. (a) | 3 | |||||
| 27 | Comfort Systems USA, Inc. | 282 | ||||||
| 26 | Dycom Industries, Inc. (a) | 422 | ||||||
| 139 | EMCOR Group, Inc. (a) | 4,073 | ||||||
| 26 | Granite Construction, Inc. | 637 | ||||||
| 29 | Insituform Technologies, Inc., Class A (a) | 599 | ||||||
| 173 | KBR, Inc. | 6,528 | ||||||
| 20 | Orion Marine Group, Inc. (a) | 184 | ||||||
| 134 | URS Corp. (a) | 5,996 | ||||||
|
| |||||||
| 18,724 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Electrical Equipment — 1.3% |
| |||||||
| 133 | AMETEK, Inc. | 5,972 | ||||||
| 9 | AZZ, Inc. | 402 | ||||||
| 39 | Belden, Inc. | 1,356 | ||||||
| 55 | Brady Corp., Class A | 1,751 | ||||||
| 14 | Encore Wire Corp. | 331 | ||||||
| 34 | Hubbell, Inc., Class B | 2,221 | ||||||
| 37 | II-VI, Inc. (a) | 937 | ||||||
| 6 | Powell Industries, Inc. (a) | 228 | ||||||
| 9 | Regal-Beloit Corp. | 615 | ||||||
| 49 | Thomas & Betts Corp. (a) | 2,655 | ||||||
| 16 | Vicor Corp. | 260 | ||||||
|
| |||||||
| 16,728 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.3% |
| |||||||
| 54 | Carlisle Cos., Inc. | 2,638 | ||||||
| 9 | Standex International Corp. | 265 | ||||||
| 16 | Tredegar Corp. | 294 | ||||||
|
| |||||||
| 3,197 | ||||||||
|
| |||||||
Machinery — 4.9% |
| |||||||
| 179 | Actuant Corp., Class A | 4,809 | ||||||
| 134 | AGCO Corp. (a) | 6,601 | ||||||
| 20 | Albany International Corp., Class A | 532 | ||||||
| 15 | Astec Industries, Inc. (a) | 561 | ||||||
| 10 | Badger Meter, Inc. | 385 | ||||||
| 6 | Briggs & Stratton Corp. | 119 | ||||||
| 54 | Bucyrus International, Inc. | 4,970 | ||||||
| 6 | Cascade Corp. | 303 | ||||||
| 12 | CIRCOR International, Inc. | 534 | ||||||
| 42 | CLARCOR, Inc. | 1,993 | ||||||
| 30 | Crane Co. | 1,501 | ||||||
| 15 | EnPro Industries, Inc. (a) | 708 | ||||||
| 20 | ESCO Technologies, Inc. | 751 | ||||||
| 45 | Federal Signal Corp. | 292 | ||||||
| 63 | Gardner Denver, Inc. | 5,335 | ||||||
| 30 | Graco, Inc. | 1,505 | ||||||
| 43 | IDEX Corp. | 1,951 | ||||||
| 20 | John Bean Technologies Corp. | 393 | ||||||
| 140 | Kennametal, Inc. | 5,905 | ||||||
| 40 | Lincoln Electric Holdings, Inc. | 1,435 | ||||||
| 9 | Lindsay Corp. | 627 | ||||||
| 12 | Lydall, Inc. (a) | 139 | ||||||
| 28 | Mueller Industries, Inc. | 1,047 | ||||||
| 102 | Nordson Corp. | 5,608 | ||||||
| 50 | Pentair, Inc. | 2,017 | ||||||
| 2 | SPX Corp. | 196 | ||||||
| 115 | Timken Co. | 5,779 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
| 49 | Toro Co. (The) | 2,939 | ||||||
| 8 | Valmont Industries, Inc. | 814 | ||||||
| 25 | Wabtec Corp. | 1,673 | ||||||
| 8 | Watts Water Technologies, Inc., Class A | 285 | ||||||
|
| |||||||
| 61,707 | ||||||||
|
| |||||||
Marine — 0.4% |
| |||||||
| 76 | Alexander & Baldwin, Inc. | 3,643 | ||||||
| 25 | Kirby Corp. (a) | 1,393 | ||||||
|
| |||||||
| 5,036 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 9 | CDI Corp. | 119 | ||||||
| 31 | Corporate Executive Board Co. (The) | 1,333 | ||||||
| 22 | Dolan Co. (The) (a) | 184 | ||||||
| 10 | Exponent, Inc. (a) | 430 | ||||||
| 31 | FTI Consulting, Inc. (a) | 1,181 | ||||||
| 13 | Heidrick & Struggles International, Inc. | 284 | ||||||
| 17 | Insperity, Inc. | 506 | ||||||
| 21 | Kelly Services, Inc., Class A (a) | 349 | ||||||
| 34 | Korn/Ferry International (a) | 738 | ||||||
| 6 | Manpower, Inc. | 301 | ||||||
| 37 | Navigant Consulting, Inc. (a) | 386 | ||||||
| 26 | On Assignment, Inc. (a) | 253 | ||||||
| 11 | School Specialty, Inc. (a) | 161 | ||||||
| 36 | SFN Group, Inc. (a) | 332 | ||||||
| 70 | Towers Watson & Co., Class A | 4,597 | ||||||
| 34 | TrueBlue, Inc. (a) | 486 | ||||||
|
| |||||||
| 11,640 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
| 18 | Arkansas Best Corp. | 434 | ||||||
| 11 | Con-way, Inc. | 430 | ||||||
| 50 | J.B. Hunt Transport Services, Inc. | 2,371 | ||||||
| 90 | Kansas City Southern (a) | 5,324 | ||||||
| 29 | Old Dominion Freight Line, Inc. (a) | 1,082 | ||||||
|
| |||||||
| 9,641 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.9% |
| |||||||
| 45 | Applied Industrial Technologies, Inc. | 1,589 | ||||||
| 19 | Kaman Corp. | 671 | ||||||
| 4 | Lawson Products, Inc. | 75 | ||||||
| 18 | MSC Industrial Direct Co., Class A | 1,213 | ||||||
| 143 | United Rentals, Inc. (a) | 3,637 | ||||||
| 62 | Watsco, Inc. | 4,188 | ||||||
|
| |||||||
| 11,373 | ||||||||
|
| |||||||
Total Industrials | 194,517 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 23 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Information Technology — 17.4% |
| |||||||
Communications Equipment — 1.6% |
| |||||||
| 317 | Arris Group, Inc. (a) | 3,679 | ||||||
| 8 | Bel Fuse, Inc., Class B | 174 | ||||||
| 13 | Black Box Corp. | 403 | ||||||
| 20 | Comtech Telecommunications Corp. | 549 | ||||||
| 17 | DG FastChannel, Inc. (a) | 540 | ||||||
| 17 | Digi International, Inc. (a) | 227 | ||||||
| 11 | EMS Technologies, Inc. (a) | 350 | ||||||
| — | (h) | F5 Networks, Inc. (a) | 21 | |||||
| 76 | Harmonic, Inc. (a) | 550 | ||||||
| 41 | NETGEAR, Inc. (a) | 1,804 | ||||||
| 20 | Network Equipment Technologies, Inc. (a) | 45 | ||||||
| 14 | Oplink Communications, Inc. (a) | 270 | ||||||
| 13 | PC-Tel, Inc. (a) | 87 | ||||||
| 76 | Plantronics, Inc. | 2,771 | ||||||
| 29 | Polycom, Inc. (a) | 1,834 | ||||||
| 144 | Riverbed Technology, Inc. (a) | 5,714 | ||||||
| 31 | Symmetricom, Inc. (a) | 178 | ||||||
| 48 | Tekelec (a) | 439 | ||||||
|
| |||||||
| 19,635 | ||||||||
|
| |||||||
Computers & Peripherals — 0.8% |
| |||||||
| 21 | Avid Technology, Inc. (a) | 396 | ||||||
| 120 | Diebold, Inc. | 3,718 | ||||||
| 36 | Intermec, Inc. (a) | 397 | ||||||
| 15 | Intevac, Inc. (a) | 157 | ||||||
| 121 | NCR Corp. (a) | 2,291 | ||||||
| 11 | Novatel Wireless, Inc. (a) | 59 | ||||||
| 75 | QLogic Corp. (a) | 1,193 | ||||||
| 15 | Stratasys, Inc. (a) | 503 | ||||||
| 18 | Super Micro Computer, Inc. (a) | 291 | ||||||
| 25 | Synaptics, Inc. (a) (c) | 642 | ||||||
|
| |||||||
| 9,647 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.9% |
| |||||||
| 15 | Agilysys, Inc. (a) (c) | 124 | ||||||
| 3 | Anixter International, Inc. | 204 | ||||||
| 159 | Arrow Electronics, Inc. (a) | 6,607 | ||||||
| 205 | Avnet, Inc. (a) | 6,533 | ||||||
| 44 | Benchmark Electronics, Inc. (a) | 720 | ||||||
| 47 | Brightpoint, Inc. (a) | 385 | ||||||
| 28 | Checkpoint Systems, Inc. (a) | 503 | ||||||
| 24 | CTS Corp. | 229 | ||||||
| 25 | Daktronics, Inc. | 266 | ||||||
| 12 | DTS, Inc. (a) | 494 | ||||||
| 18 | Electro Scientific Industries, Inc. (a) | 351 | ||||||
| 12 | FARO Technologies, Inc. (a) | 509 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & |
| |||||||
| 18 | Gerber Scientific, Inc. (a) | 199 | ||||||
| 34 | Insight Enterprises, Inc. (a) | 597 | ||||||
| 72 | Itron, Inc. (a) | 3,470 | ||||||
| 16 | Littelfuse, Inc. | 941 | ||||||
| 6 | LoJack Corp. (a) | 27 | ||||||
| 22 | Mercury Computer Systems, Inc. (a) | 408 | ||||||
| 26 | Methode Electronics, Inc. | 305 | ||||||
| 11 | MTS Systems Corp. | 481 | ||||||
| 79 | National Instruments Corp. | 2,352 | ||||||
| 27 | Newport Corp. (a) | 484 | ||||||
| 14 | OSI Systems, Inc. (a) | 619 | ||||||
| 14 | Park Electrochemical Corp. | 400 | ||||||
| 26 | Pulse Electronics Corp. | 115 | ||||||
| 17 | RadiSys Corp. (a) | 124 | ||||||
| 40 | Rofin-Sinar Technologies, Inc. (a) | 1,369 | ||||||
| 12 | Rogers Corp. (a) | 534 | ||||||
| 19 | Scansource, Inc. (a) | 717 | ||||||
| 27 | SYNNEX Corp. (a) | 853 | ||||||
| 5 | Tech Data Corp. (a) | 231 | ||||||
| 11 | Trimble Navigation Ltd. (a) | 449 | ||||||
| 306 | Vishay Intertechnology, Inc. (a) | 4,608 | ||||||
|
| |||||||
| 36,208 | ||||||||
|
| |||||||
Internet Software & Services — 1.3% |
| |||||||
| 77 | AOL, Inc. (a) | 1,535 | ||||||
| 19 | comScore, Inc. (a) | 502 | ||||||
| 30 | DealerTrack Holdings, Inc. (a) | 681 | ||||||
| 29 | Digital River, Inc. (a) | 918 | ||||||
| 34 | Equinix, Inc. (a) | 3,396 | ||||||
| 27 | Infospace, Inc. (a) | 243 | ||||||
| 33 | j2 Global Communications, Inc. (a) | 941 | ||||||
| 13 | Liquidity Services, Inc. (a) | 297 | ||||||
| 35 | LivePerson, Inc. (a) | 492 | ||||||
| 12 | LogMeIn, Inc. (a) | 452 | ||||||
| 10 | Perficient, Inc. (a) | 101 | ||||||
| 78 | Rackspace Hosting, Inc. (a) | 3,325 | ||||||
| 17 | RightNow Technologies, Inc. (a) | 560 | ||||||
| 5 | Stamps.com, Inc. | 62 | ||||||
| 62 | United Online, Inc. | 376 | ||||||
| 147 | ValueClick, Inc. (a) | 2,447 | ||||||
| 21 | XO Group, Inc. (a) | 213 | ||||||
|
| |||||||
| 16,541 | ||||||||
|
| |||||||
IT Services — 2.7% |
| |||||||
| 58 | Acxiom Corp. (a) | 763 | ||||||
| 75 | Alliance Data Systems Corp. (a) (c) | 7,022 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — Continued |
| |||||||
| 71 | CACI International, Inc., Class A (a) | 4,493 | ||||||
| 23 | Cardtronics, Inc. (a) | 544 | ||||||
| 50 | CIBER, Inc. (a) | 275 | ||||||
| 22 | Convergys Corp. (a) | 304 | ||||||
| 24 | CSG Systems International, Inc. (a) | 452 | ||||||
| 90 | DST Systems, Inc. | 4,736 | ||||||
| 11 | Forrester Research, Inc. | 349 | ||||||
| 90 | Gartner, Inc. (a) | 3,644 | ||||||
| 44 | Global Payments, Inc. | 2,269 | ||||||
| 27 | Heartland Payment Systems, Inc. | 562 | ||||||
| 41 | iGate Corp. | 662 | ||||||
| 12 | Integral Systems, Inc. (a) | 147 | ||||||
| 168 | Lender Processing Services, Inc. | 3,517 | ||||||
| 16 | ManTech International Corp., Class A | 729 | ||||||
| 5 | MAXIMUS, Inc. | 392 | ||||||
| 4 | NCI, Inc., Class A (a) | 101 | ||||||
| 43 | NeuStar, Inc., Class A (a) | 1,139 | ||||||
| 33 | SRA International, Inc., Class A (a) | 1,023 | ||||||
| 21 | TeleTech Holdings, Inc. (a) | 452 | ||||||
|
| |||||||
| 33,575 | ||||||||
|
| |||||||
Office Electronics — 0.1% |
| |||||||
| 37 | Zebra Technologies Corp., Class A (a) | 1,578 | ||||||
| �� |
|
| ||||||
Semiconductors & Semiconductor Equipment — 3.8% |
| |||||||
| 27 | Advanced Energy Industries, Inc. (a) | 401 | ||||||
| 441 | Atmel Corp. (a) | 6,202 | ||||||
| 24 | ATMI, Inc. (a) | 491 | ||||||
| 47 | Brooks Automation, Inc. (a) | 514 | ||||||
| 8 | Cabot Microelectronics Corp. (a) | 393 | ||||||
| 16 | Ceva, Inc. (a) | 486 | ||||||
| 49 | Cirrus Logic, Inc. (a) | 779 | ||||||
| 17 | Cohu, Inc. | 226 | ||||||
| 42 | Cree, Inc. (a) | 1,410 | ||||||
| 20 | Cymer, Inc. (a) | 983 | ||||||
| 16 | DSP Group, Inc. (a) | 143 | ||||||
| 51 | Entropic Communications, Inc. (a) | 457 | ||||||
| 32 | Exar Corp. (a) | 203 | ||||||
| 279 | Fairchild Semiconductor International, Inc. (a) | 4,670 | ||||||
| 28 | FEI Co. (a) | 1,058 | ||||||
| 65 | International Rectifier Corp. (a) | 1,820 | ||||||
| 48 | Intersil Corp., Class A | 618 | ||||||
| 45 | Kopin Corp. (a) | 211 | ||||||
| 51 | Kulicke & Soffa Industries, Inc. (a) | 568 | ||||||
| 155 | Lam Research Corp. (a) | 6,871 | ||||||
| 35 | Micrel, Inc. | 372 | ||||||
| 35 | Microsemi Corp. (a) | 711 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 80 | MKS Instruments, Inc. | 2,123 | ||||||
| 25 | Monolithic Power Systems, Inc. (a) | 390 | ||||||
| 12 | Nanometrics, Inc. (a) | 235 | ||||||
| 17 | Pericom Semiconductor Corp. (a) | 154 | ||||||
| 209 | RF Micro Devices, Inc. (a) | 1,279 | ||||||
| 21 | Rudolph Technologies, Inc. (a) | 230 | ||||||
| 24 | Semtech Corp. (a) | 644 | ||||||
| 20 | Sigma Designs, Inc. (a) | 151 | ||||||
| 110 | Skyworks Solutions, Inc. (a) | 2,520 | ||||||
| 16 | Standard Microsystems Corp. (a) | 442 | ||||||
| 9 | Supertex, Inc. (a) | 202 | ||||||
| 26 | Tessera Technologies, Inc. (a) | 452 | ||||||
| 19 | Ultratech, Inc. (a) | 583 | ||||||
| 49 | Varian Semiconductor Equipment Associates, Inc. (a) | 3,004 | ||||||
| 95 | Veeco Instruments, Inc. (a) (c) | 4,614 | ||||||
| 18 | Volterra Semiconductor Corp. (a) | 444 | ||||||
|
| |||||||
| 47,054 | ||||||||
|
| |||||||
Software — 4.2% |
| |||||||
| 24 | ACI Worldwide, Inc. (a) | 799 | ||||||
| 23 | Advent Software, Inc. (a) | 645 | ||||||
| 65 | ANSYS, Inc. (a) | 3,549 | ||||||
| 32 | Blackbaud, Inc. | 899 | ||||||
| 25 | Bottomline Technologies, Inc. (a) | 628 | ||||||
| 474 | Cadence Design Systems, Inc. (a) | 5,004 | ||||||
| 11 | CommVault Systems, Inc. (a) | 502 | ||||||
| 46 | Concur Technologies, Inc. (a) | 2,292 | ||||||
| 28 | Ebix, Inc. (a) (c) | 530 | ||||||
| 24 | EPIQ Systems, Inc. | 335 | ||||||
| 33 | FactSet Research Systems, Inc. | 3,419 | ||||||
| 77 | Fair Isaac Corp. | 2,329 | ||||||
| 90 | Informatica Corp. (a) | 5,254 | ||||||
| 10 | Interactive Intelligence, Inc. (a) | 354 | ||||||
| 11 | JDA Software Group, Inc. (a) | 351 | ||||||
| 16 | Manhattan Associates, Inc. (a) | 543 | ||||||
| 36 | Mentor Graphics Corp. (a) | 459 | ||||||
| 39 | MICROS Systems, Inc. (a) | 1,938 | ||||||
| 6 | MicroStrategy, Inc., Class A (a) | 991 | ||||||
| 20 | Monotype Imaging Holdings, Inc. (a) | 286 | ||||||
| 35 | Netscout Systems, Inc. (a) | 731 | ||||||
| 43 | Progress Software Corp. (a) | 1,045 | ||||||
| 176 | Quest Software, Inc. (a) | 4,007 | ||||||
| 26 | Radiant Systems, Inc. (a) | 545 | ||||||
| 103 | Rovi Corp. (a) | 5,911 | ||||||
| 10 | Smith Micro Software, Inc. (a) | 42 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 25 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Software — Continued |
| |||||||
| 21 | Sourcefire, Inc. (a) | 637 | ||||||
| 41 | Synopsys, Inc. (a) | 1,060 | ||||||
| 31 | Take-Two Interactive Software, Inc. (a) | 469 | ||||||
| 49 | THQ, Inc. (a) (c) | 176 | ||||||
| 193 | TIBCO Software, Inc. (a) | 5,599 | ||||||
| 19 | Tyler Technologies, Inc. (a) | 502 | ||||||
| 29 | Websense, Inc. (a) | 756 | ||||||
|
| |||||||
| 52,587 | ||||||||
|
| |||||||
Total Information Technology | 216,825 | |||||||
|
| |||||||
Materials — 6.3% |
| |||||||
Chemicals — 3.3% |
| |||||||
| 23 | A Schulman, Inc. | 578 | ||||||
| 11 | Albemarle Corp. | 730 | ||||||
| 14 | American Vanguard Corp. | 184 | ||||||
| 18 | Arch Chemicals, Inc. | 621 | ||||||
| 62 | Ashland, Inc. | 3,979 | ||||||
| 21 | Balchem Corp. | 901 | ||||||
| 56 | Cabot Corp. | 2,227 | ||||||
| 43 | Calgon Carbon Corp. (a) | 730 | ||||||
| 92 | Cytec Industries, Inc. | 5,248 | ||||||
| 6 | Hawkins, Inc. (c) | 226 | ||||||
| 2 | International Flavors & Fragrances, Inc. | 116 | ||||||
| 15 | Koppers Holdings, Inc. | 554 | ||||||
| 24 | Kraton Performance Polymers, Inc. (a) | 957 | ||||||
| 12 | LSB Industries, Inc. (a) | 524 | ||||||
| 45 | Lubrizol Corp. | 6,094 | ||||||
| 23 | Minerals Technologies, Inc. | 1,546 | ||||||
| 30 | NewMarket Corp. | 5,195 | ||||||
| 82 | Olin Corp. | 1,853 | ||||||
| 68 | OM Group, Inc. (a) | 2,784 | ||||||
| 43 | PolyOne Corp. | 667 | ||||||
| 8 | Quaker Chemical Corp. | 330 | ||||||
| 20 | Scotts Miracle-Gro Co. (The), Class A | 1,047 | ||||||
| 37 | Sensient Technologies Corp. | 1,390 | ||||||
| 6 | Stepan Co. | 397 | ||||||
| 30 | STR Holdings, Inc. (a) (c) | 442 | ||||||
| 52 | Valspar Corp. | 1,880 | ||||||
| 3 | Westlake Chemical Corp. | 144 | ||||||
| 15 | Zep, Inc. | 290 | ||||||
|
| |||||||
| 41,634 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
| 32 | Headwaters, Inc. (a) | 101 | ||||||
|
| |||||||
Containers & Packaging — 1.1% |
| |||||||
| 18 | Aptargroup, Inc. | 930 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — Continued |
| |||||||
| 6 | Greif, Inc., Class A | 388 | ||||||
| 24 | Myers Industries, Inc. | 249 | ||||||
| 85 | Packaging Corp. of America | 2,390 | ||||||
| 85 | Rock-Tenn Co., Class A | 5,617 | ||||||
| 16 | Silgan Holdings, Inc. | 658 | ||||||
| 54 | Sonoco Products Co. | 1,907 | ||||||
| 29 | Temple-Inland, Inc. | 876 | ||||||
|
| |||||||
| 13,015 | ||||||||
|
| |||||||
Metals & Mining — 1.4% |
| |||||||
| 12 | AM Castle & Co. (a) | 192 | ||||||
| 18 | AMCOL International Corp. | 688 | ||||||
| 244 | Century Aluminum Co. (a) | 3,821 | ||||||
| 21 | Compass Minerals International, Inc. | 1,848 | ||||||
| 9 | Haynes International, Inc. | 542 | ||||||
| 11 | Kaiser Aluminum Corp. | 580 | ||||||
| 15 | Materion Corp. (a) | 573 | ||||||
| 6 | Olympic Steel, Inc. | 173 | ||||||
| 40 | Reliance Steel & Aluminum Co. | 1,976 | ||||||
| 23 | RTI International Metals, Inc. (a) | 881 | ||||||
| 261 | Steel Dynamics, Inc. | 4,236 | ||||||
| 70 | Worthington Industries, Inc. | 1,626 | ||||||
|
| |||||||
| 17,136 | ||||||||
|
| |||||||
Paper & Forest Products — 0.5% | ||||||||
| 30 | Buckeye Technologies, Inc. | 802 | ||||||
| 8 | Clearwater Paper Corp. (a) | 570 | ||||||
| 7 | Deltic Timber Corp. | 400 | ||||||
| 29 | Domtar Corp., (Canada) | 2,776 | ||||||
| 28 | KapStone Paper & Packaging Corp. (a) | 460 | ||||||
| 10 | Neenah Paper, Inc. | 217 | ||||||
| 12 | Schweitzer-Mauduit International, Inc. | 693 | ||||||
| 34 | Wausau Paper Corp. | 230 | ||||||
|
| |||||||
| 6,148 | ||||||||
|
| |||||||
Total Materials | 78,034 | |||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
Diversified Telecommunication Services — 0.3% |
| |||||||
| 7 | Atlantic Tele-Network, Inc. | 252 | ||||||
| 22 | Cbeyond, Inc. (a) | 285 | ||||||
| 138 | Cincinnati Bell, Inc. (a) | 459 | ||||||
| 30 | General Communication, Inc., Class A (a) | 360 | ||||||
| 23 | Neutral Tandem, Inc. (a) | 402 | ||||||
| 110 | tw telecom, inc. (a) | 2,266 | ||||||
|
| |||||||
| 4,024 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 23 | NTELOS Holdings Corp. | 463 | ||||||
| 65 | Telephone & Data Systems, Inc. | 2,027 | ||||||
| 15 | USA Mobility, Inc. | 235 | ||||||
|
| |||||||
| 2,725 | ||||||||
|
| |||||||
Total Telecommunication Services | 6,749 | |||||||
|
| |||||||
Utilities — 4.9% |
| |||||||
Electric Utilities — 1.8% |
| |||||||
| 24 | Allete, Inc. | 975 | ||||||
| 10 | Central Vermont Public Service Corp. | 348 | ||||||
| 85 | DPL, Inc. | 2,560 | ||||||
| 51 | El Paso Electric Co. | 1,652 | ||||||
| 228 | Great Plains Energy, Inc. | 4,725 | ||||||
| 93 | Hawaiian Electric Industries, Inc. | 2,240 | ||||||
| 38 | IDACORP, Inc. | 1,500 | ||||||
| 16 | NV Energy, Inc. | 242 | ||||||
| 193 | PNM Resources, Inc. | 3,224 | ||||||
| 26 | UIL Holdings Corp. | 837 | ||||||
| 75 | UniSource Energy Corp. | 2,788 | ||||||
| 68 | Westar Energy, Inc. | 1,829 | ||||||
|
| |||||||
| 22,920 | ||||||||
|
| |||||||
Gas Utilities — 1.6% |
| |||||||
| 38 | AGL Resources, Inc. | 1,561 | ||||||
| 137 | Atmos Energy Corp. | 4,548 | ||||||
| 16 | Laclede Group, Inc. (The) | 606 | ||||||
| 6 | National Fuel Gas Co. | 459 | ||||||
| 41 | New Jersey Resources Corp. | 1,826 | ||||||
| 320 | Questar Corp. | 5,674 | ||||||
| 10 | South Jersey Industries, Inc. | 529 | ||||||
| 47 | Southwest Gas Corp. | 1,817 | ||||||
| 57 | UGI Corp. | 1,832 | ||||||
| 22 | WGL Holdings, Inc. | 844 | ||||||
|
| |||||||
| 19,696 | ||||||||
|
| |||||||
Multi-Utilities — 1.5% |
| |||||||
| 105 | Alliant Energy Corp. | 4,268 | ||||||
| 74 | Avista Corp. | 1,889 | ||||||
| 11 | CH Energy Group, Inc. | 582 | ||||||
| 173 | MDU Resources Group, Inc. | 3,901 | ||||||
| 51 | NorthWestern Corp. | 1,701 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — Continued |
| |||||||
| 81 | NSTAR | 3,717 | ||||||
| 29 | OGE Energy Corp. | 1,466 | ||||||
| 17 | Vectren Corp. | 470 | ||||||
|
| |||||||
| 17,994 | ||||||||
|
| |||||||
Water Utilities — 0.0% (g) | ||||||||
| 14 | American States Water Co. | 491 | ||||||
|
| |||||||
Total Utilities | 61,101 | |||||||
|
| |||||||
Total Common Stocks | 1,231,931 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.2% |
| ||||||
| 1,520 | U.S. Treasury Bills, 0.007%, | 1,520 | ||||||
| 915 | U.S. Treasury Bills, 0.030%, | 915 | ||||||
|
| |||||||
Total U.S. Treasury Obligations | 2,435 | |||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
| 25,717 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 25,717 | ||||||
|
| |||||||
| Investments of Cash Collateral for Securities on Loan — 2.6% |
| ||||||
Investment Company — 2.6% |
| |||||||
| 32,596 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 32,596 | ||||||
|
| |||||||
Total Investments — 103.8% | 1,292,679 | |||||||
Liabilities in Excess of | (47,159 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,245,520 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 61 | E-mini Russell 2000 | 09/16/11 | $ | 5,035 | $ | 260 | ||||||||||
| 150 | S&P Mid Cap 400 | 09/16/11 | 14,647 | 599 | ||||||||||||
|
| |||||||||||||||
| $ | 859 | |||||||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 27 | ||||||
Table of Contents
J.P. Morgan Equity Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (Unaudited)
| (a) | — Non-income producing security | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |
| (g) | — Amount rounds to less than 0.1% | |
| (h) | — Amount rounds to less than one thousand (shares or dollars). | |
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
| (l) | — The rate shown is the current yield as of June 30, 2011. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. | |
| (n) | — The rate shown is the effective yield at the date of purchase. | |
| (q) | — Investment in affiliate. This security is included in an index in which the Portfolio, as an index fund, invests. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011
(Amounts in thousands, except per share amounts)
Equity Index Fund | Market Expansion Index Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 1,842,783 | $ | 1,234,366 | ||||
Investments in affiliates, at value | 52,270 | 58,313 | ||||||
|
|
|
| |||||
Total investment securities, at value | 1,895,053 | 1,292,679 | ||||||
Receivables: | ||||||||
Investment securities sold | 6,932 | 1,450 | ||||||
Fund shares sold | 6,984 | 713 | ||||||
Interest and dividends | 2,378 | 827 | ||||||
Securities lending income | 14 | 20 | ||||||
Variation margin on futures contracts | 144 | 121 | ||||||
|
|
|
| |||||
Total Assets | 1,911,505 | 1,295,810 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Dividends | 960 | 1,962 | ||||||
Investment securities purchased | 6,714 | 13,499 | ||||||
Collateral for securities lending program | 7,885 | 32,596 | ||||||
Fund shares redeemed | 1,954 | 1,619 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 130 | 243 | ||||||
Admin Fees | 64 | 88 | ||||||
Shareholder servicing fees | 14 | 66 | ||||||
Distribution fees | 151 | 29 | ||||||
Custodian and accounting fees | 41 | 27 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | ||||||
Other | 430 | 160 | ||||||
|
|
|
| |||||
Total Liabilities | 18,344 | 50,290 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,893,161 | $ | 1,245,520 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
Equity Index Fund | Market Expansion Index Fund | |||||||
NET ASSETS: | ||||||||
Paid in capital | $ | 1,141,366 | $ | 918,628 | ||||
Accumulated undistributed net investment income | 273 | (768 | ) | |||||
Accumulated net realized gains (losses) | (178,941 | ) | 74,335 | |||||
Net unrealized appreciation (depreciation) | 930,463 | 253,325 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 1,893,161 | $ | 1,245,520 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 540,743 | $ | 77,638 | ||||
Class B | 21,922 | 5,839 | ||||||
Class C | 49,126 | 13,613 | ||||||
Class R2 | — | 3,309 | ||||||
Select Class | 1,281,370 | 1,145,121 | ||||||
|
|
|
| |||||
Total | $ | 1,893,161 | $ | 1,245,520 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 18,047 | 6,741 | ||||||
Class B | 734 | 523 | ||||||
Class C | 1,645 | 1,267 | ||||||
Class R2 | — | 289 | ||||||
Select Class | 42,762 | 98,962 | ||||||
Net Asset Value: | ||||||||
Class A — Redemption price per share | $ | 29.96 | $ | 11.52 | ||||
Class B — Offering price per share (a) | 29.88 | 11.16 | ||||||
Class C — Offering price per share (a) | 29.87 | 10.74 | ||||||
Class R2 — Offering and redemption price per share | — | 11.46 | ||||||
Select Class — Offering and redemption price per share | 29.97 | 11.57 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 31.62 | $ | 12.16 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 922,177 | $ | 981,900 | ||||
Cost of investments in affiliates | 43,016 | 58,313 | ||||||
Value of securities on loan | 7,776 | 32,159 | ||||||
| (a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2011
(Amounts in thousands)
| Equity Index Fund | Market Expansion Index Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income from non-affiliates | $ | — | $ | 3 | ||||
Dividend income from non-affiliates | 37,522 | 12,216 | ||||||
Dividend income from affiliates | 273 | 31 | ||||||
Income from securities lending (net) | 133 | 432 | ||||||
Other income | 113 | 1 | ||||||
|
|
|
| |||||
Total investment income | 38,041 | 12,683 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 4,589 | 2,680 | ||||||
Administration fees | 1,652 | 964 | ||||||
Distribution fees: | ||||||||
Class A | 1,336 | 181 | ||||||
Class B | 196 | 51 | ||||||
Class C | 355 | 88 | ||||||
Class R2 | — | 12 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 1,336 | 181 | ||||||
Class B | 66 | 17 | ||||||
Class C | 118 | 29 | ||||||
Class R2 | — | 6 | ||||||
Select Class | 3,069 | 2,447 | ||||||
Custodian and accounting fees | 92 | 52 | ||||||
Interest expense to affiliates | — | (a) | — | |||||
Professional fees | 56 | 62 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 12 | 7 | ||||||
Printing and mailing costs | 256 | 79 | ||||||
Registration and filing fees | 69 | 68 | ||||||
Transfer agent fees | 1,278 | 283 | ||||||
Other | 30 | 26 | ||||||
|
|
|
| |||||
Total expenses | 14,510 | 7,233 | ||||||
|
|
|
| |||||
Less amounts waived | (8,790 | ) | (2,185 | ) | ||||
Less earnings credits | — | (a) | — | (a) | ||||
|
|
|
| |||||
Net expenses | 5,720 | 5,048 | ||||||
|
|
|
| |||||
Net investment income (loss) | 32,321 | 7,635 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 36,804 | 106,988 | ||||||
Investment in affiliates | 58 | — | ||||||
Futures | 3,023 | 4,964 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 39,885 | 111,952 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments in non-affiliates | 393,445 | 202,039 | ||||||
Investments in affiliates | 2,903 | — | ||||||
Futures | 1,017 | 1,223 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) | 397,365 | 203,262 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 437,250 | 315,214 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 469,571 | $ | 322,849 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Equity Index Fund | Market Expansion Index Fund | |||||||||||||||
Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | 32,321 | $ | 32,269 | $ | 7,635 | $ | 7,986 | ||||||||
Net realized gain (loss) | 39,885 | (9,028 | ) | 111,952 | 51,616 | |||||||||||
Change in net unrealized appreciation (depreciation) | 397,365 | 180,942 | 203,262 | 93,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 469,571 | 204,183 | 322,849 | 153,601 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (8,578 | ) | (9,256 | ) | (388 | ) | (446 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (217 | ) | (358 | ) | (10 | ) | (9 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (419 | ) | (497 | ) | (24 | ) | (15 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (10 | ) | (7 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (22,680 | ) | (21,688 | ) | (7,240 | ) | (7,665 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (31,894 | ) | (31,799 | ) | (7,672 | ) | (8,142 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (108,701 | ) | (15,938 | ) | 79,057 | 50,960 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 328,976 | 156,446 | 394,234 | 196,419 | ||||||||||||
Beginning of period | 1,564,185 | 1,407,739 | 851,286 | 654,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,893,161 | $ | 1,564,185 | $ | 1,245,520 | $ | 851,286 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 273 | $ | 317 | $ | (768 | ) | $ | (601 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Index Fund | Market Expansion Index Fund | |||||||||||||||
Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 116,737 | $ | 114,553 | $ | 22,257 | $ | 20,804 | ||||||||
Dividends and distributions reinvested | 8,306 | 8,815 | 327 | 372 | ||||||||||||
Cost of shares redeemed | (206,303 | ) | (125,073 | ) | (24,492 | ) | (19,130 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (81,260 | ) | $ | (1,705 | ) | $ | (1,908 | ) | $ | 2,046 | |||||
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|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | 159 | 961 | 71 | 214 | ||||||||||||
Dividends and distributions reinvested | 204 | 337 | 9 | 8 | ||||||||||||
Cost of shares redeemed | (12,938 | ) | (15,340 | ) | (3,504 | ) | (3,677 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (12,575 | ) | $ | (14,042 | ) | $ | (3,424 | ) | $ | (3,455 | ) | ||||
|
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|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 8,223 | 9,495 | 2,884 | 1,608 | ||||||||||||
Dividends and distributions reinvested | 266 | 303 | 19 | 11 | ||||||||||||
Cost of shares redeemed | (13,431 | ) | (16,868 | ) | (2,585 | ) | (2,581 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (4,942 | ) | $ | (7,070 | ) | $ | 318 | $ | (962 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | — | — | 2,144 | 1,789 | ||||||||||||
Dividends and distributions reinvested | — | — | 6 | 6 | ||||||||||||
Cost of shares redeemed | — | — | (1,001 | ) | (283 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | 1,149 | $ | 1,512 | ||||||||
|
|
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|
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|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 414,907 | 277,785 | 295,629 | 238,345 | ||||||||||||
Dividends and distributions reinvested | 18,907 | 14,906 | 849 | 466 | ||||||||||||
Cost of shares redeemed | (443,738 | ) | (285,812 | ) | (213,556 | ) | (186,992 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (9,924 | ) | $ | 6,879 | $ | 82,922 | $ | 51,819 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (108,701 | ) | $ | (15,938 | ) | $ | 79,057 | $ | 50,960 | ||||||
|
|
|
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|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Index Fund | |||||||||||||||
Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,188 | 4,676 | 2,149 | 2,458 | ||||||||||||
Reinvested | 293 | 355 | 29 | 43 | ||||||||||||
Redeemed | (7,451 | ) | (5,062 | ) | (2,314 | ) | (2,247 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (2,970 | ) | (31 | ) | (136 | ) | 254 | |||||||||
|
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|
| |||||||||
Class B | ||||||||||||||||
Issued | 6 | 41 | 7 | 26 | ||||||||||||
Reinvested | 7 | 13 | 1 | 1 | ||||||||||||
Redeemed | (465 | ) | (621 | ) | (353 | ) | (441 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (452 | ) | (567 | ) | (345 | ) | (414 | ) | ||||||||
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|
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|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 291 | 381 | 283 | 201 | ||||||||||||
Reinvested | 9 | 12 | 2 | 1 | ||||||||||||
Redeemed | (490 | ) | (679 | ) | (276 | ) | (324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (190 | ) | (286 | ) | 9 | (122 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 202 | 205 | ||||||||||||
Reinvested | — | — | 1 | 1 | ||||||||||||
Redeemed | — | — | (96 | ) | (31 | ) | ||||||||||
|
|
|
|
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|
|
| |||||||||
Change in Class R2 Shares | — | — | 107 | 175 | ||||||||||||
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|
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|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 14,906 | 11,277 | 27,688 | 27,620 | ||||||||||||
Reinvested | 665 | 600 | 76 | 54 | ||||||||||||
Redeemed | (15,613 | ) | (11,515 | ) | (20,466 | ) | (21,649 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (42 | ) | 362 | 7,298 | 6,025 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 35 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||
Net asset beginning | Net income | Net realized (losses) on | Total from operations | Net income | Total distributions | |||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 23.40 | $ | 0.45 | (c) | $ | 6.56 | $ | 7.01 | $ | (0.45 | ) | $ | (0.45 | ) | |||||||||
Year Ended June 30, 2010 | 20.90 | 0.45 | (c) | 2.49 | 2.94 | (0.44 | ) | — | ||||||||||||||||
Year Ended June 30, 2009 | 29.08 | 0.51 | (c) | (8.19 | )(d) | (7.68 | ) | (0.50 | ) | — | ||||||||||||||
Year Ended June 30, 2008 | 34.16 | 0.53 | (c) | (5.09 | ) | (4.56 | ) | (0.52 | ) | — | ||||||||||||||
Year Ended June 30, 2007 | 28.90 | 0.48 | (c) | 5.28 | 5.76 | (0.50 | ) | — | ||||||||||||||||
Class B | ||||||||||||||||||||||||
Year Ended June 30, 2011 | 23.34 | 0.24 | (c) | 6.54 | 6.78 | (0.24 | ) | (0.24 | ) | |||||||||||||||
Year Ended June 30, 2010 | 20.84 | 0.26 | (c) | 2.49 | 2.75 | (0.25 | ) | — | ||||||||||||||||
Year Ended June 30, 2009 | 28.98 | 0.34 | (c) | (8.15 | )(d) | (7.81 | ) | (0.33 | ) | — | ||||||||||||||
Year Ended June 30, 2008 | 34.02 | 0.28 | (c) | (5.07 | ) | (4.79 | ) | (0.25 | ) | — | ||||||||||||||
Year Ended June 30, 2007 | 28.78 | 0.23 | (c) | 5.26 | 5.49 | (0.25 | ) | — | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Year Ended June 30, 2011 | 23.34 | 0.24 | (c) | 6.54 | 6.78 | (0.25 | ) | (0.25 | ) | |||||||||||||||
Year Ended June 30, 2010 | 20.84 | 0.26 | (c) | 2.49 | 2.75 | (0.25 | ) | — | ||||||||||||||||
Year Ended June 30, 2009 | 28.98 | 0.34 | (c) | (8.14 | )(d) | (7.80 | ) | (0.34 | ) | — | ||||||||||||||
Year Ended June 30, 2008 | 34.04 | 0.29 | (c) | (5.08 | ) | (4.79 | ) | (0.27 | ) | — | ||||||||||||||
Year Ended June 30, 2007 | 28.81 | 0.24 | (c) | 5.25 | 5.49 | (0.26 | ) | — | ||||||||||||||||
Select Class | ||||||||||||||||||||||||
Year Ended June 30, 2011 | 23.40 | 0.52 | (c) | 6.57 | 7.09 | (0.52 | ) | (0.52 | ) | |||||||||||||||
Year Ended June 30, 2010 | 20.90 | 0.51 | (c) | 2.49 | 3.00 | (0.50 | ) | — | ||||||||||||||||
Year Ended June 30, 2009 | 29.08 | 0.56 | (c) | (8.18 | )(d) | (7.62 | ) | (0.56 | ) | — | ||||||||||||||
Year Ended June 30, 2008 | 34.16 | 0.61 | (c) | (5.09 | ) | (4.48 | ) | (0.60 | ) | — | ||||||||||||||
Year Ended June 30, 2007 | 28.90 | 0.56 | (c) | 5.27 | 5.83 | (0.57 | ) | — | ||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes a gain resulting from a litigation payment on a security owned in a prior year. Without this gain, the net realized and unrealized gains (losses) on investments per share would have been $(8.20), $(8.16), $(8.15), and $(8.19). and the total return would have been (26.42)%, (26.96)%, (26.94)% and (26.23)% for Class A Shares, Class B Shares, Class C Shares and Select Class Shares, respectively. |
| (e) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
| (f) | Includes a gain resulting from a payment by affiliate. Without this gain the total return would have been (13.28)%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes | Net assets, end of period (000’s) | Net expenses (b) | Net income | reimbursements and | Portfolio turnover | ||||||||||||||||||||
| $ | 29.96 | 30.09 | % | $ | 540,743 | 0.45 | % | 1.63 | % | 0.94 | % | 7 | % | |||||||||||||
| 23.40 | 13.96 | 491,906 | 0.45 | 1.80 | 0.96 | 8 | ||||||||||||||||||||
| 20.90 | (26.38 | )(d) | 439,950 | 0.45 | 2.29 | 1.04 | 18 | |||||||||||||||||||
| 29.08 | (13.47 | )(e) | 594,810 | 0.45 | 1.64 | 0.97 | 12 | |||||||||||||||||||
| 34.16 | 20.02 | 624,107 | 0.45 | 1.50 | 0.94 | 9 | ||||||||||||||||||||
| 29.88 | 29.10 | 21,922 | 1.20 | 0.88 | 1.44 | 7 | ||||||||||||||||||||
| 23.34 | 13.12 | 27,677 | 1.20 | 1.07 | 1.46 | 8 | ||||||||||||||||||||
| 20.84 | (26.92 | )(d) | 36,524 | 1.20 | 1.53 | 1.53 | 18 | |||||||||||||||||||
| 28.98 | (14.12 | )(e) | 71,403 | 1.20 | 0.87 | 1.47 | 12 | |||||||||||||||||||
| 34.02 | 19.12 | 135,620 | 1.20 | 0.75 | 1.44 | 9 | ||||||||||||||||||||
| 29.87 | 29.11 | 49,126 | 1.20 | 0.88 | 1.44 | 7 | ||||||||||||||||||||
| 23.34 | 13.14 | 42,819 | 1.20 | 1.06 | 1.46 | 8 | ||||||||||||||||||||
| 20.84 | (26.91 | )(d) | 44,210 | 1.20 | 1.53 | 1.54 | 18 | |||||||||||||||||||
| 28.98 | (14.13 | )(e) | 72,637 | 1.20 | 0.89 | 1.47 | 12 | |||||||||||||||||||
| 34.04 | 19.11 | 92,205 | 1.20 | 0.75 | 1.44 | 9 | ||||||||||||||||||||
| 29.97 | 30.45 | 1,281,370 | 0.20 | 1.87 | 0.69 | 7 | ||||||||||||||||||||
| 23.40 | 14.24 | 1,001,783 | 0.20 | 2.05 | 0.71 | 8 | ||||||||||||||||||||
| 20.90 | (26.20 | )(d) | 887,055 | 0.20 | 2.57 | 0.79 | 18 | |||||||||||||||||||
| 29.08 | (13.25 | )(f) | 1,102,129 | 0.20 | 1.89 | 0.72 | 12 | |||||||||||||||||||
| 34.16 | 20.31 | 1,231,982 | 0.20 | 1.75 | 0.69 | 9 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 37 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Market Expansion Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 8.42 | $ | 0.05 | (e) | $ | 3.11 | $ | 3.16 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | |||||||||||
Year Ended June 30, 2010 | 6.88 | 0.06 | (e) | 1.55 | 1.61 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.21 | 0.09 | (e) | (3.02 | )(f) | (2.93 | ) | (0.08 | ) | (0.32 | ) | (0.40 | ) | |||||||||||||||
Year Ended June 30, 2008 | 13.58 | 0.08 | (e) | (1.63 | ) | (1.55 | ) | (0.07 | ) | (1.75 | ) | (1.82 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.47 | 0.09 | (e) | 2.13 | 2.22 | (0.09 | ) | (1.02 | ) | (1.11 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.18 | (0.02 | )(e) | 3.02 | 3.00 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.70 | — | (e)(h) | 1.49 | 1.49 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.97 | 0.03 | (e) | (2.94 | )(f) | (2.91 | ) | (0.04 | ) | (0.32 | ) | (0.36 | ) | |||||||||||||||
Year Ended June 30, 2008 | 13.33 | (0.01 | )(e) | (1.59 | ) | (1.60 | ) | (0.01 | ) | (1.75 | ) | (1.76 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.28 | — | (e)(h) | 2.09 | 2.09 | (0.02 | ) | (1.02 | ) | (1.04 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 7.88 | (0.02 | )(e) | 2.90 | 2.88 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.45 | — | (e)(h) | 1.44 | 1.44 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.63 | 0.03 | (e) | (2.84 | )(f) | (2.81 | ) | (0.05 | ) | (0.32 | ) | (0.37 | ) | |||||||||||||||
Year Ended June 30, 2008 | 12.94 | (0.01 | )(e) | (1.54 | ) | (1.55 | ) | (0.01 | ) | (1.75 | ) | (1.76 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.96 | — | (e)(h) | 2.02 | 2.02 | (0.02 | ) | (1.02 | ) | (1.04 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.39 | 0.01 | (e) | 3.09 | 3.10 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.87 | 0.02 | (e) | 1.55 | 1.57 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
November 3, 2008 (i) through June 30, 2009 | 7.32 | 0.04 | (e) | (0.11 | ) | (0.07 | ) | (0.06 | ) | (0.32 | ) | (0.38 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 8.45 | 0.08 | (e) | 3.11 | 3.19 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.91 | 0.09 | (e) | 1.54 | 1.63 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 10.24 | 0.10 | (e) | (3.01 | )(f) | (2.91 | ) | (0.10 | ) | (0.32 | ) | (0.42 | ) | |||||||||||||||
Year Ended June 30, 2008 | 13.61 | 0.11 | (e) | (1.63 | ) | (1.52 | ) | (0.10 | ) | (1.75 | ) | (1.85 | ) | |||||||||||||||
Year Ended June 30, 2007 | 12.50 | 0.12 | (e) | 2.13 | 2.25 | (0.12 | ) | (1.02 | ) | (1.14 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. There was no impact to the total return and the net realized and unrealized gains (losses) on investments per share. |
| (g) | Includes a gain incurred resulting from a payment by affiliate. The effect was less than 0.01% on total return. |
| (h) | Amount rounds to less than $0.01. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes | (000’s) | Net expenses (d) | Net income | Expenses reimbursements and | Portfolio turnover | ||||||||||||||||||||
| $ | 11.52 | 37.50 | % | $ | 77,638 | 0.69 | % | 0.50 | % | 0.89 | % | 78 | % | |||||||||||||
| 8.42 | 23.30 | 57,906 | 0.69 | 0.75 | 0.91 | 61 | ||||||||||||||||||||
| 6.88 | (28.22 | )(f) | 45,589 | 0.75 | 1.18 | 1.01 | 70 | |||||||||||||||||||
| 10.21 | (11.79 | )(g) | 65,663 | 0.70 | 0.70 | 0.94 | 65 | |||||||||||||||||||
| 13.58 | 18.69 | 82,813 | 0.70 | 0.72 | 0.94 | 44 | ||||||||||||||||||||
| 11.16 | 36.63 | 5,839 | 1.39 | (0.20 | ) | 1.39 | 78 | |||||||||||||||||||
| 8.18 | 22.21 | 7,104 | 1.41 | 0.03 | 1.41 | 61 | ||||||||||||||||||||
| 6.70 | (28.69 | )(f) | 8,587 | 1.49 | 0.44 | 1.50 | 70 | |||||||||||||||||||
| 9.97 | (12.45 | )(g) | 17,126 | 1.44 | (0.05 | ) | 1.44 | 65 | ||||||||||||||||||
| 13.33 | 17.82 | 26,451 | 1.43 | (0.03 | ) | 1.43 | 44 | |||||||||||||||||||
| 10.74 | 36.53 | 13,613 | 1.39 | (0.21 | ) | 1.39 | 78 | |||||||||||||||||||
| 7.88 | 22.34 | 9,919 | 1.41 | 0.03 | 1.41 | 61 | ||||||||||||||||||||
| 6.45 | (28.75 | )(f) | 8,906 | 1.49 | 0.44 | 1.50 | 70 | |||||||||||||||||||
| 9.63 | (12.43 | )(g) | 15,669 | 1.44 | (0.06 | ) | 1.44 | 65 | ||||||||||||||||||
| 12.94 | 17.75 | 25,149 | 1.43 | (0.01 | ) | 1.44 | 44 | |||||||||||||||||||
| 11.46 | 36.97 | 3,309 | 1.07 | 0.10 | 1.14 | 78 | ||||||||||||||||||||
| 8.39 | 22.83 | 1,527 | 1.07 | 0.24 | 1.16 | 61 | ||||||||||||||||||||
| 6.87 | (0.31 | ) | 50 | 1.07 | 1.06 | 1.30 | 70 | |||||||||||||||||||
| 11.57 | 37.84 | 1,145,121 | 0.44 | 0.75 | 0.64 | 78 | ||||||||||||||||||||
| 8.45 | 23.49 | 774,830 | 0.44 | 1.00 | 0.66 | 61 | ||||||||||||||||||||
| 6.91 | (28.00 | )(f) | 591,735 | 0.51 | 1.43 | 0.76 | 70 | |||||||||||||||||||
| 10.24 | (11.55 | )(g) | 485,717 | 0.45 | 0.95 | 0.69 | 65 | |||||||||||||||||||
| 13.61 | 18.92 | 584,141 | 0.45 | 0.97 | 0.69 | 44 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 39 | ||||||
Table of Contents
AS OF JUNE 30, 2011
1. Organization
JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:
| Classes Offered | Diversified/Non-Diversified | |||
| Equity Index Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Market Expansion Index Fund | Class A, Class B, Class C, Class R2 and Select Class | Diversified |
Effective November 1, 2009, Class B Shares of the Funds may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. 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. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset value.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
| 40 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
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A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Equity Index Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities # | $ | 1,894,926 | $ | 127 | $ | — | $ | 1,895,053 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 603 | $ | — | $ | — | $ | 603 | ||||||||
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Market Expansion Index Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Total Investments in Securities ## | $ | 1,290,244 | $ | 2,435 | $ | — | $ | 1,292,679 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 859 | $ | — | $ | — | $ | 859 | ||||||||
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| # | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of warrants. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ## | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of U.S. Treasury Bills that are held for futures collateral. Please refer to the SOI for industry specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2011.
B. Futures Contracts — The Funds use index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds buy futures contracts to immediately invest incoming cash in the market or sell futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk. Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the 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 unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The 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 Statements of Assets and Liabilities, 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 unfavorable positions.
The table below discloses the volume of the Funds’ futures activities during the year ended June 30, 2011 (amounts in thousands):
| Equity Index Fund | Market Expansion Index Fund | |||||||
Average Notional Balance Long | $ | 14,181 | $ | 23,007 | ||||
Ending Notional Balance Long | 23,087 | 19,682 | ||||||
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 41 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
C. Transactions with Affiliates — An issuer which is under common control with a Fund may be considered to be an affiliate. For the purposes of the report, the Funds assume the following to be an affiliated issuer (amounts in thousands):
| For the year ended June 30, 2011 | ||||||||||||||||||||||||||||
Value at June 30, 2010 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, | Value at June 30, 2011 | ||||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
JPMorgan Chase & Co. (common stock) | $ | 24,219 | $ | 1,380 | $ | 3,279 | $ | 58 | $ | 254 | 618 | $ | 25,282 | |||||||||||||||
JP Morgan Liquid Assets Money Market Fund, Institutional Class Shares | 4,112 | 252,896 | 237,905 | — | 19 | 19,103 | 19,103 | |||||||||||||||||||||
JP Morgan Prime Money Market Fund, Capital Shares* | 7,734 | 87,901 | 87,750 | — | 133 | 7,885 | 7,885 | |||||||||||||||||||||
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Total | $ | 36,065 | $ | 58 | $ | 406 | $ | 52,270 | ||||||||||||||||||||
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JP Morgan Liquid Assets Money Market Fund, Institutional Class Shares | $ | 17,458 | $ | 284,734 | $ | 276,475 | $ | — | $ | 31 | 25,717 | $ | 25,717 | |||||||||||||||
JP Morgan Prime Money Market Fund, Capital Shares* | 29,898 | 216,358 | 213,660 | — | 432 | 32,596 | 32,596 | |||||||||||||||||||||
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Total | $ | 47,356 | $ | — | $ | 463 | $ | 58,313 | ||||||||||||||||||||
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| * | Represents investment of cash collateral related to securities on loan, as described in Note 2.D. Dividend income earned from this investment is included in, and represents a significant portion of, Income from securities lending (net) in the Statements of Operations. |
D. Securities Lending — Each Fund may lend securities to brokers approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agreement (the “GS Bank Securities Lending Agreement”). Prior to March 1, 2011, JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, served as lending agent for the Funds pursuant to a Securities Lending Agreement (the “JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on investment of cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Equity Index Fund | $ | 2 | ||
Market Expansion Index Fund | 11 |
Under the GS Bank Securities Lending Agreement, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GS Bank Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities. Under the JPMCB Securities Lending Agreement, at the inception of a loan, securities were exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned non-dollar-denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement required that the loaned securities be marked to market on a daily basis and additional cash collateral was requested from borrowers when the cash received from borrowers became less than 102% and 105% of the value of loaned U.S. dollar denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Investments | ||||||||||
Equity Index Fund | $ | 7,776 | $ | 7,885 | * | $ | 7,885 | |||||
Market Expansion Index Fund | 32,159 | 32,596 | * | 32,596 | ||||||||
| * | Subsequent to June 30, 2011, additional collateral was received from the borrowers. |
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The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, JPMCB has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
The Advisor waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Equity Index Fund | $ | 2 | ||
Market Expansion Index Fund | 9 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the JPMCB Securities Lending Agreement, JPMCB was entitled to a fee paid monthly in arrears equal to: (i) 0.03% of the average dollar value of loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of non-dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the year ended June 30, 2011 (amounts in thousands):
| Lending Agent Fees Incurred | ||||
Equity Index Fund | $ | 2 | ||
Market Expansion Index Fund | 7 | |||
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income less foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
H. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 43 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-In-Capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Equity Index Fund | $ | (20,204 | ) | $ | (471 | ) | $ | 20,675 | ||||
Market Expansion Index Fund | (6 | ) | (130 | ) | 136 | |||||||
The reclassifications for the Funds relate primarily to expiration of capital loss carryforwards (Equity Index Fund) and non-taxable special dividends (Market Expansion Index Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual fee rate of 0.25% of the Funds’ average daily net assets.
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | |||||||||||||
Equity Index Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||
Market Expansion Index Fund | 0.25 | 0.75 | 0.75 | 0.50 | % | |||||||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 31 | $ | 36 | ||||
Market Expansion Index Fund | 11 | 7 | ||||||
D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to an annual rate of 0.25% of the average daily net assets of each share class.
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
| 44 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
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Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Select Class | ||||||||||||||||
Equity Index Fund | 0.45 | % | 1.20 | % | 1.20 | % | n/a | 0.20 | % | |||||||||||
Market Expansion Index Fund | 0.82 | 1.57 | 1.57 | 1.07 | % | 0.57 | ||||||||||||||
The contractual expense limitation agreements were in effect for the year ended June 30, 2011. The expense limitation percentages in the table above are in place until at least October 31, 2011. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2011. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Equity Index Fund | $ | 3,601 | $ | 762 | $ | 4,405 | $ | 8,768 | ||||||||
Market Expansion Index Fund | 776 | 776 | ||||||||||||||
| Voluntary Waivers | ||||||||
| Shareholder Servicing | Total | |||||||
Market Expansion Index Fund | $ | 1,368 | $ | 1,368 | ||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in the money market funds for the year ended June 30, 2011 was as follows: (excluding the reimbursement disclosed in Note 2.D. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):
Equity Index Fund | $ | 22 | ||
Market Expansion Index Fund | 41 |
G. Other — Certain officers of the Trust are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J. P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors.
The Funds may use related party broker/dealers. For the year ended June 30, 2011, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisors.
The Securities 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.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 45 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
4. Investment Transactions
During the year ended June 30, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Equity Index Fund | $ | 131,712 | $ | 245,694 | ||||
Market Expansion Index Fund | 914,036 | 823,162 | ||||||
During the year ended June 30, 2011, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation | |||||||||||||
Equity Index Fund | $ | 1,051,895 | $ | 894,989 | $ | 51,831 | $ | 843,158 | ||||||||
Market Expansion Index Fund | 1,046,924 | 269,152 | 23,397 | 245,755 | ||||||||||||
For both of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended June 30, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||
| Ordinary Income | Total Distributions Paid | |||||||
Equity Index Fund | $ | 31,894 | $ | 31,894 | ||||
Market Expansion Index Fund | 7,672 | 7,672 | ||||||
The tax character of distributions paid during the fiscal year ended June 30, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||
| Ordinary Income | Total Distributions Paid | |||||||
Equity Index Fund | $ | 31,799 | $ | 31,799 | ||||
Market Expansion Index Fund | 8,142 | 8,142 | ||||||
At June 30, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Ordinary | Current Long-Term Capital Gain (Tax Basis Capital | Unrealized (Depreciation) | ||||||||||
Equity Index Fund | $ | 1,278 | $ | (91,636 | ) | $ | 843,158 | |||||
Market Expansion Index Fund | 1,211 | 81,904 | 245,755 | |||||||||
For the Funds, the cumulative timing differences primarily consist of distributions payable, wash sale loss deferrals and mark to market of futures contracts (Market Expansion Index Fund).
As of June 30, 2011, the Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2012 | 2013 | 2017 | 2018 | Total | ||||||||||||||||
Equity Index Fund | $ | 12,693 | $ | 13,928 | $ | 18,860 | $ | 46,155 | $ | 91,636 | ||||||||||
During the year ended June 30, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Equity Index Fund | $ | 20,449 | ||
Market Expansion Index Fund | 30,418 |
During the year ended June 30, 2011, Equity Index Fund had expired capital loss carryforwards of approximately $20,188,000.
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (“the Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses.
| 46 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
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Prior to this Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2011, or at anytime during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentration and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets. In addition, the J.P. Morgan Investor Funds, which are affiliated funds of funds, own in the aggregate approximately 29.0% of the net assets of Market Expansion Index Fund. Significant shareholder transactions, if any, may impact the Funds’ performance.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 47 | ||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of JPMorgan Trust II and the Shareholders of JPMorgan Equity Index Fund and JPMorgan Market Expansion Index Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Equity Index Fund and JPMorgan Market Expansion Index Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2011
| 48 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 149 | None. | |||
| John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 149 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 149 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 149 | None. | |||
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 149 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 149 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 149 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 149 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 149 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
| JUNE 30, 2011 | J.P. MORGAN EQUITY FUNDS | 49 | ||||||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 149 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 149 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trust since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 149 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 149 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (149 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 50 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2011 | ||||
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OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Carmine Lekstutis (1980) Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, July 1, 2010, and continued to hold your shares at the end of the reporting period, December 31, 2010.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value, January 1, 2011 | Ending June 30, 2011 | Expenses January 1, 2011 | Annualized Expense | |||||||||||||
Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,057.90 | $ | 2.30 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,054.10 | 6.11 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,054.40 | 6.11 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,059.50 | 1.02 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Market Expansion Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,080.20 | 3.56 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,076.70 | 7.11 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,075.90 | 7.10 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,078.00 | 5.51 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,081.00 | 2.27 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2011:
Dividends Received Deduction | ||||
Equity Index Fund | 100.00 | % | ||
Market Expansion Index Fund | 100.00 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
Qualified Dividend Income | ||||
Equity Index Fund | $ | 31,894 | ||
Market Expansion Index Fund | 7,672 | |||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes – such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those business 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., 2011. All rights reserved. June 2011. | AN-INDEX-611 |
Table of Contents
Annual Report
J.P. Morgan Investor Funds
June 30, 2011
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Fund Facts | 2 | |||
| Funds Commentary | 3 | |||
| Schedules of Portfolio Investments | 8 | |||
| Financial Statements | 14 | |||
| Financial Highlights | 22 | |||
| Notes to Financial Statements | 30 | |||
| Report of Independent Registered Public Accounting Firm | 40 | |||
| Trustees | 41 | |||
| Officers | 43 | |||
| Schedule of Shareholder Expenses | 44 | |||
| Tax Letter | 46 | |||
Privacy Notice — Located at the back of this Annual Report | ||||
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 conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
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AUGUST 8, 2011 (Unaudited)
Dear Shareholder:
Last summer, investors’ optimism about the markets was tempered by a wave of both discouraging U.S. economic data and sovereign debt issues in Europe, which led to a market correction.
 |
“Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.” |
As we enter the second half of 2011, concerns about softening U.S. economic data persist. While we are encouraged that corporate earnings and profits have continued to grow consistently, spending levels in many areas of the economy remain critically low, which has resulted in tight inventories and pent-up consumer demand. Meanwhile, investors still lack confidence in the ability of the European governments to combat the region’s debt crisis. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger the recent downturn, as August 8, 2011 saw each of the three major U.S. stock indices experience their worst one-day performance since December 1, 2008. The current slowdown in growth should not be viewed as a surprise. Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.
Monetary stimulus and corporate profits move stocks higher
Despite periods of volatility, monetary and fiscal stimulus and strong corporate profits lifted stocks higher over the past year. As of the end of the 12-month reporting period ended June 30, 2011, the S&P 500 Index was at a level of 1,321, an increase of 30.7% from 12 months earlier.
Small cap growth stocks led all style categories for the 12-month reporting period, with the Russell 2000 Growth Index returning 43.5%. For the same period, the Russell Midcap Growth Index returned 43.3%, compared to 35.0% for the Russell 1000 Growth Index. In the value category, the Russell Midcap Value Index returned 34.3%, outperforming both the
Russell 2000 Value Index, which returned 31.4%, and the Russell 1000 Value index, which returned 28.9%.
Most U.S. Treasury yields rise amid softer economic data
In the U.S. bond markets, yields were generally volatile, but longer-term Treasury yields generally rose, while shorter-term yields declined as economic expectations weakened. The yield on the 10-year U.S. Treasury bond rose from 3.0% to 3.2% as of the end of the 12-month reporting period ended June 30, 2011, while yields on the 30-year U.S. Treasury bond increased from 3.9% to 4.4%. Yields on the 2-year U.S. Treasury bond dropped from 0.6% to 0.5% as of the end of the same period.
Is the economic soft patch temporary?
As we enter the second half of 2011, the markets have clearly entered a period of uncertainty. Stocks have been volatile in response to weaker economic growth, as well as concerns over the European sovereign debt crisis, the credit downgrade of U.S.-issued debt, policy tightening in China, and the conclusion of the second round of quantitative easing (QE2) in the U.S. Given these events, it’s not surprising that investors remain largely risk averse, and less than confident about prospects for future growth.
Despite the slowdown and uncertain political environment, however, we do believe that some aspects of our markets and economy — including strong corporate balance sheets and valuations — present potential opportunities for investors. As always, we advise investors to be mindful of continued volatility and other unexpected risks by maintaining a diversified and balanced approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Management Americas
J.P. Morgan Asset Management
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 1 | ||||||
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FUND FACTS
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
Fund | Fund Return* | Barclays Capital Intermediate Aggregate Bond Index Return (Broad Based Fixed Income Benchmark) | Russell 3000 Index Return (Broad- Based Equity Benchmark) | Composite Benchmark Return | Fund Net Assets as of 6/30/2011 (in thousands) | |||||||||||||||
JPMorgan Investor Balanced Fund, Class A (no sales charge) | 16.53% | 3.99% | 32.37% | 17.67% | $ | 2,987,599 | ||||||||||||||
JPMorgan Investor Conservative Growth Fund, Class A | 11.36% | 3.99% | 32.37% | 12.08% | 2,638,065 | |||||||||||||||
JPMorgan Investor Growth Fund, Class A (no sales charge) | 26.86% | 3.99% | 32.37% | 29.35% | 1,555,001 | |||||||||||||||
| JPMorgan Investor Growth & Income Fund, Class A (no sales charge) | 21.91% | 3.99% | 32.37% | 23.43% | 2,047,222 | |||||||||||||||
Portfolio Composition by Asset Class**
JPMorgan Investor Balanced Fund | ||||
| U.S. Equity | 42.6 | % | ||
| Fixed Income | 40.6 | |||
| Alternative Assets | 9.5 | |||
| International Equity | 6.0 | |||
| Money Market | 1.3 | |||
Investor Conservative Growth Fund | ||||
| Fixed Income | 57.9 | % | ||
| U.S. Equity | 26.1 | |||
| Alternative Assets | 10.3 | |||
| International Equity | 4.1 | |||
| Money Market | 1.6 | |||
Investor Growth Fund | ||||
| U.S. Equity | 77.9 | % | ||
| International Equity | 10.3 | |||
| Fixed Income | 6.2 | |||
| Alternative Assets | 4.8 | |||
| Money Market | 0.8 | |||
Investor Growth and Income Fund | ||||
| U.S. Equity | 59.5 | % | ||
| Fixed Income | 22.7 | |||
| Alternative Assets | 9.2 | |||
| International Equity | 7.5 | |||
| Money Market | 1.1 | |||
| * | The return shown is based on net asset value calculated for share- holder 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. |
| ** | Percentages indicated are based upon total investments as of June 30, 2011. The Fund’s composition is subject to change. |
| 2 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
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FUNDS COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
INVESTMENT OBJECTIVES*
The JPMorgan Investor Balanced Fund seeks high total return consistent with the preservation of capital by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity and fixed income securities.
The JPMorgan Investor Conservative Growth Fund seeks income and capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in fixed income and equity securities.
The JPMorgan Investor Growth Fund seeks long-term capital appreciation by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.
The JPMorgan Investor Growth & Income Fund seeks long-term capital appreciation and growth of income by investing primarily in a diversified group of mutual funds within the same group of investment companies that invest primarily in equity securities.
HOW DID THE MARKET PERFORM?
During the reporting period, investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis, political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period but stocks in most of the world’s capital markets still finished with gains.
U.S. stocks, as measured by the Russell 3000 Index, returned 32.37% for the twelve months ended June 30, 2011, outperforming international and emerging markets stocks during the reporting period. Among U.S. stocks, small-and mid-cap stocks outperformed large-cap stocks, while growth stocks outperformed value stocks across asset classes. Given investors’ increasing appetite for risk, fixed income securities underperformed stocks, as the Barclays Capital Intermediate Aggregate Bond Index returned 3.99% for the twelve months ended June 30, 2011. Emerging markets debt securities and high yield bonds (also known as “junk bonds”) were relatively strong during the reporting period, but still underperformed stocks.
WHAT WERE THE MAIN DRIVERS OF THE FUNDS’ PERFORMANCE?
Each of the J.P. Morgan Investor Funds (the “Investor Funds”) outperformed the Barclays Capital Intermediate Aggregate Bond Index, their broad based fixed income benchmark, and
underperformed the Russell 3000 Index, their broad based equity benchmark, for the twelve months ended June 30, 2011. In accordance with their model allocations, each Investor Fund allocated its assets among fixed income, equity and alternative investments. The Investor Funds’ exposure to equities drove their outperformance versus the Barclays Capital Intermediate Aggregate Bond Index as equities outperformed fixed income securities during the reporting period. Similarly, the Investor Funds’ exposure to fixed income securities drove their underperformance versus the Russell 3000 Index as fixed income securities underperformed equities during the reporting period. Each Investor Fund’s performance is also compared to blended composite benchmarks, which are constructed of different percentages of the Investor Funds’ broad based fixed income benchmark and broad based equity benchmark. These composite benchmarks correspond to each Investor Fund’s model allocation. Each Investor Fund underperformed its blended composite benchmark during the reporting period. Their relative performance was hurt by the Investor Funds’ exposure to international and emerging market stocks, which both posted strong absolute returns but underperformed U.S. stocks. The composite benchmarks only had exposure to outperforming U.S. stocks.
HOW WERE THE FUNDS POSITIONED?
Each Investor Fund invested in underlying J.P. Morgan Funds that invested in fixed income securities, equities and other alternative fixed income and equity strategies, such as below investment-grade, high-yield bonds, commodities, equity long/short and market-neutral strategies. Within each asset class, the underlying funds in which the Investor Funds invested were further diversified among large-cap, mid-cap, small-cap, and international stocks. The underlying fund mix was diversified so that no single underlying fund had a significant influence on each Investor Fund’s returns. The Investor Funds’ portfolio managers made investments for each Investor Fund based on an evaluation of three components: underlying fund selection, tactical asset allocation and strategic asset allocation. They assessed their tactical asset mix and strategic asset mix by evaluating the performance of the Investor Funds against the blended performance of the Russell 3000 Index and the Barclays Capital Intermediate Aggregate Bond Index. They determined the strategic weight for each asset class in the Investor Funds by using both three- to five-year and 10- to 15-year outlooks. They remained focused on making investments they believed would perform well over the long term, and maintained a level of volatility similar to that of each Investor Fund’s blended benchmark and their peer group.
| * | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 3 | ||||||
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JPMorgan Investor Balanced Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||
CLASS A SHARES | 12/10/96 | |||||||||
Without Sales Charge | 16.53% | 5.18% | 4.90% | |||||||
With Sales Charge* | 11.27 | 4.22 | 4.42 | |||||||
CLASS B SHARES | 12/10/96 | |||||||||
Without CDSC | 15.91 | 4.59 | 4.35 | |||||||
With CDSC** | 10.91 | 4.25 | 4.35 | |||||||
CLASS C SHARES | 7/1/97 | |||||||||
Without CDSC | 15.98 | 4.60 | 4.25 | |||||||
With CDSC*** | 14.98 | 4.60 | 4.25 | |||||||
SELECT CLASS SHARES | 12/10/96 | 16.88 | 5.46 | 5.17 | ||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Balanced Fund, the Barclays Capital Intermediate Aggregate Bond Index, the Russell 3000 Index, the Composite Benchmark and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the broad-based securities indices and the Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Mixed-Asset Target Allocation Moderate Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Intermediate Aggregate Bond Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index measures the
performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Barclays Capital Intermediate Aggregate Bond Index (50%) and the Russell 3000 Index (50%). The Lipper Mixed-Asset Target Allocation Moderate Funds Index consists of funds that by portfolio practice maintain a mix of between 40% to 60% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
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JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | 11.36 | % | 5.26 | % | 4.72 | % | ||||||||||
With Sales Charge* | 6.38 | 4.29 | 4.24 | |||||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | 10.64 | 4.67 | 4.17 | |||||||||||||
With CDSC** | 5.64 | 4.33 | 4.17 | |||||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | 10.73 | 4.67 | 4.06 | |||||||||||||
With CDSC*** | 9.73 | 4.67 | 4.06 | |||||||||||||
SELECT CLASS SHARES | 12/10/96 | 11.57 | 5.52 | 4.98 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Conservative Growth Fund, the Barclays Capital Intermediate Aggregate Bond Index, the Russell 3000 Index, the Composite Benchmark, and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the broad-based securities indices and the Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Mixed-Asset Target Allocation Conservative Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Barclays Capital Intermediate Aggregate Bond Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market
capitalization, which represents approximately 98% of the investable U.S. equity market. The Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Barclays Capital Intermediate Aggregate Bond Index (70%) and the Russell 3000 Index (30%). The Lipper Mixed-Asset Target Allocation Conservative Funds Index consists of funds that by portfolio practice maintain a mix of between 20% to 40% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 5 | ||||||
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JPMorgan Investor Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | 26.86 | % | 3.72 | % | 3.99 | % | ||||||||||
With Sales Charge* | 21.14 | 2.77 | 3.52 | |||||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | 26.20 | 3.10 | 3.44 | |||||||||||||
With CDSC** | 21.20 | 2.75 | 3.44 | |||||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | 26.11 | 3.10 | 3.32 | |||||||||||||
With CDSC*** | 25.11 | 3.10 | 3.32 | |||||||||||||
SELECT CLASS SHARES | 12/10/96 | 27.11 | 3.96 | 4.24 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Russell 3000 Index, the Barclays Capital Intermediate Aggregate Bond Index, the Composite Benchmark and the Lipper Multi-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the broad-based securities indices and the Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Core Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Barclays Capital Intermediate Aggregate Bond Index is an unmanaged index comprised of U.S. Government, mortgage,
corporate, and asset-backed securities with maturities of one to 10 years. The Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Russell 3000 Index (90%) and the Barclays Capital Intermediate Aggregate Bond Index (10%). The Lipper Multi-Cap Core Funds Index consists of funds that invest in a variety of market capitalization ranges without concentrating 75% of their equity assets in any one market capitalization range over an extended period of time. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | 21.91 | % | 4.50 | % | 4.48 | % | ||||||||||
With Sales Charge* | 16.43 | 3.54 | 4.00 | |||||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | 21.23 | 3.91 | 3.94 | |||||||||||||
With CDSC** | 16.23 | 3.56 | 3.94 | |||||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | 21.28 | 3.93 | 3.82 | |||||||||||||
With CDSC*** | 20.28 | 3.93 | 3.82 | |||||||||||||
SELECT CLASS SHARES | 12/10/96 | 22.19 | 4.78 | 4.76 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth & Income Fund, the Russell 3000 Index, the Barclays Capital Intermediate Aggregate Bond Index, the Composite Benchmark and the Lipper Mixed-Asset Target Allocation Growth Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and includes a sales charge. The performance of the broad-based securities indices and the Composite Benchmark does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Mixed-Asset Target Allocation Growth Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The Barclays Capital Intermediate Aggregate Bond Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and
asset-backed securities with maturities of one to 10 years. The Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Russell 3000 Index (70%) and the Barclays Capital Intermediate Aggregate Bond Index (30%). The Lipper Mixed-Asset Target Allocation Growth Funds Index consists of funds that by portfolio practice maintain a mix of between 60% to 80% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 7 | ||||||
Table of Contents
JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.6% (b) | |||||||
Alternative Assets — 9.5% | ||||||||
| 2,013 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 39,651 | ||||||
| 1,252 | JPMorgan Global Natural Resources Fund, Select Class Shares (a) | 19,494 | ||||||
| 17,275 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 171,198 | ||||||
| 3,529 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 53,708 | ||||||
|
| |||||||
Total Alternative Assets | 284,051 | |||||||
|
| |||||||
Fixed Income — 40.5% | ||||||||
| 24,377 | JPMorgan Core Bond Fund, Select Class Shares | 281,556 | ||||||
| 44,135 | JPMorgan Core Plus Bond Fund, Select Class Shares | 361,906 | ||||||
| 1,784 | JPMorgan Credit Opportunities Fund, Select Class Shares | 18,179 | ||||||
| 6,540 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 53,560 | ||||||
| 8,775 | JPMorgan Government Bond Fund, Select Class Shares | 96,355 | ||||||
| 25,372 | JPMorgan High Yield Fund, Select Class Shares | 208,053 | ||||||
| 3,702 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 39,019 | ||||||
| 7,768 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 73,564 | ||||||
| 6,964 | JPMorgan Short Duration Bond Fund, Select Class Shares | 76,599 | ||||||
|
| |||||||
Total Fixed Income | 1,208,791 | |||||||
|
| |||||||
International Equity — 5.9% | ||||||||
| 1,635 | JPMorgan Emerging Economies Fund, Select Class Shares | 24,474 | ||||||
| 1,115 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 27,083 | ||||||
| 5,554 | JPMorgan International Equity Index Fund, Select Class Shares | 111,197 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — Continued | ||||||||
| 688 | JPMorgan Latin America Fund, Select Class Shares (a) | 14,534 | ||||||
|
| |||||||
Total International Equity | 177,288 | |||||||
|
| |||||||
Money Market — 1.3% | ||||||||
| 38,376 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (l) | 38,376 | ||||||
|
| |||||||
U.S. Equity — 42.4% | ||||||||
| 1,220 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 19,041 | ||||||
| 9,456 | JPMorgan Intrepid America Fund, Select Class Shares | 233,847 | ||||||
| 4,929 | JPMorgan Intrepid Growth Fund, Select Class Shares | 121,007 | ||||||
| 5,753 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 93,946 | ||||||
| 1,710 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 38,149 | ||||||
| 13,471 | JPMorgan Large Cap Value Fund, Select Class Shares | 152,226 | ||||||
| 10,723 | JPMorgan Market Expansion Index Fund, Select Class Shares | 124,068 | ||||||
| 2,756 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 41,590 | ||||||
| 27,949 | JPMorgan U.S. Equity Fund, Select Class Shares | 297,654 | ||||||
| 6,860 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 146,795 | ||||||
|
| |||||||
Total U.S. Equity | 1,268,323 | |||||||
|
| |||||||
Total Investments — 99.6% | 2,976,829 | |||||||
Other Assets in Excess of | 10,770 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,987,599 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.4% (b) | |||||||
Alternative Assets — 10.2% | ||||||||
| 2,549 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 50,209 | ||||||
| 755 | JPMorgan Global Natural Resources Fund, Select Class Shares (a) | 11,757 | ||||||
| 13,816 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 136,915 | ||||||
| 4,727 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 71,947 | ||||||
|
| |||||||
Total Alternative Assets | 270,828 | |||||||
|
| |||||||
Fixed Income — 57.5% | ||||||||
| 24,374 | JPMorgan Core Bond Fund, Select Class Shares | 281,516 | ||||||
| 50,168 | JPMorgan Core Plus Bond Fund, Select Class Shares | 411,379 | ||||||
| 3,322 | JPMorgan Credit Opportunities Fund, Select Class Shares | 33,856 | ||||||
| 5,577 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 45,678 | ||||||
| 19,957 | JPMorgan Government Bond Fund, Select Class Shares | 219,124 | ||||||
| 18,416 | JPMorgan High Yield Fund, Select Class Shares | 151,012 | ||||||
| 5,542 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 58,416 | ||||||
| 15,647 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 148,174 | ||||||
| 15,412 | JPMorgan Short Duration Bond Fund, Select Class Shares | 169,533 | ||||||
|
| |||||||
Total Fixed Income | 1,518,688 | |||||||
|
| |||||||
International Equity — 4.2% | ||||||||
| 1,415 | JPMorgan Emerging Economies Fund, Select Class Shares | 21,189 | ||||||
| 923 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 22,428 | ||||||
| 2,590 | JPMorgan International Equity Index Fund, Select Class Shares | 51,858 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — Continued | ||||||||
| 624 | JPMorgan Latin America Fund, Select Class Shares (a) | 13,190 | ||||||
|
| |||||||
Total International Equity | 108,665 | |||||||
|
| |||||||
Money Market — 1.6% | ||||||||
| 42,052 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (l) | 42,052 | ||||||
|
| |||||||
U.S. Equity — 25.9% | ||||||||
| 7,177 | JPMorgan Intrepid America Fund, Select Class Shares | 177,499 | ||||||
| 2,762 | JPMorgan Intrepid Growth Fund, Select Class Shares | 67,795 | ||||||
| 2,241 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 36,601 | ||||||
| 5,396 | JPMorgan Large Cap Value Fund, Select Class Shares | 60,977 | ||||||
| 3,011 | JPMorgan Market Expansion Index Fund, Select Class Shares | 34,836 | ||||||
| 821 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 20,500 | ||||||
| 2,012 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 30,368 | ||||||
| 13,701 | JPMorgan U.S. Equity Fund, Select Class Shares | 145,913 | ||||||
| 4,076 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 87,226 | ||||||
| 1,042 | JPMorgan Value Advantage Fund, Select Class Shares | 19,921 | ||||||
|
| |||||||
Total U.S. Equity | 681,636 | |||||||
|
| |||||||
Total Investments — 99.4% | 2,621,869 | |||||||
Other Assets in Excess of | 16,196 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,638,065 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 9 | ||||||
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.9% (b) | |||||||
Alternative Assets — 4.8% | ||||||||
| 849 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 16,731 | ||||||
| 502 | JPMorgan Global Natural Resources Fund, Select Class Shares (a) | 7,811 | ||||||
| 3,396 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 33,655 | ||||||
| 1,043 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 15,879 | ||||||
|
| |||||||
Total Alternative Assets | 74,076 | |||||||
|
| |||||||
Fixed Income — 6.1% | ||||||||
| 688 | JPMorgan Core Plus Bond Fund, Select Class Shares | 5,642 | ||||||
| 659 | JPMorgan Credit Opportunities Fund, Select Class Shares | 6,713 | ||||||
| 3,681 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 30,145 | ||||||
| 196 | JPMorgan Government Bond Fund, Select Class Shares | 2,150 | ||||||
| 4,085 | JPMorgan High Yield Fund, Select Class Shares | 33,500 | ||||||
| 1,404 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 14,795 | ||||||
| 343 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 3,245 | ||||||
|
| |||||||
Total Fixed Income | 96,190 | |||||||
|
| |||||||
International Equity — 10.4% | ||||||||
| 817 | JPMorgan Emerging Economies Fund, Select Class Shares | 12,238 | ||||||
| 635 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 15,419 | ||||||
| 2,577 | JPMorgan International Equity Fund, Select Class Shares | 37,157 | ||||||
| 4,390 | JPMorgan International Equity Index Fund, Select Class Shares | 87,882 | ||||||
| 374 | JPMorgan Latin America Fund, Select Class Shares (a) | 7,899 | ||||||
|
| |||||||
Total International Equity | 160,595 | |||||||
|
| |||||||
Money Market — 0.8% | ||||||||
| 12,247 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (l) | 12,247 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — 77.8% | ||||||||
| 533 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 8,326 | ||||||
| 8,108 | JPMorgan Intrepid America Fund, Select Class Shares | 200,506 | ||||||
| 3,931 | JPMorgan Intrepid Growth Fund, Select Class Shares | 96,503 | ||||||
| 3,988 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 65,123 | ||||||
| 6,663 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 148,641 | ||||||
| 17,340 | JPMorgan Large Cap Value Fund, Select Class Shares | 195,941 | ||||||
| 8,452 | JPMorgan Market Expansion Index Fund, Select Class Shares | 97,787 | ||||||
| 378 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 9,448 | ||||||
| 2,548 | JPMorgan Small Cap Value Fund, Select Class Shares | 50,501 | ||||||
| 1,372 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 20,710 | ||||||
| 22,021 | JPMorgan U.S. Equity Fund, Select Class Shares | 234,529 | ||||||
| 3,428 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 73,360 | ||||||
| 493 | JPMorgan Value Advantage Fund, Select Class Shares | 9,424 | ||||||
|
| |||||||
Total U.S. Equity | 1,210,799 | |||||||
|
| |||||||
Total Investments — 99.9% | 1,553,907 | |||||||
Other Assets in Excess of | 1,094 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,555,001 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.1% (b) |
| ||||||
Alternative Assets — 9.1% | ||||||||
| 1,086 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 21,389 | ||||||
| 687 | JPMorgan Global Natural Resources Fund, Select Class Shares (a) | 10,700 | ||||||
| 11,849 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 117,421 | ||||||
| 2,612 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 39,750 | ||||||
|
| |||||||
Total Alternative Assets | 189,260 | |||||||
|
| |||||||
Fixed Income — 22.7% | ||||||||
| 9,879 | JPMorgan Core Bond Fund, Select Class Shares | 114,101 | ||||||
| 19,277 | JPMorgan Core Plus Bond Fund, Select Class Shares | 158,073 | ||||||
| 865 | JPMorgan Credit Opportunities Fund, Select Class Shares | 8,817 | ||||||
| 4,277 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 35,027 | ||||||
| 15,851 | JPMorgan High Yield Fund, Select Class Shares | 129,976 | ||||||
| 1,897 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 19,998 | ||||||
|
| |||||||
Total Fixed Income | 465,992 | |||||||
|
| |||||||
International Equity — 7.6% | ||||||||
| 1,110 | JPMorgan Emerging Economies Fund, Select Class Shares | 16,616 | ||||||
| 801 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 19,455 | ||||||
| 1,850 | JPMorgan International Equity Fund, Select Class Shares | 26,674 | ||||||
| 4,041 | JPMorgan International Equity Index Fund, Select Class Shares | 80,902 | ||||||
| 464 | JPMorgan Latin America Fund, Select Class Shares (a) | 9,802 | ||||||
|
| |||||||
Total International Equity | 153,449 | |||||||
|
| |||||||
Money Market — 1.1% | ||||||||
| 21,538 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.050% (l) | 21,538 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — 59.6% | ||||||||
| 786 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 12,271 | ||||||
| 9,947 | JPMorgan Intrepid America Fund, Select Class Shares | 245,989 | ||||||
| 3,566 | JPMorgan Intrepid Growth Fund, Select Class Shares | 87,538 | ||||||
| 2,622 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 42,812 | ||||||
| 5,634 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 125,701 | ||||||
| 15,182 | JPMorgan Large Cap Value Fund, Select Class Shares | 171,558 | ||||||
| 9,071 | JPMorgan Market Expansion Index Fund, Select Class Shares | 104,955 | ||||||
| 549 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 13,715 | ||||||
| 2,212 | JPMorgan Small Cap Value Fund, Select Class Shares | 43,848 | ||||||
| 1,622 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 24,480 | ||||||
| 22,413 | JPMorgan U.S. Equity Fund, Select Class Shares | 238,695 | ||||||
| 4,417 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 94,521 | ||||||
| 712 | JPMorgan Value Advantage Fund, Select Class Shares | 13,619 | ||||||
|
| |||||||
Total U.S. Equity | 1,219,702 | |||||||
|
| |||||||
Total Investments — 100.1% | 2,049,941 | |||||||
Liabilities in Excess of | (2,719 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,047,222 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 11 | ||||||
Table of Contents
J.P. Morgan Investor Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (l) | — The rate shown is the current yield as of June 30, 2011. |
The financial statements of the underlying affiliated funds in which the Funds invest should be read in conjunction with the Funds’ financial statements.
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 13 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011
(Amounts in thousands, except per share amounts)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in affiliates, at value | $ | 2,976,829 | $ | 2,621,869 | $ | 1,553,907 | $ | 2,049,941 | ||||||||
Cash | 10 | 4 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | — | — | — | 1,749 | ||||||||||||
Fund shares sold | 13,324 | 19,615 | 3,828 | 6,101 | ||||||||||||
Interest and dividends | 6,184 | 5,601 | 2,955 | 4,384 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 2,996,347 | 2,647,089 | 1,560,690 | 2,062,175 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 985 | 384 | 158 | 295 | ||||||||||||
Investment securities purchased | — | — | — | 9,750 | ||||||||||||
Fund shares redeemed | 5,948 | 7,014 | 4,159 | 3,414 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 121 | 107 | 62 | 82 | ||||||||||||
Administration fees | 166 | 146 | 73 | 113 | ||||||||||||
Shareholder servicing fees | 177 | 163 | 41 | 93 | ||||||||||||
Distribution fees | 820 | 904 | 424 | 567 | ||||||||||||
Custodian and accounting fees | 10 | 15 | 16 | 7 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 4 | 4 | 5 | ||||||||||||
Transfer agent fees | 390 | 226 | 570 | 480 | ||||||||||||
Other | 130 | 61 | 182 | 147 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 8,748 | 9,024 | 5,689 | 14,953 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 2,987,599 | $ | 2,638,065 | $ | 1,555,001 | $ | 2,047,222 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid in capital | $ | 2,785,870 | $ | 2,510,754 | $ | 1,446,059 | $ | 1,930,978 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (40 | ) | 5 | (32 | ) | (44 | ) | |||||||||
Accumulated net realized gains (losses) | (110,527 | ) | (52,488 | ) | (116,089 | ) | (155,446 | ) | ||||||||
Net unrealized appreciation (depreciation) | 312,296 | 179,794 | 225,063 | 271,734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 2,987,599 | $ | 2,638,065 | $ | 1,555,001 | $ | 2,047,222 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 2,104,717 | $ | 1,589,494 | $ | 1,089,221 | $ | 1,443,240 | ||||||||
Class B | 235,961 | 116,375 | 213,785 | 270,833 | ||||||||||||
Class C | 415,301 | 843,076 | 128,944 | 186,625 | ||||||||||||
Select Class | 231,620 | 89,120 | 123,051 | 146,524 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 2,987,599 | $ | 2,638,065 | $ | 1,555,001 | $ | 2,047,222 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 167,250 | 139,480 | 77,054 | 108,662 | ||||||||||||
Class B | 18,766 | 10,205 | 15,438 | 20,492 | ||||||||||||
Class C | 33,385 | 74,226 | 9,473 | 14,349 | ||||||||||||
Select Class | 18,383 | 7,793 | 8,572 | 11,169 | ||||||||||||
Net Asset Value: | ||||||||||||||||
Class A — Redemption price per share | $ | 12 .58 | $ | 11 .40 | $ | 14 .14 | $ | 13 .28 | ||||||||
Class B — Offering price per share (a) | 12 .57 | 11 .40 | 13 .85 | 13 .22 | ||||||||||||
Class C — Offering price per share (a) | 12 .44 | 11 .36 | 13 .61 | 13 .01 | ||||||||||||
Select Class — Offering and redemption price per share | 12 .60 | 11 .44 | 14 .35 | 13 .12 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | $ | 13 .17 | $ | 11 .94 | $ | 14 .81 | $ | 13 .91 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | 2,664,533 | 2,442,075 | 1,328,844 | 1,778,207 | ||||||||||||
| (a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 15 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2011
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from affiliates | $ | 60,548 | $ | 56,009 | $ | 15,983 | $ | 34,413 | ||||||||
Other income | 411 | 79 | 694 | 836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 60,959 | 56,088 | 16,677 | 35,249 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,263 | 1,018 | 694 | 907 | ||||||||||||
Administration fees | 1,648 | 1,497 | 1,074 | 1,287 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 4,381 | 3,154 | 2,368 | 3,073 | ||||||||||||
Class B | 2,026 | 1,013 | 1,754 | 2,293 | ||||||||||||
Class C | 2,288 | 4,244 | 800 | 1,129 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 4,381 | 3,154 | 2,368 | 3,073 | ||||||||||||
Class B | 675 | 338 | 585 | 764 | ||||||||||||
Class C | 762 | 1,415 | 267 | 376 | ||||||||||||
Select Class | 494 | 186 | 249 | 320 | ||||||||||||
Custodian and accounting fees | 28 | 26 | 29 | 26 | ||||||||||||
Professional fees | 63 | 59 | 49 | 51 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 16 | 12 | 9 | 12 | ||||||||||||
Printing and mailing costs | 321 | 189 | 263 | 284 | ||||||||||||
Registration and filing fees | 131 | 190 | 99 | 96 | ||||||||||||
Transfer agent fees | 1,186 | 651 | 1,331 | 1,194 | ||||||||||||
Other | 50 | 33 | 38 | 38 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 19,713 | 17,179 | 11,977 | 14,923 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (4,597 | ) | (3,652 | ) | (3,379 | ) | (3,705 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 15,116 | 13,527 | 8,598 | 11,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 45,843 | 42,561 | 8,079 | 24,031 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | (1,259 | ) | (623 | ) | (2,942 | ) | 1,383 | |||||||||
Distributions of realized gains by investment company affiliates | 1,299 | 945 | 462 | 890 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 40 | 322 | (2,480 | ) | 2,273 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of investments in affiliates | 311,746 | 149,813 | 303,641 | 310,921 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 311,786 | 150,135 | 301,161 | 313,194 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 357,629 | $ | 192,696 | $ | 309,240 | $ | 337,225 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 45,843 | $ | 41,175 | $ | 42,561 | $ | 29,628 | ||||||||
Net realized gain (loss) on investments in affiliates | (1,259 | ) | (27,745 | ) | (623 | ) | (12,138 | ) | ||||||||
Distributions of realized gains by investment company affiliates | 1,299 | 90 | 945 | 52 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 311,746 | 157,100 | 149,813 | 72,743 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 357,629 | 170,620 | 192,696 | 90,285 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (34,094 | ) | (28,476 | ) | (28,821 | ) | (19,758 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (3,548 | ) | (5,612 | ) | (2,298 | ) | (3,590 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (4,557 | ) | (3,206 | ) | (10,083 | ) | (4,869 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (4,294 | ) | (3,972 | ) | (1,842 | ) | (1,692 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (46,493 | ) | (41,266 | ) | (43,044 | ) | (29,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 600,320 | 483,470 | 1,012,877 | 617,548 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 911,456 | 612,824 | 1,162,529 | 677,924 | ||||||||||||
Beginning of period | 2,076,143 | 1,463,319 | 1,475,536 | 797,612 | ||||||||||||
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|
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| |||||||||
End of period | $ | 2,987,599 | $ | 2,076,143 | $ | 2,638,065 | $ | 1,475,536 | ||||||||
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|
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|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (40 | ) | $ | (37 | ) | $ | 5 | $ | 11 | ||||||
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|
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|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 17 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 8,079 | $ | 7,570 | $ | 24,031 | $ | 23,863 | ||||||||
Net realized gain (loss) on investments in affiliates | (2,942 | ) | (37,290 | ) | 1,383 | (32,497 | ) | |||||||||
Distributions of realized gains by investment company affiliates | 462 | 57 | 890 | 74 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 303,641 | 155,466 | 310,921 | 178,464 | ||||||||||||
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|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 309,240 | 125,803 | 337,225 | 169,904 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (6,542 | ) | (5,251 | ) | (18,124 | ) | (16,324 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (560 | ) | (1,320 | ) | (2,656 | ) | (4,198 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (274 | ) | (375 | ) | (1,486 | ) | (1,291 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (928 | ) | (682 | ) | (2,206 | ) | (2,125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (8,304 | ) | (7,628 | ) | (24,472 | ) | (23,938 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 91,548 | 73,512 | 186,583 | 100,934 | ||||||||||||
|
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|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 392,484 | 191,687 | 499,336 | 246,900 | ||||||||||||
Beginning of period | 1,162,517 | 970,830 | 1,547,886 | 1,300,986 | ||||||||||||
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| |||||||||
End of period | $ | 1,555,001 | $ | 1,162,517 | $ | 2,047,222 | $ | 1,547,886 | ||||||||
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|
|
|
|
| |||||||||
Accumulated distributions in excess of net investment income | $ | (32 | ) | $ | (26 | ) | $ | (44 | ) | $ | (38 | ) | ||||
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|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 911,333 | $ | 692,297 | $ | 910,497 | $ | 571,022 | ||||||||
Dividends and distributions reinvested | 32,173 | 26,781 | 26,639 | 18,177 | ||||||||||||
Cost of shares redeemed | (464,581 | ) | (283,616 | ) | (369,085 | ) | (177,728 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 478,925 | $ | 435,462 | $ | 568,051 | $ | 411,471 | ||||||||
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|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | 10,328 | 11,608 | 10,510 | 9,347 | ||||||||||||
Dividends and distributions reinvested | 3,451 | 5,441 | 2,207 | 3,419 | ||||||||||||
Cost of shares redeemed | (103,233 | ) | (105,576 | ) | (53,962 | ) | (48,474 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (89,454 | ) | $ | (88,527 | ) | $ | (41,245 | ) | $ | (35,708 | ) | ||||
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|
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|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 244,314 | 136,343 | 614,085 | 268,129 | ||||||||||||
Dividends and distributions reinvested | 4,206 | 2,915 | 9,202 | 4,443 | ||||||||||||
Cost of shares redeemed | (83,866 | ) | (38,330 | ) | (159,839 | ) | (47,091 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 164,654 | $ | 100,928 | $ | 463,448 | $ | 225,481 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 89,071 | 89,499 | 42,405 | 27,728 | ||||||||||||
Dividends and distributions reinvested | 2,429 | 1,425 | 1,012 | 586 | ||||||||||||
Cost of shares redeemed | (45,305 | ) | (55,317 | ) | (20,794 | ) | (12,010 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 46,195 | $ | 35,607 | $ | 22,623 | $ | 16,304 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 600,320 | $ | 483,470 | $ | 1,012,877 | $ | 617,548 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 74,647 | 61,417 | 81,610 | 54,119 | ||||||||||||
Reinvested | 2,621 | 2,378 | 2,381 | 1,730 | ||||||||||||
Redeemed | (38,299 | ) | (25,182 | ) | (33,055 | ) | (16,875 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 38,969 | 38,613 | 50,936 | 38,974 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 851 | 1,041 | 945 | 889 | ||||||||||||
Reinvested | 283 | 484 | 198 | 326 | ||||||||||||
Redeemed | (8,538 | ) | (9,470 | ) | (4,840 | ) | (4,630 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (7,404 | ) | (7,945 | ) | (3,697 | ) | (3,415 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 20,096 | 12,215 | 54,963 | 25,393 | ||||||||||||
Reinvested | 345 | 262 | 823 | 423 | ||||||||||||
Redeemed | (6,969 | ) | (3,438 | ) | (14,318 | ) | (4,479 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 13,472 | 9,039 | 41,468 | 21,337 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 7,278 | 8,023 | 3,769 | 2,666 | ||||||||||||
Reinvested | 198 | 127 | 90 | 56 | ||||||||||||
Redeemed | (3,712 | ) | (4,952 | ) | (1,853 | ) | (1,135 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 3,764 | 3,198 | 2,006 | 1,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 19 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 319,346 | $ | 274,434 | $ | 495,870 | $ | 393,226 | ||||||||
Dividends and distributions reinvested | 6,345 | 5,083 | 17,581 | 15,840 | ||||||||||||
Cost of shares redeemed | (209,622 | ) | (149,866 | ) | (286,725 | ) | (217,534 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 116,069 | $ | 129,651 | $ | 226,726 | $ | 191,532 | ||||||||
|
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|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | 3,761 | 6,276 | 5,663 | 8,553 | ||||||||||||
Dividends and distributions reinvested | 550 | 1,295 | 2,603 | 4,112 | ||||||||||||
Cost of shares redeemed | (77,822 | ) | (95,246 | ) | (111,264 | ) | (119,843 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (73,511 | ) | $ | (87,675 | ) | $ | (102,998 | ) | $ | (107,178 | ) | ||||
|
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|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 49,459 | 32,064 | 77,947 | 51,818 | ||||||||||||
Dividends and distributions reinvested | 241 | 316 | 1,279 | 1,056 | ||||||||||||
Cost of shares redeemed | (25,787 | ) | (16,085 | ) | (36,602 | ) | (21,417 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 23,913 | $ | 16,295 | $ | 42,624 | $ | 31,457 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | 44,870 | 34,609 | 37,959 | 29,980 | ||||||||||||
Dividends and distributions reinvested | 430 | 132 | 1,795 | 730 | ||||||||||||
Cost of shares redeemed | (20,223 | ) | (19,500 | ) | (19,523 | ) | (45,587 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 25,077 | $ | 15,241 | $ | 20,231 | $ | (14,877 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 91,548 | $ | 73,512 | $ | 186,583 | $ | 100,934 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 23,839 | 23,211 | 38,884 | 34,261 | ||||||||||||
Reinvested | 466 | 426 | 1,369 | 1,378 | ||||||||||||
Redeemed | (15,849 | ) | (12,714 | ) | (22,783 | ) | (18,938 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 8,456 | 10,923 | 17,470 | 16,701 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 284 | 556 | 448 | 758 | ||||||||||||
Reinvested | 42 | 109 | 205 | 359 | ||||||||||||
Redeemed | (6,027 | ) | (8,279 | ) | (8,888 | ) | (10,573 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (5,701 | ) | (7,614 | ) | (8,235 | ) | (9,456 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 3,805 | 2,812 | 6,195 | 4,591 | ||||||||||||
Reinvested | 18 | 27 | 102 | 94 | ||||||||||||
Redeemed | (2,019 | ) | (1,414 | ) | (2,964 | ) | (1,907 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,804 | 1,425 | 3,333 | 2,778 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 3,279 | 2,934 | 3,035 | 2,692 | ||||||||||||
Reinvested | 31 | 11 | 141 | 64 | ||||||||||||
Redeemed | (1,528 | ) | (1,696 | ) | (1,577 | ) | (4,127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 1,782 | 1,249 | 1,599 | (1,371 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 21 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance |
| |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 11.00 | $ | 0.23 | $ | 1.58 | $ | 1.81 | $ | (0.23 | ) | $ | — | $(0.23) | ||||||||||||||
Year Ended June 30, 2010 | 10.03 | 0.26 | 0.97 | 1.23 | (0.26 | ) | — | (0.26) | ||||||||||||||||||||
Year Ended June 30, 2009 | 11.90 | 0.31 | (1.54 | ) | (1.23 | ) | (0.31 | ) | (0.33 | ) | (0.64) | |||||||||||||||||
Year Ended June 30, 2008 | 13.18 | 0.40 | (0.77 | ) | (0.37 | ) | (0.56 | ) | (0.35 | ) | (0.91) | |||||||||||||||||
Year Ended June 30, 2007 | 12.36 | 0.36 | 1.18 | 1.54 | (0.41 | ) | (0.31 | ) | (0.72) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.99 | 0.17 | 1.57 | 1.74 | (0.16 | ) | — | (0.16) | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.01 | 0.20 | 0.97 | 1.17 | (0.19 | ) | — | (0.19) | ||||||||||||||||||||
Year Ended June 30, 2009 | 11.88 | 0.26 | (1.55 | ) | (1.29 | ) | (0.25 | ) | (0.33 | ) | (0.58) | |||||||||||||||||
Year Ended June 30, 2008 | 13.16 | 0.31 | (0.76 | ) | (0.45 | ) | (0.48 | ) | (0.35 | ) | (0.83) | |||||||||||||||||
Year Ended June 30, 2007 | 12.34 | 0.28 | 1.18 | 1.46 | (0.33 | ) | (0.31 | ) | (0.64) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.88 | 0.17 | 1.56 | 1.73 | (0.17 | ) | — | (0.17) | ||||||||||||||||||||
Year Ended June 30, 2010 | 9.93 | 0.20 | 0.95 | 1.15 | (0.20 | ) | — | (0.20) | ||||||||||||||||||||
Year Ended June 30, 2009 | 11.79 | 0.25 | (1.53 | ) | (1.28 | ) | (0.25 | ) | (0.33 | ) | (0.58) | |||||||||||||||||
Year Ended June 30, 2008 | 13.07 | 0.32 | (0.76 | ) | (0.44 | ) | (0.49 | ) | (0.35 | ) | (0.84) | |||||||||||||||||
Year Ended June 30, 2007 | 12.26 | 0.28 | 1.18 | 1.46 | (0.34 | ) | (0.31 | ) | (0.65) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 11.01 | 0.26 | 1.59 | 1.85 | (0.26 | ) | — | (0.26) | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.04 | 0.28 | 0.97 | 1.25 | (0.28 | ) | — | (0.28) | ||||||||||||||||||||
Year Ended June 30, 2009 | 11.91 | 0.34 | (1.54 | ) | (1.20 | ) | (0.34 | ) | (0.33 | ) | (0.67) | |||||||||||||||||
Year Ended June 30, 2008 | 13.19 | 0.45 | (0.79 | ) | (0.34 | ) | (0.59 | ) | (0.35 | ) | (0.94) | |||||||||||||||||
Year Ended June 30, 2007 | 12.36 | 0.37 | 1.21 | 1.58 | (0.44 | ) | (0.31 | ) | (0.75) | |||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Represents only expenses of the Fund, not of the Underlying Funds in which the Fund invests. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Includes a gain incurred from a payment by an affiliate and a settlement payment. Without these payments, the total return for Class A, Class B, Class C and Select Class would have been (3.15)%, (3.72)%, (3.72)%, and (2.90)%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes | Net assets, end of period (000’s) | Net expenses (b)(c) | Net investment income (loss) (d) | without waivers, | Portfolio turnover rate | ||||||||||||||||||||
| $ | 12.58 | 16.53 | % | $ | 2,104,717 | 0.50 | % | 1.92 | % | 0.69 | % | 5 | % | |||||||||||||
| 11.00 | 12.19 | 1,410,998 | 0.50 | 2.34 | 0.71 | 12 | ||||||||||||||||||||
| 10.03 | (9.91 | ) | 899,136 | 0.50 | 3.10 | 0.75 | 24 | |||||||||||||||||||
| 11.90 | (3.06 | )(e) | 1,081,145 | 0.46 | 3.09 | 0.68 | 26 | |||||||||||||||||||
| 13.18 | 12.74 | 1,062,281 | 0.47 | 2.76 | 0.70 | 13 | ||||||||||||||||||||
| 12.57 | 15.91 | 235,961 | 1.02 | 1.37 | 1.19 | 5 | ||||||||||||||||||||
| 10.99 | 11.66 | 287,519 | 1.05 | 1.75 | 1.21 | 12 | ||||||||||||||||||||
| 10.01 | (10.47 | ) | 341,604 | 1.08 | 2.49 | 1.25 | 24 | |||||||||||||||||||
| 11.88 | (3.64 | )(e) | 517,262 | 1.04 | 2.48 | 1.19 | 26 | |||||||||||||||||||
| 13.16 | 12.09 | 624,375 | 1.05 | 2.15 | 1.20 | 13 | ||||||||||||||||||||
| 12.44 | 15.98 | 415,301 | 1.02 | 1.40 | 1.19 | 5 | ||||||||||||||||||||
| 10.88 | 11.55 | 216,667 | 1.05 | 1.80 | 1.21 | 12 | ||||||||||||||||||||
| 9.93 | (10.44 | ) | 107,948 | 1.08 | 2.50 | 1.25 | 24 | |||||||||||||||||||
| 11.79 | (3.63 | )(e) | 134,639 | 1.04 | 2.52 | 1.19 | 26 | |||||||||||||||||||
| 13.07 | 12.12 | 125,825 | 1.05 | 2.17 | 1.20 | 13 | ||||||||||||||||||||
| 12.60 | 16.88 | 231,620 | 0.25 | 2.15 | 0.44 | 5 | ||||||||||||||||||||
| 11.01 | 12.44 | 160,959 | 0.25 | 2.60 | 0.46 | 12 | ||||||||||||||||||||
| 10.04 | (9.67 | ) | 114,631 | 0.25 | 3.37 | 0.50 | 24 | |||||||||||||||||||
| 11.91 | (2.82 | )(e) | 140,188 | 0.21 | 3.28 | 0.43 | 26 | |||||||||||||||||||
| 13.19 | 13.09 | 108,184 | 0.22 | 3.03 | 0.45 | 13 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 23 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 10.47 | $ | 0.25 | $ | 0.93 | $ | 1.18 | $ | (0.25 | ) | $ | — | $ | (0.25 | ) | ||||||||||||
Year Ended June 30, 2010 | 9.67 | 0.29 | 0.80 | 1.09 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 10.56 | 0.34 | (0.81 | ) | (0.47 | ) | (0.34 | ) | (0.08 | ) | (0.42 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 11.29 | 0.41 | (e) | (0.44 | ) | (0.03 | ) | (0.50 | ) | (0.20 | ) | (0.70 | ) | |||||||||||||||
Year Ended June 30, 2007 | 10.98 | 0.38 | 0.62 | 1.00 | (0.41 | ) | (0.28 | ) | (0.69 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.48 | 0.18 | 0.93 | 1.11 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Year Ended June 30, 2010 | 9.67 | 0.23 | 0.81 | 1.04 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 10.56 | 0.28 | (0.81 | ) | (0.53 | ) | (0.28 | ) | (0.08 | ) | (0.36 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 11.30 | 0.35 | (e) | (0.46 | ) | (0.11 | ) | (0.43 | ) | (0.20 | ) | (0.63 | ) | |||||||||||||||
Year Ended June 30, 2007 | 10.98 | 0.32 | 0.62 | 0.94 | (0.34 | ) | (0.28 | ) | (0.62 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.44 | 0.19 | 0.92 | 1.11 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||
Year Ended June 30, 2010 | 9.64 | 0.23 | 0.81 | 1.04 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 10.53 | 0.28 | (0.81 | ) | (0.53 | ) | (0.28 | ) | (0.08 | ) | (0.36 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 11.27 | 0.35 | (e) | (0.45 | ) | (0.10 | ) | (0.44 | ) | (0.20 | ) | (0.64 | ) | |||||||||||||||
Year Ended June 30, 2007 | 10.96 | 0.32 | 0.62 | 0.94 | (0.35 | ) | (0.28 | ) | (0.63 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.51 | 0.27 | 0.94 | 1.21 | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||||
Year Ended June 30, 2010 | 9.70 | 0.30 | 0.83 | 1.13 | (0.32 | ) | — | (0.32 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 10.59 | 0.37 | (0.82 | ) | (0.45 | ) | (0.36 | ) | (0.08 | ) | (0.44 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 11.33 | 0.43 | (e) | (0.45 | ) | (0.02 | ) | (0.52 | ) | (0.20 | ) | (0.72 | ) | |||||||||||||||
Year Ended June 30, 2007 | 11.01 | 0.41 | 0.62 | 1.03 | (0.43 | ) | (0.28 | ) | (0.71 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Represents only expenses of the Fund, not of the Underlying Funds in which the Fund invests. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes a gain incurred resulting from a payment by an affiliate and a settlement payment. Without these payments, the total return for Class A and Select Class would have been (0.48)% and (0.30)%, respectively. The effect is less than 0.01% on total return for Class B and Class C. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes | Net assets, end of period (000’s) | Net expenses (b)(c) |
Net | Expenses without waivers, | Portfolio turnover rate | ||||||||||||||||||||
| $ | 11.40 | 11.36 | % | $ | 1,589,494 | 0.50 | % | 2.26 | % | 0.68 | % | 3 | % | |||||||||||||
| 10.47 | 11.32 | 927,164 | 0.50 | 2.78 | 0.72 | 11 | ||||||||||||||||||||
| 9.67 | (4.25 | ) | 479,238 | 0.50 | 3.56 | 0.76 | 32 | |||||||||||||||||||
| 10.56 | 0.38 | (f) | 489,374 | 0.50 | 3.74 | 0.71 | 27 | |||||||||||||||||||
| 11.29 | 9.28 | 423,663 | 0.50 | 3.39 | 0.72 | 12 | ||||||||||||||||||||
| 11.40 | 10.64 | 116,375 | 1.02 | 1.69 | 1.18 | 3 | ||||||||||||||||||||
| 10.48 | 10.80 | 145,639 | 1.06 | 2.17 | 1.22 | 11 | ||||||||||||||||||||
| 9.67 | (4.80 | ) | 167,499 | 1.09 | 2.96 | 1.26 | 32 | |||||||||||||||||||
| 10.56 | (1.04 | )(f) | 218,437 | 1.06 | 3.13 | 1.21 | 27 | |||||||||||||||||||
| 11.30 | 8.76 | 242,016 | 1.06 | 2.79 | 1.22 | 12 | ||||||||||||||||||||
| 11.36 | 10.73 | 843,076 | 1.01 | 1.76 | 1.18 | 3 | ||||||||||||||||||||
| 10.44 | 10.78 | 341,942 | 1.06 | 2.25 | 1.22 | 11 | ||||||||||||||||||||
| 9.64 | (4.82 | ) | 110,141 | 1.09 | 2.96 | 1.26 | 32 | |||||||||||||||||||
| 10.53 | (1.01 | )(f) | 128,991 | 1.06 | 3.20 | 1.21 | 27 | |||||||||||||||||||
| 11.27 | 8.73 | 85,153 | 1.06 | 2.85 | 1.22 | 12 | ||||||||||||||||||||
| 11.44 | 11.57 | 89,120 | 0.25 | 2.48 | 0.43 | 3 | ||||||||||||||||||||
| 10.51 | 11.66 | 60,791 | 0.25 | 3.03 | 0.47 | 11 | ||||||||||||||||||||
| 9.70 | (4.01 | ) | 40,734 | 0.25 | 3.80 | 0.51 | 32 | |||||||||||||||||||
| 10.59 | (0.21 | )(f) | 50,698 | 0.25 | 3.89 | 0.46 | 27 | |||||||||||||||||||
| 11.33 | 9.61 | 33,282 | 0.25 | 3.65 | 0.47 | 12 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 25 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Growth Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 11.22 | $ | 0.09 | (e) | $ | 2.92 | $ | 3.01 | $ | (0.09 | ) | $ | — | $ | (0.09 | ) | |||||||||||
Year Ended June 30, 2010 | 9.94 | 0.10 | (e) | 1.26 | 1.36 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 14.23 | 0.15 | (e) | (3.44 | ) | (3.29 | ) | (0.16 | ) | (0.84 | ) | (1.00 | ) | |||||||||||||||
Year Ended June 30, 2008 | 17.03 | 0.22 | (e) | (1.71 | ) | (1.49 | ) | (0.64 | ) | (0.67 | ) | (1.31 | ) | |||||||||||||||
Year Ended June 30, 2007 | 15.10 | 0.19 | 2.54 | 2.73 | (0.33 | ) | (0.47 | ) | (0.80 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 11.00 | 0.02 | (e) | 2.86 | 2.88 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.79 | 0.02 | (e) | 1.24 | 1.26 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 14.03 | 0.08 | (e) | (3.39 | ) | (3.31 | ) | (0.09 | ) | (0.84 | ) | (0.93 | ) | |||||||||||||||
Year Ended June 30, 2008 | 16.81 | 0.13 | (e) | (1.69 | ) | (1.56 | ) | (0.55 | ) | (0.67 | ) | (1.22 | ) | |||||||||||||||
Year Ended June 30, 2007 | 14.92 | 0.08 | 2.52 | 2.60 | (0.24 | ) | (0.47 | ) | (0.71 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.82 | 0.02 | (e) | 2.80 | 2.82 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.62 | 0.03 | (e) | 1.22 | 1.25 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 13.82 | 0.08 | (e) | (3.34 | ) | (3.26 | ) | (0.10 | ) | (0.84 | ) | (0.94 | ) | |||||||||||||||
Year Ended June 30, 2008 | 16.58 | 0.13 | (e) | (1.67 | ) | (1.54 | ) | (0.55 | ) | (0.67 | ) | (1.22 | ) | |||||||||||||||
Year Ended June 30, 2007 | 14.73 | 0.09 | 2.48 | 2.57 | (0.25 | ) | (0.47 | ) | (0.72 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 11.39 | 0.13 | (e) | 2.95 | 3.08 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 10.09 | 0.13 | (e) | 1.28 | 1.41 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 14.42 | 0.17 | (e) | (3.48 | ) | (3.31 | ) | (0.18 | ) | (0.84 | ) | (1.02 | ) | |||||||||||||||
Year Ended June 30, 2008 | 17.24 | 0.27 | (e) | (1.74 | ) | (1.47 | ) | (0.68 | ) | (0.67 | ) | (1.35 | ) | |||||||||||||||
Year Ended June 30, 2007 | 15.27 | 0.22 | 2.59 | 2.81 | (0.37 | ) | (0.47 | ) | (0.84 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Represents only expenses of the Fund, not of the Underlying Funds in which the Fund invests. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes a gain incurred resulting from a payment by an affiliate and a settlement payment. Without these payments, the total return for Class A, Class B, Class C and Select Class would have been (9.56)%, (10.10)%,(10.09)%, and (9.34)%, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes | Net assets, end of period (000’s) | Net expenses (b)(c) | Net investment income (loss) (d) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 14.14 | 26.86 | % | $ | 1,089,221 | 0.50 | % | 0.71 | % | 0.76 | % | 15 | % | |||||||||||||
| 11.22 | 13.67 | 769,574 | 0.50 | 0.81 | 0.79 | 15 | ||||||||||||||||||||
| 9.94 | (22 .41 | ) | 573,470 | 0.50 | 1.45 | 0.88 | 23 | |||||||||||||||||||
| 14.23 | (9.41 | )(f) | 708,064 | 0.50 | 1.42 | 0.73 | 25 | |||||||||||||||||||
| 17.03 | 18 .41 | 735,824 | 0.50 | 1.13 | 0.75 | 15 | ||||||||||||||||||||
| 13.85 | 26.20 | 213,785 | 1.06 | 0.12 | 1.26 | 15 | ||||||||||||||||||||
| 11.00 | 12.85 | 232,624 | 1.10 | 0.20 | 1.30 | 15 | ||||||||||||||||||||
| 9.79 | (22.85 | ) | 281,372 | 1.11 | 0.80 | 1.37 | 23 | |||||||||||||||||||
| 14.03 | (9.95 | )(f) | 481,947 | 1.07 | 0.86 | 1.23 | 25 | |||||||||||||||||||
| 16.81 | 17.75 | 638,693 | 1.07 | 0.54 | 1.25 | 15 | ||||||||||||||||||||
| 13.61 | 26.11 | 128,944 | 1.06 | 0.15 | 1.26 | 15 | ||||||||||||||||||||
| 10.82 | 12.99 | 82,981 | 1.09 | 0.22 | 1.29 | 15 | ||||||||||||||||||||
| 9.62 | (22.89 | ) | 60,098 | 1.11 | 0.80 | 1.37 | 23 | |||||||||||||||||||
| 13.82 | (9.94 | )(f) | 87,048 | 1.07 | 0.86 | 1.23 | 25 | |||||||||||||||||||
| 16.58 | 17.73 | 99,319 | 1.07 | 0.55 | 1.25 | 15 | ||||||||||||||||||||
| 14.35 | 27.11 | 123,051 | 0.25 | 0.96 | 0.51 | 15 | ||||||||||||||||||||
| 11.39 | 13.87 | 77,338 | 0.25 | 1.08 | 0.54 | 15 | ||||||||||||||||||||
| 10.09 | (22.20 | ) | 55,890 | 0.25 | 1.62 | 0.63 | 23 | |||||||||||||||||||
| 14.42 | (9.19 | )(f) | 68,846 | 0.25 | 1.68 | 0.48 | 25 | |||||||||||||||||||
| 17.24 | 18.75 | 58,181 | 0.25 | 1.37 | 0.50 | 15 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 27 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance |
| |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 11.05 | $ | 0.18 | (e) | $ | 2.23 | $ | 2.41 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | |||||||||||
Year Ended June 30, 2010 | 9.90 | 0.20 | (e) | 1.15 | 1.35 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 13.06 | 0.24 | (2.52 | ) | (2.28 | ) | (0.24 | ) | (0.64 | ) | (0.88 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 15.14 | 0.33 | (1.24 | ) | (0.91 | ) | (0.62 | ) | (0.55 | ) | (1.17 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 13.81 | 0.29 | 1.84 | 2.13 | (0.40 | ) | (0.40 | ) | (0.80 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 11.00 | 0.11 | (e) | 2.22 | 2.33 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.85 | 0.13 | (e) | 1.15 | 1.28 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 13.00 | 0.18 | (2.51 | ) | (2.33 | ) | (0.18 | ) | (0.64 | ) | (0.82 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 15.07 | 0.23 | (1.21 | ) | (0.98 | ) | (0.54 | ) | (0.55 | ) | (1.09 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 13.75 | 0.20 | 1.83 | 2.03 | (0.31 | ) | (0.40 | ) | (0.71 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.83 | 0.11 | (e) | 2.19 | 2.30 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.71 | 0.13 | (e) | 1.12 | 1.25 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 12.83 | 0.17 | (2.46 | ) | (2.29 | ) | (0.19 | ) | (0.64 | ) | (0.83 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 14.89 | 0.23 | (1.20 | ) | (0.97 | ) | (0.54 | ) | (0.55 | ) | (1.09 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 13.59 | 0.21 | 1.81 | 2.02 | (0.32 | ) | (0.40 | ) | (0.72 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.92 | 0.21 | (e) | 2.20 | 2.41 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.78 | 0.22 | (e) | 1.14 | 1.36 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 12.92 | 0.26 | (2.49 | ) | (2.23 | ) | (0.27 | ) | (0.64 | ) | (0.91 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 14.99 | 0.37 | (1.23 | ) | (0.86 | ) | (0.66 | ) | (0.55 | ) | (1.21 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 13.67 | 0.33 | 1.82 | 2.15 | (0.43 | ) | (0.40 | ) | (0.83 | ) | ||||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Represents only expenses of the Fund, not of the Underlying Funds in which the Fund invests. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes a gain incurred resulting from a payment by an affiliate and a settlement payment. Without these payments, the total return for Class A, Class B, Class C and Select Class would have been (6.61)%, (7.12)%, (7.12)% and (6.37%), respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes | Net assets, end of period (000’s) | Net expenses (b)(c) | Net investment income (loss) (d) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 13.28 | 21.91 | % | $ | 1,443,240 | 0.50 | % | 1.45 | % | 0.71 | % | 9 | % | |||||||||||||
| 11.05 | 13.52 | 1,008,109 | 0.50 | 1.72 | 0.73 | 14 | ||||||||||||||||||||
| 9.90 | (16.79 | ) | 737,763 | 0.50 | 2.33 | 0.79 | 24 | |||||||||||||||||||
| 13.06 | (6.46 | )(f) | 979,243 | 0.47 | 2.31 | 0.70 | 25 | |||||||||||||||||||
| 15.14 | 15.69 | 1,043,468 | 0.47 | 1.99 | 0.70 | 14 | ||||||||||||||||||||
| 13.22 | 21.23 | 270,833 | 1.04 | 0.88 | 1.22 | 9 | ||||||||||||||||||||
| 11.00 | 12.92 | 315,944 | 1.08 | 1.13 | 1.23 | 14 | ||||||||||||||||||||
| 9.85 | (17.30 | ) | 376,179 | 1.09 | 1.72 | 1.29 | 24 | |||||||||||||||||||
| 13.00 | (6.98 | )(f) | 615,387 | 1.04 | 1.73 | 1.20 | 25 | |||||||||||||||||||
| 15.07 | 15.03 | 792,115 | 1.04 | 1.39 | 1.20 | 14 | ||||||||||||||||||||
| 13.01 | 21.28 | 186,625 | 1.04 | 0.91 | 1.21 | 9 | ||||||||||||||||||||
| 10.83 | 12.87 | 119,332 | 1.07 | 1.16 | 1.23 | 14 | ||||||||||||||||||||
| 9.71 | (17.28 | ) | 79,996 | 1.09 | 1.72 | 1.29 | 24 | |||||||||||||||||||
| 12.83 | (6.97 | )(f) | 113,522 | 1.04 | 1.75 | 1.20 | 25 | |||||||||||||||||||
| 14.89 | 15.09 | 130,037 | 1.05 | 1.41 | 1.20 | 14 | ||||||||||||||||||||
| 13.12 | 22.19 | 146,524 | 0.25 | 1.69 | 0.46 | 9 | ||||||||||||||||||||
| 10.92 | 13.87 | 104,501 | 0.25 | 1.94 | 0.48 | 14 | ||||||||||||||||||||
| 9.78 | (16.61 | ) | 107,048 | 0.25 | 2.57 | 0.54 | 24 | |||||||||||||||||||
| 12.92 | (6.22 | )(f) | 139,611 | 0.22 | 2.55 | 0.45 | 25 | |||||||||||||||||||
| 14.99 | 16.07 | 133,965 | 0.22 | 2.22 | 0.45 | 14 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 29 | ||||||
Table of Contents
AS OF JUNE 30, 2011
1. Organization
JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 4 separate funds of the Trust (collectively, the “Funds”) covered by this report:
| Classes Offered | Diversified/Non-Diversified | |||
| Investor Balanced Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Investor Conservative Growth Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Investor Growth Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Investor Growth & Income Fund | Class A, Class B, Class C and Select Class | Diversified |
Effective November 1, 2009, Class B Shares of the Funds may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments in J.P. Morgan Funds (the “Underlying Funds”) are valued at the current day’s closing net asset value per share.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input by security type as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant | Total | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Total Investments in Securities # | $ | 2,976,829 | $ | — | $ | — | $ | 2,976,829 | ||||||||
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Investor Conservative Growth Fund | ||||||||||||||||
Total Investments in Securities # | $ | 2,621,869 | $ | — | $ | — | $ | 2,621,869 | ||||||||
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Investor Growth Fund | ||||||||||||||||
Total Investments in Securities # | $ | 1,553,907 | $ | — | $ | — | $ | 1,553,907 | ||||||||
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Investor Growth & Income Fund | ||||||||||||||||
Total Investments in Securities # | $ | 2,049,941 | $ | — | $ | — | $ | 2,049,941 | ||||||||
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| # | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for industry specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2011.
| 30 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
B. Transactions with Affiliates — The Funds invest in Underlying Funds advised by J.P. Morgan Investment Management Inc. (“JPMIM” or “the Advisor”) or its affiliates pursuant Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with a Fund may be considered to be an affiliate. For the purposes of the report, the Funds assume the following to be affiliated issuers (amounts in thousands):
| For the year ended June 30, 2011 | ||||||||||||||||||||||||||||
| Affiliate | Value at 2010 | Purchase Cost | Sales Proceeds | Realized Gain/ Loss | Dividend Income | Shares at June 30, 2011 | Value at 2011 | |||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 10,462 | $ | 26,591 | $ | 1,491 | $ | 619 | $ | — | 2,013 | $ | 39,651 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 268,591 | 25,600 | 15,000 | 298 | 10,588 | 24,377 | 281,556 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 308,365 | 45,100 | — | — | 16,059 | 44,135 | 361,906 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | — | 18,200 | — | — | 121 | 1,784 | 18,179 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | — | 19,300 | — | — | — | 1,220 | 19,041 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | — | 24,034 | — | — | 34 | 1,635 | 24,474 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 21,453 | 31,400 | 600 | (7 | ) | 2,314 | 6,540 | 53,560 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | — | 25,328 | 1,000 | 11 | 127 | 1,115 | 27,083 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | — | 20,000 | — | — | — | 1,252 | 19,494 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 85,936 | 11,801 | 1,200 | 9 | 3,586 | 8,775 | 96,355 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 169,509 | 33,407 | 5,907 | 349 | 14,196 | 25,372 | 208,053 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 19,608 | 18,631 | 132 | 132 | 484 | 3,702 | 39,019 | |||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 74,420 | 25,200 | 9,200 | 478 | 2,145 | 5,554 | 111,197 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 148,517 | 48,100 | 11,600 | (669 | ) | 1,751 | 9,456 | 233,847 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 76,510 | 21,800 | 5,300 | 327 | 788 | 4,929 | 121,007 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 58,864 | 18,600 | 5,600 | 87 | 419 | 5,753 | 93,946 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 29,446 | 6,800 | 8,500 | 1,113 | — | 1,710 | 38,149 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 101,435 | 33,699 | 8,200 | (1,953 | ) | 1,597 | 13,471 | 152,226 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | — | 14,900 | 500 | (4 | ) | — | 688 | 14,534 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 46,246 | 25,700 | — | ��� | 1,252 | 7,768 | 73,564 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 37,246 | 508,694 | 507,564 | — | 47 | 38,376 | 38,376 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 79,784 | 22,800 | 7,900 | 193 | 765 | 10,723 | 124,068 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 127,027 | 45,899 | 4,000 | (314 | ) | — | 17,275 | 171,198 | ||||||||||||||||||||
JPMorgan Real Return Fund, Select Class Shares | 11,373 | 131 | 11,778 | 629 | 130 | — | — | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 25,666 | 28,800 | — | — | — | 3,529 | 53,708 | |||||||||||||||||||||
JPMorgan Short Duration Bond Fund, Select Class Shares | 48,818 | 27,569 | 68 | 68 | 958 | 6,964 | 76,599 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 25,580 | 12,700 | 3,400 | (533 | ) | 176 | 2,756 | 41,590 | ||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 192,265 | 64,100 | 13,400 | (793 | ) | 2,402 | 27,949 | 297,654 | ||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 115,378 | — | — | — | 609 | 6,860 | 146,795 | |||||||||||||||||||||
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Total | $ | 2,082,499 | $ | 40 | $ | 60,548 | $ | 2,976,829 | ||||||||||||||||||||
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| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 31 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
| For the year ended June 30, 2011 | ||||||||||||||||||||||||||||
| Affiliate | Value at 2010 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at 2011 | Value at 2011 | |||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 6,986 | $ | 41,075 | $ | 376 | $ | 376 | $ | — | 2,549 | $ | 50,209 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 225,159 | 60,400 | 6,000 | (1 | ) | 9,966 | 24,374 | 281,516 | ||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 300,499 | 102,500 | — | — | 17,399 | 50,168 | 411,379 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | — | 33,800 | �� | — | — | 238 | 3,322 | 33,856 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | — | 21,100 | 400 | (5 | ) | 28 | 1,415 | 21,189 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 15,491 | 29,200 | — | — | 1,873 | 5,577 | 45,678 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | — | 22,502 | 2,200 | 6 | 102 | 923 | 22,428 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | — | 12,000 | — | — | — | 755 | 11,757 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 159,250 | 60,400 | — | — | 7,647 | 19,957 | 219,124 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 89,692 | 58,735 | 2,634 | 188 | 8,831 | 18,416 | 151,012 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 14,081 | 43,502 | 102 | 102 | 493 | 5,542 | 58,416 | |||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 22,575 | 23,300 | 1,500 | (13 | ) | 845 | 2,590 | 51,858 | ||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 67,609 | 92,500 | 7,300 | (355 | ) | 865 | 7,177 | 177,499 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 34,565 | 24,200 | 4,500 | (87 | ) | 386 | 2,762 | 67,795 | ||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 13,688 | 19,600 | 2,600 | 42 | 135 | 2,241 | 36,601 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 34,576 | 23,400 | 6,000 | (396 | ) | 616 | 5,396 | 60,977 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | — | 14,000 | 900 | 3 | — | 624 | 13,190 | |||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 75,344 | 70,000 | — | — | 2,375 | 15,647 | 148,174 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 32,364 | 807,721 | 798,033 | — | 55 | 42,052 | 42,052 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 13,678 | 18,500 | 2,700 | 93 | 172 | 3,011 | 34,836 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 11,959 | 5,900 | 2,600 | 112 | — | 821 | 20,500 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 71,249 | 66,700 | 3,000 | (101 | ) | — | 13,816 | 136,915 | ||||||||||||||||||||
JPMorgan Real Return Fund, Select Class Shares | 7,181 | 1,897 | 9,264 | 386 | 96 | — | — | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 19,341 | 53,700 | — | — | — | 4,727 | 71,947 | |||||||||||||||||||||
JPMorgan Short Duration Bond Fund, Select Class Shares | 86,685 | 82,333 | 133 | 133 | 2,022 | 15,412 | 169,533 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 16,359 | 12,100 | 2,700 | (139 | ) | 124 | 2,012 | 30,368 | ||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 82,749 | 44,100 | 6,700 | (44 | ) | 1,188 | 13,701 | 145,913 | ||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 68,956 | — | 500 | 15 | 364 | 4,076 | 87,226 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 12,275 | 7,000 | 2,600 | 7 | 189 | 1,042 | 19,921 | |||||||||||||||||||||
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Total | $ | 1,482,311 | $ | 322 | $ | 56,009 | $ | 2,621,869 | ||||||||||||||||||||
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| 32 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| For the year ended June 30, 2011 | ||||||||||||||||||||||||||||
| Affiliate | Value at 2010 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2011 | Value at 2011 | |||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 5,975 | $ | 8,978 | $ | 978 | $ | 367 | $ | — | 849 | $ | 16,731 | |||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 20,575 | 6,300 | 21,800 | 852 | 612 | 688 | 5,642 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | — | 6,700 | — | — | 53 | 659 | 6,713 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | — | 8,700 | 250 | (8 | ) | — | 533 | 8,326 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | — | 12,000 | — | — | 19 | 817 | 12,238 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 11,706 | 17,800 | — | — | 1,299 | 3,681 | 30,145 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | — | 14,000 | — | — | 72 | 635 | 15,419 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | — | 8,000 | — | — | — | 502 | 7,811 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 17,022 | 6,100 | 21,200 | 889 | 289 | 196 | 2,150 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 31,147 | 2,109 | 1,809 | 125 | 2,473 | 4,085 | 33,500 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 11,574 | 2,775 | 75 | 75 | 252 | 1,404 | 14,795 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 24,890 | 9,900 | 4,500 | (1,234 | ) | 599 | 2,577 | 37,157 | ||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 65,927 | 10,500 | 6,700 | 844 | 1,870 | 4,390 | 87,882 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 140,338 | 23,400 | 8,400 | (705 | ) | 1,630 | 8,108 | 200,506 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 65,355 | 11,600 | 4,200 | (15 | ) | 675 | 3,931 | 96,503 | ||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 44,610 | 7,100 | 3,000 | (594 | ) | 300 | 3,988 | 65,123 | ||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 108,541 | 11,700 | 14,250 | 2,899 | — | 6,663 | 148,641 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 136,193 | 29,600 | 4,200 | (1,588 | ) | 2,119 | 17,340 | 195,941 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | — | 7,800 | — | — | — | 374 | 7,899 | |||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 16,968 | 3,700 | 17,900 | 18 | 213 | 343 | 3,245 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 11,751 | 131,809 | 131,313 | — | 14 | 12,247 | 12,247 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 69,160 | 9,450 | 5,900 | (828 | ) | 623 | 8,452 | 97,787 | ||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 5,522 | 2,300 | 800 | 81 | — | 378 | 9,448 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 78,075 | 10,400 | 54,800 | (2,658 | ) | — | 3,396 | 33,655 | ||||||||||||||||||||
JPMorgan Real Return Fund, Select Class Shares | 7,005 | 573 | 7,732 | 398 | 72 | — | — | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 11,457 | 21,500 | 16,800 | (236 | ) | — | 1,043 | 15,879 | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 35,459 | 7,550 | 3,300 | 381 | 374 | 2,548 | 50,501 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 16,527 | 3,100 | 2,800 | (631 | ) | 101 | 1,372 | 20,710 | ||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 163,140 | 31,600 | 6,100 | (907 | ) | 1,935 | 22,021 | 234,529 | ||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 57,660 | — | — | — | 305 | 3,428 | 73,360 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 5,632 | 2,600 | 300 | (5 | ) | 84 | 493 | 9,424 | ||||||||||||||||||||
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| |||||||||||||||||||||
Total | $ | 1,162,209 | $ | (2,480 | ) | $ | 15,983 | $ | 1,553,907 | |||||||||||||||||||
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| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
| For the year ended June 30, 2011 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2010 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2011 | Value at 2011 | |||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 6,453 | $ | 12,460 | $ | 960 | $ | 411 | $ | — | 1,086 | $ | 21,389 | |||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 135,268 | 14,200 | 36,700 | 946 | 4,689 | 9,879 | 114,101 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 150,091 | 19,400 | 15,500 | 164 | 7,319 | 19,277 | 158,073 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | — | 8,800 | — | — | 69 | 865 | 8,817 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | — | 12,900 | 500 | (12 | ) | — | 786 | 12,271 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | — | 16,450 | — | — | 25 | 1,110 | 16,616 | |||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 15,866 | 18,700 | 400 | (5 | ) | 1,581 | 4,277 | 35,027 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | — | 17,600 | — | — | 93 | 801 | 19,455 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | — | 11,000 | — | — | — | 687 | 10,700 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 119,805 | 3,730 | 1,732 | 376 | 9,785 | 15,851 | 129,976 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 15,092 | 4,297 | 97 | 97 | 337 | 1,897 | 19,998 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 18,730 | 6,100 | 3,250 | 326 | 435 | 1,850 | 26,674 | |||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 60,461 | 10,750 | 6,900 | 884 | 1,706 | 4,041 | 80,902 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 175,634 | 28,500 | 14,000 | (1,406 | ) | 2,007 | 9,947 | 245,989 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 61,778 | 9,050 | 5,200 | 477 | 619 | 3,566 | 87,538 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 27,702 | 7,951 | 2,900 | (238 | ) | 185 | 2,622 | 42,812 | ||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 96,956 | 9,400 | 17,700 | 3,678 | — | 5,634 | 125,701 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 127,633 | 22,401 | 9,750 | (3,273 | ) | 1,879 | 15,182 | 171,558 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | — | 9,700 | — | — | — | 464 | 9,802 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 17,657 | 212,190 | 208,309 | — | 22 | 21,538 | 21,538 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 74,952 | 11,350 | 8,300 | 56 | 661 | 9,071 | 104,955 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 7,847 | 4,300 | 1,650 | 408 | — | 549 | 13,715 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 104,884 | 21,000 | 9,800 | (397 | ) | — | 11,849 | 117,421 | ||||||||||||||||||||
JPMorgan Real Return Fund, Select Class Shares | 8,725 | 497 | 9,435 | 546 | 97 | — | — | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 16,813 | 24,500 | 1,000 | (22 | ) | — | 2,612 | 39,750 | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 29,168 | 9,200 | 3,400 | 523 | 308 | 2,212 | 43,848 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 17,675 | 4,600 | 2,300 | (368 | ) | 117 | 1,622 | 24,480 | ||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 174,730 | 28,200 | 12,550 | (956 | ) | 1,979 | 22,413 | 238,695 | ||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 74,292 | — | — | — | 392 | 4,417 | 94,521 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 8,192 | 4,500 | 1,050 | 58 | 108 | 712 | 13,619 | |||||||||||||||||||||
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Total | $ | 1,546,404 | $ | 2,273 | $ | 34,413 | $ | 2,049,941 | ||||||||||||||||||||
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C. 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. Dividend income less foreign taxes withheld, if any, and distributions of realized gains from the Underlying Funds are recorded on the ex-dividend date or when the Funds first learn of the dividend.
D. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees. The Funds invest in other J.P. Morgan Funds and, as a result, bear a portion of the expenses incurred by the Underlying Funds. These expenses are not reflected in the expenses shown in the Statements of Operations and are not included in the ratios to average net assets shown in the Financial Highlights.
E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
| 34 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
F. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid quarterly, except for dividends from the Investor Conservative Growth Fund, which are declared and paid monthly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-In Capital | Accumulated (Overdistributed) Net Investment Income | Accumulated on Investments | ||||||||||
Investor Balanced Fund | $ | — | $ | 647 | $ | (647 | ) | |||||
Investor Conservative Growth Fund | — | 477 | (477 | ) | ||||||||
Investor Growth Fund | 1 | 219 | (220 | ) | ||||||||
Investor Growth & Income Fund | — | 435 | (435 | ) | ||||||||
The reclassifications for the Funds relate primarily to the tax character of the distributions from investments in regulated investment companies.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annualized fee rate of 0.05% of the Funds’ average daily net assets.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.10% of the first 500 million of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds), 0.075% of the average daily net assets between $500 million and $1 billion of such funds and 0.05% of the average daily net assets in excess of $1 billion of such funds. For the year ended June 30, 2011, the annual effective rate of each Fund’s average daily net assets was as follows:
Investor Balanced Fund | 0.07 | % | ||
Investor Conservative Growth Fund | 0.07 | |||
Investor Growth Fund | 0.08 | |||
Investor Growth & Income Fund | 0.07 | |||
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trust’s exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B and Class C Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | ||||||||
| 0.25% | 0.75 | % | 0.75 | % | ||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 2,968 | $ | 412 | ||||
Investor Conservative Growth Fund | 2,832 | 521 | ||||||
Investor Growth Fund | 952 | 301 | ||||||
Investor Growth & Income Fund | 1,574 | 364 | ||||||
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 35 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
D. Shareholder Servicing Fees — The Trust, on behalf of the Funds, has entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. For performing these services, the Distributor receives a fee that is computed daily and paid monthly at an annual rate of 0.25% of the Funds’ average daily net assets.
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder servicing fees as outlined in Note 3.F.
The shares of the Underlying Funds in which the Funds invest impose a separate shareholder service fee. To avoid charging a shareholder service fee at an effective rate above 0.25%, the shareholder servicing agent will waive shareholder service fees with respect to the Funds in an amount equal to the weighted average pro-rata amount of shareholder service fees charged by the Underlying Funds.
E. Custodian and Accounting Fees — JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Select Class | |||||
| Investor Balanced Fund | 0.50% | 1.25% | 1.25% | 0.25% | ||||
| Investor Conservative Growth Fund | 0.50 | 1.25 | 1.25 | 0.25 | ||||
| Investor Growth Fund | 0.50 | 1.25 | 1.25 | 0.25 | ||||
| Investor Growth & Income Fund | 0.50 | 1.25 | 1.25 | 0.25 |
The contractual expense limitation agreements were in effect for the year ended June 30, 2011. The contractual expense limitation percentages in the table above are in place until at least October 31, 2011. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2011. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||
| Administration | Shareholder Servicing | Total | ||||||||||
Investor Balanced Fund | $ | — | $ | 3,703 | $ | 3,703 | ||||||
Investor Conservative Growth Fund | — | 2,483 | 2,483 | |||||||||
Investor Growth Fund | 234 | 2,562 | 2,796 | |||||||||
Investor Growth & Income Fund | — | 2,971 | 2,971 | |||||||||
| Voluntary Waivers | ||||||||||||
| Administration | Shareholder Servicing | Total | ||||||||||
Investor Balanced Fund | $ | — | $ | 894 | $ | 894 | ||||||
Investor Conservative Growth Fund | — | 1,169 | 1,169 | |||||||||
Investor Growth Fund | 66 | 517 | 583 | |||||||||
Investor Growth & Income Fund | — | 734 | 734 | |||||||||
G. Other — Certain officers of the Trust are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
| 36 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
The Trust adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
4. Investment Transactions
During the year ended June 30, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases Government) | Sales Government) | |||||||
Investor Balanced Fund | $ | 696,190 | $ | 114,776 | ||||
Investor Conservative Growth Fund | 1,044,444 | 64,709 | ||||||
Investor Growth Fund | 297,835 | 207,794 | ||||||
Investor Growth & Income Fund | 351,536 | 165,074 | ||||||
During the year ended June 30, 2011, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 2,750,715 | $ | 233,028 | $ | 6,914 | $ | 226,114 | ||||||||
Investor Conservative Growth Fund | 2,468,781 | 156,025 | 2,937 | 153,088 | ||||||||||||
Investor Growth Fund | 1,397,379 | 167,992 | 11,464 | 156,528 | ||||||||||||
Investor Growth & Income Fund | 1,883,705 | 173,536 | 7,300 | 166,236 | ||||||||||||
For all of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended June 30, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
Investor Balanced Fund | $ | 46,493 | $ | 46,493 | ||||
Investor Conservative Growth Fund | 43,044 | 43,044 | ||||||
Investor Growth Fund | 8,304 | 8,304 | ||||||
Investor Growth & Income Fund | 24,472 | 24,472 | ||||||
The tax character of distributions paid during the fiscal year ended June 30, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||
Ordinary Income | Total Distributions Paid | |||||||
Investor Balanced Fund | $ | 41,266 | $ | 41,266 | ||||
Investor Conservative Growth Fund | 29,909 | 29,909 | ||||||
Investor Growth Fund | 7,628 | 7,628 | ||||||
Investor Growth & Income Fund | 23,938 | 23,938 | ||||||
At June 30, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary | Current Long Term Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Investor Balanced Fund | $ | 988 | $ | (24,344 | ) | $ | 226,114 | |||||
Investor Conservative Growth Fund | 411 | (25,781 | ) | 153,088 | ||||||||
Investor Growth Fund | 157 | (47,553 | ) | 156,528 | ||||||||
Investor Growth & Income Fund | 294 | (49,949 | ) | 166,236 | ||||||||
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
For the Funds, the cumulative timing differences primarily consist of distributions payable and wash sale loss deferrals.
As of June 30, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | 2018 | 2019 | Total | |||||||||||||
Investor Balanced Fund | $ | 8,977 | $ | 9,489 | $ | 5,878 | $ | 24,344 | ||||||||
Investor Conservative Growth Fund | 9,800 | 11,953 | 4,028 | 25,781 | ||||||||||||
Investor Growth Fund | 10,617 | 9,674 | 27,262 | 47,553 | ||||||||||||
Investor Growth & Income Fund | 11,356 | 24,453 | 14,140 | 49,949 | ||||||||||||
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (“the Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to this Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2011, or at any time during the six months then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Because of the Funds’ investments in Underlying Funds, the Funds indirectly pay a portion of the expenses incurred by the Underlying Funds. 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 Underlying Funds’ 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.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, foreign forward currency 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 securities. Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
The Funds own in the aggregate, more than 10% of the net assets of the following Underlying Funds:
| Fund | % of Net Assets | |||
JPMorgan Core Plus Bond Fund | 45 | % | ||
JPMorgan Credit Opportunities Fund | 94 | |||
JPMorgan Dynamic Growth Fund | 90 | |||
JPMorgan Emerging Economies Fund | 23 | |||
JPMorgan Emerging Markets Debt Fund | 32 | |||
JPMorgan Global Natural Resources Fund | 72 | |||
JPMorgan Government Bond Fund | 24 | |||
| 38 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Fund | % of Net Assets | |||
JPMorgan Inflation Managed Bond Fund | 18 | % | ||
JPMorgan International Equity Index Fund | 45 | |||
JPMorgan Intrepid America Fund | 50 | |||
JPMorgan Intrepid Growth Fund | 55 | |||
JPMorgan Intrepid Mid Cap Fund | 51 | |||
JPMorgan Large Cap Growth Fund | 16 | |||
JPMorgan Large Cap Value Fund | 87 | |||
JPMorgan Latin America Fund | 57 | |||
JPMorgan Limited Duration Bond Fund | 51 | |||
JPMorgan Market Expansion Index Fund | 29 | |||
JPMorgan Multi-Cap Market Neutral Fund | 76 | |||
JPMorgan Research Market Neutral Fund | 15 | |||
JPMorgan Small Cap Value Fund | 17 | |||
JPMorgan U.S. Dynamic Plus Fund | 71 | |||
JPMorgan U.S. Equity Fund | 19 | |||
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds. Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 39 | ||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of JPMorgan Trust II and the Shareholders of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund (each a separate fund of JPMorgan Trust II, hereafter collectively referred to as the “Funds”) at June 30, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the five years in the period then ended, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2011 by correspondence with the transfer agent and custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2011
| 40 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 149 | None. | |||
| John F. Finn (1947); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 149 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 149 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 149 | None. | |||
| Peter C. Marshall (1942); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 149 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 149 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 149 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 149 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trust (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 149 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 41 | ||||||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 149 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 149 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trust since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 149 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 149 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trust’s current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (149 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 42 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Carmine Lekstutis (1980) Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 43 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, January 1, 2011 and continued to hold your shares at the end of the reporting period, June 30, 2011.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), or redemption fees, and expenses of the Underlying Funds. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,038.70 | $ | 2.53 | 0.50 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,035.90 | 5.10 | 1.01 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.06 | 1.01 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,036.80 | 5.10 | 1.01 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.06 | 1.01 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,040.80 | 1.27 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.55 | 1.25 | 0.25 | ||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,032.00 | 2.47 | 0.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.36 | 2.46 | 0.49 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,028.30 | 5.03 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,028.60 | 5.03 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,033.00 | 1.21 | 0.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.60 | 1.20 | 0.24 | ||||||||||||
| 44 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
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| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
Investor Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.20 | $ | 2.54 | 0.50 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,049.20 | 5.28 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.21 | 1.04 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,048.60 | 5.28 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.21 | 1.04 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,052.70 | 1.27 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.55 | 1.25 | 0.25 | ||||||||||||
Investor Growth & Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,045.30 | 2.54 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.32 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,043.50 | 5.22 | 1.03 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.16 | 1.03 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,043.00 | 5.22 | 1.03 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.16 | 1.03 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,047.20 | 1.27 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.55 | 1.25 | 0.25 | ||||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 to reflect the one-half year period). |
| JUNE 30, 2011 | J.P. MORGAN INVESTOR FUNDS | 45 | ||||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2011:
| Dividends Received Deduction | ||||
Investor Balanced Fund | 16.65 | % | ||
Investor Conservative Growth Fund | 8.07 | |||
Investor Growth Fund | 94.59 | |||
Investor Growth & Income Fund | 33.41 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
Qualified Dividend Income | ||||
Investor Balanced Fund | $ | 46,493 | ||
Investor Conservative Growth Fund | 43,044 | |||
Investor Growth Fund | 8,304 | |||
Investor Growth & Income Fund | 24,472 | |||
| 46 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2011 | ||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2011. All rights reserved. June 2011. | AN-INV-611 |
Table of Contents
Annual Report
J.P. Morgan Intrepid Funds
June 30, 2011
JPMorgan Intrepid America Fund
JPMorgan Intrepid Growth Fund
JPMorgan Intrepid Mid Cap Fund
JPMorgan Intrepid Multi Cap Fund
JPMorgan Intrepid Value Fund
 |
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Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on conditions through the end of the reporting period and are subject to change without notice based on market and other conditions. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund including management fees and other expenses. Please read it carefully before investing.
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AUGUST 8, 2011 (Unaudited)
Dear Shareholder:
Last summer, investors’ optimism about the markets was tempered by a wave of both discouraging U.S. economic data and sovereign debt issues in Europe, which led to a market correction.
 |
“Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.” |
As we enter the second half of 2011, concerns about softening U.S. economic data persist. While we are encouraged that corporate earnings and profits have continued to grow consistently, spending levels in many areas of the economy remain critically low, which has resulted in tight inventories and pent-up consumer demand. Meanwhile, investors still lack confidence in the ability of the European governments to combat the region’s debt crisis. Concerns about the credit downgrade of U.S.-issued debt exacerbated this negative sentiment among investors and helped trigger the recent downturn, as August 8, 2011 saw each of the three major U.S. stock indices experience their worst one-day performance since December 1, 2008. The current slowdown in growth should not be viewed as a surprise. Earlier this year, we reminded investors about the likelihood of setbacks on the road out of the economic doldrums. Meanwhile, the tragic earthquake in Japan and political unrest in the Middle East are examples of how sensitive the markets and economy can be to geopolitical shocks and other global crises.
Monetary stimulus and corporate profits move stocks higher
Despite periods of volatility, monetary and fiscal stimulus and strong corporate profits lifted stocks higher over the past year. As of the end of the 12-month reporting period ended June 30, 2011, the S&P 500 Index was at a level of 1,321, an increase of 30.7% from 12 months earlier.
Small cap growth stocks led all style categories for the 12-month reporting period, with the Russell 2000 Growth Index returning 43.5%. For the same period, the Russell Midcap Growth Index returned 43.3%, compared to 35.0% for the Russell 1000 Growth Index. In the value category, the Russell
Midcap Value Index returned 34.3%, outperforming both the Russell 2000 Value Index, which returned 31.4%, and the Russell 1000 Value index, which returned 28.9%.
Most U.S. Treasury yields rise amid softer economic data
In the U.S. bond markets, yields were generally volatile, but longer-term Treasury yields generally rose, while shorter-term yields declined as economic expectations weakened. The yield on the 10-year U.S. Treasury bond rose from 3.0% to 3.2% as of the end of the 12-month reporting period ended June 30, 2011, while yields on the 30-year U.S. Treasury bond increased from 3.9% to 4.4%. Yields on the 2-year U.S. Treasury bond dropped from 0.6% to 0.5% as of the end of the same period.
Is the economic soft patch temporary?
As we enter the second half of 2011, the markets have clearly entered a period of uncertainty. Stocks have been volatile in response to weaker economic growth, as well as concerns over the European sovereign debt crisis, the credit downgrade of U.S.-issued debt, policy tightening in China, and the conclusion of the second round of quantitative easing (QE2) in the U.S. Given these events, it’s not surprising that investors remain largely risk averse, and less than confident about prospects for future growth.
Despite the slowdown and uncertain political environment, however, we do believe that some aspects of our markets and economy — including strong corporate balance sheets and valuations — present potential opportunities for investors. As always, we advise investors to be mindful of continued volatility and other unexpected risks by maintaining a diversified and balanced approach to investing.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Investment Management Americas
J.P. Morgan Asset Management
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 1 | ||||||
Table of Contents
JPMorgan Intrepid Funds
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
Stocks in most of the world’s capital markets rallied during the twelve months ended June 30, 2011. In the United States, investor sentiment was supported by strong corporate earnings, returning merger and acquisition activity and accommodative policies from the U.S. Federal Reserve. Investors were also encouraged by the U.S. government’s two-year extension of the Bush era tax cuts, emergency unemployment benefits and a payroll tax cut. Concerns about economic contagion from Europe’s debt crisis, political unrest in the Middle East and the tragic earthquake and subsequent tsunami in Japan lowered investor confidence toward the end of the reporting period but stocks still finished with gains.
U.S. stocks, as measured by the S&P 500 Index, returned 30.69% for the twelve months ended June 30, 2011. Among U.S. stocks, small- and mid-cap stocks outperformed large-cap stocks, while growth stocks outperformed value stocks across all asset classes during the reporting period.
Intrepid Investment Philosophy
During the reporting period, each JPMorgan Intrepid Fund employed behavioral finance, a field of study that emphasizes the importance of human psychology in financial markets. Behavioral finance examines how investor behavior can be affected by biases and emotional reactions and theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.
The JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Multi Cap Fund and JPMorgan Intrepid Value Fund aimed to capitalize on these market inefficiencies by targeting stocks within the particular Fund’s investment universe that were attractively valued with strong momentum characteristics, seeking stocks with increasing prices that the Fund’s portfolio managers believed would continue to increase. The JPMorgan Intrepid Mid Cap Fund targeted stocks with attractive valuations and strong fundamentals. Each Fund looked to sell stocks when they stopped exhibiting the respective characteristics sought by the Fund’s portfolio managers. Each Fund’s portfolio managers used a disciplined quantitative ranking methodology to identify attractive stocks in each sector, combining this process with disciplined portfolio construction, qualitative research and value-added trading.
| 2 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid America Fund
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 33.69% | |||
| Russell 1000 Index | 31.93% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 1,714,603 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid America Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Index (the “Benchmark”) for the twelve months ended June 30, 2011. The Fund’s stock selection in the health care and materials sectors contributed to relative performance, while the Fund’s stock selection in the utilities sector and overweight versus the Benchmark in the financials sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Ameriprise Financial, Inc. and UnitedHealth Group, Inc. Ameriprise Financial, Inc., an asset manager and financial planning company, reported stronger-than-expected earnings driven by an increase in assets under management. Shares of UnitedHealth Group, Inc., an accident and health insurance company, increased after the company reported better-than-expected first-quarter profit, fueled by enrollment growth across its health plans.
Individual detractors from relative performance included the Fund’s positions in Bank of America Corp. and Goldman Sachs Group, Inc. Shares of Bank of America Corp. and Goldman Sachs Group, Inc. were both hurt by uncertainty about potential federal regulation. In addition, concerns about losses from Bank of America Corp.’s mortgage business weighed on the stock, while Goldman Sachs Group, Inc. saw declining revenue in its trading segment, which placed additional pressure on the stock.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 3.6 | % | |||||
| 2. | Exxon Mobil Corp. | 3.2 | ||||||
| 3. | International Business Machines Corp. | 3.0 | ||||||
| 4. | Chevron Corp. | 2.8 | ||||||
| 5. | Pfizer, Inc. | 2.6 | ||||||
| 6. | Citigroup, Inc. | 2.1 | ||||||
| 7. | Philip Morris International, Inc. | 2.1 | ||||||
| 8. | Oracle Corp. | 2.1 | ||||||
| 9. | UnitedHealth Group, Inc. | 1.9 | ||||||
| 10. | Occidental Petroleum Corp. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 17.5 | % | ||
| Financials | 16.5 | |||
| Health Care | 12.1 | |||
| Energy | 11.6 | |||
| Industrials | 10.6 | |||
| Consumer Discretionary | 9.8 | |||
| Consumer Staples | 8.4 | |||
| Materials | 4.2 | |||
| Telecommunication Services | 3.0 | |||
| Utilities | 2.4 | |||
| Short-Term Investment | 3.9 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 3 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 33.46 | % | 2.10 | % | 8.66 | % | ||||||||||
With Sales Charge* | 26.44 | 1.01 | 7.96 | |||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 32.74 | 1.59 | 8.23 | |||||||||||||
With CDSC** | 31.74 | 1.59 | 8.23 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 33.04 | 1.97 | 8.57 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 34.02 | 2.56 | 8.99 | ||||||||||||
SELECT CLASS SHARES | 2/28/03 | 33.69 | 2.34 | 8.86 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2003.
Returns for Class A, Class C, Class R2 and Class R5 Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns for Class A, Class C and Class R2 Shares would have been lower than shown because Class A, Class C and Class R2 Shares have higher expenses than Select Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid America Fund, the Russell 1000 Index, and the Lipper Large-Cap Core Funds Index from February 28, 2003 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included
in the benchmark. The performance of the Lipper Large-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Index is an unmanaged index which measures the performance of the 1,000 largest companies (on the basis of capitalization) in the Russell 3000 Index. The Lipper Large-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Subsequent to the inception of the Fund through October 1, 2003, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 4 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 37.25% | |||
| Russell 1000 Growth Index | 35.01% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 681,007 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Growth Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Growth Index for the twelve months ended June 30, 2011. The Fund’s stock selection in the materials and health care sectors contributed to relative performance, while the Fund’s stock selection in the consumer staples and industrials sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in CBS Corp. and National Oilwell Varco, Inc. Shares of media company CBS Corp. benefited from improving advertising spending and the company’s announced increase of its quarterly dividend. Shares of National Oilwell Varco, Inc. rose as investors reacted positively to the oil well services and equipment provider’s third quarter results and its announced acquisition of Advanced Production and Loading PLC, a subsidiary of BW Offshore Limited. The stock also benefited from rising oil prices during the reporting period.
Individual detractors from relative performance included the Fund’s positions in Delta Air Lines, Inc. and Bank of America Corp. Shares of Delta Air Lines, Inc. declined as the company faced higher fuel costs, as well as lower travel due to the turmoil in the Middle East and the earthquake in Japan. Shares of Bank of America Corp. declined due to uncertainty about potential federal regulation. In addition, concerns about losses from Bank of America Corp.’s mortgage business weighed on the stock.
| TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.9 | % | |||||
| 2. | International Business Machines Corp. | 4.5 | ||||||
| 3. | Exxon Mobil Corp. | 4.2 | ||||||
| 4. | Oracle Corp. | 3.3 | ||||||
| 5. | Philip Morris International, Inc. | 3.0 | ||||||
| 6. | Microsoft Corp. | 1.8 | ||||||
| 7. | priceline.com, Inc. | 1.8 | ||||||
| 8. | Wynn Resorts Ltd. | 1.8 | ||||||
| 9. | CBS Corp. | 1.7 | ||||||
| 10. | PPG Industries, Inc. | 1.7 | ||||||
POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 26.5 | % | ||
| Consumer Discretionary | 13.4 | |||
| Industrials | 12.9 | |||
| Energy | 10.9 | |||
| Consumer Staples | 10.7 | |||
| Health Care | 10.2 | |||
| Financials | 6.7 | |||
| Materials | 6.0 | |||
| Telecommunication Services | 0.5 | |||
| Short-Term Investment | 2.2 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 5 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 36.86 | % | 4.01 | % | 8.69 | % | ||||||||||
With Sales Charge* | 29.69 | 2.90 | 7.99 | |||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 36.21 | 3.48 | 8.27 | |||||||||||||
With CDSC ** | 35.21 | 3.48 | 8.27 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 36.56 | 3.87 | 8.60 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 37.52 | 4.47 | 9.02 | ||||||||||||
SELECT CLASS SHARES | 2/28/03 | 37.25 | 4.27 | 8.90 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2003.
Returns for Class A, Class C, Class R2 and Class R5 Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns for Class A, Class C and Class R2 Shares would have been lower than shown because Class A, Class C and Class R2 Shares have higher expenses than Select Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Growth Fund, the Russell 1000 Growth Index, and the Lipper Large-Cap Growth Funds Index from February 28, 2003 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap
Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Growth Index is an unmanaged index which measures the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Large-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Subsequent to the inception of the Fund through October 1, 2003, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 37.67% | |||
| Russell Midcap Index | 38.47% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 470,507 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Mid Cap Fund (the “Fund”) seeks long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell Midcap Index for the twelve months ended June 30, 2011. The Fund’s stock selection in the systems hardware and retail sectors detracted from relative performance, while the Fund’s stock selection in the health services and systems and capital markets sectors contributed to relative performance.
Individual detractors from relative performance included TCF Financial Corp. and Navistar International Corp. Shares of Minnesota-based bank TCF Financial Corp. declined due to concerns about federal legislation that would limit the fees that banks can charge retailers on debit-card transactions. Navistar International Corp., a manufacturer of commercial and military truck engines, reported disappointing quarterly profit, which was lower-than-expected due to costs related to its joint ventures.
Individual contributors to relative performance included the Fund’s positions in Cooper Cos., Inc. and Herbalife Ltd. Shares of eye-care and surgical products maker Cooper Cos., Inc. outperformed as the company’s revenue and earnings per share consistently beat investor expectations during the reporting period and the company raised its guidance. Shares of Herbalife Ltd., a direct seller of nutritional and weight loss supplements advanced after consistently reporting better-than-expected results during the reporting period.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Cooper Cos., Inc. (The) | 2.1 | % | |||||
| 2. | Corn Products International, Inc. | 2.0 | ||||||
| 3. | PPG Industries, Inc. | 1.8 | ||||||
| 4. | CBS Corp. | 1.8 | ||||||
| 5. | Discover Financial Services | 1.7 | ||||||
| 6. | Kinetic Concepts, Inc. | 1.5 | ||||||
| 7. | Parker Hannifin Corp. | 1.5 | ||||||
| 8. | Macy’s, Inc. | 1.5 | ||||||
| 9. | Navistar International Corp. | 1.4 | ||||||
| 10. | KBR, Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 17.7 | % | ||
| Consumer Discretionary | 14.3 | |||
| Information Technology | 13.8 | |||
| Industrials | 12.3 | |||
| Health Care | 10.2 | |||
| Materials | 7.7 | |||
| Energy | 6.8 | |||
| Utilities | 6.4 | |||
| Consumer Staples | 6.0 | |||
| Telecommunication Services | 1.5 | |||
| U.S. Treasury Obligation | 0.2 | |||
| Short-Term Investment | 3.1 | |||
| * | The return shown is based on net asset value calculated for share- holder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (exclud- ing Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 7 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/1/92 | |||||||||||||||
Without Sales Charge | 37.29 | % | 3.50 | % | 5.69 | % | ||||||||||
With Sales Charge* | 30.08 | 2.39 | 5.12 | |||||||||||||
CLASS B SHARES | 9/23/96 | |||||||||||||||
Without CDSC | 36.35 | 2.84 | 5.12 | |||||||||||||
With CDSC** | 31.35 | 2.48 | 5.12 | |||||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | 36.42 | 2.87 | 4.99 | |||||||||||||
With CDSC*** | 35.42 | 2.87 | 4.99 | |||||||||||||
SELECT CLASS SHARES | 6/1/91 | 37.67 | 3.76 | 5.95 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/01 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Mid Cap Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from June 30, 2001 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses of the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies of the Russell 1000 Index. The
Lipper Mid-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 34.04% | |||
| Russell 3000 Index | 32.37% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 12,806 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Multi Cap Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 3000 Index for the twelve months ended June 30, 2011. The Fund’s stock selection in the health care and materials sectors contributed to relative performance, while the Fund’s stock selection in the information technology and financials sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in National Oilwell Varco, Inc. and Herbalife Ltd. Shares of National Oilwell Varco, Inc. rose as investors reacted positively to the oil well services and equipment provider’s third quarter results and its announced acquisition of Advanced Production and Loading PLC, a subsidiary of BW Offshore Limited. The stock also benefited from rising oil prices during the reporting period. Shares of Herbalife Ltd., which sells weight management, nutritional supplements, energy, sports and fitness products, advanced after the company reported strong first-quarter profit and increased its outlook for fiscal 2011 earnings.
Individual detractors from relative performance included Hewlett-Packard Co. and Bank of America Corp. Shares of Hewlett-Packard Co. declined following the unexpected resignation of the company’s chief executive officer. Shares of Bank of America Corp. declined due to uncertainty about potential federal regulation. In addition, concerns about losses from Bank of America Corp.’s mortgage business weighed on the stock.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Exxon Mobil Corp. | 3.4 | % | |||||
| 2. | Microsoft Corp. | 3.1 | ||||||
| 3. | Apple, Inc. | 3.1 | ||||||
| 4. | Chevron Corp. | 2.7 | ||||||
| 5. | Pfizer, Inc. | 2.2 | ||||||
| 6. | Eaton Corp. | 2.1 | ||||||
| 7. | UnitedHealth Group, Inc. | 1.9 | ||||||
| 8. | Lorillard, Inc. | 1.9 | ||||||
| 9. | Time Warner Cable, Inc. | 1.7 | ||||||
| 10. | Wal-Mart Stores, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 16.4 | % | ||
| Financials | 16.3 | |||
| Health Care | 14.0 | |||
| Energy | 12.8 | |||
| Consumer Discretionary | 10.3 | |||
| Industrials | 10.3 | |||
| Consumer Staples | 9.6 | |||
| Materials | 4.4 | |||
| Telecommunication Services | 2.6 | |||
| Utilities | 1.4 | |||
| Short-Term Investment | 1.9 | |||
| * | The return shown is based on net asset value calculated for share- holder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 9 | ||||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 33.71 | % | 1.04 | % | 8.02 | % | ||||||||||
With Sales Charge* | 26.66 | (0.04 | ) | 7.32 | ||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 33.14 | 0.54 | 7.60 | |||||||||||||
With CDSC** | 32.14 | 0.54 | 7.60 | |||||||||||||
SELECT CLASS SHARES | 2/28/03 | 34.04 | 1.30 | 8.22 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2003.
Returns for Class A and Class C Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns for Class A and Class C Shares would have been lower than shown because Class A and Class C Shares have higher expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Multi Cap Fund, the Russell 3000 Index, and the Lipper Multi-Cap Core Funds Index from February 28, 2003 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 3000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total
market capitalization, which represents approximately 98% of the investable U.S. equity market. The Lipper Multi-Cap Core Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Subsequent to the inception of the Fund through October 1, 2003, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Effective April 10, 2006, the Fund changed its investment policies. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to this period might be less relevant for investors considering whether to purchase shares of the Fund.
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 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 32.17% | |||
| Russell 1000 Value Index. | 28.94% | |||
| Net Assets as of 6/30/2011 (In Thousands) | $ | 962,425 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Value Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Value Index for the twelve months ended June 30, 2011. The Fund’s stock selection in the materials and health care sectors contributed to relative performance, while the Fund’s stock selection in the telecommunication services and utilities sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Ameriprise Financial, Inc. and National Oilwell Varco, Inc. Ameriprise Financial, Inc., an asset manager and financial planning company, reported stronger-than-expected earnings driven by an increase in assets under management. Shares of National Oilwell Varco, Inc. rose as investors reacted positively to the oil well services and equipment provider’s third quarter results and its announced acquisition of Advanced Production and Loading PLC, a subsidiary of BW Offshore Limited. The stock also benefited from rising oil prices during the reporting period.
Individual detractors from relative performance included Whirlpool Corp. and Bank of America Corp. Lower-than-expected demand from U.S. consumers hurt third-quarter results for the home appliances manufacturer, Whirlpool Corp. The stock declined despite rising sales in Asia and Latin America, as higher costs for raw materials and an increased need to discount the price of its products hurt the company’s profits. Shares of Bank of America Corp. declined due to uncertainty about potential federal regulation. In addition, concerns about losses from Bank of America Corp.’s mortgage business weighed on the stock.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Chevron Corp. | 4.1 | % | |||||
| 2. | Pfizer, Inc. | 3.6 | ||||||
| 3. | Citigroup, Inc. | 3.1 | ||||||
| 4. | Wells Fargo & Co. | 2.4 | ||||||
| 5. | AT&T, Inc. | 2.3 | ||||||
| 6. | UnitedHealth Group, Inc. | 2.2 | ||||||
| 7. | Bank of America Corp. | 2.0 | ||||||
| 8. | Prudential Financial, Inc. | 1.9 | ||||||
| 9. | Occidental Petroleum Corp. | 1.8 | ||||||
| 10. | Verizon Communications, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||||
| Financials | 26.4 | % | ||||
| Health Care | 12.8 | |||||
| Energy | 12.6 | |||||
| Industrials | 8.7 | |||||
| Information Technology | 8.5 | |||||
| Consumer Discretionary | 8.4 | |||||
| Consumer Staples | 6.8 | |||||
| Telecommunication Services | 5.3 | |||||
| Utilities | 4.7 | |||||
| Materials | 3.2 | |||||
| Short-Term Investment | 2.6 | |||||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2011. The Fund’s composition is subject to change. |
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 11 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2011 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2011 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 32.01 | % | 1.39 | % | 9.30 | % | ||||||||||
With Sales Charge* | 25.09 | 0.31 | 8.60 | |||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 31.30 | 0.89 | 8.88 | |||||||||||||
With CDSC** | 30.30 | 0.89 | 8.88 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 31.65 | 1.26 | 9.22 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 32.45 | 1.83 | 9.63 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 32.48 | 1.83 | 9.63 | ||||||||||||
SELECT CLASS SHARES | 2/28/03 | 32.17 | 1.63 | 9.50 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/03 TO 6/30/11)
Source: Lipper, Inc. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2003.
Returns for Class A, Class C, Class R2, Class R5 and Class R6 Shares prior to their inception date are based on the performance of the Select Class Shares. The actual returns for Class A, Class C and Class R2 Shares would have been lower than shown because Class A, Class C and Class R2 Shares have higher expenses than Select Class Shares. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Value Fund, the Russell 1000 Value Index, and the Lipper Large-Cap Value Funds Index from February 28, 2003 to June 30, 2011. The performance of the Fund assumes reinvestment of all dividends and capital gains, if any, and does not include a sales charge. The performance of the Russell 1000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gains of the securities included in the benchmark. The performance of the Lipper Large-Cap Value Funds Index includes expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses charged by the Fund. The Russell 1000 Value Index is an unmanaged index which measures the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Large-Cap Value Funds Index is an index based on the total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Subsequent to the inception of the Fund through October 1, 2003, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.3% |
| ||||||
Consumer Discretionary — 9.8% | ||||||||
Auto Components — 0.4% |
| |||||||
| 118 | TRW Automotive Holdings Corp. (a) | 6,942 | ||||||
|
| |||||||
Automobiles — 1.1% |
| |||||||
| 977 | Ford Motor Co. (a) | 13,470 | ||||||
| 171 | General Motors Co. (a) | 5,185 | ||||||
|
| |||||||
| 18,655 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.8% |
| |||||||
| 90 | H&R Block, Inc. | 1,442 | ||||||
| 145 | Sotheby’s | 6,325 | ||||||
| 87 | Weight Watchers International, Inc. | 6,566 | ||||||
|
| |||||||
| 14,333 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.7% |
| |||||||
| 213 | Wyndham Worldwide Corp. | 7,164 | ||||||
| 35 | Wynn Resorts Ltd. | 5,053 | ||||||
|
| |||||||
| 12,217 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
| 98 | Tempur-Pedic International, Inc. (a) | 6,639 | ||||||
|
| |||||||
Media — 3.6% |
| |||||||
| 923 | CBS Corp., Class B | 26,296 | ||||||
| 416 | Gannett Co., Inc. | 5,954 | ||||||
| 85 | Time Warner Cable, Inc. | 6,649 | ||||||
| 460 | Viacom, Inc., Class B | 23,481 | ||||||
|
| |||||||
| 62,380 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
| 255 | Macy’s, Inc. | 7,462 | ||||||
|
| |||||||
Specialty Retail — 1.7% |
| |||||||
| 22 | AutoZone, Inc. (a) | 6,575 | ||||||
| 251 | GameStop Corp., Class A (a) (c) | 6,684 | ||||||
| 209 | Limited Brands, Inc. | 8,044 | ||||||
| 152 | Signet Jewelers Ltd., (Bermuda) (a) | 7,124 | ||||||
|
| |||||||
| 28,427 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 66 | Deckers Outdoor Corp. (a) | 5,826 | ||||||
| 50 | V.F. Corp. | 5,428 | ||||||
|
| |||||||
| 11,254 | ||||||||
|
| |||||||
Total Consumer Discretionary | 168,309 | |||||||
|
| |||||||
Consumer Staples — 8.4% |
| |||||||
Beverages — 0.7% |
| |||||||
| 230 | Coca-Cola Enterprises, Inc. | 6,720 | ||||||
| 302 | Constellation Brands, Inc., Class A (a) | 6,292 | ||||||
|
| |||||||
| 13,012 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 2.0% |
| |||||||
| 654 | Kroger Co. (The) | 16,224 | ||||||
| 327 | Wal-Mart Stores, Inc. | 17,382 | ||||||
|
| |||||||
| 33,606 | ||||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
| 316 | Smithfield Foods, Inc. (a) | 6,902 | ||||||
| 371 | Tyson Foods, Inc., Class A | 7,201 | ||||||
|
| |||||||
| 14,103 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
| 40 | Colgate-Palmolive Co. | 3,453 | ||||||
| 90 | Energizer Holdings, Inc. (a) | 6,483 | ||||||
| 229 | Kimberly-Clark Corp. | 15,236 | ||||||
|
| |||||||
| 25,172 | ||||||||
|
| |||||||
Personal Products — 0.5% |
| |||||||
| 153 | Herbalife Ltd., (Cayman Islands) | 8,830 | ||||||
|
| |||||||
Tobacco — 2.9% |
| |||||||
| 132 | Lorillard, Inc. | 14,404 | ||||||
| 535 | Philip Morris International, Inc. | 35,722 | ||||||
|
| |||||||
| 50,126 | ||||||||
|
| |||||||
Total Consumer Staples | 144,849 | |||||||
|
| |||||||
Energy — 11.6% |
| |||||||
Energy Equipment & Services — 1.4% |
| |||||||
| 215 | Complete Production Services, Inc. (a) | 7,179 | ||||||
| 125 | National Oilwell Varco, Inc. | 9,784 | ||||||
| 224 | Patterson-UTI Energy, Inc. | 7,075 | ||||||
|
| |||||||
| 24,038 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.2% |
| |||||||
| 112 | Apache Corp. | 13,869 | ||||||
| 474 | Chevron Corp. | 48,746 | ||||||
| 113 | Energen Corp. | 6,384 | ||||||
| 684 | Exxon Mobil Corp. | 55,644 | ||||||
| 269 | Occidental Petroleum Corp. | 27,971 | ||||||
| 849 | Valero Energy Corp. | 21,704 | ||||||
|
| |||||||
| 174,318 | ||||||||
|
| |||||||
Total Energy | 198,356 | |||||||
|
| |||||||
Financials — 16.6% |
| |||||||
Capital Markets — 2.0% |
| |||||||
| 306 | Ameriprise Financial, Inc. | 17,638 | ||||||
| 120 | Goldman Sachs Group, Inc. (The) | 15,973 | ||||||
|
| |||||||
| 33,611 | ||||||||
|
| |||||||
Commercial Banks — 3.2% |
| |||||||
| 1,185 | Huntington Bancshares, Inc. | 7,772 | ||||||
| 350 | PNC Financial Services Group, Inc. | 20,875 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 13 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Commercial Banks — Continued |
| |||||||
| 584 | SunTrust Banks, Inc. | 15,059 | ||||||
| 377 | Wells Fargo & Co. | 10,580 | ||||||
|
| |||||||
| 54,286 | ||||||||
|
| |||||||
Consumer Finance — 2.1% |
| |||||||
| 366 | Capital One Financial Corp. | 18,896 | ||||||
| 661 | Discover Financial Services | 17,679 | ||||||
|
| |||||||
| 36,575 | ||||||||
|
| |||||||
Diversified Financial Services — 3.2% |
| |||||||
| 1,691 | Bank of America Corp. | 18,536 | ||||||
| 882 | Citigroup, Inc. | 36,740 | ||||||
|
| |||||||
| 55,276 | ||||||||
|
| |||||||
Insurance — 4.0% |
| |||||||
| 100 | ACE Ltd., (Switzerland) | 6,608 | ||||||
| 174 | Endurance Specialty Holdings Ltd., (Bermuda) | 7,204 | ||||||
| 112 | Hartford Financial Services Group, Inc. | 2,948 | ||||||
| 278 | Lincoln National Corp. | 7,923 | ||||||
| 325 | MetLife, Inc. | 14,249 | ||||||
| 272 | Protective Life Corp. | 6,285 | ||||||
| 359 | Prudential Financial, Inc. | 22,816 | ||||||
|
| |||||||
| 68,033 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.7% |
| |||||||
| 370 | Annaly Capital Management, Inc. | 6,668 | ||||||
| 226 | HCP, Inc. | 8,288 | ||||||
| 129 | Health Care REIT, Inc. | 6,769 | ||||||
| 67 | Simon Property Group, Inc. | 7,838 | ||||||
|
| |||||||
| 29,563 | ||||||||
|
| |||||||
Warehouse/Industrial — 0.4% |
| |||||||
| 188 | ProLogis, Inc. | 6,734 | ||||||
|
| |||||||
Total Financials | 284,078 | |||||||
|
| |||||||
Health Care — 12.1% |
| |||||||
Biotechnology — 2.0% |
| |||||||
| 241 | Amgen, Inc. (a) | 14,033 | ||||||
| 184 | Biogen Idec, Inc. (a) | 19,684 | ||||||
|
| |||||||
| 33,717 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
| 93 | Cooper Cos., Inc. (The) | 7,361 | ||||||
| 120 | Kinetic Concepts, Inc. (a) (c) | 6,916 | ||||||
| 55 | Medtronic, Inc. | 2,100 | ||||||
|
| |||||||
| 16,377 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.1% |
| |||||||
| 113 | AMERIGROUP Corp. (a) | 7,942 | ||||||
| 292 | Humana, Inc. | 23,502 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
| 617 | UnitedHealth Group, Inc. | 31,845 | ||||||
| 130 | Universal Health Services, Inc., Class B | 6,704 | ||||||
|
| |||||||
| 69,993 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
| 192 | Agilent Technologies, Inc. (a) | 9,798 | ||||||
| 164 | Thermo Fisher Scientific, Inc. (a) | 10,541 | ||||||
|
| |||||||
| 20,339 | ||||||||
|
| |||||||
Pharmaceuticals — 3.9% |
| |||||||
| 188 | Endo Pharmaceuticals Holdings, Inc. (a) | 7,552 | ||||||
| 200 | Merck & Co., Inc. | 7,040 | ||||||
| 2,172 | Pfizer, Inc. | 44,752 | ||||||
| 294 | Warner Chilcott plc, (Ireland), Class A | 7,085 | ||||||
|
| |||||||
| 66,429 | ||||||||
|
| |||||||
Total Health Care | 206,855 | |||||||
|
| |||||||
Industrials — 10.6% |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
| 200 | General Dynamics Corp. | 14,904 | ||||||
| 469 | Honeywell International, Inc. | 27,936 | ||||||
|
| |||||||
| 42,840 | ||||||||
|
| |||||||
Airlines — 1.0% |
| |||||||
| 115 | Alaska Air Group, Inc. (a) | 7,866 | ||||||
| 404 | United Continental Holdings, Inc. (a) | 9,138 | ||||||
|
| |||||||
| 17,004 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 315 | R.R. Donnelley & Sons Co. | 6,179 | ||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 204 | KBR, Inc. | 7,700 | ||||||
|
| |||||||
Industrial Conglomerates — 1.6% |
| |||||||
| 548 | Tyco International Ltd., (Switzerland) | 27,107 | ||||||
|
| |||||||
Machinery — 3.7% |
| |||||||
| 234 | Caterpillar, Inc. | 24,859 | ||||||
| 45 | Joy Global, Inc. | 4,276 | ||||||
| 303 | Parker Hannifin Corp. | 27,155 | ||||||
| 140 | Timken Co. | 7,051 | ||||||
|
| |||||||
| 63,341 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 236 | Norfolk Southern Corp. | 17,706 | ||||||
|
| |||||||
Total Industrials | 181,877 | |||||||
|
| |||||||
Information Technology — 17.6% |
| |||||||
Communications Equipment — 0.9% |
| |||||||
| 139 | Harris Corp. | 6,241 | ||||||
| 158 | QUALCOMM, Inc. | 8,973 | ||||||
|
| |||||||
| 15,214 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Computers & Peripherals — 4.5% |
| |||||||
| 182 | Apple, Inc. (a) | 61,159 | ||||||
| 354 | EMC Corp. (a) | 9,739 | ||||||
| 132 | SanDisk Corp. (a) | 5,482 | ||||||
|
| |||||||
| 76,380 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 283 | Vishay Intertechnology, Inc. (a) | 4,252 | ||||||
|
| |||||||
Internet Software & Services — 0.5% |
| |||||||
| 225 | IAC/InterActiveCorp. (a) | 8,580 | ||||||
|
| |||||||
IT Services — 3.7% | ||||||||
| 97 | Alliance Data Systems Corp. (a) (c) | 9,143 | ||||||
| 301 | International Business Machines Corp. | 51,628 | ||||||
| 68 | VeriFone Systems, Inc. (a) | 2,994 | ||||||
|
| |||||||
| 63,765 | ||||||||
|
| |||||||
Office Electronics — 1.4% |
| |||||||
| 2,258 | Xerox Corp. | 23,503 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 465 | Broadcom Corp., Class A (a) | 15,639 | ||||||
| 288 | Freescale Semiconductor Holdings I Ltd. (a) | 5,295 | ||||||
| 259 | Lam Research Corp. (a) | 11,446 | ||||||
| 289 | Xilinx, Inc. | 10,529 | ||||||
|
| |||||||
| 42,909 | ||||||||
|
| |||||||
Software — 3.9% |
| |||||||
| 291 | Fortinet, Inc. (a) | 7,933 | ||||||
| 622 | Microsoft Corp. | 16,164 | ||||||
| 1,083 | Oracle Corp. | 35,645 | ||||||
| 340 | Symantec Corp. (a) | 6,697 | ||||||
|
| |||||||
| 66,439 | ||||||||
|
| |||||||
Total Information Technology | 301,042 | |||||||
|
| |||||||
Materials — 4.2 % |
| |||||||
Chemicals — 3.0% |
| |||||||
| 44 | CF Industries Holdings, Inc. | 6,276 | ||||||
| 153 | E.I. du Pont de Nemours & Co. | 8,280 | ||||||
| 67 | Eastman Chemical Co. | 6,880 | ||||||
| 179 | PPG Industries, Inc. | 16,279 | ||||||
| 124 | Rockwood Holdings, Inc. (a) | 6,878 | ||||||
| 119 | Westlake Chemical Corp. | 6,155 | ||||||
|
| |||||||
| 50,748 | ||||||||
|
| |||||||
Metals & Mining — 1.2% |
| |||||||
| 262 | Alcoa, Inc. | 4,159 | ||||||
| 61 | Cliffs Natural Resources, Inc. | 5,649 | ||||||
| 220 | Freeport-McMoRan Copper & Gold, Inc. | 11,627 | ||||||
|
| |||||||
| 21,435 | ||||||||
|
| |||||||
Total Materials | 72,183 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 3.0% |
| |||||||
Diversified Telecommunication Services — 3.0% |
| |||||||
| 519 | AT&T, Inc. | 16,296 | ||||||
| 458 | CenturyLink, Inc. | 18,526 | ||||||
| 73 | Frontier Communications Corp. | 587 | ||||||
| 424 | Verizon Communications, Inc. | 15,778 | ||||||
|
| |||||||
Total Telecommunication Services | 51,187 | |||||||
|
| |||||||
Utilities — 2.4% | ||||||||
Electric Utilities — 0.9% | ||||||||
| 436 | American Electric Power Co., Inc. | 16,415 | ||||||
|
| |||||||
Multi-Utilities — 1.5% | ||||||||
| 482 | Sempra Energy | 25,473 | ||||||
|
| |||||||
Total Utilities | 41,888 | |||||||
|
| |||||||
Total Common Stocks | 1,650,624 | |||||||
|
| |||||||
| Short-Term Investment — 3.9% |
| ||||||
Investment Company — 3.9% | ||||||||
| 66,545 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 66,545 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.8% |
| ||||||
Investment Company — 0.8% | ||||||||
| 14,385 | JPMorgan Prime Money Market Fund, Capital Shares,0.080% (b) (l) | 14,385 | ||||||
|
| |||||||
Total Investments — 101.0% | 1,731,554 | |||||||
Liabilities in Excess | (16,951 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,714,603 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 15 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 975 | E-mini S&P 500 | 09/16/11 | $ | 64,131 | $ | 2,196 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.7% |
| ||||||
Consumer Discretionary — 13.4% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 47 | TRW Automotive Holdings Corp. (a) | 2,774 | ||||||
|
| |||||||
Automobiles — 1.1% |
| |||||||
| 552 | Ford Motor Co. (a) | 7,612 | ||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
| 34 | Weight Watchers International, Inc. | 2,574 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
| 98 | Wyndham Worldwide Corp. | 3,291 | ||||||
| 83 | Wynn Resorts Ltd. | 11,942 | ||||||
| 48 | Yum! Brands, Inc. | 2,663 | ||||||
|
| |||||||
| 17,896 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 47 | Tempur-Pedic International, Inc. (a) | 3,181 | ||||||
|
| |||||||
Internet & Catalog Retail — 2.9% |
| |||||||
| 21 | Amazon.com, Inc. (a) | 4,356 | ||||||
| 13 | NetFlix, Inc. (a) | 3,283 | ||||||
| 24 | priceline.com, Inc. (a) | 12,133 | ||||||
|
| |||||||
| 19,772 | ||||||||
|
| |||||||
Media — 2.9% |
| |||||||
| 407 | CBS Corp., Class B | 11,590 | ||||||
| 110 | DIRECTV, Class A (a) | 5,575 | ||||||
| 157 | Gannett Co., Inc. | 2,254 | ||||||
|
| |||||||
| 19,419 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
| 87 | Macy’s, Inc. | 2,535 | ||||||
|
| |||||||
Specialty Retail — 1.2% |
| |||||||
| 9 | AutoZone, Inc. (a) | 2,506 | ||||||
| 84 | Limited Brands, Inc. | 3,214 | ||||||
| 55 | Signet Jewelers Ltd., (Bermuda) (a) | 2,589 | ||||||
|
| |||||||
| 8,309 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 29 | Deckers Outdoor Corp. (a) | 2,530 | ||||||
| 17 | Fossil, Inc. (a) | 2,037 | ||||||
| 38 | Phillips-Van Heusen Corp. | 2,507 | ||||||
|
| |||||||
| 7,074 | ||||||||
|
| |||||||
Total Consumer Discretionary | 91,146 | |||||||
|
| |||||||
Consumer Staples — 10.7% | ||||||||
Beverages — 0.7% |
| |||||||
| 93 | Coca-Cola Enterprises, Inc. | 2,723 | ||||||
| 115 | Constellation Brands, Inc., Class A (a) | 2,386 | ||||||
|
| |||||||
| 5,109 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 2.3% |
| |||||||
| 108 | Walgreen Co. | 4,598 | ||||||
| 206 | Wal-Mart Stores, Inc. | 10,931 | ||||||
|
| |||||||
| 15,529 | ||||||||
|
| |||||||
Food Products — 2.0% |
| |||||||
| 157 | H.J. Heinz Co. | 8,338 | ||||||
| 127 | Smithfield Foods, Inc. (a) | 2,778 | ||||||
| 115 | Tyson Foods, Inc., Class A | 2,235 | ||||||
|
| |||||||
| 13,351 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
| 77 | Colgate-Palmolive Co. | 6,766 | ||||||
| 51 | Kimberly-Clark Corp. | 3,361 | ||||||
|
| |||||||
| 10,127 | ||||||||
|
| |||||||
Personal Products — 0.5% |
| |||||||
| 65 | Herbalife Ltd., (Cayman Islands) | 3,758 | ||||||
|
| |||||||
Tobacco — 3.7% |
| |||||||
| 47 | Lorillard, Inc. | 5,128 | ||||||
| 302 | Philip Morris International, Inc. | 20,164 | ||||||
|
| |||||||
| 25,292 | ||||||||
|
| |||||||
Total Consumer Staples | 73,166 | |||||||
|
| |||||||
Energy — 10.9% | ||||||||
Energy Equipment & Services — 2.6% |
| |||||||
| 51 | Dresser-Rand Group, Inc. (a) | 2,741 | ||||||
| 90 | Halliburton Co. | 4,605 | ||||||
| 23 | National Oilwell Varco, Inc. | 1,775 | ||||||
| 69 | Oceaneering International, Inc. | 2,795 | ||||||
| 88 | Patterson-UTI Energy, Inc. | 2,791 | ||||||
| 115 | RPC, Inc. | 2,830 | ||||||
|
| |||||||
| 17,537 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.3% |
| |||||||
| 44 | Apache Corp. | 5,417 | ||||||
| 109 | Chevron Corp. | 11,189 | ||||||
| 353 | Exxon Mobil Corp. | 28,719 | ||||||
| 58 | Occidental Petroleum Corp. | 6,008 | ||||||
| 204 | Valero Energy Corp. | 5,216 | ||||||
|
| |||||||
| 56,549 | ||||||||
|
| |||||||
Total Energy | 74,086 | |||||||
|
| |||||||
Financials — 6.7% | ||||||||
Capital Markets — 1.2% |
| |||||||
| 146 | Ameriprise Financial, Inc. | 8,444 | ||||||
|
| |||||||
Commercial Banks — 0.4% |
| |||||||
| 110 | SunTrust Banks, Inc. | 2,825 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 17 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Consumer Finance — 2.1% |
| |||||||
| 126 | Capital One Financial Corp. | 6,505 | ||||||
| 279 | Discover Financial Services | 7,474 | ||||||
|
| |||||||
| 13,979 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 46 | Citigroup, Inc. | 1,923 | ||||||
|
| |||||||
Insurance — 1.4% |
| |||||||
| 98 | Lincoln National Corp. | 2,792 | ||||||
| 133 | MetLife, Inc. | 5,831 | ||||||
| 15 | Prudential Financial, Inc. | 941 | ||||||
|
| |||||||
| 9,564 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 358 | Chimera Investment Corp. | 1,238 | ||||||
| 30 | Digital Realty Trust, Inc. (c) | 1,860 | ||||||
| 24 | Simon Property Group, Inc. | 2,843 | ||||||
|
| |||||||
| 5,941 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 207 | People’s United Financial, Inc. | 2,778 | ||||||
|
| |||||||
Total Financials | 45,454 | |||||||
|
| |||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 1.8% |
| |||||||
| 72 | Alexion Pharmaceuticals, Inc. (a) | 3,381 | ||||||
| 43 | Amgen, Inc. (a) | 2,492 | ||||||
| 63 | Biogen Idec, Inc. (a) | 6,768 | ||||||
|
| |||||||
| 12,641 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
| 48 | Baxter International, Inc. | 2,841 | ||||||
| 40 | Cooper Cos., Inc. (The) | 3,202 | ||||||
| 21 | Hill-Rom Holdings, Inc. | 967 | ||||||
| 75 | St. Jude Medical, Inc. | 3,557 | ||||||
| 44 | Zimmer Holdings, Inc. (a) | 2,787 | ||||||
|
| |||||||
| 13,354 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.1% |
| |||||||
| 39 | Humana, Inc. | 3,133 | ||||||
| 163 | UnitedHealth Group, Inc. | 8,418 | ||||||
| 50 | Universal Health Services, Inc., Class B | 2,592 | ||||||
|
| |||||||
| 14,143 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 46 | SXC Health Solutions Corp. (a) | 2,728 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
| 95 | Agilent Technologies, Inc. (a) | 4,861 | ||||||
| 44 | Illumina, Inc. (a) | 3,276 | ||||||
|
| |||||||
| 8,137 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — 2.7% |
| |||||||
| 75 | Endo Pharmaceuticals Holdings, Inc. (a) | 3,013 | ||||||
| 447 | Pfizer, Inc. | 9,208 | ||||||
| 99 | Warner Chilcott plc, (Ireland), Class A (c) | 2,383 | ||||||
| 52 | Watson Pharmaceuticals, Inc. (a) | 3,546 | ||||||
|
| |||||||
| 18,150 | ||||||||
|
| |||||||
Total Health Care | 69,153 | |||||||
|
| |||||||
Industrials — 12.8% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
| 66 | General Dynamics Corp. | 4,948 | ||||||
| 183 | Honeywell International, Inc. | 10,905 | ||||||
| 34 | TransDigm Group, Inc. (a) | 3,073 | ||||||
|
| |||||||
| 18,926 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 58 | United Parcel Service, Inc., Class B | 4,223 | ||||||
|
| |||||||
Airlines — 1.4% |
| |||||||
| 45 | Alaska Air Group, Inc. (a) | 3,101 | ||||||
| 358 | Delta Air Lines, Inc. (a) | 3,286 | ||||||
| 146 | United Continental Holdings, Inc. (a) | 3,293 | ||||||
|
| |||||||
| 9,680 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.3% |
| |||||||
| 118 | R.R. Donnelley & Sons Co. | 2,316 | ||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 71 | KBR, Inc. | 2,672 | ||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 152 | Tyco International Ltd., (Switzerland) | 7,504 | ||||||
|
| |||||||
Machinery — 6.2% |
| |||||||
| 94 | Caterpillar, Inc. | 10,050 | ||||||
| 77 | Cummins, Inc. | 7,969 | ||||||
| 34 | Eaton Corp. | 1,749 | ||||||
| 30 | Joy Global, Inc. | 2,848 | ||||||
| 116 | Parker Hannifin Corp. | 10,365 | ||||||
| 36 | Stanley Black & Decker, Inc. | 2,572 | ||||||
| 66 | Timken Co. | 3,316 | ||||||
| 48 | WABCO Holdings, Inc. (a) | 3,315 | ||||||
|
| |||||||
| 42,184 | ||||||||
|
| |||||||
Total Industrials | 87,505 | |||||||
|
| |||||||
Information Technology — 26.5% |
| |||||||
Communications Equipment — 1.9% |
| |||||||
| 25 | Acme Packet, Inc. (a) | 1,767 | ||||||
| 50 | Harris Corp. | 2,267 | ||||||
| 150 | QUALCOMM, Inc. | 8,513 | ||||||
|
| |||||||
| 12,547 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Computers & Peripherals — 7.7% |
| |||||||
| 119 | Apple, Inc. (a) | 39,894 | ||||||
| 163 | Dell, Inc. (a) | 2,715 | ||||||
| 92 | EMC Corp. (a) | 2,524 | ||||||
| 75 | NetApp, Inc. (a) | 3,953 | ||||||
| 86 | SanDisk Corp. (a) | 3,586 | ||||||
|
| |||||||
| 52,672 | ||||||||
|
| |||||||
Internet Software & Services — 0.5% |
| |||||||
| 88 | IAC/InterActiveCorp. (a) | 3,351 | ||||||
|
| |||||||
IT Services — 7.7% |
| |||||||
| 112 | Accenture plc, (Ireland), Class A | 6,791 | ||||||
| 31 | Alliance Data Systems Corp. (a) (c) | 2,921 | ||||||
| 179 | International Business Machines Corp. | 30,768 | ||||||
| 29 | VeriFone Systems, Inc. (a) | 1,277 | ||||||
| 544 | Western Union Co. (The) | 10,902 | ||||||
|
| |||||||
| 52,659 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 186 | Broadcom Corp., Class A (a) | 6,240 | ||||||
| 114 | Freescale Semiconductor Holdings I Ltd. (a) | 2,095 | ||||||
| 100 | Lam Research Corp. (a) | 4,419 | ||||||
| 115 | Xilinx, Inc. | 4,176 | ||||||
|
| |||||||
| 16,930 | ||||||||
|
| |||||||
Software — 6.2% | ||||||||
| 119 | Fortinet, Inc. (a) | 3,259 | ||||||
| 484 | Microsoft Corp. | 12,575 | ||||||
| 677 | Oracle Corp. | 22,282 | ||||||
| 208 | Symantec Corp. (a) | 4,104 | ||||||
|
| |||||||
| 42,220 | ||||||||
|
| |||||||
Total Information Technology | 180,379 | |||||||
|
| |||||||
Materials — 6.0% | ||||||||
Chemicals — 4.3% |
| |||||||
| 18 | CF Industries Holdings, Inc. | 2,564 | ||||||
| 49 | E.I. du Pont de Nemours & Co. | 2,637 | ||||||
| 26 | Eastman Chemical Co. | 2,695 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 68 | LyondellBasell Industries N.V., (Netherlands), Class A | 2,608 | ||||||
| 128 | PPG Industries, Inc. | 11,576 | ||||||
| 51 | Rockwood Holdings, Inc. (a) | 2,825 | ||||||
| 101 | Solutia, Inc. (a) | 2,301 | ||||||
| 48 | Westlake Chemical Corp. | 2,509 | ||||||
|
| |||||||
| 29,715 | ||||||||
|
| |||||||
Metals & Mining — 1.7% |
| |||||||
| 16 | Cliffs Natural Resources, Inc. | 1,442 | ||||||
| 136 | Freeport-McMoRan Copper & Gold, Inc. | 7,211 | ||||||
| 24 | Walter Energy, Inc. | 2,756 | ||||||
|
| |||||||
| 11,409 | ||||||||
|
| |||||||
Total Materials | 41,124 | |||||||
|
| |||||||
Telecommunication Services — 0.5% | ||||||||
Diversified Telecommunication Services — 0.5% |
| |||||||
| 85 | CenturyLink, Inc. | 3,430 | ||||||
|
| |||||||
Total Common Stocks | 665,443 | |||||||
|
| |||||||
| Short-Term Investment — 2.2% |
| ||||||
Investment Company — 2.2% |
| |||||||
| 15,140 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (m) (Cost $15,140) | 15,140 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.6% |
| ||||||
Investment Company — 0.6% |
| |||||||
| 3,588 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 3,588 | ||||||
|
| |||||||
Total Investments — 100.5% | 684,171 | |||||||
Liabilities in Excess of | (3,164 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 681,007 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 225 | E-mini S&P 500 | 09/16/11 | $ | 14,799 | $ | 548 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 19 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.0% |
| ||||||
Consumer Discretionary — 14.3% |
| |||||||
Auto Components — 1.8% |
| |||||||
| 45 | Autoliv, Inc., (Sweden) | 3,491 | ||||||
| 10 | Lear Corp. | 546 | ||||||
| 75 | TRW Automotive Holdings Corp. (a) | 4,427 | ||||||
|
| |||||||
| 8,464 | ||||||||
|
| |||||||
Distributors — 0.0% (g) |
| |||||||
| 4 | Genuine Parts Co. | 201 | ||||||
|
| |||||||
Diversified Consumer Services — 2.2% |
| |||||||
| 31 | Apollo Group, Inc., Class A (a) | 1,363 | ||||||
| 17 | �� | Career Education Corp. (a) | 364 | |||||
| 179 | H&R Block, Inc. | 2,877 | ||||||
| 28 | ITT Educational Services, Inc. (a) | 2,183 | ||||||
| 311 | Service Corp. International | 3,634 | ||||||
|
| |||||||
| 10,421 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
| 86 | Brinker International, Inc. | 2,113 | ||||||
| 143 | Wyndham Worldwide Corp. | 4,798 | ||||||
| 3 | Wynn Resorts Ltd. | 388 | ||||||
|
| |||||||
| 7,299 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 27 | Garmin Ltd., (Switzerland) (c) | 902 | ||||||
| 78 | Leggett & Platt, Inc. | 1,899 | ||||||
| 23 | Tupperware Brands Corp. | 1,551 | ||||||
|
| |||||||
| 4,352 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.2% |
| |||||||
| 2 | priceline.com, Inc. (a) | 921 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.3% |
| |||||||
| 23 | Hasbro, Inc. | 1,017 | ||||||
| 19 | Mattel, Inc. | 522 | ||||||
|
| |||||||
| 1,539 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
| 299 | CBS Corp., Class B | 8,520 | ||||||
| 47 | DISH Network Corp., Class A (a) | 1,426 | ||||||
| 28 | Gannett Co., Inc. | 406 | ||||||
| 21 | McGraw-Hill Cos., Inc. (The) | 859 | ||||||
|
| |||||||
| 11,211 | ||||||||
|
| |||||||
Multiline Retail — 1.5% |
| |||||||
| 3 | Big Lots, Inc. (a) | 103 | ||||||
| 236 | Macy’s, Inc. | 6,886 | ||||||
|
| |||||||
| 6,989 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 3.4% |
| |||||||
| 4 | AutoZone, Inc. (a) | 1,121 | ||||||
| 183 | GameStop Corp., Class A (a) (c) | 4,879 | ||||||
| 67 | Limited Brands, Inc. | 2,592 | ||||||
| 132 | Signet Jewelers Ltd., (Bermuda) (a) | 6,165 | ||||||
| 22 | TJX Cos., Inc. | 1,171 | ||||||
|
| |||||||
| 15,928 | ||||||||
|
| |||||||
Total Consumer Discretionary | 67,325 | |||||||
|
| |||||||
Consumer Staples — 6.0% |
| |||||||
Beverages — 1.1% |
| |||||||
| 239 | Constellation Brands, Inc., Class A (a) | 4,976 | ||||||
|
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
| 273 | SUPERVALU, Inc. (c) | 2,573 | ||||||
|
| |||||||
Food Products — 2.6% |
| |||||||
| 175 | Corn Products International, Inc. | 9,674 | ||||||
| 122 | Smithfield Foods, Inc. (a) | 2,657 | ||||||
|
| |||||||
| 12,331 | ||||||||
|
| |||||||
Personal Products — 1.3% |
| |||||||
| 105 | Herbalife Ltd., (Cayman Islands) | 6,058 | ||||||
|
| |||||||
Tobacco — 0.5% |
| |||||||
| 21 | Lorillard, Inc. | 2,297 | ||||||
|
| |||||||
Total Consumer Staples | 28,235 | |||||||
|
| |||||||
Energy — 6.9% |
| |||||||
Energy Equipment & Services — 2.6% |
| |||||||
| 16 | Baker Hughes, Inc. | 1,146 | ||||||
| 9 | Core Laboratories N.V., (Netherlands) | 993 | ||||||
| 7 | Diamond Offshore Drilling, Inc. (c) | 493 | ||||||
| 15 | Dresser-Rand Group, Inc. (a) | 822 | ||||||
| 19 | National Oilwell Varco, Inc. | 1,495 | ||||||
| 66 | Oil States International, Inc. (a) | 5,270 | ||||||
| 4 | SEACOR Holdings, Inc. | 390 | ||||||
| 22 | Unit Corp. (a) | 1,313 | ||||||
|
| |||||||
| 11,922 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.3% |
| |||||||
| 40 | Cimarex Energy Co. | 3,601 | ||||||
| 94 | Energen Corp. | 5,283 | ||||||
| 32 | Holly Corp. (a) | 2,249 | ||||||
| 24 | Murphy Oil Corp. | 1,589 | ||||||
| 43 | Newfield Exploration Co. (a) | 2,945 | ||||||
| 9 | Noble Energy, Inc. | 766 | ||||||
| 30 | Southern Union Co. | 1,221 | ||||||
| 22 | Sunoco, Inc. | 922 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 67 | Valero Energy Corp. | 1,723 | ||||||
|
| |||||||
| 20,299 | ||||||||
|
| |||||||
Total Energy | 32,221 | |||||||
|
| |||||||
Financials — 17.8% |
| |||||||
Capital Markets — 1.2% |
| |||||||
| 57 | Affiliated Managers Group, Inc. (a) | 5,813 | ||||||
|
| |||||||
Commercial Banks — 1.8% |
| |||||||
| 8 | Bank of Hawaii Corp. | 358 | ||||||
| 20 | BOK Financial Corp. | 1,112 | ||||||
| 8 | City National Corp. | 407 | ||||||
| 4 | Cullen/Frost Bankers, Inc. | 227 | ||||||
| 90 | Fifth Third Bancorp | 1,145 | ||||||
| 108 | Huntington Bancshares, Inc. | 706 | ||||||
| 138 | KeyCorp | 1,148 | ||||||
| 10 | M&T Bank Corp. | 897 | ||||||
| 179 | TCF Financial Corp. (c) | 2,468 | ||||||
|
| |||||||
| 8,468 | ||||||||
|
| |||||||
Consumer Finance — 1.7% |
| |||||||
| 306 | Discover Financial Services | 8,186 | ||||||
|
| |||||||
Diversified Financial Services — 0.7% | ||||||||
| 136 | NASDAQ OMX Group, Inc. (The) (a) | 3,452 | ||||||
|
| |||||||
Insurance — 4.8% |
| |||||||
| 29 | Allied World Assurance Co. Holdings Ltd., (Switzerland) | 1,693 | ||||||
| 129 | American Financial Group, Inc. | 4,600 | ||||||
| 62 | Arch Capital Group Ltd., (Bermuda) (a) | 1,990 | ||||||
| 27 | Assurant, Inc. | 996 | ||||||
| 19 | Axis Capital Holdings Ltd., (Bermuda) | 576 | ||||||
| 8 | Everest Re Group Ltd., (Bermuda) | 687 | ||||||
| 157 | Genworth Financial, Inc., Class A (a) | 1,615 | ||||||
| 52 | Hartford Financial Services Group, Inc. | 1,371 | ||||||
| 84 | Lincoln National Corp. | 2,390 | ||||||
| 48 | Principal Financial Group, Inc. | 1,457 | ||||||
| 46 | Protective Life Corp. | 1,064 | ||||||
| 13 | Reinsurance Group of America, Inc. | 761 | ||||||
| 5 | Torchmark Corp. | 314 | ||||||
| 111 | Unum Group | 2,826 | ||||||
|
| |||||||
| 22,340 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 6.4% |
| |||||||
| 170 | Annaly Capital Management, Inc. | 3,063 | ||||||
| 89 | Apartment Investment & Management Co., Class A | 2,262 | ||||||
| 84 | Brandywine Realty Trust | 975 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
| 16 | Camden Property Trust | 1,018 | ||||||
| 28 | Chimera Investment Corp. | 96 | ||||||
| 52 | CommonWealth REIT | 1,332 | ||||||
| 57 | Developers Diversified Realty Corp. | 801 | ||||||
| 49 | Douglas Emmett, Inc. (m) | 975 | ||||||
| 328 | Duke Realty Corp. | 4,591 | ||||||
| 23 | Equity Residential | 1,386 | ||||||
| 48 | Health Care REIT, Inc. | 2,517 | ||||||
| 215 | Hospitality Properties Trust | 5,210 | ||||||
| 29 | Mack-Cali Realty Corp. | 955 | ||||||
| 38 | Nationwide Health Properties, Inc. | 1,557 | ||||||
| 6 | SL Green Realty Corp. | 489 | ||||||
| 34 | Taubman Centers, Inc. | 2,030 | ||||||
| 13 | Ventas, Inc. | 680 | ||||||
|
| |||||||
| 29,937 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 25 | Forest City Enterprises, Inc., Class A (a) | 457 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% |
| |||||||
| 94 | BankUnited, Inc. | 2,495 | ||||||
| 74 | Hudson City Bancorp, Inc. | 606 | ||||||
| 128 | New York Community Bancorp, Inc. | 1,914 | ||||||
|
| |||||||
| 5,015 | ||||||||
|
| |||||||
Total Financials | 83,668 | |||||||
|
| |||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 1.5% |
| |||||||
| 45 | Dendreon Corp. (a) | 1,791 | ||||||
| 17 | Pharmasset, Inc. (a) | 1,919 | ||||||
| 35 | United Therapeutics Corp. (a) | 1,928 | ||||||
| 31 | Vertex Pharmaceuticals, Inc. (a) | 1,591 | ||||||
|
| |||||||
| 7,229 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.8% |
| |||||||
| 124 | Cooper Cos., Inc. (The) | 9,842 | ||||||
| 50 | Hologic, Inc. (a) | 1,015 | ||||||
| 123 | Kinetic Concepts, Inc. (a) | 7,114 | ||||||
|
| |||||||
| 17,971 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.7% |
| |||||||
| 40 | Aetna, Inc. | 1,768 | ||||||
| 131 | AmerisourceBergen Corp. | 5,436 | ||||||
| 513 | Health Management Associates, Inc., Class A (a) | 5,528 | ||||||
| 55 | Humana, Inc. | 4,397 | ||||||
|
| |||||||
| 17,129 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
| 20 | Agilent Technologies, Inc. (a) | 1,007 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 21 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — 1.0% |
| |||||||
| 21 | Endo Pharmaceuticals Holdings, Inc. (a) | 859 | ||||||
| 49 | Mylan, Inc. (a) | 1,214 | ||||||
| 114 | Warner Chilcott plc, (Ireland), Class A | 2,741 | ||||||
|
| |||||||
| 4,814 | ||||||||
|
| |||||||
Total Health Care | 48,150 | |||||||
|
| |||||||
Industrials — 12.3% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
| 3 | Huntington Ingalls Industries, Inc. (a) | 104 | ||||||
| 11 | ITT Corp. | 654 | ||||||
| 49 | L-3 Communications Holdings, Inc. | 4,277 | ||||||
| 18 | Northrop Grumman Corp. | 1,255 | ||||||
|
| |||||||
| 6,290 | ||||||||
|
| |||||||
Airlines — 0.9% |
| |||||||
| 23 | Copa Holdings S.A., (Panama), Class A | 1,541 | ||||||
| 117 | United Continental Holdings, Inc. (a) | 2,650 | ||||||
|
| |||||||
| 4,191 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.2% |
| |||||||
| 145 | KAR Auction Services, Inc. (a) | 2,748 | ||||||
| 24 | Pitney Bowes, Inc. | 540 | ||||||
| 112 | R.R. Donnelley & Sons Co. | 2,192 | ||||||
|
| |||||||
| 5,480 | ||||||||
|
| |||||||
Construction & Engineering — 2.1% |
| |||||||
| 36 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 1,412 | ||||||
| 166 | KBR, Inc. | 6,245 | ||||||
| 52 | URS Corp. (a) | 2,345 | ||||||
|
| |||||||
| 10,002 | ||||||||
|
| |||||||
Electrical Equipment — 1.3% |
| |||||||
| 55 | Hubbell, Inc., Class B | 3,569 | ||||||
| 49 | Thomas & Betts Corp. (a) | 2,628 | ||||||
|
| |||||||
| 6,197 | ||||||||
|
| |||||||
Machinery — 4.6% |
| |||||||
| 5 | AGCO Corp. (a) | 227 | ||||||
| 118 | Navistar International Corp. (a) | 6,634 | ||||||
| 78 | Parker Hannifin Corp. | 7,013 | ||||||
| 21 | Snap-On, Inc. | 1,337 | ||||||
| 18 | SPX Corp. | 1,484 | ||||||
| 20 | Stanley Black & Decker, Inc. | 1,455 | ||||||
| 67 | Timken Co. | 3,352 | ||||||
|
| |||||||
| 21,502 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
| 19 | Kirby Corp. (a) | 1,094 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 0.7% |
| |||||||
| 82 | CSX Corp. | 2,151 | ||||||
| 18 | Ryder System, Inc. | 995 | ||||||
|
| |||||||
| 3,146 | ||||||||
|
| |||||||
Total Industrials | 57,902 | |||||||
|
| |||||||
Information Technology — 13.9% |
| |||||||
Communications Equipment — 0.6% |
| |||||||
| 62 | Brocade Communications Systems, Inc. (a) | 397 | ||||||
| 52 | Harris Corp. | 2,359 | ||||||
|
| |||||||
| 2,756 | ||||||||
|
| |||||||
Computers & Peripherals — 1.3% |
| |||||||
| 63 | Lexmark International, Inc., Class A (a) | 1,844 | ||||||
| 28 | QLogic Corp. (a) | 444 | ||||||
| 28 | SanDisk Corp. (a) | 1,141 | ||||||
| 73 | Western Digital Corp. (a) | 2,656 | ||||||
|
| |||||||
| 6,085 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.4% |
| |||||||
| 62 | Arrow Electronics, Inc. (a) | 2,581 | ||||||
| 85 | Avnet, Inc. (a) | 2,713 | ||||||
| 4 | Tech Data Corp. (a) | 181 | ||||||
| 68 | Vishay Intertechnology, Inc. (a) | 1,027 | ||||||
|
| |||||||
| 6,502 | ||||||||
|
| |||||||
Internet Software & Services — 1.4% |
| |||||||
| 105 | IAC/InterActiveCorp. (a) | 3,989 | ||||||
| 28 | LinkedIn Corp., Class A (a) (c) | 2,504 | ||||||
|
| |||||||
| 6,493 | ||||||||
|
| |||||||
IT Services — 3.2% |
| |||||||
| 53 | Alliance Data Systems Corp. (a) (c) | 5,028 | ||||||
| 52 | Broadridge Financial Solutions, Inc. | 1,247 | ||||||
| 57 | Computer Sciences Corp. | 2,177 | ||||||
| 21 | DST Systems, Inc. | 1,130 | ||||||
| 74 | Fidelity National Information Services, Inc. | 2,281 | ||||||
| 16 | Lender Processing Services, Inc. | 330 | ||||||
| 176 | SAIC, Inc. (a) | 2,964 | ||||||
|
| |||||||
| 15,157 | ||||||||
|
| |||||||
Office Electronics — 0.7% |
| |||||||
| 299 | Xerox Corp. | 3,114 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 27 | Fairchild Semiconductor International, Inc. (a) | 458 | ||||||
| 7 | First Solar, Inc. (a) (c) | 926 | ||||||
| 26 | Linear Technology Corp. | 864 | ||||||
| 281 | LSI Corp. (a) | 2,000 | ||||||
| 111 | Marvell Technology Group Ltd., (Bermuda) (a) | 1,637 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 210 | Micron Technology, Inc. (a) | 1,568 | ||||||
| 86 | National Semiconductor Corp. | 2,104 | ||||||
| 187 | ON Semiconductor Corp. (a) | 1,953 | ||||||
| 36 | Teradyne, Inc. (a) | 533 | ||||||
| 38 | Xilinx, Inc. | 1,402 | ||||||
|
| |||||||
| 13,445 | ||||||||
|
| |||||||
Software — 2.5% |
| |||||||
| 56 | BMC Software, Inc. (a) | 3,059 | ||||||
| 235 | CA, Inc. | 5,370 | ||||||
| 14 | Rovi Corp. (a) | 792 | ||||||
| 83 | Symantec Corp. (a) | 1,629 | ||||||
| 31 | Synopsys, Inc. (a) | 807 | ||||||
|
| |||||||
| 11,657 | ||||||||
|
| |||||||
Total Information Technology | 65,209 | |||||||
|
| |||||||
Materials — 7.7% |
| |||||||
Chemicals — 3.4% |
| |||||||
| 18 | Ashland, Inc. | 1,183 | ||||||
| 16 | CF Industries Holdings, Inc. | 2,196 | ||||||
| 21 | Eastman Chemical Co. | 2,189 | ||||||
| 96 | PPG Industries, Inc. | 8,671 | ||||||
| 37 | Westlake Chemical Corp. | 1,894 | ||||||
|
| |||||||
| 16,133 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
| 89 | Crown Holdings, Inc. (a) | 3,459 | ||||||
|
| |||||||
Metals & Mining — 2.6% |
| |||||||
| 46 | Cliffs Natural Resources, Inc. | 4,234 | ||||||
| 24 | Reliance Steel & Aluminum Co. | 1,182 | ||||||
| 17 | Royal Gold, Inc. | 984 | ||||||
| 11 | Schnitzer Steel Industries, Inc., Class A | 639 | ||||||
| 43 | Walter Energy, Inc. | 5,008 | ||||||
|
| |||||||
| 12,047 | ||||||||
|
| |||||||
Paper & Forest Products — 1.0% |
| |||||||
| 25 | Domtar Corp., (Canada) | 2,330 | ||||||
| 78 | International Paper Co. | 2,332 | ||||||
|
| |||||||
| 4,662 | ||||||||
|
| |||||||
Total Materials | 36,301 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
| 92 | Windstream Corp. | 1,192 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.3% |
| |||||||
| 105 | Clearwire Corp., Class A (a) (c) | 397 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — Continued |
| |||||||
| 323 | MetroPCS Communications, Inc. (a) | 5,553 | ||||||
|
| |||||||
| 5,950 | ||||||||
|
| |||||||
Total Telecommunication Services | 7,142 | |||||||
|
| |||||||
Utilities — 6.4% |
| |||||||
Electric Utilities — 0.6% |
| |||||||
| 97 | DPL, Inc. | 2,937 | ||||||
|
| |||||||
Gas Utilities — 0.8% |
| |||||||
| 18 | AGL Resources, Inc. | 720 | ||||||
| 87 | UGI Corp. | 2,778 | ||||||
|
| |||||||
| 3,498 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 1.0% |
| |||||||
| 90 | AES Corp. (The) (a) | 1,151 | ||||||
| 13 | Constellation Energy Group, Inc. | 497 | ||||||
| 128 | NRG Energy, Inc. (a) | 3,134 | ||||||
|
| |||||||
| 4,782 | ||||||||
|
| |||||||
Multi-Utilities — 4.0% |
| |||||||
| 42 | Alliant Energy Corp. | 1,689 | ||||||
| 37 | Ameren Corp. | 1,079 | ||||||
| 181 | CenterPoint Energy, Inc. | 3,495 | ||||||
| 79 | CMS Energy Corp. | 1,550 | ||||||
| 67 | DTE Energy Co. | 3,341 | ||||||
| 52 | MDU Resources Group, Inc. | 1,159 | ||||||
| 78 | Sempra Energy | 4,119 | ||||||
| 132 | TECO Energy, Inc. | 2,485 | ||||||
|
| |||||||
| 18,917 | ||||||||
|
| |||||||
Total Utilities | 30,134 | |||||||
|
| |||||||
Total Common Stocks | 456,287 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
U.S. Treasury Obligation — 0.2% |
| |||||||
| 1,205 | U.S. Treasury Note, | 1,208 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 3.1% |
| ||||||
Investment Company — 3.1% |
| |||||||
| 14,515 | JPMorgan Liquid Assets Money Market Fund, | 14,515 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 23 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment of Cash Collateral for Securities on Loan — 3.6% |
| ||||||
Investment Company — 3.6% |
| |||||||
| 16,949 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 16,949 | ||||||
|
| |||||||
Total Investments — 103.9% | 488,959 | |||||||
Liabilities in Excess of | (18,452 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 470,507 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 146 | S&P Mid Cap 400 | 09/16/11 | $ | 14,257 | $ | 529 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.0% |
| ||||||
Consumer Discretionary — 10.4% | ||||||||
Auto Components — 1.0% | ||||||||
| — | (h) | Autoliv, Inc., (Sweden) | 29 | |||||
| 2 | TRW Automotive Holdings Corp. (a) | 102 | ||||||
|
| |||||||
| 131 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.4% | ||||||||
| 4 | H&R Block, Inc. | 71 | ||||||
| 1 | Weight Watchers International, Inc. | 107 | ||||||
|
| |||||||
| 178 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||
| 3 | Wyndham Worldwide Corp. | 109 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.8% | ||||||||
| 1 | Polaris Industries, Inc. | 108 | ||||||
|
| |||||||
Media — 3.0% | ||||||||
| 6 | Gannett Co., Inc. | 87 | ||||||
| 3 | Time Warner Cable, Inc. | 219 | ||||||
| — | (h) | Time Warner, Inc. | 15 | |||||
| 1 | Viacom, Inc., Class B | 61 | ||||||
|
| |||||||
| 382 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
| 3 | Macy’s, Inc. | 98 | ||||||
|
| |||||||
Specialty Retail — 1.9% | ||||||||
| — | (h) | AutoZone, Inc. (a) | 81 | |||||
| 2 | Best Buy Co., Inc. | 59 | ||||||
| 2 | Signet Jewelers Ltd., (Bermuda) (a) | 107 | ||||||
|
| |||||||
| 247 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% | ||||||||
| 1 | V.F. Corp. | 84 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,337 | |||||||
|
| |||||||
Consumer Staples — 9.6% | ||||||||
Beverages — 0.7% | ||||||||
| 4 | Constellation Brands, Inc., Class A (a) | 88 | ||||||
|
| |||||||
Food & Staples Retailing — 2.4% | ||||||||
| 4 | Kroger Co. (The) | 95 | ||||||
| 4 | Wal-Mart Stores, Inc. | 217 | ||||||
|
| |||||||
| 312 | ||||||||
|
| |||||||
Food Products — 1.5% | ||||||||
| 3 | Darling International, Inc. (a) | 47 | ||||||
| 2 | Smithfield Foods, Inc. (a) | 44 | ||||||
| 5 | Tyson Foods, Inc., Class A | 105 | ||||||
|
| |||||||
| 196 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 1.8% | ||||||||
| 1 | Colgate-Palmolive Co. | 72 | ||||||
| 2 | Energizer Holdings, Inc. (a) | 155 | ||||||
|
| |||||||
| 227 | ||||||||
|
| |||||||
Personal Products — 0.6% | ||||||||
| 1 | Herbalife Ltd., (Cayman Islands) | 75 | ||||||
|
| |||||||
Tobacco — 2.6% | ||||||||
| 2 | Lorillard, Inc. | 242 | ||||||
| 1 | Philip Morris International, Inc. | 94 | ||||||
|
| |||||||
| 336 | ||||||||
|
| |||||||
Total Consumer Staples | 1,234 | |||||||
|
| |||||||
Energy — 13.0% | ||||||||
Energy Equipment & Services — 1.2% | ||||||||
| 1 | Baker Hughes, Inc. | 55 | ||||||
| — | (h) | Diamond Offshore Drilling, Inc. | 28 | |||||
| 1 | National Oilwell Varco, Inc. | 72 | ||||||
|
| |||||||
| 155 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 11.8% | ||||||||
| 1 | Apache Corp. | 170 | ||||||
| 3 | Chevron Corp. | 345 | ||||||
| 1 | ConocoPhillips | 90 | ||||||
| 3 | Energen Corp. | 168 | ||||||
| 5 | Exxon Mobil Corp. | 440 | ||||||
| 1 | Marathon Oil Corp. | 29 | ||||||
| 1 | Occidental Petroleum Corp. | 148 | ||||||
| 4 | Valero Energy Corp. | 114 | ||||||
|
| |||||||
| 1,504 | ||||||||
|
| |||||||
Total Energy | 1,659 | |||||||
|
| |||||||
Financials — 16.4% | ||||||||
Capital Markets — 1.8% | ||||||||
| 3 | Ameriprise Financial, Inc. | 155 | ||||||
| 2 | Bank of New York Mellon Corp. (The) | 45 | ||||||
| — | (h) | Goldman Sachs Group, Inc. (The) | 30 | |||||
|
| |||||||
| 230 | ||||||||
|
| |||||||
Commercial Banks — 3.7% | ||||||||
| 1 | BB&T Corp. | 37 | ||||||
| — | (h) | Comerica, Inc. | 10 | |||||
| 6 | KeyCorp | 48 | ||||||
| 3 | PNC Financial Services Group, Inc. | 206 | ||||||
| 6 | Wells Fargo & Co. | 166 | ||||||
|
| |||||||
| 467 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 25 | ||||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Consumer Finance — 1.6% | ||||||||
| 3 | Capital One Financial Corp. | 163 | ||||||
| 2 | Nelnet, Inc., Class A | 43 | ||||||
|
| |||||||
| 206 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% | ||||||||
| 12 | Bank of America Corp. | 135 | ||||||
| 5 | Citigroup, Inc. | 188 | ||||||
|
| |||||||
| 323 | ||||||||
|
| |||||||
Insurance — 4.5% | ||||||||
| — | (h) | Allied World Assurance Co. Holdings Ltd., (Switzerland) | 25 | |||||
| 6 | CNO Financial Group, Inc. (a) | 47 | ||||||
| 1 | Endurance Specialty Holdings Ltd., (Bermuda) | 55 | ||||||
| 4 | Lincoln National Corp. | 108 | ||||||
| 1 | MetLife, Inc. | 59 | ||||||
| 3 | Principal Financial Group, Inc. | 87 | ||||||
| 1 | Protective Life Corp. | 34 | ||||||
| 3 | Prudential Financial, Inc. | 161 | ||||||
|
| |||||||
| 576 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.3% | ||||||||
| 3 | Ashford Hospitality Trust, Inc. | 34 | ||||||
| 9 | Brandywine Realty Trust | 109 | ||||||
| 4 | CBL & Associates Properties, Inc. | 65 | ||||||
| 2 | First Industrial Realty Trust, Inc. (a) | 27 | ||||||
| 1 | LaSalle Hotel Properties | 30 | ||||||
| 2 | Pennsylvania Real Estate Investment Trust | 35 | ||||||
|
| |||||||
| 300 | ||||||||
|
| |||||||
Total Financials | 2,102 | |||||||
|
| |||||||
Health Care — 14.2% | ||||||||
Biotechnology — 1.7% | ||||||||
| 1 | Alexion Pharmaceuticals, Inc. (a) | 51 | ||||||
| 1 | Amgen, Inc. (a) | 41 | ||||||
| 1 | Biogen Idec, Inc. (a) | 128 | ||||||
|
| |||||||
| 220 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.4% | ||||||||
| 1 | Cooper Cos., Inc. (The) | 101 | ||||||
| 2 | Covidien plc, (Ireland) | 100 | ||||||
| 2 | Kinetic Concepts, Inc. (a) | 130 | ||||||
| 1 | Medtronic, Inc. | 38 | ||||||
| 1 | Sirona Dental Systems, Inc. (a) | 66 | ||||||
|
| |||||||
| 435 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.6% | ||||||||
| 2 | Aetna, Inc. | 94 | ||||||
| 2 | AmerisourceBergen Corp. | 84 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
| 1 | Healthspring, Inc. (a) | 46 | ||||||
| 2 | Humana, Inc. | 121 | ||||||
| 5 | UnitedHealth Group, Inc. | 247 | ||||||
|
| |||||||
| 592 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% | ||||||||
| 2 | Agilent Technologies, Inc. (a) | 82 | ||||||
| — | (h) | Thermo Fisher Scientific, Inc. (a) | 27 | |||||
|
| |||||||
| 109 | ||||||||
|
| |||||||
Pharmaceuticals — 3.6% | ||||||||
| 2 | Endo Pharmaceuticals Holdings, Inc. (a) | 69 | ||||||
| 14 | Pfizer, Inc. | 286 | ||||||
| 4 | Warner Chilcott plc, (Ireland), Class A | 103 | ||||||
|
| |||||||
| 458 | ||||||||
|
| |||||||
Total Health Care | 1,814 | |||||||
|
| |||||||
Industrials — 10.4% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
| 2 | General Dynamics Corp. | 160 | ||||||
| 2 | Honeywell International, Inc. | 100 | ||||||
|
| |||||||
| 260 | ||||||||
|
| |||||||
Airlines — 1.1% | ||||||||
| 4 | Delta Air Lines, Inc. (a) | 32 | ||||||
| 5 | United Continental Holdings, Inc. (a) | 109 | ||||||
|
| |||||||
| 141 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.3% | ||||||||
| 2 | R.R. Donnelley & Sons Co. | 31 | ||||||
|
| |||||||
Construction & Engineering — 1.8% | ||||||||
| 2 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 96 | ||||||
| 3 | KBR, Inc. | 102 | ||||||
| 2 | MasTec, Inc. (a) | 36 | ||||||
|
| |||||||
| 234 | ||||||||
|
| |||||||
Machinery — 4.8% | ||||||||
| 1 | Cummins, Inc. | 114 | ||||||
| 5 | Eaton Corp. | 273 | ||||||
| — | (h) | Joy Global, Inc. | 43 | |||||
| 1 | Stanley Black & Decker, Inc. | 76 | ||||||
| 2 | Timken Co. | 104 | ||||||
|
| |||||||
| 610 | ||||||||
|
| |||||||
Road & Rail — 0.4% | ||||||||
| 1 | Norfolk Southern Corp. | 52 | ||||||
|
| |||||||
Total Industrials | 1,328 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Information Technology — 16.5% | ||||||||
Communications Equipment — 1.3% | ||||||||
| 1 | Harris Corp. | 47 | ||||||
| 2 | QUALCOMM, Inc. | 118 | ||||||
|
| |||||||
| 165 | ||||||||
|
| |||||||
Computers & Peripherals — 4.8% | ||||||||
| 1 | Apple, Inc. (a) | 394 | ||||||
| 1 | Dell, Inc. (a) | 13 | ||||||
| 4 | EMC Corp. (a) | 104 | ||||||
| 2 | Hewlett-Packard Co. | 67 | ||||||
| 1 | SanDisk Corp. (a) | 32 | ||||||
|
| |||||||
| 610 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 1 | Vishay Intertechnology, Inc. (a) | 22 | ||||||
|
| |||||||
Internet Software & Services — 1.2% | ||||||||
| 4 | IAC/InterActiveCorp. (a) | 158 | ||||||
|
| |||||||
IT Services — 1.6% | ||||||||
| 1 | Alliance Data Systems Corp. (a) | 125 | ||||||
| 1 | CSG Systems International, Inc. (a) | 20 | ||||||
| — | (h) | International Business Machines Corp. | 39 | |||||
| 1 | VeriFone Systems, Inc. (a) | 24 | ||||||
|
| |||||||
| 208 | ||||||||
|
| |||||||
Office Electronics — 0.6% | ||||||||
| 8 | Xerox Corp. | 80 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.6% |
| |||||||
| 2 | Intel Corp. | 45 | ||||||
| 3 | Marvell Technology Group Ltd., (Bermuda) (a) | 44 | ||||||
| 2 | Novellus Systems, Inc. (a) | 65 | ||||||
| 2 | Skyworks Solutions, Inc. (a) | 47 | ||||||
|
| |||||||
| 201 | ||||||||
|
| |||||||
Software — 5.2% |
| |||||||
| 1 | BMC Software, Inc. (a) | 52 | ||||||
| 16 | Microsoft Corp. | 406 | ||||||
| 6 | Oracle Corp. | 211 | ||||||
|
| |||||||
| 669 | ||||||||
|
| |||||||
Total Information Technology | 2,113 | |||||||
|
| |||||||
Materials — 4.4% |
| |||||||
Chemicals — 2.5% |
| |||||||
| 2 | E.I. du Pont de Nemours & Co. | 112 | ||||||
| — | (h) | Eastman Chemical Co. | 36 | |||||
| 2 | PPG Industries, Inc. | 173 | ||||||
|
| |||||||
| 321 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 1.9% |
| |||||||
| 3 | Alcoa, Inc. | 45 | ||||||
| 2 | Cliffs Natural Resources, Inc. | 152 | ||||||
| 1 | Freeport-McMoRan Copper & Gold, Inc. | 48 | ||||||
|
| |||||||
| 245 | ||||||||
|
| |||||||
Total Materials | 566 | |||||||
|
| |||||||
Telecommunication Services — 2.7% |
| |||||||
Diversified Telecommunication Services — 2.7% |
| |||||||
| 5 | AT&T, Inc. | 150 | ||||||
| 5 | CenturyLink, Inc. | 189 | ||||||
|
| |||||||
Total Telecommunication Services | 339 | |||||||
|
| |||||||
Utilities — 1.4% |
| |||||||
Electric Utilities — 0.3% |
| |||||||
| 1 | El Paso Electric Co. | 45 | ||||||
|
| |||||||
Gas Utilities — 0.5% |
| |||||||
| 2 | UGI Corp. | 61 | ||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
| 3 | Ameren Corp. | 74 | ||||||
|
| |||||||
Total Utilities | 180 | |||||||
|
| |||||||
Total Common Stocks | 12,672 | |||||||
|
| |||||||
| Short-Term Investment — 1.9% |
| ||||||
Investment Company — 1.9% |
| |||||||
| 246 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 246 | ||||||
|
| |||||||
Total Investments — 100.9% | 12,918 | |||||||
Liabilities in Excess of | (112 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 12,806 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 27 | ||||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 5 | E-mini S&P 500 | 09/16/11 | $ | 329 | $ | 8 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.4% |
| ||||||
Consumer Discretionary — 8.4% |
| |||||||
Automobiles — 0.7% |
| |||||||
| 254 | Ford Motor Co. (a) | 3,501 | ||||||
| 100 | General Motors Co. (a) | 3,036 | ||||||
|
| |||||||
| 6,537 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.2% |
| |||||||
| 132 | H&R Block, Inc. | 2,124 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.4% |
| |||||||
| 118 | Wyndham Worldwide Corp. | 3,961 | ||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
| 32 | Whirlpool Corp. | 2,635 | ||||||
|
| |||||||
Media — 4.3% |
| |||||||
| 500 | CBS Corp., Class B | 14,253 | ||||||
| 75 | Gannett Co., Inc. | 1,080 | ||||||
| 196 | Time Warner Cable, Inc. | 15,319 | ||||||
| 215 | Viacom, Inc., Class B | 10,965 | ||||||
|
| |||||||
| 41,617 | ||||||||
|
| |||||||
Multiline Retail — 0.5% | ||||||||
| 157 | Macy’s, Inc. | 4,582 | ||||||
|
| |||||||
Specialty Retail — 1.6% | ||||||||
| 111 | Best Buy Co., Inc. | 3,474 | ||||||
| 152 | Foot Locker, Inc. | 3,609 | ||||||
| 136 | GameStop Corp., Class A (a) (c) | 3,622 | ||||||
| 97 | Signet Jewelers Ltd., (Bermuda) (a) | 4,545 | ||||||
|
| |||||||
| 15,250 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| 38 | V.F. Corp. | 4,147 | ||||||
|
| |||||||
Total Consumer Discretionary | 80,853 | |||||||
|
| |||||||
Consumer Staples — 6.8% |
| |||||||
Beverages — 0.7% |
| |||||||
| 96 | Coca-Cola Enterprises, Inc. | 2,804 | ||||||
| 197 | Constellation Brands, Inc., Class A (a) | 4,098 | ||||||
|
| |||||||
| 6,902 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.4% |
| |||||||
| 290 | Kroger Co. (The) | 7,189 | ||||||
| 75 | Safeway, Inc. | 1,743 | ||||||
| 105 | SUPERVALU, Inc. (c) | 992 | ||||||
| 62 | Wal-Mart Stores, Inc. | 3,311 | ||||||
|
| |||||||
| 13,235 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
| 131 | Smithfield Foods, Inc. (a) | 2,854 | ||||||
| 208 | Tyson Foods, Inc., Class A | 4,043 | ||||||
|
| |||||||
| 6,897 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 2.0% | ||||||||
| 50 | Energizer Holdings, Inc. (a) | 3,589 | ||||||
| 109 | Kimberly-Clark Corp. | 7,275 | ||||||
| 135 | Procter & Gamble Co. (The) | 8,563 | ||||||
|
| |||||||
| 19,427 | ||||||||
|
| |||||||
Personal Products — 0.5% | ||||||||
| 78 | Herbalife Ltd., (Cayman Islands) | 4,485 | ||||||
|
| |||||||
Tobacco — 1.5% | ||||||||
| 69 | Lorillard, Inc. | 7,534 | ||||||
| 101 | Philip Morris International, Inc. | 6,730 | ||||||
|
| |||||||
| 14,264 | ||||||||
|
| |||||||
Total Consumer Staples | 65,210 | |||||||
|
| |||||||
Energy — 12.6% |
| |||||||
Energy Equipment & Services — 1.8% |
| |||||||
| 121 | Complete Production Services, Inc. (a) | 4,040 | ||||||
| 42 | Diamond Offshore Drilling, Inc. (c) | 2,978 | ||||||
| 126 | National Oilwell Varco, Inc. | 9,823 | ||||||
|
| |||||||
| 16,841 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.8% |
| |||||||
| 77 | Apache Corp. | 9,501 | ||||||
| 379 | Chevron Corp. | 39,023 | ||||||
| 127 | ConocoPhillips | 9,526 | ||||||
| 126 | Energen Corp. | 7,125 | ||||||
| 118 | Exxon Mobil Corp. | 9,603 | ||||||
| 170 | Occidental Petroleum Corp. | 17,666 | ||||||
| 467 | Valero Energy Corp. | 11,931 | ||||||
|
| |||||||
| 104,375 | ||||||||
|
| |||||||
Total Energy | 121,216 | |||||||
|
| |||||||
Financials — 26.4% |
| |||||||
Capital Markets — 2.9% |
| |||||||
| 210 | Ameriprise Financial, Inc. | 12,113 | ||||||
| 74 | Goldman Sachs Group, Inc. (The) | 9,842 | ||||||
| 261 | Morgan Stanley | 6,004 | ||||||
|
| |||||||
| 27,959 | ||||||||
|
| |||||||
Commercial Banks — 6.0% |
| |||||||
| 163 | BB&T Corp. | 4,386 | ||||||
| 571 | Huntington Bancshares, Inc. | 3,745 | ||||||
| 265 | PNC Financial Services Group, Inc. | 15,825 | ||||||
| 171 | Regions Financial Corp. | 1,063 | ||||||
| 370 | SunTrust Banks, Inc. | 9,556 | ||||||
| 811 | Wells Fargo & Co. | 22,766 | ||||||
|
| |||||||
| 57,341 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 29 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Consumer Finance — 2.5% |
| |||||||
| 290 | Capital One Financial Corp. | 14,969 | ||||||
| 321 | Discover Financial Services | 8,579 | ||||||
|
| |||||||
| 23,548 | ||||||||
|
| |||||||
Diversified Financial Services — 5.1% |
| |||||||
| 1,748 | Bank of America Corp. | 19,161 | ||||||
| 727 | Citigroup, Inc. | 30,267 | ||||||
|
| |||||||
| 49,428 | ||||||||
|
| |||||||
Insurance — 7.3% |
| |||||||
| 218 | ACE Ltd., (Switzerland) | 14,378 | ||||||
| 51 | Allied World Assurance Co. Holdings Ltd., (Switzerland) | 2,957 | ||||||
| 97 | Endurance Specialty Holdings Ltd., (Bermuda) | 3,993 | ||||||
| 221 | Hartford Financial Services Group, Inc. | 5,838 | ||||||
| 171 | Lincoln National Corp. | 4,869 | ||||||
| 335 | MetLife, Inc. | 14,679 | ||||||
| 144 | Protective Life Corp. | 3,326 | ||||||
| 286 | Prudential Financial, Inc. | 18,168 | ||||||
| 107 | XL Group plc, (Ireland) | 2,358 | ||||||
|
| |||||||
| 70,566 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
| 33 | Alexandria Real Estate Equities, Inc. | 2,578 | ||||||
| 205 | Annaly Capital Management, Inc. | 3,700 | ||||||
| 380 | Brandywine Realty Trust | 4,405 | ||||||
| 443 | Chimera Investment Corp. | 1,534 | ||||||
| 123 | Douglas Emmett, Inc. (m) | 2,453 | ||||||
| 77 | Entertainment Properties Trust | 3,596 | ||||||
| 81 | Hospitality Properties Trust | 1,974 | ||||||
| 29 | Mack-Cali Realty Corp. | 959 | ||||||
| 35 | Simon Property Group, Inc. | 4,123 | ||||||
|
| |||||||
| 25,322 | ||||||||
|
| |||||||
Total Financials | 254,164 | |||||||
|
| |||||||
Health Care — 12.8% |
| |||||||
Biotechnology — 0.9% |
| |||||||
| 147 | Amgen, Inc. (a) | 8,560 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.5% | ||||||||
| 54 | Cooper Cos., Inc. (The) | 4,279 | ||||||
| 74 | Kinetic Concepts, Inc. (a) | 4,282 | ||||||
| 37 | Medtronic, Inc. | 1,414 | ||||||
| 64 | Zimmer Holdings, Inc. (a) | 4,026 | ||||||
|
| |||||||
| 14,001 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.7% |
| |||||||
| 97 | CIGNA Corp. | 4,994 | ||||||
| 94 | Coventry Health Care, Inc. (a) | 3,417 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
| 198 | Humana, Inc. | 15,963 | ||||||
| 412 | UnitedHealth Group, Inc. | 21,241 | ||||||
|
| |||||||
| 45,615 | ||||||||
|
| |||||||
Pharmaceuticals — 5.7% |
| |||||||
| 113 | Eli Lilly & Co. | 4,256 | ||||||
| 110 | Endo Pharmaceuticals Holdings, Inc. (a) | 4,406 | ||||||
| 222 | Merck & Co., Inc. | 7,831 | ||||||
| 1,706 | Pfizer, Inc. | 35,134 | ||||||
| 137 | Warner Chilcott plc, (Ireland), Class A | 3,309 | ||||||
|
| |||||||
| 54,936 | ||||||||
|
| |||||||
Total Health Care | 123,112 | |||||||
|
| |||||||
Industrials — 8.7% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
| 125 | General Dynamics Corp. | 9,293 | ||||||
|
| |||||||
Airlines — 0.9% |
| |||||||
| 64 | Alaska Air Group, Inc. (a) | 4,395 | ||||||
| 211 | United Continental Holdings, Inc. (a) | 4,784 | ||||||
|
| |||||||
| 9,179 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 181 | R.R. Donnelley & Sons Co. | 3,542 | ||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 115 | KBR, Inc. | 4,323 | ||||||
|
| |||||||
Industrial Conglomerates — 3.2% |
| |||||||
| 932 | General Electric Co. | 17,582 | ||||||
| 266 | Tyco International Ltd., (Switzerland) | 13,154 | ||||||
|
| |||||||
| 30,736 | ||||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
| 155 | Parker Hannifin Corp. | 13,927 | ||||||
| 77 | Timken Co. | 3,871 | ||||||
|
| |||||||
| 17,798 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 107 | CSX Corp. | 2,816 | ||||||
| 87 | Norfolk Southern Corp. | 6,530 | ||||||
|
| |||||||
| 9,346 | ||||||||
|
| |||||||
Total Industrials | 84,217 | |||||||
|
| |||||||
Information Technology — 8.5% |
| |||||||
Communications Equipment — 0.4% |
| |||||||
| 67 | Harris Corp. | 3,024 | ||||||
| 23 | QUALCOMM, Inc. | 1,283 | ||||||
|
| |||||||
| 4,307 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Computers & Peripherals — 2.2% |
| |||||||
| 27 | Apple, Inc. (a) | 9,197 | ||||||
| 329 | Dell, Inc. (a) | 5,483 | ||||||
| 94 | SanDisk Corp. (a) | 3,905 | ||||||
| 140 | Seagate Technology plc, (Ireland) | 2,266 | ||||||
|
| |||||||
| 20,851 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 158 | Vishay Intertechnology, Inc. (a) | 2,374 | ||||||
|
| |||||||
Internet Software & Services — 0.5% |
| |||||||
| 118 | IAC/InterActiveCorp. (a) | 4,500 | ||||||
|
| |||||||
IT Services — 0.9% |
| |||||||
| 50 | International Business Machines Corp. | 8,543 | ||||||
|
| |||||||
Office Electronics — 1.4% |
| |||||||
| 1,251 | Xerox Corp. | 13,024 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 237 | Broadcom Corp., Class A (a) | 7,956 | ||||||
| 168 | Freescale Semiconductor Holdings I Ltd. (a) | 3,080 | ||||||
| 154 | Lam Research Corp. (a) | 6,810 | ||||||
| 168 | Xilinx, Inc. | 6,113 | ||||||
|
| |||||||
| 23,959 | ||||||||
|
| |||||||
Software — 0.4% | ||||||||
| 161 | Microsoft Corp. | 4,191 | ||||||
|
| |||||||
Total Information Technology | 81,749 | |||||||
|
| |||||||
Materials — 3.2% | ||||||||
Chemicals — 2.3% | ||||||||
| 12 | CF Industries Holdings, Inc. | 1,629 | ||||||
| 290 | E.I. du Pont de Nemours & Co. | 15,658 | ||||||
| 11 | Eastman Chemical Co. | 1,133 | ||||||
| 67 | Westlake Chemical Corp. | 3,478 | ||||||
|
| |||||||
| 21,898 | ||||||||
|
| |||||||
Metals & Mining — 0.9% | ||||||||
| 209 | Alcoa, Inc. | 3,319 | ||||||
| 27 | Cliffs Natural Resources, Inc. | 2,524 | ||||||
| 54 | Freeport-McMoRan Copper & Gold, Inc. | 2,846 | ||||||
|
| |||||||
| 8,689 | ||||||||
|
| |||||||
Total Materials | 30,587 | |||||||
|
| |||||||
Telecommunication Services — 5.3% | ||||||||
Diversified Telecommunication Services — 5.3% |
| |||||||
| 700 | AT&T, Inc. | 21,984 | ||||||
| 258 | CenturyLink, Inc. | 10,444 | ||||||
| 82 | Frontier Communications Corp. | 661 | ||||||
| 474 | Verizon Communications, Inc. | 17,658 | ||||||
|
| |||||||
Total Telecommunication Services | 50,747 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 4.7% | ||||||||
Electric Utilities — 2.5% | ||||||||
| 433 | American Electric Power Co., Inc. | 16,326 | ||||||
| 46 | Edison International | 1,794 | ||||||
| 94 | Exelon Corp. | 4,040 | ||||||
| 81 | PPL Corp. | 2,260 | ||||||
|
| |||||||
| 24,420 | ||||||||
|
| |||||||
Gas Utilities — 0.7% | ||||||||
| 90 | AGL Resources, Inc. | 3,656 | ||||||
| 85 | UGI Corp. | 2,720 | ||||||
|
| |||||||
| 6,376 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.7% |
| |||||||
| 257 | AES Corp. (The) (a) | 3,272 | ||||||
| 96 | Constellation Energy Group, Inc. | 3,640 | ||||||
|
| |||||||
| 6,912 | ||||||||
|
| |||||||
Multi-Utilities — 0.8% | ||||||||
| 130 | Ameren Corp. | 3,755 | ||||||
| 80 | Sempra Energy | 4,204 | ||||||
|
| |||||||
| 7,959 | ||||||||
|
| |||||||
Total Utilities | 45,667 | |||||||
|
| |||||||
| �� | Total Common Stocks | 937,522 | ||||||
|
| |||||||
| Short-Term Investment — 2.7% |
| ||||||
Investment Company — 2.7% | ||||||||
| 25,430 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.050% (b) (l) (Cost $25,430) | 25,430 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.7% |
| ||||||
Investment Company —0.7% | ||||||||
| 6,962 | JPMorgan Prime Money Market Fund, Capital Shares, 0.080% (b) (l) | 6,962 | ||||||
|
| |||||||
Total Investments — 100.8% | 969,914 | |||||||
Liabilities in Excess of | (7,489 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 962,425 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 31 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except number of contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/11 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding |
| |||||||||||||||
| 370 | E-mini S&P 500 | 09/16/11 | $ | 24,337 | $ | 768 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
J.P. Morgan Intrepid Funds
NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2011
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |
| (c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than one thousand (shares or dollars). |
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. | |
| (l) | — The rate shown is the current yield as of June 30, 2011. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, and forward foreign currency contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011
(Amounts in thousands, except per share amounts)
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 1,650,624 | $ | 665,443 | $ | 457,495 | ||||||
Investments in affiliates, at value | 80,930 | 18,728 | 31,464 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 1,731,554 | 684,171 | 488,959 | |||||||||
Deposits at broker for futures contracts | 4,560 | 960 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 20,909 | 13,536 | 443 | |||||||||
Fund shares sold | 453 | 626 | 689 | |||||||||
Interest and dividends | 2,005 | 561 | 589 | |||||||||
Securities lending income | 5 | 2 | 26 | |||||||||
Variation margin on futures contracts | 571 | 126 | 70 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,760,057 | 699,982 | 490,776 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | 1,881 | — | — | |||||||||
Dividends | — | — | 294 | |||||||||
Investment securities purchased | 26,970 | 14,372 | 1,898 | |||||||||
Collateral for securities lending program | 14,385 | 3,588 | 16,949 | |||||||||
Fund shares redeemed | 668 | 297 | 494 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 868 | 348 | 240 | |||||||||
Administration fees | 148 | 55 | 36 | |||||||||
Shareholder servicing fees | 283 | 98 | 61 | |||||||||
Distribution fees | 16 | 19 | 53 | |||||||||
Custodian and accounting fees | 46 | 22 | 17 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 1 | 2 | |||||||||
Other | 183 | 175 | 225 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 45,454 | 18,975 | 20,269 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,714,603 | $ | 681,007 | $ | 470,507 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid in capital | $ | 1,891,189 | $ | 1,019,818 | $ | 437,992 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 15,505 | 1,325 | (313 | ) | ||||||||
Accumulated net realized gains (losses) | (508,792 | ) | (474,803 | ) | (74,063 | ) | ||||||
Net unrealized appreciation (depreciation) | 316,701 | 134,667 | 106,891 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,714,603 | $ | 681,007 | $ | 470,507 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 47,376 | $ | 41,424 | $ | 138,937 | ||||||
Class B | — | — | 10,830 | |||||||||
Class C | 9,570 | 17,811 | 30,773 | |||||||||
Class R2 | 74 | 78 | — | |||||||||
Class R5 | 287,527 | 111,071 | — | |||||||||
Select Class | 1,370,056 | 510,623 | 289,967 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,714,603 | $ | 681,007 | $ | 470,507 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 1,930 | 1,699 | 8,798 | |||||||||
Class B | — | — | 761 | |||||||||
Class C | 394 | 739 | 2,161 | |||||||||
Class R2 | 3 | 3 | — | |||||||||
Class R5 | 11,644 | 4,542 | — | |||||||||
Select Class | 55,390 | 20,803 | 17,752 | |||||||||
Net Asset Value: | ||||||||||||
Class A — Redemption price per share | $ | 24.55 | $ | 24.39 | $ | 15.79 | ||||||
Class B — Offering price per share (a) | — | — | 14.22 | |||||||||
Class C — Offering price per share (a) | 24.29 | 24.09 | 14.24 | |||||||||
Class R2 — Offering and redemption price per share | 24.21 | 24.13 | — | |||||||||
Class R5 — Offering and redemption price per share | 24.69 | 24.45 | — | |||||||||
Select Class — Offering and redemption price per share | 24.73 | 24.55 | 16.33 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 25.91 | $ | 25.74 | $ | 16.66 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 1,336,119 | $ | 531,324 | $ | 351,133 | ||||||
Cost of investments in affiliates | 80,930 | 18,728 | 31,464 | |||||||||
Value of securities on loan | 14,193 | 3,520 | 16,769 | |||||||||
| (a) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 35 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2011 (continued)
(Amounts in thousands, except per share amounts)
| Intrepid Multi Cap Fund | Intrepid Value Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 12,672 | $ | 937,522 | ||||
Investments in affiliates, at value | 246 | 32,392 | ||||||
|
|
|
| |||||
Total investment securities, at value | 12,918 | 969,914 | ||||||
Deposits at broker for futures contracts | 50 | 1,715 | ||||||
Receivables: | ||||||||
Fund shares sold | 32 | 1,781 | ||||||
Interest and dividends | 7 | 1,352 | ||||||
Securities lending income | — | 3 | ||||||
Variation margin on futures contracts | 2 | 207 | ||||||
Due from Advisor | 1 | — | ||||||
|
|
|
| |||||
Total Assets | 13,010 | 974,972 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Dividends | — | 1,055 | ||||||
Collateral for securities lending program | — | 6,962 | ||||||
Fund shares redeemed | 133 | 3,792 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | — | 241 | ||||||
Administration fees | — | 36 | ||||||
Shareholder servicing fees | — | 166 | ||||||
Distribution fees | 3 | 35 | ||||||
Custodian and accounting fees | 17 | 23 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 2 | |||||
Other | 51 | 235 | ||||||
|
|
|
| |||||
Total Liabilities | 204 | 12,547 | ||||||
|
|
|
| |||||
Net Assets | $ | 12,806 | $ | 962,425 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid Multi Cap Fund | Intrepid Value Fund | |||||||
NET ASSETS: | ||||||||
Paid in capital | $ | 16,744 | $ | 990,057 | ||||
Accumulated undistributed net investment income | 100 | 293 | ||||||
Accumulated net realized gains (losses) | (6,644 | ) | (111,762 | ) | ||||
Net unrealized appreciation (depreciation) | 2,606 | 83,837 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 12,806 | $ | 962,425 | ||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Class A | $ | 9,291 | $ | 83,202 | ||||
Class C | 2,266 | 30,172 | ||||||
Class R2 | — | 70 | ||||||
Class R5 | — | 50,276 | ||||||
Class R6 | — | 32,237 | ||||||
Select Class | 1,249 | 766,468 | ||||||
|
|
|
| |||||
Total | $ | 12,806 | $ | 962,425 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 451 | 3,417 | ||||||
Class C | 112 | 1,249 | ||||||
Class R2 | — | 3 | ||||||
Class R5 | — | 2,056 | ||||||
Class R6 | — | 1,318 | ||||||
Select Class | 60 | 31,390 | ||||||
Net Asset Value: | ||||||||
Class A — Redemption price per share | $ | 20.60 | $ | 24.35 | ||||
Class C — Offering price per share (b) | 20.25 | 24.16 | ||||||
Class R2 — Offering and redemption price per share | — | 24.31 | ||||||
Class R5 — Offering and redemption price per share | — | 24.46 | ||||||
Class R6 — Offering and redemption price per share | — | 24.46 | ||||||
Select Class — Offering and redemption price per share | 20.70 | 24.42 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 21.74 | $ | 25.70 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 10,074 | $ | 854,453 | ||||
Cost of investments in affiliates | 246 | 32,392 | ||||||
Value of securities on loan | — | 6,903 | ||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 37 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2011
(Amounts in thousands)
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | — | $ | 2 | ||||||
Dividend income from non-affiliates | 30,922 | 10,697 | 6,221 | |||||||||
Dividend income from affiliates | 40 | 14 | 12 | |||||||||
Income from securities lending (net) | 133 | 39 | 140 | |||||||||
Other income | — | — | 31 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 31,095 | 10,750 | 6,406 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 9,994 | 3,950 | 2,691 | |||||||||
Administration fees | 1,384 | 547 | 372 | |||||||||
Distribution fees: | ||||||||||||
Class A | 131 | 109 | 336 | |||||||||
Class B | — | — | 84 | |||||||||
Class C | 78 | 144 | 202 | |||||||||
Class R2 | — | (a) | — | (a) | — | |||||||
Shareholder servicing fees: | ||||||||||||
Class A | 131 | 109 | 336 | |||||||||
Class B | — | — | 28 | |||||||||
Class C | 26 | 48 | 68 | |||||||||
Class R2 | — | (a) | — | (a) | — | |||||||
Class R5 | 96 | 52 | — | |||||||||
Select Class | 3,209 | 1,103 | 604 | |||||||||
Custodian and accounting fees | 85 | 45 | 46 | |||||||||
Professional fees | 61 | 63 | 46 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 16 | 6 | 2 | |||||||||
Printing and mailing costs | 70 | 43 | 71 | |||||||||
Registration and filing fees | 66 | 66 | 57 | |||||||||
Transfer agent fees | 282 | 291 | 376 | |||||||||
Other | 19 | 10 | 12 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 15,648 | 6,586 | 5,331 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (521 | ) | (490 | ) | (569 | ) | ||||||
Less earnings credits | — | (a) | — | (a) | — | (a) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 15,127 | 6,096 | 4,762 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 15,968 | 4,654 | 1,644 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 195,975 | 69,284 | 28,246 | |||||||||
Futures | 6,548 | 2,696 | 2,683 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 202,523 | 71,980 | 30,929 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 216,110 | 105,473 | 93,806 | |||||||||
Futures | 2,223 | 610 | 721 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 218,333 | 106,083 | 94,527 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 420,856 | 178,063 | 125,456 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 436,824 | $ | 182,717 | $ | 127,100 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid Multi Cap Fund | Intrepid Value Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividend income from non-affiliates | $ | 266 | $ | 11,421 | ||||
Dividend income from affiliates | — | (a) | 19 | |||||
Income from securities lending (net) | — | 25 | ||||||
|
|
|
| |||||
Total investment income | 266 | 11,465 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 81 | 3,316 | ||||||
Administration fees | 11 | 456 | ||||||
Distribution fees: | ||||||||
Class A | 22 | 218 | ||||||
Class C | 19 | 236 | ||||||
Class R2 | — | — | (a) | |||||
Shareholder servicing fees: | ||||||||
Class A | 22 | 218 | ||||||
Class C | 6 | 79 | ||||||
Class R2 | — | — | (a) | |||||
Class R5 | — | 18 | ||||||
Select Class | 3 | 860 | ||||||
Custodian and accounting fees | 34 | 47 | ||||||
Professional fees | 48 | 55 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 5 | |||||
Printing and mailing costs | 4 | 93 | ||||||
Registration and filing fees | 40 | 139 | ||||||
Transfer agent fees | 15 | 434 | ||||||
Other | 7 | 18 | ||||||
|
|
|
| |||||
Total expenses | 312 | 6,192 | ||||||
|
|
|
| |||||
Less amounts waived | (123 | ) | (1,871 | ) | ||||
Less earnings credits | — | (a) | — | (a) | ||||
Less expense reimbursements | (25 | ) | — | |||||
|
|
|
| |||||
Net expenses | 164 | 4,321 | ||||||
|
|
|
| |||||
Net investment income (loss) | 102 | 7,144 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 1,031 | 21,964 | ||||||
Futures | 75 | 2,307 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 1,106 | 24,271 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments in non-affiliates | 2,258 | 73,780 | ||||||
Futures | 12 | 768 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) | 2,270 | 74,548 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 3,376 | 98,819 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 3,478 | $ | 105,963 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 39 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Intrepid America Fund | Intrepid Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 15,968 | $ | 15,097 | $ | 4,654 | $ | 3,797 | ||||||||
Net realized gain (loss) | 202,523 | 204,920 | 71,980 | 93,509 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 218,333 | 42,463 | 106,083 | (1,091 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 436,824 | 262,480 | 182,717 | 96,215 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (401 | ) | (1,088 | ) | (275 | ) | (357 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (18 | ) | (200 | ) | (16 | ) | (50 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | (1 | ) | (1 | ) | — | (a) | — | (a) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (2,018 | ) | (1,731 | ) | (1,104 | ) | (1,042 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (12,491 | ) | (29,202 | ) | (3,481 | ) | (4,490 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (14,929 | ) | (32,222 | ) | (4,876 | ) | (5,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (131,730 | ) | (404,176 | ) | (41,790 | ) | (187,197 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 290,165 | (173,918 | ) | 136,051 | (96,921 | ) | ||||||||||
Beginning of period | 1,424,438 | 1,598,356 | 544,956 | 641,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,714,603 | $ | 1,424,438 | $ | 681,007 | $ | 544,956 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 15,505 | $ | 14,857 | $ | 1,325 | $ | 1,593 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Multi Cap Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,644 | $ | 2,946 | $ | 102 | $ | 24 | ||||||||
Net realized gain (loss) | 30,929 | (371 | ) | 1,106 | 1,470 | |||||||||||
Change in net unrealized appreciation (depreciation) | 94,527 | 81,134 | 2,270 | 100 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 127,100 | 83,709 | 3,478 | 1,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (470 | ) | (889 | ) | (20 | ) | (89 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (12 | ) | (19 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (35 | ) | (35 | ) | — | (24 | ) | |||||||||
Select Class | ||||||||||||||||
From net investment income | (1,319 | ) | (2,212 | ) | (4 | ) | (13 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,836 | ) | (3,155 | ) | (24 | ) | (126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (10,440 | ) | (83,949 | ) | (1,350 | ) | (834 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 114,824 | (3,395 | ) | 2,104 | 634 | |||||||||||
Beginning of period | 355,683 | 359,078 | 10,702 | 10,068 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 470,507 | $ | 355,683 | $ | 12,806 | $ | 10,702 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (313 | ) | $ | (14 | ) | $ | 100 | $ | 25 | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 7,144 | $ | 2,952 | ||||
Net realized gain (loss) | 24,271 | 17,580 | ||||||
Change in net unrealized appreciation (depreciation) | 74,548 | 16,802 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 105,963 | 37,334 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (902 | ) | (871 | ) | ||||
Class C | ||||||||
From net investment income | (221 | ) | (156 | ) | ||||
Class R2 | ||||||||
From net investment income | (1 | ) | — | (a) | ||||
Class R5 | ||||||||
From net investment income | (539 | ) | (162 | ) | ||||
Class R6 (b) | ||||||||
From net investment income | (267 | ) | — | |||||
Select Class | ||||||||
From net investment income | (4,939 | ) | (1,736 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (6,869 | ) | (2,925 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | 594,945 | 10,685 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 694,039 | 45,094 | ||||||
Beginning of period | 268,386 | 223,292 | ||||||
|
|
|
| |||||
End of period | $ | 962,425 | $ | 268,386 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 293 | $ | 18 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid America Fund | Intrepid Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 4,325 | $ | 4,369 | $ | 6,003 | $ | 7,249 | ||||||||
Dividends and distributions reinvested | 357 | 963 | 257 | 325 | ||||||||||||
Cost of shares redeemed | (22,071 | ) | (19,805 | ) | (19,392 | ) | (23,950 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (17,389 | ) | $ | (14,473 | ) | $ | (13,132 | ) | $ | (16,376 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 414 | $ | 756 | $ | 588 | $ | 1,307 | ||||||||
Dividends and distributions reinvested | 17 | 182 | 13 | 41 | ||||||||||||
Cost of shares redeemed | (4,044 | ) | (3,553 | ) | (7,604 | ) | (7,508 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (3,613 | ) | $ | (2,615 | ) | $ | (7,003 | ) | $ | (6,160 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 4 | $ | 58 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 1 | 1 | — | (a) | — | (a) | ||||||||||
Cost of shares redeemed | (65 | ) | (1 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | (60 | ) | $ | 58 | $ | — | (a) | $ | — | (a) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 144,738 | $ | 49,424 | $ | 18,394 | $ | 14,831 | ||||||||
Dividends and distributions reinvested | 2,018 | 1,613 | 1,104 | 1,016 | ||||||||||||
Cost of shares redeemed | (8,848 | ) | (39,348 | ) | (25,231 | ) | (13,433 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 137,908 | $ | 11,689 | $ | (5,733 | ) | $ | 2,414 | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 309,123 | $ | 222,290 | $ | 108,326 | $ | 75,865 | ||||||||
Dividends and distributions reinvested | 932 | 829 | 223 | 643 | ||||||||||||
Cost of shares redeemed | (558,631 | ) | (621,954 | ) | (124,471 | ) | (243,583 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (248,576 | ) | $ | (398,835 | ) | $ | (15,922 | ) | $ | (167,075 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (131,730 | ) | $ | (404,176 | ) | $ | (41,790 | ) | $ | (187,197 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid America Fund | Intrepid Growth Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 192 | 220 | 271 | 381 | ||||||||||||
Reinvested | 16 | 48 | 12 | 17 | ||||||||||||
Redeemed | (972 | ) | (1,000 | ) | (880 | ) | (1,253 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (764 | ) | (732 | ) | (597 | ) | (855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 18 | 39 | 27 | 69 | ||||||||||||
Reinvested | 1 | 9 | 1 | 2 | ||||||||||||
Redeemed | (183 | ) | (182 | ) | (352 | ) | (403 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (164 | ) | (134 | ) | (324 | ) | (332 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | (a) | 3 | — | — | |||||||||||
Reinvested | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Redeemed | (3 | ) | — | (a) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (3 | ) | 3 | — | (a) | — | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 6,307 | 2,456 | 844 | 777 | ||||||||||||
Reinvested | 89 | 79 | 49 | 52 | ||||||||||||
Redeemed | (386 | ) | (2,057 | ) | (1,179 | ) | (706 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 6,010 | 478 | (286 | ) | 123 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 12,985 | 11,130 | 4,712 | 3,984 | ||||||||||||
Reinvested | 41 | 41 | 10 | 33 | ||||||||||||
Redeemed | (25,053 | ) | (31,326 | ) | (5,984 | ) | (13,172 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (12,027 | ) | (20,155 | ) | (1,262 | ) | (9,155 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Multi Cap Fund | |||||||||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 22,772 | $ | 27,139 | $ | 1,903 | $ | 3,508 | ||||||||
Dividends and distributions reinvested | 447 | 833 | 19 | 85 | ||||||||||||
Cost of shares redeemed | (46,008 | ) | (36,075 | ) | (2,590 | ) | (3,633 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (22,789 | ) | $ | (8,103 | ) | $ | (668 | ) | $ | (40 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 164 | $ | 377 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 11 | 18 | — | — | ||||||||||||
Cost of shares redeemed | (3,642 | ) | (3,832 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (3,467 | ) | $ | (3,437 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 8,889 | $ | 7,721 | $ | 234 | $ | 739 | ||||||||
Dividends and distributions reinvested | 32 | 31 | — | 18 | ||||||||||||
Cost of shares redeemed | (8,375 | ) | �� | (5,577 | ) | (975 | ) | (1,176 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 546 | $ | 2,175 | $ | (741 | ) | $ | (419 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 62,291 | $ | 43,362 | $ | 240 | $ | 59 | ||||||||
Dividends and distributions reinvested | 205 | 405 | 1 | 3 | ||||||||||||
Cost of shares redeemed | (47,226 | ) | (118,351 | ) | (182 | ) | (437 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 15,270 | $ | (74,584 | ) | $ | 59 | $ | (375 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (10,440 | ) | $ | (83,949 | ) | $ | (1,350 | ) | $ | (834 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,604 | 2,300 | 102 | 209 | ||||||||||||
Reinvested | 29 | 70 | 1 | 5 | ||||||||||||
Redeemed | (3,267 | ) | (3,035 | ) | (138 | ) | (218 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (1,634 | ) | (665 | ) | (35 | ) | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 13 | 36 | — | — | ||||||||||||
Reinvested | 1 | 2 | — | — | ||||||||||||
Redeemed | (292 | ) | (360 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (278 | ) | (322 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 683 | 715 | 13 | 45 | ||||||||||||
Reinvested | 2 | 3 | — | 1 | ||||||||||||
Redeemed | (656 | ) | (520 | ) | (52 | ) | (75 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 29 | 198 | (39 | ) | (29 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 4,060 | 3,545 | 12 | 4 | ||||||||||||
Reinvested | 13 | 34 | — | (a) | — | (a) | ||||||||||
Redeemed | (3,277 | ) | (9,482 | ) | (10 | ) | (28 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 796 | (5,903 | ) | 2 | (24 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 11,484 | $ | 13,994 | ||||
Dividends and distributions reinvested | 867 | 833 | ||||||
Cost of shares redeemed | (34,466 | ) | (36,453 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | (22,115 | ) | $ | (21,626 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 2,248 | $ | 5,079 | ||||
Dividends and distributions reinvested | 160 | 113 | ||||||
Cost of shares redeemed | (10,960 | ) | (11,379 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | (8,552 | ) | $ | (6,187 | ) | ||
|
|
|
| |||||
Class R2 | ||||||||
Dividends and distributions reinvested | $ | 1 | $ | — | (a) | |||
|
|
|
| |||||
Change in net assets from Class R2 capital transactions | $ | 1 | $ | — | (a) | |||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 32,689 | $ | 10,307 | ||||
Dividends and distributions reinvested | 539 | 162 | ||||||
Cost of shares redeemed | (7,975 | ) | (1,189 | ) | ||||
|
|
|
| |||||
Change in net assets from Class R5 capital transactions | $ | 25,253 | $ | 9,280 | ||||
|
|
|
| |||||
Class R6 (b) | ||||||||
Proceeds from shares issued | $ | 31,546 | $ | — | ||||
Dividends and distributions reinvested | 268 | — | ||||||
|
|
|
| |||||
Change in net assets from Class R6 capital transactions | $ | 31,814 | $ | — | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 663,470 | $ | 70,362 | ||||
Dividends and distributions reinvested | 3,708 | 1,466 | ||||||
Cost of shares redeemed | (98,634 | ) | (42,610 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | 568,544 | $ | 29,218 | ||||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | 594,945 | $ | 10,685 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Intrepid Value Fund | ||||||||
| Year Ended 6/30/2011 | Year Ended 6/30/2010 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 508 | 694 | ||||||
Reinvested | 38 | 42 | ||||||
Redeemed | (1,530 | ) | (1,857 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (984 | ) | (1,121 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 99 | 258 | ||||||
Reinvested | 7 | 6 | ||||||
Redeemed | (496 | ) | (573 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (390 | ) | (309 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Reinvested | — | (a) | — | (a) | ||||
|
|
|
| |||||
Change in Class R2 Shares | — | (a) | — | (a) | ||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 1,432 | 511 | ||||||
Reinvested | 23 | 8 | ||||||
Redeemed | (338 | ) | (60 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 1,117 | 459 | ||||||
|
|
|
| |||||
Class R6 (b) | ||||||||
Issued | 1,307 | — | ||||||
Reinvested | 11 | — | ||||||
|
|
|
| |||||
Change in Class R6 Shares | 1,318 | — | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 28,121 | 3,860 | ||||||
Reinvested | 159 | 73 | ||||||
Redeemed | (4,289 | ) | (2,136 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 23,991 | 1,797 | ||||||
|
|
|
| |||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 47 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid America Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 18.54 | $ | 0.17 | (e) | $ | 6.01 | $ | 6.18 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | |||||||||||
Year Ended June 30, 2010 | 16.41 | 0.13 | (e) | 2.35 | 2.48 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 24.32 | 0.22 | (e) | (7.42 | ) | (7.20 | ) | (0.11 | ) | (0.60 | ) | (0.71 | ) | |||||||||||||||
Year Ended June 30, 2008 | 29.66 | 0.18 | (e) | (4.09 | ) | (3.91 | ) | (0.24 | ) | (1.19 | ) | (1.43 | ) | |||||||||||||||
Year Ended June 30, 2007 | 25.25 | 0.18 | (e) | 4.51 | 4.69 | (0.22 | ) | (0.06 | ) | (0.28 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.33 | 0.06 | (e) | 5.94 | 6.00 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.28 | 0.03 | (e) | 2.34 | 2.37 | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 24.09 | 0.13 | (e) | (7.34 | ) | (7.21 | ) | — | (0.60 | ) | (0.60 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 29.38 | 0.04 | (e) | (4.04 | ) | (4.00 | ) | (0.10 | ) | (1.19 | ) | (1.29 | ) | |||||||||||||||
Year Ended June 30, 2007 | 25.10 | 0.04 | (e) | 4.47 | 4.51 | (0.17 | ) | (0.06 | ) | (0.23 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.36 | 0.13 | (e) | 5.92 | 6.05 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.29 | 0.09 | (e) | 2.33 | 2.42 | (0.35 | ) | — | (0.35 | ) | ||||||||||||||||||
November 3, 2008 (g) through June 30, 2009 | 17.58 | 0.13 | (e) | (0.62 | ) | (0.49 | ) | (0.20 | ) | (0.60 | ) | �� | (0.80 | ) | ||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.65 | 0.26 | (e) | 6.06 | 6.32 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.47 | 0.22 | (e) | 2.36 | 2.58 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 24.46 | 0.30 | (e) | (7.48 | ) | (7.18 | ) | (0.21 | ) | (0.60 | ) | (0.81 | ) | |||||||||||||||
Year Ended June 30, 2008 | 29.81 | 0.31 | (e) | (4.11 | ) | (3.80 | ) | (0.36 | ) | (1.19 | ) | (1.55 | ) | |||||||||||||||
Year Ended June 30, 2007 | 25.34 | 0.30 | (e) | 4.53 | 4.83 | (0.30 | ) | (0.06 | ) | (0.36 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.68 | 0.23 | (e) | 6.04 | 6.27 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.51 | 0.18 | (e) | 2.37 | 2.55 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 24.47 | 0.27 | (e) | (7.48 | ) | (7.21 | ) | (0.15 | ) | (0.60 | ) | (0.75 | ) | |||||||||||||||
Year Ended June 30, 2008 | 29.80 | 0.25 | (e) | (4.12 | ) | (3.87 | ) | (0.27 | ) | (1.19 | ) | (1.46 | ) | |||||||||||||||
Year Ended June 30, 2007 | 25.33 | 0.25 | (e) | 4.52 | 4.77 | (0.24 | ) | (0.06 | ) | (0.30 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes interest expense of 0.01%. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 24.55 | 33.39 | % | $ | 47,376 | 1.24 | % | 0.77 | % | 1.28 | % | 102 | % | |||||||||||||
| 18.54 | 14.96 | 49,927 | 1.25 | 0.64 | 1.29 | 108 | ||||||||||||||||||||
| 16.41 | (29.40 | ) | 56,213 | 1.25 | 1.25 | 1.32 | 125 | |||||||||||||||||||
| 24.32 | (13.63 | ) | 106,108 | 1.26 | (f) | 0.67 | 1.29 | 89 | ||||||||||||||||||
| 29.66 | 18.67 | 129,399 | 1.25 | 0.65 | 1.28 | 81 | ||||||||||||||||||||
| 24.29 | 32.74 | 9,570 | 1.74 | 0.28 | 1.78 | 102 | ||||||||||||||||||||
| 18.33 | 14.37 | 10,221 | 1.75 | 0.14 | 1.79 | 108 | ||||||||||||||||||||
| 16.28 | (29.78 | ) | 11,270 | 1.75 | 0.73 | 1.81 | 125 | |||||||||||||||||||
| 24.09 | (14.02 | ) | 24,579 | 1.76 | (f) | 0.16 | 1.79 | 89 | ||||||||||||||||||
| 29.38 | 18.03 | 34,576 | 1.75 | 0.14 | 1.78 | 81 | ||||||||||||||||||||
| 24.21 | 33.04 | 74 | 1.49 | 0.59 | 1.53 | 102 | ||||||||||||||||||||
| 18.36 | 14.68 | 105 | 1.50 | 0.47 | 1.54 | 108 | ||||||||||||||||||||
| 16.29 | (2.49 | ) | 49 | 1.50 | 1.30 | 1.59 | 125 | |||||||||||||||||||
| 24.69 | 34.02 | 287,527 | 0.79 | 1.14 | 0.83 | 102 | ||||||||||||||||||||
| 18.65 | 15.49 | 105,092 | 0.80 | 1.12 | 0.84 | 108 | ||||||||||||||||||||
| 16.47 | (29.11 | ) | 84,934 | 0.80 | 1.73 | 0.87 | 125 | |||||||||||||||||||
| 24.46 | (13.23 | ) | 128,967 | 0.80 | 1.15 | 0.84 | 89 | |||||||||||||||||||
| 29.81 | 19.15 | 89,464 | 0.80 | 1.06 | 0.83 | 81 | ||||||||||||||||||||
| 24.73 | 33.69 | 1,370,056 | 0.99 | 1.04 | 1.03 | 102 | ||||||||||||||||||||
| 18.68 | 15.28 | 1,259,093 | 1.00 | 0.90 | 1.04 | 108 | ||||||||||||||||||||
| 16.51 | (29.24 | ) | 1,445,890 | 1.00 | 1.47 | 1.06 | 125 | |||||||||||||||||||
| 24.47 | (13.42 | ) | 3,209,267 | 1.00 | 0.89 | 1.03 | 89 | |||||||||||||||||||
| 29.80 | 18.93 | 5,925,018 | 1.00 | 0.91 | 1.03 | 81 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 49 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 17.93 | $ | 0.12 | (e) | $ | 6.48 | $ | 6.60 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | |||||||||||
Year Ended June 30, 2010 | 15.79 | 0.07 | (e) | 2.20 | 2.27 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.03 | 0.09 | (e) | (6.24 | ) | (6.15 | ) | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 24.53 | 0.02 | (2.08 | ) | (2.06 | ) | (0.05 | ) | (0.39 | ) | (0.44 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 20.85 | 0.04 | (e) | 3.69 | 3.73 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 17.70 | 0.01 | (e) | 6.40 | 6.41 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.59 | (0.03 | )(e) | 2.18 | 2.15 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 21.73 | 0.01 | (e) | (6.15 | ) | (6.14 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2008 | 24.28 | (0.09 | ) | (2.07 | ) | (2.16 | ) | — | (0.39 | ) | (0.39 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 20.70 | (0.07 | )(e) | 3.65 | 3.58 | — | (f) | — | — | (f) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 17.76 | 0.06 | (e) | 6.41 | 6.47 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.65 | 0.02 | (e) | 2.20 | 2.22 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
November 3, 2008 (g) through June 30, 2009 | 15.84 | 0.08 | (e) | (0.09 | ) | (0.01 | ) | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 17.98 | 0.21 | (e) | 6.50 | 6.71 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.83 | 0.15 | (e) | 2.22 | 2.37 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.15 | 0.16 | (e) | (6.28 | ) | (6.12 | ) | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 24.63 | 0.12 | (2.09 | ) | (1.97 | ) | (0.12 | ) | (0.39 | ) | (0.51 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 20.89 | 0.16 | (e) | 3.69 | 3.85 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.04 | 0.17 | (e) | 6.53 | 6.70 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.88 | 0.12 | (e) | 2.22 | 2.34 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.15 | 0.12 | (e) | (6.27 | ) | (6.15 | ) | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 24.64 | 0.07 | (2.09 | ) | (2.02 | ) | (0.08 | ) | (0.39 | ) | (0.47 | ) | ||||||||||||||||
Year Ended June 30, 2007 | 20.89 | 0.09 | (e) | 3.72 | 3.81 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 24.39 | 36.86 | % | $ | 41,424 | 1.24 | % | 0.54 | % | 1.33 | % | 129 | % | |||||||||||||
| 17.93 | 14.32 | 41,167 | 1.25 | 0.36 | 1.34 | 118 | ||||||||||||||||||||
| 15.79 | (27.88 | ) | 49,749 | 1.25 | 0.53 | 1.37 | 121 | |||||||||||||||||||
| 22.03 | (8.54 | ) | 112,249 | 1.25 | 0.07 | 1.30 | 130 | |||||||||||||||||||
| 24.53 | 17.92 | 94,384 | 1.25 | 0.15 | 1.30 | 130 | ||||||||||||||||||||
| 24.09 | 36.21 | 17,811 | 1.74 | 0.05 | 1.83 | 129 | ||||||||||||||||||||
| 17.70 | 13.78 | 18,827 | 1.75 | (0.14 | ) | 1.84 | 118 | |||||||||||||||||||
| 15.59 | (28.26 | ) | 21,746 | 1.75 | 0.04 | 1.87 | 121 | |||||||||||||||||||
| 21.73 | (9.03 | ) | 45,171 | 1.75 | (0.43 | ) | 1.80 | 130 | ||||||||||||||||||
| 24.28 | 17.32 | 38,334 | 1.75 | (0.32 | ) | 1.80 | 130 | |||||||||||||||||||
| 24.13 | 36.49 | 78 | 1.49 | 0.26 | 1.58 | 129 | ||||||||||||||||||||
| 17.76 | 14.10 | 57 | 1.50 | 0.11 | 1.59 | 118 | ||||||||||||||||||||
| 15.65 | 0.07 | 50 | 1.50 | 0.80 | 1.68 | 121 | ||||||||||||||||||||
| 24.45 | 37.44 | 111,071 | 0.79 | 0.96 | 0.88 | 129 | ||||||||||||||||||||
| 17.98 | 14.86 | 86,795 | 0.80 | 0.81 | 0.89 | 118 | ||||||||||||||||||||
| 15.83 | (27.55 | ) | 74,460 | 0.80 | 0.99 | 0.92 | 121 | |||||||||||||||||||
| 22.15 | (8.15 | ) | 154,884 | 0.80 | 0.52 | 0.85 | 130 | |||||||||||||||||||
| 24.63 | 18.46 | 132,234 | 0.80 | 0.68 | 0.85 | 130 | ||||||||||||||||||||
| 24.55 | 37.25 | 510,623 | 0.99 | 0.77 | 1.07 | 129 | ||||||||||||||||||||
| 18.04 | �� | 14.64 | 398,110 | 1.00 | 0.61 | 1.09 | 118 | |||||||||||||||||||
| 15.88 | (27.72 | ) | 495,872 | 1.00 | 0.66 | 1.10 | 121 | |||||||||||||||||||
| 22.15 | (8.36 | ) | 1,914,001 | 1.00 | 0.32 | 1.05 | 130 | |||||||||||||||||||
| 24.64 | 18.27 | 1,956,616 | 1.00 | 0.40 | 1.05 | 130 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 51 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 11.54 | $ | 0.04 | (c) | $ | 4.26 | $ | 4.30 | $ | (0.05 | ) | $ | — | $ | (0.05 | ) | |||||||||||
Year Ended June 30, 2010 | 9.53 | 0.07 | (c) | 2.02 | 2.09 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 14.39 | 0.12 | (c) | (4.61 | )(d) | (4.49 | ) | (0.12 | ) | (0.25 | ) | (0.37 | ) | |||||||||||||||
Year Ended June 30, 2008 | 18.57 | 0.04 | (c) | (2.37 | ) | (2.33 | ) | (0.05 | ) | (1.80 | ) | (1.85 | ) | |||||||||||||||
Year Ended June 30, 2007 | 17.33 | 0.05 | (c) | 2.94 | 2.99 | (0.06 | ) | (1.69 | ) | (1.75 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.44 | (0.04 | )(c) | 3.83 | 3.79 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.63 | (0.01 | )(c) | 1.84 | 1.83 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 13.11 | 0.06 | (c) | (4.21 | )(d) | (4.15 | ) | (0.08 | ) | (0.25 | ) | (0.33 | ) | |||||||||||||||
Year Ended June 30, 2008 | 17.16 | (0.05 | )(c) | (2.19 | ) | (2.24 | ) | (0.01 | ) | (1.80 | ) | (1.81 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.18 | (0.05 | )(c) | 2.73 | 2.68 | (0.01 | ) | (1.69 | ) | (1.70 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 10.45 | (0.04 | )(c) | 3.85 | 3.81 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.64 | (0.01 | )(c) | 1.84 | 1.83 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 13.12 | 0.06 | (c) | (4.21 | )(d) | (4.15 | ) | (0.08 | ) | (0.25 | ) | (0.33 | ) | |||||||||||||||
Year Ended June 30, 2008 | 17.17 | (0.05 | )(c) | (2.19 | ) | (2.24 | ) | (0.01 | ) | (1.80 | ) | (1.81 | ) | |||||||||||||||
Year Ended June 30, 2007 | 16.19 | (0.05 | )(c) | 2.74 | 2.69 | (0.02 | ) | (1.69 | ) | (1.71 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 11.92 | 0.08 | (c) | 4.41 | 4.49 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.84 | 0.11 | (c) | 2.08 | 2.19 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 14.83 | 0.15 | (c) | (4.75 | )(d) | (4.60 | ) | (0.14 | ) | (0.25 | ) | (0.39 | ) | |||||||||||||||
Year Ended June 30, 2008 | 19.09 | 0.08 | (c) | (2.45 | ) | (2.37 | ) | (0.09 | ) | (1.80 | ) | (1.89 | ) | |||||||||||||||
Year Ended June 30, 2007 | 17.75 | 0.10 | (c) | 3.03 | 3.13 | (0.10 | ) | (1.69 | ) | (1.79 | ) | |||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | An affiliate of JPMorgan Chase & Co. reimbursed the Fund for losses incurred from an operational error. The impact was less than $0.01 to the net realized and unrealized gains (losses) per share and less than 0.01% to total return. |
| (e) | Includes a gain resulting from a payment by affiliate. The effect is less than 0.01% on total return. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 15.79 | 37.29 | % | $ | 138,937 | 1.23 | % | 0.31 | % | 1.39 | % | 47 | % | |||||||||||||
| 11.54 | 21.93 | 120,375 | 1.24 | 0.63 | 1.43 | 65 | ||||||||||||||||||||
| 9.53 | (30.94 | )(d) | 105,702 | 1.24 | 1.22 | 1.55 | 64 | |||||||||||||||||||
| 14.39 | (13.02 | )(e) | 190,093 | 1.24 | 0.23 | 1.37 | 109 | |||||||||||||||||||
| 18.57 | 18.13 | 237,337 | 1.24 | 0.29 | 1.36 | 117 | ||||||||||||||||||||
| 14.22 | 36.35 | 10,830 | 1.89 | (0.34 | ) | 1.89 | 47 | |||||||||||||||||||
| 10.44 | 21.15 | 10,845 | 1.93 | (0.06 | ) | 1.93 | 65 | |||||||||||||||||||
| 8.63 | (31.38 | )(d) | 11,745 | 1.85 | 0.60 | 2.04 | 64 | |||||||||||||||||||
| 13.11 | (13.61 | )(e) | 22,749 | 1.83 | (0.37 | ) | 1.87 | 109 | ||||||||||||||||||
| 17.16 | 17.47 | 31,601 | 1.83 | (0.30 | ) | 1.85 | 117 | |||||||||||||||||||
| 14.24 | 36.42 | 30,773 | 1.88 | (0.34 | ) | 1.88 | 47 | |||||||||||||||||||
| 10.45 | 21.14 | 22,273 | 1.92 | (0.06 | ) | 1.93 | 65 | |||||||||||||||||||
| 8.64 | (31.35 | )(d) | 16,706 | 1.85 | 0.61 | 2.05 | 64 | |||||||||||||||||||
| 13.12 | (13.60 | )(e) | 31,298 | 1.83 | (0.36 | ) | 1.87 | 109 | ||||||||||||||||||
| 17.17 | 17.47 | 39,678 | 1.83 | (0.30 | ) | 1.86 | 117 | |||||||||||||||||||
| 16.33 | 37.67 | 289,967 | 0.99 | 0.56 | 1.14 | 47 | ||||||||||||||||||||
| 11.92 | 22.23 | 202,190 | 0.99 | 0.88 | 1.18 | 65 | ||||||||||||||||||||
| 9.84 | (30.77 | )(d) | 224,925 | 0.99 | 1.48 | 1.30 | 64 | |||||||||||||||||||
| 14.83 | (12.89 | )(e) | 391,384 | 0.99 | 0.46 | 1.12 | 109 | |||||||||||||||||||
| 19.09 | 18.52 | 646,572 | 0.99 | 0.55 | 1.10 | 117 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 53 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Multi Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 15.44 | $ | 0.17 | (c) | $ | 5.03 | $ | 5.20 | $ | (0.04 | ) | $ | — | $ | (0.04 | ) | |||||||||||
Year Ended June 30, 2010 | 13.42 | 0.05 | (c) | 2.16 | 2.21 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 19.88 | 0.14 | (c) | (6.54 | ) | (6.40 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 25.22 | 0.10 | (c) | (4.52 | ) | (4.42 | ) | (0.09 | ) | (0.83 | ) | (0.92 | ) | |||||||||||||||
Year Ended June 30, 2007 | 22.30 | 0.11 | (c) | 4.47 | 4.58 | (0.11 | ) | (1.55 | ) | (1.66 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.22 | 0.08 | (c) | 4.95 | 5.03 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 13.27 | (0.03 | )(c) | 2.13 | 2.10 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 19.65 | 0.07 | (c) | (6.45 | ) | (6.38 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2008 | 24.99 | (0.02 | )(c) | (4.48 | ) | (4.50 | ) | (0.01 | ) | (0.83 | ) | (0.84 | ) | |||||||||||||||
Year Ended June 30, 2007 | 22.17 | (0.01 | )(c) | 4.44 | 4.43 | (0.06 | ) | (1.55 | ) | (1.61 | ) | |||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 15.51 | 0.21 | (c) | 5.06 | 5.27 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 13.46 | 0.09 | (c) | 2.17 | 2.26 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 19.97 | 0.18 | (c) | (6.58 | ) | (6.40 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 25.32 | 0.14 | (c) | (4.52 | ) | (4.38 | ) | (0.14 | ) | (0.83 | ) | (0.97 | ) | |||||||||||||||
Year Ended June 30, 2007 | 22.35 | 0.16 | (c) | 4.50 | 4.66 | (0.14 | ) | (1.55 | ) | (1.69 | ) | |||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (b) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes interest expense of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 20.60 | 33.71 | % | $ | 9,291 | 1.25 | % | 0.91 | % | 2.44 | % | 75 | % | |||||||||||||
| 15.44 | 16.36 | 7,503 | 1.25 | 0.30 | 2.59 | 145 | ||||||||||||||||||||
| 13.42 | (32.17 | ) | 6,582 | 1.25 | 1.01 | 2.60 | 105 | |||||||||||||||||||
| 19.88 | (17.88 | ) | 11,456 | 1.25 | 0.43 | 1.80 | 108 | |||||||||||||||||||
| 25.22 | 21.52 | 12,967 | 1.25 | 0.46 | 1.83 | 89 | ||||||||||||||||||||
| 20.25 | 33.05 | 2,266 | 1.75 | 0.43 | 2.94 | 75 | ||||||||||||||||||||
| 15.22 | 15.73 | 2,302 | 1.75 | (0.21 | ) | 3.10 | 145 | |||||||||||||||||||
| 13.27 | (32.47 | ) | 2,384 | 1.75 | 0.49 | 3.07 | 105 | |||||||||||||||||||
| 19.65 | (18.34 | ) | 4,904 | 1.76 | (d) | (0.07 | ) | 2.30 | 108 | |||||||||||||||||
| 24.99 | 20.92 | 5,408 | 1.75 | (0.04 | ) | 2.32 | 89 | |||||||||||||||||||
| 20.70 | 34.04 | 1,249 | 1.00 | 1.13 | 2.19 | 75 | ||||||||||||||||||||
| 15.51 | 16.65 | 897 | 1.00 | 0.54 | 2.37 | 145 | ||||||||||||||||||||
| 13.46 | (32.01 | ) | 1,102 | 1.00 | 1.25 | 2.17 | 105 | |||||||||||||||||||
| 19.97 | (17.67 | ) | 5,310 | 1.00 | 0.60 | 1.46 | 108 | |||||||||||||||||||
| 25.32 | 21.88 | 21,877 | 1.00 | 0.69 | 1.59 | 89 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 55 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Intrepid Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | $ | 18.64 | $ | 0.30 | (e) | $ | 5.65 | $ | 5.95 | $ | (0.24 | ) | $ | — | $ | (0.24 | ) | |||||||||||
Year Ended June 30, 2010 | 16.47 | 0.19 | (e) | 2.17 | 2.36 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 23.48 | 0.37 | (e) | (7.00 | ) | (6.63 | ) | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 29.19 | 0.36 | (e) | (5.48 | ) | (5.12 | ) | (0.35 | ) | (0.24 | ) | (0.59 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.78 | 0.34 | (e) | 4.66 | 5.00 | (0.30 | ) | (0.29 | ) | (0.59 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.53 | 0.19 | (e) | 5.60 | 5.79 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.37 | 0.09 | (e) | 2.16 | 2.25 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 23.37 | 0.28 | (e) | (6.97 | ) | (6.69 | ) | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 29.05 | 0.23 | (e) | (5.45 | ) | (5.22 | ) | (0.22 | ) | (0.24 | ) | (0.46 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.69 | 0.20 | (e) | 4.64 | 4.84 | (0.19 | ) | (0.29 | ) | (0.48 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.63 | 0.24 | (e) | 5.64 | 5.88 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.46 | 0.14 | (e) | 2.17 | 2.31 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
November 3, 2008 (f) through June 30, 2009 | 18.03 | 0.21 | (e) | (1.53 | ) | (1.32 | ) | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.71 | 0.37 | (e) | 5.68 | 6.05 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.53 | 0.27 | (e) | 2.19 | 2.46 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 23.54 | 0.45 | (e) | (7.02 | ) | (6.57 | ) | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 29.26 | 0.46 | (e) | (5.47 | ) | (5.01 | ) | (0.47 | ) | (0.24 | ) | (0.71 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.82 | 0.48 | (e) | 4.64 | 5.12 | (0.39 | ) | (0.29 | ) | (0.68 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
November 30, 2010 (f) through June 30, 2011 | 21.27 | 0.21 | (e) | 3.18 | 3.39 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2011 | 18.70 | 0.33 | (e) | 5.67 | 6.00 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 16.51 | 0.24 | (e) | 2.19 | 2.43 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 23.54 | 0.41 | (e) | (7.03 | ) | (6.62 | ) | (0.41 | ) | — | (0.41 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 29.26 | 0.43 | (e) | (5.49 | ) | (5.06 | ) | (0.42 | ) | (0.24 | ) | (0.66 | ) | |||||||||||||||
Year Ended June 30, 2007 | 24.82 | 0.41 | (e) | 4.66 | 5.07 | (0.34 | ) | (0.29 | ) | (0.63 | ) | |||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset value for financial reporting purposes and the returns based upon those net asset values may differ from the net asset value and returns for shareholder transactions. |
| (d) | Includes earnings credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 24.35 | 32.01 | % | $ | 83,202 | 0.97 | % | 1.34 | % | 1.40 | % | 72 | % | |||||||||||||
| 18.64 | 14.23 | 82,062 | 1.11 | 0.95 | 1.44 | 113 | ||||||||||||||||||||
| 16.47 | (28.20 | ) | 90,931 | 1.25 | 2.06 | 1.54 | 107 | |||||||||||||||||||
| 23.48 | (17.73 | ) | 162,876 | 1.25 | 1.33 | 1.42 | 78 | |||||||||||||||||||
| 29.19 | 20.30 | 211,761 | 1.25 | 1.23 | 1.42 | 59 | ||||||||||||||||||||
| 24.16 | 31.30 | 30,172 | 1.47 | 0.84 | 1.90 | 72 | ||||||||||||||||||||
| 18.53 | 13.70 | 30,368 | 1.61 | 0.45 | 1.94 | 113 | ||||||||||||||||||||
| 16.37 | (28.57 | ) | 31,875 | 1.75 | 1.56 | 2.04 | 107 | |||||||||||||||||||
| 23.37 | (18.13 | ) | 58,298 | 1.75 | 0.84 | 1.92 | 78 | |||||||||||||||||||
| 29.05 | 19.72 | 70,162 | 1.75 | 0.72 | 1.92 | 59 | ||||||||||||||||||||
| 24.31 | 31.65 | 70 | 1.21 | 1.07 | 1.65 | 72 | ||||||||||||||||||||
| 18.63 | 13.98 | 53 | 1.36 | 0.70 | 1.69 | 113 | ||||||||||||||||||||
| 16.46 | (7.15 | ) | 46 | 1.50 | 2.02 | 1.87 | 107 | |||||||||||||||||||
| 24.46 | 32.45 | 50,276 | 0.60 | 1.60 | 0.94 | 72 | ||||||||||||||||||||
| 18.71 | 14.75 | 17,566 | 0.66 | 1.37 | 0.99 | 113 | ||||||||||||||||||||
| 16.53 | (27.87 | ) | 7,933 | 0.80 | 2.50 | 1.10 | 107 | |||||||||||||||||||
| 23.54 | (17.34 | ) | 11,733 | 0.80 | 1.68 | 0.94 | 78 | |||||||||||||||||||
| 29.26 | 20.81 | 41,768 | 0.80 | 1.67 | 0.96 | 59 | ||||||||||||||||||||
| 24.46 | 15.96 | 32,237 | 0.54 | 1.48 | 0.87 | 72 | ||||||||||||||||||||
| 24.42 | 32.17 | 766,468 | 0.80 | 1.44 | 1.14 | 72 | ||||||||||||||||||||
| 18.70 | 14.61 | 138,337 | 0.86 | 1.20 | 1.19 | 113 | ||||||||||||||||||||
| 16.51 | (28.07 | ) | 92,507 | 1.00 | 2.31 | 1.30 | 107 | |||||||||||||||||||
| 23.54 | (17.51 | ) | 130,928 | 1.00 | 1.60 | 1.17 | 78 | |||||||||||||||||||
| 29.26 | 20.60 | 120,346 | 1.00 | 1.49 | 1.17 | 59 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 57 | ||||||
Table of Contents
AS OF JUNE 30, 2011
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to a Declarations of Trusts dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 5 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Intrepid America Fund | Class A, Class C, Class R2, Class R5 and Select Class | JPM I | Diversified | |||
| Intrepid Growth Fund | Class A, Class C, Class R2, Class R5 and Select Class | JPM I | Diversified | |||
| Intrepid Mid Cap Fund | Class A, Class B, Class C and Select Class | JPM II | Diversified | |||
| Intrepid Multi Cap Fund | Class A, Class C, and Select Class | JPM I | Diversified | |||
| Intrepid Value Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM I | Diversified |
Class R6 shares commenced operations on November 30, 2010 for the Intrepid Value Fund.
Effective November 1, 2009, Class B Shares of Intrepid Mid Cap Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they convert automatically to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6 and Select Class. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of its financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on readily available market quotations received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. Such pricing services and broker-dealers will generally provide bid-side quotations. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options shall generally be valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the value at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. Under these procedures, the Funds primarily employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The Funds may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. 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. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis except for North American, Central American, South American and Caribbean equity securities held in their portfolios by utilizing the quotations of an independent pricing service, unless a Fund’s advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.
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.
| 58 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
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The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Intrepid America Fund | ||||||||||||||||
Total Investments in Securities # | $ | 1,731,554 | $ | — | $ | — | $ | 1,731,554 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 2,196 | $ | — | $ | — | $ | 2,196 | ||||||||
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Intrepid Growth Fund | ||||||||||||||||
Total Investments in Securities # | $ | 684,171 | $ | — | $ | — | $ | 684,171 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 548 | $ | — | $ | — | $ | 548 | ||||||||
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Intrepid Mid Cap Fund | ||||||||||||||||
Total Investments in Securities ## | $ | 487,751 | $ | 1,208 | $ | — | $ | 488,959 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 529 | $ | — | $ | — | $ | 529 | ||||||||
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Intrepid Multi Cap Fund | ||||||||||||||||
Total Investments in Securities # | $ | 12,918 | $ | — | $ | — | $ | 12,918 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 8 | $ | — | $ | — | $ | 8 | ||||||||
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Intrepid Value Fund | ||||||||||||||||
Total Investments in Securities # | $ | 969,914 | $ | — | $ | — | $ | 969,914 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 768 | $ | — | $ | — | $ | 768 | ||||||||
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| # | All portfolio holdings designated as Level 1 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of the portfolio holdings. |
| ## | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOI. Level 2 consists of a U.S. Treasury Note that is held for futures collateral. Please refer to the SOI for industry specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2011.
B. Futures Contracts — The Funds use index futures contracts to gain exposure to the stock market, maintain liquidity and minimize transaction costs. The Funds buy futures contracts to immediately invest incoming cash in the market or sell futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Funds to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the 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 unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of futures contracts. Securities deposited as initial margin are designated in the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 59 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
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 Statements of Assets and Liabilities, 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 unfavorable positions.
The table below discloses the volume of the Fund’s futures activities during the year ended June 30, 2011 (amounts in thousands):
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | Intrepid Multi Cap Fund | Intrepid Value Fund | ||||||||||||||||
Average Notional Balance Long | $ | 33,262 | $ | 7,867 | $ | 10,358 | $ | 400 | $ | 10,799 | ||||||||||
Ending Notional Balance Long | 64,131 | 14,799 | 14,257 | 329 | 24,337 | |||||||||||||||
C. Securities Lending — Each Fund (except Intrepid Multi Cap Fund) may lend securities to brokers, approved by J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) in order to generate additional income. Goldman Sachs Bank USA (“GS Bank”) serves as lending agent for each of the Funds except Intrepid Multi Cap Fund pursuant to a Securities Lending Agreement (the “GS Bank Securities Lending Agreement”). Prior to March 1, 2011, JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds, served as lending agent for Intrepid Mid Cap Fund pursuant to a Securities Lending Agreement approved by the Board of Trustees (the “JPMCB Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2011, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands).
Intrepid America Fund | $ | 83 | ||
Intrepid Growth Fund | 38 | |||
Intrepid Mid Cap Fund | 14 | |||
Intrepid Value Fund | 22 |
Under the GS Bank Securities Lending Agreement, at the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GS Bank Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities. Under the JPMCB Securities Lending Agreement, at the inception of a loan, securities were exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities, plus accrued interest, and 105% of the value of loaned nondollar- denominated securities, plus accrued interest. The JPMCB Securities Lending Agreement required that the loaned securities be marked to market on a daily basis and additional cash collateral was requested from borrowers when the cash received from borrowers became less than 102% and 105% of the value of loaned U.S. dollar denominated and non-dollar denominated securities, respectively, subject to certain de minimis guidelines.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2011, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrower | Total Value of Collateral Investments | ||||||||||
Intrepid America Fund | $ | 14,193 | † | $ | 14,385 | †* | $ | 14,385 | ||||
Intrepid Growth Fund | 3,520 | 3,588 | 3,588 | |||||||||
Intrepid Mid Cap Fund | 16,769 | 16,949 | * | 16,949 | ||||||||
Intrepid Value Fund | 6,903 | 6,962 | * | 6,962 | ||||||||
| † | Amounts include a security that the Fund sold prior to June 30, 2011, which was returned from the borrower subsequent to June 30, 2011. The sale of this security also settled subsequent to June 30, 2011. The proceeds from the sale of this security are included in Receivable from Investment Securities Sold in the Statement of Assets and Liabilities. The collateral associated with this security is included in Payable for Collateral for Securities Lending Program in the Statement of Assets and Liabilities. |
| * | Subsequent to June 30, 2011, additional collateral was received from the borrowers. |
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The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments decline below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GS Bank and JPMCB each have agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands).
Intrepid America Fund | $ | 47 | ||
Intrepid Growth Fund | 22 | |||
Intrepid Mid Cap Fund | 9 | |||
Intrepid Value Fund | 13 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
Under the JPMCB Securities Lending Agreement, JPMCB was entitled to a fee paid monthly in arrears equal to: (i) 0.03% of the average dollar value of the loans of U.S. dollar-denominated securities outstanding during a given month; and (ii) 0.09% of the average dollar value of loans of non- dollar-denominated securities outstanding during a given month.
The Funds incurred lending agent fees to JPMCB as follows for the year ended June 30, 2011 (amounts in thousands):
| Lending Agent Fees Incurred | ||||
Intrepid Mid Cap Fund | $ | 2 | ||
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method adjusted for amortization of premiums and accretion of discounts. Dividend income and expense on securities sold short less foreign taxes withheld, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Dividends and Distributions to Shareholders — Dividends from net investment income are declared and paid at least annually, except for the Intrepid Mid Cap Fund and Intrepid Value Fund, which are declared and paid at least quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in Capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Intrepid America Fund | $ | — | $ | (391 | ) | $ | 391 | |||||
Intrepid Growth Fund | — | (46 | ) | 46 | ||||||||
Intrepid Mid Cap Fund | (9 | ) | (107 | ) | 116 | |||||||
Intrepid Multi-Cap Fund | — | (3 | ) | 3 | ||||||||
The reclassifications for the Funds relate primarily to distributions from investments in real estate investment trusts (Intrepid America Fund and Intrepid Growth Fund) and non-taxable special dividends (Intrepid Mid Cap Fund and Intrepid Multi-Cap Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM acts as the investment advisor to the Funds. JPMIM is a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”). JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual fee rate of 0.65% of the Funds’ average daily net assets.
The Advisors waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, JPMorgan Funds Management, Inc. (the “Administrator”), an indirect, wholly-owned subsidiary of JPMorgan, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2011, the annual effective rate was 0.09% of each Fund’s average daily net assets.
The Administrator waived Administration fees as outlined in Note 3.F.
J.P. Morgan Investor Services, Co. (“JPMIS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as the Funds’ Sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMIS receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | |||||||||||||
Intrepid America Fund | 0.25 | % | n/a | 0.75 | % | 0.50 | % | |||||||||
Intrepid Growth Fund | 0.25 | n/a | 0.75 | 0.50 | ||||||||||||
Intrepid Mid Cap Fund | 0.25 | 0.75 | % | 0.75 | n/a | |||||||||||
Intrepid Multi Cap Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
Intrepid Value Fund | 0.25 | n/a | 0.75 | 0.50 | ||||||||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2011, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Intrepid America Fund | $ | 4 | $ | — | (a) | |||
Intrepid Growth Fund | 5 | — | (a) | |||||
Intrepid Mid Cap Fund | 64 | 29 | ||||||
Intrepid Multi Cap Fund | 1 | 1 | ||||||
Intrepid Value Fund | 7 | 2 | ||||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder
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Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Select Class | |||||||||||||||||||
Intrepid America Fund | 0.25 | % | n/a | 0.25 | % | 0.25 | % | 0.05 | % | 0.25 | % | |||||||||||||
Intrepid Growth Fund | 0.25 | n/a | 0.25 | 0.25 | 0.05 | 0.25 | ||||||||||||||||||
Intrepid Mid Cap Fund | 0.25 | 0.25 | % | 0.25 | n/a | n/a | 0.25 | |||||||||||||||||
Intrepid Multi Cap Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.25 | ||||||||||||||||||
Intrepid Value Fund | 0.25 | n/a | 0.25 | 0.25 | 0.05 | 0.25 | ||||||||||||||||||
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services for the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisors, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend and interest expense related to short sales, interest, taxes, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Select Class | ||||||||||||||||||||||
Intrepid America Fund | 1.25 | % | n/a | 1.75 | % | 1.50 | % | 0.80 | % | n/a | 1.00 | % | ||||||||||||||||
Intrepid Growth Fund | 1.25 | n/a | 1.75 | 1.50 | 0.80 | n/a | 1.00 | |||||||||||||||||||||
Intrepid Mid Cap Fund | 1.24 | 1.99 | % | 1.99 | n/a | n/a | n/a | 0.99 | ||||||||||||||||||||
Intrepid Multi Cap Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | 1.00 | |||||||||||||||||||||
Intrepid Value Fund | 0.95 | n/a | 1.45 | 1.20 | 0.60 | 0.55 | % | 0.80 | ||||||||||||||||||||
Prior to September 1, 2010, the contractual expense limitations for the Intrepid Value Fund were 1.09%, 1.59%, 1.34%, 0.64% and 0.84% for Class A, Class C, Class R2, Class R5 and Select Class shares, respectively.
Except as noted above, the contractual expense limitation agreements were in effect for the year ended June 30, 2011. The contractual expense limitation percentages in the table above are in place until at least October 31, 2011.
For the year ended June 30, 2011, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | Reimbursements | ||||||||||||||||
Intrepid America Fund | $ | — | $ | — | $ | 446 | $ | 446 | $ | — | ||||||||||
Intrepid Growth Fund | — | 174 | 288 | 462 | — | |||||||||||||||
Intrepid Mid Cap Fund | — | — | 553 | 553 | — | |||||||||||||||
Intrepid Multi Cap Fund | 81 | 11 | 31 | 123 | 25 | |||||||||||||||
Intrepid Value Fund | 1,477 | 238 | 122 | 1,837 | — | |||||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisors, Administrator and the Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in the money market funds for the year ended June 30, 2011 (excluding the waiver disclosed in Note 2.C. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) were as follows (amounts in thousands):
Intrepid America Fund | $ | 75 | ||
Intrepid Growth Fund | 28 | |||
Intrepid Mid Cap Fund | 16 | |||
Intrepid Value Fund | 34 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as a Trustee. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2011, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisors.
The Funds may use related party broker/dealers. For the year ended June 30, 2011, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisors.
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 year ended June 30, 2011, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding | Purchases of U.S. Government | Sales of U.S. | |||||||||||||
Intrepid America Fund | $ | 1,519,364 | $ | 1,656,810 | — | — | ||||||||||
Intrepid Growth Fund | 769,693 | 804,195 | — | — | ||||||||||||
Intrepid Mid Cap Fund | 189,958 | 204,775 | 221 | 520 | ||||||||||||
Intrepid Multi Cap Fund | 8,960 | 9,699 | — | — | ||||||||||||
Intrepid Value Fund | 947,037 | 364,701 | — | — | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of the investment securities at June 30, 2011, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Intrepid America Fund | $ | 1,445,012 | $ | 299,469 | $ | 12,927 | $ | 286,542 | ||||||||
Intrepid Growth Fund | 552,578 | 136,002 | 4,409 | �� | 131,593 | |||||||||||
Intrepid Mid Cap Fund | 390,576 | 107,790 | 9,407 | 98,383 | ||||||||||||
Intrepid Multi Cap Fund | 10,471 | 2,542 | 95 | 2,447 | ||||||||||||
Intrepid Value Fund | 909,459 | 74,535 | 14,080 | 60,455 | ||||||||||||
For all of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the fiscal year ended June 30, 2011 was as follows (amounts in thousands):
| Total Distributions Paid From | ||||||||||||
Ordinary Income | Net Capital Gains | Total Paid | ||||||||||
Intrepid America Fund | $ | 14,929 | $ | — | $ | 14,929 | ||||||
Intrepid Growth Fund | 4,876 | — | 4,876 | |||||||||
Intrepid Mid Cap Fund | 1,836 | — | 1,836 | |||||||||
Intrepid Multi Cap Fund | 24 | — | 24 | |||||||||
Intrepid Value Fund | 6,869 | — | 6,869 | |||||||||
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The tax character of distributions paid during the fiscal year ended June 30, 2010 was as follows (amounts in thousands):
| Total Distributions Paid From | ||||||||||||
Ordinary Income | Net Capital Gains | Total Paid | ||||||||||
Intrepid America Fund | $ | 32,222 | $ | — | $ | 32,222 | ||||||
Intrepid Growth Fund | 5,939 | — | 5,939 | |||||||||
Intrepid Mid Cap Fund | 3,155 | — | 3,155 | |||||||||
Intrepid Multi Cap Fund | 126 | — | 126 | |||||||||
Intrepid Value Fund | 2,925 | — | 2,925 | |||||||||
At June 30, 2011, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary | Current Long Term | Unrealized Appreciation (Depreciation) | ||||||||||
Intrepid America Fund | $ | 15,576 | $ | (478,633 | ) | $ | 286,542 | |||||
Intrepid Growth Fund | 1,346 | (471,729 | ) | 131,593 | ||||||||
Intrepid Mid Cap Fund | — | (65,555 | ) | 98,383 | ||||||||
Intrepid Multi Cap Fund | 99 | (6,483 | ) | 2,447 | ||||||||
Intrepid Value Fund | 1,352 | (88,379 | ) | 60,455 | ||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, trustee deferred compensation (Intrepid America Fund, Intrepid Growth Fund and Intrepid Multi-Cap Fund), distributions payable (Intrepid Mid Cap Fund and Intrepid Value Fund) and mark to market of futures contracts (Intrepid Growth Fund).
As of June 30, 2011, the following Funds had net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | 2018 | Total | ||||||||||
Intrepid America Fund | $ | 113,110 | $ | 365,523 | $ | 478,633 | ||||||
Intrepid Growth Fund | 219,239 | 252,490 | 471,729 | |||||||||
Intrepid Mid Cap Fund | — | 65,555 | 65,555 | |||||||||
Intrepid Multi Cap Fund | 3,051 | 3,432 | 6,483 | |||||||||
Intrepid Value Fund | 23,535 | 64,844 | 88,379 | |||||||||
During the year ended June 30, 2011, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Intrepid America Fund | $ | 187,588 | ||
Intrepid Growth Fund | 68,547 | |||
Intrepid Mid Cap Fund | 29,503 | |||
Intrepid Multi Cap Fund | 1,081 | |||
Intrepid Value Fund | 26,641 |
Under the recently enacted Regulated Investment Company Modernization Act of 2010 (“the Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to this Act, pre-enactment net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses are used before pre-enactment net capital losses.
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d) (1)(G) of the 1940 Act).
In addition, the Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds including the Funds. Advances under the arrangement are
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 65 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2011 (continued)
taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 15, 2011.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2011, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Intrepid America Fund, Intrepid Growth Fund and Intrepid Value Fund.
In addition, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, own, in the aggregate more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Intrepid America Fund | 50.0 | % | 14.0 | % | ||||
Intrepid Growth Fund | 54.8 | n/a | ||||||
Intrepid Mid Cap Fund | 50.7 | n/a | ||||||
Additionally, Intrepid Multi Cap Fund and Intrepid Value Fund each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
Significant shareholder transactions, if any, may impact the Funds’ performance.
8. Legal Matters
Prior to becoming an affiliate of JPMorgan, on June 29, 2004, Banc One Investment Advisors Corporation (“BOIA”) subsequently known as JPMorgan Investment Advisors Inc. (“JPMIA”), entered into agreements with the SEC (the “SEC Order”) and the New York Attorney General (“NYAG settlement”) in resolution of investigations into market timing of certain One Group mutual funds advised by BOIA. JPMIA was investment advisor to certain of the Funds until January 1, 2010. Effective January 1, 2010, JPMIA transferred its investment advisory business to JPMIM and JPMIM became investment advisor to such Funds.
Under the terms of the SEC Order and the NYAG settlement, BOIA agreed to pay disgorgement of $10 million and a civil money penalty of $40 million for a total payment of $50 million, which has been distributed to certain current and former shareholders of certain funds. Pursuant to the NYAG settlement, BOIA reduced its management fee for certain funds in the aggregate amount of approximately $8 million annually (based on assets under management as of June 30, 2004) over a five year period from September 27, 2004 through September 27, 2009.
In addition to the matters involving the SEC and NYAG, various lawsuits were filed by private plaintiffs in connection with these circumstances in various state and federal courts. These actions were transferred to the United States District Court for the District of Maryland. The plaintiffs filed consolidated amended complaints, naming as defendants, BOIA, Bank One Corporation and JPMorgan, One Group Services Company (the former distributor of One Group Mutual Funds), certain officers of One Group Mutual Funds and BOIA, and certain current and former Trustees.
As of June 14, 2006, all claims against One Group Mutual Funds and current and former trustees were dismissed by the United States District Court in Maryland. Certain claims against BOIA and its affiliates were also dismissed. On October 25, 2010, the court approved a settlement resolving all remaining claims in the litigation in Maryland.
The Funds will be reimbursed for all costs associated with these matters to ensure that they incur no expense as it relates to the matters described above. A portion of these reimbursements may be from related parties.
As noted above, the NYAG settlement required BOIA to establish reduced “net management fee rates” for certain Funds (“Reduced Rate Funds”). “Net Management Fee Rates” means the percentage fee rates specified in contracts between BOIA and its affiliates and the Reduced Rate Funds, less waivers and reimbursements by BOIA and its affiliates, in effect as of June 30, 2004. The settlement agreement required that the reduced Net Management Fee Rates must result in a reduction of $8 million annually based upon assets under management as of June 30, 2004, for a total reduction over five years of $40 million from that which would have been paid by the Reduced Rate Funds on the Net Management Fee Rates as of June 30, 2004. To the extent that BOIA and its affiliates have agreed as part of the settlement with the NYAG to waive or reimburse expenses of a Fund in connection with the settlement with the NYAG, those reduced Net Management Fee Rates were referred to as “Reduced Rates.” The Reduced Rates were implemented on September 27, 2004 and remained in place through September 27, 2009. Thus, the Reduced Rates are no longer in effect.
| 66 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Mid Cap Fund, JPMorgan Intrepid Multi Cap Fund and JPMorgan Intrepid Value Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Multi Cap Fund, JPMorgan Intrepid Value Fund (each a separate fund of JPMorgan Trust I) and JPMorgan Intrepid Mid Cap Fund (a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2011, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2011 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2011
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 67 | ||||||
Table of Contents
(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 149 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 149 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 149 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 149 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 149 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 149 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 149 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 149 | Trustee, American University in Cairo (1999-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 149 | Trustee, Morgan Stanley Funds (105 portfolios) (1992-present). | |||
| 68 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 149 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 149 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | Principal and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 149 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 149 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present); Trustee, Catholic Education Foundation (2005-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (149 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 69 | ||||||
Table of Contents
OFFICERS
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008, and Vice President of Credit Suisse, in the audit area from 1999 through 2005. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman was head of Fund Administration — Pooled Vehicles from 2000 to 2004. Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Paul L. Gulinello (1950), AML Compliance Officer (2005) | Vice President and Anti Money Laundering Compliance Officer for JPMorgan Asset Management Americas, additionally responsible for privacy, personal trading and Code of Ethics compliance since 2004. Mr. Gulinello has been with JPMorgan Chase & Co. since 1972. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)* | Vice President and Assistant General Counsel, JPMorgan Chase since 2005; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005; Assistant General Counsel and Associate General Counsel and Vice President, Gartmore Global Investments, Inc. from 1999 to 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)* | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011; Associate, Willkie Farr & Gallagher LLP (law firm) from 2002 to 2005. | |
| Carmine Lekstutis (1980) Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980) Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Brian L. Duncan (1965), Assistant Treasurer (2008)* | Vice President, JPMorgan Funds Management, Inc. since June 2007; prior to joining JPMorgan Chase, Mr. Duncan worked for Penn Treaty American Corporation as Vice President and Controller from 2004 through 2007 and Assistant Vice President of Financial Reporting from 2003-2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)* | Vice President, JPMorgan Funds Management, Inc. since July 2006; formerly, Senior Manager of Financial Services of BISYS Fund Services, Inc. from December 1995 until July 2006. | |
| Laura S. Melman (1966), Assistant Treasurer (2006) | Executive Director, JPMorgan Funds Management, Inc. since February 2011, responsible for Taxation; Vice President, JPMorgan Funds Management, Inc. from August, 2006 to February 2011, responsible for Taxation; Vice President of Structured Products at The Bank of New York Co., Inc. from 2001 until 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| 70 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in the Class at the beginning of the reporting period, January 1, 2011, and continued to hold your shares at the end of the reporting period, June 30, 2011.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides infor- mation about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any trans- action costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
Intrepid America Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,077.20 | $ | 6.39 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,074.30 | 8.95 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,076.00 | 7.67 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,079.60 | 4.07 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,078.50 | 5.10 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Intrepid Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,084.00 | 6.41 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,081.20 | 8.98 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,082.50 | 7.69 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,086.20 | 4.09 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
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Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, January 1, 2011 | Ending Account Value, June 30, 2011 | Expenses Paid During January 1, 2011 to June 30, 2011* | Annualized Expense Ratio | |||||||||||||
Intrepid Growth Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,085.80 | $ | 5.12 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,105.60 | 6.53 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,101.80 | 9.69 | 1.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.57 | 9.30 | 1.86 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,102.60 | 9.70 | 1.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.57 | 9.30 | 1.86 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,106.80 | 5.22 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Intrepid Multi Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,075.70 | 6.43 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,073.10 | 9.00 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,077.00 | 5.15 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Intrepid Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,068.80 | 4.82 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,065.90 | 7.38 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,067.30 | 6.10 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,070.30 | 3.03 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,071.00 | 2.77 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,069.60 | 4.05 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | �� | 0.79 | |||||||||||
| * | Expenses are equal to the Funds’ annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 72 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2011 | ||||
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JPMorgan Funds
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2011. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2011. The information necessary to complete your income tax returns for the calendar year ending December 31, 2011 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2011:
Dividends Received Deduction | ||||
Intrepid America Fund | 100.00 | % | ||
Intrepid Growth Fund | 100.00 | |||
Intrepid Mid Cap Fund | 100.00 | |||
Intrepid Multi Cap Fund | 100.00 | |||
Intrepid Value Fund | 100.00 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2011, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Intrepid America Fund | $ | 14,929 | ||
Intrepid Growth Fund | 4,876 | |||
Intrepid Mid Cap Fund | 1,836 | |||
Intrepid Multi Cap Fund | 24 | |||
Intrepid Value Fund | 6,869 | |||
| JUNE 30, 2011 | J.P. MORGAN INTREPID FUNDS | 73 | ||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those business 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., 2011. All rights reserved. June 2011. | AN-INT-611 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is William Armstrong. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2011 – $371,800
2010 – $367,300
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2011 – $136,000
2010 – $136,000
The audit-related fees consist of aggregate fees billed for assurance and related services by the independent registered public accounting firm to the Registrant that were reasonably related to the performance of the annual audit of the Registrant’s financial statements.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2011 – $109,600
2010 – $108,900
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2011 and 2010, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2011 – Not applicable
2010 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have
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been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2011 – 0.0%
2010 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two calendar year ends were:
2010 - $32.0 million
2009 - $26.1 million
These amounts also include the aggregate non audit fees billed by the Independent Registered Public Accounting firm for services rendered to J.P. Morgan Chase & Co. (“JPMC”) and certain related entities.
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
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(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.
ITEM 6. SCHEDULE OF INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this
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paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Trust II
| By: | /s/ Patricia A. Maleski | |
| Patricia A. Maleski | ||
| President and Principal Executive Officer | ||
| September 2, 2011 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Patricia A. Maleski | |
| Patricia A. Maleski | ||
| President and Principal Executive Officer | ||
| September 2, 2011 |
| By: | /s/ Joy C. Dowd | |
| Joy C. Dowd | ||
| Treasurer and Principal Financial Officer | ||
| September 2, 2011 |