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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, 2011 through June 30, 2012
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
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Annual Report
J.P. Morgan Small Cap Funds
June 30, 2012
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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| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
Fund Commentaries: | ||||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| 11 | ||||
| 13 | ||||
| Schedules of Portfolio Investments | 15 | |||
| Financial Statements | 46 | |||
| Financial Highlights | 60 | |||
| Notes to Financial Statements | 72 | |||
| Report of Independent Registered Public Accounting Firm | 82 | |||
| Trustees | 83 | |||
| Officers | 85 | |||
| Schedule of Shareholder Expenses | 86 | |||
| Tax Letter | 89 | |||
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800)-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
 |
“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. stocks outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and
mid-cap stocks. U.S. large-cap growth stocks outperformed
U.S. large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 1 | ||||||
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MARKET OVERVIEW
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. In addition, the U.S. Federal Reserve maintained its commitment to accommodative policies, which also helped support stock prices during the reporting period. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk caused stock prices to decline during the third quarter of 2011 and the second quarter of 2012. Nonetheless, U.S. stocks gained during the reporting period, as the S&P 500 Index returned 5.45% for the twelve months ended June 30, 2012. U.S. small-cap stocks underperformed the broader U.S. stock market, as the Russell 2000 Index returned -2.08%. U.S. small-cap value stocks outperformed U.S. small-cap growth stocks during the reporting period.
| 2 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | -6.78% | |||
| Russell 2000 Growth Index | -2.71% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 336,001 | ||
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) underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the health care and consumer discretionary sectors was the main detractor from relative performance. The Fund’s stock selection in the technology and materials and processing sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in DynaVox, Inc., Imris, Inc. and RealD, Inc. Shares of DynaVox, Inc. declined after the software and programming company lowered its expectations for fiscal 2012 net sales. Shares of Imris, Inc. declined after the medical-imaging technology company reported a higher-than-expected third-quarter loss. Shares of 3-D technology licensor provider RealD, Inc. declined due to the company’s disappointing earnings and concerns about the future demand for 3-D film.
Individual contributors to relative performance included the Fund’s positions in Mellanox Technologies Ltd., Sourcefire, Inc. and Healthspring, Inc. Shares of Mellanox Technologies Ltd., which provides products that facilitate data transmission between servers, storage systems and communications infrastructure equipment, benefited from better-than-expected first-quarter earnings. Shares of Sourcefire, Inc., a provider of cyber security, benefited from the company’s strong earnings and increased expectations for future revenue growth. Shares of insurance company Healthspring, Inc. increased after the announcement that Cigna Corporation, Inc. would acquire the company.
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 consumer staples sector and the Fund’s largest overweight versus the Benchmark was in the technology sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Mellanox Technologies Ltd., (Israel) | 1.6 | % | |||||
| 2. | National CineMedia, Inc. | 1.6 | ||||||
| 3. | Insulet Corp. | 1.6 | ||||||
| 4. | Lumber Liquidators Holdings, Inc. | 1.4 | ||||||
| 5. | Carlisle Cos., Inc. | 1.4 | ||||||
| 6. | Middleby Corp. | 1.4 | ||||||
| 7. | Dril-Quip, Inc. | 1.4 | ||||||
| 8. | Boingo Wireless, Inc. | 1.4 | ||||||
| 9. | Acuity Brands, Inc. | 1.3 | ||||||
| 10. | Acadia Healthcare Co., Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 26.5 | % | ||
| Health Care | 20.5 | |||
| Industrials | 19.3 | |||
| Consumer Discretionary | 14.3 | |||
| Financials | 8.8 | |||
| Energy | 6.3 | |||
| Telecommunication Services | 1.4 | |||
| Consumer Staples | 0.9 | |||
| Short-Term Investment | 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. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 3 | ||||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/19/97 | |||||||||||||||
Without Sales Charge | (6.78 | )% | (0.10 | )% | 5.41 | % | ||||||||||
With Sales Charge* | (11.68 | ) | (1.17 | ) | 4.84 | |||||||||||
CLASS B SHARES | 5/19/97 | |||||||||||||||
Without CDSC | (7.27 | ) | (0.66 | ) | 4.90 | |||||||||||
With CDSC** | (12.27 | ) | (1.08 | ) | 4.90 | |||||||||||
CLASS C SHARES | 1/7/98 | |||||||||||||||
Without CDSC | (7.23 | ) | (0.66 | ) | 4.79 | |||||||||||
With CDSC*** | (8.23 | ) | (0.66 | ) | 4.79 | |||||||||||
SELECT CLASS SHARES | 4/5/99 | (6.40 | ) | 0.29 | 5.82 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -4.29% | |||
| Russell 2000 Index | -2.08% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 406,590 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Core Fund seeks capital growth over the long term.
There was a portfolio management change during the reporting period. There was no change to the Fund’s investment strategy or objective.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The JPMorgan Small Cap Core Fund (Select Class Shares) underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the consumer cyclical and health services and systems sectors was the primary detractor from relative performance. The Fund’s stock selection in the basic materials and pharmaceutical sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in GT Advanced Technologies, Inc., Five Star Quality Care, Inc. and Gentiva Health Services, Inc. Shares of GT Advanced Technologies, Inc., a provider of semiconductors to the solar industry, declined after the company lowered its full-year earnings guidance. Shares of Five Star Quality Care, Inc., an operator of senior living communities, declined due to potential skilled nursing rate cuts and concerns that the company’s secondary offering would dilute the value of the stock. Shares of Gentiva Health Services, Inc., a provider of home health services, declined on investors’ concerns about the impact to the company’s finances from lower reimbursements rates.
Individual contributors to relative performance included the Fund’s positions in Cirrus Logic, Inc., Inhibitex, Inc. and Pharmacyclics, Inc. Shares of Cirrus Logic, Inc., which develops analog and mixed-signal integrated circuits, gained on the company’s improving operating margins and positive forecast for future revenue growth. Shares of Inhibitex, Inc. gained after the announcement that the biopharmaceutical company would be acquired by Bristol-Myers Squibb. Shares of biotechnology company Pharmacyclics, Inc. benefited from investors’ enthusiasm surrounding the company’s drug ibrutinib.
HOW WAS THE FUND POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so
that stock selection is typically the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers employ a bottom-up approach to stock selection, using quantitative screening and proprietary analysis to construct a portfolio of companies that they believe are attractively valued and possess strong fundamentals. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Pharmacyclics, Inc. | 1.2 | % | |||||
| 2. | Omega Healthcare Investors, Inc. | 1.0 | ||||||
| 3. | AmSurg Corp. | 1.0 | ||||||
| 4. | Cabela’s, Inc. | 1.0 | ||||||
| 5. | Portland General Electric Co. | 1.0 | ||||||
| 6. | Deluxe Corp. | 0.9 | ||||||
| 7. | Wabtec Corp. | 0.9 | ||||||
| 8. | Alaska Air Group, Inc. | 0.9 | ||||||
| 9. | Helen of Troy Ltd., (Bermuda) | 0.8 | ||||||
| 10. | Cirrus Logic, Inc. | 0.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 21.2 | % | ||
| Industrials | 15.6 | |||
| Consumer Discretionary | 15.2 | |||
| Information Technology | 14.6 | |||
| Health Care | 14.2 | |||
| Energy | 5.0 | |||
| Materials | 4.8 | |||
| Consumer Staples | 3.3 | |||
| Utilities | 3.3 | |||
| Telecommunication Services | 1.3 | |||
| U.S. Treasury Obligation | 0.4 | |||
| Short-Term Investment | 1.1 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 5 | ||||||
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JPMorgan Small Cap Core Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
SELECT CLASS SHARES | 1/1/97 | (4.29 | )% | (0.59 | )% | 5.77 | % | |||||||||
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
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JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 3.79% | |||
| Russell 2000 Index | -2.08% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 2,442,031 | ||
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, 2012. The Fund’s stock selection in the consumer discretionary and technology sectors was the main contributor to relative performance. 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 Papa John’s International, Inc., TransDigm Group, Inc. and ProAssurance Corp. Shares of pizza restaurant operator Papa John’s International, Inc. gained after the company increased its expectations for 2011 earnings. Shares of TransDigm Group, Inc., an aerospace and defense company, benefited from the company’s strong quarterly results during the reporting period. Shares of insurer ProAssurance Corp. benefited from the company’s announced installment of a quarterly dividend and its strong earnings.
Individual detractors from relative performance included the Fund’s positions in Patterson-UTI Energy, Inc., Coventry Health Care, Inc. and Solera Holdings, Inc. Shares of Patterson-UTI Energy, Inc., an oil well services and equipment company, declined after its estimates for its third-quarter revenue were lower than many investors had expected. Shares of Coventry Health Care, Inc. declined as the insurance company’s revenue was hurt by decreasing membership. Shares of Solera Holdings, Inc. declined after the software and programming company lowered its expectations for its fiscal 2012 revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing 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 consumer discretionary sector. The Fund’s largest underweight versus the Benchmark was in the technology sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Jarden Corp. | 3.2 | % | |||||
| 2. | Silgan Holdings, Inc. | 2.9 | ||||||
| 3. | Coventry Health Care, Inc. | 2.7 | ||||||
| 4. | ProAssurance Corp. | 2.4 | ||||||
| 5. | Papa John’s International, Inc. | 2.1 | ||||||
| 6. | Waste Connections, Inc. | 2.1 | ||||||
| 7. | Associated Banc-Corp. | 2.1 | ||||||
| 8. | RBC Bearings, Inc. | 1.8 | ||||||
| 9. | EastGroup Properties, Inc. | 1.8 | ||||||
| 10. | American Eagle Outfitters, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 25.0 | % | ||
| Consumer Discretionary | 21.0 | |||
| Industrials | 16.1 | |||
| Materials | 9.1 | |||
| Information Technology | 9.1 | |||
| Health Care | 8.1 | |||
| Energy | 5.9 | |||
| Utilities | 3.0 | |||
| Consumer Staples | 1.4 | |||
| Telecommunication Services | 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 as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/20/94 | |||||||||||||||
Without Sales Charge | 3.79 | % | 4.87 | % | 10.59 | % | ||||||||||
With Sales Charge* | (1.65 | ) | 3.74 | 9.99 | ||||||||||||
CLASS B SHARES | 3/28/95 | |||||||||||||||
Without CDSC | 3.26 | 4.35 | 10.08 | |||||||||||||
With CDSC** | (1.74 | ) | 4.01 | 10.08 | ||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 3.26 | 4.35 | 9.97 | |||||||||||||
With CDSC*** | 2.26 | 4.35 | 9.97 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 3.51 | 4.67 | 10.48 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 4.31 | 5.40 | 11.15 | ||||||||||||
SELECT CLASS SHARES | 5/7/96 | 4.09 | 5.18 | 11.01 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class C Shares prior to its 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 its 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 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 $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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | -6.59% | |||
| Russell 2000 Growth Index | -2.71% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 821,520 | ||
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) underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the health care and consumer discretionary sectors was the main detractor from relative performance. The Fund’s stock selection in the technology and materials and processing sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in DynaVox, Inc., Imris, Inc. and RealD, Inc. Shares of DynaVox, Inc. declined after the software and programming company lowered its expectations for fiscal 2012 net sales. Shares of Imris, Inc. declined after the medical-imaging technology company reported a higher-than-expected third-quarter loss. Shares of 3-D technology licensor provider RealD, Inc. declined due to the company’s disappointing earnings and concerns about the future demand for 3-D film.
Individual contributors to relative performance included the Fund’s positions in Mellanox Technologies Ltd., Sourcefire, Inc. and Healthspring, Inc. Shares of Mellanox Technologies Ltd., which provides products that facilitate data transmission between servers, storage systems and communications infrastructure equipment , benefited from better-than-expected first-quarter earnings. Shares of Sourcefire, Inc., a provider of cyber security, benefited from the company’s strong earnings and increased expectations for future revenue growth. Shares of insurance company Healthspring, Inc. increased after the announcement that Cigna Corporation, Inc. would acquire the company.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Mellanox Technologies Ltd., (Israel) | 1.6 | % | |||||
| 2. | National CineMedia, Inc. | 1.6 | ||||||
| 3. | Insulet Corp. | 1.6 | ||||||
| 4. | Lumber Liquidators Holdings, Inc. | 1.4 | ||||||
| 5. | Carlisle Cos., Inc. | 1.4 | ||||||
| 6. | Middleby Corp. | 1.4 | ||||||
| 7. | Dril-Quip, Inc. | 1.4 | ||||||
| 8. | Boingo Wireless, Inc. | 1.4 | ||||||
| 9. | Acuity Brands, Inc. | 1.3 | ||||||
| 10. | Francesca’s Holdings Corp. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 26.6 | % | ||
| Health Care | 20.5 | |||
| Industrials | 19.5 | |||
| Consumer Discretionary | 14.3 | |||
| Financials | 8.9 | |||
| Energy | 6.3 | |||
| Telecommunication Services | 1.4 | |||
| Consumer Staples | 0.9 | |||
| 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, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 7/1/91 | |||||||||||||||
Without Sales Charge | (6.59 | )% | 2.02 | % | 7.63 | % | ||||||||||
With Sales Charge* | (11.46 | ) | 0.94 | 7.05 | ||||||||||||
CLASS B SHARES | 9/12/94 | |||||||||||||||
Without CDSC | (7.00 | ) | 1.42 | 7.06 | ||||||||||||
With CDSC** | (12.00 | ) | 1.04 | 7.06 | ||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | (6.99 | ) | 1.45 | 6.98 | ||||||||||||
With CDSC*** | (7.99 | ) | 1.45 | 6.98 | ||||||||||||
CLASS R2 SHARES | 11/3/08 | (6.80 | ) | 1.77 | 7.01 | |||||||||||
CLASS R6 SHARES | 11/30/10 | (6.14 | ) | 2.45 | 8.03 | |||||||||||
INSTITUTIONAL CLASS SHARES | 2/19/05 | (6.15 | ) | 2.44 | 8.02 | |||||||||||
SELECT CLASS SHARES | 3/26/96 | (6.29 | ) | 2.28 | 7.91 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for 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 its 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -0.11% | |||
| Russell 2000 Value Index | -1.44% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 617,066 | ||
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.
There was a portfolio management change during the reporting period. There was no change to the Fund’s investment strategy or objective.
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, 2012. The Fund’s stock selection in the software and services and consumer cyclical sectors was the primary contributor to relative performance. The Fund’s stock selection in the energy and telecommunications sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Harleysville Group, Inc., Conn’s, Inc. and Inhibitex, Inc. Shares of insurance company Harleysville Group, Inc. gained after the company announced its merger with Nationwide Insurance. Shares of retailer Conn’s, Inc. increased due to the company’s expansion into new categories and better-than-expected earnings per share guidance for fiscal 2012. Shares of Inhibitex, Inc. gained after the announcement that the biopharmaceutical company would be acquired by Bristol-Myers Squibb.
Individual detractors from relative performance included the Fund’s positions in School Specialty, Inc., Ashford Hospitality Trust, Inc. and Cal Dive International, Inc. Shares of education company School Specialty, Inc. declined due to lower earnings, hurt by diminished spending by school districts as result of uncertainty surrounding state budget funding levels. Shares of Ashford Hospitality Trust, Inc., a real estate operations company that focuses on hotels, declined amid concerns about weakening demand for hotels. Cal Dive International, Inc. provides well services and equipment to the offshore oil and natural gas industry. The stock declined amid concerns that slowing economic growth would diminish demand for oil services in the Gulf of Mexico.
HOW WAS THE FUND POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so
that stock selection is typically the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers use a quantitative ranking methodology to identify stocks in each sector that, in their view, trade at attractive levels. Through bottom-up fundamental research, they seek companies that exhibit high earnings quality and have management teams that make effective capital deployment decisions. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Capstead Mortgage Corp. | 1.1 | % | |||||
| 2. | Worthington Industries, Inc. | 1.1 | ||||||
| 3. | Anworth Mortgage Asset Corp. | 1.1 | ||||||
| 4. | Universal Corp. | 1.1 | ||||||
| 5. | DCT Industrial Trust, Inc. | 1.0 | ||||||
| 6. | Ocwen Financial Corp. | 1.0 | ||||||
| 7. | Central Garden & Pet Co., Class A | 0.9 | ||||||
| 8. | Portland General Electric Co. | 0.9 | ||||||
| 9. | NorthWestern Corp. | 0.9 | ||||||
| 10. | Laclede Group, Inc. (The) | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 34.4 | % | ||
| Industrials | 13.1 | |||
| Information Technology | 12.1 | |||
| Consumer Discretionary | 11.9 | |||
| Utilities | 6.8 | |||
| Materials | 5.4 | |||
| Health Care | 5.2 | |||
| Energy | 4.3 | |||
| Consumer Staples | 3.8 | |||
| Others (each less than 1.0%) | 1.0 | |||
| Short-Term Investment | 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. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 1/27/95 | |||||||||||||||
Without Sales Charge | (0.36 | )% | (0.07 | )% | 6.39 | % | ||||||||||
With Sales Charge* | (5.58 | ) | (1.15 | ) | 5.82 | |||||||||||
CLASS B SHARES | 1/27/95 | |||||||||||||||
Without CDSC | (1.01 | ) | (0.70 | ) | 5.83 | |||||||||||
With CDSC** | (6.01 | ) | (1.12 | ) | 5.83 | |||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | (0.96 | ) | (0.68 | ) | 5.70 | |||||||||||
With CDSC*** | (1.96 | ) | (0.68 | ) | 5.70 | |||||||||||
CLASS R2 SHARES | 11/3/08 | (0.64 | ) | (0.33 | ) | 6.10 | ||||||||||
CLASS R5 SHARES | 5/15/06 | (0.03 | ) | 0.27 | 6.71 | |||||||||||
CLASS R6 SHARES | 2/22/05 | 0.02 | 0.30 | 6.76 | ||||||||||||
SELECT CLASS SHARES | 1/27/95 | (0.11 | ) | 0.17 | 6.65 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2, 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | -2.59% | |||
| Russell 2000 Index | -2.08% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 69,959 | ||
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.
There was a portfolio management change during the reporting period. There was no change to the Fund’s investment strategy or objective.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the health services and systems and systems hardware sectors was the primary detractor from relative performance. The Fund’s stock selection in the consumer cyclical and retail sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in TeleNav, Inc., Cal Dive International, Inc. and Affymetrix, Inc. Shares of TeleNav, Inc. declined after the communication services company issued lower-than-expected earnings guidance for 2012. Cal Dive International, Inc. provides well services and equipment to the offshore oil and natural gas industry. The stock declined amid concerns that slowing economic growth would diminish demand for oil services in the Gulf of Mexico. Shares of Affymetrix, Inc., which provides scientific and technical instruments, declined after the company preannounced a disappointing forecast for its second-quarter revenue, as well as growing concerns over potential budget cuts by the National Institutes of Health.
Individual contributors to relative performance included the Fund’s positions in Pharmasset Inc., Manhattan Associates, Inc. and Arctic Cat, Inc. Shares of biotechnology company Pharmasset Inc. increased after the announcement that it would be acquired by Gilead Sciences, Inc. Shares of Manhattan Associates, Inc. increased after the software and programming company raised its fiscal 2011 earnings per share guidance. Shares of Arctic Cat, Inc., an auto and truck manufacturer, gained as investors reacted positively to the company’s announced stock buyback from Suzuki Motor Corporation.
HOW WAS THE FUND POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so
that stock selection is typically the primary driver of its relative performance versus the Benchmark. The Fund’s portfolio managers use a quantitative ranking methodology to identify stocks in each sector that, in their view, trade at attractive levels. Through bottom-up fundamental research, they seek companies that exhibit high earnings quality and have management teams that make effective capital deployment decisions. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Medicis Pharmaceutical Corp., Class A | 1.3 | % | |||||
| 2. | Manhattan Associates, Inc. | 1.2 | ||||||
| 3. | Minerals Technologies, Inc. | 1.1 | ||||||
| 4. | Universal Corp. | 1.1 | ||||||
| 5. | Coresite Realty Corp. | 1.0 | ||||||
| 6. | NorthWestern Corp. | 1.0 | ||||||
| 7. | Dillard’s, Inc., Class A | 1.0 | ||||||
| 8. | Biglari Holdings, Inc. | 1.0 | ||||||
| 9. | Coinstar, Inc. | 0.9 | ||||||
| 10. | JAKKS Pacific, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 21.1 | % | ||
| Information Technology | 15.8 | |||
| Consumer Discretionary | 14.6 | |||
| Industrials | 14.5 | |||
| Health Care | 13.0 | |||
| Energy | 5.7 | |||
| Materials | 4.8 | |||
| Consumer Staples | 4.1 | |||
| Utilities | 3.5 | |||
| Telecommunication Services | 0.6 | |||
| U.S. Treasury Obligation | 0.3 | |||
| Short-Term Investment | 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. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/1/07 | |||||||||||||||
Without Sales Charge | (2.92 | )% | 0.30 | % | 5.95 | % | ||||||||||
With Sales Charge* | (8.03 | ) | (0.78 | ) | 5.38 | |||||||||||
CLASS C SHARES | 11/1/07 | |||||||||||||||
Without CDSC | (3.52 | ) | (0.18 | ) | 5.70 | |||||||||||
With CDSC** | (4.52 | ) | (0.18 | ) | 5.70 | |||||||||||
CLASS R2 SHARES | 11/1/11 | (3.03 | ) | 0.27 | 5.94 | |||||||||||
CLASS R6 SHARES | 11/1/11 | (2.62 | ) | 0.73 | 6.27 | |||||||||||
INSTITUTIONAL CLASS SHARES | 11/4/93 | (2.59 | ) | 0.74 | 6.27 | |||||||||||
SELECT CLASS SHARES | 9/10/01 | (2.79 | ) | 0.55 | 6.08 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class A and Class C Shares prior to their inception 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.
Returns for the Class R2 Shares and Class R6 Shares prior to their inception dates are based on the performance of the Class A Shares and the Institutional Class Shares, respectively. 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 actual returns of Class R6 Shares would have been different than these 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. Small Company Fund, the Russell 2000 Index and the Lipper Small-Cap Core Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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 $3,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 14 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.8% |
| ||||||
Consumer Discretionary — 14.3% |
| |||||||
Automobiles — 0.6% |
| |||||||
| 60 | Tesla Motors, Inc. (a) | 1,889 | ||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
| 44 | Sotheby’s | 1,462 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.8% |
| |||||||
| 79 | Bally Technologies, Inc. (a) | 3,668 | ||||||
| 48 | BJ’s Restaurants, Inc. (a) | 1,818 | ||||||
| 146 | Bravo Brio Restaurant Group, Inc. (a) | 2,608 | ||||||
| 442 | Morgans Hotel Group Co. (a) | 2,078 | ||||||
| 318 | Scientific Games Corp., Class A (a) | 2,722 | ||||||
|
| |||||||
| 12,894 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.7% |
| |||||||
| 106 | HomeAway, Inc. (a) | 2,309 | ||||||
|
| |||||||
Leisure Equipment & Products — 1.1% |
| |||||||
| 55 | Arctic Cat, Inc. (a) | 2,007 | ||||||
| 71 | Brunswick Corp. | 1,571 | ||||||
|
| |||||||
| 3,578 | ||||||||
|
| |||||||
Media — 2.3% |
| |||||||
| 345 | National CineMedia, Inc. | 5,237 | ||||||
| 231 | ReachLocal, Inc. (a) | 2,544 | ||||||
|
| |||||||
| 7,781 | ||||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
| 162 | Francesca’s Holdings Corp. (a) | 4,375 | ||||||
| 141 | Lumber Liquidators Holdings, Inc. (a) | 4,761 | ||||||
| 135 | rue21, Inc. (a) | 3,395 | ||||||
|
| |||||||
| 12,531 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
| 145 | Vera Bradley, Inc. (a) | 3,056 | ||||||
| 63 | Wolverine World Wide, Inc. | 2,450 | ||||||
|
| |||||||
| 5,506 | ||||||||
|
| |||||||
Total Consumer Discretionary | 47,950 | |||||||
|
| |||||||
Consumer Staples — 0.8% |
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
| 54 | Fresh Market, Inc. (The) (a) | 2,875 | ||||||
|
| |||||||
Energy — 6.3% |
| |||||||
Energy Equipment & Services — 2.7% |
| |||||||
| 70 | Dril-Quip, Inc. (a) | 4,592 | ||||||
| 122 | Forum Energy Technologies, Inc. (a) | 2,408 | ||||||
| 108 | Superior Energy Services, Inc. (a) | 2,181 | ||||||
|
| |||||||
| 9,181 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 3.6% |
| |||||||
| 84 | Laredo Petroleum Holdings, Inc. (a) | 1,753 | ||||||
| 541 | Magnum Hunter Resources Corp. (a) | 2,262 | ||||||
| 126 | Oasis Petroleum, Inc. (a) | 3,053 | ||||||
| 88 | PDC Energy, Inc. (a) | 2,156 | ||||||
| 73 | Rosetta Resources, Inc. (a) | 2,691 | ||||||
|
| |||||||
| 11,915 | ||||||||
|
| |||||||
Total Energy | 21,096 | |||||||
|
| |||||||
Financials — 8.8% |
| |||||||
Capital Markets — 4.6% |
| |||||||
| 33 | Affiliated Managers Group, Inc. (a) | 3,633 | ||||||
| 67 | Cohen & Steers, Inc. (c) | 2,321 | ||||||
| 165 | Financial Engines, Inc. (a) | 3,546 | ||||||
| 370 | PennantPark Investment Corp. | 3,830 | ||||||
| 66 | Stifel Financial Corp. (a) | 2,033 | ||||||
|
| |||||||
| 15,363 | ||||||||
|
| |||||||
Commercial Banks — 0.8% |
| |||||||
| 46 | Signature Bank (a) | 2,789 | ||||||
|
| |||||||
Insurance — 0.6% |
| |||||||
| 69 | Amtrust Financial Services, Inc. | 2,035 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
| 38 | BRE Properties, Inc. | 1,911 | ||||||
| 160 | Douglas Emmett, Inc. (m) | 3,705 | ||||||
| 31 | Home Properties, Inc. | 1,890 | ||||||
|
| |||||||
| 7,506 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
| 50 | Zillow, Inc., Class A (a) | 1,920 | ||||||
|
| |||||||
Total Financials | 29,613 | |||||||
|
| |||||||
Health Care — 20.5% |
| |||||||
Biotechnology — 5.2% |
| |||||||
| 64 | Acorda Therapeutics, Inc. (a) | 1,508 | ||||||
| 129 | Aegerion Pharmaceuticals, Inc. (a) | 1,921 | ||||||
| 134 | Ariad Pharmaceuticals, Inc. (a) | 2,308 | ||||||
| 79 | AVEO Pharmaceuticals, Inc. (a) | 963 | ||||||
| 85 | Cubist Pharmaceuticals, Inc. (a) | 3,208 | ||||||
| 200 | Halozyme Therapeutics, Inc. (a) | 1,770 | ||||||
| 44 | Onyx Pharmaceuticals, Inc. (a) | 2,907 | ||||||
| 230 | Synta Pharmaceuticals Corp. (a) | 1,259 | ||||||
| 218 | Threshold Pharmaceuticals, Inc. (a) | 1,613 | ||||||
|
| |||||||
| 17,457 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 6.7% |
| |||||||
| 298 | DynaVox, Inc., Class A (a) | 334 | ||||||
| 559 | Imris, Inc., (Canada) (a) | 1,683 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
| 245 | Insulet Corp. (a) (c) | 5,227 | ||||||
| 107 | Masimo Corp. (a) | 2,385 | ||||||
| 279 | MELA Sciences, Inc. (a) | 910 | ||||||
| 248 | Novadaq Technologies, Inc., (Canada) (a) | 1,652 | ||||||
| 345 | Syneron Medical Ltd., (Israel) (a) | 3,585 | ||||||
| 159 | Tornier N.V., (Netherlands) (a) | 3,568 | ||||||
| 923 | Unilife Corp. (a) | 3,119 | ||||||
|
| |||||||
| 22,463 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.0% |
| |||||||
| 250 | Acadia Healthcare Co., Inc. (a) | 4,387 | ||||||
| 217 | Emeritus Corp. (a) | 3,649 | ||||||
| 111 | Health Net, Inc. (a) | 2,683 | ||||||
| 52 | WellCare Health Plans, Inc. (a) | 2,761 | ||||||
|
| |||||||
| 13,480 | ||||||||
|
| |||||||
Health Care Technology — 0.8% |
| |||||||
| 191 | Omnicell, Inc. (a) | 2,796 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
| 217 | Bruker Corp. (a) | 2,889 | ||||||
| 158 | Fluidigm Corp. (a) | 2,374 | ||||||
|
| |||||||
| 5,263 | ||||||||
|
| |||||||
Pharmaceuticals — 2.2% |
| |||||||
| 77 | Impax Laboratories, Inc. (a) | 1,565 | ||||||
| 261 | Nektar Therapeutics (a) | 2,103 | ||||||
| 132 | Sagent Pharmaceuticals, Inc. (a) | 2,392 | ||||||
| 57 | ViroPharma, Inc. (a) | 1,361 | ||||||
|
| |||||||
| 7,421 | ||||||||
|
| |||||||
Total Health Care | 68,880 | |||||||
|
| |||||||
Industrials — 19.3% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
| 90 | HEICO Corp. | 3,558 | ||||||
|
| |||||||
Building Products — 3.3% |
| |||||||
| 73 | Armstrong World Industries, Inc. | 3,604 | ||||||
| 127 | Simpson Manufacturing Co., Inc. (c) | 3,761 | ||||||
| 124 | Trex Co., Inc. (a) | 3,736 | ||||||
|
| |||||||
| 11,101 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.1% |
| |||||||
| 65 | Clean Harbors, Inc. (a) | 3,667 | ||||||
|
| |||||||
Electrical Equipment — 1.3% |
| |||||||
| 87 | Acuity Brands, Inc. | 4,426 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% | ||||||||
| 89 | Carlisle Cos., Inc. | 4,719 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 4.6% |
| |||||||
| 50 | Graco, Inc. | 2,326 | ||||||
| 47 | Middleby Corp. (a) | 4,661 | ||||||
| 144 | Rexnord Corp. (a) | 2,894 | ||||||
| 120 | Titan International, Inc. | 2,946 | ||||||
| 32 | Wabtec Corp. | 2,531 | ||||||
|
| |||||||
| 15,358 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 118 | Mistras Group, Inc. (a) | 3,113 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
| 177 | Marten Transport Ltd. | 3,772 | ||||||
| 97 | Old Dominion Freight Line, Inc. (a) | 4,180 | ||||||
|
| |||||||
| 7,952 | ||||||||
|
| |||||||
Trading Companies & Distributors — 3.3% |
| |||||||
| 43 | MSC Industrial Direct Co., Inc., Class A | 2,818 | ||||||
| 251 | Rush Enterprises, Inc., Class A (a) | 4,096 | ||||||
| 55 | Watsco, Inc. | 4,094 | ||||||
|
| |||||||
| 11,008 | ||||||||
|
| |||||||
Total Industrials | 64,902 | |||||||
|
| |||||||
Information Technology — 26.5% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
| 222 | Aruba Networks, Inc. (a) | 3,342 | ||||||
|
| |||||||
Computers & Peripherals — 0.8% |
| |||||||
| 125 | Fusion-io, Inc. (a) | 2,618 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 58 | Audience, Inc. (a) | 1,122 | ||||||
|
| |||||||
Internet Software & Services — 5.7% |
| |||||||
| 109 | Bazaarvoice, Inc. (a) | 1,975 | ||||||
| 173 | Cornerstone OnDemand, Inc. (a) | 4,109 | ||||||
| 142 | DealerTrack Holdings, Inc. (a) | 4,278 | ||||||
| 55 | Demandware, Inc. (a) | 1,310 | ||||||
| 238 | Envestnet, Inc. (a) | 2,854 | ||||||
| 55 | OpenTable, Inc. (a) | 2,453 | ||||||
| 47 | Rackspace Hosting, Inc. (a) | 2,061 | ||||||
|
| |||||||
| 19,040 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 295 | ServiceSource International, Inc. (a) | 4,085 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.2% |
| |||||||
| 90 | Cavium, Inc. (a) | 2,509 | ||||||
| 64 | Cymer, Inc. (a) | 3,781 | ||||||
| 56 | Hittite Microwave Corp. (a) | 2,873 | ||||||
| 307 | Inphi Corp. (a) | 2,909 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 74 | Mellanox Technologies Ltd., (Israel) (a) | 5,254 | ||||||
|
| |||||||
| 17,326 | ||||||||
|
| |||||||
Software — 12.3% |
| |||||||
| 105 | BroadSoft, Inc. (a) | 3,032 | ||||||
| 48 | CommVault Systems, Inc. (a) | 2,374 | ||||||
| 63 | Concur Technologies, Inc. (a) (c) | 4,311 | ||||||
| 134 | Fortinet, Inc. (a) | 3,111 | ||||||
| 63 | Imperva, Inc. (a) | 1,801 | ||||||
| 140 | Infoblox, Inc. (a) | 3,212 | ||||||
| 63 | NetSuite, Inc. (a) | 3,434 | ||||||
| 101 | Parametric Technology Corp. (a) | 2,121 | ||||||
| 132 | RealPage, Inc. (a) | 3,060 | ||||||
| 81 | SolarWinds, Inc. (a) | 3,515 | ||||||
| 64 | Sourcefire, Inc. (a) | 3,289 | ||||||
| 44 | Splunk, Inc. (a) | 1,245 | ||||||
| 320 | Take-Two Interactive Software, Inc. (a) | 3,031 | ||||||
| 129 | TIBCO Software, Inc. (a) | 3,874 | ||||||
|
| |||||||
| 41,410 | ||||||||
|
| |||||||
Total Information Technology | 88,943 | |||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
Wireless Telecommunication Services — 1.3% |
| |||||||
| 391 | Boingo Wireless, Inc. (a) | 4,540 | ||||||
|
| |||||||
Total Common Stocks | 328,799 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrant — 0.0% |
| ||||||
Energy — 0.0% | ||||||||
Oil, Gas & Consumable Fuels — 0.0% | ||||||||
| 51 | Magnum Hunter Resources Corp., expiring 10/14/13 (a) | — | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% | ||||||||
| 6,703 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (Cost $6,703) | 6,703 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.9% |
| ||||||
Investment Company — 0.9% | ||||||||
| 2,971 | JPMorgan Prime Money Market Fund, | 2,971 | ||||||
|
| |||||||
Total Investments — 100.7% | 338,473 | |||||||
Liabilities in Excess of | (2,472 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 336,001 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.5% |
| ||||||
Consumer Discretionary — 15.0% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 30 | Cooper Tire & Rubber Co. | 533 | ||||||
| 83 | Standard Motor Products, Inc. | 1,172 | ||||||
|
| |||||||
| 1,705 | ||||||||
|
| |||||||
Distributors — 0.3% |
| |||||||
| 144 | VOXX International Corp. (a) | 1,346 | ||||||
|
| |||||||
Diversified Consumer Services — 0.7% |
| |||||||
| 79 | Bridgepoint Education, Inc. (a) | 1,720 | ||||||
| 10 | Capella Education Co. (a) | 334 | ||||||
| 15 | Carriage Services, Inc. | 124 | ||||||
| 5 | Coinstar, Inc. (a) | 364 | ||||||
| 98 | Corinthian Colleges, Inc. (a) | 282 | ||||||
| 10 | Mac-Gray Corp. | 138 | ||||||
|
| |||||||
| 2,962 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
| 84 | Ameristar Casinos, Inc. | 1,500 | ||||||
| 3 | Biglari Holdings, Inc. (a) | 1,198 | ||||||
| 11 | Cracker Barrel Old Country Store, Inc. | 691 | ||||||
| 25 | DineEquity, Inc. (a) | 1,129 | ||||||
| 87 | Domino’s Pizza, Inc. | 2,702 | ||||||
| 84 | Multimedia Games Holding Co., Inc. (a) | 1,181 | ||||||
| 110 | Ruth’s Hospitality Group, Inc. (a) | 724 | ||||||
| 121 | Sonic Corp. (a) | 1,215 | ||||||
|
| |||||||
| 10,340 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
| 67 | American Greetings Corp., Class A | 977 | ||||||
| 1 | CSS Industries, Inc. | 10 | ||||||
| 99 | Helen of Troy Ltd., (Bermuda) (a) | 3,365 | ||||||
| 14 | Jarden Corp. | 576 | ||||||
| 116 | KB Home | 1,136 | ||||||
| 15 | Libbey, Inc. (a) | 224 | ||||||
| 33 | Lifetime Brands, Inc. | 415 | ||||||
| 20 | MDC Holdings, Inc. | 637 | ||||||
| 98 | Standard Pacific Corp. (a) | 605 | ||||||
| 19 | Tempur-Pedic International, Inc. (a) | 452 | ||||||
|
| |||||||
| 8,397 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.0% (g) |
| |||||||
| 41 | Orbitz Worldwide, Inc. (a) | 148 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.7% |
| |||||||
| 5 | Arctic Cat, Inc. (a) | 165 | ||||||
| 58 | JAKKS Pacific, Inc. | 922 | ||||||
| 63 | LeapFrog Enterprises, Inc. (a) | 642 | ||||||
| 81 | Smith & Wesson Holding Corp. (a) | 671 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Leisure Equipment & Products — Continued |
| |||||||
| 10 | Sturm Ruger & Co., Inc. | 414 | ||||||
|
| |||||||
| 2,814 | ||||||||
|
| |||||||
Media — 1.2% |
| |||||||
| 106 | Carmike Cinemas, Inc. (a) | 1,550 | ||||||
| 114 | Entercom Communications Corp., Class A (a) | 683 | ||||||
| 90 | Journal Communications, Inc., Class A (a) | 465 | ||||||
| 12 | Knology, Inc. (a) | 232 | ||||||
| 138 | LIN TV Corp., Class A (a) | 416 | ||||||
| 184 | Sinclair Broadcast Group, Inc., Class A | 1,663 | ||||||
|
| |||||||
| 5,009 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 45 | Dillard’s, Inc., Class A | 2,859 | ||||||
|
| |||||||
Specialty Retail — 4.1% |
| |||||||
| 119 | Aeropostale, Inc. (a) (m) | 2,118 | ||||||
| 105 | Cabela’s, Inc. (a) | 3,966 | ||||||
| 160 | Conn’s, Inc. (a) | 2,371 | ||||||
| 28 | Cost Plus, Inc. (a) | 614 | ||||||
| 98 | Express, Inc. (a) | 1,782 | ||||||
| 51 | Finish Line, Inc. (The), Class A | 1,075 | ||||||
| 7 | Kirkland’s, Inc. (a) | 76 | ||||||
| 260 | OfficeMax, Inc. (a) | 1,317 | ||||||
| 72 | Rent-A-Center, Inc. | 2,443 | ||||||
| 33 | Select Comfort Corp. (a) | 690 | ||||||
| 12 | Tilly’s, Inc., Class A (a) | 193 | ||||||
|
| |||||||
| 16,645 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.2% |
| |||||||
| 17 | G-III Apparel Group Ltd. (a) | 398 | ||||||
| 131 | Iconix Brand Group, Inc. (a) | 2,282 | ||||||
| 104 | Maidenform Brands, Inc. (a) | 2,070 | ||||||
| 18 | Oxford Industries, Inc. | 791 | ||||||
| 58 | Perry Ellis International, Inc. (a) | 1,199 | ||||||
| 29 | Skechers U.S.A., Inc., Class A (a) | 595 | ||||||
| 23 | Steven Madden Ltd. (a) | 724 | ||||||
| 33 | Vera Bradley, Inc. (a) | 704 | ||||||
|
| |||||||
| 8,763 | ||||||||
|
| |||||||
Total Consumer Discretionary | 60,988 | |||||||
|
| |||||||
Consumer Staples — 3.3% |
| |||||||
Beverages — 0.1% |
| |||||||
| 7 | Coca-Cola Bottling Co. Consolidated | 469 | ||||||
|
| |||||||
Food & Staples Retailing — 1.5% |
| |||||||
| 36 | Andersons, Inc. (The) | 1,527 | ||||||
| 22 | Nash Finch Co. | 473 | ||||||
| 152 | Spartan Stores, Inc. | 2,750 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Food & Staples Retailing — Continued |
| |||||||
| 181 | SUPERVALU, Inc. | 937 | ||||||
| 11 | Village Super Market, Inc., Class A | 355 | ||||||
|
| |||||||
| 6,042 | ||||||||
|
| |||||||
Food Products — 0.9% |
| |||||||
| 42 | B&G Foods, Inc. | 1,125 | ||||||
| 36 | Darling International, Inc. (a) | 592 | ||||||
| 72 | Diamond Foods, Inc. | 1,276 | ||||||
| 20 | Fresh Del Monte Produce, Inc. | 458 | ||||||
|
| |||||||
| 3,451 | ||||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
| 15 | Elizabeth Arden, Inc. (a) | 590 | ||||||
| 61 | Prestige Brands Holdings, Inc. (a) | 960 | ||||||
| 29 | Revlon, Inc., Class A (a) | 411 | ||||||
| 33 | USANA Health Sciences, Inc. (a) | 1,365 | ||||||
|
| |||||||
| 3,326 | ||||||||
|
| |||||||
Total Consumer Staples | 13,288 | |||||||
|
| |||||||
Energy — 5.0% |
| |||||||
Energy Equipment & Services — 1.7% |
| |||||||
| 20 | C&J Energy Services, Inc. (a) | 368 | ||||||
| 6 | Cal Dive International, Inc. (a) | 17 | ||||||
| 65 | Forum Energy Technologies, Inc. (a) | 1,280 | ||||||
| 51 | Gulfmark Offshore, Inc., Class A (a) | 1,746 | ||||||
| 66 | Helix Energy Solutions Group, Inc. (a) | 1,077 | ||||||
| 18 | Lufkin Industries, Inc. | 994 | ||||||
| 11 | Matrix Service Co. (a) | 124 | ||||||
| 1 | Newpark Resources, Inc. (a) | 7 | ||||||
| 69 | Superior Energy Services, Inc. (a) | 1,397 | ||||||
|
| |||||||
| 7,010 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.3% |
| |||||||
| 13 | Alon USA Energy, Inc. | 107 | ||||||
| 3 | Apco Oil and Gas International, Inc. | 54 | ||||||
| 14 | Bonanza Creek Energy, Inc. (a) | 238 | ||||||
| 92 | Callon Petroleum Co. (a) | 394 | ||||||
| 25 | Clayton Williams Energy, Inc. (a) | 1,229 | ||||||
| 19 | Cloud Peak Energy, Inc. (a) | 328 | ||||||
| 18 | Delek U.S. Holdings, Inc. | 317 | ||||||
| 61 | Energy XXI Bermuda Ltd., (Bermuda) | 1,898 | ||||||
| 66 | EXCO Resources, Inc. | 502 | ||||||
| 14 | Georesources, Inc. (a) | 527 | ||||||
| 37 | Gulfport Energy Corp. (a) | 763 | ||||||
| 65 | McMoRan Exploration Co. (a) | 825 | ||||||
| 43 | Miller Energy Resources, Inc. (a) | 213 | ||||||
| 40 | Renewable Energy Group, Inc. (a) | 293 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 23 | Saratoga Resources, Inc. (a) | 136 | ||||||
| 108 | VAALCO Energy, Inc. (a) | 932 | ||||||
| 104 | W&T Offshore, Inc. | 1,591 | ||||||
| 68 | Warren Resources, Inc. (a) | 163 | ||||||
| 94 | Western Refining, Inc. | 2,089 | ||||||
| 16 | World Fuel Services Corp. | 593 | ||||||
|
| |||||||
| 13,192 | ||||||||
|
| |||||||
Total Energy | 20,202 | |||||||
|
| |||||||
Financials — 21.0% |
| |||||||
Capital Markets — 0.6% |
| |||||||
| 92 | BGC Partners, Inc., Class A | 540 | ||||||
| 87 | Cowen Group, Inc., Class A (a) | 231 | ||||||
| 18 | Gladstone Capital Corp. | 144 | ||||||
| 62 | Knight Capital Group, Inc., Class A (a) | 745 | ||||||
| 28 | Manning & Napier, Inc. | 392 | ||||||
| 14 | Piper Jaffray Cos. (a) | 323 | ||||||
| 8 | Prospect Capital Corp. | 86 | ||||||
| 39 | SWS Group, Inc. (a) | 207 | ||||||
|
| |||||||
| 2,668 | ||||||||
|
| |||||||
Commercial Banks — 5.9% |
| |||||||
| 2 | Alliance Financial Corp. | 76 | ||||||
| 19 | Banco Latinoamericano de Comercio Exterior S.A., (Panama), Class E | 405 | ||||||
| 72 | BBCN Bancorp, Inc. (a) | 779 | ||||||
| 7 | Bridge Bancorp, Inc. | 175 | ||||||
| 6 | Cascade Bancorp (a) | 37 | ||||||
| 42 | Cathay General Bancorp | 692 | ||||||
| 8 | Center Bancorp, Inc. | 90 | ||||||
| 24 | Citizens & Northern Corp. | 461 | ||||||
| 38 | Citizens Republic Bancorp, Inc. (a) | 649 | ||||||
| 20 | City Holding Co. | 681 | ||||||
| 28 | Community Bank System, Inc. | 762 | ||||||
| 8 | Community Trust Bancorp, Inc. | 278 | ||||||
| 20 | East West Bancorp, Inc. | 474 | ||||||
| 2 | Enterprise Financial Services Corp. | 19 | ||||||
| 26 | Financial Institutions, Inc. | 432 | ||||||
| 16 | First Busey Corp. | 78 | ||||||
| 311 | First Commonwealth Financial Corp. | 2,092 | ||||||
| 31 | First Community Bancshares, Inc. | 444 | ||||||
| 39 | First Financial Bancorp | 616 | ||||||
| 24 | First Merchants Corp. | 295 | ||||||
| 26 | First Niagara Financial Group, Inc. | 199 | ||||||
| 79 | FNB Corp. | 853 | ||||||
| 183 | Hanmi Financial Corp. (a) | 1,919 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Commercial Banks — Continued | ||||||||
| 4 | Heartland Financial USA, Inc. | 91 | ||||||
| 24 | Huntington Bancshares, Inc. | 155 | ||||||
| 6 | Iberiabank Corp. | 303 | ||||||
| 20 | International Bancshares Corp. | 394 | ||||||
| 14 | Lakeland Bancorp, Inc. | 144 | ||||||
| 11 | Lakeland Financial Corp. | 295 | ||||||
| 22 | MainSource Financial Group, Inc. | 261 | ||||||
| 20 | MetroCorp Bancshares, Inc. (a) | 214 | ||||||
| 8 | National Bankshares, Inc. (c) | 226 | ||||||
| 11 | NBT Bancorp, Inc. | 237 | ||||||
| 66 | Oriental Financial Group, Inc. | 733 | ||||||
| 30 | PacWest Bancorp | 698 | ||||||
| 35 | Park Sterling Corp. (a) | 166 | ||||||
| 16 | Peoples Bancorp, Inc. | 354 | ||||||
| 52 | Pinnacle Financial Partners, Inc. (a) | 1,018 | ||||||
| 15 | Preferred Bank (a) | 203 | ||||||
| 13 | Prosperity Bancshares, Inc. | 542 | ||||||
| 3 | Renasant Corp. | 53 | ||||||
| 9 | Republic Bancorp, Inc., Class A | 198 | ||||||
| 30 | Sierra Bancorp | 296 | ||||||
| 13 | Southside Bancshares, Inc. | 294 | ||||||
| 83 | Southwest Bancorp, Inc. (a) | 785 | ||||||
| 73 | Susquehanna Bancshares, Inc. | 754 | ||||||
| 12 | SVB Financial Group (a) | 693 | ||||||
| 14 | WesBanco, Inc. | 306 | ||||||
| 23 | West Bancorp, Inc. | 220 | ||||||
| 360 | Wilshire Bancorp, Inc. (a) | 1,972 | ||||||
|
| |||||||
| 24,111 | ||||||||
|
| |||||||
Consumer Finance — 2.2% | ||||||||
| 62 | Cash America International, Inc. | 2,726 | ||||||
| 101 | DFC Global Corp. (a) | 1,860 | ||||||
| 40 | Nelnet, Inc., Class A | 927 | ||||||
| 50 | World Acceptance Corp. (a) | 3,316 | ||||||
|
| |||||||
| 8,829 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% | ||||||||
| 155 | PHH Corp. (a) | 2,715 | ||||||
|
| |||||||
Insurance — 2.3% | ||||||||
| 227 | American Equity Investment Life Holding Co. | 2,494 | ||||||
| 24 | American Safety Insurance Holdings Ltd. (a) | 448 | ||||||
| 40 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,144 | ||||||
| 290 | CNO Financial Group, Inc. | 2,263 | ||||||
| 34 | Flagstone Reinsurance Holdings S.A., (Luxembourg) | 269 | ||||||
| 9 | Horace Mann Educators Corp. | 161 | ||||||
| 60 | Meadowbrook Insurance Group, Inc. | 527 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
| 8 | Montpelier Re Holdings Ltd., (Bermuda) | 160 | ||||||
| 96 | National Financial Partners Corp. (a) | 1,289 | ||||||
| 28 | Selective Insurance Group, Inc. | 495 | ||||||
|
| |||||||
| 9,250 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.3% |
| |||||||
| 5 | Agree Realty Corp. | 117 | ||||||
| 24 | American Campus Communities, Inc. | 1,071 | ||||||
| 425 | Anworth Mortgage Asset Corp. | 2,995 | ||||||
| 93 | Ashford Hospitality Trust, Inc. | 780 | ||||||
| 54 | Associated Estates Realty Corp. | 801 | ||||||
| 80 | CapLease, Inc. | 333 | ||||||
| 240 | Capstead Mortgage Corp. | 3,344 | ||||||
| 78 | CBL & Associates Properties, Inc. | 1,530 | ||||||
| 42 | Chesapeake Lodging Trust | 716 | ||||||
| 18 | Colonial Properties Trust | 403 | ||||||
| 62 | Coresite Realty Corp. | 1,611 | ||||||
| 157 | DCT Industrial Trust, Inc. | 986 | ||||||
| 51 | DDR Corp. | 748 | ||||||
| 17 | EastGroup Properties, Inc. | 906 | ||||||
| 140 | Education Realty Trust, Inc. | 1,549 | ||||||
| 229 | First Industrial Realty Trust, Inc. (a) | 2,885 | ||||||
| 47 | Glimcher Realty Trust | 475 | ||||||
| 8 | Home Properties, Inc. | 509 | ||||||
| 33 | LaSalle Hotel Properties | 973 | ||||||
| 272 | Lexington Realty Trust | 2,306 | ||||||
| 21 | LTC Properties, Inc. | 766 | ||||||
| 8 | Mission West Properties, Inc. | 66 | ||||||
| 187 | Omega Healthcare Investors, Inc. | 4,205 | ||||||
| 17 | Parkway Properties, Inc. | 196 | ||||||
| 115 | Pennsylvania Real Estate Investment Trust | 1,729 | ||||||
| 13 | PS Business Parks, Inc. | 867 | ||||||
| 15 | Ramco-Gershenson Properties Trust | 191 | ||||||
| 12 | Senior Housing Properties Trust | 278 | ||||||
| 8 | Sun Communities, Inc. | 345 | ||||||
|
| |||||||
| 33,681 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.0% |
| |||||||
| 16 | BankFinancial Corp. | 117 | ||||||
| 12 | BofI Holding, Inc. (a) | 245 | ||||||
| 17 | Dime Community Bancshares, Inc. | 226 | ||||||
| 15 | OceanFirst Financial Corp. | 221 | ||||||
| 171 | Ocwen Financial Corp. (a) | 3,206 | ||||||
| 35 | Trustco Bank Corp. | 192 | ||||||
|
| |||||||
| 4,207 | ||||||||
|
| |||||||
Total Financials | 85,461 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care — 14.1% |
| |||||||
Biotechnology — 5.3% |
| |||||||
| 186 | Achillion Pharmaceuticals, Inc. (a) (m) | 1,151 | ||||||
| 51 | Acorda Therapeutics, Inc. (a) (m) | 1,204 | ||||||
| 36 | Affymax, Inc. (a) | 469 | ||||||
| 156 | Ariad Pharmaceuticals, Inc. (a) | 2,676 | ||||||
| 52 | BioCryst Pharmaceuticals, Inc. (a) (c) | 209 | ||||||
| 38 | Celldex Therapeutics, Inc. (a) | 195 | ||||||
| 74 | ChemoCentryx, Inc. (a) | 1,105 | ||||||
| 72 | Genomic Health, Inc. (a) | 2,418 | ||||||
| 102 | Halozyme Therapeutics, Inc. (a) | 904 | ||||||
| 72 | Incyte Corp., Ltd. (a) | 1,623 | ||||||
| 27 | Ironwood Pharmaceuticals, Inc. (a) | 378 | ||||||
| 20 | Medivation, Inc. (a) | 1,837 | ||||||
| 65 | Momenta Pharmaceuticals, Inc. (a) | 883 | ||||||
| 86 | Pharmacyclics, Inc. (a) | 4,675 | ||||||
| 50 | Progenics Pharmaceuticals, Inc. (a) | 487 | ||||||
| 11 | Raptor Pharmaceutical Corp. (a) | 61 | ||||||
| 87 | Spectrum Pharmaceuticals, Inc. (a) | 1,347 | ||||||
|
| |||||||
| 21,622 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.8% |
| |||||||
| 113 | Cantel Medical Corp. | 3,068 | ||||||
| 53 | DynaVox, Inc., Class A (a) | 59 | ||||||
| 107 | Greatbatch, Inc. (a) | 2,425 | ||||||
| 54 | Insulet Corp. (a) | 1,154 | ||||||
| 61 | Invacare Corp. | 937 | ||||||
| 39 | Orthofix International N.V., (Netherlands) (a) | 1,596 | ||||||
| 25 | PhotoMedex, Inc. (a) | 300 | ||||||
| 231 | RTI Biologics, Inc. (a) | 867 | ||||||
| 21 | Sirona Dental Systems, Inc. (a) | 923 | ||||||
|
| |||||||
| 11,329 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 47 | Almost Family, Inc. (a) | 1,043 | ||||||
| 134 | AmSurg Corp. (a) | 4,003 | ||||||
| 98 | Five Star Quality Care, Inc. (a) | 301 | ||||||
| 63 | HMS Holdings Corp. (a) | 2,102 | ||||||
| 217 | Metropolitan Health Networks, Inc. (a) | 2,073 | ||||||
| 38 | Molina Healthcare, Inc. (a) | 891 | ||||||
| 24 | Owens & Minor, Inc. | 738 | ||||||
| 249 | Skilled Healthcare Group, Inc., Class A (a) | 1,566 | ||||||
| 116 | Sun Healthcare Group, Inc. (a) | 972 | ||||||
| 19 | Triple-S Management Corp., Class B (a) | 338 | ||||||
| 36 | WellCare Health Plans, Inc. (a) | 1,887 | ||||||
|
| |||||||
| 15,914 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Technology — 0.8% |
| |||||||
| 19 | Computer Programs & Systems, Inc. | 1,087 | ||||||
| 142 | MedAssets, Inc. (a) | 1,913 | ||||||
|
| |||||||
| 3,000 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 45 | Cambrex Corp. (a) | 426 | ||||||
|
| |||||||
Pharmaceuticals — 1.2% |
| |||||||
| 62 | Impax Laboratories, Inc. (a) | 1,265 | ||||||
| 24 | Jazz Pharmaceuticals plc, (Ireland) (a) | 1,071 | ||||||
| 18 | Medicis Pharmaceutical Corp., Class A | 622 | ||||||
| 25 | Par Pharmaceutical Cos., Inc. (a) | 896 | ||||||
| 13 | Salix Pharmaceuticals Ltd. (a) | 724 | ||||||
| 16 | ViroPharma, Inc. (a) | 372 | ||||||
|
| |||||||
| 4,950 | ||||||||
|
| |||||||
Total Health Care | 57,241 | |||||||
|
| |||||||
Industrials — 15.5% |
| |||||||
Aerospace & Defense — 1.9% |
| |||||||
| 12 | Ceradyne, Inc. | 295 | ||||||
| 7 | Curtiss-Wright Corp. | 217 | ||||||
| 30 | Esterline Technologies Corp. (a) | 1,852 | ||||||
| 231 | GenCorp, Inc. (a) | 1,501 | ||||||
| 41 | LMI Aerospace, Inc. (a) | 718 | ||||||
| 58 | Triumph Group, Inc. | 3,286 | ||||||
|
| |||||||
| 7,869 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
| 44 | Atlas Air Worldwide Holdings, Inc. (a) | 1,932 | ||||||
| 20 | Park-Ohio Holdings Corp. (a) | 382 | ||||||
|
| |||||||
| 2,314 | ||||||||
|
| |||||||
Airlines — 1.3% |
| |||||||
| 101 | Alaska Air Group, Inc. (a) | 3,608 | ||||||
| 13 | Hawaiian Holdings, Inc. (a) | 85 | ||||||
| 144 | Republic Airways Holdings, Inc. (a) | 798 | ||||||
| 63 | U.S. Airways Group, Inc. (a) | 837 | ||||||
|
| |||||||
| 5,328 | ||||||||
|
| |||||||
Building Products — 0.0% (g) |
| |||||||
| 6 | Gibraltar Industries, Inc. (a) | 62 | ||||||
|
| |||||||
Commercial Services & Supplies — 3.1% |
| |||||||
| 13 | Asset Acceptance Capital Corp. (a) | 86 | ||||||
| 460 | Cenveo, Inc. (a) | 887 | ||||||
| 7 | Courier Corp. | 95 | ||||||
| 149 | Deluxe Corp. | 3,711 | ||||||
| 107 | Encore Capital Group, Inc. (a) | 3,166 | ||||||
| 14 | Herman Miller, Inc. | 258 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Commercial Services & Supplies — Continued |
| |||||||
| 63 | Knoll, Inc. | 848 | ||||||
| 14 | Portfolio Recovery Associates, Inc. (a) | 1,232 | ||||||
| 83 | Quad/Graphics, Inc. | 1,191 | ||||||
| 10 | Team, Inc. (a) | 312 | ||||||
| 7 | UniFirst Corp. | 427 | ||||||
| 22 | United Stationers, Inc. | 580 | ||||||
|
| |||||||
| 12,793 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
| 14 | Argan, Inc. | 196 | ||||||
| 59 | EMCOR Group, Inc. | 1,639 | ||||||
| 63 | MasTec, Inc. (a) | 943 | ||||||
| 14 | Michael Baker Corp. (a) | 352 | ||||||
| 18 | Tutor Perini Corp. (a) | 229 | ||||||
|
| |||||||
| 3,359 | ||||||||
|
| |||||||
Electrical Equipment — 1.7% |
| |||||||
| 33 | Acuity Brands, Inc. (m) | 1,685 | ||||||
| 38 | EnerSys (a) | 1,343 | ||||||
| 32 | Generac Holdings, Inc. (a) | 780 | ||||||
| 47 | Regal-Beloit Corp. | 2,932 | ||||||
|
| |||||||
| 6,740 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 5 | Standex International Corp. | 213 | ||||||
|
| |||||||
Machinery — 3.8% |
| |||||||
| 65 | Actuant Corp., Class A (m) | 1,757 | ||||||
| 31 | Barnes Group, Inc. | 751 | ||||||
| 26 | Columbus McKinnon Corp. (a) | 386 | ||||||
| 74 | EnPro Industries, Inc. (a) | 2,758 | ||||||
| 83 | Federal Signal Corp. (a) | 485 | ||||||
| 5 | FreightCar America, Inc. | 108 | ||||||
| 35 | Kadant, Inc. (a) | 811 | ||||||
| 16 | LB Foster Co., Class A | 466 | ||||||
| 10 | NACCO Industries, Inc., Class A | 1,186 | ||||||
| 52 | NN, Inc. (a) | 533 | ||||||
| 6 | Proto Labs, Inc. (a) | 170 | ||||||
| 20 | Rexnord Corp. (a) | 397 | ||||||
| 14 | Robbins & Myers, Inc. | 590 | ||||||
| 51 | Trimas Corp. (a) | 1,027 | ||||||
| 47 | Wabtec Corp. | 3,690 | ||||||
| 6 | Watts Water Technologies, Inc., Class A | 207 | ||||||
|
| |||||||
| 15,322 | ||||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
| 10 | GP Strategies Corp. (a) | 187 | ||||||
| 30 | Kelly Services, Inc., Class A | 389 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Professional Services — Continued |
| |||||||
| 5 | RPX Corp. (a) | 73 | ||||||
| 7 | VSE Corp. | 171 | ||||||
|
| |||||||
| 820 | ||||||||
|
| |||||||
Road & Rail — 0.7% |
| |||||||
| 13 | Avis Budget Group, Inc. (a) | 204 | ||||||
| 8 | Dollar Thrifty Automotive Group, Inc. (a) | 631 | ||||||
| 117 | Quality Distribution, Inc. (a) | 1,294 | ||||||
| 82 | Swift Transportation Co. (a) | 774 | ||||||
|
| |||||||
| 2,903 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
| 44 | Applied Industrial Technologies, Inc. | 1,610 | ||||||
| 18 | Beacon Roofing Supply, Inc. (a) | 441 | ||||||
| 9 | Interline Brands, Inc. (a) | 231 | ||||||
| 22 | MRC Global, Inc. (a) | 470 | ||||||
| 55 | SeaCube Container Leasing Ltd. | 944 | ||||||
| 18 | United Rentals, Inc. (a) | 596 | ||||||
|
| |||||||
| 4,292 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.2% |
| |||||||
| 70 | Wesco Aircraft Holdings, Inc. (a) | 886 | ||||||
|
| |||||||
Total Industrials | 62,901 | |||||||
|
| |||||||
Information Technology — 14.4% |
| |||||||
Communications Equipment — 1.4% |
| |||||||
| 128 | Arris Group, Inc. (a) | 1,776 | ||||||
| 66 | Aviat Networks, Inc. (a) | 185 | ||||||
| 38 | Black Box Corp. | 1,093 | ||||||
| 35 | CalAmp Corp. (a) | 254 | ||||||
| 22 | Comtech Telecommunications Corp. | 614 | ||||||
| 11 | NETGEAR, Inc. (a) | 390 | ||||||
| 12 | Oplink Communications, Inc. (a) | 156 | ||||||
| 27 | Plantronics, Inc. | 902 | ||||||
| 48 | Polycom, Inc. (a) | 501 | ||||||
|
| |||||||
| 5,871 | ||||||||
|
| |||||||
Computers & Peripherals — 0.3% |
| |||||||
| 25 | Fusion-io, Inc. (a) | 512 | ||||||
| 18 | Imation Corp. (a) | 103 | ||||||
| 16 | Synaptics, Inc. (a) | 458 | ||||||
| 31 | Xyratex Ltd., (United Kingdom) | 351 | ||||||
|
| |||||||
| 1,424 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.5% |
| |||||||
| 21 | Audience, Inc. (a) | 413 | ||||||
| 8 | Brightpoint, Inc. (a) | 44 | ||||||
| 10 | FEI Co. (a) | 464 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Electronic Equipment, Instruments & Components — Continued |
| |||||||
| 25 | Insight Enterprises, Inc. (a) | 422 | ||||||
| 27 | Key Tronic Corp. (a) | 222 | ||||||
| 13 | Littelfuse, Inc. | 762 | ||||||
| 6 | Measurement Specialties, Inc. (a) | 208 | ||||||
| 37 | Newport Corp. (a) | 446 | ||||||
| 10 | Plexus Corp. (a) | 293 | ||||||
| 45 | RadiSys Corp. (a) | 283 | ||||||
| 64 | SYNNEX Corp. (a) | 2,204 | ||||||
| 34 | TTM Technologies, Inc. (a) | 321 | ||||||
|
| |||||||
| 6,082 | ||||||||
|
| |||||||
Internet Software & Services — 1.0% |
| |||||||
| 54 | Active Network, Inc. (The) (a) (m) | 836 | ||||||
| 16 | Bazaarvoice, Inc. (a) | 288 | ||||||
| 13 | Demandware, Inc. (a) | 315 | ||||||
| 10 | ExactTarget, Inc. (a) | 216 | ||||||
| 560 | United Online, Inc. | 2,362 | ||||||
|
| |||||||
| 4,017 | ||||||||
|
| |||||||
IT Services — 2.1% |
| |||||||
| 43 | CACI International, Inc., Class A (a) | 2,349 | ||||||
| 18 | CSG Systems International, Inc. (a) | 318 | ||||||
| 19 | Gartner, Inc. (a) | 814 | ||||||
| 37 | Global Cash Access Holdings, Inc. (a) | 265 | ||||||
| 11 | ManTech International Corp., Class A | 258 | ||||||
| 10 | MAXIMUS, Inc. | 538 | ||||||
| 19 | TeleTech Holdings, Inc. (a) | 304 | ||||||
| 18 | Unisys Corp. (a) | 358 | ||||||
| 27 | Vantiv, Inc., Class A (a) | 633 | ||||||
| 37 | VeriFone Systems, Inc. (a) | 1,228 | ||||||
| 21 | Wright Express Corp. (a) | 1,315 | ||||||
|
| |||||||
| 8,380 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
| 131 | Amkor Technology, Inc. (a) | 637 | ||||||
| 36 | Brooks Automation, Inc. | 341 | ||||||
| 112 | Cirrus Logic, Inc. (a) | 3,359 | ||||||
| 113 | Entegris, Inc. (a) | 962 | ||||||
| 59 | Entropic Communications, Inc. (a) | 333 | ||||||
| 352 | GT Advanced Technologies, Inc. (a) | 1,858 | ||||||
| 27 | Integrated Silicon Solution, Inc. (a) | 276 | ||||||
| 47 | Intermolecular, Inc. (a) | 364 | ||||||
| 348 | Kulicke & Soffa Industries, Inc. (a) | 3,105 | ||||||
| 65 | Lattice Semiconductor Corp. (a) | 245 | ||||||
| 9 | M/A-COM Technology Solutions Holdings, Inc. (a) | 174 | ||||||
| 21 | Micrel, Inc. | 196 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — |
| |||||||
| 37 | Photronics, Inc. (a) | 224 | ||||||
| 148 | PMC-Sierra, Inc. (a) | 907 | ||||||
| 103 | Skyworks Solutions, Inc. (a) | 2,816 | ||||||
|
| |||||||
| 15,797 | ||||||||
|
| |||||||
Software — 4.2% |
| |||||||
| 39 | Actuate Corp. (a) (m) | 267 | ||||||
| 133 | Aspen Technology, Inc. (a) | 3,083 | ||||||
| 36 | Ebix, Inc. (c) | 726 | ||||||
| 33 | Envivio, Inc. (a) | 212 | ||||||
| 66 | Glu Mobile, Inc. (a) | 367 | ||||||
| 8 | Guidewire Software, Inc. (a) | 214 | ||||||
| 4 | Imperva, Inc. (a) | 107 | ||||||
| 19 | Infoblox, Inc. (a) | 429 | ||||||
| 110 | JDA Software Group, Inc. (a) | 3,263 | ||||||
| 7 | Jive Software, Inc. (a) | 141 | ||||||
| 9 | Manhattan Associates, Inc. (a) | 430 | ||||||
| 18 | Monotype Imaging Holdings, Inc. (a) | 307 | ||||||
| 21 | Netscout Systems, Inc. (a) | 442 | ||||||
| 48 | Parametric Technology Corp. (a) | 996 | ||||||
| 30 | Progress Software Corp. (a) | 618 | ||||||
| 5 | Proofpoint, Inc. (a) | 88 | ||||||
| 41 | Quest Software, Inc. (a) | 1,128 | ||||||
| 8 | Rovi Corp. (a) | 163 | ||||||
| 25 | SS&C Technologies Holdings, Inc. (a) | 625 | ||||||
| 110 | Take-Two Interactive Software, Inc. (a) | 1,036 | ||||||
| 56 | TeleNav, Inc. (a) | 341 | ||||||
| 23 | TIBCO Software, Inc. (a) | 697 | ||||||
| 31 | VirnetX Holding Corp. (a) | 1,107 | ||||||
| 24 | Websense, Inc. (a) | 453 | ||||||
|
| |||||||
| 17,240 | ||||||||
|
| |||||||
Total Information Technology | 58,811 | |||||||
|
| |||||||
Materials — 4.7% |
| |||||||
Chemicals — 1.9% |
| |||||||
| 5 | FutureFuel Corp. | 50 | ||||||
| 63 | Georgia Gulf Corp. | 1,617 | ||||||
| 29 | H.B. Fuller Co. | 887 | ||||||
| 6 | Innospec, Inc. (a) | 181 | ||||||
| 41 | Koppers Holdings, Inc. | 1,397 | ||||||
| 75 | Omnova Solutions, Inc. (a) | 563 | ||||||
| 62 | PolyOne Corp. | 850 | ||||||
| 46 | Solutia, Inc. | 1,296 | ||||||
| 27 | TPC Group, Inc. (a) | 1,009 | ||||||
|
| |||||||
| 7,850 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Construction Materials — 0.2% |
| |||||||
| 150 | Headwaters, Inc. (a) | 773 | ||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
| 26 | Boise, Inc. | 171 | ||||||
| 150 | Graphic Packaging Holding Co. (a) | 823 | ||||||
| 38 | Rock-Tenn Co., Class A | 2,051 | ||||||
|
| |||||||
| 3,045 | ||||||||
|
| |||||||
Metals & Mining — 1.4% |
| |||||||
| 64 | Coeur d’Alene Mines Corp. (a) | 1,129 | ||||||
| 35 | Hecla Mining Co. | 164 | ||||||
| 212 | Noranda Aluminum Holding Corp. | 1,687 | ||||||
| 72 | Revett Minerals, Inc. (a) | 236 | ||||||
| 64 | U.S. Silica Holdings, Inc. (a) | 723 | ||||||
| 81 | Worthington Industries, Inc. | 1,654 | ||||||
|
| |||||||
| 5,593 | ||||||||
|
| |||||||
Paper & Forest Products — 0.5% |
| |||||||
| 71 | Buckeye Technologies, Inc. | 2,029 | ||||||
|
| |||||||
Total Materials | 19,290 | |||||||
|
| |||||||
Telecommunication Services — 1.3% |
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
| 872 | Cincinnati Bell, Inc. (a) | 3,242 | ||||||
| 33 | Consolidated Communications Holdings, Inc. | 494 | ||||||
| 3 | IDT Corp., Class B | 26 | ||||||
| 129 | Premiere Global Services, Inc. (a) | 1,079 | ||||||
| 159 | Vonage Holdings Corp. (a) | 320 | ||||||
|
| |||||||
Total Telecommunication Services | 5,161 | |||||||
|
| |||||||
Utilities — 3.2% |
| |||||||
Electric Utilities — 2.3% |
| |||||||
| 61 | El Paso Electric Co. | 2,010 | ||||||
| 21 | Empire District Electric Co. (The) | 449 | ||||||
| 35 | IDACORP, Inc. | 1,481 | ||||||
| 12 | MGE Energy, Inc. | 577 | ||||||
| 145 | Portland General Electric Co. | 3,858 | ||||||
| 15 | UNS Energy Corp. | 569 | ||||||
| 12 | Westar Energy, Inc. | 359 | ||||||
|
| |||||||
| 9,303 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 3 | AGL Resources, Inc. (m) | 100 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — Continued |
| |||||||
| 6 | Chesapeake Utilities Corp. | 253 | ||||||
| 12 | Laclede Group, Inc. (The) | 478 | ||||||
| 30 | New Jersey Resources Corp. | 1,295 | ||||||
| 9 | Northwest Natural Gas Co. | 438 | ||||||
| 17 | Southwest Gas Corp. | 738 | ||||||
| 11 | WGL Holdings, Inc. | 425 | ||||||
|
| |||||||
| 3,727 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.0% (g) |
| |||||||
| 3 | Genie Energy Ltd., Class B | 21 | ||||||
|
| |||||||
Water Utilities — 0.0% (g) |
| |||||||
| 6 | Artesian Resources Corp., Class A | 125 | ||||||
|
| |||||||
Total Utilities | 13,176 | |||||||
|
| |||||||
Total Common Stocks | 396,519 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.3% |
| ||||||
| 1,475 | U.S. Treasury Note, 0.500%, 11/30/12 (k) (m) | 1,477 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% |
| |||||||
| 4,398 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 4,398 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.2% |
| ||||||
Investment Company — 0.2% |
| |||||||
| 688 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 688 | ||||||
|
| |||||||
Total Investments — 99.1% | 403,082 | |||||||
Other Assets in Excess of | 3,508 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 406,590 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 123 | E-mini Russell 2000 | 09/21/12 | $ | 9,783 | $ | 433 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.8% |
| ||||||
Consumer Discretionary — 20.8% | ||||||||
Auto Components — 1.4% | ||||||||
| 1,222 | Allison Transmission Holdings, Inc. | 21,466 | ||||||
| 446 | Drew Industries, Inc. (a) | 12,416 | ||||||
|
| |||||||
| 33,882 | ||||||||
|
| |||||||
Distributors — 1.1% | ||||||||
| 650 | Pool Corp. | 26,308 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 7.7% | ||||||||
| 1,082 | Brinker International, Inc. | 34,477 | ||||||
| 665 | Cracker Barrel Old Country Store, Inc. | 41,752 | ||||||
| 725 | Monarch Casino & Resort, Inc. (a) | 6,623 | ||||||
| 1,087 | Papa John’s International, Inc. (a) | 51,719 | ||||||
| 925 | Penn National Gaming, Inc. (a) | 41,225 | ||||||
| 935 | Shuffle Master, Inc. (a) | 12,901 | ||||||
|
| |||||||
| 188,697 | ||||||||
|
| |||||||
Household Durables — 3.2% | ||||||||
| 1,841 | Jarden Corp. | 77,354 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.4% | ||||||||
| 461 | Brunswick Corp. | 10,241 | ||||||
|
| |||||||
Media — 2.2% | ||||||||
| 1,339 | Cinemark Holdings, Inc. | 30,608 | ||||||
| 394 | Morningstar, Inc. | 22,769 | ||||||
|
| |||||||
| 53,377 | ||||||||
|
| |||||||
Specialty Retail — 3.5% | ||||||||
| 2,235 | American Eagle Outfitters, Inc. | 44,094 | ||||||
| 1,546 | Chico’s FAS, Inc. | 22,949 | ||||||
| 401 | Dick’s Sporting Goods, Inc. | 19,256 | ||||||
|
| |||||||
| 86,299 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
| 251 | Deckers Outdoor Corp. (a) | 11,038 | ||||||
| 1,126 | Iconix Brand Group, Inc. (a) | 19,672 | ||||||
|
| |||||||
| 30,710 | ||||||||
|
| |||||||
Total Consumer Discretionary | 506,868 | |||||||
|
| |||||||
Consumer Staples — 1.4% | ||||||||
Food Products — 1.4% | ||||||||
| 566 | J&J Snack Foods Corp. | 33,434 | ||||||
|
| |||||||
Energy — 5.8% | ||||||||
Energy Equipment & Services — 2.6% | ||||||||
| 2,624 | Patterson-UTI Energy, Inc. | 38,209 | ||||||
| 552 | Tidewater, Inc. | 25,597 | ||||||
|
| |||||||
| 63,806 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 3.2% | ||||||||
| 666 | Approach Resources, Inc. (a) | 17,013 | ||||||
| 724 | Cimarex Energy Co. | 39,901 | ||||||
| 2,311 | Resolute Energy Corp. (a) | 22,115 | ||||||
|
| |||||||
| 79,029 | ||||||||
|
| |||||||
Total Energy | 142,835 | |||||||
|
| |||||||
Financials — 24.7% |
| |||||||
Capital Markets — 5.7% |
| |||||||
| 958 | Calamos Asset Management, Inc., Class A | 10,974 | ||||||
| 128 | Diamond Hill Investment Group, Inc. | 10,031 | ||||||
| 944 | Epoch Holding Corp. | 21,494 | ||||||
| 517 | Greenhill & Co., Inc. | 18,434 | ||||||
| 2,453 | HFF, Inc., Class A (a) | 34,190 | ||||||
| 2,552 | Janus Capital Group, Inc. | 19,954 | ||||||
| 401 | JMP Group, Inc. | 2,480 | ||||||
| 1,285 | KBW, Inc. | 21,144 | ||||||
|
| |||||||
| 138,701 | ||||||||
|
| |||||||
Commercial Banks — 8.1% |
| |||||||
| 3,765 | Associated Banc-Corp. | 49,659 | ||||||
| 1,430 | First Financial Bancorp | 22,855 | ||||||
| 111 | First of Long Island Corp. (The) | 3,224 | ||||||
| 712 | First Republic Bank (a) | 23,915 | ||||||
| 1,258 | Glacier Bancorp, Inc. | 19,481 | ||||||
| 354 | Iberiabank Corp. | 17,855 | ||||||
| 2,880 | Umpqua Holdings Corp. | 37,896 | ||||||
| 2,562 | Western Alliance Bancorp (a) | 23,978 | ||||||
|
| |||||||
| 198,863 | ||||||||
|
| |||||||
Insurance — 2.7% |
| |||||||
| 498 | eHealth, Inc. (a) | 8,024 | ||||||
| 651 | ProAssurance Corp. | 57,957 | ||||||
|
| |||||||
| 65,981 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 6.5% |
| |||||||
| 831 | EastGroup Properties, Inc. | 44,306 | ||||||
| 639 | Mid-America Apartment Communities, Inc. | 43,634 | ||||||
| 1,359 | National Retail Properties, Inc. | 38,453 | ||||||
| 1,745 | RLJ Lodging Trust | 31,639 | ||||||
|
| |||||||
| 158,032 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.7% |
| |||||||
| 819 | FirstService Corp., (Canada) (a) | 22,906 | ||||||
| 482 | Zillow, Inc., Class A (a) | 18,619 | ||||||
|
| |||||||
| 41,525 | ||||||||
|
| |||||||
Total Financials | 603,102 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care — 8.1% |
| |||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
| 281 | IDEXX Laboratories, Inc. (a) | 26,988 | ||||||
|
| |||||||
Health Care Providers & Services — 6.1% |
| |||||||
| 2,036 | Coventry Health Care, Inc. | 64,728 | ||||||
| 282 | MWI Veterinary Supply, Inc. (a) | 28,951 | ||||||
| 1,779 | PSS World Medical, Inc. (a) | 37,339 | ||||||
| 35 | VCA Antech, Inc. (a) | 770 | ||||||
| 293 | WellCare Health Plans, Inc. (a) | 15,540 | ||||||
|
| |||||||
| 147,328 | ||||||||
|
| |||||||
Health Care Technology — 0.7% |
| |||||||
| 1,219 | Omnicell, Inc. (a) | 17,844 | ||||||
|
| |||||||
Pharmaceuticals — 0.2% |
| |||||||
| 742 | Cumberland Pharmaceuticals, Inc. (a) | 4,791 | ||||||
|
| |||||||
Total Health Care | 196,951 | |||||||
|
| |||||||
Industrials — 15.9% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 276 | TransDigm Group, Inc. (a) | 37,053 | ||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
| 507 | Forward Air Corp. | 16,362 | ||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
| 682 | NCI Building Systems, Inc. (a) | 7,391 | ||||||
|
| |||||||
Commercial Services & Supplies — 5.1% |
| |||||||
| 1,596 | ACCO Brands Corp. (a) | 16,503 | ||||||
| 1,814 | Herman Miller, Inc. | 33,599 | ||||||
| 1,428 | KAR Auction Services, Inc. (a) | 24,540 | ||||||
| 1,698 | Waste Connections, Inc. | 50,789 | ||||||
|
| |||||||
| 125,431 | ||||||||
|
| |||||||
Construction & Engineering — 0.7% |
| |||||||
| 1,742 | Comfort Systems USA, Inc. | 17,454 | ||||||
|
| |||||||
Electrical Equipment — 0.9% |
| |||||||
| 339 | Regal-Beloit Corp. | 21,104 | ||||||
|
| |||||||
Machinery — 5.1% |
| |||||||
| 584 | Altra Holdings, Inc. | 9,214 | ||||||
| 1,288 | Douglas Dynamics, Inc. | 18,352 | ||||||
| 944 | RBC Bearings, Inc. (a) | 44,656 | ||||||
| 1,403 | Rexnord Corp. (a) | 28,116 | ||||||
| 349 | Toro Co. (The) | 25,583 | ||||||
|
| |||||||
| 125,921 | ||||||||
|
| |||||||
Road & Rail — 1.1% |
| |||||||
| 1,638 | Knight Transportation, Inc. | 26,191 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.5% |
| |||||||
| 485 | Interline Brands, Inc. (a) | 12,161 | ||||||
|
| |||||||
Total Industrials | 389,068 | |||||||
|
| |||||||
Information Technology — 9.0% |
| |||||||
Electronic Equipment, Instruments & Components — 1.3% |
| |||||||
| 611 | Anixter International, Inc. | 32,415 | ||||||
|
| |||||||
Internet Software & Services — 2.3% |
| |||||||
| 968 | Active Network, Inc. (The) (a) | 14,892 | ||||||
| 1,798 | Dice Holdings, Inc. (a) | 16,887 | ||||||
| 388 | SciQuest, Inc. (a) | 6,967 | ||||||
| 790 | Travelzoo, Inc. (a) | 17,950 | ||||||
|
| |||||||
| 56,696 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.5% |
| |||||||
| 1,029 | Freescale Semiconductor Ltd. (a) | 10,550 | ||||||
|
| |||||||
Software — 4.9% |
| |||||||
| 700 | MICROS Systems, Inc. (a) | 35,860 | ||||||
| 1,210 | Monotype Imaging Holdings, Inc. (a) | 20,297 | ||||||
| 298 | NetSuite, Inc. (a) | 16,314 | ||||||
| 238 | SolarWinds, Inc. (a) | 10,372 | ||||||
| 735 | Solera Holdings, Inc. | 30,706 | ||||||
| 234 | Splunk, Inc. (a) | 6,578 | ||||||
|
| |||||||
| 120,127 | ||||||||
|
| |||||||
Total Information Technology | 219,788 | |||||||
|
| |||||||
Materials — 9.0% |
| |||||||
Chemicals — 1.9% |
| |||||||
| 290 | Airgas, Inc. | 24,362 | ||||||
| 535 | Scotts Miracle-Gro Co. (The), Class A | 21,988 | ||||||
|
| |||||||
| 46,350 | ||||||||
|
| |||||||
Containers & Packaging — 6.2% |
| |||||||
| 832 | Aptargroup, Inc. | 42,460 | ||||||
| 1,117 | Crown Holdings, Inc. (a) | 38,510 | ||||||
| 1,651 | Silgan Holdings, Inc. | 70,496 | ||||||
|
| |||||||
| 151,466 | ||||||||
|
| |||||||
Metals & Mining — 0.9% |
| |||||||
| 290 | Compass Minerals International, Inc. | 22,112 | ||||||
|
| |||||||
Total Materials | 219,928 | |||||||
|
| |||||||
Telecommunication Services — 0.1% |
| |||||||
Diversified Telecommunication Services — 0.1% |
| |||||||
| 214 | Lumos Networks Corp. | 2,018 | ||||||
|
| |||||||
Utilities — 3.0% |
| |||||||
Gas Utilities — 1.3% |
| |||||||
| 685 | Northwest Natural Gas Co. | 32,617 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Multi-Utilities — 1.7% |
| |||||||
| 1,116 | NorthWestern Corp. | 40,943 | ||||||
|
| |||||||
Total Utilities | 73,560 | |||||||
|
| |||||||
Total Common Stocks | 2,387,552 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.2% |
| ||||||
Investment Company — 1.2% |
| |||||||
| 29,810 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 29,810 | ||||||
|
| |||||||
Total Investments — 99.0% | 2,417,362 | |||||||
Other Assets in Excess of | 24,669 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,442,031 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.3% |
| ||||||
Consumer Discretionary — 14.3% |
| |||||||
Automobiles — 0.6% |
| |||||||
| 150 | Tesla Motors, Inc. (a) | 4,681 | ||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
| 109 | Sotheby’s | 3,630 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.8% |
| |||||||
| 194 | Bally Technologies, Inc. (a) | 9,043 | ||||||
| 118 | BJ’s Restaurants, Inc. (a) | 4,499 | ||||||
| 359 | Bravo Brio Restaurant Group, Inc. (a) | 6,405 | ||||||
| 959 | Morgans Hotel Group Co. (a) | 4,509 | ||||||
| 786 | Scientific Games Corp., Class A (a) | 6,724 | ||||||
|
| |||||||
| 31,180 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.7% |
| |||||||
| 263 | HomeAway, Inc. (a) | 5,711 | ||||||
|
| |||||||
Leisure Equipment & Products — 1.1% |
| |||||||
| 136 | Arctic Cat, Inc. (a) | 4,968 | ||||||
| 172 | Brunswick Corp. | 3,820 | ||||||
|
| |||||||
| 8,788 | ||||||||
|
| |||||||
Media — 2.3% |
| |||||||
| 851 | National CineMedia, Inc. | 12,907 | ||||||
| 554 | ReachLocal, Inc. (a) | 6,088 | ||||||
|
| |||||||
| 18,995 | ||||||||
|
| |||||||
Specialty Retail — 3.8% |
| |||||||
| 399 | Francesca’s Holdings Corp. (a) | 10,789 | ||||||
| 347 | Lumber Liquidators Holdings, Inc. (a) | 11,735 | ||||||
| 332 | rue21, inc. (a) | 8,367 | ||||||
|
| |||||||
| 30,891 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
| 358 | Vera Bradley, Inc. (a) | 7,538 | ||||||
| 156 | Wolverine World Wide, Inc. | 6,061 | ||||||
|
| |||||||
| 13,599 | ||||||||
|
| |||||||
Total Consumer Discretionary | 117,475 | |||||||
|
| |||||||
Consumer Staples — 0.9% |
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
| 132 | Fresh Market, Inc. (The) (a) | 7,101 | ||||||
|
| |||||||
Energy — 6.3% |
| |||||||
Energy Equipment & Services — 2.7% |
| |||||||
| 172 | Dril-Quip, Inc. (a) | 11,249 | ||||||
| 302 | Forum Energy Technologies, Inc. (a) | 5,952 | ||||||
| 264 | Superior Energy Services, Inc. (a) | 5,341 | ||||||
|
| |||||||
| 22,542 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 3.6% |
| |||||||
| 209 | Laredo Petroleum Holdings, Inc. (a) | 4,347 | ||||||
| 1,325 | Magnum Hunter Resources Corp. (a) | 5,540 | ||||||
| 312 | Oasis Petroleum, Inc. (a) | 7,537 | ||||||
| 215 | PDC Energy, Inc. (a) | 5,279 | ||||||
| 180 | Rosetta Resources, Inc. (a) | 6,591 | ||||||
|
| |||||||
| 29,294 | ||||||||
|
| |||||||
Total Energy | 51,836 | |||||||
|
| |||||||
Financials — 8.9% |
| |||||||
Capital Markets — 4.6% |
| |||||||
| 82 | Affiliated Managers Group, Inc. (a) | 8,964 | ||||||
| 166 | Cohen & Steers, Inc. (c) | 5,743 | ||||||
| 408 | Financial Engines, Inc. (a) | 8,750 | ||||||
| 913 | PennantPark Investment Corp. | 9,446 | ||||||
| 163 | Stifel Financial Corp. (a) | 5,027 | ||||||
|
| |||||||
| 37,930 | ||||||||
|
| |||||||
Commercial Banks — 0.8% |
| |||||||
| 113 | Signature Bank (a) | 6,889 | ||||||
|
| |||||||
Insurance — 0.6% |
| |||||||
| 170 | Amtrust Financial Services, Inc. | 5,036 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.3% |
| |||||||
| 95 | BRE Properties, Inc. | 4,732 | ||||||
| 396 | Douglas Emmett, Inc. (m) | 9,138 | ||||||
| 76 | Home Properties, Inc. | 4,682 | ||||||
|
| |||||||
| 18,552 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
| 123 | Zillow, Inc., Class A (a) | 4,759 | ||||||
|
| |||||||
Total Financials | 73,166 | |||||||
|
| |||||||
Health Care — 20.5% |
| |||||||
Biotechnology — 5.2% |
| |||||||
| 159 | Acorda Therapeutics, Inc. (a) | 3,741 | ||||||
| 310 | Aegerion Pharmaceuticals, Inc. (a) | 4,597 | ||||||
| 331 | Ariad Pharmaceuticals, Inc. (a) | 5,703 | ||||||
| 198 | AVEO Pharmaceuticals, Inc. (a) | 2,405 | ||||||
| 209 | Cubist Pharmaceuticals, Inc. (a) | 7,919 | ||||||
| 495 | Halozyme Therapeutics, Inc. (a) | 4,385 | ||||||
| 107 | Onyx Pharmaceuticals, Inc. (a) | 7,137 | ||||||
| 572 | Synta Pharmaceuticals Corp. (a) | 3,127 | ||||||
| 541 | Threshold Pharmaceuticals, Inc. (a) | 4,006 | ||||||
|
| |||||||
| 43,020 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 6.6% |
| |||||||
| 640 | DynaVox, Inc., Class A (a) | 717 | ||||||
| 1,202 | Imris, Inc., (Canada) (a) | 3,619 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
| 603 | Insulet Corp. (a) | 12,881 | ||||||
| 264 | Masimo Corp. (a) | 5,901 | ||||||
| 670 | MELA Sciences, Inc. (a) | 2,183 | ||||||
| 543 | Novadaq Technologies, Inc., (Canada) (a) | 3,624 | ||||||
| 852 | Syneron Medical Ltd., (Israel) (a) | 8,842 | ||||||
| 393 | Tornier N.V., (Netherlands) (a) | 8,804 | ||||||
| 2,268 | Unilife Corp. (a) | 7,665 | ||||||
|
| |||||||
| 54,236 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.1% |
| |||||||
| 614 | Acadia Healthcare Co., Inc. (a) | 10,763 | ||||||
| 535 | Emeritus Corp. (a) | 9,004 | ||||||
| 273 | Health Net, Inc. (a) | 6,625 | ||||||
| 129 | WellCare Health Plans, Inc. (a) | 6,816 | ||||||
|
| |||||||
| 33,208 | ||||||||
|
| |||||||
Health Care Technology — 0.8% |
| |||||||
| 447 | Omnicell, Inc. (a) | 6,550 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
| 536 | Bruker Corp. (a) | 7,131 | ||||||
| 377 | Fluidigm Corp. (a) | 5,664 | ||||||
|
| |||||||
| 12,795 | ||||||||
|
| |||||||
Pharmaceuticals — 2.2% |
| |||||||
| 191 | Impax Laboratories, Inc. (a) | 3,880 | ||||||
| 645 | Nektar Therapeutics (a) | 5,204 | ||||||
| 327 | Sagent Pharmaceuticals, Inc. (a) | 5,909 | ||||||
| 143 | ViroPharma, Inc. (a) | 3,380 | ||||||
|
| |||||||
| 18,373 | ||||||||
|
| |||||||
Total Health Care | 168,182 | |||||||
|
| |||||||
Industrials — 19.5% |
| |||||||
Aerospace & Defense — 1.1% |
| |||||||
| 222 | HEICO Corp. | 8,775 | ||||||
|
| |||||||
Building Products — 3.3% |
| |||||||
| 181 | Armstrong World Industries, Inc. | 8,893 | ||||||
| 315 | Simpson Manufacturing Co., Inc. | 9,281 | ||||||
| 306 | Trex Co., Inc. (a) | 9,212 | ||||||
|
| |||||||
| 27,386 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.1% |
| |||||||
| 160 | Clean Harbors, Inc. (a) | 9,050 | ||||||
|
| |||||||
Electrical Equipment — 1.3% |
| |||||||
| 214 | Acuity Brands, Inc. | 10,910 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
| 219 | Carlisle Cos., Inc. | 11,627 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 4.6% |
| |||||||
| 125 | Graco, Inc. | 5,751 | ||||||
| 115 | Middleby Corp. (a) | 11,495 | ||||||
| 357 | Rexnord Corp. (a) | 7,146 | ||||||
| 297 | Titan International, Inc. | 7,281 | ||||||
| 80 | Wabtec Corp. | 6,225 | ||||||
|
| |||||||
| 37,898 | ||||||||
|
| |||||||
Professional Services — 1.0% |
| |||||||
| 293 | Mistras Group, Inc. (a) | 7,692 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
| 438 | Marten Transport Ltd. | 9,305 | ||||||
| 238 | Old Dominion Freight Line, Inc. (a) | 10,302 | ||||||
|
| |||||||
| 19,607 | ||||||||
|
| |||||||
Trading Companies & Distributors — 3.3% |
| |||||||
| 106 | MSC Industrial Direct Co., Inc., Class A | 6,929 | ||||||
| 618 | Rush Enterprises, Inc., Class A (a) | 10,096 | ||||||
| 137 | Watsco, Inc. | 10,088 | ||||||
|
| |||||||
| 27,113 | ||||||||
|
| |||||||
Total Industrials | 160,058 | |||||||
|
| |||||||
Information Technology — 26.6% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
| 548 | Aruba Networks, Inc. (a) | 8,244 | ||||||
|
| |||||||
Computers & Peripherals — 0.8% |
| |||||||
| 310 | Fusion-io, Inc. (a) | 6,474 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
| 145 | Audience, Inc. (a) | 2,788 | ||||||
|
| |||||||
Internet Software & Services — 5.6% |
| |||||||
| 268 | Bazaarvoice, Inc. (a) | 4,885 | ||||||
| 426 | Cornerstone OnDemand, Inc. (a) | 10,136 | ||||||
| 350 | DealerTrack Holdings, Inc. (a) | 10,549 | ||||||
| 137 | Demandware, Inc. (a) | 3,245 | ||||||
| 517 | Envestnet, Inc. (a) | 6,202 | ||||||
| 135 | OpenTable, Inc. (a) | 6,063 | ||||||
| 116 | Rackspace Hosting, Inc. (a) | 5,106 | ||||||
|
| |||||||
| 46,186 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 727 | ServiceSource International, Inc. (a) | 10,073 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.2% |
| |||||||
| 222 | Cavium, Inc. (a) | 6,202 | ||||||
| 158 | Cymer, Inc. (a) | 9,320 | ||||||
| 139 | Hittite Microwave Corp. (a) | 7,093 | ||||||
| 758 | Inphi Corp. (a) | 7,186 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 182 | Mellanox Technologies Ltd., (Israel) (a) | 12,914 | ||||||
|
| |||||||
| 42,715 | ||||||||
|
| |||||||
Software — 12.4% |
| |||||||
| 259 | BroadSoft, Inc. (a) | 7,489 | ||||||
| 119 | CommVault Systems, Inc. (a) | 5,879 | ||||||
| 156 | Concur Technologies, Inc. (a) | 10,624 | ||||||
| 331 | Fortinet, Inc. (a) | 7,681 | ||||||
| 155 | Imperva, Inc. (a) | 4,464 | ||||||
| 338 | Infoblox, Inc. (a) | 7,739 | ||||||
| 155 | NetSuite, Inc. (a) | 8,476 | ||||||
| 250 | Parametric Technology Corp. (a) | 5,246 | ||||||
| 327 | RealPage, Inc. (a) | 7,564 | ||||||
| 199 | SolarWinds, Inc. (a) | 8,669 | ||||||
| 158 | Sourcefire, Inc. (a) | 8,111 | ||||||
| 110 | Splunk, Inc. (a) | 3,091 | ||||||
| 791 | Take-Two Interactive Software, Inc. (a) | 7,481 | ||||||
| 320 | TIBCO Software, Inc. (a) | 9,559 | ||||||
|
| |||||||
| 102,073 | ||||||||
|
| |||||||
Total Information Technology | 218,553 | |||||||
|
| |||||||
Telecommunication Services — 1.3% | ||||||||
Wireless Telecommunication Services — 1.3% | ||||||||
| 963 | Boingo Wireless, Inc. (a) | 11,193 | ||||||
|
| |||||||
Total Common Stocks | 807,564 | |||||||
|
| |||||||
| NUMBER OF WARRANTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Warrant — 0.0% |
| ||||||
Energy — 0.0% |
| |||||||
Oil, Gas & Consumable Fuels — 0.0% |
| |||||||
| 103 | Magnum Hunter Resources Corp., expiring 10/14/13 (a) (c) | — | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 1.6% |
| ||||||
Investment Company — 1.6% | ||||||||
| 12,882 | JPMorgan Liquid Assets Money Market | 12,882 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
| 1,001 | JPMorgan Prime Money Market Fund, | 1,001 | ||||||
|
| |||||||
Total Investments — 100.0% | 821,447 | |||||||
Other Assets in Excess of | 73 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 821,520 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.7% |
| ||||||
Consumer Discretionary — 12.0% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 47 | Spartan Motors, Inc. | 244 | ||||||
| 123 | Superior Industries International, Inc. | 2,014 | ||||||
|
| |||||||
| 2,258 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 76 | VOXX International Corp. (a) | 707 | ||||||
|
| |||||||
Diversified Consumer Services — 1.3% |
| |||||||
| 305 | Corinthian Colleges, Inc. (a) | 882 | ||||||
| 130 | Lincoln Educational Services Corp. | 847 | ||||||
| 235 | Regis Corp. | 4,215 | ||||||
| 20 | School Specialty, Inc. (a) | 64 | ||||||
| 265 | Stewart Enterprises, Inc., Class A | 1,892 | ||||||
|
| |||||||
| 7,900 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
| 56 | Ameristar Casinos, Inc. | 986 | ||||||
| 12 | Biglari Holdings, Inc. (a) | 4,533 | ||||||
| 31 | Bluegreen Corp. (a) | 154 | ||||||
| 361 | Boyd Gaming Corp. (a) | 2,597 | ||||||
| 50 | Einstein Noah Restaurant Group, Inc. | 871 | ||||||
| 191 | Isle of Capri Casinos, Inc. (a) | 1,180 | ||||||
| 166 | Multimedia Games Holding Co., Inc. (a) | 2,323 | ||||||
| 24 | Red Robin Gourmet Burgers, Inc. (a) | 729 | ||||||
| 146 | Ruth’s Hospitality Group, Inc. (a) | 963 | ||||||
| 18 | Scientific Games Corp., Class A (a) | 156 | ||||||
| 13 | Town Sports International Holdings, Inc. (a) | 171 | ||||||
|
| |||||||
| 14,663 | ||||||||
|
| |||||||
Household Durables — 1.7% |
| |||||||
| 117 | American Greetings Corp., Class A | 1,703 | ||||||
| 88 | Blyth, Inc. | 3,044 | ||||||
| 46 | CSS Industries, Inc. | 950 | ||||||
| 118 | La-Z-Boy, Inc. (a) | 1,449 | ||||||
| 150 | Leggett & Platt, Inc. | 3,174 | ||||||
| 13 | Lifetime Brands, Inc. | 162 | ||||||
|
| |||||||
| 10,482 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.2% |
| |||||||
| 331 | Orbitz Worldwide, Inc. (a) | 1,208 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.7% |
| |||||||
| 47 | Arctic Cat, Inc. (a) | 1,700 | ||||||
| 159 | JAKKS Pacific, Inc. | 2,542 | ||||||
|
| |||||||
| 4,242 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
| 52 | Crown Media Holdings, Inc., Class A (a) | 91 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
| 161 | Entercom Communications Corp., Class A (a) | 972 | ||||||
| 10 | Fisher Communications, Inc. (a) | 305 | ||||||
| 156 | Journal Communications, Inc., Class A (a) | 804 | ||||||
| 231 | LIN TV Corp., Class A (a) | 697 | ||||||
| 187 | McClatchy Co. (The), Class A (a) (c) | 411 | ||||||
| 25 | Nexstar Broadcasting Group, Inc., Class A (a) | 167 | ||||||
| 38 | Outdoor Channel Holdings, Inc. | 279 | ||||||
| 3 | Saga Communications, Inc., Class A (a) | 126 | ||||||
| 66 | Scholastic Corp. | 1,850 | ||||||
| 421 | Sinclair Broadcast Group, Inc., Class A | 3,816 | ||||||
| 55 | Valassis Communications, Inc. (a) | 1,194 | ||||||
| 4 | Value Line, Inc. | 49 | ||||||
|
| |||||||
| 10,761 | ||||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
| 207 | Bon-Ton Stores, Inc. (The) | 1,619 | ||||||
| 67 | Dillard’s, Inc., Class A | 4,235 | ||||||
|
| |||||||
| 5,854 | ||||||||
|
| |||||||
Specialty Retail — 1.8% |
| |||||||
| 62 | Brown Shoe Co., Inc. | 798 | ||||||
| 142 | Build-A-Bear Workshop, Inc. (a) | 679 | ||||||
| 302 | Conn’s, Inc. (a) | 4,468 | ||||||
| 511 | OfficeMax, Inc. (a) | 2,584 | ||||||
| 30 | Rent-A-Center, Inc. | 1,019 | ||||||
| 474 | Wet Seal, Inc. (The), Class A (a) | 1,499 | ||||||
|
| |||||||
| 11,047 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
| 84 | Cherokee, Inc. | 1,163 | ||||||
| 319 | Fifth & Pacific Cos., Inc. (a) | 3,418 | ||||||
|
| |||||||
| 4,581 | ||||||||
|
| |||||||
Total Consumer Discretionary | 73,703 | |||||||
|
| |||||||
Consumer Staples — 3.8% |
| |||||||
Food & Staples Retailing — 1.3% |
| |||||||
| 8 | Nash Finch Co. | 164 | ||||||
| 5 | Pantry, Inc. (The) (a) | 69 | ||||||
| 2,244 | Rite Aid Corp. (a) | 3,141 | ||||||
| 86 | Spartan Stores, Inc. | 1,558 | ||||||
| 594 | SUPERVALU, Inc. | 3,078 | ||||||
|
| |||||||
| 8,010 | ||||||||
|
| |||||||
Food Products — 0.1% |
| |||||||
| 20 | B&G Foods, Inc. | 521 | ||||||
| 13 | Farmer Bros Co. (a) | 100 | ||||||
|
| |||||||
| 621 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Household Products — 0.9% |
| |||||||
| 522 | Central Garden & Pet Co., Class A (a) | 5,682 | ||||||
|
| |||||||
Personal Products — 0.5% |
| |||||||
| 184 | Prestige Brands Holdings, Inc. (a) | 2,903 | ||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
| 140 | Universal Corp. | 6,495 | ||||||
|
| |||||||
Total Consumer Staples | 23,711 | |||||||
|
| |||||||
Energy — 4.3% |
| |||||||
Energy Equipment & Services — 2.0% |
| |||||||
| 464 | Cal Dive International, Inc. (a) | 1,346 | ||||||
| 101 | Forum Energy Technologies, Inc. (a) | 1,997 | ||||||
| 274 | Helix Energy Solutions Group, Inc. (a) | 4,494 | ||||||
| 657 | Hercules Offshore, Inc. (a) | 2,324 | ||||||
| 35 | Natural Gas Services Group, Inc. (a) | 522 | ||||||
| 166 | Parker Drilling Co. (a) | 746 | ||||||
| 34 | Pioneer Drilling Co. (a) | 273 | ||||||
| 48 | Tesco Corp. (a) | 575 | ||||||
| 4 | Tetra Technologies, Inc. (a) | 31 | ||||||
|
| |||||||
| 12,308 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.3% |
| |||||||
| 26 | Alon USA Energy, Inc. | 216 | ||||||
| 23 | Bonanza Creek Energy, Inc. (a) | 384 | ||||||
| 51 | Cloud Peak Energy, Inc. (a) | 856 | ||||||
| 177 | Energy Partners Ltd. (a) | 2,996 | ||||||
| 25 | Green Plains Renewable Energy, Inc. (a) | 156 | ||||||
| 9 | Panhandle Oil and Gas, Inc., Class A | 259 | ||||||
| 147 | Penn Virginia Corp. | 1,078 | ||||||
| 241 | Petroquest Energy, Inc. (a) | 1,205 | ||||||
| 60 | Renewable Energy Group, Inc. (a) | 445 | ||||||
| 89 | Stone Energy Corp. (a) | 2,245 | ||||||
| 148 | W&T Offshore, Inc. | 2,264 | ||||||
| 88 | Western Refining, Inc. | 1,951 | ||||||
| 1 | Westmoreland Coal Co. (a) | 8 | ||||||
|
| |||||||
| 14,063 | ||||||||
|
| |||||||
Total Energy | 26,371 | |||||||
|
| |||||||
Financials — 34.4% |
| |||||||
Capital Markets — 1.3% |
| |||||||
| 21 | Affiliated Managers Group, Inc. (a) | 2,288 | ||||||
| 39 | Apollo Investment Corp. | 302 | ||||||
| 19 | GAMCO Investors, Inc., Class A | 826 | ||||||
| 49 | Gladstone Capital Corp. | 388 | ||||||
| 44 | Gladstone Investment Corp. | 327 | ||||||
| 170 | Investment Technology Group, Inc. (a) | 1,561 | ||||||
| 36 | Janus Capital Group, Inc. | 278 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
| 198 | MCG Capital Corp. | 909 | ||||||
| 32 | MVC Capital, Inc. | 413 | ||||||
| 30 | Oppenheimer Holdings, Inc., Class A | 465 | ||||||
| 26 | Piper Jaffray Cos. (a) | 602 | ||||||
|
| |||||||
| 8,359 | ||||||||
|
| |||||||
Commercial Banks — 12.7% |
| |||||||
| 53 | 1st Source Corp. | 1,189 | ||||||
| 40 | BancFirst Corp. | 1,681 | ||||||
| 200 | BancorpSouth, Inc. | 2,910 | ||||||
| 88 | Bank of Hawaii Corp. | 4,030 | ||||||
| 33 | Banner Corp. | 723 | ||||||
| 72 | BBCN Bancorp, Inc. (a) | 783 | ||||||
| 6 | Cascade Bancorp (a) | 34 | ||||||
| 111 | Cathay General Bancorp | 1,828 | ||||||
| 11 | Center Bancorp, Inc. | 125 | ||||||
| 72 | Central Pacific Financial Corp. (a) | 1,010 | ||||||
| 4 | Century Bancorp, Inc., Class A | 116 | ||||||
| 39 | Chemical Financial Corp. | 834 | ||||||
| 10 | Citizens & Northern Corp. | 194 | ||||||
| 16 | Citizens Republic Bancorp, Inc. (a) | 282 | ||||||
| 94 | City Holding Co. | 3,177 | ||||||
| 52 | CoBiz Financial, Inc. | 328 | ||||||
| 73 | Community Bank System, Inc. | 1,980 | ||||||
| 60 | Community Trust Bancorp, Inc. | 1,996 | ||||||
| 24 | Cullen/Frost Bankers, Inc. | 1,403 | ||||||
| 75 | Financial Institutions, Inc. | 1,273 | ||||||
| 37 | First Bancorp | 331 | ||||||
| 105 | First Busey Corp. | 507 | ||||||
| 4 | First Citizens BancShares, Inc., Class A | 667 | ||||||
| 711 | First Commonwealth Financial Corp. | 4,788 | ||||||
| 23 | First Community Bancshares, Inc. | 338 | ||||||
| 128 | First Financial Bancorp | 2,050 | ||||||
| 20 | First Financial Bankshares, Inc. (c) | 698 | ||||||
| 62 | First Interstate Bancsystem, Inc. | 887 | ||||||
| 24 | First Merchants Corp. | 304 | ||||||
| 214 | FirstMerit Corp. | 3,541 | ||||||
| 250 | FNB Corp. | 2,716 | ||||||
| 1 | Fulton Financial Corp. | 12 | ||||||
| 19 | Great Southern Bancorp, Inc. | 535 | ||||||
| 45 | Hancock Holding Co. | 1,373 | ||||||
| 29 | Heartland Financial USA, Inc. | 701 | ||||||
| 28 | Hudson Valley Holding Corp. | 503 | ||||||
| 31 | Lakeland Bancorp, Inc. | 330 | ||||||
| 15 | Lakeland Financial Corp. | 402 | ||||||
| 154 | MainSource Financial Group, Inc. | 1,821 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Commercial Banks — Continued |
| |||||||
| 64 | MB Financial, Inc. | 1,385 | ||||||
| 32 | Metro Bancorp, Inc. (a) | 381 | ||||||
| 31 | MetroCorp Bancshares, Inc. (a) | 329 | ||||||
| 20 | OmniAmerican Bancorp, Inc. (a) | 426 | ||||||
| 255 | Oriental Financial Group, Inc. | 2,825 | ||||||
| 60 | PacWest Bancorp | 1,408 | ||||||
| 12 | S&T Bancorp, Inc. | 212 | ||||||
| 9 | Sierra Bancorp | 90 | ||||||
| 29 | Simmons First National Corp., Class A | 677 | ||||||
| 139 | Southwest Bancorp, Inc. (a) | 1,303 | ||||||
| 19 | StellarOne Corp. | 237 | ||||||
| 26 | Sterling Financial Corp. (a) | 484 | ||||||
| 9 | Suffolk Bancorp (a) | 119 | ||||||
| 210 | Susquehanna Bancshares, Inc. | 2,159 | ||||||
| 30 | SVB Financial Group (a) | 1,762 | ||||||
| 236 | TCF Financial Corp. | 2,714 | ||||||
| 21 | Tompkins Financial Corp. | 799 | ||||||
| 77 | Trustmark Corp. | 1,892 | ||||||
| 100 | UMB Financial Corp. | 5,143 | ||||||
| 47 | Umpqua Holdings Corp. | 621 | ||||||
| 33 | Union First Market Bankshares Corp. | 480 | ||||||
| 33 | Valley National Bancorp | 347 | ||||||
| 20 | Washington Trust Bancorp, Inc. | 492 | ||||||
| 10 | West Bancorp, Inc. | 95 | ||||||
| 36 | West Coast Bancorp (a) | 711 | ||||||
| 30 | Westamerica Bancorp | 1,397 | ||||||
| 221 | Wilshire Bancorp, Inc. (a) | 1,210 | ||||||
|
| |||||||
| 78,098 | ||||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
| 12 | Credit Acceptance Corp. (a) | 1,026 | ||||||
| 199 | DFC Global Corp. (a) | 3,658 | ||||||
| 79 | World Acceptance Corp. (a) | 5,185 | ||||||
|
| |||||||
| 9,869 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
| 12 | Marlin Business Services Corp. | 193 | ||||||
| 151 | PHH Corp. (a) | 2,641 | ||||||
| 19 | Resource America, Inc., Class A | 121 | ||||||
|
| |||||||
| 2,955 | ||||||||
|
| |||||||
Insurance — 4.3% |
| |||||||
| 357 | American Equity Investment Life Holding Co. | 3,928 | ||||||
| 24 | American Safety Insurance Holdings Ltd. (a) | 454 | ||||||
| 55 | Arch Capital Group Ltd., (Bermuda) (a) | 2,171 | ||||||
| 51 | Argo Group International Holdings Ltd., (Bermuda) | 1,490 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
| — | (h) | Axis Capital Holdings Ltd., (Bermuda) | 10 | |||||
| 220 | CNO Financial Group, Inc. | 1,718 | ||||||
| 6 | EMC Insurance Group, Inc. | 125 | ||||||
| 39 | Hallmark Financial Services (a) | 304 | ||||||
| 177 | Horace Mann Educators Corp. | 3,096 | ||||||
| 54 | Meadowbrook Insurance Group, Inc. | 476 | ||||||
| 111 | Platinum Underwriters Holdings Ltd., (Bermuda) | 4,221 | ||||||
| 51 | ProAssurance Corp. | 4,570 | ||||||
| 51 | Selective Insurance Group, Inc. | 893 | ||||||
| 34 | StanCorp Financial Group, Inc. | 1,278 | ||||||
| 169 | Symetra Financial Corp. | 2,137 | ||||||
|
| |||||||
| 26,871 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 12.4% |
| |||||||
| 972 | Anworth Mortgage Asset Corp. | 6,851 | ||||||
| 105 | Apartment Investment & Management Co., Class A | 2,844 | ||||||
| 351 | Ashford Hospitality Trust, Inc. | 2,959 | ||||||
| 509 | Capstead Mortgage Corp. | 7,076 | ||||||
| 225 | CBL & Associates Properties, Inc. | 4,389 | ||||||
| 21 | Colonial Properties Trust | 471 | ||||||
| 189 | Coresite Realty Corp. | 4,881 | ||||||
| 369 | CubeSmart | 4,306 | ||||||
| 190 | CYS Investments, Inc. | 2,616 | ||||||
| 1,022 | DCT Industrial Trust, Inc. | 6,440 | ||||||
| 170 | DiamondRock Hospitality Co. | 1,737 | ||||||
| 206 | Education Realty Trust, Inc. | 2,281 | ||||||
| 187 | FelCor Lodging Trust, Inc. (a) | 878 | ||||||
| 67 | First Industrial Realty Trust, Inc. (a) | 851 | ||||||
| 44 | Getty Realty Corp. | 846 | ||||||
| 35 | Home Properties, Inc. | 2,166 | ||||||
| 85 | Hospitality Properties Trust | 2,115 | ||||||
| 43 | LaSalle Hotel Properties | 1,241 | ||||||
| 354 | Lexington Realty Trust | 2,999 | ||||||
| 53 | LTC Properties, Inc. | 1,919 | ||||||
| 165 | Mission West Properties, Inc. | 1,424 | ||||||
| 81 | Parkway Properties, Inc. | 924 | ||||||
| 122 | Pennsylvania Real Estate Investment Trust | 1,829 | ||||||
| 115 | Potlatch Corp. | 3,676 | ||||||
| 20 | PS Business Parks, Inc. | 1,361 | ||||||
| 522 | RAIT Financial Trust | 2,410 | ||||||
| 152 | Redwood Trust, Inc. | 1,895 | ||||||
| 232 | Sunstone Hotel Investors, Inc. (a) | 2,545 | ||||||
| 7 | Taubman Centers, Inc. | 563 | ||||||
|
| |||||||
| 76,493 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Thrifts & Mortgage Finance — 1.6% |
| |||||||
| 135 | Astoria Financial Corp. | 1,322 | ||||||
| 13 | BankFinancial Corp. | 96 | ||||||
| 52 | Beneficial Mutual Bancorp, Inc. (a) | 450 | ||||||
| 91 | Doral Financial Corp. (a) | 136 | ||||||
| 13 | ESB Financial Corp. | 174 | ||||||
| 241 | MGIC Investment Corp. (a) | 694 | ||||||
| 30 | OceanFirst Financial Corp. | 425 | ||||||
| 316 | Ocwen Financial Corp. (a) | 5,927 | ||||||
| 14 | WSFS Financial Corp. | 550 | ||||||
|
| |||||||
| 9,774 | ||||||||
|
| |||||||
Total Financials | 212,419 | |||||||
|
| |||||||
Health Care — 5.2% |
| |||||||
Biotechnology — 0.9% |
| |||||||
| 15 | Achillion Pharmaceuticals, Inc. (a) (m) | 93 | ||||||
| 59 | Celldex Therapeutics, Inc. (a) | 307 | ||||||
| 59 | Clovis Oncology, Inc. (a) | 1,286 | ||||||
| 589 | Lexicon Pharmaceuticals, Inc. (a) | 1,325 | ||||||
| 409 | Oncothyreon, Inc. (a) | 1,913 | ||||||
| 65 | PDL BioPharma, Inc. | 428 | ||||||
|
| |||||||
| 5,352 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
| 10 | AngioDynamics, Inc. (a) | 118 | ||||||
| 199 | Greatbatch, Inc. (a) | 4,517 | ||||||
| 71 | RTI Biologics, Inc. (a) | 265 | ||||||
| 89 | SurModics, Inc. (a) | 1,545 | ||||||
|
| |||||||
| 6,445 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
| 113 | Amedisys, Inc. (a) | 1,410 | ||||||
| 26 | CardioNet, Inc. (a) | 53 | ||||||
| 129 | Cross Country Healthcare, Inc. (a) | 562 | ||||||
| 36 | Gentiva Health Services, Inc. (a) | 249 | ||||||
| 51 | HealthSouth Corp. (a) | 1,177 | ||||||
| 113 | Magellan Health Services, Inc. (a) | 5,104 | ||||||
| 442 | Skilled Healthcare Group, Inc., Class A (a) | 2,773 | ||||||
| 427 | Sun Healthcare Group, Inc. (a) | 3,571 | ||||||
|
| |||||||
| 14,899 | ||||||||
|
| |||||||
Health Care Technology — 0.2% |
| |||||||
| 91 | MedAssets, Inc. (a) | 1,221 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
| 301 | Affymetrix, Inc. (a) | 1,413 | ||||||
|
| |||||||
Pharmaceuticals — 0.5% |
| |||||||
| 11 | Cornerstone Therapeutics, Inc. (a) | 67 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued |
| |||||||
| 57 | Medicis Pharmaceutical Corp., Class A | 1,961 | ||||||
| 37 | ViroPharma, Inc. (a) | 884 | ||||||
|
| |||||||
| 2,912 | ||||||||
|
| |||||||
Total Health Care | 32,242 | |||||||
|
| |||||||
Industrials — 13.1% |
| |||||||
Aerospace & Defense — 1.2% |
| |||||||
| 50 | Ceradyne, Inc. | 1,287 | ||||||
| 82 | Cubic Corp. | 3,962 | ||||||
| 362 | GenCorp, Inc. (a) | 2,358 | ||||||
|
| |||||||
| 7,607 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
| 192 | Pacer International, Inc. (a) | 1,041 | ||||||
|
| |||||||
Airlines — 1.1% |
| |||||||
| 47 | Alaska Air Group, Inc. (a) | 1,680 | ||||||
| 82 | Hawaiian Holdings, Inc. (a) | 531 | ||||||
| 371 | Republic Airways Holdings, Inc. (a) | 2,057 | ||||||
| 173 | SkyWest, Inc. | 1,129 | ||||||
| 98 | U.S. Airways Group, Inc. (a) | 1,302 | ||||||
|
| |||||||
| 6,699 | ||||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
| 169 | Gibraltar Industries, Inc. (a) | 1,755 | ||||||
| 168 | NCI Building Systems, Inc. (a) | 1,817 | ||||||
| 69 | Quanex Building Products Corp. | 1,229 | ||||||
| 19 | Trex Co., Inc. (a) | 578 | ||||||
|
| |||||||
| 5,379 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
| 103 | ACCO Brands Corp. (a) (m) | 1,067 | ||||||
| 64 | American Reprographics Co. (a) | 319 | ||||||
| 86 | Cenveo, Inc. (a) | 167 | ||||||
| 532 | EnergySolutions, Inc. (a) | 899 | ||||||
| 59 | G&K Services, Inc., Class A | 1,825 | ||||||
| 63 | HNI Corp. | 1,625 | ||||||
| 29 | Knoll, Inc. | 390 | ||||||
| 49 | Quad/Graphics, Inc. | 708 | ||||||
| 135 | Steelcase, Inc., Class A | 1,218 | ||||||
| 58 | United Stationers, Inc. | 1,550 | ||||||
|
| |||||||
| 9,768 | ||||||||
|
| |||||||
Construction & Engineering — 1.2% |
| |||||||
| 84 | Argan, Inc. | 1,173 | ||||||
| 75 | Comfort Systems USA, Inc. | 751 | ||||||
| 164 | EMCOR Group, Inc. | 4,560 | ||||||
| 39 | Michael Baker Corp. (a) | 1,010 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Construction & Engineering — Continued |
| |||||||
| 1 | Pike Electric Corp. (a) | 9 | ||||||
|
| |||||||
| 7,503 | ||||||||
|
| |||||||
Electrical Equipment — 0.3% | ||||||||
| 100 | LSI Industries, Inc. | 709 | ||||||
| 29 | Powell Industries, Inc. (a) | 1,072 | ||||||
|
| |||||||
| 1,781 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.3% | ||||||||
| 48 | Standex International Corp. | 2,048 | ||||||
|
| |||||||
Machinery — 3.1% | ||||||||
| 51 | AGCO Corp. (a) (m) | 2,314 | ||||||
| 63 | American Railcar Industries, Inc. (a) | 1,705 | ||||||
| 3 | Ampco-Pittsburgh Corp. | 52 | ||||||
| 152 | Briggs & Stratton Corp. | 2,660 | ||||||
| 163 | Douglas Dynamics, Inc. | 2,321 | ||||||
| 107 | Federal Signal Corp. (a) | 624 | ||||||
| 70 | FreightCar America, Inc. | 1,600 | ||||||
| 52 | Hurco Cos., Inc. (a) | 1,057 | ||||||
| 33 | Kadant, Inc. (a) | 781 | ||||||
| 152 | Meritor, Inc. (a) | 791 | ||||||
| 37 | Mueller Industries, Inc. | 1,580 | ||||||
| 157 | Mueller Water Products, Inc., Class A | 544 | ||||||
| 19 | NACCO Industries, Inc., Class A | 2,151 | ||||||
| 9 | Proto Labs, Inc. (a) | 268 | ||||||
| 11 | Watts Water Technologies, Inc., Class A | 367 | ||||||
|
| |||||||
| 18,815 | ||||||||
|
| |||||||
Marine — 0.1% | ||||||||
| 31 | International Shipholding Corp. | 588 | ||||||
|
| |||||||
Professional Services — 0.4% | ||||||||
| 117 | Barrett Business Services, Inc. | 2,480 | ||||||
| 5 | FTI Consulting, Inc. (a) | 129 | ||||||
|
| |||||||
| 2,609 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
| 2 | Amerco, Inc. | 198 | ||||||
| 31 | Arkansas Best Corp. | 386 | ||||||
| 27 | Celadon Group, Inc. | 437 | ||||||
| 21 | Heartland Express, Inc. | 301 | ||||||
| 61 | RailAmerica, Inc. (a) | 1,481 | ||||||
| 134 | Saia, Inc. (a) | 2,929 | ||||||
| 14 | Werner Enterprises, Inc. | 331 | ||||||
|
| |||||||
| 6,063 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.5% | ||||||||
| 89 | Aircastle Ltd. | 1,068 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — Continued |
| |||||||
| 133 | Applied Industrial Technologies, Inc. | 4,888 | ||||||
| 113 | Interline Brands, Inc. (a) | 2,820 | ||||||
| 14 | MRC Global, Inc. (a) | 294 | ||||||
| 9 | TAL International Group, Inc. | 310 | ||||||
|
| |||||||
| 9,380 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.2% | ||||||||
| 106 | Wesco Aircraft Holdings, Inc. (a) | 1,349 | ||||||
|
| |||||||
Total Industrials | 80,630 | |||||||
|
| |||||||
Information Technology — 12.1% | ||||||||
Communications Equipment — 1.9% | ||||||||
| 240 | Arris Group, Inc. (a) | 3,340 | ||||||
| 42 | Aviat Networks, Inc. (a) | 117 | ||||||
| 40 | Bel Fuse, Inc., Class B | 702 | ||||||
| 58 | Black Box Corp. | 1,653 | ||||||
| 45 | Calix, Inc. (a) | 366 | ||||||
| 176 | Comtech Telecommunications Corp. | 5,039 | ||||||
| 47 | Oplink Communications, Inc. (a) | 629 | ||||||
|
| |||||||
| 11,846 | ||||||||
|
| |||||||
Computers & Peripherals — 0.9% | ||||||||
| 203 | Electronics for Imaging, Inc. (a) | 3,292 | ||||||
| 35 | Fusion-io, Inc. (a) | 731 | ||||||
| 56 | Imation Corp. (a) | 328 | ||||||
| 70 | STEC, Inc. (a) | 549 | ||||||
| 45 | Xyratex Ltd., (United Kingdom) | 513 | ||||||
|
| |||||||
| 5,413 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
| 56 | Aeroflex Holding Corp. (a) (m) | 341 | ||||||
| 91 | Agilysys, Inc. (a) | 791 | ||||||
| 9 | Anixter International, Inc. | 493 | ||||||
| 33 | Audience, Inc. (a) | 632 | ||||||
| 83 | Cognex Corp. | 2,617 | ||||||
| 52 | Coherent, Inc. (a) | 2,230 | ||||||
| 37 | Electro Scientific Industries, Inc. | 434 | ||||||
| 43 | Methode Electronics, Inc. | 368 | ||||||
| 44 | Newport Corp. (a) | 528 | ||||||
| 56 | Park Electrochemical Corp. | 1,452 | ||||||
| 31 | Richardson Electronics Ltd. | 379 | ||||||
| 43 | Tech Data Corp. (a) | 2,052 | ||||||
| 76 | Vishay Intertechnology, Inc. (a) | 714 | ||||||
|
| |||||||
| 13,031 | ||||||||
|
| |||||||
Internet Software & Services — 0.9% | ||||||||
| 25 | Bazaarvoice, Inc. (a) | 450 | ||||||
| 89 | Demand Media, Inc. (a) | 998 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Internet Software & Services — Continued |
| |||||||
| 21 | Demandware, Inc. (a) | 497 | ||||||
| 60 | Digital River, Inc. (a) | 991 | ||||||
| 16 | ExactTarget, Inc. (a) | 339 | ||||||
| 49 | IntraLinks Holdings, Inc. (a) | 214 | ||||||
| 46 | Monster Worldwide, Inc. (a) | 390 | ||||||
| 230 | United Online, Inc. | 970 | ||||||
| 61 | XO Group, Inc. (a) | 538 | ||||||
|
| |||||||
| 5,387 | ||||||||
|
| |||||||
IT Services — 1.5% |
| |||||||
| 30 | CACI International, Inc., Class A (a) | 1,656 | ||||||
| 96 | CIBER, Inc. (a) | 412 | ||||||
| 95 | Convergys Corp. | 1,400 | ||||||
| 128 | CSG Systems International, Inc. (a) | 2,217 | ||||||
| 65 | Euronet Worldwide, Inc. (a) | 1,115 | ||||||
| 169 | Global Cash Access Holdings, Inc. (a) | 1,216 | ||||||
| 33 | Unisys Corp. (a) | 637 | ||||||
| 43 | Vantiv, Inc., Class A (a) | 999 | ||||||
|
| |||||||
| 9,652 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.9% |
| |||||||
| 43 | Advanced Energy Industries, Inc. (a) (m) | 583 | ||||||
| 44 | Amkor Technology, Inc. (a) | 215 | ||||||
| 74 | Brooks Automation, Inc. | 697 | ||||||
| 59 | DSP Group, Inc. (a) | 374 | ||||||
| 53 | Entropic Communications, Inc. (a) | 297 | ||||||
| 68 | Exar Corp. (a) | 551 | ||||||
| 33 | GSI Technology, Inc. (a) | 154 | ||||||
| 101 | GT Advanced Technologies, Inc. (a) | 532 | ||||||
| 77 | Integrated Device Technology, Inc. (a) | 435 | ||||||
| 93 | Intermolecular, Inc. (a) | 720 | ||||||
| 35 | IXYS Corp. (a) | 395 | ||||||
| 85 | Kulicke & Soffa Industries, Inc. (a) | 761 | ||||||
| 70 | Lam Research Corp. (a) | 2,659 | ||||||
| 165 | Lattice Semiconductor Corp. (a) | 622 | ||||||
| 340 | LTX-Credence Corp. (a) | 2,279 | ||||||
| 15 | M/A-COM Technology Solutions Holdings, Inc. (a) | 276 | ||||||
| 36 | Microsemi Corp. (a) | 673 | ||||||
| 41 | Pericom Semiconductor Corp. (a) | 371 | ||||||
| 67 | Photronics, Inc. (a) | 410 | ||||||
| 58 | RF Micro Devices, Inc. (a) | 247 | ||||||
| 54 | Rudolph Technologies, Inc. (a) | 469 | ||||||
| 66 | Sigma Designs, Inc. (a) | 421 | ||||||
| 144 | Spansion, Inc., Class A (a) | 1,579 | ||||||
| 61 | STR Holdings, Inc. (a) | 279 | ||||||
| 24 | Supertex, Inc. (a) | 458 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 97 | Tessera Technologies, Inc. | 1,489 | ||||||
|
| |||||||
| 17,946 | ||||||||
|
| |||||||
Software — 1.9% |
| |||||||
| 139 | Aspen Technology, Inc. (a) | 3,222 | ||||||
| 77 | Envivio, Inc. (a) | 496 | ||||||
| 56 | Fair Isaac Corp. | 2,368 | ||||||
| 15 | Guidewire Software, Inc. (a) | 425 | ||||||
| 43 | Infoblox, Inc. (a) | 995 | ||||||
| 18 | JDA Software Group, Inc. (a) | 528 | ||||||
| 11 | Jive Software, Inc. (a) | 223 | ||||||
| 8 | Proofpoint, Inc. (a) | 139 | ||||||
| 109 | TIBCO Software, Inc. (a) | 3,246 | ||||||
|
| |||||||
| 11,642 | ||||||||
|
| |||||||
Total Information Technology | 74,917 | |||||||
|
| |||||||
Materials — 5.4% |
| |||||||
Chemicals — 1.4% |
| |||||||
| 34 | Georgia Gulf Corp. | 868 | ||||||
| 17 | Innophos Holdings, Inc. | 959 | ||||||
| 66 | Minerals Technologies, Inc. | 4,197 | ||||||
| 158 | Spartech Corp. (a) | 818 | ||||||
| 125 | Tredegar Corp. | 1,826 | ||||||
|
| |||||||
| 8,668 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
| 29 | Headwaters, Inc. (a) | 150 | ||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 86 | Graphic Packaging Holding Co. (a) | 472 | ||||||
| 187 | Myers Industries, Inc. | 3,200 | ||||||
|
| |||||||
| 3,672 | ||||||||
|
| |||||||
Metals & Mining — 1.9% |
| |||||||
| 142 | Coeur d’Alene Mines Corp. (a) | 2,500 | ||||||
| 218 | Hecla Mining Co. | 1,034 | ||||||
| 87 | U.S. Silica Holdings, Inc. (a) | 983 | ||||||
| 343 | Worthington Industries, Inc. | 7,011 | ||||||
|
| |||||||
| 11,528 | ||||||||
|
| |||||||
Paper & Forest Products — 1.5% |
| |||||||
| 36 | Buckeye Technologies, Inc. | 1,031 | ||||||
| 34 | Domtar Corp., (Canada) | 2,608 | ||||||
| 84 | Neenah Paper, Inc. | 2,237 | ||||||
| 214 | PH Glatfelter Co. | 3,503 | ||||||
|
| |||||||
| 9,379 | ||||||||
|
| |||||||
Total Materials | 33,397 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Telecommunication Services — 0.6% |
| |||||||
Diversified Telecommunication Services — 0.4% |
| |||||||
| 767 | Alaska Communications Systems Group, Inc. | 1,611 | ||||||
| 43 | Consolidated Communications Holdings, Inc. | 629 | ||||||
|
| |||||||
| 2,240 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 181 | Leap Wireless International, Inc. (a) | 1,167 | ||||||
|
| |||||||
Total Telecommunication Services | 3,407 | |||||||
|
| |||||||
Utilities — 6.8% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
| 159 | El Paso Electric Co. | 5,282 | ||||||
| 210 | Portland General Electric Co. | 5,596 | ||||||
| 27 | Unitil Corp. | 726 | ||||||
| 54 | UNS Energy Corp. | 2,086 | ||||||
|
| |||||||
| 13,690 | ||||||||
|
| |||||||
Gas Utilities — 2.3% |
| |||||||
| 92 | AGL Resources, Inc. (m) | 3,565 | ||||||
| 138 | Laclede Group, Inc. (The) | 5,498 | ||||||
| 12 | New Jersey Resources Corp. | 536 | ||||||
| 25 | Piedmont Natural Gas Co., Inc. | 789 | ||||||
| 81 | Southwest Gas Corp. | 3,522 | ||||||
|
| |||||||
| 13,910 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.2% |
| |||||||
| 851 | GenOn Energy, Inc. (a) | 1,456 | ||||||
|
| |||||||
Multi-Utilities — 1.9% |
| |||||||
| 185 | Avista Corp. | 4,934 | ||||||
| 21 | CH Energy Group, Inc. | 1,347 | ||||||
| 152 | NorthWestern Corp. | 5,567 | ||||||
|
| |||||||
| 11,848 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Water Utilities — 0.2% |
| |||||||
| 35 | California Water Service Group | 637 | ||||||
| 34 | Consolidated Water Co., Ltd., (Cayman Islands) | 281 | ||||||
|
| |||||||
| 918 | ||||||||
|
| |||||||
Total Utilities | 41,822 | |||||||
|
| |||||||
Total Common Stocks | 602,619 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.4% |
| ||||||
| 2,220 | U.S. Treasury Note, 0.500%, 11/30/12 (k) (m) | 2,223 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% |
| |||||||
| 12,499 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) | 12,499 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% (g) |
| ||||||
Investment Company — 0.0% (g) |
| |||||||
| 291 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 291 | ||||||
|
| |||||||
Total Investments — 100.1% | 617,632 | |||||||
Liabilities in Excess of | (566 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 617,066 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 185 | E-mini Russell 2000 | 09/21/12 | $ | 14,715 | $ | 580 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.7% |
| ||||||
Consumer Discretionary — 14.6% |
| |||||||
Auto Components — 0.5% |
| |||||||
| 6 | Dana Holding Corp. | 78 | ||||||
| 47 | Spartan Motors, Inc. | 245 | ||||||
| 1 | Superior Industries International, Inc. | 23 | ||||||
|
| |||||||
| 346 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
| 10 | Coinstar, Inc. (a) | 659 | ||||||
| 3 | Mac-Gray Corp. | 41 | ||||||
| 7 | Regis Corp. | 133 | ||||||
|
| |||||||
| 833 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.8% |
| |||||||
| 20 | Ameristar Casinos, Inc. | 355 | ||||||
| 2 | Biglari Holdings, Inc. (a) | 696 | ||||||
| 4 | CEC Entertainment, Inc. | 138 | ||||||
| — | (h) | DineEquity, Inc. (a) | 13 | |||||
| 7 | Interval Leisure Group, Inc. | 141 | ||||||
| 4 | Monarch Casino & Resort, Inc. (a) | 38 | ||||||
| 17 | Multimedia Games Holding Co., Inc. (a) | 239 | ||||||
| 9 | PF Chang’s China Bistro, Inc. | 448 | ||||||
| 7 | Red Robin Gourmet Burgers, Inc. (a) | 220 | ||||||
| 28 | Town Sports International Holdings, Inc. (a) | 375 | ||||||
|
| |||||||
| 2,663 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
| 24 | American Greetings Corp., Class A (c) | 348 | ||||||
| 12 | Blyth, Inc. | 415 | ||||||
| 6 | CSS Industries, Inc. | 125 | ||||||
| 20 | Leggett & Platt, Inc. | 412 | ||||||
| 12 | Lifetime Brands, Inc. | 147 | ||||||
|
| |||||||
| 1,447 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.5% |
| |||||||
| 18 | Overstock.com, Inc. (a) | 123 | ||||||
| 19 | PetMed Express, Inc. | 236 | ||||||
|
| |||||||
| 359 | ||||||||
|
| |||||||
Leisure Equipment & Products — 1.6% |
| |||||||
| 7 | Arctic Cat, Inc. (a) | 249 | ||||||
| 11 | Brunswick Corp. | 251 | ||||||
| 39 | JAKKS Pacific, Inc. | 619 | ||||||
|
| |||||||
| 1,119 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
| 3 | Cinemark Holdings, Inc. | 68 | ||||||
| 12 | Entercom Communications Corp., Class A (a) | 72 | ||||||
| 2 | Fisher Communications, Inc. (a) | 48 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — Continued |
| |||||||
| 10 | Journal Communications, Inc., Class A (a) | 53 | ||||||
| 20 | Nexstar Broadcasting Group, Inc., Class A (a) | 135 | ||||||
| 8 | Outdoor Channel Holdings, Inc. | 55 | ||||||
| 16 | Scholastic Corp. | 445 | ||||||
| 43 | Sinclair Broadcast Group, Inc., Class A | 385 | ||||||
|
| |||||||
| 1,261 | ||||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
| 9 | Bon-Ton Stores, Inc. (The) | 70 | ||||||
| 11 | Dillard’s, Inc., Class A | 707 | ||||||
|
| |||||||
| 777 | ||||||||
|
| |||||||
Specialty Retail — 1.4% |
| |||||||
| 2 | Ascena Retail Group, Inc. (a) | 30 | ||||||
| 37 | Conn’s, Inc. (a) | 554 | ||||||
| 13 | Finish Line, Inc. (The), Class A | 261 | ||||||
| 1 | Group 1 Automotive, Inc. | 55 | ||||||
| 2 | Rent-A-Center, Inc. | 50 | ||||||
| 3 | Tilly’s, Inc., Class A (a) | 40 | ||||||
|
| |||||||
| 990 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| — | (h) | Carter’s, Inc. (a) | 4 | |||||
| 40 | Fifth & Pacific Cos., Inc. (a) | 431 | ||||||
|
| |||||||
| 435 | ||||||||
|
| |||||||
Total Consumer Discretionary | 10,230 | |||||||
|
| |||||||
Consumer Staples — 4.0% |
| |||||||
Beverages — 0.0% (g) |
| |||||||
| 6 | Central European Distribution Corp., (Poland) (a) | 17 | ||||||
|
| |||||||
Food & Staples Retailing — 1.4% |
| |||||||
| 1 | Arden Group, Inc., Class A | 105 | ||||||
| 352 | Rite Aid Corp. (a) | 492 | ||||||
| 72 | SUPERVALU, Inc. | 372 | ||||||
|
| |||||||
| 969 | ||||||||
|
| |||||||
Food Products — 0.9% |
| |||||||
| 8 | B&G Foods, Inc. | 202 | ||||||
| 46 | Smart Balance, Inc. (a) | 427 | ||||||
|
| |||||||
| 629 | ||||||||
|
| |||||||
Personal Products — 0.6% |
| |||||||
| 1 | Herbalife Ltd., (Cayman Islands) | 39 | ||||||
| — | (h) | Nu Skin Enterprises, Inc., Class A | 7 | |||||
| 13 | Prestige Brands Holdings, Inc. (a) | 204 | ||||||
| 5 | USANA Health Sciences, Inc. (a) | 185 | ||||||
|
| |||||||
| 435 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Tobacco — 1.1% |
| |||||||
| 17 | Universal Corp. | 783 | ||||||
|
| |||||||
Total Consumer Staples | 2,833 | |||||||
|
| |||||||
Energy — 5.7% |
| |||||||
Energy Equipment & Services — 1.8% |
| |||||||
| 62 | Cal Dive International, Inc. (a) | 181 | ||||||
| 4 | Dresser-Rand Group, Inc. (a) | 183 | ||||||
| 15 | Forum Energy Technologies, Inc. (a) | 285 | ||||||
| 2 | Geokinetics, Inc. (a) | 1 | ||||||
| 29 | Helix Energy Solutions Group, Inc. (a) | 473 | ||||||
| 1 | Hercules Offshore, Inc. (a) | 4 | ||||||
| 7 | ION Geophysical Corp. (a) | 43 | ||||||
| 1 | Parker Drilling Co. (a) | 6 | ||||||
| 6 | Superior Energy Services, Inc. (a) | 111 | ||||||
|
| |||||||
| 1,287 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.9% |
| |||||||
| 1 | Clayton Williams Energy, Inc. (a) | 48 | ||||||
| 17 | Cloud Peak Energy, Inc. (a) | 279 | ||||||
| 1 | Contango Oil & Gas Co. (a) | 83 | ||||||
| 6 | CVR Energy, Inc. (a) | 165 | ||||||
| 20 | Delek U.S. Holdings, Inc. | 348 | ||||||
| 28 | Energy Partners Ltd. (a) | 480 | ||||||
| — | (h) | Isramco, Inc. (a) | 24 | |||||
| 3 | McMoRan Exploration Co. (a) | 41 | ||||||
| 16 | Petroquest Energy, Inc. (a) | 81 | ||||||
| 5 | Renewable Energy Group, Inc. (a) | 39 | ||||||
| 9 | Stone Energy Corp. (a) | 233 | ||||||
| 5 | Swift Energy Co. (a) | 93 | ||||||
| 32 | VAALCO Energy, Inc. (a) | 274 | ||||||
| 31 | W&T Offshore, Inc. | 467 | ||||||
| 2 | Western Refining, Inc. | 49 | ||||||
| 1 | Westmoreland Coal Co. (a) | 5 | ||||||
|
| |||||||
| 2,709 | ||||||||
|
| |||||||
Total Energy | 3,996 | |||||||
|
| |||||||
Financials — 21.2% |
| |||||||
Capital Markets — 1.4% |
| |||||||
| 4 | Affiliated Managers Group, Inc. (a) | 449 | ||||||
| 5 | Federated Investors, Inc., Class B | 109 | ||||||
| 30 | Investment Technology Group, Inc. (a) | 279 | ||||||
| 1 | Janus Capital Group, Inc. | 8 | ||||||
| 6 | KBW, Inc. | 99 | ||||||
|
| |||||||
| 944 | ||||||||
|
| |||||||
Commercial Banks — 6.2% |
| |||||||
| 4 | 1st Source Corp. | 93 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
| 9 | BancFirst Corp. | 386 | ||||||
| 20 | BancorpSouth, Inc. | 287 | ||||||
| 4 | Banner Corp. | 90 | ||||||
| 7 | BBCN Bancorp, Inc. (a) | 72 | ||||||
| 8 | Cathay General Bancorp | 125 | ||||||
| 3 | Chemical Financial Corp. | 60 | ||||||
| 1 | Citizens & Northern Corp. | 19 | ||||||
| 9 | City Holding Co. (c) | 310 | ||||||
| 6 | CoBiz Financial, Inc. | 38 | ||||||
| 8 | Financial Institutions, Inc. | 138 | ||||||
| 55 | First Commonwealth Financial Corp. | 373 | ||||||
| 6 | First Financial Bancorp | 102 | ||||||
| 4 | First Interstate Bancsystem, Inc. | 54 | ||||||
| 2 | First Merchants Corp. | 27 | ||||||
| 13 | FNB Corp. | 140 | ||||||
| 4 | Heartland Financial USA, Inc. | 101 | ||||||
| 5 | MainSource Financial Group, Inc. | 59 | ||||||
| 4 | MetroCorp Bancshares, Inc. (a) | 37 | ||||||
| 2 | OmniAmerican Bancorp, Inc. (a) | 43 | ||||||
| 22 | Oriental Financial Group, Inc. | 246 | ||||||
| 6 | PacWest Bancorp | 135 | ||||||
| 5 | Sierra Bancorp | 45 | ||||||
| — | (h) | Signature Bank (a) | 9 | |||||
| 5 | Simmons First National Corp., Class A | 126 | ||||||
| 21 | Southwest Bancorp, Inc. (a) | 198 | ||||||
| 2 | StellarOne Corp. | 27 | ||||||
| 12 | Suffolk Bancorp (a) | 152 | ||||||
| 12 | Susquehanna Bancshares, Inc. | 126 | ||||||
| 2 | SVB Financial Group (a) | 123 | ||||||
| 20 | TCF Financial Corp. (c) | 230 | ||||||
| 3 | UMB Financial Corp. | 128 | ||||||
| 6 | West Bancorp, Inc. | 54 | ||||||
| 2 | Westamerica Bancorp | 109 | ||||||
| 13 | Wilshire Bancorp, Inc. (a) | 71 | ||||||
|
| |||||||
| 4,333 | ||||||||
|
| |||||||
Consumer Finance — 1.9% |
| |||||||
| 4 | Credit Acceptance Corp. (a) | 329 | ||||||
| 25 | DFC Global Corp. (a) | 468 | ||||||
| 8 | World Acceptance Corp. (a) | 546 | ||||||
|
| |||||||
| 1,343 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
| 8 | Marlin Business Services Corp. | 125 | ||||||
| 13 | PHH Corp. (a) | 218 | ||||||
|
| |||||||
| 343 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — 2.4% |
| |||||||
| 25 | American Equity Investment Life Holding Co. | 277 | ||||||
| 2 | Aspen Insurance Holdings Ltd., (Bermuda) | 61 | ||||||
| 36 | CNO Financial Group, Inc. | 278 | ||||||
| 7 | Meadowbrook Insurance Group, Inc. | 58 | ||||||
| 4 | Navigators Group, Inc. (The) (a) | 185 | ||||||
| 8 | Platinum Underwriters Holdings Ltd., (Bermuda) | 316 | ||||||
| 4 | ProAssurance Corp. | 330 | ||||||
| 14 | Symetra Financial Corp. | 177 | ||||||
|
| |||||||
| 1,682 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.0% |
| |||||||
| — | (h) | American Campus Communities, Inc. | 5 | |||||
| 36 | Anworth Mortgage Asset Corp. | 251 | ||||||
| 4 | Ashford Hospitality Trust, Inc. | 30 | ||||||
| 2 | Associated Estates Realty Corp. | 22 | ||||||
| 4 | BioMed Realty Trust, Inc. | 77 | ||||||
| 41 | Capstead Mortgage Corp. | 565 | ||||||
| 9 | CBL & Associates Properties, Inc. | 178 | ||||||
| 28 | Coresite Realty Corp. | 723 | ||||||
| 20 | DCT Industrial Trust, Inc. (c) | 123 | ||||||
| 10 | DiamondRock Hospitality Co. | 103 | ||||||
| 4 | EastGroup Properties, Inc. | 219 | ||||||
| 2 | Equity Lifestyle Properties, Inc. | 103 | ||||||
| 1 | Extra Space Storage, Inc. | 25 | ||||||
| 3 | First Industrial Realty Trust, Inc. (a) | 40 | ||||||
| 5 | Home Properties, Inc. | 288 | ||||||
| 9 | Hospitality Properties Trust | 228 | ||||||
| 12 | Lexington Realty Trust | 105 | ||||||
| 16 | LTC Properties, Inc. | 562 | ||||||
| 5 | MFA Financial, Inc. | 39 | ||||||
| 9 | Mission West Properties, Inc. | 82 | ||||||
| 3 | National Retail Properties, Inc. | 88 | ||||||
| 10 | Pennsylvania Real Estate Investment Trust | 148 | ||||||
| 5 | Post Properties, Inc. | 240 | ||||||
| 14 | Potlatch Corp. | 460 | ||||||
| 1 | PS Business Parks, Inc. | 75 | ||||||
| 23 | RAIT Financial Trust | 105 | ||||||
| 18 | Ramco-Gershenson Properties Trust | 220 | ||||||
| 5 | Saul Centers, Inc. | 223 | ||||||
| 1 | Tanger Factory Outlet Centers | 35 | ||||||
| 3 | Taubman Centers, Inc. | 208 | ||||||
|
| |||||||
| 5,570 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.8% |
| |||||||
| 6 | Astoria Financial Corp. | 61 | ||||||
| 2 | BankFinancial Corp. | 11 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Thrifts & Mortgage Finance — Continued |
| |||||||
| 6 | Beneficial Mutual Bancorp, Inc. (a) | 52 | ||||||
| 2 | Capitol Federal Financial, Inc. | 18 | ||||||
| 6 | OceanFirst Financial Corp. | 88 | ||||||
| 19 | Ocwen Financial Corp. (a) | 349 | ||||||
|
| |||||||
| 579 | ||||||||
|
| |||||||
Total Financials | 14,794 | |||||||
|
| |||||||
Health Care — 13.0% |
| |||||||
Biotechnology — 3.1% |
| |||||||
| 37 | Achillion Pharmaceuticals, Inc. (a) | 229 | ||||||
| 16 | Acorda Therapeutics, Inc. (a) | 375 | ||||||
| 24 | Ariad Pharmaceuticals, Inc. (a) | 420 | ||||||
| 14 | ArQule, Inc. (a) | 84 | ||||||
| 10 | AVEO Pharmaceuticals, Inc. (a) | 118 | ||||||
| 17 | BioCryst Pharmaceuticals, Inc. (a) | 69 | ||||||
| 3 | Incyte Corp., Ltd. (a) | 59 | ||||||
| 12 | OncoGenex Pharmaceutical, Inc. (a) | 156 | ||||||
| 2 | Onyx Pharmaceuticals, Inc. (a) | 113 | ||||||
| 99 | Orexigen Therapeutics, Inc. (a) | 546 | ||||||
|
| |||||||
| 2,169 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
| 20 | Accuray, Inc. (a) (m) | 136 | ||||||
| 3 | AngioDynamics, Inc. (a) | 41 | ||||||
| 18 | CONMED Corp. | 484 | ||||||
| 27 | Greatbatch, Inc. (a) | 606 | ||||||
| 19 | Invacare Corp. | 298 | ||||||
| 88 | RTI Biologics, Inc. (a) | 330 | ||||||
|
| |||||||
| 1,895 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.5% |
| |||||||
| 3 | Alliance HealthCare Services, Inc. (a) | 3 | ||||||
| 13 | Amedisys, Inc. (a) | 167 | ||||||
| 2 | AMERIGROUP Corp. (a) | 99 | ||||||
| 8 | CardioNet, Inc. (a) | 15 | ||||||
| 45 | Cross Country Healthcare, Inc. (a) | 197 | ||||||
| 12 | Gentiva Health Services, Inc. (a) | 80 | ||||||
| 3 | Magellan Health Services, Inc. (a) | 122 | ||||||
| 4 | Molina Healthcare, Inc. (a) | 94 | ||||||
| 36 | Skilled Healthcare Group, Inc., Class A (a) | 226 | ||||||
| 62 | Sun Healthcare Group, Inc. (a) | 518 | ||||||
| 5 | WellCare Health Plans, Inc. (a) | 260 | ||||||
|
| |||||||
| 1,781 | ||||||||
|
| |||||||
Health Care Technology — 0.6% |
| |||||||
| 30 | MedAssets, Inc. (a) | 405 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
| 84 | Affymetrix, Inc. (a) | 396 | ||||||
| 13 | Cambrex Corp. (a) | 119 | ||||||
| 1 | Mettler-Toledo International, Inc. (a) | 109 | ||||||
| 37 | Pacific Biosciences of California, Inc. (a) | 80 | ||||||
|
| |||||||
| 704 | ||||||||
|
| |||||||
Pharmaceuticals — 3.1% |
| |||||||
| 8 | Cornerstone Therapeutics, Inc. (a) | 52 | ||||||
| 7 | Jazz Pharmaceuticals plc, (Ireland) (a) | 306 | ||||||
| 11 | MAP Pharmaceuticals, Inc. (a) | 159 | ||||||
| 26 | Medicis Pharmaceutical Corp., Class A | 895 | ||||||
| 23 | Nektar Therapeutics (a) | 186 | ||||||
| 23 | ViroPharma, Inc. (a) | 533 | ||||||
|
| |||||||
| 2,131 | ||||||||
|
| |||||||
Total Health Care | 9,085 | |||||||
|
| |||||||
Industrials — 14.5% |
| |||||||
Aerospace & Defense — 1.2% |
| |||||||
| 10 | Cubic Corp. | 490 | ||||||
| 40 | GenCorp, Inc. (a) (c) | 263 | ||||||
| 12 | Taser International, Inc. (a) | 65 | ||||||
|
| |||||||
| 818 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
| 23 | Pacer International, Inc. (a) | 127 | ||||||
| 2 | Park-Ohio Holdings Corp. (a) | 42 | ||||||
|
| |||||||
| 169 | ||||||||
|
| |||||||
Airlines — 1.0% |
| |||||||
| 9 | Alaska Air Group, Inc. (a) | 312 | ||||||
| 22 | Hawaiian Holdings, Inc. (a) | 141 | ||||||
| 37 | Republic Airways Holdings, Inc. (a) | 205 | ||||||
| 4 | U.S. Airways Group, Inc. (a) | 49 | ||||||
|
| |||||||
| 707 | ||||||||
|
| |||||||
Building Products — 0.5% |
| |||||||
| 28 | Gibraltar Industries, Inc. (a) | 289 | ||||||
| 3 | Trex Co., Inc. (a) | 81 | ||||||
|
| |||||||
| 370 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.8% |
| |||||||
| 28 | ACCO Brands Corp. (a) (m) | 293 | ||||||
| 31 | American Reprographics Co. (a) | 154 | ||||||
| 10 | Deluxe Corp. | 242 | ||||||
| 48 | EnergySolutions, Inc. (a) | 82 | ||||||
| 4 | G&K Services, Inc., Class A | 128 | ||||||
| 13 | Intersections, Inc. | 212 | ||||||
| 27 | Knoll, Inc. | 360 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Services & Supplies — Continued |
| |||||||
| 2 | Portfolio Recovery Associates, Inc. (a) | 192 | ||||||
| 13 | Quad/Graphics, Inc. | 180 | ||||||
| 2 | Rollins, Inc. | 49 | ||||||
| 3 | Standard Parking Corp. (a) | 54 | ||||||
| 4 | Steelcase, Inc., Class A | 34 | ||||||
|
| |||||||
| 1,980 | ||||||||
|
| |||||||
Construction & Engineering — 1.0% |
| |||||||
| 12 | Argan, Inc. | 168 | ||||||
| 20 | EMCOR Group, Inc. | 559 | ||||||
|
| |||||||
| 727 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
| 6 | Acuity Brands, Inc. | 290 | ||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
| 7 | Standex International Corp. | 281 | ||||||
|
| |||||||
Machinery — 3.9% |
| |||||||
| 1 | Ampco-Pittsburgh Corp. | 20 | ||||||
| 1 | Cascade Corp. | 66 | ||||||
| 17 | Douglas Dynamics, Inc. | 241 | ||||||
| 17 | FreightCar America, Inc. | 387 | ||||||
| 8 | Hurco Cos., Inc. (a) | 170 | ||||||
| 2 | Kadant, Inc. (a) | 35 | ||||||
| 9 | Mueller Industries, Inc. | 392 | ||||||
| 1 | NACCO Industries, Inc., Class A | 116 | ||||||
| 10 | Nordson Corp. | 487 | ||||||
| 1 | Proto Labs, Inc. (a) | 32 | ||||||
| 17 | Sauer-Danfoss, Inc. | 576 | ||||||
| 9 | Trimas Corp. (a) | 177 | ||||||
|
| |||||||
| 2,699 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
| 15 | Barrett Business Services, Inc. | 324 | ||||||
|
| |||||||
Road & Rail — 1.7% |
| |||||||
| 6 | Arkansas Best Corp. | 78 | ||||||
| 3 | Celadon Group, Inc. | 41 | ||||||
| 4 | Con-way, Inc. | 148 | ||||||
| 9 | Heartland Express, Inc. | 130 | ||||||
| 14 | RailAmerica, Inc. (a) | 349 | ||||||
| 21 | Saia, Inc. (a) | 468 | ||||||
|
| |||||||
| 1,214 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
| 9 | Aircastle Ltd. | 110 | ||||||
| 7 | Applied Industrial Technologies, Inc. | 243 | ||||||
| 2 | Interline Brands, Inc. (a) | 42 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Trading Companies & Distributors — Continued |
| |||||||
| 1 | MRC Global, Inc. (a) | 30 | ||||||
|
| |||||||
| 425 | ||||||||
|
| |||||||
Transportation Infrastructure — 0.2% | ||||||||
| 13 | Wesco Aircraft Holdings, Inc. (a) | 166 | ||||||
|
| |||||||
Total Industrials | 10,170 | |||||||
|
| |||||||
Information Technology — 15.8% | ||||||||
Communications Equipment — 2.2% | ||||||||
| 33 | Arris Group, Inc. (a) | 455 | ||||||
| 13 | Aviat Networks, Inc. (a) | 36 | ||||||
| 9 | Black Box Corp. | 253 | ||||||
| 7 | Comtech Telecommunications Corp. | 189 | ||||||
| 11 | InterDigital, Inc. (c) | 336 | ||||||
| 12 | Oplink Communications, Inc. (a) | 158 | ||||||
| 4 | Plantronics, Inc. | 124 | ||||||
|
| |||||||
| 1,551 | ||||||||
|
| |||||||
Computers & Peripherals — 0.3% | ||||||||
| 6 | Electronics for Imaging, Inc. (a) | 92 | ||||||
| 4 | Fusion-io, Inc. (a) | 86 | ||||||
| 13 | Imation Corp. (a) | 78 | ||||||
|
| |||||||
| 256 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.4% |
| |||||||
| 5 | Agilysys, Inc. (a) | 39 | ||||||
| 5 | Audience, Inc. (a) | 90 | ||||||
| 37 | Brightpoint, Inc. (a) | 201 | ||||||
| 16 | Checkpoint Systems, Inc. (a) | 139 | ||||||
| 9 | Coherent, Inc. (a) | 381 | ||||||
| 3 | Richardson Electronics Ltd. | 31 | ||||||
| 9 | Vishay Intertechnology, Inc. (a) | 86 | ||||||
|
| |||||||
| 967 | ||||||||
|
| |||||||
Internet Software & Services — 1.9% | ||||||||
| 15 | Ancestry.com, Inc. (a) | 410 | ||||||
| 4 | Bazaarvoice, Inc. (a) | 65 | ||||||
| 2 | Demand Media, Inc. (a) | 24 | ||||||
| 2 | Demandware, Inc. (a) | 57 | ||||||
| 19 | Digital River, Inc. (a) | 310 | ||||||
| 2 | ExactTarget, Inc. (a) | 50 | ||||||
| 6 | Move, Inc. (a) | 56 | ||||||
| 5 | OpenTable, Inc. (a) | 203 | ||||||
| 14 | QuinStreet, Inc. (a) | 131 | ||||||
|
| |||||||
| 1,306 | ||||||||
|
| |||||||
IT Services — 1.6% | ||||||||
| 9 | CACI International, Inc., Class A (a) | 501 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — Continued | ||||||||
| 5 | CSG Systems International, Inc. (a) | 86 | ||||||
| 4 | Heartland Payment Systems, Inc. | 111 | ||||||
| 1 | Jack Henry & Associates, Inc. | 31 | ||||||
| 1 | TNS, Inc. (a) | 18 | ||||||
| 4 | Unisys Corp. (a) | 84 | ||||||
| 5 | Vantiv, Inc., Class A (a) | 112 | ||||||
| 5 | VeriFone Systems, Inc. (a) | 158 | ||||||
|
| |||||||
| 1,101 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
| 4 | ATMI, Inc. (a) (m) | 74 | ||||||
| 6 | Brooks Automation, Inc. | 60 | ||||||
| 7 | Cirrus Logic, Inc. (a) | 197 | ||||||
| 5 | Cymer, Inc. (a) | 265 | ||||||
| 4 | DSP Group, Inc. (a) | 24 | ||||||
| 25 | GT Advanced Technologies, Inc. (a) | 134 | ||||||
| 7 | Integrated Device Technology, Inc. (a) | 40 | ||||||
| 11 | Intermolecular, Inc. (a) | 85 | ||||||
| 14 | Kulicke & Soffa Industries, Inc. (a) | 120 | ||||||
| 12 | Lattice Semiconductor Corp. (a) | 44 | ||||||
| 66 | LSI Corp. (a) | 417 | ||||||
| 62 | LTX-Credence Corp. (a) | 412 | ||||||
| 2 | M/A-COM Technology Solutions Holdings, Inc. (a) | 32 | ||||||
| 31 | Micrel, Inc. | 291 | ||||||
| 9 | Photronics, Inc. (a) | 55 | ||||||
| 21 | RF Micro Devices, Inc. (a) | 90 | ||||||
| 8 | Rudolph Technologies, Inc. (a) | 72 | ||||||
| 5 | Semtech Corp. (a) | 110 | ||||||
| 10 | STR Holdings, Inc. (a) | 45 | ||||||
|
| |||||||
| 2,567 | ||||||||
|
| |||||||
Software — 4.7% | ||||||||
| 20 | Aspen Technology, Inc. (a) | 465 | ||||||
| 9 | Envivio, Inc. (a) | 56 | ||||||
| 5 | EPIQ Systems, Inc. | 59 | ||||||
| 4 | Fair Isaac Corp. | 173 | ||||||
| 2 | Guidewire Software, Inc. (a) | 45 | ||||||
| 1 | Imperva, Inc. (a) | 23 | ||||||
| 6 | Infoblox, Inc. (a) | 138 | ||||||
| 4 | JDA Software Group, Inc. (a) | 117 | ||||||
| 18 | Manhattan Associates, Inc. (a) | 832 | ||||||
| 36 | Monotype Imaging Holdings, Inc. (a) | 595 | ||||||
| — | (h) | NetSuite, Inc. (a) | 11 | |||||
| 1 | Proofpoint, Inc. (a) | 20 | ||||||
| 2 | Quest Software, Inc. (a) | 61 | ||||||
| — | (h) | SolarWinds, Inc. (a) | 13 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Software — Continued | ||||||||
| 33 | TeleNav, Inc. (a) | 205 | ||||||
| 6 | TIBCO Software, Inc. (a) | 186 | ||||||
| 15 | Websense, Inc. (a) | 283 | ||||||
|
| |||||||
| 3,282 | ||||||||
|
| |||||||
Total Information Technology | 11,030 | |||||||
|
| |||||||
Materials — 4.8% |
| |||||||
Chemicals — 1.7% |
| |||||||
| 11 | Georgia Gulf Corp. | 272 | ||||||
| 12 | Minerals Technologies, Inc. | 784 | ||||||
| 9 | Tredegar Corp. | 134 | ||||||
|
| |||||||
| 1,190 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 23 | Headwaters, Inc. (a) | 117 | ||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 23 | Myers Industries, Inc. | 400 | ||||||
|
| |||||||
Metals & Mining — 1.2% |
| |||||||
| 8 | Coeur d’Alene Mines Corp. (a) | 144 | ||||||
| 6 | Hecla Mining Co. | 30 | ||||||
| 16 | U.S. Silica Holdings, Inc. (a) | 175 | ||||||
| 24 | Worthington Industries, Inc. | 499 | ||||||
|
| |||||||
| 848 | ||||||||
|
| |||||||
Paper & Forest Products — 1.1% |
| |||||||
| 6 | Buckeye Technologies, Inc. | 162 | ||||||
| 2 | Domtar Corp., (Canada) | 161 | ||||||
| 7 | Neenah Paper, Inc. | 192 | ||||||
| 18 | PH Glatfelter Co. | 287 | ||||||
|
| |||||||
| 802 | ||||||||
|
| |||||||
Total Materials | 3,357 | |||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
| 40 | Cincinnati Bell, Inc. (a) | 148 | ||||||
| 17 | Consolidated Communications Holdings, Inc. | 244 | ||||||
|
| |||||||
| 392 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| 1 | NTELOS Holdings Corp. | 13 | ||||||
|
| |||||||
Total Telecommunication Services | 405 | |||||||
|
| |||||||
Utilities — 3.5% |
| |||||||
Electric Utilities — 1.1% |
| |||||||
| 9 | El Paso Electric Co. | 305 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
| 13 | Portland General Electric Co. | 349 | ||||||
| 4 | UNS Energy Corp. | 158 | ||||||
|
| |||||||
| 812 | ||||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
| 6 | AGL Resources, Inc. (m) | 215 | ||||||
| 3 | Laclede Group, Inc. (The) | 135 | ||||||
| 3 | New Jersey Resources Corp. | 109 | ||||||
| 6 | Piedmont Natural Gas Co., Inc. | 184 | ||||||
| 4 | Southwest Gas Corp. | 179 | ||||||
|
| |||||||
| 822 | ||||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 2 | CH Energy Group, Inc. | 98 | ||||||
| 20 | NorthWestern Corp. | 716 | ||||||
|
| |||||||
| 814 | ||||||||
|
| |||||||
Total Utilities | 2,448 | |||||||
|
| |||||||
Total Common Stocks | 68,348 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.3% |
| ||||||
| 225 | U.S. Treasury Notes, 0.500%, 11/30/12 (k) | 225 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% |
| |||||||
| 1,379 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 1,379 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.8% |
| ||||||
Investment Company — 0.8% |
| |||||||
| 546 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 546 | ||||||
|
| |||||||
Total Investments — 100.8% | 70,498 | |||||||
Liabilities in Excess of | (539 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 69,959 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 19 | E-mini Russell 2000 | 09/21/12 | $ | 1,511 | $ | 68 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Small Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
| (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, 2012. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(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 | $ | 328,799 | $ | 397,996 | $ | 2,387,552 | ||||||
Investments in affiliates, at value | 9,674 | 5,086 | 29,810 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 338,473 | 403,082 | 2,417,362 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 660 | 8,034 | 35,968 | |||||||||
Fund shares sold | 1,544 | 351 | 1,858 | |||||||||
Interest and dividends from non-affiliates | 142 | 404 | 2,359 | |||||||||
Dividends from affiliates | 1 | 1 | 12 | |||||||||
Securities lending income | 1 | 1 | — | |||||||||
Variation margin on futures contracts | — | 310 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 340,821 | 412,183 | 2,457,559 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | 200 | — | |||||||||
Investment securities purchased | 214 | 4,335 | 7,147 | |||||||||
Collateral for securities lending program | 2,971 | 688 | — | |||||||||
Fund shares redeemed | 1,106 | 8 | 5,636 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 172 | 207 | 1,247 | |||||||||
Administration fees | 23 | 28 | — | |||||||||
Shareholder servicing fees | 53 | 21 | 305 | |||||||||
Distribution fees | 44 | — | 154 | |||||||||
Custodian and accounting fees | 5 | 17 | 17 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | — | (a) | 2 | ||||||||
Transfer agent fees | 142 | 7 | 822 | |||||||||
Other | 88 | 82 | 198 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 4,820 | 5,593 | 15,528 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 336,001 | $ | 406,590 | $ | 2,442,031 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 300,491 | $ | 371,930 | $ | 1,780,691 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (1,196 | ) | 2,422 | 6,322 | ||||||||
Accumulated net realized gains (losses) | (6,541 | ) | (52,316 | ) | 99,625 | |||||||
Net unrealized appreciation (depreciation) | 43,247 | 84,554 | 555,393 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 336,001 | $ | 406,590 | $ | 2,442,031 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 64,997 | $ | — | $ | 618,705 | ||||||
Class B | 1,055 | — | 10,036 | |||||||||
Class C | 50,144 | — | 34,994 | |||||||||
Class R2 | — | — | 5,587 | |||||||||
Class R5 | — | — | 696,200 | |||||||||
Select Class | 219,805 | 406,590 | 1,076,509 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 336,001 | $ | 406,590 | $ | 2,442,031 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 3,451 | — | 17,177 | |||||||||
Class B | 63 | — | 329 | |||||||||
Class C | 3,006 | — | 1,149 | |||||||||
Class R2 | — | — | 157 | |||||||||
Class R5 | — | — | 17,639 | |||||||||
Select Class | 10,980 | 10,830 | 27,315 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 18.83 | $ | — | $ | 36.02 | ||||||
Class B — Offering price per share (c) | 16.71 | — | 30.51 | |||||||||
Class C — Offering price per share (c) | 16.68 | — | 30.46 | |||||||||
Class R2 — Offering and redemption price per share | — | — | 35.67 | |||||||||
Class R5 — Offering and redemption price per share | — | — | 39.47 | |||||||||
Select Class — Offering and redemption price per share | 20.02 | 37.54 | 39.41 | |||||||||
Class A maximum sales charge | 5.25 | % | — | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 19.87 | $ | — | $ | 38.02 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 285,552 | $ | 313,875 | $ | 1,832,159 | ||||||
Cost of investments in affiliates | 9,674 | 5,086 | 29,810 | |||||||||
Value of securities on loan | 2,998 | 683 | — | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012 (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 | $ | 807,564 | $ | 604,842 | $ | 68,573 | ||||||
Investments in affiliates, at value | 13,883 | 12,790 | 1,925 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 821,447 | 617,632 | 70,498 | |||||||||
Cash | — | — | 40 | |||||||||
Deposits at broker for futures contracts | — | — | 10 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 1,700 | 6,256 | 698 | |||||||||
Fund shares sold | 1,165 | 597 | 162 | |||||||||
Interest and dividends from non-affiliates | 352 | 1,172 | 88 | |||||||||
Dividends from affiliates | 2 | 1 | — | (a) | ||||||||
Securities lending income | 1 | — | (a) | — | (a) | |||||||
Variation margin on futures contracts | — | 435 | 55 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 824,667 | 626,093 | 71,551 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | — | 434 | — | |||||||||
Investment securities purchased | 493 | 6,519 | 907 | |||||||||
Collateral for securities lending program | 1,001 | 291 | 546 | |||||||||
Fund shares redeemed | 845 | 1,110 | 40 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 319 | 312 | 27 | |||||||||
Administration fees | — | 25 | — | |||||||||
Shareholder servicing fees | 96 | 50 | 10 | |||||||||
Distribution fees | 69 | 59 | 2 | |||||||||
Custodian and accounting fees | 7 | 5 | 5 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 10 | 1 | — | (a) | ||||||||
Transfer agent fees | 246 | 152 | 14 | |||||||||
Other | 61 | 69 | 41 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 3,147 | 9,027 | 1,592 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 821,520 | $ | 617,066 | $ | 69,959 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 704,600 | $ | 599,676 | $ | 68,559 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (1,501 | ) | (638 | ) | 283 | |||||||
Accumulated net realized gains (losses) | 25,910 | (60,716 | ) | (9,262 | ) | |||||||
Net unrealized appreciation (depreciation) | 92,511 | 78,744 | 10,379 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 821,520 | $ | 617,066 | $ | 69,959 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 219,946 | $ | 184,920 | $ | 8,411 | ||||||
Class B | 3,690 | 3,931 | — | |||||||||
Class C | 23,689 | 28,834 | 1,247 | |||||||||
Class R2 | 22,514 | 6,758 | 57 | |||||||||
Class R5 | — | 15,668 | — | |||||||||
Class R6 | 200,960 | 180,853 | 12,959 | |||||||||
Institutional Class | 226,834 | — | 9,350 | |||||||||
Select Class | 123,887 | 196,102 | 37,935 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 821,520 | $ | 617,066 | $ | 69,959 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 19,762 | 9,864 | 816 | |||||||||
Class B | 406 | 237 | — | |||||||||
Class C | 2,492 | 1,758 | 123 | |||||||||
Class R2 | 2,041 | 362 | 5 | |||||||||
Class R5 | — | 800 | — | |||||||||
Class R6 | 16,953 | 9,230 | 1,243 | |||||||||
Institutional Class | 19,164 | — | 896 | |||||||||
Select Class | 10,589 | 10,013 | 3,631 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 11.13 | $ | 18.75 | $ | 10.31 | ||||||
Class B — Offering price per share (c) | 9.10 | 16.55 | — | |||||||||
Class C — Offering price per share (c) | 9.51 | 16.40 | 10.14 | |||||||||
Class R2 — Offering and redemption price per share | 11.03 | 18.68 | 10.25 | |||||||||
Class R5 — Offering and redemption price per share | — | 19.58 | — | |||||||||
Class R6 — Offering and redemption price per share | 11.85 | 19.59 | 10.43 | |||||||||
Institutional Class — Offering and redemption price per share | 11.84 | — | 10.43 | |||||||||
Select Class — Offering and redemption price per share | 11.70 | 19.58 | 10.45 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 11.75 | $ | 19.79 | $ | 10.88 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 715,053 | $ | 526,678 | $ | 58,262 | ||||||
Cost of investments in affiliates | 13,883 | 12,790 | 1,925 | |||||||||
Value of securities on loan | 1,001 | 286 | 535 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 3 | $ | — | ||||||
Dividend income from non-affiliates | 2,227 | 5,574 | 34,949 | |||||||||
Dividend income from affiliates | 7 | 10 | 132 | |||||||||
Income from securities lending (net) | 382 | 143 | 39 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 2,616 | 5,730 | 35,120 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 2,221 | 2,606 | 15,107 | |||||||||
Administration fees | 300 | 352 | 2,039 | |||||||||
Distribution fees: | ||||||||||||
Class A | 271 | — | 1,546 | |||||||||
Class B | 10 | — | 82 | |||||||||
Class C | 403 | — | 265 | |||||||||
Class R2 | — | — | 26 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 271 | — | 1,546 | |||||||||
Class B | 3 | — | 27 | |||||||||
Class C | 134 | — | 88 | |||||||||
Class R2 | — | — | 13 | |||||||||
Class R5 | — | — | 302 | |||||||||
Select Class | 446 | 1,002 | 2,624 | |||||||||
Custodian and accounting fees | 32 | 34 | 93 | |||||||||
Professional fees | 46 | 35 | 74 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 3 | 25 | |||||||||
Printing and mailing costs | 117 | 49 | 364 | |||||||||
Registration and filing fees | 73 | 14 | 109 | |||||||||
Transfer agent fees | 522 | 4 | 3,293 | |||||||||
Other | 4 | 3 | 21 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 4,859 | 4,102 | 27,644 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (230 | ) | (916 | ) | (3,508 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 4,629 | 3,186 | 24,136 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (2,013 | ) | 2,544 | 10,984 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 12,478 | 9,673 | 126,071 | |||||||||
Futures | — | 4,805 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 12,478 | 14,478 | 126,071 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | (36,437 | ) | (34,441 | ) | (59,698 | ) | ||||||
Futures | — | (3,409 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | (36,437 | ) | (37,850 | ) | (59,698 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (23,959 | ) | (23,372 | ) | 66,373 | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (25,972 | ) | $ | (20,828 | ) | $ | 77,357 | ||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 3 | $ | — | (a) | |||||
Dividend income from non-affiliates | 4,841 | 11,191 | 930 | |||||||||
Dividend income from affiliates | 17 | 19 | 2 | |||||||||
Income from securities lending (net) | 982 | 151 | 28 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 5,840 | 11,364 | 960 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 4,857 | 3,622 | 392 | |||||||||
Administration fees | 655 | 489 | 57 | |||||||||
Distribution fees: | ||||||||||||
Class A | 586 | 468 | 20 | |||||||||
Class B | 33 | 36 | — | |||||||||
Class C | 193 | 207 | 9 | |||||||||
Class R2 | 101 | 29 | — | (a) | ||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 586 | 468 | 20 | |||||||||
Class B | 11 | 12 | — | |||||||||
Class C | 64 | 69 | 3 | |||||||||
Class R2 | 51 | 14 | — | (a) | ||||||||
Class R5 | — | 7 | — | |||||||||
Institutional Class | 216 | — | 14 | |||||||||
Select Class | 303 | 470 | 95 | |||||||||
Custodian and accounting fees | 51 | 44 | 47 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 56 | 56 | 49 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 7 | 5 | 1 | |||||||||
Printing and mailing costs | 111 | 75 | 14 | |||||||||
Registration and filing fees | 93 | 75 | 83 | |||||||||
Transfer agent fees | 1,178 | 671 | 63 | |||||||||
Other | 10 | 9 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 9,162 | 6,826 | 873 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (1,437 | ) | (701 | ) | (224 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 7,725 | 6,125 | 649 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (1,885 | ) | 5,239 | 311 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 33,713 | 9,233 | (2,717 | ) | ||||||||
Futures | — | (608 | ) | (7 | ) | |||||||
Payment by affiliate (see Note 3) | — | — | 40 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 33,713 | 8,625 | (2,684 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | (76,118 | ) | (10,513 | ) | (1,155 | ) | ||||||
Futures | — | (87 | ) | (28 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | (76,118 | ) | (10,600 | ) | (1,183 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | (42,405 | ) | (1,975 | ) | (3,867 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | (44,290 | ) | $ | 3,264 | $ | (3,556 | ) | ||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (2,013 | ) | $ | (2,511 | ) | $ | 2,544 | $ | 2,023 | ||||||
Net realized gain (loss) | 12,478 | 28,202 | 14,478 | 48,384 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (36,437 | ) | 65,759 | (37,850 | ) | 113,851 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (25,972 | ) | 91,450 | (20,828 | ) | 164,258 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (2,078 | ) | (1,795 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (2,078 | ) | (1,795 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (14,401 | ) | 112,643 | (120,034 | ) | (103,994 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (40,373 | ) | 204,093 | (142,940 | ) | 58,469 | ||||||||||
Beginning of period | 376,374 | 172,281 | 549,530 | 491,061 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 336,001 | $ | 376,374 | $ | 406,590 | $ | 549,530 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (1,196 | ) | $ | (280 | ) | $ | 2,422 | $ | 1,920 | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 10,984 | $ | 14,629 | $ | (1,885 | ) | $ | (3,206 | ) | ||||||
Net realized gain (loss) | 126,071 | 94,478 | 33,713 | 70,690 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (59,698 | ) | 572,464 | (76,118 | ) | 133,726 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 77,357 | 681,571 | (44,290 | ) | 201,210 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,784 | ) | (1,060 | ) | — | — | ||||||||||
From net realized gains | (29,961 | ) | (19,043 | ) | (4,635 | ) | — | |||||||||
Class B | ||||||||||||||||
From net realized gains | (645 | ) | (506 | ) | (107 | ) | — | |||||||||
Class C | ||||||||||||||||
From net realized gains | (2,059 | ) | (1,347 | ) | (598 | ) | — | |||||||||
Class R2 | ||||||||||||||||
From net investment income | (6 | ) | — | — | — | |||||||||||
From net realized gains | (264 | ) | (172 | ) | (408 | ) | — | |||||||||
Class R5 | ||||||||||||||||
From net investment income | (4,589 | ) | (1,948 | ) | — | — | ||||||||||
From net realized gains | (27,407 | ) | (9,777 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net realized gains | — | — | (2,268 | ) | — | |||||||||||
Institutional Class | ||||||||||||||||
From net realized gains | — | — | (4,220 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (5,722 | ) | (4,611 | ) | — | — | ||||||||||
From net realized gains | (48,444 | ) | (33,431 | ) | (2,322 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (120,881 | ) | (71,895 | ) | (14,558 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (39,038 | ) | 144,612 | 134,888 | 126,045 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (82,562 | ) | 754,288 | 76,040 | 327,255 | |||||||||||
Beginning of period | 2,524,593 | 1,770,305 | 745,480 | 418,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,442,031 | $ | 2,524,593 | $ | 821,520 | $ | 745,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 6,322 | $ | 7,438 | $ | (1,501 | ) | $ | (559 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 30, 2010 for Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 5,239 | $ | 3,987 | $ | 311 | $ | 141 | ||||||||
Net realized gain (loss) | 8,625 | 17,657 | (2,684 | ) | 4,400 | |||||||||||
Change in net unrealized appreciation (depreciation) | (10,600 | ) | 107,369 | (1,183 | ) | 10,055 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 3,264 | 129,013 | (3,556 | ) | 14,596 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,662 | ) | (1,299 | ) | — | (29 | ) | |||||||||
Class B | ||||||||||||||||
From net investment income | (19 | ) | (27 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (136 | ) | (126 | ) | — | — | ||||||||||
Class R2 (a) | ||||||||||||||||
From net investment income | (41 | ) | (29 | ) | — | (b) | — | |||||||||
Class R5 | ||||||||||||||||
From net investment income | (157 | ) | (293 | ) | — | — | ||||||||||
Class R6 (a) (c) | ||||||||||||||||
From net investment income | (1,736 | ) | (700 | ) | — | (b) | — | |||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (59 | ) | (46 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (2,049 | ) | (1,496 | ) | (108 | ) | (51 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (5,800 | ) | (3,970 | ) | (167 | ) | (126 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 47,225 | 18,276 | 4,531 | 18,766 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 44,689 | 143,319 | 808 | 33,236 | ||||||||||||
Beginning of period | 572,377 | 429,058 | 69,151 | 35,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 617,066 | $ | 572,377 | $ | 69,959 | $ | 69,151 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (638 | ) | $ | (159 | ) | $ | 283 | $ | 137 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 1, 2011 for U.S. Small Company Fund. |
| (b) | Amount rounds to less than $1,000. |
| (c) | Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for Small Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 41,460 | $ | 94,508 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (122,824 | ) | (44,068 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (81,364 | ) | $ | 50,440 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 3 | $ | 52 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (653 | ) | (1,314 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (650 | ) | $ | (1,262 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 17,007 | $ | 23,259 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (26,284 | ) | (25,022 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (9,277 | ) | $ | (1,763 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 154,205 | $ | 110,890 | $ | 25,529 | $ | 50,308 | ||||||||
Dividends and distributions reinvested | — | — | 1,948 | 1,638 | ||||||||||||
Cost of shares redeemed | (77,315 | ) | (45,662 | ) | (147,511 | ) | (155,940 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 76,890 | $ | 65,228 | $ | (120,034 | ) | $ | (103,994 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (14,401 | ) | $ | 112,643 | $ | (120,034 | ) | $ | (103,994 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 2,340 | 5,157 | — | — | ||||||||||||
Redeemed | (6,774 | ) | (2,500 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (4,434 | ) | 2,657 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | (a) | 3 | — | — | |||||||||||
Redeemed | (41 | ) | (87 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (41 | ) | (84 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,047 | 1,440 | — | — | ||||||||||||
Redeemed | (1,617 | ) | (1,584 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (570 | ) | (144 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 7,902 | 5,859 | 697 | 1,456 | ||||||||||||
Reinvested | — | — | 57 | 45 | ||||||||||||
Redeemed | (3,977 | ) | (2,366 | ) | (3,858 | ) | (4,737 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 3,925 | 3,493 | (3,104 | ) | (3,236 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | �� | Year Ended 6/30/2011 | ||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 157,234 | $ | 193,253 | $ | 69,558 | $ | 130,913 | ||||||||
Dividends and distributions reinvested | 27,278 | 17,092 | 4,447 | — | ||||||||||||
Cost of shares redeemed | (245,335 | ) | (211,462 | ) | (101,851 | ) | (76,654 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (60,823 | ) | $ | (1,117 | ) | $ | (27,846 | ) | $ | 54,259 | |||||
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 153 | $ | 154 | $ | 141 | $ | 731 | ||||||||
Dividends and distributions reinvested | 586 | 456 | 93 | — | ||||||||||||
Cost of shares redeemed | (3,284 | ) | (4,282 | ) | (2,023 | ) | (3,418 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (2,545 | ) | $ | (3,672 | ) | $ | (1,789 | ) | $ | (2,687 | ) | ||||
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 2,701 | $ | 3,420 | $ | 3,039 | $ | 10,534 | ||||||||
Dividends and distributions reinvested | 1,591 | 1,029 | 488 | — | ||||||||||||
Cost of shares redeemed | (7,520 | ) | (7,383 | ) | (8,525 | ) | (7,197 | ) | ||||||||
|
|
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|
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| |||||||||
Change in net assets from Class C capital transactions | $ | (3,228 | ) | $ | (2,934 | ) | $ | (4,998 | ) | $ | 3,337 | |||||
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| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 2,320 | $ | 2,674 | $ | 10,502 | $ | 15,456 | ||||||||
Dividends and distributions reinvested | 114 | 55 | 377 | — | ||||||||||||
Cost of shares redeemed | (1,956 | ) | (3,719 | ) | (3,289 | ) | (2,622 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 478 | $ | (990 | ) | $ | 7,590 | $ | 12,834 | |||||||
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| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 220,906 | $ | 297,001 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 30,874 | 11,063 | — | �� | ||||||||||||
Cost of shares redeemed | (127,695 | ) | (96,978 | ) | — | — | ||||||||||
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| |||||||||
Change in net assets from Class R5 capital transactions | $ | 124,085 | $ | 211,086 | $ | — | $ | — | ||||||||
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| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 130,056 | $ | 79,204 | ||||||||
Dividends and distributions reinvested | — | — | 2,269 | — | ||||||||||||
Cost of shares redeemed | — | — | (8,891 | ) | (277 | ) | ||||||||||
|
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|
|
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| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 123,434 | $ | 78,927 | ||||||||
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| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 106,591 | $ | 128,356 | ||||||||
Dividends and distributions reinvested | — | — | 3,608 | — | ||||||||||||
Cost of shares redeemed | — | — | (77,557 | ) | (133,441 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | 32,642 | $ | (5,085 | ) | |||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 287,957 | $ | 402,797 | $ | 50,639 | $ | 72,991 | ||||||||
Dividends and distributions reinvested | 47,121 | 26,913 | 1,909 | — | ||||||||||||
Cost of shares redeemed | (432,083 | ) | (487,471 | ) | (46,693 | ) | (88,531 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (97,005 | ) | $ | (57,761 | ) | $ | 5,855 | $ | (15,540 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (39,038 | ) | $ | 144,612 | $ | 134,888 | $ | 126,045 | |||||||
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| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,564 | 5,780 | 6,342 | 12,058 | ||||||||||||
Reinvested | 849 | 514 | 436 | — | ||||||||||||
Redeemed | (7,273 | ) | (6,454 | ) | (9,342 | ) | (7,144 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (1,860 | ) | (160 | ) | (2,564 | ) | 4,914 | |||||||||
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| |||||||||
Class B | ||||||||||||||||
Issued | 5 | 5 | 16 | 81 | ||||||||||||
Reinvested | 22 | 16 | 11 | — | ||||||||||||
Redeemed | (112 | ) | (149 | ) | (223 | ) | (398 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (85 | ) | (128 | ) | (196 | ) | (317 | ) | ||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued | 92 | 119 | 320 | 1,098 | ||||||||||||
Reinvested | 59 | 36 | 56 | — | ||||||||||||
Redeemed | (257 | ) | (258 | ) | (905 | ) | (791 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (106 | ) | (103 | ) | (529 | ) | 307 | |||||||||
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| |||||||||
Class R2 | ||||||||||||||||
Issued | 70 | 82 | 977 | 1,374 | ||||||||||||
Reinvested | 4 | 1 | 37 | — | ||||||||||||
Redeemed | (57 | ) | (113 | ) | (306 | ) | (230 | ) | ||||||||
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|
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|
|
| |||||||||
Change in Class R2 Shares | 17 | (30 | ) | 708 | 1,144 | |||||||||||
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| |||||||||
Class R5 | ||||||||||||||||
Issued | 5,986 | 7,893 | — | — | ||||||||||||
Reinvested | 874 | 304 | — | — | ||||||||||||
Redeemed | (3,399 | ) | (2,591 | ) | — | — | ||||||||||
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|
|
|
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|
| |||||||||
Change in Class R5 Shares | 3,461 | 5,606 | — | — | ||||||||||||
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|
|
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| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | — | — | 11,045 | 6,501 | ||||||||||||
Reinvested | — | — | 210 | — | ||||||||||||
Redeemed | — | — | (783 | ) | (20 | ) | ||||||||||
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|
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| |||||||||
Change in Class R6 Shares | — | — | 10,472 | 6,481 | ||||||||||||
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| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 9,441 | 11,081 | ||||||||||||
Reinvested | — | — | 334 | — | ||||||||||||
Redeemed | — | — | (6,770 | ) | (11,667 | ) | ||||||||||
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| |||||||||
Change in Institutional Class Shares | — | — | 3,005 | (586 | ) | |||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 7,666 | 11,168 | 4,414 | 6,430 | ||||||||||||
Reinvested | 1,338 | 742 | 178 | — | ||||||||||||
Redeemed | (11,713 | ) | (13,187 | ) | (4,096 | ) | (7,950 | ) | ||||||||
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|
|
|
|
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| |||||||||
Change in Select Class Shares | (2,709 | ) | (1,277 | ) | 496 | (1,520 | ) | |||||||||
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| |||||||||
| (a) | Commencement of offering of class of shares effective November 30, 2010 for Small Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 64,696 | $ | 75,776 | $ | 7,833 | $ | 12,982 | ||||||||
Dividends and distributions reinvested | 1,559 | 1,221 | — | 29 | ||||||||||||
Cost of shares redeemed | (80,683 | ) | (70,870 | ) | (10,500 | ) | (3,018 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (14,428 | ) | $ | 6,127 | $ | (2,667 | ) | $ | 9,993 | ||||||
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 60 | $ | 155 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 17 | 25 | — | — | ||||||||||||
Cost of shares redeemed | (2,513 | ) | (2,954 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (2,436 | ) | $ | (2,774 | ) | $ | — | $ | — | ||||||
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 6,277 | $ | 8,850 | $ | 597 | $ | 821 | ||||||||
Dividends and distributions reinvested | 116 | 101 | — | — | ||||||||||||
Cost of shares redeemed | (8,373 | ) | (7,833 | ) | (505 | ) | (178 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (1,980 | ) | $ | 1,118 | $ | 92 | $ | 643 | |||||||
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| |||||||||
Class R2 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 2,994 | $ | 6,061 | $ | 50 | $ | — | ||||||||
Dividends and distributions reinvested | 38 | 25 | — | (b) | — | |||||||||||
Cost of shares redeemed | (2,261 | ) | (1,011 | ) | — | — | ||||||||||
|
|
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|
|
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| |||||||||
Change in net assets from Class R2 capital transactions | $ | 771 | $ | 5,075 | $ | 50 | $ | — | ||||||||
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| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 6,690 | $ | 37,941 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 4 | 114 | — | — | ||||||||||||
Cost of shares redeemed | (22,164 | ) | (70,073 | )(c) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | (15,470 | ) | $ | (32,018 | ) | $ | — | $ | — | ||||||
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| |||||||||
Class R6 (a) (d) | ||||||||||||||||
Proceeds from shares issued | $ | 79,242 | $ | 84,590 | (c) | $ | 13,638 | $ | — | |||||||
Dividends and distributions reinvested | 1,736 | 700 | — | (b) | — | |||||||||||
Cost of shares redeemed | (5,770 | ) | (12,534 | ) | (260 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 75,208 | $ | 72,756 | $ | 13,378 | $ | — | ||||||||
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| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 6,490 | $ | 6,216 | ||||||||
Dividends and distributions reinvested | — | — | 59 | 46 | ||||||||||||
Cost of shares redeemed | — | — | (17,366 | ) | (615 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | — | $ | — | $ | (10,817 | ) | $ | 5,647 | |||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 54,314 | $ | 48,920 | $ | 15,804 | $ | 7,607 | ||||||||
Dividends and distributions reinvested | 905 | 588 | 88 | 38 | ||||||||||||
Cost of shares redeemed | (49,659 | ) | (81,516 | ) | (11,397 | ) | (5,162 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 5,560 | $ | (32,008 | ) | $ | 4,495 | $ | 2,483 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 47,225 | $ | 18,276 | $ | 4,531 | $ | 18,766 | ||||||||
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| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 3,659 | 4,296 | 803 | 1,378 | ||||||||||||
Reinvested | 89 | 65 | — | 3 | ||||||||||||
Redeemed | (4,528 | ) | (4,060 | ) | (1,142 | ) | (300 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (780 | ) | 301 | (339 | ) | 1,081 | ||||||||||
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| |||||||||
Class B | ||||||||||||||||
Issued | 3 | 10 | — | — | ||||||||||||
Reinvested | 1 | 2 | — | — | ||||||||||||
Redeemed | (161 | ) | (189 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (157 | ) | (177 | ) | — | — | ||||||||||
|
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| |||||||||
Class C | ||||||||||||||||
Issued | 402 | 567 | 63 | 81 | ||||||||||||
Reinvested | 7 | 6 | — | — | ||||||||||||
Redeemed | (550 | ) | (512 | ) | (52 | ) | (18 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in Class C Shares | (141 | ) | 61 | 11 | 63 | |||||||||||
|
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|
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|
|
| |||||||||
Class R2 (a) | ||||||||||||||||
Issued | 170 | 341 | 5 | — | ||||||||||||
Reinvested | 2 | 1 | — | (b) | — | |||||||||||
Redeemed | (131 | ) | (58 | ) | — | — | ||||||||||
|
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|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 41 | 284 | 5 | — | ||||||||||||
|
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|
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|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 359 | 2,072 | — | — | ||||||||||||
Reinvested | — | (b) | 6 | — | — | |||||||||||
Redeemed | (1,168 | ) | (3,647 | )(c) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (809 | ) | (1,569 | ) | — | — | ||||||||||
|
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|
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|
|
| |||||||||
Class R6 (a) (d) | ||||||||||||||||
Issued | 4,227 | 4,356 | (c) | 1,267 | — | |||||||||||
Reinvested | 94 | 35 | — | (b) | — | |||||||||||
Redeemed | (307 | ) | (736 | )�� | (24 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 4,014 | 3,655 | 1,243 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 615 | 618 | ||||||||||||
Reinvested | — | — | 6 | 5 | ||||||||||||
Redeemed | — | — | (1,657 | ) | (59 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | (1,036 | ) | 564 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 3,087 | 2,602 | 1,545 | 704 | ||||||||||||
Reinvested | 49 | 30 | 9 | 4 | ||||||||||||
Redeemed | (2,739 | ) | (4,602 | ) | (1,169 | ) | (545 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 397 | (1,970 | ) | 385 | 163 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 1, 2011 for U.S. Small Company Fund. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
| (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. |
| (d) | Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for Small Cap Value Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 20.20 | $ | (0.13 | )(c)(d) | $ | (1.24 | ) | $ | (1.37 | ) | $ | — | |||||||
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 | ) | |||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2012 | 18.01 | (0.20 | )(c)(d) | (1.10 | ) | (1.30 | ) | — | ||||||||||||
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 | ) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2012 | 17.98 | (0.20 | )(c)(d) | (1.10 | ) | (1.30 | ) | — | ||||||||||||
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 | ) | |||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 21.39 | (0.06 | )(c)(d) | (1.31 | ) | (1.37 | ) | — | ||||||||||||
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 | ) | |||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $(0.17), $(0.23), $(0.23) and $(0.10) for Class A, Class B, Class C and Select Class Shares, respectively and the net investment income (loss) ratio would have been (0.94)%, (1.43)%, (1.43)% and (0.53)% for Class A, Class B, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
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 earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 18.83 | (6.78 | )% | $ | 64,997 | 1.47 | % | (0.72 | )%(d) | 1.48 | % | 63 | % | |||||||||||||
| 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 | ||||||||||||||||||
| 16.71 | (7.22 | ) | 1,055 | 1.97 | (1.21 | )(d) | 1.98 | 63 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 16.68 | (7.23 | ) | 50,144 | 1.97 | (1.21 | )(d) | 1.98 | 63 | ||||||||||||||||||
| 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 | ||||||||||||||||||
| 20.02 | (6.40 | ) | 219,805 | 1.10 | (0.32 | )(d) | 1.22 | 63 | ||||||||||||||||||
| 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 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 | ||||||||||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 39.44 | $ | 0.27 | (c) | $ | (1.98 | ) | $ | (1.71 | ) | $ | (0.19 | ) | $ | — | $ | (0.19 | ) | |||||||||
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 | ) | (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 | ) | ||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $0.14 and the net investment income (loss) ratio would have been 0.39% for Select Class Shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
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 earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 37.54 | (4.29 | )% | $ | 406,590 | 0.80 | % | 0.64 | %(c) | 1.02 | % | 45 | % | |||||||||||||
| 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 | ) | 337,981 | 0.80 | 0.96 | 1.10 | 42 | |||||||||||||||||||
| 35.77 | (18.23 | ) | 558,129 | 0.80 | 0.77 | 1.07 | 35 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 36.72 | $ | 0.07 | (e) | $ | 1.09 | $ | 1.16 | $ | (0.10 | ) | $ | (1.76 | ) | $ | (1.86 | ) | ||||||||||
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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 31.46 | (0.09 | )(e) | 0.90 | 0.81 | — | (1.76 | ) | (1.76 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 31.41 | (0.08 | )(e) | 0.89 | 0.81 | — | (1.76 | ) | (1.76 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 36.41 | (0.01 | )(e) | 1.07 | 1.06 | (0.04 | ) | (1.76 | ) | (1.80 | ) | |||||||||||||||||
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(f) through June 30, 2009 | 20.98 | (0.06 | )(e) | 2.63 | 2.57 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 40.04 | 0.28 | (e) | 1.19 | 1.47 | (0.28 | ) | (1.76 | ) | (2.04 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 39.98 | 0.19 | (e) | 1.20 | 1.39 | (0.20 | ) | (1.76 | ) | (1.96 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 36.02 | 3.79 | % | $ | 618,705 | 1.30 | % | 0.21 | % | 1.41 | % | 27 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 30.51 | 3.26 | 10,036 | 1.80 | (0.30 | ) | 1.91 | 27 | |||||||||||||||||||
| 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 | ||||||||||||||||||
| 30.46 | 3.26 | 34,994 | 1.80 | (0.29 | ) | 1.91 | 27 | |||||||||||||||||||
| 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 | ||||||||||||||||||
| 35.67 | 3.51 | 5,587 | 1.55 | (0.03 | ) | 1.66 | 27 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 39.47 | 4.31 | 696,200 | 0.79 | 0.73 | 0.96 | 27 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 39.41 | 4.09 | 1,076,509 | 1.00 | 0.51 | 1.16 | 27 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 12.17 | $ | (0.05 | )(e)(f) | $ | (0.77 | ) | $ | (0.82 | ) | $ | (0.22 | ) | ||||||
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 | ) | (2.14 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 11.98 | (0.06 | )(e) | (1.28 | ) | (1.34 | ) | (1.70 | ) | |||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2012 | 10.04 | (0.09 | )(e)(f) | (0.63 | ) | (0.72 | ) | (0.22 | ) | |||||||||||
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 | ) | (1.85 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 10.41 | (0.11 | )(e) | (1.08 | ) | (1.19 | ) | (1.70 | ) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2012 | 10.48 | (0.09 | )(e)(f) | (0.66 | ) | (0.75 | ) | (0.22 | ) | |||||||||||
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 | ) | (1.92 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 10.78 | (0.11 | )(e) | (1.13 | ) | (1.24 | ) | (1.70 | ) | |||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2012 | 12.09 | (0.08 | )(e)(f) | (0.76 | ) | (0.84 | ) | (0.22 | ) | |||||||||||
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 (g) through June 30, 2009 | 6.28 | (0.03 | )(e) | 0.54 | 0.51 | — | ||||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2012 | 12.88 | — | (e)(f)(h) | (0.81 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
November 30, 2010 (g) through June 30, 2011 | 11.02 | (0.02 | )(e) | 1.88 | 1.86 | — | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 12.87 | (0.01 | )(e)(f) | (0.80 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
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 | ) | (2.23 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 12.41 | (0.02 | )(e) | (1.33 | ) | (1.35 | ) | (1.70 | ) | |||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 12.74 | (0.02 | )(e)(f) | (0.80 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
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 | ) | (2.22 | ) | — | ||||||||||||
Year Ended June 30, 2008 | 12.37 | (0.04 | )(e) | (1.33 | ) | (1.37 | ) | (1.70 | ) | |||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $(0.07), $(0.11), $(0.11), $(0.10), $(0.02), $(0.03) and $(0.05) for Class A, Class B, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been (0.68)%, (1.18)%, (1.18)%, (0.92)%, (0.19)%, (0.28)% and (0.43)% for Class A, Class B, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 11.13 | (6.59 | )% | $ | 219,946 | 1.25 | % | (0.46 | )%(f) | 1.44 | % | 58 | % | |||||||||||||
| 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 | ) | 107,591 | 1.25 | (0.55 | ) | 1.58 | 83 | ||||||||||||||||||
| 8.94 | (12.93 | ) | 120,723 | 1.25 | (0.56 | ) | 1.39 | 71 | ||||||||||||||||||
| 9.10 | (7.00 | ) | 3,690 | 1.75 | (0.97 | )(f) | 1.94 | 58 | ||||||||||||||||||
| 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 | ) | 7,967 | 1.85 | (1.15 | ) | 2.06 | 83 | ||||||||||||||||||
| 7.52 | (13.48 | ) | 13,420 | 1.85 | (1.18 | ) | 1.89 | 71 | ||||||||||||||||||
| 9.51 | (6.99 | ) | 23,689 | 1.75 | (0.97 | )(f) | 1.94 | 58 | ||||||||||||||||||
| 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 | ) | 14,396 | 1.85 | (1.15 | ) | 2.07 | 83 | ||||||||||||||||||
| 7.84 | (13.49 | ) | 18,615 | 1.85 | (1.17 | ) | 1.89 | 71 | ||||||||||||||||||
| 11.03 | (6.80 | ) | 22,514 | 1.50 | (0.71 | )(f) | 1.69 | 58 | ||||||||||||||||||
| 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 | 54 | 1.50 | (0.72 | ) | 1.93 | 83 | |||||||||||||||||||
| 11.85 | (6.14 | ) | 200,960 | 0.75 | 0.02 | (f) | 0.94 | 58 | ||||||||||||||||||
| 12.88 | 16.88 | 83,457 | 0.74 | (0.24 | ) | 0.88 | 79 | |||||||||||||||||||
| 11.84 | (6.15 | ) | 226,834 | 0.85 | (0.06 | )(f) | 1.04 | 58 | ||||||||||||||||||
| 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 | ) | 102,695 | 0.85 | (0.15 | ) | 1.19 | 83 | ||||||||||||||||||
| 9.36 | (12.53 | ) | 91,439 | 0.85 | (0.15 | ) | 0.99 | 71 | ||||||||||||||||||
| 11.70 | (6.29 | ) | 123,887 | 1.00 | (0.21 | )(f) | 1.19 | 58 | ||||||||||||||||||
| 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 | ) | 87,612 | 1.00 | (0.31 | ) | 1.30 | 83 | ||||||||||||||||||
| 9.30 | (12.74 | ) | 201,462 | 1.00 | (0.34 | ) | 1.13 | 71 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 18.99 | $ | 0.14 | (e) | $ | (0.22 | ) | $ | (0.08 | ) | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | |||||||||
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 | ) | (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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 16.78 | 0.02 | (e) | (0.18 | ) | (0.16 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||
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)(f) | 2.72 | 2.72 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 15.72 | 0.09 | (e) | (4.45 | ) | (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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 16.64 | 0.03 | (e) | (0.19 | ) | (0.16 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||
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)(f) | 2.70 | 2.70 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 15.61 | 0.09 | (e) | (4.41 | ) | (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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 18.93 | 0.10 | (e) | (0.23 | ) | (0.13 | ) | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||
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 (g) 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, 2012 | 19.82 | 0.20 | (e) | (0.22 | ) | (0.02 | ) | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
Class R6 (h) | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.83 | 0.22 | (e) | (0.23 | ) | (0.01 | ) | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.82 | 0.19 | (e) | (0.23 | ) | (0.04 | ) | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of offering of class of shares. |
| (h) | 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, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 18.75 | (0.36 | )% | $ | 184,920 | 1.25 | % | 0.79 | % | 1.41 | % | 38 | % | |||||||||||||
| 18.99 | 31.56 | 202,094 | 1.25 | 0.68 | 1.43 | 43 | ||||||||||||||||||||
| 14.53 | 27.50 | 150,297 | 1.25 | 0.64 | 1.48 | 50 | ||||||||||||||||||||
| 11.46 | (26.91 | ) | 108,414 | 1.25 | 1.42 | 1.55 | 33 | |||||||||||||||||||
| 17.45 | (18.44 | ) | 155,745 | 1.25 | 0.82 | 1.41 | 35 | |||||||||||||||||||
| 16.55 | (0.95 | ) | 3,931 | 1.86 | 0.16 | 1.91 | 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 | ) | 10,614 | 1.86 | 0.79 | 2.04 | 33 | |||||||||||||||||||
| 15.72 | (18.93 | ) | 19,488 | 1.87 | 0.18 | 1.91 | 35 | |||||||||||||||||||
| 16.40 | (0.96 | ) | 28,834 | 1.86 | 0.18 | 1.91 | 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 | ) | 17,402 | 1.86 | 0.79 | 2.04 | 33 | |||||||||||||||||||
| 15.61 | (18.95 | ) | 30,533 | 1.87 | 0.18 | 1.91 | 35 | |||||||||||||||||||
| 18.68 | (0.64 | ) | 6,758 | 1.50 | 0.55 | 1.66 | 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 | |||||||||||||||||||
| 19.58 | (0.03 | ) | 15,668 | 0.91 | 1.09 | 0.95 | 38 | |||||||||||||||||||
| 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 | ) | 13,342 | 0.91 | 1.74 | 1.14 | 33 | |||||||||||||||||||
| 18.08 | (18.17 | ) | 10,077 | 0.91 | 1.17 | 0.96 | 35 | |||||||||||||||||||
| 19.59 | 0.02 | 180,853 | 0.86 | 1.21 | 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 | ) | 18,137 | 0.86 | 1.80 | 1.05 | 33 | |||||||||||||||||||
| 18.09 | (18.16 | ) | 28,433 | 0.86 | 1.21 | 0.91 | 35 | |||||||||||||||||||
| 19.58 | (0.11 | ) | 196,102 | 1.00 | 1.04 | 1.16 | 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 | ) | 201,486 | 1.00 | 1.64 | 1.30 | 33 | |||||||||||||||||||
| 18.09 | (18.24 | ) | 350,596 | 1.00 | 1.05 | 1.16 | 35 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 10.62 | $ | 0.02 | (e) | $ | (0.33 | )(f) | $ | (0.31 | ) | $ | — | $ | — | $ | — | |||||||||||
Year Ended June 30, 2011 | 7.79 | — | (e)(g) | 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 | ) | (2.12 | ) | (0.02 | ) | (0.06 | ) | (0.08 | ) | |||||||||||||||
November 1, 2007 (h) 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, 2012 | 10.50 | (0.02 | )(e) | (0.34 | )(f) | (0.36 | ) | — | — | — | ||||||||||||||||||
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 | ) | (2.14 | ) | — | (g) | (0.06 | ) | (0.06 | ) | |||||||||||||||
November 1, 2007 (h) through June 30, 2008 | 9.73 | — | (e)(g) | (1.14 | ) | (1.14 | ) | (0.08 | ) | (0.17 | ) | (0.25 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
November 1, 2011 (h) through June 30, 2012 | 9.02 | — | (e)(g) | 1.27 | (f) | 1.27 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
November 1, 2011 (h) through June 30, 2012 | 9.13 | 0.05 | (e) | 1.29 | (f) | 1.34 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.75 | 0.06 | (e) | (0.34 | )(f) | (0.28 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.76 | 0.05 | (e) | (0.33 | )(f) | (0.28 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | An affiliate of JPMorgan made a payment to 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 $(0.34), $(0.35), $1.28 and $(0.34) for Class A, Class C, Class R6 and Select Class Shares, respectively and the total return would have been (3.01)%, (3.52)%, 14.66% and (2.70)% for Class A, Class C, Class R6 and Select Class Shares, respectively. The impact was less than $0.01 to the net realized and unrealized gains (losses) on investments per share and less than 0.01% to total return for Class R2 and Institutional Class Shares. |
| (g) | Amount rounds to less than $0.01. |
| (h) | Commencement of offering of class of shares. |
| (i) | Includes interest expense of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.31 | (2.92 | )%(f) | $ | 8,411 | 1.26 | % | 0.17 | % | 1.59 | % | 74 | % | |||||||||||||
| 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 | ) | 240 | 1.26 | 0.75 | 1.70 | 52 | |||||||||||||||||||
| 8.37 | (11.51 | ) | 149 | 1.26 | 0.56 | 1.62 | 130 | |||||||||||||||||||
| 10.14 | (3.43 | )(f) | 1,247 | 1.76 | (0.26 | ) | 2.10 | 74 | ||||||||||||||||||
| 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 | ) | 94 | 1.76 | 0.27 | 2.20 | 52 | |||||||||||||||||||
| 8.34 | (11.82 | ) | 45 | 1.75 | 0.03 | 2.18 | 130 | |||||||||||||||||||
| 10.25 | 14.17 | (f) | 57 | 1.51 | 0.02 | 1.91 | 74 | |||||||||||||||||||
| 10.43 | 14.77 | (f) | 12,959 | 0.75 | 0.70 | 1.08 | 74 | |||||||||||||||||||
| 10.43 | (2.59 | )(f) | 9,350 | 0.83 | 0.62 | 1.19 | 74 | |||||||||||||||||||
| 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 | ) | 9,086 | 0.83 | 1.17 | 1.30 | 52 | |||||||||||||||||||
| 8.39 | (19.41 | ) | 15,035 | 0.84 | (i) | 0.78 | 1.18 | 130 | ||||||||||||||||||
| 10.45 | (2.60 | )(f) | 37,935 | 1.01 | 0.49 | 1.35 | 74 | |||||||||||||||||||
| 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 | ) | 20,698 | 1.01 | 1.00 | 1.44 | 52 | |||||||||||||||||||
| 8.40 | (19.62 | ) | 34,092 | 1.02 | (i) | 0.59 | 1.33 | 130 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 71 | ||||||
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AS OF JUNE 30, 2012
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
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, Class R2, Class R6, 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.
Class R2 Shares and Class R6 Shares commenced operations on November 1, 2011 for the U.S. Small Company Fund.
The investment objectives of Dynamic Small Cap Growth Fund, Small Cap Core Fund and Small Cap Equity Fund are to seek capital growth over the long term.
The investment objective of Small Cap Growth Fund is to seek long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.
The investment objective of Small Cap Value Fund is to seek long-term capital growth primarily by investing in equity securities of small-capitalization companies.
The investment objective of U.S. Small Company Fund is to seek to provide high total return from a portfolio of small company stocks.
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 automatically convert to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees (the “Board”) or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or
| 72 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
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market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies, including J.P. Morgan Funds (the “Underlying Funds”), are valued at such investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) , a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc. (“JPMAM”), which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Office. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis, except for North American, Central American, South American and Caribbean equity securities held in their portfolios, by utilizing the quotations of an independent pricing service, unless a Fund’s Advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following table represents each valuation input 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 (a) | $ | 338,473 | $ | — | $ | — | $ | 338,473 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant unobservable inputs | Total | |||||||||||||
Small Cap Core Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 401,605 | $ | 1,477 | $ | — | $ | 403,082 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 433 | $ | — | $ | — | $ | 433 | ||||||||
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Small Cap Equity Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 2,417,362 | $ | — | $ | — | $ | 2,417,362 | ||||||||
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Small Cap Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 821,447 | $ | — | $ | — | $ | 821,447 | ||||||||
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Small Cap Value Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 615,409 | $ | 2,223 | $ | — | $ | 617,632 | ||||||||
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Futures Contracts | $ | 580 | $ | — | $ | — | $ | 580 | ||||||||
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U.S. Small Company Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 70,273 | $ | 225 | $ | — | $ | 70,498 | ||||||||
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Futures Contracts | $ | 68 | $ | — | $ | — | $ | 68 | ||||||||
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| (a) | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | Portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of a U.S. Treasury Note that is held for futures collateral. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
B. 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 also 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 the futures contract. 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 contracts activity during the year ended June 30, 2012 (amounts in thousands):
| Small Cap Core Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 16,995 | $ | 16,020 | $ | 1,601 | ||||||
Ending Notional Balance Long | 9,783 | 14,715 | 1,511 | |||||||||
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C. Securities Lending — Each Fund may lend securities to brokers, approved by the Advisor in order to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”), serves as lending agent for the Funds pursuant to a Securities Lending Agreement (the “GSAL Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 11 | ||
Small Cap Core Fund | 4 | |||
Small Cap Equity Fund | 5 | |||
Small Cap Growth Fund | 21 | |||
Small Cap Value Fund | 5 | |||
U.S. Small Company Fund | 2 |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. dollar-denominated securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2012, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amount in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrowers | Total Value of Collateral Investments | ||||||||||
Dynamic Small Cap Growth Fund | $ | 2,998 | $ | 2,971 | * | $ | 2,971 | |||||
Small Cap Core Fund | 683 | 688 | * | 688 | ||||||||
Small Cap Growth Fund | 1,001 | 1,001 | * | 1,001 | ||||||||
Small Cap Value Fund | 286 | 291 | * | 291 | ||||||||
U.S. Small Company Fund | 535 | 546 | 546 | |||||||||
| * | Subsequent to June 30, 2012, additional collateral was received from borrowers. |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GSAL has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 8 | ||
Small Cap Core Fund | 4 | |||
Small Cap Equity Fund | 6 | |||
Small Cap Growth Fund | 19 | |||
Small Cap Value Fund | 4 | |||
U.S. Small Company Fund | 1 |
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.
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
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
interest accrued using the effective interest method which adjusts 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 shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid at least annually, except for Small Cap Value Fund, which are generally 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 Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) On | ||||||||||
Dynamic Small Cap Growth Fund | $ | (1,180 | ) | $ | 1,097 | $ | 83 | |||||
Small Cap Core Fund | (4 | ) | 36 | (32 | ) | |||||||
Small Cap Equity Fund | 8,969 | 1 | (8,970 | ) | ||||||||
Small Cap Growth Fund | (942 | ) | 943 | (1 | ) | |||||||
Small Cap Value Fund | (84 | ) | 82 | 2 | ||||||||
U.S. Small Company Fund | (1 | ) | 2 | (1 | ) | |||||||
The reclassifications for the Funds relate primarily to net operating loss (Dynamic Small Cap Growth Fund and Small Cap Growth Fund), passive foreign investment company (PFIC) gains and losses (Small Cap Core Fund and U.S. Small Company Fund), redemptions in-kind reversals (Small Cap Equity Fund), taxable overdistributions (Small Cap Value Fund) and prior year undistributed income and gain (loss) true-up (U.S. Small Company Fund).
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
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 Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
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B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co. serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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 | |||||||||||||
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 | 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, 2012, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Dynamic Small Cap Growth Fund | $ | 2 | $ | — | (a) | |||
Small Cap Equity Fund | 6 | 4 | ||||||
Small Cap Growth Fund | 11 | 2 | ||||||
Small Cap Value Fund | 70 | 1 | ||||||
U.S. Small Company Fund | 3 | — | (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 | 0.25 | n/a | 0.10 | 0.25 | |||||||||||||||||||||
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses relating to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||||||||||||||||||
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 | 1.75 | 1.75 | 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 | 1.51 | n/a | 0.76 | 0.83 | 1.01 | ||||||||||||||||||||||||
Prior to November 1, 2011, the contractual expense limitations for the Small Cap Growth Fund was 1.87% for Class B and Class C Shares
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2012. The contractual expense limitation percentages in the table above are in place until at least October 31, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | — | $ | 217 | $ | 217 | ||||||||
Small Cap Core Fund | — | 17 | 896 | 913 | ||||||||||||
Small Cap Equity Fund | 1,663 | 867 | 827 | 3,357 | ||||||||||||
Small Cap Growth Fund | 754 | 646 | — | 1,400 | ||||||||||||
Small Cap Value Fund | 20 | 233 | 419 | 672 | ||||||||||||
U.S. Small Company Fund | 189 | 24 | 7 | 220 | ||||||||||||
| Voluntary Waivers | ||||||||||||
Investment Advisory | Administration | Total | ||||||||||
Small Cap Growth Fund | $ | 3 | $ | 9 | $ | 12 | ||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in the money market funds for the year ended June 30, 2012 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 | $ | 13 | ||
Small Cap Core Fund | 3 | |||
Small Cap Equity Fund | 151 | |||
Small Cap Growth Fund | 25 | |||
Small Cap Value Fund | 29 | |||
U.S. Small Company Fund | 4 |
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 Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
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During the year ended June 30, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the year ended June 30, 2012, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
An affiliate of JPMorgan made a payment to the U.S. Small Company Fund of approximately $40,000 relating to an operational error.
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding | Sales (excluding | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 213,925 | $ | 228,247 | $ | — | $ | — | ||||||||
Small Cap Core Fund | 177,814 | 201,517 | 1,305 | 685 | ||||||||||||
Small Cap Equity Fund | 607,523 | 743,022 | — | — | ||||||||||||
Small Cap Growth Fund | 557,273 | 431,882 | — | — | ||||||||||||
Small Cap Value Fund | 255,660 | 204,987 | 1,731 | 830 | ||||||||||||
U.S. Small Company Fund | 52,434 | 46,845 | 216 | 125 | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 300,969 | $ | 62,427 | $ | 24,923 | $ | 37,504 | ||||||||
Small Cap Core Fund | 322,829 | 101,594 | 21,341 | 80,253 | ||||||||||||
Small Cap Equity Fund | 1,863,544 | 646,191 | 92,373 | 553,818 | ||||||||||||
Small Cap Growth Fund | 736,779 | 143,176 | 58,508 | 84,668 | ||||||||||||
Small Cap Value Fund | 548,695 | 113,052 | 44,115 | 68,937 | ||||||||||||
U.S. Small Company Fund | 62,650 | 11,792 | 3,944 | 7,848 | ||||||||||||
For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to market of passive foreign investment companies (PFICs) (Small Cap Core Fund) and non-taxable special dividends (Small Cap Equity Fund).
The tax character of distributions paid during the fiscal year ended June 30, 2012, was as follows (amounts in thousands):
| Total Distributions Paid From: | Total Distributions Paid | |||||||||||
| Ordinary Income | Net Long Term Capital Gains | |||||||||||
Small Cap Core Fund | $ | 2,078 | $ | — | $ | 2,078 | ||||||
Small Cap Equity Fund | 67,876 | 53,005 | 120,881 | |||||||||
Small Cap Growth Fund | — | 14,558 | 14,558 | |||||||||
Small Cap Value Fund | 5,800 | — | 5,800 | |||||||||
U.S. Small Company Fund | 167 | — | 167 | |||||||||
The tax character of distributions paid during the fiscal year ended June 30, 2011, was as follows (amounts in thousands):
| Total Distributions Paid From: | Total Distributions Paid | |||||||||||
Ordinary Income | Net Long Capital | |||||||||||
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 | |||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Long-Term Capital Gain (Tax Basis | Unrealized Appreciation (Depreciation) | ||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | 4,515 | $ | 37,504 | ||||||
Small Cap Core Fund | 2,481 | (48,048 | ) | 80,253 | ||||||||
Small Cap Equity Fund | 25,605 | 81,943 | 553,818 | |||||||||
Small Cap Growth Fund | — | 48,834 | 84,668 | |||||||||
Small Cap Value Fund | — | (48,482 | ) | 68,937 | ||||||||
U.S. Small Company Fund | 306 | (6,462 | ) | 7,848 | ||||||||
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), post-October loss deferrals (Dynamic Small Cap Growth Fund, Small Cap Growth Fund, Small Cap Value Fund and U.S. Small Company Fund), was sale loss deferrals, late-year loss deferrals (Dynamic Small Cap Growth Fund and Small Cap Growth 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), non-taxable special dividends (Small Cap Equity Fund) and distributions payable (Small Cap Value Fund).
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the following Fund had post-enactment net capital loss carryforwards (amounts in thousands):
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
U.S. Small Company Fund | $ | 924 | $ | — | ||||
As of June 30, 2012, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2018 | Total | |||||||
Small Cap Core Fund | $ | 48,048 | $ | 48,048 | ||||
Small Cap Value Fund | 48,482 | 48,482 | ||||||
U.S. Small Company Fund | 5,538 | 5,538 | ||||||
During the year ended June 30, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 17,003 | ||
Small Cap Core Fund | 11,371 | |||
Small Cap Value Fund | 10,230 |
Net capital losses and net specified gains (losses) incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended June 30, 2012, the Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
| Post-October Capital Loss Character | ||||||||||||
| Late Year Ordinary Loss Deferral | Short-Term | Long-Term | ||||||||||
Dynamic Small Cap Growth Fund | $ | 915 | $ | 5,584 | $ | — | ||||||
Small Cap Growth Fund | 940 | 15,626 | — | |||||||||
Small Cap Value Fund | — | 2,612 | — | |||||||||
U.S. Small Company Fund | — | 289 | — | |||||||||
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 borrow-
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ing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for U.S. Small Company 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 | |||||||
Small Cap Growth Fund | n/a | 13.4 | % | |||||
Small Cap Value Fund | 14.0 | % | 16.6 | |||||
Additionally, Dynamic Small Cap Growth Fund and Small Cap Core Fund each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of 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 and JPMorgan U.S. Small Company Fund (each a separate fund of JPMorgan Trust I) and 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, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the 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, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 169 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 169 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 169 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 169 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). | |||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 169 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 169 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (169 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the 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. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
| Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 85 | ||||||
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 fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012, and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,052.00 | $ | 7.45 | 1.46 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.32 | 1.46 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,049.60 | 9.99 | 1.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.12 | 9.82 | 1.96 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,049.70 | 9.99 | 1.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.12 | 9.82 | 1.96 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,054.20 | 5.62 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.39 | 5.52 | 1.10 | ||||||||||||
Small Cap Core Fund | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,084.30 | 4.15 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.89 | 4.02 | 0.80 | ||||||||||||
Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,099.20 | 6.73 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.45 | 6.47 | 1.29 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,096.30 | 9.33 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.96 | 8.97 | 1.79 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,096.50 | 9.33 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.96 | 8.97 | 1.79 | ||||||||||||
| 86 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Small Cap Equity Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,097.50 | $ | 8.03 | 1.54 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.21 | 7.72 | 1.54 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,101.90 | 4.13 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,100.50 | 5.17 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,055.00 | 6.39 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,053.20 | 8.93 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,053.20 | 8.93 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,054.50 | 7.66 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,057.10 | 3.84 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,057.10 | 4.35 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,056.90 | 5.11 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,090.70 | 6.45 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,086.90 | 9.60 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.66 | 9.27 | 1.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,086.70 | 9.60 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.66 | 9.27 | 1.85 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,088.70 | 7.74 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,092.00 | 4.68 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.39 | 4.52 | 0.90 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,092.20 | 4.42 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,091.50 | 5.15 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
| JUNE 30, 2012 | J.P. MORGAN SMALL CAP FUNDS | 87 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,095.60 | $ | 6.51 | 1.25 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,092.70 | 9.11 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,093.90 | 7.81 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,097.90 | 3.91 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.13 | 3.77 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,097.90 | 4.28 | 0.82 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.79 | 4.12 | 0.82 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,097.70 | 5.22 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| 88 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2012 | ||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
Dividends Received Deduction | ||||
Small Cap Core Fund | 100.00 | % | ||
Small Cap Equity Fund | 99.07 | |||
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, 2012 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Small Cap Equity Fund | $ | 53,005 | ||
Small Cap Growth Fund | 14,558 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Small Cap Core Fund | $ | 2,078 | ||
Small Cap Equity Fund | 23,683 | |||
Small Cap Value Fund | 5,800 | |||
U.S. Small Company Fund | 167 | |||
| JUNE 30, 2012 | 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. | |
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., 2012. All rights reserved. June 2012. | AN-SC-612 |
Table of Contents
Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2012
JPMorgan Growth Advantage Fund
JPMorgan Mid Cap Core Fund
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
JPMorgan Mid Cap Value Fund
JPMorgan Multi-Cap Market Neutral Fund
JPMorgan Value Advantage Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
| 3 | ||||
| 6 | ||||
| 8 | ||||
| 10 | ||||
| 13 | ||||
| 16 | ||||
| 19 | ||||
| Schedules of Portfolio Investments | 21 | |||
| Financial Statements | 52 | |||
| Financial Highlights | 70 | |||
| Notes to Financial Statements | 84 | |||
| Report of Independent Registered Public Accounting Firm | 96 | |||
| Trustees | 97 | |||
| Officers | 99 | |||
| Schedule of Shareholder Expenses | 100 | |||
| Tax Letter | 103 | |||
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee for future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
 |
“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. stocks outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks. U.S. large-cap growth stocks outperformed U.S. large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 1 | ||||||
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J.P. Morgan Mid Cap/Multi-Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. In addition, the U.S. Federal Reserve maintained its commitment to accommodative policies, which also helped support stock prices during the reporting period. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk caused stock prices to decline during the third quarter of 2011 and the second quarter of 2012. Nonetheless, U.S. stocks gained during the reporting period, as the S&P 500 Index returned 5.45% for the twelve months ended June 30, 2012. U.S. mid-cap stocks underperformed the broader U.S. stock market, as the Russell Midcap Index returned -1.65%. U.S. mid-cap value stocks outperformed U.S. mid-cap growth stocks during the reporting period.
| 2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 2.26% | |||
| Russell 3000 Growth Index | 5.05% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 1,355,557 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) underperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the technology and consumer discretionary sectors was the main detractor from relative performance. The Fund’s stock selection in the materials and processing and producer durables sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s overweight positions versus the Benchmark in Polycom, Inc. and Health Net, Inc. Shares of Polycom, Inc. decreased after the communication equipment provider’s estimates for fourth-quarter 2011 revenue growth disappointed investors. Health Net, Inc., an insurer, reported disappointing first-quarter earnings, which caused the stock to decline during the reporting period. The Fund’s underweight position versus the Benchmark in Exxon Mobil Corp. also detracted from relative performance as the energy stock performed strongly relative to its industry peers during the reporting period.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., Sherwin-Williams Co. and W.W. Grainger, Inc. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of W.W. Grainger, Inc., an industrial supply manufacturer, benefited as the company continued to gain market share. In addition, the company raised the low end of its 2011 fiscal year guidance and issued a positive outlook for 2012.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies across market capitalizations in an effort to construct portfolios
of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the financial services sector, while the Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 8.8 | % | |||||
| 2. | International Business Machines Corp. | 2.3 | ||||||
| 3. | Biogen Idec, Inc. | 2.1 | ||||||
| 4. | MasterCard, Inc., Class A | 2.1 | ||||||
| 5. | QUALCOMM, Inc. | 2.1 | ||||||
| 6. | Sherwin-Williams Co. (The) | 2.0 | ||||||
| 7. | Amazon.com, Inc. | 1.8 | ||||||
| 8. | American Express Co. | 1.6 | ||||||
| 9. | UnitedHealth Group, Inc. | 1.6 | ||||||
| 10. | Carlisle Cos., Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 32.9 | % | ||
| Consumer Discretionary | 21.9 | |||
| Industrials | 13.5 | |||
| Health Care | 10.4 | |||
| Financials | 8.3 | |||
| Energy | 5.2 | |||
| Materials | 3.2 | |||
| Consumer Staples | 0.5 | |||
| Short-Term Investment | 4.1 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 | ||||||
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JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 10/29/99 | |||||||||||||||
Without Sales Charge | 2.26 | % | 2.99 | % | 8.73 | % | ||||||||||
With Sales Charge* | (3.06 | ) | 1.89 | 8.14 | ||||||||||||
CLASS B SHARES | 10/29/99 | |||||||||||||||
Without CDSC | 1.74 | 2.43 | 8.15 | |||||||||||||
With CDSC** | (3.26 | ) | 2.06 | 8.15 | ||||||||||||
CLASS C SHARES | 5/1/06 | |||||||||||||||
Without CDSC | 1.86 | 2.45 | 8.06 | |||||||||||||
With CDSC*** | 0.86 | 2.45 | 8.06 | |||||||||||||
CLASS R5 SHARES | 1/8/09 | 2.65 | 3.35 | 8.96 | ||||||||||||
SELECT CLASS SHARES | 5/1/06 | 2.56 | 3.22 | 8.89 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
As of August 17, 2005, the Fund changed its name, investment objective, certain investment policies and benchmark. Prior to that time, the Fund operated as JPMorgan Mid Cap Growth Fund. Although past performance is not necessarily an indication of how the Fund will perform in the future, in view of these changes, the Fund’s performance record prior to August 17, 2005 might be less pertinent for investors considering whether to purchase shares of the Fund. Returns for the Class C Shares prior to its inception date are based on the performance of Class B Shares, whose expenses are substantially similar to those of Class C Shares. Returns for the Select Class Shares prior to its inception date are based on the performance of Class A Shares. During this period, the actual returns of Select Class Shares would have been different because Select Class Shares have different expenses than Class A Shares. Returns for Class R5 Shares prior to its inception date are based on the performance of Select Class Shares from May 1, 2006 to January 8, 2009 and Class A Shares prior to May 1, 2006. The actual returns of Class R5 Shares would have been different than
those shown because Class R5 Shares have different expenses than Select Class and Class A Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 3000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 Index companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
| 4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year annual average total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 0.06% | |||
| Russell Midcap Index | -1.65% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 349,522 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Core Fund (the “Fund”) seeks long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell Midcap Index for the twelve months ended June 30, 2012. The Fund’s stock selection in the consumer discretionary and utilities sectors was the main contributor to relative performance. The Fund’s stock selection in the energy and technology sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in TransDigm Group, Inc., Papa John’s International, Inc., and ProAssurance Corp. Shares of TransDigm Group, Inc., an aerospace and defense company, benefited from the company’s strong quarterly results during the reporting period. Shares of pizza restaurant operator Papa John’s International, Inc. gained after the company increased its expectations for 2011 earnings. Shares of insurer ProAssurance Corp. benefited from the company’s announced installment of a quarterly dividend and its strong earnings.
Individual detractors from relative performance included the Fund’s positions in Patterson-UTI Energy, Inc., NetApp, Inc. and Solera Holdings, Inc. Shares of Patterson-UTI Energy, Inc., an oil well services and equipment company, declined after its estimates for its third-quarter revenue were lower than many investors had expected. Shares of NetApp, Inc., a provider of storage and data management solutions, declined after the company gave a disappointing outlook for its quarterly earnings. Shares of Solera Holdings, Inc. declined after the software and programming company lowered its expectations for its fiscal 2012 revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary
fundamental analysis. The Fund’s portfolio managers invested in companies that, in their view, had leading competitive advantages, predictable and durable business models, sustainable free cash flow generation and management teams committed to increasing intrinsic value.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Jarden Corp. | 3.6 | % | |||||
| 2. | Devon Energy Corp. | 3.1 | ||||||
| 3. | Silgan Holdings, Inc. | 3.0 | ||||||
| 4. | Waste Connections, Inc. | 2.8 | ||||||
| 5. | UnitedHealth Group, Inc. | 2.8 | ||||||
| 6. | Chubb Corp. (The) | 2.5 | ||||||
| 7. | Associated Banc-Corp. | 2.2 | ||||||
| 8. | Allison Transmission Holdings, Inc. | 2.2 | ||||||
| 9. | Coventry Health Care, Inc. | 2.0 | ||||||
| 10. | Reliance Steel & Aluminum Co. | 2.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 20.8 | % | ||
| Consumer Discretionary | 18.9 | |||
| Industrials | 15.4 | |||
| Information Technology | 10.6 | |||
| Materials | 8.9 | |||
| Health Care | 8.1 | |||
| Energy | 7.7 | |||
| Utilities | 7.2 | |||
| Short-Term Investment | 2.4 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| 6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||
CLASS A SHARES | 11/30/10 | |||||||||||
Without Sales Charge | (0.19 | )% | 8.93 | % | ||||||||
With Sales Charge* | (5.41 | ) | 5.29 | |||||||||
CLASS C SHARES | 11/30/10 | |||||||||||
Without CDSC | (0.65 | ) | 8.39 | |||||||||
With CDSC** | (1.65 | ) | 8.39 | |||||||||
CLASS R2 SHARES | 11/30/10 | (0.48 | ) | 8.63 | ||||||||
CLASS R5 SHARES | 11/30/10 | 0.28 | 9.44 | |||||||||
CLASS R6 SHARES | 1/31/11 | 0.33 | 9.47 | |||||||||
SELECT CLASS SHARES | 11/30/10 | 0.06 | 9.19 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (11/30/10 To 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-data, month-end performance information please call 1-800-480-4111.
The fund commenced operations on November 30, 2010.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Core Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from November 30, 2010 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund,
such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -0.42% | |||
| Russell Midcap Index | -1.65% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 821,334 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell Midcap Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the producer durables and materials and processing sectors was the main contributor to relative performance. The Fund’s stock selection in the technology and consumer staples sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Sherwin-Williams Co., TJX Cos., Inc. and Alliance Data Systems Corp. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of TJX Cos., Inc. increased after the retail company raised its expectations for its 2012 earnings. Shares of Alliance Data Systems Corp., a consumer financial services company, increased due to the company’s strong earnings growth and increased expectations for future revenue.
Individual detractors from relative performance included the Fund’s positions in Newfield Exploration Co., Polycom, Inc. and Health Net, Inc. Shares of Newfield Exploration Co. declined after the oil and gas operations company lowered its expectations for its fiscal 2011 natural gas production. Shares of Polycom, Inc. decreased after the communication equipment provider’s estimates for fourth-quarter 2011 revenue growth disappointed investors. Health Net, Inc., an insurer, reported disappointing first-quarter earnings, which caused the stock to decline during the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to
identify dominant franchises with predictable business models deemed capable of achieving sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Sherwin-Williams Co. (The) | 1.9 | % | |||||
| 2. | Carlisle Cos., Inc. | 1.4 | ||||||
| 3. | T. Rowe Price Group, Inc. | 1.4 | ||||||
| 4. | Marriott International, Inc., Class A | 1.4 | ||||||
| 5. | Alliance Data Systems Corp. | 1.3 | ||||||
| 6. | Bed Bath & Beyond, Inc. | 1.3 | ||||||
| 7. | Humana, Inc. | 1.2 | ||||||
| 8. | Cooper Industries plc | 1.0 | ||||||
| 9. | Concho Resources, Inc. | 1.0 | ||||||
| 10. | Harley-Davidson, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Consumer Discretionary | 20.0 | % | ||
| Financials | 16.8 | |||
| Information Technology | 14.6 | |||
| Industrials | 13.8 | |||
| Health Care | 10.2 | |||
| Materials | 6.2 | |||
| Utilities | 5.5 | |||
| Energy | 5.4 | |||
| Consumer Staples | 3.7 | |||
| Telecommunication Services | 0.2 | |||
| Short-Term Investment | 3.6 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| 8 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 11/2/09 | |||||||||||||||
Without Sales Charge | (0.76 | )% | 1.70 | % | 8.07 | % | ||||||||||
With Sales Charge* | (5.96 | ) | 0.61 | 7.49 | ||||||||||||
CLASS C SHARES | 11/2/09 | |||||||||||||||
Without CDSC | (1.29 | ) | 1.43 | 7.92 | ||||||||||||
With CDSC** | (2.29 | ) | 1.43 | 7.92 | ||||||||||||
SELECT CLASS SHARES | 1/1/97 | (0.42 | ) | 1.89 | 8.17 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class A and Class C Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index and the Lipper Multi-Cap Core Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as
investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Multi-Cap Core Funds Index is an index based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -6.31% | |||
| Russell Midcap Growth Index | -2.99% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 1,426,816 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital and secondarily, current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the technology and consumer staples sectors was the main detractor from relative performance. The Fund’s stock selection in the producer durables and materials and processing sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Polycom, Inc., Health Net, Inc. and Newfield Exploration Co. Shares of Polycom, Inc. decreased after the communication equipment provider’s estimates for fourth-quarter 2011 revenue growth disappointed investors. Health Net, Inc., an insurer, reported disappointing first-quarter earnings, which caused the stock to decline during the reporting period. Shares of Newfield Exploration Co. declined after the oil and gas operations company lowered its expectations for its fiscal 2011 natural gas production.
Individual contributors to relative performance included the Fund’s positions in Alliance Data Systems Corp., Sherwin-Williams Co. and Michael Kors Holdings Ltd. Shares of Alliance Data Systems Corp., a consumer financial services company, increased due to the company’s strong earnings growth and increased expectations for future revenue. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of Michael Kors Holdings Ltd. benefited after the retail company increased its expectations for revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest
in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
As a result of this bottom-up stock selection process, the Fund’s largest overweight versus the Benchmark was in the producer durables sector and the Fund’s largest underweight versus the Benchmark was in the consumer staples sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Alliance Data Systems Corp. | 2.6 | % | |||||
| 2. | Sherwin-Williams Co. (The) | 2.5 | ||||||
| 3. | Concho Resources, Inc. | 1.9 | ||||||
| 4. | Harley-Davidson, Inc. | 1.9 | ||||||
| 5. | Avago Technologies Ltd., (Singapore) | 1.8 | ||||||
| 6. | Pall Corp. | 1.8 | ||||||
| 7. | Perrigo Co. | 1.7 | ||||||
| 8. | Bed Bath & Beyond, Inc. | 1.7 | ||||||
| 9. | Carlisle Cos., Inc. | 1.7 | ||||||
| 10. | Dick’s Sporting Goods, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 22.7 | % | ||
| Consumer Discretionary | 19.9 | |||
| Industrials | 18.6 | |||
| Health Care | 15.2 | |||
| Financials | 7.8 | |||
| Energy | 5.8 | |||
| Materials | 4.8 | |||
| Consumer Staples | 1.1 | |||
| Short-Term Investment | 4.1 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| 10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | (6.61 | )% | 1.23 | % | 6.41 | % | ||||||||||
With Sales Charge* | (11.50 | ) | 0.14 | 5.84 | ||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | (7.08 | ) | 0.66 | 5.85 | ||||||||||||
With CDSC** | (12.08 | ) | 0.27 | 5.85 | ||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | (7.06 | ) | 0.66 | 5.75 | ||||||||||||
With CDSC*** | (8.06 | ) | 0.66 | 5.75 | ||||||||||||
CLASS R2 SHARES | 6/19/09 | (6.72 | ) | 1.07 | 6.23 | |||||||||||
CLASS R5 SHARES | 11/1/11 | (6.18 | ) | 1.55 | 6.71 | |||||||||||
CLASS R6 SHARES | 11/1/11 | (6.14 | ) | 1.56 | 6.72 | |||||||||||
SELECT CLASS SHARES | 3/2/89 | (6.31 | ) | 1.52 | 6.70 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Select Class Shares. Prior performance for Class R2 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index and the Lipper Mid-Cap Growth Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect
the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index is an index based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 11 | ||||||
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JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 5.43% | |||
| Russell Midcap Value Index | -0.37% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 7,809,547 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s relative outperformance versus the Benchmark was primarily driven by positive stock selection in the consumer discretionary sector. The Fund’s underweight versus the Benchmark in the consumer staples sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Sherwin-Williams Co., TJX Cos., Inc. and Expedia, Inc. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of TJX Cos., Inc. increased after the retail company raised its expectations for its 2012 earnings. Shares of Expedia, Inc., an online travel company, benefited from the company’s better-than-expected first-quarter results.
Individual detractors from the Fund’s relative performance included the Fund’s positions in Cablevision Systems Corp., Newfield Exploration Co. and Tiffany & Co. Shares of Cablevision Systems Corp. declined after the television company announced disappointing quarterly results. Shares of Newfield Exploration Co. declined after the oil and gas operations company lowered its expectations for its fiscal 2011 natural gas production. Shares of Tiffany & Co. declined after the jewelry company lowered its expectations for 2012 net sales.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate sustainable levels of free cash flow. The Fund’s portfolio managers believed that these types of companies should perform relatively well in what they view as a slow but sustainable economic recovery in the United States. The Fund’s largest overweight continued to be in the
consumer discretionary sector. The Fund’s portfolio managers sought to own retailers with strong brands and business models that produce recurring revenue, believing that these factors, coupled with lower levels of capital spending, should contribute to their sustainable generation of free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Loews Corp. | 1.8 | % | |||||
| 2. | Republic Services, Inc. | 1.7 | ||||||
| 3. | Marsh & McLennan Cos., Inc. | 1.6 | ||||||
| 4. | Ball Corp. | 1.6 | ||||||
| 5. | Energen Corp. | 1.5 | ||||||
| 6. | Ameriprise Financial, Inc. | 1.5 | ||||||
| 7. | Marriott International, Inc., Class A | 1.4 | ||||||
| 8. | Northeast Utilities | 1.4 | ||||||
| 9. | Sempra Energy | 1.3 | ||||||
| 10. | Kohl’s Corp. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 25.5 | % | ||
| Consumer Discretionary | 20.0 | |||
| Utilities | 11.1 | |||
| Industrials | 8.8 | |||
| Materials | 7.6 | |||
| Information Technology | 6.3 | |||
| Consumer Staples | 6.3 | |||
| Energy | 5.1 | |||
| Health Care | 5.0 | |||
| Telecommunication Services | 0.4 | |||
| Short-Term Investment | 3.9 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 4/30/01 | |||||||||||||||
Without Sales Charge | 4.92 | % | 2.01 | % | 8.80 | % | ||||||||||
With Sales Charge* | (0.58 | ) | 0.91 | 8.21 | ||||||||||||
CLASS B SHARES | 4/30/01 | |||||||||||||||
Without CDSC | 4.40 | 1.49 | 8.31 | |||||||||||||
With CDSC** | (0.60 | ) | 1.11 | 8.31 | ||||||||||||
CLASS C SHARES | 4/30/01 | |||||||||||||||
Without CDSC | 4.38 | 1.49 | 8.20 | |||||||||||||
With CDSC*** | 3.38 | 1.49 | 8.20 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 4.65 | 1.82 | 8.70 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 11/13/97 | 5.43 | 2.52 | 9.34 | ||||||||||||
SELECT CLASS SHARES | 10/31/01 | 5.20 | 2.27 | 9.08 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect
reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Value Funds Index are indexes based on total returns of certain groups of mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
| 14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -0.91% | |||
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 513,640 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Multi-Cap Market Neutral Fund (the “Fund”) seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index for the twelve months ended June 30, 2012.
The Fund’s portfolio managers employed a quantitative bottom-up approach to their stock selection process, focusing on both valuation and fundamentals. The valuation stock selection model seeks to determine how a stock is priced relative to what the Fund’s portfolio managers believe is its intrinsic value by considering valuation factors such as a company’s cash flow and price-to-book values. The fundamentals stock selection model attempts to identify how healthy a company’s short-term operating trends are, using metrics such as stock price momentum and earnings momentum.
During the reporting period, the Fund’s stock selection process produced a negative return for the Fund. As a result of the Fund’s quantitative bottom-up stock selection process, the Fund experienced negative returns in the health care and consumer sectors and positive returns in the financial, technology, industrial sectors.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers ranked stocks within a universe of approximately 1,300 large-cap, mid-cap and small-cap
stocks. The Fund’s portfolio managers sought to go long on what they perceived to be inexpensive stocks with improving fundamentals and short on expensive stocks with deteriorating fundamentals. They continued to use strategies designed to produce returns that are intended to have no correlation with general domestic market performance.
| TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
| 1. | CMS Energy Corp. | 0.4 | % | |||||
| 2. | U.S. Airways Group, Inc. | 0.4 | ||||||
| 3. | Discover Financial Services | 0.4 | ||||||
| 4. | Questcor Pharmaceuticals, Inc. | 0.4 | ||||||
| 5. | Foot Locker, Inc. | 0.4 | ||||||
| 6. | Portland General Electric Co. | 0.4 | ||||||
| 7. | Expedia, Inc. | 0.4 | ||||||
| 8. | East West Bancorp, Inc. | 0.4 | ||||||
| 9. | Textron, Inc. | 0.4 | ||||||
| 10. | Brinker International, Inc. | 0.4 | ||||||
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
| 1. | Vivus, Inc. | 0.5 | % | |||||
| 2. | NetSuite, Inc. | 0.5 | ||||||
| 3. | IHS, Inc., Class A | 0.5 | ||||||
| 4. | McCormick & Co., Inc. (Non-Voting) | 0.5 | ||||||
| 5. | MDC Holdings, Inc. | 0.5 | ||||||
| 6. | United Natural Foods, Inc. | 0.5 | ||||||
| 7. | Shutterfly, Inc. | 0.5 | ||||||
| 8. | Ashland, Inc. | 0.5 | ||||||
| 9. | Synovus Financial Corp. | 0.5 | ||||||
| 10. | Ariad Pharmaceuticals, Inc. | 0.5 | ||||||
| 16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Consumer Discretionary | 16.5 | % | ||
| Information Technology | 15.6 | |||
| Industrials | 13.3 | |||
| Financials | 11.8 | |||
| Health Care | 8.8 | |||
| Energy | 6.6 | |||
| Materials | 5.2 | |||
| Utilities | 5.0 | |||
| Consumer Staples | 5.0 | |||
| Telecommunication Services | 0.5 | |||
| Short-Term Investment | 11.7 | |||
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 16.6 | % | ||
| Consumer Discretionary | 15.5 | |||
| Industrials | 14.9 | |||
| Financials | 13.9 | |||
| Health Care | 11.4 | |||
| Energy | 8.3 | |||
| Materials | 7.4 | |||
| Utilities | 6.2 | |||
| Consumer Staples | 5.1 | |||
| Telecommunication Services | 0.7 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total long investments as of June 30, 2012. The Fund’s composition is subject to change. |
| **** | Percentages indicated are based upon total short investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 5/23/03 | |||||||||||||||
Without Sales Charge | (1.22 | )% | (1.88 | )% | 1.21 | % | ||||||||||
With Sales Charge* | (6.38 | ) | (2.93 | ) | 0.62 | |||||||||||
CLASS B SHARES | 5/23/03 | |||||||||||||||
Without CDSC | (2.01 | ) | (2.64 | ) | 0.55 | |||||||||||
With CDSC** | (7.01 | ) | (3.08 | ) | 0.55 | |||||||||||
CLASS C SHARES | 5/23/03 | |||||||||||||||
Without CDSC | (1.90 | ) | (2.62 | ) | 0.46 | |||||||||||
With CDSC*** | (2.90 | ) | (2.62 | ) | 0.46 | |||||||||||
SELECT CLASS SHARES | 5/23/03 | (0.91 | ) | (1.64 | ) | 1.46 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (5/23/03 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on May 23, 2003.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Equity Market-Neutral Funds Average from May 23, 2003 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Equity Market-Neutral Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is
comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. The Lipper Equity Market-Neutral Funds Average is an average based on the total returns of all mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because the Class B Shares automatically convert to Class A Shares after eight years, the since inception average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 6.36% | |||
| Russell 3000 Value Index | 2.64% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 1,132,139 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s relative outperformance versus the Benchmark was driven primarily by the Fund’s stock selection in the financials sector. The Fund’s stock selection in the consumer staples sector detracted from the Fund’s relative performance.
Individual contributors to relative performance included the Fund’s positions in Sherwin-Williams Co., Wells Fargo & Co. and Expedia, Inc. Shares of paint retailer Sherwin-Williams Co. benefited from the company’s strong earnings and revenue growth during the reporting period. Shares of Wells Fargo & Co. benefited from investors’ optimism surrounding the bank’s competitive positioning and resulting market share gains. Shares of Expedia, Inc., an online travel company, benefited from the company’s better-than-expected first-quarter results.
Individual detractors from the Fund’s relative performance included the Fund’s positions in Walgreen Co., Devon Energy Corp. and Cablevision Systems Corp. Shares of Walgreen Co., a retail drugstore operator, declined due to concerns that the termination of its partnership with pharmacy benefits manager Express Scripts would negatively impact the company’s earnings. Shares of oil and gas operations company Devon Energy Corp. declined due to concerns that slowing economic growth would hurt the demand for oil and natural gas. Shares of Cablevision Systems Corp. declined after the broadcasting and cable TV company announced disappointing quarterly results.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate significant levels of free cash flow. As a result of bottom-up fundamental research, the Fund
was overweight versus the Benchmark in the consumer discretionary sector, where the Fund’s portfolio managers sought to own retailers with strong and recognizable brands, a loyal customer base, recurring revenue streams and lower capital expenditure levels. The Fund was also overweight versus the Benchmark in the financials sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.9 | % | |||||
| 2. | Exxon Mobil Corp. | 3.8 | ||||||
| 3. | AT&T, Inc. | 2.8 | ||||||
| 4. | Pfizer, Inc. | 2.7 | ||||||
| 5. | Loews Corp. | 2.6 | ||||||
| 6. | Devon Energy Corp. | 2.3 | ||||||
| 7. | Johnson & Johnson | 1.8 | ||||||
| 8. | Procter & Gamble Co. (The) | 1.8 | ||||||
| 9. | Capital One Financial Corp. | 1.6 | ||||||
| 10. | American International Group, Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 33.7 | % | ||
| Energy | 12.3 | |||
| Consumer Discretionary | 12.1 | |||
| Health Care | 11.2 | |||
| Utilities | 7.9 | |||
| Industrials | 4.6 | |||
| Materials | 4.6 | |||
| Telecommunication Services | 4.0 | |||
| Information Technology | 3.5 | |||
| Consumer Staples | 3.4 | |||
| Investment Company | 0.6 | |||
| Short-Term Investment | 2.1 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 19 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/28/05 | |||||||||||||||
Without Sales Charge | 5.83 | % | 2.02 | % | 6.26 | % | ||||||||||
With Sales Charge* | 0.26 | 0.93 | 5.48 | |||||||||||||
CLASS C SHARES | 2/28/05 | |||||||||||||||
Without CDSC | 5.32 | 1.51 | 5.73 | |||||||||||||
With CDSC** | 4.32 | 1.51 | 5.73 | |||||||||||||
INSTITUTIONAL CLASS SHARES | 2/28/05 | 6.36 | 2.54 | 6.72 | ||||||||||||
SELECT CLASS SHARES | 2/28/05 | 6.09 | 2.28 | 6.53 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (2/28/05 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 2005.
The graph illustrates comparative performance for $3,000,000 invested in Institutional Class Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from February 28, 2005 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 3000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These
expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Value Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.5% |
| ||||||
Consumer Discretionary — 21.8% |
| |||||||
Auto Components — 1.6% |
| |||||||
| 647 | Allison Transmission Holdings, Inc. | 11,365 | ||||||
| 165 | BorgWarner, Inc. (a) | 10,803 | ||||||
|
| |||||||
| 22,168 | ||||||||
|
| |||||||
Automobiles — 2.1% |
| |||||||
| 426 | Harley-Davidson, Inc. | 19,495 | ||||||
| 296 | Tesla Motors, Inc. (a) | 9,271 | ||||||
|
| |||||||
| 28,766 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.5% |
| |||||||
| 903 | International Game Technology | 14,216 | ||||||
| 305 | Las Vegas Sands Corp. | 13,260 | ||||||
| 381 | Starbucks Corp. | 20,326 | ||||||
|
| |||||||
| 47,802 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 410 | Toll Brothers, Inc. (a) | 12,195 | ||||||
|
| |||||||
Internet & Catalog Retail — 3.0% |
| |||||||
| 104 | Amazon.com, Inc. (a) | 23,840 | ||||||
| 249 | HomeAway, Inc. (a) | 5,410 | ||||||
| 17 | priceline.com, Inc. (a) | 11,164 | ||||||
|
| |||||||
| 40,414 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.5% |
| |||||||
| 288 | Brunswick Corp. | 6,393 | ||||||
|
| |||||||
Media — 2.8% |
| |||||||
| 416 | DIRECTV, Class A (a) | 20,299 | ||||||
| 366 | Walt Disney Co. (The) | 17,761 | ||||||
|
| |||||||
| 38,060 | ||||||||
|
| |||||||
Specialty Retail — 4.8% |
| |||||||
| 264 | Bed Bath & Beyond, Inc. (a) | 16,284 | ||||||
| 335 | Home Depot, Inc. (The) | 17,746 | ||||||
| 202 | PetSmart, Inc. | 13,786 | ||||||
| 678 | Sally Beauty Holdings, Inc. (a) | 17,442 | ||||||
|
| |||||||
| 65,258 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.6% |
| |||||||
| 179 | Lululemon Athletica, Inc., (Canada) (a) | 10,679 | ||||||
| 368 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 15,414 | ||||||
| 234 | Wolverine World Wide, Inc. | 9,063 | ||||||
|
| |||||||
| 35,156 | ||||||||
|
| |||||||
Total Consumer Discretionary | 296,212 | |||||||
|
| |||||||
Consumer Staples — 0.4% |
| |||||||
Personal Products — 0.4% |
| |||||||
| 124 | Herbalife Ltd., (Cayman Islands) | 5,974 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 5.2% |
| |||||||
Energy Equipment & Services — 1.6% |
| |||||||
| 334 | Cameron International Corp. (a) | 14,260 | ||||||
| 114 | Dril-Quip, Inc. (a) | 7,503 | ||||||
|
| |||||||
| 21,763 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.6% |
| |||||||
| 214 | Concho Resources, Inc. (a) | 18,190 | ||||||
| 276 | Laredo Petroleum Holdings, Inc. (a) | 5,735 | ||||||
| 134 | Pioneer Natural Resources Co. | 11,803 | ||||||
| 210 | Range Resources Corp. | 13,011 | ||||||
|
| |||||||
| 48,739 | ||||||||
|
| |||||||
Total Energy | 70,502 | |||||||
|
| |||||||
Financials — 8.3% |
| |||||||
Capital Markets — 0.9% |
| |||||||
| 205 | T. Rowe Price Group, Inc. | 12,926 | ||||||
|
| |||||||
Commercial Banks — 2.4% |
| |||||||
| 473 | U.S. Bancorp | 15,199 | ||||||
| 536 | Wells Fargo & Co. | 17,910 | ||||||
|
| |||||||
| 33,109 | ||||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
| 374 | American Express Co. | 21,753 | ||||||
|
| |||||||
Diversified Financial Services — 1.0% |
| |||||||
| 357 | Moody’s Corp. | 13,052 | ||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
| 175 | ACE Ltd., (Switzerland) | 12,958 | ||||||
| 238 | Amtrust Financial Services, Inc. | 7,062 | ||||||
|
| |||||||
| 20,020 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 348 | Prologis, Inc. | 11,577 | ||||||
|
| |||||||
Total Financials | 112,437 | |||||||
|
| |||||||
Health Care — 10.4% |
| |||||||
Biotechnology — 4.0% |
| |||||||
| 322 | Aegerion Pharmaceuticals, Inc. (a) | 4,783 | ||||||
| 117 | Alexion Pharmaceuticals, Inc. (a) | 11,568 | ||||||
| 199 | Biogen Idec, Inc. (a) | 28,674 | ||||||
| 161 | Vertex Pharmaceuticals, Inc. (a) | 9,014 | ||||||
|
| |||||||
| 54,039 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.0% |
| |||||||
| 302 | Health Net, Inc. (a) | 7,318 | ||||||
| 144 | Humana, Inc. | 11,120 | ||||||
| 369 | UnitedHealth Group, Inc. | 21,610 | ||||||
|
| |||||||
| 40,048 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — 3.4% |
| |||||||
| 181 | Allergan, Inc. | 16,783 | ||||||
| 359 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 16,066 | ||||||
| 183 | Watson Pharmaceuticals, Inc. (a) | 13,548 | ||||||
|
| |||||||
| 46,397 | ||||||||
|
| |||||||
Total Health Care | 140,484 | |||||||
|
| |||||||
Industrials — 13.4% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
| 130 | TransDigm Group, Inc. (a) | 17,515 | ||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
| 246 | Armstrong World Industries, Inc. | 12,103 | ||||||
|
| |||||||
Electrical Equipment — 1.8% |
| |||||||
| 260 | Cooper Industries plc | 17,693 | ||||||
| 99 | Rockwell Automation, Inc. | 6,553 | ||||||
|
| |||||||
| 24,246 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.6% |
| |||||||
| 405 | Carlisle Cos., Inc. | 21,447 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
| 390 | Pall Corp. | 21,365 | ||||||
|
| |||||||
Professional Services — 0.7% |
| |||||||
| 395 | Nielsen Holdings N.V. (a) | 10,357 | ||||||
|
| |||||||
Road & Rail — 2.1% |
| |||||||
| 302 | J.B. Hunt Transport Services, Inc. | 18,005 | ||||||
| 243 | Old Dominion Freight Line, Inc. (a) | 10,520 | ||||||
|
| |||||||
| 28,525 | ||||||||
|
| |||||||
Trading Companies & Distributors — 3.4% |
| |||||||
| 438 | Air Lease Corp. (a) | 8,495 | ||||||
| 58 | MSC Industrial Direct Co., Inc., Class A | 3,778 | ||||||
| 408 | Rush Enterprises, Inc., Class A (a) | 6,672 | ||||||
| 83 | W.W. Grainger, Inc. | 15,815 | ||||||
| 158 | Watsco, Inc. | 11,668 | ||||||
|
| |||||||
| 46,428 | ||||||||
|
| |||||||
Total Industrials | 181,986 | |||||||
|
| |||||||
Information Technology — 32.8% |
| |||||||
Communications Equipment — 3.7% |
| |||||||
| 582 | Aruba Networks, Inc. (a) | 8,759 | ||||||
| 130 | F5 Networks, Inc. (a) | 12,913 | ||||||
| 505 | QUALCOMM, Inc. | 28,124 | ||||||
|
| |||||||
| 49,796 | ||||||||
|
| |||||||
Computers & Peripherals — 10.2% |
| |||||||
| 204 | Apple, Inc. (a) | 119,048 | ||||||
| 722 | EMC Corp. (a) | 18,508 | ||||||
|
| |||||||
| 137,556 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet Software & Services — 2.3% |
| |||||||
| 126 | Facebook, Inc., Class A (a) | 3,915 | ||||||
| 34 | Google, Inc., Class A (a) | 19,954 | ||||||
| 167 | Rackspace Hosting, Inc. (a) | 7,316 | ||||||
|
| |||||||
| 31,185 | ||||||||
|
| |||||||
IT Services — 5.6% |
| |||||||
| 160 | International Business Machines Corp. | 31,371 | ||||||
| 66 | MasterCard, Inc., Class A | 28,430 | ||||||
| 484 | ServiceSource International, Inc. (a) | 6,701 | ||||||
| 298 | VeriFone Systems, Inc. (a) | 9,851 | ||||||
|
| |||||||
| 76,353 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.4% |
| |||||||
| 414 | ARM Holdings plc, (United Kingdom), ADR | 9,842 | ||||||
| 578 | Avago Technologies Ltd., (Singapore) | 20,750 | ||||||
| 477 | Lam Research Corp. (a) | 17,994 | ||||||
| 437 | Microchip Technology, Inc. | 14,456 | ||||||
| 319 | Xilinx, Inc. | 10,709 | ||||||
|
| |||||||
| 73,751 | ||||||||
|
| |||||||
Software — 5.6% |
| |||||||
| 158 | Citrix Systems, Inc. (a) | 13,296 | ||||||
| 144 | FactSet Research Systems, Inc. | 13,374 | ||||||
| 214 | MICROS Systems, Inc. (a) | 10,977 | ||||||
| 569 | Nuance Communications, Inc. (a) | 13,549 | ||||||
| 214 | Red Hat, Inc. (a) | 12,081 | ||||||
| 91 | Salesforce.com, Inc. (a) | 12,568 | ||||||
|
| |||||||
| 75,845 | ||||||||
|
| |||||||
Total Information Technology | 444,486 | |||||||
|
| |||||||
Materials — 3.2% |
| |||||||
Chemicals — 3.2% |
| |||||||
| 283 | FMC Corp. | 15,135 | ||||||
| 209 | Sherwin-Williams Co. (The) | 27,608 | ||||||
|
| |||||||
Total Materials | 42,743 | |||||||
|
| |||||||
Total Common Stocks | 1,294,824 | |||||||
|
| |||||||
| Short-Term Investment — 4.1% |
| ||||||
Investment Company — 4.1% |
| |||||||
| 55,818 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 55,818 | ||||||
|
| |||||||
Total Investments — 99.6% | 1,350,642 | |||||||
Other Assets in Excess of | 4,915 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,355,557 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Mid Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.6% |
| ||||||
Consumer Discretionary — 18.9% |
| |||||||
Auto Components — 2.2% |
| |||||||
| 438 | Allison Transmission Holdings, Inc. | 7,695 | ||||||
|
| |||||||
Automobiles — 1.5% |
| |||||||
| 118 | Harley-Davidson, Inc. | 5,393 | ||||||
|
| |||||||
Distributors — 1.0% |
| |||||||
| 57 | Genuine Parts Co. | 3,443 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 6.0% |
| |||||||
| 140 | Brinker International, Inc. | 4,471 | ||||||
| 82 | Cracker Barrel Old Country Store, Inc. | 5,175 | ||||||
| 110 | Papa John’s International, Inc. (a) | 5,244 | ||||||
| 133 | Penn National Gaming, Inc. (a) | 5,951 | ||||||
|
| |||||||
| 20,841 | ||||||||
|
| |||||||
Household Durables — 3.6% |
| |||||||
| 302 | Jarden Corp. | 12,675 | ||||||
|
| |||||||
Multiline Retail — 1.6% |
| |||||||
| 116 | Nordstrom, Inc. | 5,747 | ||||||
|
| |||||||
Specialty Retail — 3.0% |
| |||||||
| 341 | American Eagle Outfitters, Inc. | 6,734 | ||||||
| 77 | Dick’s Sporting Goods, Inc. | 3,691 | ||||||
|
| |||||||
| 10,425 | ||||||||
|
| |||||||
Total Consumer Discretionary | 66,219 | |||||||
|
| |||||||
Energy — 7.7% |
| |||||||
Energy Equipment & Services — 2.7% |
| |||||||
| 387 | Patterson-UTI Energy, Inc. | 5,632 | ||||||
| 81 | Tidewater, Inc. | 3,737 | ||||||
|
| |||||||
| 9,369 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
| 122 | Cimarex Energy Co. | 6,717 | ||||||
| 188 | Devon Energy Corp. | 10,884 | ||||||
|
| |||||||
| 17,601 | ||||||||
|
| |||||||
Total Energy | 26,970 | |||||||
|
| |||||||
Financials — 20.9% |
| |||||||
Capital Markets — 7.2% |
| |||||||
| 32 | BlackRock, Inc. | 5,502 | ||||||
| 54 | Franklin Resources, Inc. | 6,016 | ||||||
| 311 | HFF, Inc., Class A (a) | 4,341 | ||||||
| 332 | Janus Capital Group, Inc. | 2,600 | ||||||
| 398 | TD Ameritrade Holding Corp. | 6,770 | ||||||
|
| |||||||
| 25,229 | ||||||||
|
| |||||||
Commercial Banks — 4.0% |
| |||||||
| 595 | Associated Banc-Corp. | 7,842 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
| 177 | First Republic Bank (a) | 5,939 | ||||||
|
| |||||||
| 13,781 | ||||||||
|
| |||||||
Insurance — 4.5% |
| |||||||
| 122 | Chubb Corp. (The) | 8,866 | ||||||
| 76 | ProAssurance Corp. | 6,809 | ||||||
|
| |||||||
| 15,675 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 5.2% |
| |||||||
| 97 | Mid-America Apartment Communities, Inc. | 6,604 | ||||||
| 209 | National Retail Properties, Inc. | 5,926 | ||||||
| 313 | RLJ Lodging Trust | 5,667 | ||||||
|
| |||||||
| 18,197 | ||||||||
|
| |||||||
Total Financials | 72,882 | |||||||
|
| |||||||
Health Care — 8.1% |
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
| 50 | IDEXX Laboratories, Inc. (a) | 4,776 | ||||||
|
| |||||||
Health Care Providers & Services — 6.7% |
| |||||||
| 222 | Coventry Health Care, Inc. | 7,052 | ||||||
| 71 | Laboratory Corp. of America Holdings (a) | 6,616 | ||||||
| 166 | UnitedHealth Group, Inc. | 9,727 | ||||||
|
| |||||||
| 23,395 | ||||||||
|
| |||||||
Total Health Care | 28,171 | |||||||
|
| |||||||
Industrials — 15.4% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 39 | TransDigm Group, Inc. (a) | 5,302 | ||||||
|
| |||||||
Commercial Services & Supplies — 4.3% |
| |||||||
| 284 | Herman Miller, Inc. | 5,258 | ||||||
| 331 | Waste Connections, Inc. | 9,912 | ||||||
|
| |||||||
| 15,170 | ||||||||
|
| |||||||
Electrical Equipment — 1.5% |
| |||||||
| 81 | Regal-Beloit Corp. | 5,052 | ||||||
|
| |||||||
Machinery — 5.5% |
| |||||||
| 46 | Cummins, Inc. | 4,448 | ||||||
| 99 | Joy Global, Inc. | 5,594 | ||||||
| 255 | Rexnord Corp. (a) | 5,102 | ||||||
| 54 | Toro Co. (The) | 3,949 | ||||||
|
| |||||||
| 19,093 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
| 71 | Norfolk Southern Corp. | 5,121 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
| 21 | W.W. Grainger, Inc. | 3,959 | ||||||
|
| |||||||
Total Industrials | 53,697 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Mid Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Information Technology — 10.5% |
| |||||||
Computers & Peripherals — 1.5% |
| |||||||
| 162 | NetApp, Inc. (a) | 5,168 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.5% |
| |||||||
| 102 | Anixter International, Inc. | 5,404 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.0% |
| |||||||
| 149 | Freescale Semiconductor Ltd. (a) | 1,528 | ||||||
| 162 | Linear Technology Corp. | 5,068 | ||||||
| 340 | Marvell Technology Group Ltd., (Bermuda) | 3,834 | ||||||
|
| |||||||
| 10,430 | ||||||||
|
| |||||||
Software — 4.5% |
| |||||||
| 53 | Citrix Systems, Inc. (a) | 4,474 | ||||||
| 125 | MICROS Systems, Inc. (a) | 6,389 | ||||||
| 120 | Solera Holdings, Inc. | 5,010 | ||||||
|
| |||||||
| 15,873 | ||||||||
|
| |||||||
Total Information Technology | 36,875 | |||||||
|
| |||||||
Materials — 8.9% |
| |||||||
Chemicals — 2.0% |
| |||||||
| 51 | Airgas, Inc. | 4,272 | ||||||
| 70 | Scotts Miracle-Gro Co. (The), Class A | 2,877 | ||||||
|
| |||||||
| 7,149 | ||||||||
|
| |||||||
Containers & Packaging — 4.9% |
| |||||||
| 195 | Crown Holdings, Inc. (a) | 6,717 | ||||||
| 244 | Silgan Holdings, Inc. | 10,432 | ||||||
|
| |||||||
| 17,149 | ||||||||
|
| |||||||
Metals & Mining — 2.0% |
| |||||||
| 136 | Reliance Steel & Aluminum Co. | 6,865 | ||||||
|
| |||||||
Total Materials | 31,163 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Utilities — 7.2% |
| |||||||
Electric Utilities — 1.4% |
| |||||||
| 105 | Southern Co. (The) | 4,872 | ||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
| 47 | Northwest Natural Gas Co. | 2,219 | ||||||
|
| |||||||
Multi-Utilities — 5.2% |
| |||||||
| 274 | CMS Energy Corp. | 6,449 | ||||||
| 142 | NorthWestern Corp. | 5,193 | ||||||
| 162 | Wisconsin Energy Corp. | 6,421 | ||||||
|
| |||||||
| 18,063 | ||||||||
|
| |||||||
Total Utilities | 25,154 | |||||||
|
| |||||||
Total Common Stocks | 341,131 | |||||||
|
| |||||||
| Short-Term Investment — 2.4% |
| ||||||
Investment Company — 2.4% |
| |||||||
| 8,465 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 8,465 | ||||||
|
| |||||||
Total Investments — 100.0% | 349,596 | |||||||
Liabilities in Excess of | (74 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 349,522 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.3% |
| ||||||
Consumer Discretionary — 20.0% |
| |||||||
Auto Components — 1.0% |
| |||||||
| 219 | Allison Transmission Holdings, Inc. | 3,841 | ||||||
| 68 | BorgWarner, Inc. (a) | 4,427 | ||||||
|
| |||||||
| 8,268 | ||||||||
|
| |||||||
Automobiles — 1.3% |
| |||||||
| 167 | Harley-Davidson, Inc. | 7,646 | ||||||
| 91 | Tesla Motors, Inc. (a) | 2,844 | ||||||
|
| |||||||
| 10,490 | ||||||||
|
| |||||||
Distributors — 0.5% |
| |||||||
| 69 | Genuine Parts Co. | 4,150 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% |
| |||||||
| 61 | Darden Restaurants, Inc. | 3,092 | ||||||
| 336 | International Game Technology | 5,290 | ||||||
| 284 | Marriott International, Inc., Class A | 11,137 | ||||||
| 120 | Royal Caribbean Cruises Ltd. | 3,126 | ||||||
| 45 | Yum! Brands, Inc. | 2,899 | ||||||
|
| |||||||
| 25,544 | ||||||||
|
| |||||||
Household Durables — 1.2% |
| |||||||
| 40 | Jarden Corp. | 1,698 | ||||||
| 56 | Mohawk Industries, Inc. (a) | 3,938 | ||||||
| 125 | Toll Brothers, Inc. (a) | 3,725 | ||||||
|
| |||||||
| 9,361 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 130 | Expedia, Inc. | 6,235 | ||||||
| 34 | TripAdvisor, Inc. (a) | 1,533 | ||||||
|
| |||||||
| 7,768 | ||||||||
|
| |||||||
Media — 2.2% |
| |||||||
| 28 | AMC Networks, Inc., Class A (a) | 1,002 | ||||||
| 106 | Cablevision Systems Corp., Class A | 1,410 | ||||||
| 132 | CBS Corp. (Non-Voting), Class B | 4,320 | ||||||
| 130 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 783 | ||||||
| 86 | Discovery Communications, Inc., Class A (a) | 4,649 | ||||||
| 129 | DISH Network Corp., Class A | 3,686 | ||||||
| 115 | Gannett Co., Inc. | 1,694 | ||||||
| 2 | Washington Post Co. (The), Class B | 843 | ||||||
|
| |||||||
| 18,387 | ||||||||
|
| |||||||
Multiline Retail — 1.2% |
| |||||||
| 70 | Family Dollar Stores, Inc. | 4,621 | ||||||
| 121 | Kohl’s Corp. | 5,495 | ||||||
|
| |||||||
| 10,116 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 7.0% |
| |||||||
| 95 | Abercrombie & Fitch Co., Class A | 3,236 | ||||||
| 13 | AutoZone, Inc. (a) | 4,810 | ||||||
| 167 | Bed Bath & Beyond, Inc. (a) | 10,302 | ||||||
| 143 | Dick’s Sporting Goods, Inc. | 6,850 | ||||||
| 145 | Gap, Inc. (The) | 3,978 | ||||||
| 107 | PetSmart, Inc. | 7,309 | ||||||
| 244 | Sally Beauty Holdings, Inc. (a) | 6,273 | ||||||
| 60 | Tiffany & Co. | 3,182 | ||||||
| 104 | TJX Cos., Inc. | 4,478 | ||||||
| 119 | Urban Outfitters, Inc. (a) | 3,291 | ||||||
| 110 | Williams-Sonoma, Inc. | 3,836 | ||||||
|
| |||||||
| 57,545 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% |
| |||||||
| 54 | Lululemon Athletica, Inc., (Canada) (a) | 3,202 | ||||||
| 111 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 4,640 | ||||||
| 59 | PVH Corp. | 4,574 | ||||||
|
| |||||||
| 12,416 | ||||||||
|
| |||||||
Total Consumer Discretionary | 164,045 | |||||||
|
| |||||||
Consumer Staples — 3.7% |
| |||||||
Beverages — 1.4% |
| |||||||
| 85 | Beam, Inc. | 5,337 | ||||||
| 27 | Brown-Forman Corp., Class B | 2,652 | ||||||
| 74 | Dr. Pepper Snapple Group, Inc. | 3,250 | ||||||
|
| |||||||
| 11,239 | ||||||||
|
| |||||||
| �� | Food Products — 1.5% |
| ||||||
| 78 | Green Mountain Coffee Roasters, Inc. (a) | 1,703 | ||||||
| 55 | Hershey Co. (The) | 3,969 | ||||||
| 37 | JM Smucker Co. (The) | 2,757 | ||||||
| 60 | Ralcorp Holdings, Inc. (a) | 4,004 | ||||||
|
| |||||||
| 12,433 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
| 51 | Energizer Holdings, Inc. (a) | 3,823 | ||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
| 57 | Herbalife Ltd., (Cayman Islands) | 2,735 | ||||||
|
| |||||||
Total Consumer Staples | 30,230 | |||||||
|
| |||||||
Energy — 5.4% |
| |||||||
Energy Equipment & Services — 0.7% |
| |||||||
| 129 | Cameron International Corp. (a) | 5,529 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
| 92 | Concho Resources, Inc. (a) | 7,840 | ||||||
| 73 | Devon Energy Corp. | 4,239 | ||||||
| 137 | Energen Corp. | 6,201 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 90 | EQT Corp. | 4,821 | ||||||
| 93 | Laredo Petroleum Holdings, Inc. (a) | 1,943 | ||||||
| 43 | Pioneer Natural Resources Co. | 3,784 | ||||||
| 77 | QEP Resources, Inc. | 2,302 | ||||||
| 74 | Range Resources Corp. | 4,603 | ||||||
| 118 | Williams Cos., Inc. (The) | 3,389 | ||||||
|
| |||||||
| 39,122 | ||||||||
|
| |||||||
Total Energy | 44,651 | |||||||
|
| |||||||
Financials — 16.7% |
| |||||||
Capital Markets — 4.3% |
| |||||||
| 116 | Ameriprise Financial, Inc. | 6,036 | ||||||
| 266 | Blackstone Group LP (The) | 3,479 | ||||||
| 322 | Charles Schwab Corp. (The) | 4,158 | ||||||
| 175 | Invesco Ltd. | 3,962 | ||||||
| 138 | Lazard Ltd., (Bermuda), Class A | 3,597 | ||||||
| 61 | Northern Trust Corp. | 2,789 | ||||||
| 179 | T. Rowe Price Group, Inc. | 11,254 | ||||||
|
| |||||||
| 35,275 | ||||||||
|
| |||||||
Commercial Banks — 3.4% |
| |||||||
| 81 | BOK Financial Corp. (c) | 4,703 | ||||||
| 67 | City National Corp. | 3,235 | ||||||
| 39 | Cullen/Frost Bankers, Inc. | 2,254 | ||||||
| 346 | Fifth Third Bancorp | 4,642 | ||||||
| 280 | Huntington Bancshares, Inc. | 1,792 | ||||||
| 61 | M&T Bank Corp. | 5,020 | ||||||
| 190 | SunTrust Banks, Inc. | 4,599 | ||||||
| 107 | Zions Bancorp | 2,070 | ||||||
|
| |||||||
| 28,315 | ||||||||
|
| |||||||
Diversified Financial Services — 0.7% |
| |||||||
| 156 | Moody’s Corp. | 5,687 | ||||||
|
| |||||||
Insurance — 5.5% |
| |||||||
| 16 | Alleghany Corp. (a) | 5,300 | ||||||
| 37 | Arch Capital Group Ltd., (Bermuda) (a) | 1,484 | ||||||
| 160 | Axis Capital Holdings Ltd., (Bermuda) | 5,221 | ||||||
| 54 | Chubb Corp. (The) | 3,896 | ||||||
| 186 | Loews Corp. | 7,593 | ||||||
| 204 | Marsh & McLennan Cos., Inc. | 6,568 | ||||||
| 260 | Old Republic International Corp. | 2,152 | ||||||
| 116 | OneBeacon Insurance Group Ltd., Class A | 1,505 | ||||||
| 123 | Unum Group | 2,349 | ||||||
| 129 | W.R. Berkley Corp. | 5,021 | ||||||
| 200 | XL Group plc, (Ireland) | 4,197 | ||||||
|
| |||||||
| 45,286 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — 1.9% |
| |||||||
| 76 | HCP, Inc. | 3,364 | ||||||
| 129 | Prologis, Inc. | 4,297 | ||||||
| 84 | Regency Centers Corp. | 4,015 | ||||||
| 44 | Vornado Realty Trust | 3,700 | ||||||
|
| |||||||
| 15,376 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
| 191 | Brookfield Office Properties, Inc. | 3,325 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.5% |
| |||||||
| 112 | Capitol Federal Financial, Inc. | 1,334 | ||||||
| 241 | People’s United Financial, Inc. | 2,799 | ||||||
|
| |||||||
| 4,133 | ||||||||
|
| |||||||
Total Financials | 137,397 | |||||||
|
| |||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 1.5% |
| |||||||
| 60 | Alexion Pharmaceuticals, Inc. (a) | 5,918 | ||||||
| 30 | Onyx Pharmaceuticals, Inc. (a) | 2,014 | ||||||
| 74 | Vertex Pharmaceuticals, Inc. (a) | 4,144 | ||||||
|
| |||||||
| 12,076 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
| 33 | Becton, Dickinson & Co. | 2,430 | ||||||
| 64 | Sirona Dental Systems, Inc. (a) | 2,885 | ||||||
| 131 | Thoratec Corp. (a) | 4,382 | ||||||
|
| |||||||
| 9,697 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 105 | AmerisourceBergen Corp. | 4,112 | ||||||
| 254 | Brookdale Senior Living, Inc. (a) | 4,509 | ||||||
| 101 | Cigna Corp. | 4,426 | ||||||
| 116 | Health Net, Inc. (a) | 2,818 | ||||||
| 19 | Henry Schein, Inc. (a) | 1,507 | ||||||
| 122 | Humana, Inc. | 9,476 | ||||||
| 149 | Lincare Holdings, Inc. | 5,054 | ||||||
|
| |||||||
| 31,902 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.3% |
| |||||||
| 125 | Agilent Technologies, Inc. | 4,913 | ||||||
| 214 | Bruker Corp. (a) | 2,847 | ||||||
| 64 | Illumina, Inc. (a) | 2,604 | ||||||
|
| |||||||
| 10,364 | ||||||||
|
| |||||||
Pharmaceuticals — 2.3% |
| |||||||
| 121 | Elan Corp. plc, (Ireland), ADR (a) | 1,758 | ||||||
| 61 | Perrigo Co. | 7,229 | ||||||
| 110 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 4,927 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — Continued |
| |||||||
| 72 | Watson Pharmaceuticals, Inc. (a) | 5,305 | ||||||
|
| |||||||
| 19,219 | ||||||||
|
| |||||||
Total Health Care | 83,258 | |||||||
|
| |||||||
Industrials — 13.8% |
| |||||||
Aerospace & Defense — 0.9% |
| |||||||
| 45 | Alliant Techsystems, Inc. | 2,261 | ||||||
| 39 | TransDigm Group, Inc. (a) | 5,291 | ||||||
|
| |||||||
| 7,552 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
| 76 | Armstrong World Industries, Inc. | 3,731 | ||||||
| 120 | Fortune Brands Home & Security, Inc. (a) | 2,680 | ||||||
|
| |||||||
| 6,411 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
| 261 | Republic Services, Inc. | 6,893 | ||||||
| 67 | Stericycle, Inc. (a) | 6,119 | ||||||
|
| |||||||
| 13,012 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 64 | Fluor Corp. | 3,173 | ||||||
|
| |||||||
Electrical Equipment — 2.3% |
| |||||||
| 89 | AMETEK, Inc. | 4,432 | ||||||
| 116 | Cooper Industries plc | 7,909 | ||||||
| 62 | Regal-Beloit Corp. | 3,848 | ||||||
| 45 | Rockwell Automation, Inc. | 2,959 | ||||||
|
| |||||||
| 19,148 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
| 215 | Carlisle Cos., Inc. | 11,398 | ||||||
|
| |||||||
Machinery — 2.4% |
| |||||||
| 21 | Cummins, Inc. | 2,076 | ||||||
| 136 | Pall Corp. | 7,443 | ||||||
| 99 | Rexnord Corp. (a) | 1,984 | ||||||
| 71 | Snap-on, Inc. | 4,432 | ||||||
| 51 | Wabtec Corp. | 3,961 | ||||||
|
| |||||||
| 19,896 | ||||||||
|
| |||||||
Professional Services — 1.2% |
| |||||||
| 51 | Equifax, Inc. | 2,353 | ||||||
| 40 | IHS, Inc., Class A (a) | 4,331 | ||||||
| 121 | Nielsen Holdings N.V. (a) | 3,167 | ||||||
|
| |||||||
| 9,851 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
| 111 | J.B. Hunt Transport Services, Inc. | 6,622 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 2.0% |
| |||||||
| 202 | Air Lease Corp. (a) | 3,919 | ||||||
| 89 | MSC Industrial Direct Co., Inc., Class A | 5,801 | ||||||
| 33 | W.W. Grainger, Inc. | 6,215 | ||||||
|
| |||||||
| 15,935 | ||||||||
|
| |||||||
Total Industrials | 112,998 | |||||||
|
| |||||||
Information Technology — 14.6% |
| |||||||
Communications Equipment — 1.0% |
| |||||||
| 198 | Aruba Networks, Inc. (a) | 2,972 | ||||||
| 50 | F5 Networks, Inc. (a) | 4,998 | ||||||
|
| |||||||
| 7,970 | ||||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
| 98 | NetApp, Inc. (a) | 3,128 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
| 95 | Amphenol Corp., Class A | 5,212 | ||||||
| 118 | Arrow Electronics, Inc. (a) | 3,858 | ||||||
|
| |||||||
| 9,070 | ||||||||
|
| |||||||
Internet Software & Services — 0.6% |
| |||||||
| 52 | OpenTable, Inc. (a) | 2,332 | ||||||
| 64 | Rackspace Hosting, Inc. (a) | 2,803 | ||||||
|
| |||||||
| 5,135 | ||||||||
|
| |||||||
IT Services — 2.8% |
| |||||||
| 80 | Alliance Data Systems Corp. (a) | 10,746 | ||||||
| 115 | FleetCor Technologies, Inc. (a) | 4,023 | ||||||
| 146 | Jack Henry & Associates, Inc. | 5,033 | ||||||
| 110 | VeriFone Systems, Inc. (a) | 3,630 | ||||||
|
| |||||||
| 23,432 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.9% |
| |||||||
| 130 | Analog Devices, Inc. | 4,908 | ||||||
| 212 | Avago Technologies Ltd., (Singapore) | 7,625 | ||||||
| 132 | KLA-Tencor Corp. | 6,506 | ||||||
| 161 | Microchip Technology, Inc. (c) | 5,326 | ||||||
| 226 | Xilinx, Inc. | 7,594 | ||||||
|
| |||||||
| 31,959 | ||||||||
|
| |||||||
Software — 4.8% |
| |||||||
| 77 | Citrix Systems, Inc. (a) | 6,421 | ||||||
| 55 | FactSet Research Systems, Inc. | 5,112 | ||||||
| 145 | Fortinet, Inc. (a) | 3,358 | ||||||
| 85 | MICROS Systems, Inc. (a) | 4,331 | ||||||
| 227 | Nuance Communications, Inc. (a) | 5,407 | ||||||
| 104 | Red Hat, Inc. (a) | 5,857 | ||||||
| 139 | Synopsys, Inc. (a) | 4,091 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Software — Continued |
| |||||||
| 155 | TIBCO Software, Inc. (a) | 4,632 | ||||||
|
| |||||||
| 39,209 | ||||||||
|
| |||||||
Total Information Technology | 119,903 | |||||||
|
| |||||||
Materials — 6.2% |
| |||||||
Chemicals — 4.5% |
| |||||||
| 35 | Airgas, Inc. | 2,932 | ||||||
| 82 | Albemarle Corp. | 4,874 | ||||||
| 120 | FMC Corp. | 6,407 | ||||||
| 115 | Sherwin-Williams Co. (The) | 15,180 | ||||||
| 60 | Sigma-Aldrich Corp. | 4,399 | ||||||
| 60 | W.R. Grace & Co. (a) | 3,022 | ||||||
|
| |||||||
| 36,814 | ||||||||
|
| |||||||
Containers & Packaging — 1.7% |
| |||||||
| 157 | Ball Corp. | 6,428 | ||||||
| 67 | Rock-Tenn Co., Class A | 3,666 | ||||||
| 96 | Silgan Holdings, Inc. | 4,118 | ||||||
|
| |||||||
| 14,212 | ||||||||
|
| |||||||
Total Materials | 51,026 | |||||||
|
| |||||||
Telecommunication Services — 0.2% |
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 76 | Telephone & Data Systems, Inc. | 1,607 | ||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric Utilities — 2.5% |
| |||||||
| 143 | Northeast Utilities | 5,549 | ||||||
| 295 | NV Energy, Inc. | 5,183 | ||||||
| 169 | Westar Energy, Inc. | 5,073 | ||||||
| 179 | Xcel Energy, Inc. | 5,094 | ||||||
|
| |||||||
| 20,899 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.3% |
| |||||||
| 65 | ONEOK, Inc. | 2,750 | ||||||
|
| |||||||
Multi-Utilities — 2.7% |
| |||||||
| 109 | CenterPoint Energy, Inc. | 2,261 | ||||||
| 213 | CMS Energy Corp. | 5,001 | ||||||
| 94 | PG&E Corp. | 4,246 | ||||||
| 81 | Sempra Energy | 5,573 | ||||||
| 119 | Wisconsin Energy Corp. | 4,713 | ||||||
|
| |||||||
| 21,794 | ||||||||
|
| |||||||
Total Utilities | 45,443 | |||||||
|
| |||||||
Total Common Stocks | 790,558 | |||||||
|
| |||||||
| Short-Term Investment — 3.6% |
| ||||||
Investment Company — 3.6% |
| |||||||
| 29,313 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 29,313 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
| 1,138 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 1,138 | ||||||
|
| |||||||
Total Investments — 100.0% | 821,009 | |||||||
Other Assets in Excess of | 325 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 821,334 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.8% |
| ||||||
Consumer Discretionary — 20.1% |
| |||||||
Auto Components — 2.0% |
| |||||||
| 762 | Allison Transmission Holdings, Inc. | 13,384 | ||||||
| 235 | BorgWarner, Inc. (a) | 15,434 | ||||||
|
| |||||||
| 28,818 | ||||||||
|
| |||||||
Automobiles — 2.6% |
| |||||||
| 583 | Harley-Davidson, Inc. | 26,656 | ||||||
| 317 | Tesla Motors, Inc. (a) | 9,910 | ||||||
|
| |||||||
| 36,566 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
| 1,171 | International Game Technology | 18,437 | ||||||
| 473 | Marriott International, Inc., Class A | 18,553 | ||||||
| 419 | Royal Caribbean Cruises Ltd. | 10,899 | ||||||
|
| |||||||
| 47,889 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 437 | Toll Brothers, Inc. (a) | 12,980 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.6% |
| |||||||
| 184 | Expedia, Inc. | 8,845 | ||||||
|
| |||||||
Media — 1.1% |
| |||||||
| 300 | Discovery Communications, Inc., Class A (a) | 16,200 | ||||||
|
| |||||||
Specialty Retail — 7.6% |
| |||||||
| 330 | Abercrombie & Fitch Co., Class A | 11,276 | ||||||
| 402 | Bed Bath & Beyond, Inc. (a) | 24,862 | ||||||
| 497 | Dick’s Sporting Goods, Inc. | 23,870 | ||||||
| 216 | PetSmart, Inc. | 14,734 | ||||||
| 850 | Sally Beauty Holdings, Inc. (a) | 21,866 | ||||||
| 416 | Urban Outfitters, Inc. (a) | 11,475 | ||||||
|
| |||||||
| 108,083 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.9% |
| |||||||
| 188 | Lululemon Athletica, Inc., (Canada) (a) | 11,187 | ||||||
| 389 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 16,288 | ||||||
|
| |||||||
| 27,475 | ||||||||
|
| |||||||
Total Consumer Discretionary | 286,856 | |||||||
|
| |||||||
Consumer Staples — 1.1% |
| |||||||
Food Products — 0.4% |
| |||||||
| 273 | Green Mountain Coffee Roasters, Inc. (a) | 5,937 | ||||||
|
| |||||||
Personal Products — 0.7% |
| |||||||
| 197 | Herbalife Ltd., (Cayman Islands) | 9,531 | ||||||
|
| |||||||
Total Consumer Staples | 15,468 | |||||||
|
| |||||||
Energy — 5.8% |
| |||||||
Energy Equipment & Services — 1.4% |
| |||||||
| 451 | Cameron International Corp. (a) | 19,273 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 4.4% |
| |||||||
| 321 | Concho Resources, Inc. (a) | 27,324 | ||||||
| 326 | Laredo Petroleum Holdings, Inc. (a) | 6,772 | ||||||
| 149 | Pioneer Natural Resources Co. | 13,179 | ||||||
| 259 | Range Resources Corp. | 16,049 | ||||||
|
| |||||||
| 63,324 | ||||||||
|
| |||||||
Total Energy | 82,597 | |||||||
|
| |||||||
Financials — 7.9% |
| |||||||
Capital Markets — 3.4% |
| |||||||
| 928 | Blackstone Group LP (The) | 12,128 | ||||||
| 483 | Lazard Ltd., (Bermuda), Class A | 12,540 | ||||||
| 375 | T. Rowe Price Group, Inc. | 23,594 | ||||||
|
| |||||||
| 48,262 | ||||||||
|
| |||||||
Commercial Banks — 1.1% |
| |||||||
| 282 | BOK Financial Corp. | 16,389 | ||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
| 542 | Moody’s Corp. | 19,821 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
| 412 | Axis Capital Holdings Ltd., (Bermuda) | 13,407 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
| 451 | Prologis, Inc. | 14,977 | ||||||
|
| |||||||
Total Financials | 112,856 | |||||||
|
| |||||||
Health Care — 15.3% |
| |||||||
Biotechnology — 3.0% |
| |||||||
| 208 | Alexion Pharmaceuticals, Inc. (a) | 20,624 | ||||||
| 106 | Onyx Pharmaceuticals, Inc. (a) | 7,064 | ||||||
| 258 | Vertex Pharmaceuticals, Inc. (a) | 14,450 | ||||||
|
| |||||||
| 42,138 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
| 224 | Sirona Dental Systems, Inc. (a) | 10,060 | ||||||
| 455 | Thoratec Corp. (a) | 15,275 | ||||||
|
| |||||||
| 25,335 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% |
| |||||||
| 886 | Brookdale Senior Living, Inc. (a) | 15,716 | ||||||
| 405 | Health Net, Inc. (a) | 9,820 | ||||||
| 287 | Humana, Inc. | 22,219 | ||||||
|
| |||||||
| 47,755 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 2.5% |
| |||||||
| 436 | Agilent Technologies, Inc. | 17,126 | ||||||
| 746 | Bruker Corp. (a) | 9,923 | ||||||
| 225 | Illumina, Inc. (a) | 9,080 | ||||||
|
| |||||||
| 36,129 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Pharmaceuticals — 4.7% |
| |||||||
| 420 | Elan Corp. plc, (Ireland), ADR (a) | 6,126 | ||||||
| 214 | Perrigo Co. | 25,190 | ||||||
| 383 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 17,168 | ||||||
| 251 | Watson Pharmaceuticals, Inc. (a) | 18,586 | ||||||
|
| |||||||
| 67,070 | ||||||||
|
| |||||||
Total Health Care | 218,427 | |||||||
|
| |||||||
Industrials — 18.8% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
| 137 | TransDigm Group, Inc. (a) | 18,439 | ||||||
|
| |||||||
Building Products — 0.9% |
| |||||||
| 266 | Armstrong World Industries, Inc. | 13,096 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
| 233 | Stericycle, Inc. (a) | 21,338 | ||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
| 224 | Fluor Corp. | 11,057 | ||||||
|
| |||||||
Electrical Equipment — 2.4% |
| |||||||
| 342 | Cooper Industries plc | 23,311 | ||||||
| 157 | Rockwell Automation, Inc. | 10,391 | ||||||
|
| |||||||
| 33,702 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.7% |
| |||||||
| 454 | Carlisle Cos., Inc. | 24,045 | ||||||
|
| |||||||
Machinery — 3.3% |
| |||||||
| 75 | Cummins, Inc. | 7,244 | ||||||
| 473 | Pall Corp. | 25,936 | ||||||
| 177 | Wabtec Corp. | 13,817 | ||||||
|
| |||||||
| 46,997 | ||||||||
|
| |||||||
Professional Services — 1.8% |
| |||||||
| 140 | IHS, Inc., Class A (a) | 15,104 | ||||||
| 421 | Nielsen Holdings N.V. (a) | 11,038 | ||||||
|
| |||||||
| 26,142 | ||||||||
|
| |||||||
Road & Rail — 1.6% |
| |||||||
| 387 | J.B. Hunt Transport Services, Inc. | 23,089 | ||||||
|
| |||||||
Trading Companies & Distributors — 3.5% |
| |||||||
| 705 | Air Lease Corp. (a) | 13,660 | ||||||
| 223 | MSC Industrial Direct Co., Inc., Class A | 14,585 | ||||||
| 114 | W.W. Grainger, Inc. | 21,802 | ||||||
|
| |||||||
| 50,047 | ||||||||
|
| |||||||
Total Industrials | 267,952 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 23.0% |
| |||||||
Communications Equipment — 1.9% |
| |||||||
| 688 | Aruba Networks, Inc. (a) | 10,359 | ||||||
| 175 | F5 Networks, Inc. (a) | 17,403 | ||||||
|
| |||||||
| 27,762 | ||||||||
|
| |||||||
Computers & Peripherals — 0.8% |
| |||||||
| 343 | NetApp, Inc. (a) | 10,905 | ||||||
|
| |||||||
Internet Software & Services — 1.3% |
| |||||||
| 180 | OpenTable, Inc. (a) | 8,120 | ||||||
| 222 | Rackspace Hosting, Inc. (a) | 9,772 | ||||||
|
| |||||||
| 17,892 | ||||||||
|
| |||||||
IT Services — 4.5% |
| |||||||
| 277 | Alliance Data Systems Corp. (a) | 37,449 | ||||||
| 400 | FleetCor Technologies, Inc. (a) | 14,019 | ||||||
| 383 | VeriFone Systems, Inc. (a) | 12,657 | ||||||
|
| |||||||
| 64,125 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.9% |
| |||||||
| 741 | Avago Technologies Ltd., (Singapore) | 26,584 | ||||||
| 461 | KLA-Tencor Corp. | 22,685 | ||||||
| 561 | Microchip Technology, Inc. (c) | 18,564 | ||||||
| 488 | Xilinx, Inc. | 16,372 | ||||||
|
| |||||||
| 84,205 | ||||||||
|
| |||||||
Software — 8.6% |
| |||||||
| 267 | Citrix Systems, Inc. (a) | 22,379 | ||||||
| 192 | FactSet Research Systems, Inc. | 17,826 | ||||||
| 504 | Fortinet, Inc. (a) | 11,698 | ||||||
| 295 | MICROS Systems, Inc. (a) | 15,089 | ||||||
| 791 | Nuance Communications, Inc. (a) | 18,846 | ||||||
| 361 | Red Hat, Inc. (a) | 20,406 | ||||||
| 540 | TIBCO Software, Inc. (a) | 16,148 | ||||||
|
| |||||||
| 122,392 | ||||||||
|
| |||||||
Total Information Technology | 327,281 | |||||||
|
| |||||||
Materials — 4.8% |
| |||||||
Chemicals — 4.8% |
| |||||||
| 418 | FMC Corp. | 22,328 | ||||||
| 273 | Sherwin-Williams Co. (The) | 36,158 | ||||||
| 209 | W.R. Grace & Co. (a) | 10,534 | ||||||
|
| |||||||
Total Materials | 69,020 | |||||||
|
| |||||||
Total Common Stocks | 1,380,457 | |||||||
|
| |||||||
��
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 4.1% |
| ||||||
Investment Company — 4.1% |
| |||||||
| 58,974 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) | 58,974 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.3% |
| ||||||
Investment Company — 0.3% |
| |||||||
| 3,821 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 3,821 | ||||||
|
| |||||||
Total Investments — 101.2% | 1,443,252 | |||||||
Liabilities in Excess of | (16,436 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,426,816 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.0% |
| ||||||
Consumer Discretionary — 20.0% |
| |||||||
Distributors — 1.0% |
| |||||||
| 1,316 | Genuine Parts Co. | 79,300 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.9% |
| |||||||
| 1,174 | Darden Restaurants, Inc. | 59,461 | ||||||
| 2,801 | Marriott International, Inc., Class A | 109,793 | ||||||
| 859 | Yum! Brands, Inc. | 55,350 | ||||||
|
| |||||||
| 224,604 | ||||||||
|
| |||||||
Household Durables — 1.4% |
| |||||||
| 776 | Jarden Corp. | 32,612 | ||||||
| 1,073 | Mohawk Industries, Inc. (a) | 74,898 | ||||||
|
| |||||||
| 107,510 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.3% |
| |||||||
| 1,452 | Expedia, Inc. | 69,794 | ||||||
| 645 | TripAdvisor, Inc. (a) | 28,817 | ||||||
|
| |||||||
| 98,611 | ||||||||
|
| |||||||
Media — 3.4% |
| |||||||
| 528 | AMC Networks, Inc., Class A (a) | 18,777 | ||||||
| 2,034 | Cablevision Systems Corp., Class A | 27,036 | ||||||
| 2,488 | CBS Corp. (Non-Voting), Class B | 81,554 | ||||||
| 2,437 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 14,673 | ||||||
| 2,436 | DISH Network Corp., Class A | 69,544 | ||||||
| 2,598 | Gannett Co., Inc. | 38,270 | ||||||
| 42 | Washington Post Co. (The), Class B (c) | 15,771 | ||||||
|
| |||||||
| 265,625 | ||||||||
|
| |||||||
Multiline Retail — 2.5% |
| |||||||
| 1,312 | Family Dollar Stores, Inc. | 87,232 | ||||||
| 2,306 | Kohl’s Corp. | 104,890 | ||||||
|
| |||||||
| 192,122 | ||||||||
|
| |||||||
Specialty Retail — 6.4% |
| |||||||
| 248 | AutoZone, Inc. (a) | 91,069 | ||||||
| 969 | Bed Bath & Beyond, Inc. (a) | 59,855 | ||||||
| 2,744 | Gap, Inc. (The) | 75,070 | ||||||
| 853 | PetSmart, Inc. | 58,141 | ||||||
| 1,152 | Tiffany & Co. | 60,982 | ||||||
| 1,999 | TJX Cos., Inc. | 85,830 | ||||||
| 2,071 | Williams-Sonoma, Inc. | 72,433 | ||||||
|
| |||||||
| 503,380 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
| 1,124 | PVH Corp. | 87,399 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,558,551 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 6.2% |
| |||||||
Beverages — 2.7% |
| |||||||
| 1,613 | Beam, Inc. | 100,770 | ||||||
| 517 | Brown-Forman Corp., Class B | 50,087 | ||||||
| 1,425 | Dr. Pepper Snapple Group, Inc. | 62,349 | ||||||
|
| |||||||
| 213,206 | ||||||||
|
| |||||||
Food Products — 2.6% |
| |||||||
| 1,040 | Hershey Co. (The) | 74,931 | ||||||
| 688 | JM Smucker Co. (The) | 51,963 | ||||||
| 1,132 | Ralcorp Holdings, Inc. (a) | 75,556 | ||||||
|
| |||||||
| 202,450 | ||||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
| 968 | Energizer Holdings, Inc. (a) | 72,807 | ||||||
|
| |||||||
Total Consumer Staples | 488,463 | |||||||
|
| |||||||
Energy — 5.1% |
| |||||||
Oil, Gas & Consumable Fuels — 5.1% |
| |||||||
| 1,381 | Devon Energy Corp. | 80,064 | ||||||
| 2,630 | Energen Corp. | 118,695 | ||||||
| 1,717 | EQT Corp. | 92,088 | ||||||
| 1,469 | QEP Resources, Inc. | 44,020 | ||||||
| 2,238 | Williams Cos., Inc. (The) | 64,511 | ||||||
|
| |||||||
Total Energy | 399,378 | |||||||
|
| |||||||
Financials — 25.4% |
| |||||||
Capital Markets — 5.2% |
| |||||||
| 2,181 | Ameriprise Financial, Inc. | 113,968 | ||||||
| 6,071 | Charles Schwab Corp. (The) | 78,504 | ||||||
| 3,310 | Invesco Ltd. | 74,812 | ||||||
| 1,143 | Northern Trust Corp. | 52,600 | ||||||
| 1,345 | T. Rowe Price Group, Inc. | 84,656 | ||||||
|
| |||||||
| 404,540 | ||||||||
|
| |||||||
Commercial Banks — 5.7% |
| |||||||
| 1,257 | City National Corp. | 61,060 | ||||||
| 823 | Cullen/Frost Bankers, Inc. | 47,341 | ||||||
| 6,540 | Fifth Third Bancorp | 87,637 | ||||||
| 5,272 | Huntington Bancshares, Inc. | 33,741 | ||||||
| 1,148 | M&T Bank Corp. | 94,795 | ||||||
| 3,583 | SunTrust Banks, Inc. | 86,811 | ||||||
| 2,008 | Zions Bancorp | 38,997 | ||||||
|
| |||||||
| 450,382 | ||||||||
|
| |||||||
Insurance — 10.0% |
| |||||||
| 295 | Alleghany Corp. (a) | 100,109 | ||||||
| 704 | Arch Capital Group Ltd., (Bermuda) (a) | 27,950 | ||||||
| 793 | Axis Capital Holdings Ltd., (Bermuda) | 25,828 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 1,009 | Chubb Corp. (The) | 73,500 | ||||||
| 3,506 | Loews Corp. | 143,445 | ||||||
| 3,850 | Marsh & McLennan Cos., Inc. | 124,070 | ||||||
| 4,954 | Old Republic International Corp. | 41,071 | ||||||
| 2,176 | OneBeacon Insurance Group Ltd., Class A | 28,329 | ||||||
| 2,338 | Unum Group | 44,726 | ||||||
| 2,437 | W.R. Berkley Corp. | 94,841 | ||||||
| 3,767 | XL Group plc, (Ireland) | 79,249 | ||||||
|
| |||||||
| 783,118 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
| 1,437 | HCP, Inc. | 63,460 | ||||||
| 1,594 | Regency Centers Corp. | 75,806 | ||||||
| 831 | Vornado Realty Trust | 69,765 | ||||||
|
| |||||||
| 209,031 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
| 3,600 | Brookfield Office Properties, Inc. | 62,713 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.0% |
| |||||||
| 2,111 | Capitol Federal Financial, Inc. | 25,079 | ||||||
| 4,549 | People’s United Financial, Inc. | 52,810 | ||||||
|
| |||||||
| 77,889 | ||||||||
|
| |||||||
Total Financials | 1,987,673 | |||||||
|
| |||||||
Health Care — 5.0% |
| |||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
| 620 | Becton, Dickinson & Co. | 46,356 | ||||||
|
| |||||||
Health Care Providers & Services — 4.4% |
| |||||||
| 1,972 | AmerisourceBergen Corp. | 77,605 | ||||||
| 1,899 | Cigna Corp. | 83,565 | ||||||
| 367 | Henry Schein, Inc. (a) | 28,823 | ||||||
| 754 | Humana, Inc. | 58,424 | ||||||
| 2,836 | Lincare Holdings, Inc. | 96,465 | ||||||
|
| |||||||
| 344,882 | ||||||||
|
| |||||||
Total Health Care | 391,238 | |||||||
|
| |||||||
Industrials — 8.8% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
| 843 | Alliant Techsystems, Inc. | 42,607 | ||||||
|
| |||||||
Building Products — 0.6% |
| |||||||
| 2,270 | Fortune Brands Home & Security, Inc. (a) | 50,543 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.7% |
| |||||||
| 4,922 | Republic Services, Inc. | 130,235 | ||||||
|
| |||||||
Electrical Equipment — 2.3% |
| |||||||
| 1,676 | AMETEK, Inc. | 83,657 | ||||||
| 339 | Cooper Industries plc | 23,099 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — Continued |
| |||||||
| 1,167 | Regal-Beloit Corp. | 72,651 | ||||||
|
| |||||||
| 179,407 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 1,603 | Carlisle Cos., Inc. | 84,983 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
| 1,870 | Rexnord Corp. (a) | 37,468 | ||||||
| 1,344 | Snap-on, Inc. | 83,660 | ||||||
|
| |||||||
| 121,128 | ||||||||
|
| |||||||
Professional Services — 0.6% |
| |||||||
| 953 | Equifax, Inc. | 44,405 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
| 467 | MSC Industrial Direct Co., Inc., Class A | 30,644 | ||||||
|
| |||||||
Total Industrials | 683,952 | |||||||
|
| |||||||
Information Technology — 6.3% |
| |||||||
Electronic Equipment, Instruments & Components — 2.2% |
| |||||||
| 1,792 | Amphenol Corp., Class A | 98,442 | ||||||
| 2,245 | Arrow Electronics, Inc. (a) | 73,647 | ||||||
|
| |||||||
| 172,089 | ||||||||
|
| |||||||
IT Services — 1.2% |
| |||||||
| 2,754 | Jack Henry & Associates, Inc. | 95,073 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
| 2,461 | Analog Devices, Inc. | 92,707 | ||||||
| 1,629 | Xilinx, Inc. | 54,675 | ||||||
|
| |||||||
| 147,382 | ||||||||
|
| |||||||
Software — 1.0% |
| |||||||
| 2,625 | Synopsys, Inc. (a) | 77,256 | ||||||
|
| |||||||
Total Information Technology | 491,800 | |||||||
|
| |||||||
Materials — 7.6% |
| |||||||
Chemicals — 4.1% |
| |||||||
| 658 | Airgas, Inc. | 55,253 | ||||||
| 1,560 | Albemarle Corp. | 93,034 | ||||||
| 697 | Sherwin-Williams Co. (The) | 92,241 | ||||||
| 1,124 | Sigma-Aldrich Corp. | 83,071 | ||||||
|
| |||||||
| 323,599 | ||||||||
|
| |||||||
Containers & Packaging — 3.5% |
| |||||||
| 2,958 | Ball Corp. | 121,419 | ||||||
| 1,284 | Rock-Tenn Co., Class A | 70,026 | ||||||
| 1,821 | Silgan Holdings, Inc. | 77,749 | ||||||
|
| |||||||
| 269,194 | ||||||||
|
| |||||||
Total Materials | 592,793 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Telecommunication Services — 0.5% |
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
| 1,685 | Telephone & Data Systems, Inc. | 35,869 | ||||||
|
| |||||||
Utilities — 11.1% |
| |||||||
Electric Utilities — 5.1% |
| |||||||
| 2,730 | Northeast Utilities | 105,956 | ||||||
| 5,569 | NV Energy, Inc. | 97,895 | ||||||
| 3,249 | Westar Energy, Inc. | 97,304 | ||||||
| 3,425 | Xcel Energy, Inc. | 97,303 | ||||||
|
| |||||||
| 398,458 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
| 1,243 | ONEOK, Inc. | 52,576 | ||||||
|
| |||||||
Multi-Utilities — 5.3% |
| |||||||
| 2,062 | CenterPoint Energy, Inc. | 42,628 | ||||||
| 4,081 | CMS Energy Corp. | 95,897 | ||||||
| 1,772 | PG&E Corp. | 80,203 | ||||||
| 1,527 | Sempra Energy | 105,189 | ||||||
| 2,275 | Wisconsin Energy Corp. | 90,033 | ||||||
|
| |||||||
| 413,950 | ||||||||
|
| |||||||
Total Utilities | 864,984 | |||||||
|
| |||||||
Total Common Stocks | 7,494,701 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.9% |
| ||||||
Investment Company — 3.9% |
| |||||||
| 303,396 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 303,396 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.0% (g) |
| ||||||
Investment Company — 0.0% (g) |
| |||||||
| 3,735 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 3,735 | ||||||
|
| |||||||
Total Investments — 99.9% | 7,801,832 | |||||||
Other Assets in Excess of | 7,715 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 7,809,547 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — 102.7% (j) |
| ||||||
Common Stocks — 90.7% | ||||||||
Consumer Discretionary — 17.0% |
| |||||||
Auto Components — 0.7% |
| |||||||
| 7 | Autoliv, Inc., (Sweden) | 395 | ||||||
| 13 | BorgWarner, Inc. (a) | 885 | ||||||
| 31 | Dana Holding Corp. | 402 | ||||||
| 35 | Lear Corp. | 1,331 | ||||||
| 16 | TRW Automotive Holdings Corp. (a) | 579 | ||||||
|
| |||||||
| 3,592 | ||||||||
|
| |||||||
Automobiles — 1.1% |
| |||||||
| 122 | Ford Motor Co. | 1,174 | ||||||
| 62 | General Motors Co. (a) | 1,225 | ||||||
| 41 | Harley-Davidson, Inc. | 1,886 | ||||||
| 41 | Thor Industries, Inc. | 1,120 | ||||||
|
| |||||||
| 5,405 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% |
| |||||||
| 41 | Apollo Group, Inc., Class A (a) | 1,487 | ||||||
| 16 | Bridgepoint Education, Inc. (a) | 357 | ||||||
| 29 | Coinstar, Inc. (a) | 2,008 | ||||||
| — | (h) | Hillenbrand, Inc. | 3 | |||||
| 26 | ITT Educational Services, Inc. (a) | 1,576 | ||||||
| 23 | Regis Corp. | 418 | ||||||
|
| |||||||
| 5,849 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
| 28 | Bally Technologies, Inc. (a) | 1,296 | ||||||
| 66 | Brinker International, Inc. | 2,105 | ||||||
| 23 | Cracker Barrel Old Country Store, Inc. | 1,416 | ||||||
| 6 | Darden Restaurants, Inc. | 320 | ||||||
| 36 | Jack in the Box, Inc. (a) | 1,004 | ||||||
| 38 | Marriott International, Inc., Class A | 1,490 | ||||||
| 83 | MGM Resorts International (a) | 923 | ||||||
| 18 | Penn National Gaming, Inc. (a) | 803 | ||||||
| 24 | Six Flags Entertainment Corp. | 1,286 | ||||||
| 2 | Texas Roadhouse, Inc. | 34 | ||||||
| 27 | Wyndham Worldwide Corp. | 1,450 | ||||||
| 13 | Wynn Resorts Ltd. | 1,386 | ||||||
|
| |||||||
| 13,513 | ||||||||
|
| |||||||
Household Durables — 1.5% |
| |||||||
| 102 | D.R. Horton, Inc. | 1,881 | ||||||
| 23 | Garmin Ltd., (Switzerland) | 865 | ||||||
| 41 | Jarden Corp. | 1,740 | ||||||
| 11 | Lennar Corp., Class A | 346 | ||||||
| 41 | Newell Rubbermaid, Inc. | 752 | ||||||
| 192 | Standard Pacific Corp. (a) | 1,190 | ||||||
| 48 | Tempur-Pedic International, Inc. (a) | 1,113 | ||||||
|
| |||||||
| 7,887 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — 0.7% |
| |||||||
| 45 | Expedia, Inc. | 2,143 | ||||||
| 2 | priceline.com, Inc. (a) | 1,362 | ||||||
|
| |||||||
| 3,505 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.4% |
| |||||||
| 39 | Brunswick Corp. | 873 | ||||||
| 4 | Polaris Industries, Inc. | 273 | ||||||
| 25 | Sturm Ruger & Co., Inc. | 991 | ||||||
|
| |||||||
| 2,137 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
| 72 | Cablevision Systems Corp., Class A | 952 | ||||||
| 30 | CBS Corp. (Non-Voting), Class B | 975 | ||||||
| 60 | Cinemark Holdings, Inc. | 1,376 | ||||||
| 49 | Comcast Corp., Class A | 1,565 | ||||||
| 33 | DISH Network Corp., Class A | 938 | ||||||
| 54 | Gannett Co., Inc. | 792 | ||||||
| 115 | Interpublic Group of Cos., Inc. (The) | 1,253 | ||||||
| 30 | McGraw-Hill Cos., Inc. (The) | 1,354 | ||||||
| 20 | Omnicom Group, Inc. | 969 | ||||||
| 101 | Regal Entertainment Group, Class A | 1,387 | ||||||
| 7 | Scripps Networks Interactive, Inc., Class A | 380 | ||||||
| 12 | Valassis Communications, Inc. (a) | 260 | ||||||
|
| |||||||
| 12,201 | ||||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
| 24 | Dillard’s, Inc., Class A | 1,512 | ||||||
| 20 | Dollar General Corp. (a) | 1,098 | ||||||
| 21 | Dollar Tree, Inc. (a) | 1,114 | ||||||
| 19 | Macy’s, Inc. | 668 | ||||||
| 15 | Nordstrom, Inc. | 745 | ||||||
|
| |||||||
| 5,137 | ||||||||
|
| |||||||
Specialty Retail — 4.9% |
| |||||||
| 20 | Advance Auto Parts, Inc. | 1,357 | ||||||
| 44 | American Eagle Outfitters, Inc. | 859 | ||||||
| 54 | Ascena Retail Group, Inc. (a) | 1,000 | ||||||
| 3 | AutoZone, Inc. (a) | 1,081 | ||||||
| 14 | Bed Bath & Beyond, Inc. (a) | 872 | ||||||
| 66 | Best Buy Co., Inc. | 1,376 | ||||||
| 39 | Buckle, Inc. (The) | 1,546 | ||||||
| 55 | Express, Inc. (a) | 992 | ||||||
| 32 | Finish Line, Inc. (The), Class A | 678 | ||||||
| 73 | Foot Locker, Inc. | 2,237 | ||||||
| 38 | GameStop Corp., Class A | 695 | ||||||
| 32 | Gap, Inc. (The) | 879 | ||||||
| 19 | Genesco, Inc. (a) | 1,155 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
| 34 | GNC Holdings, Inc., Class A | 1,324 | ||||||
| 26 | Group 1 Automotive, Inc. | 1,168 | ||||||
| 19 | Home Depot, Inc. (The) | 992 | ||||||
| 46 | Lowe’s Cos., Inc. | 1,317 | ||||||
| 12 | O’Reilly Automotive, Inc. (a) | 1,045 | ||||||
| 35 | Penske Automotive Group, Inc. | 735 | ||||||
| 52 | Pier 1 Imports, Inc. | 862 | ||||||
| 9 | Ross Stores, Inc. | 547 | ||||||
| 50 | Select Comfort Corp. (a) | 1,050 | ||||||
| 44 | Staples, Inc. | 571 | ||||||
| 23 | TJX Cos., Inc. | 989 | ||||||
|
| |||||||
| 25,327 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
| 25 | Coach, Inc. | 1,453 | ||||||
| 8 | Steven Madden Ltd. (a) | 250 | ||||||
| 44 | Vera Bradley, Inc. (a) | 934 | ||||||
|
| |||||||
| 2,637 | ||||||||
|
| |||||||
Total Consumer Discretionary | 87,190 | |||||||
|
| |||||||
Consumer Staples — 5.1% |
| |||||||
Beverages — 0.7% |
| |||||||
| 77 | Constellation Brands, Inc., Class A (a) | 2,091 | ||||||
| 37 | Molson Coors Brewing Co., Class B | 1,529 | ||||||
|
| |||||||
| 3,620 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
| 13 | Casey’s General Stores, Inc. | 753 | ||||||
| 37 | CVS Caremark Corp. | 1,736 | ||||||
| 48 | Kroger Co. (The) | 1,120 | ||||||
| 866 | Rite Aid Corp. (a) | 1,213 | ||||||
| 70 | Safeway, Inc. | 1,265 | ||||||
|
| |||||||
| 6,087 | ||||||||
|
| |||||||
Food Products — 1.8% |
| |||||||
| 53 | Archer-Daniels-Midland Co. | 1,560 | ||||||
| 22 | Bunge Ltd. | 1,364 | ||||||
| 11 | ConAgra Foods, Inc. | 278 | ||||||
| 11 | D.E Master Blenders N.V., (Netherlands) (a) | 123 | ||||||
| 106 | Dean Foods Co. (a) | 1,805 | ||||||
| 41 | Fresh Del Monte Produce, Inc. | 955 | ||||||
| 2 | Hillshire Brands Co. | 63 | ||||||
| 75 | Smithfield Foods, Inc. (a) | 1,615 | ||||||
| 73 | Tyson Foods, Inc., Class A | 1,374 | ||||||
|
| |||||||
| 9,137 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
| 19 | Energizer Holdings, Inc. (a) | 1,450 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — 0.6% |
| |||||||
| 33 | Herbalife Ltd., (Cayman Islands) | 1,580 | ||||||
| 34 | Nu Skin Enterprises, Inc., Class A | 1,572 | ||||||
|
| |||||||
| 3,152 | ||||||||
|
| |||||||
Tobacco — 0.5% |
| |||||||
| 9 | Lorillard, Inc. | 1,131 | ||||||
| 18 | Philip Morris International, Inc. | 1,594 | ||||||
|
| |||||||
| 2,725 | ||||||||
|
| |||||||
Total Consumer Staples | 26,171 | |||||||
|
| |||||||
Energy — 6.8% |
| |||||||
Energy Equipment & Services — 2.6% |
| |||||||
| 21 | Dresser-Rand Group, Inc. (a) | 947 | ||||||
| 25 | Halliburton Co. | 710 | ||||||
| 107 | Helix Energy Solutions Group, Inc. (a) | 1,751 | ||||||
| 38 | Hornbeck Offshore Services, Inc. (a) | 1,479 | ||||||
| 73 | Key Energy Services, Inc. (a) | 552 | ||||||
| 100 | Nabors Industries Ltd., (Bermuda) (a) | 1,445 | ||||||
| 13 | National Oilwell Varco, Inc. | 854 | ||||||
| 20 | Oil States International, Inc. (a) | 1,347 | ||||||
| 107 | RPC, Inc. | 1,272 | ||||||
| 65 | Superior Energy Services, Inc. (a) | 1,305 | ||||||
| 31 | Unit Corp. (a) | 1,130 | ||||||
| 60 | Weatherford International Ltd., (Switzerland) (a) | 764 | ||||||
|
| |||||||
| 13,556 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.2% |
| |||||||
| 8 | Apache Corp. | 745 | ||||||
| 36 | Approach Resources, Inc. (a) | 911 | ||||||
| 28 | Cabot Oil & Gas Corp. | 1,101 | ||||||
| 20 | Carrizo Oil & Gas, Inc. (a) | 481 | ||||||
| 20 | Chesapeake Energy Corp. | 364 | ||||||
| 20 | Chevron Corp. | 2,075 | ||||||
| 94 | Cloud Peak Energy, Inc. (a) | 1,589 | ||||||
| 13 | Concho Resources, Inc. (a) | 1,121 | ||||||
| 26 | ConocoPhillips | 1,447 | ||||||
| 58 | Denbury Resources, Inc. (a) | 874 | ||||||
| 12 | Devon Energy Corp. | 690 | ||||||
| 46 | Energy XXI Bermuda Ltd., (Bermuda) | 1,444 | ||||||
| 10 | EOG Resources, Inc. | 891 | ||||||
| 11 | HollyFrontier Corp. | 391 | ||||||
| 4 | Occidental Petroleum Corp. | 354 | ||||||
| 40 | Plains Exploration & Production Co. (a) | 1,394 | ||||||
| 62 | Stone Energy Corp. (a) | 1,571 | ||||||
| 49 | Ultra Petroleum Corp. (a) | 1,132 | ||||||
| 85 | Western Refining, Inc. | 1,904 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 32 | Williams Cos., Inc. (The) | 911 | ||||||
|
| |||||||
| 21,390 | ||||||||
|
| |||||||
Total Energy | 34,946 | |||||||
|
| |||||||
Financials — 12.1% |
| |||||||
Capital Markets — 1.8% |
| |||||||
| 13 | Ameriprise Financial, Inc. | 677 | ||||||
| 96 | Ares Capital Corp. | 1,537 | ||||||
| 58 | Bank of New York Mellon Corp. (The) | 1,272 | ||||||
| 45 | Eaton Vance Corp. | 1,200 | ||||||
| 6 | Goldman Sachs Group, Inc. (The) | 578 | ||||||
| 129 | Knight Capital Group, Inc., Class A (a) | 1,536 | ||||||
| 123 | Prospect Capital Corp. | 1,402 | ||||||
| 25 | State Street Corp. | 1,114 | ||||||
|
| |||||||
| 9,316 | ||||||||
|
| |||||||
Commercial Banks — 2.9% |
| |||||||
| 27 | BancorpSouth, Inc. | 386 | ||||||
| 14 | Bank of Hawaii Corp. | 625 | ||||||
| 11 | Bank of the Ozarks, Inc. | 326 | ||||||
| 31 | BB&T Corp. | 944 | ||||||
| 91 | East West Bancorp, Inc. | 2,141 | ||||||
| 74 | Fifth Third Bancorp | 992 | ||||||
| 44 | First Republic Bank (a) | 1,471 | ||||||
| 291 | Huntington Bancshares, Inc. | 1,864 | ||||||
| 50 | Old National Bancorp | 603 | ||||||
| 13 | PNC Financial Services Group, Inc. | 776 | ||||||
| 28 | Texas Capital Bancshares, Inc. (a) | 1,145 | ||||||
| 59 | U.S. Bancorp | 1,910 | ||||||
| 59 | Wells Fargo & Co. | 1,980 | ||||||
|
| |||||||
| 15,163 | ||||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
| 18 | Capital One Financial Corp. | 1,010 | ||||||
| 6 | Cash America International, Inc. | 251 | ||||||
| 66 | Discover Financial Services | 2,293 | ||||||
| 39 | Ezcorp, Inc., Class A (a) | 926 | ||||||
| 100 | SLM Corp. | 1,567 | ||||||
|
| |||||||
| 6,047 | ||||||||
|
| |||||||
Diversified Financial Services — 0.4% |
| |||||||
| 38 | CBOE Holdings, Inc. | 1,056 | ||||||
| 40 | Citigroup, Inc. | 1,099 | ||||||
|
| |||||||
| 2,155 | ||||||||
|
| |||||||
Insurance — 5.0% |
| |||||||
| 16 | ACE Ltd., (Switzerland) | 1,201 | ||||||
| 29 | Aflac, Inc. | 1,223 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
| 10 | Allied World Assurance Co. Holdings AG, (Switzerland) | 825 | ||||||
| 44 | Allstate Corp. (The) | 1,550 | ||||||
| 20 | Alterra Capital Holdings Ltd., (Bermuda) | 463 | ||||||
| 35 | American Financial Group, Inc. | 1,391 | ||||||
| 45 | Assurant, Inc. | 1,555 | ||||||
| 96 | Assured Guaranty Ltd., (Bermuda) | 1,360 | ||||||
| 8 | CNA Financial Corp. | 213 | ||||||
| 242 | CNO Financial Group, Inc. | 1,889 | ||||||
| 6 | Everest Re Group Ltd., (Bermuda) | 615 | ||||||
| 23 | Hanover Insurance Group, Inc. (The) | 883 | ||||||
| 86 | Hartford Financial Services Group, Inc. | 1,525 | ||||||
| 76 | Lincoln National Corp. | 1,659 | ||||||
| 36 | MetLife, Inc. | 1,099 | ||||||
| 21 | Montpelier Re Holdings Ltd., (Bermuda) | 456 | ||||||
| 7 | PartnerRe Ltd., (Bermuda) | 551 | ||||||
| 26 | Principal Financial Group, Inc. | 680 | ||||||
| 13 | ProAssurance Corp. | 1,169 | ||||||
| 68 | Protective Life Corp. | 2,001 | ||||||
| 4 | Prudential Financial, Inc. | 210 | ||||||
| 12 | Reinsurance Group of America, Inc. | 650 | ||||||
| 7 | RenaissanceRe Holdings Ltd., (Bermuda) | 532 | ||||||
| 25 | Torchmark Corp. | 1,252 | ||||||
| 29 | Unum Group | 561 | ||||||
|
| |||||||
| 25,513 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.4% |
| |||||||
| 29 | CBL & Associates Properties, Inc. | 573 | ||||||
| 55 | DCT Industrial Trust, Inc. | 348 | ||||||
| 10 | General Growth Properties, Inc. | 184 | ||||||
| 10 | Mid-America Apartment Communities, Inc. | 713 | ||||||
| 9 | Post Properties, Inc. | 461 | ||||||
�� |
| |||||||
| 2,279 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 96 | Ocwen Financial Corp. (a) | 1,812 | ||||||
|
| |||||||
Total Financials | 62,285 | |||||||
|
| |||||||
Health Care — 9.1% |
| |||||||
Biotechnology — 1.1% |
| |||||||
| 21 | Acorda Therapeutics, Inc. (a) | 485 | ||||||
| 12 | Amgen, Inc. | 887 | ||||||
| 15 | Celgene Corp. (a) | 961 | ||||||
| 15 | Cubist Pharmaceuticals, Inc. (a) | 581 | ||||||
| 102 | Dendreon Corp. (a) | 755 | ||||||
| 8 | Gilead Sciences, Inc. (a) | 398 | ||||||
| 36 | United Therapeutics Corp. (a) | 1,800 | ||||||
|
| |||||||
| 5,867 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Health Care Equipment & Supplies — 1.7% |
| |||||||
| 40 | Alere, Inc. (a) | 787 | ||||||
| 57 | CareFusion Corp. (a) | 1,466 | ||||||
| 7 | Cooper Cos., Inc. (The) | 586 | ||||||
| 22 | Cyberonics, Inc. (a) | 1,011 | ||||||
| 14 | Hill-Rom Holdings, Inc. | 447 | ||||||
| 9 | Integra LifeSciences Holdings Corp. (a) | 341 | ||||||
| 50 | ResMed, Inc. (a) | 1,572 | ||||||
| 28 | St. Jude Medical, Inc. | 1,111 | ||||||
| 40 | Thoratec Corp. (a) | 1,347 | ||||||
|
| |||||||
| 8,668 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% |
| |||||||
| 32 | Aetna, Inc. | 1,250 | ||||||
| 34 | AmerisourceBergen Corp. | 1,353 | ||||||
| 22 | Cigna Corp. | 972 | ||||||
| 31 | Community Health Systems, Inc. (a) | 879 | ||||||
| 7 | DaVita, Inc. (a) | 728 | ||||||
| 27 | Express Scripts Holding Co. (a) | 1,507 | ||||||
| 33 | HCA Holdings, Inc. | 989 | ||||||
| 6 | Health Net, Inc. (a) | 150 | ||||||
| 20 | Humana, Inc. | 1,522 | ||||||
| 13 | McKesson Corp. | 1,261 | ||||||
| 47 | Molina Healthcare, Inc. (a) | 1,096 | ||||||
| 61 | Omnicare, Inc. | 1,915 | ||||||
| 9 | UnitedHealth Group, Inc. | 554 | ||||||
| 33 | WellCare Health Plans, Inc. (a) | 1,769 | ||||||
| 11 | WellPoint, Inc. | 724 | ||||||
|
| |||||||
| 16,669 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 18 | SXC Health Solutions Corp. (a) | 1,827 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
| 50 | Bruker Corp. (a) | 666 | ||||||
| 15 | Charles River Laboratories International, Inc. (a) | 476 | ||||||
|
| |||||||
| 1,142 | ||||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
| 32 | Abbott Laboratories | 2,042 | ||||||
| 14 | Bristol-Myers Squibb Co. | 508 | ||||||
| 26 | Eli Lilly & Co. | 1,105 | ||||||
| 24 | Endo Health Solutions, Inc. (a) | 732 | ||||||
| 36 | Jazz Pharmaceuticals plc, (Ireland) (a) | 1,624 | ||||||
| 12 | Merck & Co., Inc. | 506 | ||||||
| 43 | Questcor Pharmaceuticals, Inc. (a) | 2,287 | ||||||
| 91 | Warner Chilcott plc, (Ireland), Class A (a) | 1,633 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued |
| |||||||
| 27 | Watson Pharmaceuticals, Inc. (a) | 2,005 | ||||||
|
| |||||||
| 12,442 | ||||||||
|
| |||||||
Total Health Care | 46,615 | |||||||
|
| |||||||
Industrials — 13.6% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
| 22 | Alliant Techsystems, Inc. | 1,106 | ||||||
| 29 | BE Aerospace, Inc. (a) | 1,280 | ||||||
| 20 | Boeing Co. (The) | 1,493 | ||||||
| 4 | General Dynamics Corp. | 244 | ||||||
| 39 | Huntington Ingalls Industries, Inc. (a) | 1,561 | ||||||
| 24 | L-3 Communications Holdings, Inc. | 1,781 | ||||||
| 23 | Lockheed Martin Corp. | 2,025 | ||||||
| 25 | Northrop Grumman Corp. | 1,607 | ||||||
| 22 | Raytheon Co. | 1,240 | ||||||
| 85 | Textron, Inc. | 2,120 | ||||||
| 13 | TransDigm Group, Inc. (a) | 1,744 | ||||||
|
| |||||||
| 16,201 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
| 11 | FedEx Corp. | 1,016 | ||||||
| 9 | United Parcel Service, Inc., Class B | 692 | ||||||
|
| |||||||
| 1,708 | ||||||||
|
| |||||||
Airlines — 1.1% |
| |||||||
| 121 | Delta Air Lines, Inc. (a) | 1,322 | ||||||
| 202 | JetBlue Airways Corp. (a) | 1,073 | ||||||
| 43 | Spirit Airlines, Inc. (a) | 827 | ||||||
| 172 | U.S. Airways Group, Inc. (a) | 2,296 | ||||||
|
| |||||||
| 5,518 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
| 39 | Avery Dennison Corp. | 1,068 | ||||||
| 40 | Brink’s Co. (The) | 922 | ||||||
| 40 | Copart, Inc. (a) | 945 | ||||||
| 75 | Covanta Holding Corp. | 1,285 | ||||||
| 69 | Pitney Bowes, Inc. | 1,027 | ||||||
| 131 | R.R. Donnelley & Sons Co. | 1,538 | ||||||
| 36 | United Stationers, Inc. | 967 | ||||||
|
| |||||||
| 7,752 | ||||||||
|
| |||||||
Construction & Engineering — 1.4% |
| |||||||
| 70 | AECOM Technology Corp. (a) | 1,153 | ||||||
| 46 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 1,731 | ||||||
| 34 | EMCOR Group, Inc. | 947 | ||||||
| 10 | Foster Wheeler AG, (Switzerland) (a) | 175 | ||||||
| 50 | Shaw Group, Inc. (The) (a) | 1,375 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Construction & Engineering — Continued |
| |||||||
| 46 | URS Corp. | 1,599 | ||||||
|
| |||||||
| 6,980 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% |
| |||||||
| 32 | Belden, Inc. | 1,064 | ||||||
| 34 | EnerSys (a) | 1,206 | ||||||
|
| |||||||
| 2,270 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 17 | General Electric Co. | 354 | ||||||
|
| |||||||
Machinery — 3.1% |
| |||||||
| 39 | Actuant Corp., Class A | 1,070 | ||||||
| 41 | AGCO Corp. (a) | 1,853 | ||||||
| 6 | Barnes Group, Inc. | 154 | ||||||
| 19 | Caterpillar, Inc. | 1,612 | ||||||
| 37 | CNH Global N.V., (Netherlands) (a) | 1,453 | ||||||
| 18 | Cummins, Inc. | 1,700 | ||||||
| 3 | Oshkosh Corp. (a) | 67 | ||||||
| 37 | PACCAR, Inc. | 1,436 | ||||||
| 4 | Parker Hannifin Corp. | 273 | ||||||
| 30 | Robbins & Myers, Inc. | 1,272 | ||||||
| 29 | Timken Co. | 1,315 | ||||||
| 56 | Titan International, Inc. | 1,363 | ||||||
| 56 | Trinity Industries, Inc. | 1,392 | ||||||
| 7 | Valmont Industries, Inc. | 789 | ||||||
|
| |||||||
| 15,749 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
| 15 | Kirby Corp. (a) | 721 | ||||||
|
| |||||||
Professional Services — 0.2% |
| |||||||
| 26 | Corporate Executive Board Co. (The) | 1,052 | ||||||
|
| |||||||
Road & Rail — 1.7% |
| |||||||
| 57 | Con-way, Inc. | 2,065 | ||||||
| 32 | CSX Corp. | 707 | ||||||
| 44 | Hertz Global Holdings, Inc. (a) | 562 | ||||||
| 23 | J.B. Hunt Transport Services, Inc. | 1,345 | ||||||
| 16 | Landstar System, Inc. | 832 | ||||||
| 23 | Norfolk Southern Corp. | 1,681 | ||||||
| 13 | Union Pacific Corp. | 1,511 | ||||||
|
| |||||||
| 8,703 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% |
| |||||||
| 39 | Beacon Roofing Supply, Inc. (a) | 989 | ||||||
| 44 | TAL International Group, Inc. | 1,468 | ||||||
| 15 | United Rentals, Inc. (a) | 509 | ||||||
|
| |||||||
| 2,966 | ||||||||
|
| |||||||
Total Industrials | 69,974 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 16.0% |
| |||||||
Communications Equipment — 1.5% |
| |||||||
| 91 | Arris Group, Inc. (a) | 1,260 | ||||||
| 91 | Cisco Systems, Inc. | 1,568 | ||||||
| 35 | Harris Corp. | 1,477 | ||||||
| 38 | NETGEAR, Inc. (a) | 1,318 | ||||||
| 20 | Plantronics, Inc. | 680 | ||||||
| 47 | Polycom, Inc. (a) | 495 | ||||||
| 15 | QUALCOMM, Inc. | 862 | ||||||
|
| |||||||
| 7,660 | ||||||||
|
| |||||||
Computers & Peripherals — 1.6% |
| |||||||
| 3 | Apple, Inc. (a) | 1,740 | ||||||
| 91 | Dell, Inc. (a) | 1,141 | ||||||
| 37 | Diebold, Inc. | 1,381 | ||||||
| 36 | Lexmark International, Inc., Class A | 950 | ||||||
| 63 | Seagate Technology plc, (Ireland) | 1,567 | ||||||
| 49 | Western Digital Corp. (a) | 1,505 | ||||||
|
| |||||||
| 8,284 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.6% |
| |||||||
| 20 | Avnet, Inc. (a) | 617 | ||||||
| 34 | Corning, Inc. | 444 | ||||||
| 20 | Dolby Laboratories, Inc., Class A (a) | 828 | ||||||
| 272 | Flextronics International Ltd., (Singapore) (a) | 1,686 | ||||||
| 68 | Ingram Micro, Inc., Class A (a) | 1,184 | ||||||
| 31 | Plexus Corp. (a) | 876 | ||||||
| 32 | SYNNEX Corp. (a) | 1,102 | ||||||
| 35 | Tech Data Corp. (a) | 1,671 | ||||||
|
| |||||||
| 8,408 | ||||||||
|
| |||||||
Internet Software & Services — 1.4% |
| |||||||
| 43 | Ancestry.com, Inc. (a) | 1,176 | ||||||
| 9 | Equinix, Inc. (a) | 1,668 | ||||||
| 38 | IAC/InterActiveCorp. | 1,751 | ||||||
| 9 | LinkedIn Corp., Class A (a) | 994 | ||||||
| 17 | Sohu.com, Inc., (China) (a) | 739 | ||||||
| 23 | VeriSign, Inc. (a) | 1,000 | ||||||
|
| |||||||
| 7,328 | ||||||||
|
| |||||||
IT Services — 3.4% |
| |||||||
| 29 | Accenture plc, (Ireland), Class A | 1,746 | ||||||
| 13 | Alliance Data Systems Corp. (a) | 1,765 | ||||||
| 35 | Amdocs Ltd. (a) | 1,032 | ||||||
| 14 | Broadridge Financial Solutions, Inc. | 307 | ||||||
| 32 | CACI International, Inc., Class A (a) | 1,773 | ||||||
| 41 | Fidelity National Information Services, Inc. | 1,405 | ||||||
| 34 | Gartner, Inc. (a) | 1,464 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
IT Services — Continued |
| |||||||
| 32 | Heartland Payment Systems, Inc. | 966 | ||||||
| 5 | International Business Machines Corp. | 924 | ||||||
| 60 | Lender Processing Services, Inc. | 1,524 | ||||||
| 41 | NeuStar, Inc., Class A (a) | 1,375 | ||||||
| 138 | SAIC, Inc. | 1,669 | ||||||
| 80 | Western Union Co. (The) | 1,342 | ||||||
|
| |||||||
| 17,292 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 290 | Advanced Micro Devices, Inc. (a) | 1,664 | ||||||
| 251 | Amkor Technology, Inc. (a) | 1,223 | ||||||
| 21 | Applied Materials, Inc. | 242 | ||||||
| 35 | Broadcom Corp., Class A (a) | 1,172 | ||||||
| 104 | Cypress Semiconductor Corp. (a) | 1,369 | ||||||
| 126 | Entegris, Inc. (a) | 1,076 | ||||||
| 207 | GT Advanced Technologies, Inc. (a) | 1,092 | ||||||
| 59 | Intel Corp. | 1,561 | ||||||
| 30 | KLA-Tencor Corp. | 1,458 | ||||||
| 5 | Lam Research Corp. (a) | 173 | ||||||
| 151 | LSI Corp. (a) | 963 | ||||||
| 111 | Marvell Technology Group Ltd., (Bermuda) | 1,256 | ||||||
| 37 | MKS Instruments, Inc. | 1,067 | ||||||
| 201 | ON Semiconductor Corp. (a) | 1,425 | ||||||
| 146 | PMC-Sierra, Inc. (a) | 897 | ||||||
|
| |||||||
| 16,638 | ||||||||
|
| |||||||
Software — 3.2% |
| |||||||
| 8 | Adobe Systems, Inc. (a) | 245 | ||||||
| 31 | BMC Software, Inc. (a) | 1,325 | ||||||
| 75 | CA, Inc. | 2,024 | ||||||
| 189 | Cadence Design Systems, Inc. (a) | 2,076 | ||||||
| 45 | Electronic Arts, Inc. (a) | 552 | ||||||
| 45 | Fair Isaac Corp. | 1,913 | ||||||
| 20 | Manhattan Associates, Inc. (a) | 916 | ||||||
| 58 | Microsoft Corp. | 1,772 | ||||||
| 45 | Oracle Corp. | 1,328 | ||||||
| 6 | Rovi Corp. (a) | 126 | ||||||
| 106 | Symantec Corp. (a) | 1,548 | ||||||
| 42 | Synopsys, Inc. (a) | 1,224 | ||||||
| 66 | TiVo, Inc. (a) | 547 | ||||||
| 24 | Tyler Technologies, Inc. (a) | 951 | ||||||
|
| |||||||
| 16,547 | ||||||||
|
| |||||||
Total Information Technology | 82,157 | |||||||
|
| |||||||
Materials — 5.3% |
| |||||||
Chemicals — 2.5% |
| |||||||
| 10 | CF Industries Holdings, Inc. | 1,932 | ||||||
| 5 | Cytec Industries, Inc. | 313 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 34 | H.B. Fuller Co. | 1,038 | ||||||
| 110 | Huntsman Corp. | 1,423 | ||||||
| 40 | Intrepid Potash, Inc. (a) | 919 | ||||||
| 77 | Kronos Worldwide, Inc. | 1,217 | ||||||
| 20 | Monsanto Co. | 1,655 | ||||||
| 5 | NewMarket Corp. | 1,151 | ||||||
| 59 | Olin Corp. | 1,242 | ||||||
| 45 | OM Group, Inc. (a) | 856 | ||||||
| 6 | Sherwin-Williams Co. (The) | 810 | ||||||
| 3 | Valspar Corp. | 148 | ||||||
|
| |||||||
| 12,704 | ||||||||
|
| |||||||
Construction Materials — 0.3% |
| |||||||
| 44 | Eagle Materials, Inc. | 1,655 | ||||||
|
| |||||||
Containers & Packaging — 0.7% |
| |||||||
| 24 | Ball Corp. | 978 | ||||||
| 11 | Bemis Co., Inc. | 349 | ||||||
| 58 | Owens-Illinois, Inc. (a) | 1,106 | ||||||
| 23 | Silgan Holdings, Inc. | 991 | ||||||
|
| |||||||
| 3,424 | ||||||||
|
| |||||||
Metals & Mining — 1.6% |
| |||||||
| 28 | Cliffs Natural Resources, Inc. | 1,403 | ||||||
| 32 | Newmont Mining Corp. | 1,537 | ||||||
| 19 | Reliance Steel & Aluminum Co. | 969 | ||||||
| 36 | Schnitzer Steel Industries, Inc., Class A | 998 | ||||||
| 48 | Southern Copper Corp. | 1,520 | ||||||
| 106 | Steel Dynamics, Inc. | 1,249 | ||||||
| 38 | Worthington Industries, Inc. | 783 | ||||||
|
| |||||||
| 8,459 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
| 3 | Domtar Corp., (Canada) | 197 | ||||||
| 15 | Schweitzer-Mauduit International, Inc. | 1,036 | ||||||
|
| |||||||
| 1,233 | ||||||||
|
| |||||||
Total Materials | 27,475 | |||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
| 224 | Frontier Communications Corp. | 857 | ||||||
| 3 | Verizon Communications, Inc. | 149 | ||||||
|
| |||||||
| 1,006 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.4% |
| |||||||
| 123 | MetroPCS Communications, Inc. (a) | 744 | ||||||
| 19 | SBA Communications Corp., Class A (a) | 1,109 | ||||||
|
| |||||||
| 1,853 | ||||||||
|
| |||||||
Total Telecommunication Services | 2,859 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — Continued |
| ||||||
Utilities — 5.1% |
| |||||||
Electric Utilities — 2.5% |
| |||||||
| 39 | American Electric Power Co., Inc. | 1,560 | ||||||
| 23 | El Paso Electric Co. | 752 | ||||||
| 26 | Entergy Corp. | 1,737 | ||||||
| 31 | FirstEnergy Corp. | 1,522 | ||||||
| 18 | NextEra Energy, Inc. | 1,249 | ||||||
| 16 | OGE Energy Corp. | 812 | ||||||
| 87 | PNM Resources, Inc. | 1,705 | ||||||
| 82 | Portland General Electric Co. | 2,181 | ||||||
| 54 | PPL Corp. | 1,501 | ||||||
|
| |||||||
| 13,019 | ||||||||
|
| |||||||
Gas Utilities — 0.7% |
| |||||||
| 24 | ONEOK, Inc. | 1,028 | ||||||
| 59 | Questar Corp. | 1,222 | ||||||
| 8 | Southwest Gas Corp. | 352 | ||||||
| 39 | UGI Corp. | 1,148 | ||||||
|
| |||||||
| 3,750 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.3% |
| |||||||
| 139 | AES Corp. (The) (a) | 1,785 | ||||||
|
| |||||||
Multi-Utilities — 1.5% |
| |||||||
| 38 | Ameren Corp. | 1,281 | ||||||
| 34 | Avista Corp. | 896 | ||||||
| 17 | CenterPoint Energy, Inc. | 352 | ||||||
| 100 | CMS Energy Corp. | 2,343 | ||||||
| 26 | PG&E Corp. | 1,183 | ||||||
| 49 | Public Service Enterprise Group, Inc. | 1,593 | ||||||
|
| |||||||
| 7,648 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
| 8 | American Water Works Co., Inc. | 277 | ||||||
|
| |||||||
Total Utilities | 26,479 | |||||||
|
| |||||||
Total Common Stocks | 466,151 | |||||||
|
| |||||||
| Short-Term Investment — 12.0% |
| ||||||
Investment Company — 12.0% |
| |||||||
| 61,615 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 61,615 | ||||||
|
| |||||||
Total Investments — 102.7% | 527,766 | |||||||
Liabilities in Excess of | (14,126 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 513,640 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — 89.6% |
| ||||||
Common Stocks — 89.6% | ||||||||
Consumer Discretionary — 13.9% |
| |||||||
Auto Components — 0.8% |
| |||||||
| 67 | Gentex Corp. | 1,391 | ||||||
| 100 | Goodyear Tire & Rubber Co. (The) (a) | 1,186 | ||||||
| 54 | Johnson Controls, Inc. | 1,500 | ||||||
|
| |||||||
| 4,077 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
| 42 | DeVry, Inc. | 1,307 | ||||||
| 42 | Sotheby’s | 1,387 | ||||||
|
| |||||||
| 2,694 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
| 30 | BJ’s Restaurants, Inc. (a) | 1,124 | ||||||
| 52 | Carnival Corp. | 1,778 | ||||||
| 5 | Chipotle Mexican Grill, Inc. (a) | 1,719 | ||||||
| 23 | Gaylord Entertainment Co. (a) | 889 | ||||||
| 36 | Hyatt Hotels Corp., Class A (a) | 1,333 | ||||||
| 11 | Peet’s Coffee & Tea, Inc. (a) | 646 | ||||||
| 56 | Royal Caribbean Cruises Ltd. | 1,446 | ||||||
| 24 | Starbucks Corp. | 1,279 | ||||||
| 32 | Vail Resorts, Inc. | 1,618 | ||||||
| 75 | WMS Industries, Inc. (a) | 1,501 | ||||||
|
| |||||||
| 13,333 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
| 67 | MDC Holdings, Inc. | 2,174 | ||||||
| 27 | Mohawk Industries, Inc. (a) | 1,882 | ||||||
| 1 | NVR, Inc. (a) | 848 | ||||||
| 51 | Toll Brothers, Inc. (a) | 1,508 | ||||||
|
| |||||||
| 6,412 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
| 1 | Netflix, Inc. (a) | 38 | ||||||
| 69 | Shutterfly, Inc. (a) | 2,116 | ||||||
|
| |||||||
| 2,154 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.3% |
| |||||||
| 39 | Mattel, Inc. | 1,261 | ||||||
|
| |||||||
Media — 1.9% |
| |||||||
| 18 | DreamWorks Animation SKG, Inc., Class A (a) | 337 | ||||||
| 63 | Lamar Advertising Co., Class A (a) | 1,816 | ||||||
| 24 | Liberty Global, Inc., Class A (a) | 1,194 | ||||||
| 18 | Liberty Media Corp. - Liberty Capital, Class A (a) | 1,550 | ||||||
| 43 | Lions Gate Entertainment Corp. (a) | 629 | ||||||
| 166 | Live Nation Entertainment, Inc. (a) | 1,525 | ||||||
| 552 | Sirius XM Radio, Inc. (a) | 1,022 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Media — Continued |
| |||||||
| 36 | Walt Disney Co. (The) | 1,739 | ||||||
|
| |||||||
| 9,812 | ||||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
| 1 | Family Dollar Stores, Inc. | 72 | ||||||
| 61 | J.C. Penney Co., Inc. | 1,424 | ||||||
| 38 | Saks, Inc. (a) | 404 | ||||||
|
| |||||||
| 1,900 | ||||||||
|
| |||||||
Specialty Retail — 3.4% |
| |||||||
| 45 | Abercrombie & Fitch Co., Class A | 1,528 | ||||||
| 67 | Aeropostale, Inc. (a) | 1,189 | ||||||
| 74 | CarMax, Inc. (a) | 1,925 | ||||||
| 33 | Children’s Place Retail Stores, Inc. (The) (a) | 1,622 | ||||||
| 34 | DSW, Inc., Class A | 1,834 | ||||||
| 29 | Guess?, Inc. | 892 | ||||||
| 27 | Jos. A. Bank Clothiers, Inc. (a) | 1,154 | ||||||
| 37 | Men’s Wearhouse, Inc. (The) | 1,039 | ||||||
| 35 | Monro Muffler Brake, Inc. | 1,147 | ||||||
| 38 | Signet Jewelers Ltd., (Bermuda) | 1,654 | ||||||
| 27 | Tiffany & Co. | 1,413 | ||||||
| 1 | Ulta Salon Cosmetics & Fragrance, Inc. | 78 | ||||||
| 68 | Urban Outfitters, Inc. (a) | 1,886 | ||||||
| 9 | Williams-Sonoma, Inc. | 322 | ||||||
|
| |||||||
| 17,683 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.3% |
| |||||||
| 23 | Columbia Sportswear Co. | 1,243 | ||||||
| 29 | Deckers Outdoor Corp. (a) | 1,296 | ||||||
| 55 | Hanesbrands, Inc. (a) | 1,529 | ||||||
| 71 | Iconix Brand Group, Inc. (a) | 1,244 | ||||||
| 8 | NIKE, Inc., Class B | 692 | ||||||
| 17 | Under Armour, Inc., Class A (a) | 1,640 | ||||||
| 12 | V.F. Corp. | 1,642 | ||||||
| 25 | Warnaco Group, Inc. (The) (a) | 1,054 | ||||||
| 43 | Wolverine World Wide, Inc. | 1,673 | ||||||
|
| |||||||
| 12,013 | ||||||||
|
| |||||||
Total Consumer Discretionary | 71,339 | |||||||
|
| |||||||
Consumer Staples — 4.6% |
| |||||||
Beverages — 0.6% |
| |||||||
| 18 | Brown-Forman Corp., Class B | 1,707 | ||||||
| 14 | Coca-Cola Co. (The) | 1,121 | ||||||
| 6 | Monster Beverage Corp. (a) | 406 | ||||||
|
| |||||||
| 3,234 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
| 16 | Pricesmart, Inc. | 1,082 | ||||||
| 39 | United Natural Foods, Inc. (a) | 2,155 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — Continued |
| |||||||
| — | (h) | Walgreen Co. | 2 | |||||
| 14 | Whole Foods Market, Inc. | 1,336 | ||||||
|
| |||||||
| 4,575 | ||||||||
|
| |||||||
Food Products — 2.5% |
| |||||||
| 19 | Darling International, Inc. (a) | 307 | ||||||
| 82 | Flowers Foods, Inc. | 1,911 | ||||||
| 40 | General Mills, Inc. | 1,525 | ||||||
| 29 | Green Mountain Coffee Roasters, Inc. (a) | 640 | ||||||
| 14 | Hershey Co. (The) | 1,044 | ||||||
| 33 | Hormel Foods Corp. | 1,005 | ||||||
| 6 | JM Smucker Co. (The) | 475 | ||||||
| 37 | McCormick & Co., Inc. (Non-Voting) | 2,238 | ||||||
| 19 | Mead Johnson Nutrition Co. | 1,499 | ||||||
| 23 | Post Holdings, Inc. (a) | 693 | ||||||
| 25 | TreeHouse Foods, Inc. (a) | 1,586 | ||||||
|
| |||||||
| 12,923 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
| 17 | Clorox Co. (The) | 1,235 | ||||||
| 5 | Procter & Gamble Co. (The) | 306 | ||||||
|
| |||||||
| 1,541 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
| 23 | Estee Lauder Cos., Inc. (The), Class A | 1,227 | ||||||
|
| |||||||
Total Consumer Staples | 23,500 | |||||||
|
| |||||||
Energy — 7.4% |
| |||||||
Energy Equipment & Services — 2.0% |
| |||||||
| 38 | Baker Hughes, Inc. | 1,541 | ||||||
| 35 | Cameron International Corp. (a) | 1,494 | ||||||
| 3 | Core Laboratories N.V., (Netherlands) | 307 | ||||||
| 28 | Dril-Quip, Inc. (a) | 1,851 | ||||||
| 9 | Gulfmark Offshore, Inc., Class A (a) | 297 | ||||||
| 27 | Lufkin Industries, Inc. | 1,473 | ||||||
| 54 | Noble Corp., (Switzerland) (a) | 1,742 | ||||||
| 33 | Tidewater, Inc. | 1,552 | ||||||
|
| |||||||
| 10,257 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.4% |
| |||||||
| 96 | Alpha Natural Resources, Inc. (a) | 837 | ||||||
| 24 | Anadarko Petroleum Corp. | 1,590 | ||||||
| 228 | Arch Coal, Inc. | 1,572 | ||||||
| 18 | Berry Petroleum Co., Class A | 732 | ||||||
| 25 | Cimarex Energy Co. | 1,392 | ||||||
| 72 | Cobalt International Energy, Inc. (a) | 1,700 | ||||||
| 42 | CONSOL Energy, Inc. | 1,271 | ||||||
| 21 | Continental Resources, Inc. (a) | 1,410 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 32 | EQT Corp. | 1,740 | ||||||
| 99 | Forest Oil Corp. (a) | 727 | ||||||
| 30 | Golar LNG Ltd., (Bermuda) | 1,121 | ||||||
| 57 | Gulfport Energy Corp. (a) | 1,185 | ||||||
| 10 | Hess Corp. | 456 | ||||||
| 55 | Kodiak Oil & Gas Corp. (a) | 452 | ||||||
| 101 | McMoRan Exploration Co. (a) | 1,274 | ||||||
| 224 | Quicksilver Resources, Inc. (a) | 1,213 | ||||||
| 17 | Range Resources Corp. | 1,067 | ||||||
| 170 | SandRidge Energy, Inc. (a) | 1,137 | ||||||
| 28 | SM Energy Co. | 1,358 | ||||||
| 53 | Spectra Energy Corp. | 1,553 | ||||||
| 33 | Swift Energy Co. (a) | 613 | ||||||
| 24 | Targa Resources Corp. | 1,028 | ||||||
| 57 | Teekay Corp., (Bermuda) | 1,682 | ||||||
| 13 | World Fuel Services Corp. | 496 | ||||||
| 20 | WPX Energy, Inc. (a) | 325 | ||||||
|
| |||||||
| 27,931 | ||||||||
|
| |||||||
Total Energy | 38,188 | |||||||
|
| |||||||
Financials — 12.5% |
| |||||||
Capital Markets — 3.7% |
| |||||||
| 4 | Affiliated Managers Group, Inc. (a) | 471 | ||||||
| 182 | Apollo Investment Corp. | 1,395 | ||||||
| 121 | Charles Schwab Corp. (The) | 1,561 | ||||||
| 189 | E*TRADE Financial Corp. (a) | 1,519 | ||||||
| 48 | Financial Engines, Inc. (a) | 1,022 | ||||||
| 40 | Greenhill & Co., Inc. | 1,431 | ||||||
| 165 | Janus Capital Group, Inc. | 1,293 | ||||||
| 95 | Jefferies Group, Inc. | 1,232 | ||||||
| 64 | Lazard Ltd., (Bermuda), Class A | 1,670 | ||||||
| 69 | Legg Mason, Inc. | 1,832 | ||||||
| 34 | LPL Financial Holdings, Inc. | 1,138 | ||||||
| 77 | Morgan Stanley | 1,120 | ||||||
| 25 | Northern Trust Corp. | 1,164 | ||||||
| 80 | SEI Investments Co. | 1,588 | ||||||
| 9 | T. Rowe Price Group, Inc. | 537 | ||||||
|
| |||||||
| 18,973 | ||||||||
|
| |||||||
Commercial Banks — 4.3% |
| |||||||
| 26 | Associated Banc-Corp. | 337 | ||||||
| 158 | CapitalSource, Inc. | 1,064 | ||||||
| 19 | Cathay General Bancorp | 319 | ||||||
| 48 | CIT Group, Inc. (a) | 1,714 | ||||||
| 192 | First Horizon National Corp. | 1,658 | ||||||
| 55 | FNB Corp. | 596 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued |
| |||||||
| 30 | Iberiabank Corp. | 1,508 | ||||||
| 111 | National Penn Bancshares, Inc. | 1,063 | ||||||
| 74 | PrivateBancorp, Inc. | 1,089 | ||||||
| 29 | Signature Bank (a) | 1,765 | ||||||
| 26 | SVB Financial Group (a) | 1,547 | ||||||
| 1,057 | Synovus Financial Corp. | 2,093 | ||||||
| 136 | TCF Financial Corp. | 1,563 | ||||||
| 29 | United Bankshares, Inc. | 745 | ||||||
| 114 | Valley National Bancorp | 1,211 | ||||||
| 23 | Westamerica Bancorp | 1,100 | ||||||
| 35 | Wintrust Financial Corp. | 1,246 | ||||||
| 70 | Zions Bancorp | 1,355 | ||||||
|
| |||||||
| 21,973 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 211 | Bank of America Corp. | 1,724 | ||||||
| 6 | CME Group, Inc. | 1,588 | ||||||
| 29 | Moody’s Corp. | 1,052 | ||||||
|
| |||||||
| 4,364 | ||||||||
|
| |||||||
Insurance — 1.7% |
| |||||||
| 48 | Cincinnati Financial Corp. | 1,842 | ||||||
| 296 | Genworth Financial, Inc., Class A (a) | 1,678 | ||||||
| 14 | Loews Corp. | 587 | ||||||
| 4 | Markel Corp. (a) | 1,940 | ||||||
| 25 | Mercury General Corp. | 1,029 | ||||||
| 33 | Platinum Underwriters Holdings Ltd., (Bermuda) | 1,270 | ||||||
| 25 | Progressive Corp. (The) | 526 | ||||||
|
| |||||||
| 8,872 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.9% |
| |||||||
| 53 | Glimcher Realty Trust | 537 | ||||||
| 15 | Kilroy Realty Corp. | 712 | ||||||
| 7 | SL Green Realty Corp. | 567 | ||||||
| 6 | Vornado Realty Trust | 536 | ||||||
| 91 | Weyerhaeuser Co. | 2,037 | ||||||
|
| |||||||
| 4,389 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% |
| |||||||
| 114 | Astoria Financial Corp. | 1,114 | ||||||
| 127 | Capitol Federal Financial, Inc. | 1,510 | ||||||
| 286 | Hudson City Bancorp, Inc. | 1,822 | ||||||
| 90 | People’s United Financial, Inc. | 1,045 | ||||||
|
| |||||||
| 5,491 | ||||||||
|
| |||||||
Total Financials | 64,062 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Health Care — 10.2% |
| |||||||
Biotechnology — 1.2% |
| |||||||
| 3 | Alexion Pharmaceuticals, Inc. (a) | 272 | ||||||
| 121 | Ariad Pharmaceuticals, Inc. (a) | 2,088 | ||||||
| 16 | Cepheid, Inc. (a) | 698 | ||||||
| 11 | Medivation, Inc. (a) | 973 | ||||||
| 20 | Myriad Genetics, Inc. (a) | 484 | ||||||
| 26 | Pharmacyclics, Inc. (a) | 1,396 | ||||||
| 7 | Vertex Pharmaceuticals, Inc. (a) | 379 | ||||||
|
| |||||||
| 6,290 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
| 72 | Boston Scientific Corp. (a) | 411 | ||||||
| 21 | DENTSPLY International, Inc. | 792 | ||||||
| 12 | Edwards Lifesciences Corp. (a) | 1,221 | ||||||
| 20 | Haemonetics Corp. (a) | 1,479 | ||||||
| 21 | HeartWare International, Inc. (a) | 1,845 | ||||||
| 16 | IDEXX Laboratories, Inc. (a) | 1,523 | ||||||
| 19 | Masimo Corp. (a) | 421 | ||||||
| 80 | NxStage Medical, Inc. (a) | 1,342 | ||||||
| 21 | Sirona Dental Systems, Inc. (a) | 947 | ||||||
| 44 | STERIS Corp. | 1,389 | ||||||
| 57 | Volcano Corp. (a) | 1,647 | ||||||
|
| |||||||
| 13,017 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% |
| |||||||
| — | (h) | Air Methods Corp. (a) | 4 | |||||
| 25 | AMERIGROUP Corp. (a) | 1,668 | ||||||
| 111 | Brookdale Senior Living, Inc. (a) | 1,975 | ||||||
| 13 | Chemed Corp. | 791 | ||||||
| 55 | HMS Holdings Corp. (a) | 1,833 | ||||||
| 27 | LifePoint Hospitals, Inc. (a) | 1,097 | ||||||
| 23 | Magellan Health Services, Inc. (a) | 1,022 | ||||||
| 24 | MEDNAX, Inc. (a) | 1,619 | ||||||
| 55 | Owens & Minor, Inc. | 1,675 | ||||||
| 53 | PSS World Medical, Inc. (a) | 1,107 | ||||||
| 6 | Quest Diagnostics, Inc. | 374 | ||||||
| 64 | VCA Antech, Inc. (a) | 1,399 | ||||||
|
| |||||||
| 14,564 | ||||||||
|
| |||||||
Health Care Technology — 0.4% |
| |||||||
| 96 | Allscripts Healthcare Solutions, Inc. (a) | 1,051 | ||||||
| 37 | Quality Systems, Inc. | 1,010 | ||||||
|
| |||||||
| 2,061 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
| 11 | Bio-Rad Laboratories, Inc., Class A (a) | 1,091 | ||||||
| 21 | Covance, Inc. (a) | 1,017 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Life Sciences Tools & Services — Continued |
| |||||||
| 41 | PerkinElmer, Inc. | 1,069 | ||||||
| 75 | QIAGEN N.V., (Netherlands) (a) | 1,256 | ||||||
| 16 | Techne Corp. | 1,218 | ||||||
| 33 | Thermo Fisher Scientific, Inc. | 1,725 | ||||||
|
| |||||||
| 7,376 | ||||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
| 47 | Hospira, Inc. (a) | 1,627 | ||||||
| 50 | Impax Laboratories, Inc. (a) | 1,021 | ||||||
| 8 | Johnson & Johnson | 520 | ||||||
| 42 | Medicis Pharmaceutical Corp., Class A | 1,445 | ||||||
| 16 | Par Pharmaceutical Cos., Inc. (a) | 586 | ||||||
| 12 | Perrigo Co. | 1,362 | ||||||
| 86 | Vivus, Inc. (a) | 2,453 | ||||||
|
| |||||||
| 9,014 | ||||||||
|
| |||||||
Total Health Care | 52,322 | |||||||
|
| |||||||
Industrials — 13.4% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 20 | Esterline Technologies Corp. (a) | 1,262 | ||||||
| 75 | Hexcel Corp. (a) | 1,939 | ||||||
| 11 | Moog, Inc., Class A (a) | 473 | ||||||
| 11 | Precision Castparts Corp. | 1,785 | ||||||
| 25 | Rockwell Collins, Inc. | 1,241 | ||||||
| 15 | Teledyne Technologies, Inc. (a) | 930 | ||||||
|
| |||||||
| 7,630 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.2% |
| |||||||
| 23 | Atlas Air Worldwide Holdings, Inc. (a) | 1,003 | ||||||
|
| |||||||
Airlines — 0.2% |
| |||||||
| 6 | Allegiant Travel Co. (a) | 403 | ||||||
| 3 | Copa Holdings S.A., (Panama), Class A | 287 | ||||||
| 40 | Southwest Airlines Co. | 373 | ||||||
|
| |||||||
| 1,063 | ||||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
| 27 | Armstrong World Industries, Inc. | 1,315 | ||||||
| 65 | Fortune Brands Home & Security, Inc. (a) | 1,447 | ||||||
| 80 | Masco Corp. | 1,115 | ||||||
| 50 | Owens Corning (a) | 1,417 | ||||||
| 41 | Simpson Manufacturing Co., Inc. | 1,218 | ||||||
|
| |||||||
| 6,512 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.1% |
| |||||||
| 32 | Clean Harbors, Inc. (a) | 1,801 | ||||||
| 60 | GEO Group, Inc. (The) (a) | 1,362 | ||||||
| 46 | Republic Services, Inc. | 1,217 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Commercial Services & Supplies — Continued |
| |||||||
| 52 | Rollins, Inc. | 1,158 | ||||||
| 22 | Stericycle, Inc. (a) | 1,979 | ||||||
| 50 | Waste Connections, Inc. | 1,493 | ||||||
| 48 | Waste Management, Inc. | 1,599 | ||||||
|
| |||||||
| 10,609 | ||||||||
|
| |||||||
Construction & Engineering — 0.7% |
| |||||||
| 50 | Jacobs Engineering Group, Inc. (a) | 1,906 | ||||||
| 22 | KBR, Inc. | 554 | ||||||
| 81 | MasTec, Inc. (a) | 1,215 | ||||||
|
| |||||||
| 3,675 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
| 28 | Emerson Electric Co. | 1,301 | ||||||
| 123 | GrafTech International Ltd. (a) | 1,190 | ||||||
| 46 | II-VI, Inc. (a) | 762 | ||||||
| 25 | Regal-Beloit Corp. | 1,529 | ||||||
| 7 | Rockwell Automation, Inc. | 433 | ||||||
|
| |||||||
| 5,215 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.1% |
| |||||||
| 7 | Danaher Corp. | 345 | ||||||
|
| |||||||
Machinery — 3.0% |
| |||||||
| 7 | Chart Industries, Inc. (a) | 457 | ||||||
| 32 | CLARCOR, Inc. | 1,525 | ||||||
| 51 | Colfax Corp. (a) | 1,404 | ||||||
| 25 | Donaldson Co., Inc. | 818 | ||||||
| 18 | Flowserve Corp. | 2,046 | ||||||
| 67 | Harsco Corp. | 1,374 | ||||||
| 48 | Kaydon Corp. | 1,026 | ||||||
| 143 | Manitowoc Co., Inc. (The) | 1,678 | ||||||
| 16 | Navistar International Corp. (a) | 459 | ||||||
| 26 | Nordson Corp. | 1,317 | ||||||
| 22 | SPX Corp. | 1,431 | ||||||
| 48 | Woodward, Inc. | 1,912 | ||||||
|
| |||||||
| 15,447 | ||||||||
|
| |||||||
Marine — 0.3% |
| |||||||
| 33 | Alexander & Baldwin Holdings, Inc. | 1,745 | ||||||
|
| |||||||
Professional Services — 1.1% |
| |||||||
| 23 | Advisory Board Co. (The) (a) | 1,121 | ||||||
| 22 | IHS, Inc., Class A (a) | 2,346 | ||||||
| 35 | Manpower, Inc. | 1,283 | ||||||
| 19 | Towers Watson & Co., Class A | 1,125 | ||||||
|
| |||||||
| 5,875 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 0.6% |
| |||||||
| 30 | Genesee & Wyoming, Inc., Class A (a) | 1,577 | ||||||
| 35 | Ryder System, Inc. | 1,262 | ||||||
|
| |||||||
| 2,839 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.3% |
| |||||||
| 50 | Air Lease Corp. (a) | 967 | ||||||
| 34 | Applied Industrial Technologies, Inc. | 1,239 | ||||||
| 43 | Fastenal Co. | 1,739 | ||||||
| 15 | MSC Industrial Direct Co., Inc., Class A | 954 | ||||||
| 3 | W.W. Grainger, Inc. | 623 | ||||||
| 16 | Watsco, Inc. | 1,186 | ||||||
|
| |||||||
| 6,708 | ||||||||
|
| |||||||
Total Industrials | 68,666 | |||||||
|
| |||||||
Information Technology — 14.9% |
| |||||||
Communications Equipment — 2.2% |
| |||||||
| 68 | Acme Packet, Inc. (a) | 1,270 | ||||||
| 50 | ADTRAN, Inc. | 1,513 | ||||||
| 92 | Aruba Networks, Inc. (a) | 1,383 | ||||||
| 107 | Finisar Corp. (a) | 1,606 | ||||||
| 149 | JDS Uniphase Corp. (a) | 1,637 | ||||||
| 35 | Juniper Networks, Inc. (a) | 576 | ||||||
| 13 | Riverbed Technology, Inc. (a) | 212 | ||||||
| 440 | Tellabs, Inc. | 1,464 | ||||||
| 41 | ViaSat, Inc. (a) | 1,545 | ||||||
|
| |||||||
| 11,206 | ||||||||
|
| |||||||
Computers & Peripherals — 0.4% |
| |||||||
| 38 | SanDisk Corp. (a) | 1,373 | ||||||
| 13 | Stratasys, Inc. (a) | 630 | ||||||
|
| |||||||
| 2,003 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.8% |
| |||||||
| 22 | Amphenol Corp., Class A | 1,219 | ||||||
| 46 | Cognex Corp. | 1,447 | ||||||
| 74 | FLIR Systems, Inc. | 1,435 | ||||||
| 35 | IPG Photonics Corp. (a) | 1,535 | ||||||
| 12 | Molex, Inc. | 278 | ||||||
| 45 | National Instruments Corp. | 1,220 | ||||||
| 51 | Universal Display Corp. (a) | 1,847 | ||||||
| 44 | Vishay Intertechnology, Inc. (a) | 411 | ||||||
|
| |||||||
| 9,392 | ||||||||
|
| |||||||
Internet Software & Services — 1.5% |
| |||||||
| 21 | CoStar Group, Inc. (a) | 1,737 | ||||||
| 35 | DealerTrack Holdings, Inc. (a) | 1,045 | ||||||
| 25 | eBay, Inc. (a) | 1,055 | ||||||
| 15 | j2 Global, Inc. | 389 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Internet Software & Services — Continued |
| |||||||
| 33 | LogMeIn, Inc. (a) | 1,017 | ||||||
| 190 | Monster Worldwide, Inc. (a) | 1,611 | ||||||
| 11 | OpenTable, Inc. (a) | 489 | ||||||
| 17 | WebMD Health Corp. (a) | 345 | ||||||
|
| |||||||
| 7,688 | ||||||||
|
| |||||||
IT Services — 1.7% |
| |||||||
| 17 | Automatic Data Processing, Inc. | 925 | ||||||
| 28 | FleetCor Technologies, Inc. (a) | 974 | ||||||
| 36 | Global Payments, Inc. | 1,538 | ||||||
| 47 | Paychex, Inc. | 1,468 | ||||||
| 104 | Sapient Corp. | 1,043 | ||||||
| 87 | ServiceSource International, Inc. (a) | 1,205 | ||||||
| 41 | VeriFone Systems, Inc. (a) | 1,369 | ||||||
|
| |||||||
| 8,522 | ||||||||
|
| |||||||
Office Electronics — 0.2% |
| |||||||
| 32 | Zebra Technologies Corp., Class A (a) | 1,113 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.1% |
| |||||||
| 115 | Atmel Corp. (a) | 770 | ||||||
| 62 | Cavium, Inc. (a) | 1,744 | ||||||
| 64 | Cree, Inc. (a) | 1,642 | ||||||
| 30 | Cymer, Inc. (a) | 1,745 | ||||||
| 64 | Diodes, Inc. (a) | 1,200 | ||||||
| 25 | Hittite Microwave Corp. (a) | 1,270 | ||||||
| 69 | International Rectifier Corp. (a) | 1,379 | ||||||
| 644 | MEMC Electronic Materials, Inc. (a) | 1,398 | ||||||
| 51 | Microchip Technology, Inc. | 1,696 | ||||||
| 144 | Micron Technology, Inc. (a) | 909 | ||||||
| 106 | OmniVision Technologies, Inc. (a) | 1,416 | ||||||
| 15 | Power Integrations, Inc. | 578 | ||||||
| 88 | RF Micro Devices, Inc. (a) | 376 | ||||||
| 45 | Semtech Corp. (a) | 1,097 | ||||||
| 58 | Skyworks Solutions, Inc. (a) | 1,601 | ||||||
| 55 | Texas Instruments, Inc. | 1,578 | ||||||
| 14 | Veeco Instruments, Inc. (a) | 481 | ||||||
|
| |||||||
| 20,880 | ||||||||
|
| |||||||
Software — 3.0% |
| |||||||
| 29 | ACI Worldwide, Inc. (a) | 1,270 | ||||||
| 25 | BroadSoft, Inc. (a) | 734 | ||||||
| 3 | FactSet Research Systems, Inc. | 299 | ||||||
| 52 | Fortinet, Inc. (a) | 1,214 | ||||||
| 13 | JDA Software Group, Inc. (a) | 390 | ||||||
| 38 | MICROS Systems, Inc. (a) | 1,953 | ||||||
| 13 | MicroStrategy, Inc., Class A (a) | 1,670 | ||||||
| 43 | NetSuite, Inc. (a) | 2,354 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
| 48 | QLIK Technologies, Inc. (a) | 1,059 | ||||||
| 13 | Red Hat, Inc. (a) | 746 | ||||||
| 35 | Solera Holdings, Inc. | 1,468 | ||||||
| 39 | Synchronoss Technologies, Inc. (a) | 725 | ||||||
| 128 | Take-Two Interactive Software, Inc. (a) | 1,207 | ||||||
| 6 | Ultimate Software Group, Inc. (a) | 523 | ||||||
|
| |||||||
| 15,612 | ||||||||
|
| |||||||
Total Information Technology | 76,416 | |||||||
|
| |||||||
Materials — 6.6% |
| |||||||
Chemicals — 2.7% |
| |||||||
| 17 | Air Products & Chemicals, Inc. | 1,363 | ||||||
| 8 | Airgas, Inc. | 676 | ||||||
| 30 | Ashland, Inc. | 2,102 | ||||||
| 37 | Dow Chemical Co. (The) | 1,163 | ||||||
| 22 | FMC Corp. | 1,185 | ||||||
| 23 | Innophos Holdings, Inc. | 1,320 | ||||||
| 16 | International Flavors & Fragrances, Inc. | 891 | ||||||
| 13 | Praxair, Inc. | 1,415 | ||||||
| 40 | Scotts Miracle-Gro Co. (The), Class A | 1,642 | ||||||
| 21 | Sensient Technologies Corp. | 783 | ||||||
| 15 | Sigma-Aldrich Corp. | 1,136 | ||||||
|
| |||||||
| 13,676 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 33 | Texas Industries, Inc. | 1,297 | ||||||
|
| |||||||
Containers & Packaging — 1.2% |
| |||||||
| 18 | Aptargroup, Inc. | 907 | ||||||
| 19 | Greif, Inc., Class A | 767 | ||||||
| 74 | Packaging Corp. of America | 2,085 | ||||||
| 21 | Rock-Tenn Co., Class A | 1,134 | ||||||
| 81 | Sealed Air Corp. | 1,243 | ||||||
|
| |||||||
| 6,136 | ||||||||
|
| |||||||
Metals & Mining — 2.3% |
| |||||||
| 291 | AK Steel Holding Corp. | 1,711 | ||||||
| 60 | Allied Nevada Gold Corp. (a) | 1,695 | ||||||
| 119 | Century Aluminum Co. (a) | 874 | ||||||
| 15 | Compass Minerals International, Inc. | 1,151 | ||||||
| 86 | Globe Specialty Metals, Inc. | 1,149 | ||||||
| 354 | Hecla Mining Co. | 1,683 | ||||||
| 209 | Thompson Creek Metals Co., Inc. (a) | 668 | ||||||
| 116 | Titanium Metals Corp. | 1,313 | ||||||
| 32 | Walter Energy, Inc. | 1,420 | ||||||
|
| |||||||
| 11,664 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — Continued |
| ||||||
Paper & Forest Products — 0.2% |
| |||||||
| 41 | MeadWestvaco Corp. | 1,168 | ||||||
|
| |||||||
Total Materials | 33,941 | |||||||
|
| |||||||
Telecommunication Services — 0.6% |
| |||||||
Diversified Telecommunication Services — 0.1% |
| |||||||
| 35 | Level 3 Communications, Inc. (a) | 769 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
| 20 | Crown Castle International Corp. (a) | 1,181 | ||||||
| 131 | NII Holdings, Inc. (a) | 1,340 | ||||||
|
| |||||||
| 2,521 | ||||||||
|
| |||||||
Total Telecommunication Services | 3,290 | |||||||
|
| |||||||
Utilities — 5.5% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
| 35 | Cleco Corp. | 1,469 | ||||||
| 10 | Edison International | 465 | ||||||
| 25 | Exelon Corp. | 937 | ||||||
| 32 | Great Plains Energy, Inc. | 694 | ||||||
| 30 | IDACORP, Inc. | 1,259 | ||||||
| 53 | Northeast Utilities | 2,056 | ||||||
| 41 | Southern Co. (The) | 1,914 | ||||||
| 32 | UIL Holdings Corp. | 1,163 | ||||||
| 52 | Westar Energy, Inc. | 1,571 | ||||||
|
| |||||||
| 11,528 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.7% |
| |||||||
| 32 | National Fuel Gas Co. | 1,518 | ||||||
| 37 | Piedmont Natural Gas Co., Inc. | 1,176 | ||||||
| 22 | South Jersey Industries, Inc. | 1,118 | ||||||
|
| |||||||
| 3,812 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.8% |
| |||||||
| 81 | Atlantic Power Corp. | 1,036 | ||||||
| 116 | Calpine Corp. (a) | 1,916 | ||||||
| 455 | GenOn Energy, Inc. (a) | 777 | ||||||
| 23 | NRG Energy, Inc. (a) | 402 | ||||||
|
| |||||||
| 4,131 | ||||||||
|
| |||||||
Multi-Utilities — 1.8% |
| |||||||
| 21 | Consolidated Edison, Inc. | 1,331 | ||||||
| 33 | Dominion Resources, Inc. | 1,794 | ||||||
| 22 | Integrys Energy Group, Inc. | 1,251 | ||||||
| 22 | MDU Resources Group, Inc. | 471 | ||||||
| 66 | NiSource, Inc. | 1,643 | ||||||
| 36 | SCANA Corp. | 1,703 | ||||||
| 21 | Wisconsin Energy Corp. | 843 | ||||||
|
| |||||||
| 9,036 | ||||||||
|
| |||||||
Total Utilities | 28,507 | |||||||
|
| |||||||
Total Short Positions | $ | 460,231 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% |
| ||||||
Consumer Discretionary — 12.1% |
| |||||||
Distributors — 1.0% |
| |||||||
| 190 | Genuine Parts Co. | 11,441 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
| 288 | Marriott International, Inc., Class A | 11,297 | ||||||
| 112 | McDonald’s Corp. | 9,942 | ||||||
| 86 | Monarch Casino & Resort, Inc. (a) | 787 | ||||||
|
| |||||||
| 22,026 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.6% |
| |||||||
| 130 | Expedia, Inc. | 6,249 | ||||||
|
| |||||||
Media — 3.4% |
| |||||||
| 736 | Belo Corp., Class A | 4,742 | ||||||
| 232 | CBS Corp. (Non-Voting), Class B | 7,611 | ||||||
| 391 | Clear Channel Outdoor Holdings, Inc., Class A (a) | 2,354 | ||||||
| 629 | Entercom Communications Corp., Class A (a) | 3,787 | ||||||
| 297 | Gannett Co., Inc. | 4,369 | ||||||
| 130 | Time Warner Cable, Inc. | 10,681 | ||||||
| 13 | Washington Post Co. (The), Class B | 4,860 | ||||||
|
| |||||||
| 38,404 | ||||||||
|
| |||||||
Multiline Retail — 1.5% |
| |||||||
| 374 | Kohl’s Corp. | 17,018 | ||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
| 37 | AutoZone, Inc. (a) | 13,666 | ||||||
| 37 | Bed Bath & Beyond, Inc. (a) | 2,299 | ||||||
| 288 | Home Depot, Inc. (The) | 15,261 | ||||||
| 51 | TJX Cos., Inc. | 2,185 | ||||||
| 242 | Williams-Sonoma, Inc. | 8,453 | ||||||
|
| |||||||
| 41,864 | ||||||||
|
| |||||||
Total Consumer Discretionary | 137,002 | |||||||
|
| |||||||
Consumer Staples — 3.4% |
| |||||||
Beverages — 0.8% |
| |||||||
| 83 | Diageo plc, (United Kingdom), ADR | 8,534 | ||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
| 316 | Walgreen Co. | 9,353 | ||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
| 331 | Procter & Gamble Co. (The) | 20,256 | ||||||
|
| |||||||
Total Consumer Staples | 38,143 | |||||||
|
| |||||||
Energy — 12.3% |
| |||||||
Oil, Gas & Consumable Fuels — 12.3% |
| |||||||
| 452 | Devon Energy Corp. | 26,211 | ||||||
| 346 | Energen Corp. | 15,631 | ||||||
| 502 | Exxon Mobil Corp. | 42,956 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 260 | Kinder Morgan, Inc. | 8,384 | ||||||
| 318 | NuStar GP Holdings LLC | 9,856 | ||||||
| 160 | Phillips 66 (a) | 5,325 | ||||||
| 240 | QEP Resources, Inc. | 7,181 | ||||||
| 280 | Southwestern Energy Co. (a) | 8,940 | ||||||
| 376 | Teekay Corp., (Bermuda) | 10,998 | ||||||
| 139 | Williams Cos., Inc. (The) | 4,006 | ||||||
|
| |||||||
Total Energy | 139,488 | |||||||
|
| |||||||
Financials — 33.7% |
| |||||||
Capital Markets — 4.5% |
| |||||||
| 316 | Ameriprise Financial, Inc. | 16,504 | ||||||
| 868 | Charles Schwab Corp. (The) | 11,219 | ||||||
| 515 | Invesco Ltd. | 11,639 | ||||||
| 416 | Legg Mason, Inc. | 10,973 | ||||||
| 4 | W.P. Carey & Co. LLC | 164 | ||||||
|
| |||||||
| 50,499 | ||||||||
|
| |||||||
Commercial Banks — 8.5% |
| |||||||
| 121 | City National Corp. | 5,878 | ||||||
| 55 | Cullen/Frost Bankers, Inc. | 3,145 | ||||||
| 182 | M&T Bank Corp. | 15,061 | ||||||
| 487 | SunTrust Banks, Inc. | 11,810 | ||||||
| 511 | U.S. Bancorp | 16,440 | ||||||
| 1,314 | Wells Fargo & Co. | 43,923 | ||||||
|
| |||||||
| 96,257 | ||||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
| 337 | Capital One Financial Corp. | 18,404 | ||||||
|
| |||||||
Diversified Financial Services — 2.5% |
| |||||||
| 1,795 | Bank of America Corp. | 14,680 | ||||||
| 495 | Citigroup, Inc. | 13,558 | ||||||
|
| |||||||
| 28,238 | ||||||||
|
| |||||||
Insurance — 12.1% |
| |||||||
| 45 | Alleghany Corp. (a) | 15,357 | ||||||
| 73 | Allied World Assurance Co. Holdings AG, (Switzerland) | 5,809 | ||||||
| 564 | American International Group, Inc. (a) | 18,105 | ||||||
| — | (h) | Berkshire Hathaway, Inc., Class A (a) | 15,993 | |||||
| 164 | Endurance Specialty Holdings Ltd., (Bermuda) | 6,292 | ||||||
| 726 | Loews Corp. | 29,680 | ||||||
| 715 | Old Republic International Corp. | 5,926 | ||||||
| 247 | OneBeacon Insurance Group Ltd., Class A | 3,217 | ||||||
| 158 | Prudential Financial, Inc. | 7,628 | ||||||
| 224 | Travelers Cos., Inc. (The) | 14,307 | ||||||
| 427 | Unum Group | 8,172 | ||||||
| 153 | W.R. Berkley Corp. | 5,970 | ||||||
|
| |||||||
| 136,456 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — 2.4% |
| |||||||
| 212 | Agree Realty Corp. | 4,698 | ||||||
| 694 | Cousins Properties, Inc. | 5,376 | ||||||
| 472 | CreXus Investment Corp. | 4,805 | ||||||
| 483 | Excel Trust, Inc. | 5,778 | ||||||
| 155 | Rayonier, Inc. | 6,973 | ||||||
|
| |||||||
| 27,630 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
| 203 | Brookfield Asset Management, Inc., (Canada), Class A | 6,709 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.5% |
| |||||||
| 279 | Capitol Federal Financial, Inc. | 3,315 | ||||||
| 508 | EverBank Financial Corp. (a) | 5,523 | ||||||
| 713 | People’s United Financial, Inc. | 8,277 | ||||||
|
| |||||||
| 17,115 | ||||||||
|
| |||||||
Total Financials | 381,308 | |||||||
|
| |||||||
Health Care — 11.2% |
| |||||||
Health Care Equipment & Supplies — 0.5% |
| |||||||
| 104 | Covidien plc, (Ireland) | 5,564 | ||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
| 104 | Humana, Inc. | 8,077 | ||||||
| 411 | Lincare Holdings, Inc. | 13,974 | ||||||
| 134 | McKesson Corp. | 12,553 | ||||||
| 217 | National Healthcare Corp. | 9,811 | ||||||
|
| |||||||
| 44,415 | ||||||||
|
| |||||||
Pharmaceuticals — 6.8% |
| |||||||
| 272 | Bristol-Myers Squibb Co. | 9,779 | ||||||
| 301 | Johnson & Johnson | 20,342 | ||||||
| 383 | Merck & Co., Inc. | 15,990 | ||||||
| 1,313 | Pfizer, Inc. | 30,204 | ||||||
|
| |||||||
| 76,315 | ||||||||
|
| |||||||
Total Health Care | 126,294 | |||||||
|
| |||||||
Industrials — 4.6% |
| |||||||
Electrical Equipment — 0.8% |
| |||||||
| 191 | Emerson Electric Co. | 8,906 | ||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
| 289 | Carlisle Cos., Inc. | 15,302 | ||||||
|
| |||||||
Machinery — 0.9% |
| |||||||
| 206 | Illinois Tool Works, Inc. | 10,874 | ||||||
|
| |||||||
Professional Services — 1.3% |
| |||||||
| 56 | Dun & Bradstreet Corp. (The) | 3,992 | ||||||
| 227 | Equifax, Inc. | 10,569 | ||||||
|
| |||||||
| 14,561 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.3% |
| |||||||
| 155 | Air Lease Corp. (a) | 3,011 | ||||||
|
| |||||||
Total Industrials | 52,654 | |||||||
|
| |||||||
Information Technology — 3.5% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
| 484 | Cisco Systems, Inc. | 8,309 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.4% |
| |||||||
| 230 | Analog Devices, Inc. | 8,668 | ||||||
| 288 | Intel Corp. | 7,678 | ||||||
|
| |||||||
| 16,346 | ||||||||
|
| |||||||
Software — 1.4% |
| |||||||
| 498 | Microsoft Corp. | 15,218 | ||||||
|
| |||||||
Total Information Technology | 39,873 | |||||||
|
| |||||||
Materials — 4.6% |
| |||||||
Chemicals — 1.5% |
| |||||||
| 218 | Albemarle Corp. | 12,995 | ||||||
| 30 | Sherwin-Williams Co. (The) | 3,984 | ||||||
|
| |||||||
| 16,979 | ||||||||
|
| |||||||
Construction Materials — 1.0% |
| |||||||
| 145 | Martin Marietta Materials, Inc. | 11,453 | ||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
| 205 | Rock-Tenn Co., Class A | 11,155 | ||||||
|
| |||||||
Paper & Forest Products — 1.1% |
| |||||||
| 424 | MeadWestvaco Corp. | 12,199 | ||||||
|
| |||||||
Total Materials | 51,786 | |||||||
|
| |||||||
Telecommunication Services — 4.0% |
| |||||||
Diversified Telecommunication Services — 2.8% |
| |||||||
| 894 | AT&T, Inc. | 31,869 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.2% |
| |||||||
| 117 | Telephone & Data Systems, Inc. | 2,500 | ||||||
| 386 | Vodafone Group plc, (United Kingdom), ADR | 10,867 | ||||||
|
| |||||||
| 13,367 | ||||||||
|
| |||||||
Total Telecommunication Services | 45,236 | |||||||
|
| |||||||
Utilities — 7.9% |
| |||||||
Electric Utilities — 4.6% |
| |||||||
| 207 | NextEra Energy, Inc. | 14,264 | ||||||
| 320 | Northeast Utilities | 12,408 | ||||||
| 240 | Progress Energy, Inc. | 14,429 | ||||||
| 236 | Southern Co. (The) | 10,931 | ||||||
|
| |||||||
| 52,032 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 49 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Gas Utilities — 1.0% |
| |||||||
| 209 | Atmos Energy Corp. | 7,323 | ||||||
| 89 | ONEOK, Inc. | 3,774 | ||||||
|
| |||||||
| 11,097 | ||||||||
|
| |||||||
Multi-Utilities — 2.3% |
| |||||||
| 253 | PG&E Corp. | 11,453 | ||||||
| 219 | Sempra Energy | 15,050 | ||||||
|
| |||||||
| 26,503 | ||||||||
|
| |||||||
Total Utilities | 89,632 | |||||||
|
| |||||||
Total Common Stocks | 1,101,416 | |||||||
|
| |||||||
| Investment Company — 0.5% |
| ||||||
| 379 | Cohen & Steers Infrastructure Fund, Inc. | 6,526 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
| 23,563 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 23,563 | ||||||
|
| |||||||
Total Investments — 99.9% | 1,131,505 | |||||||
Other Assets in Excess of | 634 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,132,139 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
J.P. Morgan Mid Cap/Multi-Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
| ADR | — American Depositary Receipt | |||||
| (a) | — Non-income producing security. | |||||
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |||||
| (c) | — Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction. | |||||
| (g) | — Amount rounds to less than 0.1%. | |||||
| (h) | — Amount rounds to less than one thousand (shares or dollars). | |||||
| (j) | — All or a portion of these securities are segregated for short sales. | |||||
| (l) | — The rate shown is the current yield as of June 30, 2012. | |||||
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(Amounts in thousands, except per share amounts)
| Growth Advantage Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 1,294,824 | $ | 341,131 | $ | 790,558 | $ | 1,380,457 | ||||||||
Investments in affiliates, at value | 55,818 | 8,465 | 30,451 | 62,795 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 1,350,642 | 349,596 | 821,009 | 1,443,252 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 14,465 | 6,315 | 3,729 | 1,730 | ||||||||||||
Fund shares sold | 3,116 | 938 | 1,957 | 1,596 | ||||||||||||
Dividends from non-affiliates | 371 | 311 | 707 | 473 | ||||||||||||
Dividends from affiliates | 6 | 2 | 4 | 7 | ||||||||||||
Securities lending income | — | — | — | (a) | 1 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 1,368,600 | 357,162 | 827,406 | 1,447,059 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | — | — | 193 | — | ||||||||||||
Investment securities purchased | 8,459 | 845 | 2,472 | 1,597 | ||||||||||||
Collateral for securities lending program | — | — | 1,138 | 3,821 | ||||||||||||
Fund shares redeemed | 3,349 | 6,475 | 1,400 | 13,207 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 698 | 179 | 401 | 704 | ||||||||||||
Administration fees | 94 | 23 | 47 | — | ||||||||||||
Shareholder servicing fees | 190 | 63 | 1 | 242 | ||||||||||||
Distribution fees | 57 | — | (a) | 2 | 129 | |||||||||||
Custodian and accounting fees | 11 | 6 | 5 | 11 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | 2 | 1 | ||||||||||
Other | 185 | 49 | 411 | 531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 13,043 | 7,640 | 6,072 | 20,243 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 1,355,557 | $ | 349,522 | $ | 821,334 | $ | 1,426,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 1,148,832 | $ | 335,404 | $ | 710,889 | $ | 1,221,707 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (340 | ) | 1,332 | (206 | ) | (84 | ) | |||||||||
Accumulated net realized gains (losses) | (17,549 | ) | (1,428 | ) | (13,532 | ) | (36,970 | ) | ||||||||
Net unrealized appreciation (depreciation) | 224,614 | 14,214 | 124,183 | 242,163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 1,355,557 | $ | 349,522 | $ | 821,334 | $ | 1,426,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 194,911 | $ | 455 | $ | 6,965 | $ | 538,323 | ||||||||
Class B | 2,327 | — | — | 9,948 | ||||||||||||
Class C | 27,469 | 125 | 1,244 | 22,190 | ||||||||||||
Class R2 | — | 57 | — | 230 | ||||||||||||
Class R5 | 468,064 | 58 | — | 14,837 | ||||||||||||
Class R6 | — | 28,251 | — | 13,982 | ||||||||||||
Select Class | 662,786 | 320,576 | 813,125 | 827,306 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,355,557 | $ | 349,522 | $ | 821,334 | $ | 1,426,816 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 20,544 | 27 | 225 | 27,572 | ||||||||||||
Class B | 266 | — | — | 674 | ||||||||||||
Class C | 3,133 | 7 | 40 | 1,292 | ||||||||||||
Class R2 | — | 3 | — | 11 | ||||||||||||
Class R5 | 48,286 | 3 | — | 701 | ||||||||||||
Class R6 | — | 1,640 | — | 660 | ||||||||||||
Select Class | 68,850 | 18,657 | 26,190 | 39,109 | ||||||||||||
Net Asset Value (b): | ||||||||||||||||
Class A — Redemption price per share | $ | 9.49 | $ | 17.16 | $ | 30.97 | $ | 19.52 | ||||||||
Class B — Offering price per share (c) | 8.76 | — | — | 14.76 | ||||||||||||
Class C — Offering price per share (c) | 8.77 | 17.03 | 30.75 | 17.17 | ||||||||||||
Class R2 — Offering and redemption price per share | — | 17.10 | — | 20.83 | ||||||||||||
Class R5 — Offering and redemption price per share | 9.69 | 17.23 | — | 21.18 | ||||||||||||
Class R6 — Offering and redemption price per share | — | 17.23 | — | 21.19 | ||||||||||||
Select Class — Offering and redemption price per share | 9.63 | 17.18 | 31.05 | 21.15 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 10.02 | $ | 18.11 | $ | 32.69 | $ | 20.60 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 1,070,210 | $ | 326,917 | $ | 666,375 | $ | 1,138,294 | ||||||||
Cost of investments in affiliates | 55,818 | 8,465 | 30,451 | 62,795 | ||||||||||||
Value of securities on loan | — | — | 1,140 | 3,831 | ||||||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except per share amounts)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 7,494,701 | $ | 466,151 | $ | 1,107,942 | ||||||
Investments in affiliates, at value | 307,131 | 61,615 | 23,563 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 7,801,832 | 527,766 | 1,131,505 | |||||||||
Deposits at broker for securities sold short | — | 447,003 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 60,017 | 11 | 2,888 | |||||||||
Fund shares sold | 17,642 | 6 | 1,971 | |||||||||
Dividends from non-affiliates | 11,352 | 337 | 1,838 | |||||||||
Dividends from affiliates | 32 | 10 | 4 | |||||||||
Securities lending income | 1 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 7,890,876 | 975,133 | 1,138,206 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Securities sold short, at value | — | 460,231 | — | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 392 | — | |||||||||
Investment securities purchased | 40,910 | — | 2,127 | |||||||||
Interest expense to non-affiliates on securities sold short | — | 46 | — | |||||||||
Collateral for securities lending program | 3,735 | — | — | |||||||||
Fund shares redeemed | 29,639 | 116 | 2,854 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 3,397 | 501 | 524 | |||||||||
Shareholder servicing fees | 822 | 4 | 149 | |||||||||
Distribution fees | 660 | 15 | 112 | |||||||||
Custodian and accounting fees | 44 | 11 | 7 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 4 | — | (a) | 1 | ||||||||
Other | 2,118 | 177 | 293 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 81,329 | 461,493 | 6,067 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 7,809,547 | $ | 513,640 | $ | 1,132,139 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 6,254,438 | $ | 557,822 | $ | 1,005,657 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 72,280 | (3,153 | ) | 9,188 | ||||||||
Accumulated net realized gains (losses) | (165,001 | ) | (92,521 | ) | (26,652 | ) | ||||||
Net unrealized appreciation (depreciation) | 1,647,830 | 51,492 | 143,946 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 7,809,547 | $ | 513,640 | $ | 1,132,139 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,986,930 | $ | 19,759 | $ | 206,816 | ||||||
Class B | 57,100 | 1,401 | — | |||||||||
Class C | 370,781 | 15,677 | 117,937 | |||||||||
Class R2 | 14,824 | — | — | |||||||||
Institutional Class | 3,543,900 | — | 384,525 | |||||||||
Select Class | 1,836,012 | 476,803 | 422,861 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 7,809,547 | $ | 513,640 | $ | 1,132,139 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 77,007 | 2,039 | 10,360 | |||||||||
Class B | 2,269 | 151 | — | |||||||||
Class C | 14,747 | 1,686 | 5,923 | |||||||||
Class R2 | 589 | — | — | |||||||||
Institutional Class | 135,038 | — | 19,232 | |||||||||
Select Class | 70,587 | 48,571 | 21,145 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 25.80 | $ | 9.69 | $ | 19.96 | ||||||
Class B — Offering price per share (c) | 25.16 | 9.29 | — | |||||||||
Class C — Offering price per share (c) | 25.14 | 9.30 | 19.91 | |||||||||
Class R2 — Offering and redemption price per share | 25.18 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 26.24 | — | 19.99 | |||||||||
Select Class — Offering and redemption price per share | 26.01 | 9.82 | 20.00 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 27.23 | $ | 10.23 | $ | 21.07 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 5,846,871 | $ | 434,789 | $ | 963,996 | ||||||
Cost of investments in affiliates | 307,131 | 61,615 | 23,563 | |||||||||
Value of securities on loan | 3,701 | — | — | |||||||||
Proceeds received from securities sold short | — | 480,361 | — | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Core Fund | Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from non-affiliates | $ | 10,190 | $ | 4,337 | $ | 9,221 | $ | 14,646 | ||||||||
Dividend income from affiliates | 34 | 15 | 24 | 50 | ||||||||||||
Income from securities lending (net) | 109 | — | 32 | 180 | ||||||||||||
Other income | — | — | — | 58 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 10,333 | 4,352 | 9,277 | 14,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 7,640 | 1,612 | 3,936 | 9,621 | ||||||||||||
Administration fees | 1,031 | 217 | 531 | 1,299 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 436 | 1 | 11 | 1,462 | ||||||||||||
Class B | 19 | — | — | 99 | ||||||||||||
Class C | 167 | 1 | 4 | 179 | ||||||||||||
Class R2 | — | — | (a) | — | 1 | |||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 436 | 1 | 11 | 1,462 | ||||||||||||
Class B | 6 | — | — | 33 | ||||||||||||
Class C | 55 | — | (a) | 2 | 60 | |||||||||||
Class R2 | — | — | (a) | — | — | (a) | ||||||||||
Class R5 | 126 | — | (a) | — | 2 | |||||||||||
Select Class | 1,813 | 590 | 1,501 | 2,124 | ||||||||||||
Custodian and accounting fees | 51 | 27 | 30 | 75 | ||||||||||||
Interest expense to affiliates | — | (a) | — | — | — | |||||||||||
Professional fees | 55 | 35 | 42 | 49 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 11 | 2 | 6 | 12 | ||||||||||||
Printing and mailing costs | 99 | 11 | 299 | 325 | ||||||||||||
Registration and filing fees | 77 | 65 | 74 | 5 | ||||||||||||
Transfer agent fees | 361 | 10 | 1,435 | 1,515 | ||||||||||||
Other | 88 | 13 | 6 | 21 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 12,471 | 2,585 | 7,888 | 18,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (145 | ) | (154 | ) | (2,456 | ) | (2,543 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 12,326 | 2,431 | 5,432 | 15,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | (1,993 | ) | 1,921 | 3,845 | (867 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 36,525 | (1,412 | ) | 7,873 | 73,405 | |||||||||||
Futures | — | — | — | 979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 36,525 | (1,412 | ) | 7,873 | 74,384 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments in non-affiliates | (18,846 | ) | 13,816 | (3,327 | ) | (186,393 | ) | |||||||||
Futures | — | — | — | (173 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | (18,846 | ) | 13,816 | (3,327 | ) | (186,566 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 17,679 | 12,404 | 4,546 | (112,182 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 15,686 | $ | 14,325 | $ | 8,391 | $ | (113,049 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from affiliates | $ | — | $ | 12 | $ | — | ||||||
Dividend income from non-affiliates | 139,475 | 7,388 | 23,912 | |||||||||
Dividend income from affiliates | 284 | 73 | 35 | |||||||||
Income from securities lending (net) | 25 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 139,784 | 7,473 | 23,947 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 43,973 | 6,504 | 5,993 | |||||||||
Administration fees | 5,931 | 457 | 808 | |||||||||
Distribution fees: | ||||||||||||
Class A | 4,628 | 61 | 513 | |||||||||
Class B | 515 | 18 | — | |||||||||
Class C | 2,597 | 138 | 868 | |||||||||
Class R2 | 47 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 4,628 | 61 | 513 | |||||||||
Class B | 172 | 6 | — | |||||||||
Class C | 866 | 46 | 289 | |||||||||
Class R2 | 23 | — | — | |||||||||
Institutional Class | 2,947 | — | 314 | |||||||||
Select Class | 3,856 | 1,188 | 718 | |||||||||
Custodian and accounting fees | 246 | 76 | 45 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 105 | 64 | 56 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 73 | 2 | 7 | |||||||||
Printing and mailing costs | 1,079 | 32 | 184 | |||||||||
Registration and filing fees | 277 | 44 | 83 | |||||||||
Transfer agent fees | 9,620 | 291 | 1,200 | |||||||||
Other | 146 | 8 | 7 | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 6,489 | — | |||||||||
Interest expense to non-affiliates on securities sold short | — | 682 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 81,729 | 16,167 | 11,598 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (14,427 | ) | (2,330 | ) | (1,835 | ) | ||||||
Less earnings credits | — | — | (a) | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 67,302 | 13,837 | 9,763 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 72,482 | (6,364 | ) | 14,184 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 226,074 | 27,887 | 35,802 | |||||||||
Securities sold short | — | (853 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 226,074 | 27,034 | 35,802 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 80,566 | (57,524 | ) | 1,096 | ||||||||
Securities sold short | — | 30,986 | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 80,566 | (26,538 | ) | 1,096 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 306,640 | 496 | 36,898 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 379,122 | $ | (5,868 | ) | $ | 51,082 | |||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Core Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Period Ended 6/30/2011 (a) | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (1,993 | ) | $ | (2,651 | ) | $ | 1,921 | $ | 44 | ||||||
Net realized gain (loss) | 36,525 | 80,245 | (1,412 | ) | 78 | |||||||||||
Change in net unrealized appreciation (depreciation) | (18,846 | ) | 181,810 | 13,816 | 398 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 15,686 | 259,404 | 14,325 | 520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | — | (b) | — | (b) | ||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | — | (b) | — | |||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | — | (b) | — | |||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | — | (b) | — | (b) | ||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Class R6 (c) | ||||||||||||||||
From net investment income | — | — | — | (b) | — | |||||||||||
From net realized gains | — | — | — | (b) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (632 | ) | (1 | ) | ||||||||||
From net realized gains | — | — | (94 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (726 | ) | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 123,715 | 157,627 | 244,141 | 91,263 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 139,401 | 417,031 | 257,740 | 91,782 | ||||||||||||
Beginning of period | 1,216,156 | 799,125 | 91,782 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,355,557 | $ | 1,216,156 | $ | 349,522 | $ | 91,782 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (340 | ) | $ | (37 | ) | $ | 1,332 | $ | 44 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was November 30, 2010. |
| (b) | Amount rounds to less than $1,000. |
| (c) | Commencement of offering of class of shares effective January 31, 2011 for Mid Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 3,845 | $ | 2,229 | $ | (867 | ) | $ | (4,513 | ) | ||||||
Net realized gain (loss) | 7,873 | 27,793 | 74,384 | 267,778 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (3,327 | ) | 96,239 | (186,566 | ) | 276,234 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 8,391 | 126,261 | (113,049 | ) | 539,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (15 | ) | (5 | ) | — | — | ||||||||||
From net realized gains | — | — | (55,641 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net realized gains | — | — | (1,640 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | (a) | — | (a) | — | — | ||||||||||
From net realized gains | — | — | (2,514 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net realized gains | — | — | (16 | ) | — | |||||||||||
Class R5 (b) | ||||||||||||||||
From net realized gains | — | — | (5 | ) | — | |||||||||||
Class R6 (b) | �� | |||||||||||||||
From net realized gains | — | — | (5 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (3,722 | ) | (1,984 | ) | — | — | ||||||||||
From net realized gains | — | — | (74,559 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (3,737 | ) | (1,989 | ) | (134,380 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 244,461 | (16,990 | ) | (101,508 | ) | (53,988 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 249,115 | 107,282 | (348,937 | ) | 485,511 | |||||||||||
Beginning of period | 572,219 | 464,937 | 1,775,753 | 1,290,242 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 821,334 | $ | 572,219 | $ | 1,426,816 | $ | 1,775,753 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (206 | ) | $ | (220 | ) | $ | (84 | ) | $ | (122 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Commencement of offering of class of shares effective November 1, 2011 for Mid Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 72,482 | $ | 62,082 | $ | (6,364 | ) | $ | (8,614 | ) | ||||||
Net realized gain (loss) | 226,074 | 261,794 | 27,034 | 12,061 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 80,566 | 1,311,629 | (26,538 | ) | 3,429 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 379,122 | 1,635,505 | (5,868 | ) | 6,876 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (12,100 | ) | (15,422 | ) | — | — | ||||||||||
Class B | ||||||||||||||||
From net investment income | — | (167 | ) | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (616 | ) | (1,171 | ) | — | — | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (67 | ) | (36 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (33,157 | ) | (29,944 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (14,296 | ) | (13,423 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (60,236 | ) | (60,163 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 714,827 | 111,762 | (26,939 | ) | (35,976 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,033,713 | 1,687,104 | (32,807 | ) | (29,100 | ) | ||||||||||
Beginning of period | 6,775,834 | 5,088,730 | 546,447 | 575,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 7,809,547 | $ | 6,775,834 | $ | 513,640 | $ | 546,447 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 72,280 | $ | 60,033 | $ | (3,153 | ) | $ | (37 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Value Advantage Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 14,184 | $ | 10,539 | ||||
Net realized gain (loss) | 35,802 | 43,953 | ||||||
Change in net unrealized appreciation (depreciation) | 1,096 | 101,318 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 51,082 | 155,810 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (2,164 | ) | (1,878 | ) | ||||
Class C | ||||||||
From net investment income | (619 | ) | (513 | ) | ||||
Institutional Class | ||||||||
From net investment income | (4,920 | ) | (3,215 | ) | ||||
Select Class | ||||||||
From net investment income | (3,577 | ) | (2,578 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (11,280 | ) | (8,184 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | 173,496 | 285,229 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 213,298 | 432,855 | ||||||
Beginning of period | 918,841 | 485,986 | ||||||
|
|
|
| |||||
End of period | $ | 1,132,139 | $ | 918,841 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 9,188 | $ | 5,361 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 61 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Core Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Period Ended 6/30/2011 (a) | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 81,189 | $ | 92,600 | $ | 463 | $ | 296 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | (b) | ||||||||||
Cost of shares redeemed | (65,978 | ) | (59,032 | ) | (281 | ) | (33 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 15,211 | $ | 33,568 | $ | 182 | $ | 263 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 158 | $ | 267 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (1,004 | ) | (1,177 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (846 | ) | $ | (910 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 15,180 | $ | 11,077 | $ | 50 | $ | 100 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Cost of shares redeemed | (8,713 | ) | (7,860 | ) | (24 | ) | (9 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 6,467 | $ | 3,217 | $ | 26 | $ | 91 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | — | (b) | $ | 50 | |||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Cost of shares redeemed | — | — | — | — | (b) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | — | (b) | $ | 50 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 289,698 | $ | 67,907 | $ | — | $ | 50 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | (b) | ||||||||||
Cost of shares redeemed | (4,352 | ) | �� | (762 | ) | — | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 285,346 | $ | 67,145 | $ | — | (b) | $ | 50 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 33,949 | $ | 50 | ||||||||
Dividends and distributions reinvested | — | — | — | (b) | — | |||||||||||
Cost of shares redeemed | — | — | (6,403 | ) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 27,546 | $ | 50 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 124,637 | $ | 418,656 | $ | 282,102 | $ | 94,382 | ||||||||
Dividends and distributions reinvested | — | — | 9 | 1 | ||||||||||||
Cost of shares redeemed | (307,100 | ) | (364,049 | ) | (65,724 | ) | (3,624 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (182,463 | ) | $ | 54,607 | $ | 216,387 | $ | 90,759 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 123,715 | $ | 157,627 | $ | 244,141 | $ | 91,263 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Core Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Period Ended 6/30/2011 (a) | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 8,808 | 10,834 | 28 | 18 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
Redeemed | (7,290 | ) | (6,865 | ) | (17 | ) | (2 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,518 | 3,969 | 11 | 16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 19 | 32 | — | — | ||||||||||||
Redeemed | (120 | ) | (152 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (101 | ) | (120 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,759 | 1,351 | 2 | 6 | ||||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Redeemed | (1,026 | ) | (981 | ) | (1 | ) | — | (b) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 733 | 370 | 1 | 6 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | — | (b) | 3 | |||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Redeemed | — | — | — | — | (b) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | — | (b) | 3 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 29,732 | 7,917 | — | 3 | ||||||||||||
Reinvested | — | — | — | (b) | — | (b) | ||||||||||
Redeemed | (477 | ) | (85 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 29,255 | 7,832 | — | (b) | 3 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Issued | — | — | 2,008 | 3 | ||||||||||||
Reinvested | — | — | — | (b) | — | |||||||||||
Redeemed | — | — | (371 | ) | — | (b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 1,637 | 3 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 13,293 | 46,982 | 17,322 | 5,510 | ||||||||||||
Reinvested | — | — | — | (b) | — | (a) | ||||||||||
Redeemed | (33,452 | ) | (46,450 | ) | (3,965 | ) | (210 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (20,159 | ) | 532 | 13,357 | 5,300 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of operations was November 30, 2010. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
| (c) | Commencement of offering of class of shares effective January 31, 2011 for Mid Cap Core Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 63 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 5,617 | $ | 2,423 | $ | 56,755 | $ | 75,693 | ||||||||
Dividends and distributions reinvested | 15 | 5 | 51,675 | — | ||||||||||||
Cost of shares redeemed | (1,592 | ) | (1,487 | ) | (161,251 | ) | (160,643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 4,040 | $ | 941 | $ | (52,821 | ) | $ | (84,950 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 386 | $ | 693 | ||||||||
Dividends and distributions reinvested | — | — | 1,556 | — | ||||||||||||
Cost of shares redeemed | — | — | (7,602 | ) | (10,361 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | — | $ | — | $ | (5,660 | ) | $ | (9,668 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,031 | $ | 443 | $ | 2,483 | $ | 3,672 | ||||||||
Dividends and distributions reinvested | — | (a) | — | (a) | 2,079 | — | ||||||||||
Cost of shares redeemed | (204 | ) | (113 | ) | (6,708 | ) | (6,894 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 827 | $ | 330 | $ | (2,146 | ) | $ | (3,222 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 149 | $ | 31 | ||||||||
Dividends and distributions reinvested | — | — | 16 | — | ||||||||||||
Cost of shares redeemed | — | — | (20 | ) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | 145 | $ | 31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 16,731 | $ | — | ||||||||
Dividends and distributions reinvested | — | — | 5 | — | ||||||||||||
Cost of shares redeemed | — | — | (1,084 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | — | $ | — | $ | 15,652 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 15,116 | $ | — | ||||||||
Dividends and distributions reinvested | — | — | 5 | — | ||||||||||||
Cost of shares redeemed | — | — | (388 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | — | $ | — | $ | 14,733 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 389,366 | $ | 269,128 | $ | 195,789 | $ | 247,747 | ||||||||
Dividends and distributions reinvested | 3,142 | 447 | 62,923 | — | ||||||||||||
Cost of shares redeemed | (152,914 | ) | (287,836 | ) | (330,123 | ) | (203,926 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 239,594 | $ | (18,261 | ) | $ | (71,411 | ) | $ | 43,821 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 244,461 | $ | (16,990 | ) | $ | (101,508 | ) | $ | (53,988 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Mid Cap Equity Fund | Mid Cap Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 186 | 84 | 2,826 | 3,594 | ||||||||||||
Reinvested | 1 | — | (a) | 2,951 | — | |||||||||||
Redeemed | (55 | ) | (52 | ) | (8,087 | ) | (7,968 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 132 | 32 | (2,310 | ) | (4,374 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 26 | 41 | ||||||||||||
Reinvested | — | — | 117 | — | ||||||||||||
Redeemed | — | — | (489 | ) | (641 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (346 | ) | (600 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 33 | 15 | 137 | 189 | ||||||||||||
Reinvested | — | (a) | — | (a) | 135 | — | ||||||||||
Redeemed | (7 | ) | (4 | ) | (378 | ) | (379 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 26 | 11 | (106 | ) | (190 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 6 | 1 | ||||||||||||
Reinvested | — | — | 1 | — | ||||||||||||
Redeemed | — | — | (1 | ) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 6 | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Issued | — | — | 749 | — | ||||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | (48 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 701 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Issued | — | — | 677 | — | ||||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | (17 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 660 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 13,099 | 9,351 | 9,090 | 11,401 | ||||||||||||
Reinvested | 105 | 15 | 3,322 | — | ||||||||||||
Redeemed | (5,154 | ) | (11,406 | ) | (14,607 | ) | (9,364 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 8,050 | (2,040 | ) | (2,195 | ) | 2,037 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | Commencement of offering of class of shares effective November 1, 2011 for Mid Cap Growth Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 443,021 | $ | 373,327 | $ | 5,323 | $ | 34,632 | ||||||||
Dividends and distributions reinvested | 11,492 | 14,615 | — | — | ||||||||||||
Cost of shares redeemed | (520,453 | ) | (621,660 | ) | (14,467 | ) | (100,820 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (65,940 | ) | $ | (233,718 | ) | $ | (9,144 | ) | $ | (66,188 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 333 | $ | 626 | $ | 11 | $ | 22 | ||||||||
Dividends and distributions reinvested | — | 148 | — | — | ||||||||||||
Cost of shares redeemed | (34,648 | ) | (34,335 | ) | (2,045 | ) | (4,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (34,315 | ) | $ | (33,561 | ) | $ | (2,034 | ) | $ | (4,353 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 48,613 | $ | 37,081 | $ | 572 | $ | 1,079 | ||||||||
Dividends and distributions reinvested | 474 | 873 | — | — | ||||||||||||
Cost of shares redeemed | (64,672 | ) | (65,800 | ) | (6,619 | ) | (18,536 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (15,585 | ) | $ | (27,846 | ) | $ | (6,047 | ) | $ | (17,457 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 10,239 | $ | 5,542 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 59 | 28 | — | — | ||||||||||||
Cost of shares redeemed | (2,629 | ) | (1,307 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 7,669 | $ | 4,263 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,125,771 | $ | 789,825 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 25,512 | 22,919 | — | — | ||||||||||||
Cost of shares redeemed | (575,416 | ) | (526,461 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | 575,867 | $ | 286,283 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 675,718 | $ | 449,654 | $ | 42,277 | $ | 155,618 | ||||||||
Dividends and distributions reinvested | 10,362 | 9,285 | — | — | ||||||||||||
Cost of shares redeemed | (438,949 | ) | (342,598 | ) | (51,991 | ) | (103,596 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 247,131 | $ | 116,341 | $ | (9,714 | ) | $ | 52,022 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 714,827 | $ | 111,762 | $ | (26,939 | ) | $ | (35,976 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18,306 | 16,395 | 546 | 3,576 | ||||||||||||
Reinvested | 500 | 636 | — | — | ||||||||||||
Redeemed | (21,746 | ) | (27,300 | ) | (1,486 | ) | (10,335 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (2,940 | ) | (10,269 | ) | (940 | ) | (6,759 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 14 | 29 | 1 | 2 | ||||||||||||
Reinvested | — | 7 | — | — | ||||||||||||
Redeemed | (1,497 | ) | (1,559 | ) | (218 | ) | (465 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (1,483 | ) | (1,523 | ) | (217 | ) | (463 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 2,044 | 1,660 | 60 | 115 | ||||||||||||
Reinvested | 21 | 39 | — | — | ||||||||||||
Redeemed | (2,794 | ) | (3,011 | ) | (705 | ) | (1,973 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (729 | ) | (1,312 | ) | (645 | ) | (1,858 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 428 | 245 | — | — | ||||||||||||
Reinvested | 3 | 1 | — | — | ||||||||||||
Redeemed | (110 | ) | (55 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 321 | 191 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 45,939 | 34,031 | — | — | ||||||||||||
Reinvested | 1,094 | 983 | — | — | ||||||||||||
Redeemed | (23,648 | ) | (22,926 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 23,385 | 12,088 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 27,581 | 19,629 | 4,266 | 15,949 | ||||||||||||
Reinvested | 448 | 401 | — | — | ||||||||||||
Redeemed | (18,067 | ) | (15,059 | ) | (5,300 | ) | (10,636 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 9,962 | 4,971 | (1,034 | ) | 5,313 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Value Advantage Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 54,549 | $ | 119,805 | ||||
Dividends and distributions reinvested | 2,006 | 1,727 | ||||||
Cost of shares redeemed | (89,323 | ) | (81,151 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | (32,768 | ) | $ | 40,381 | |||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 11,596 | $ | 22,682 | ||||
Dividends and distributions reinvested | 513 | 413 | ||||||
Cost of shares redeemed | (30,037 | ) | (26,534 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | (17,928 | ) | $ | (3,439 | ) | ||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 136,991 | $ | 138,756 | ||||
Dividends and distributions reinvested | 4,597 | 2,906 | ||||||
Cost of shares redeemed | (56,466 | ) | (20,173 | ) | ||||
Redemptions in-kind | — | (41,498 | ) | |||||
|
|
|
| |||||
Change in net assets from Institutional Class capital transactions | $ | 85,122 | $ | 79,991 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 260,984 | $ | 196,760 | ||||
Dividends and distributions reinvested | 2,687 | 1,855 | ||||||
Cost of shares redeemed | (124,601 | ) | (30,319 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | 139,070 | $ | 168,296 | ||||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | 173,496 | $ | 285,229 | ||||
|
|
|
| |||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 2,947 | 6,732 | ||||||
Reinvested | 112 | 96 | ||||||
Redeemed | (4,870 | ) | (4,517 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (1,811 | ) | 2,311 | |||||
|
|
|
| |||||
Class C | ||||||||
Issued | 620 | 1,279 | ||||||
Reinvested | 29 | 23 | ||||||
Redeemed | (1,655 | ) | (1,501 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (1,006 | ) | (199 | ) | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 7,210 | 7,736 | ||||||
Reinvested | 258 | 162 | ||||||
Redeemed | (3,118 | ) | (1,098 | ) | ||||
Redemptions in-kind | — | (2,189 | ) | |||||
|
|
|
| |||||
Change in Institutional Class Shares | 4,350 | 4,611 | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 13,542 | 11,074 | ||||||
Reinvested | 150 | 103 | ||||||
Redeemed | (6,701 | ) | (1,687 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 6,991 | 9,490 | ||||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 69 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||
| Investment operations | ||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Year Ended June 30, 2012 | $ | 9.28 | $ | (0.03 | )(e)(f) | $ | 0.24 | $ | 0.21 | |||||||
Year Ended June 30, 2011 | 6.76 | (0.04 | )(e) | 2.56 | 2.52 | |||||||||||
Year Ended June 30, 2010 | 5.88 | (0.03 | )(e) | 0.91 | 0.88 | |||||||||||
Year Ended June 30, 2009 | 8.14 | (0.03 | )(e) | (2.23 | ) | (2.26 | ) | |||||||||
Year Ended June 30, 2008 | 8.18 | (0.05 | )(e) | 0.01 | (0.04 | ) | ||||||||||
Class B | ||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(e)(f) | 0.22 | 0.15 | |||||||||||
Year Ended June 30, 2011 | 6.31 | (0.07 | )(e) | 2.37 | 2.30 | |||||||||||
Year Ended June 30, 2010 | 5.51 | (0.06 | )(e) | 0.86 | 0.80 | |||||||||||
Year Ended June 30, 2009 | 7.67 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | |||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | — | (g) | (0.09 | ) | |||||||||
Class C | ||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(e)(f) | 0.23 | 0.16 | |||||||||||
Year Ended June 30, 2011 | 6.31 | (0.08 | )(e) | 2.38 | 2.30 | |||||||||||
Year Ended June 30, 2010 | 5.52 | (0.06 | )(e) | 0.85 | 0.79 | |||||||||||
Year Ended June 30, 2009 | 7.68 | (0.06 | )(e) | (2.10 | ) | (2.16 | ) | |||||||||
Year Ended June 30, 2008 | 7.76 | (0.09 | )(e) | 0.01 | (0.08 | ) | ||||||||||
Class R5 | ||||||||||||||||
Year Ended June 30, 2012 | 9.44 | 0.01 | (e)(f) | 0.24 | 0.25 | |||||||||||
Year Ended June 30, 2011 | 6.86 | — | (e)(g) | 2.58 | 2.58 | |||||||||||
Year Ended June 30, 2010 | 5.93 | — | (e)(g) | 0.93 | 0.93 | |||||||||||
January 8, 2009 (h) through June 30, 2009 | 5.37 | — | (e)(g) | 0.56 | 0.56 | |||||||||||
Select Class | ||||||||||||||||
Year Ended June 30, 2012 | 9.39 | (0.02 | )(e)(f) | 0.26 | 0.24 | |||||||||||
Year Ended June 30, 2011 | 6.83 | (0.02 | )(e) | 2.58 | 2.56 | |||||||||||
Year Ended June 30, 2010 | 5.93 | (0.01 | )(e) | 0.91 | 0.90 | |||||||||||
Year Ended June 30, 2009 | 8.18 | (0.01 | )(e) | (2.24 | ) | (2.25 | ) | |||||||||
Year Ended June 30, 2008 | 8.20 | (0.03 | )(e) | 0.01 | (0.02 | ) | ||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $(0.05), $(0.09), $(0.09), $(0.01) and $(0.03) for Class A, Class B, Class C, Class R5 and Select Class Shares, respectively and the net investment income (loss) ratio would have been (0.56)%, (1.08)%, (1.03)%, (0.12)% and (0.37)% for Class A, Class B, Class C, Class R5 and Select Class Shares, respectively. |
| (g) | Amount rounds to less than $0.01. |
| (h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 9.49 | 2.26 | % | $ | 194,911 | 1.25 | % | (0.37 | )%(f) | 1.30 | % | 86 | % | |||||||||||||
| 9.28 | 37.28 | 176,492 | 1.25 | (0.45 | ) | 1.31 | 96 | |||||||||||||||||||
| 6.76 | 14.97 | 101,814 | 1.31 | (0.41 | ) | 1.31 | 102 | |||||||||||||||||||
| 5.88 | (27.76 | ) | 71,841 | 1.35 | (0.48 | ) | 1.42 | 119 | ||||||||||||||||||
| 8.14 | (0.49 | ) | 70,546 | 1.34 | (0.58 | ) | 1.47 | 118 | ||||||||||||||||||
| 8.76 | 1.74 | 2,327 | 1.75 | (0.89 | )(f) | 1.80 | 86 | |||||||||||||||||||
| 8.61 | 36.45 | 3,157 | 1.75 | (0.94 | ) | 1.81 | 96 | |||||||||||||||||||
| 6.31 | 14.52 | 3,070 | 1.81 | (0.91 | ) | 1.81 | 102 | |||||||||||||||||||
| 5.51 | (28.16 | ) | 3,304 | 1.87 | (1.02 | ) | 1.92 | 119 | ||||||||||||||||||
| 7.67 | (1.16 | ) | 4,340 | 1.91 | (1.16 | ) | 1.94 | 118 | ||||||||||||||||||
| 8.77 | 1.86 | 27,469 | 1.75 | (0.84 | )(f) | 1.80 | 86 | |||||||||||||||||||
| 8.61 | 36.45 | 20,676 | 1.75 | (0.95 | ) | 1.81 | 96 | |||||||||||||||||||
| 6.31 | 14.31 | 12,811 | 1.81 | (0.91 | ) | 1.81 | 102 | |||||||||||||||||||
| 5.52 | (28.13 | ) | 9,300 | 1.87 | (1.02 | ) | 1.91 | 119 | ||||||||||||||||||
| 7.68 | (1.03 | ) | 14,499 | 1.88 | (1.16 | ) | 1.89 | 118 | ||||||||||||||||||
| 9.69 | 2.65 | 468,064 | 0.85 | 0.07 | (f) | 0.85 | 86 | |||||||||||||||||||
| 9.44 | 37.61 | 179,677 | 0.86 | (0.05 | ) | 0.86 | 96 | |||||||||||||||||||
| 6.86 | 15.68 | 76,767 | 0.86 | 0.05 | 0.86 | 102 | ||||||||||||||||||||
| 5.93 | 10.43 | 46,312 | 0.90 | (0.08 | ) | 1.06 | 119 | |||||||||||||||||||
| 9.63 | 2.56 | 662,786 | 1.05 | (0.18 | )(f) | 1.05 | 86 | |||||||||||||||||||
| 9.39 | 37.48 | 836,154 | 1.06 | (0.27 | ) | 1.06 | 96 | |||||||||||||||||||
| 6.83 | 15.18 | 604,663 | 1.06 | (0.16 | ) | 1.06 | 102 | |||||||||||||||||||
| 5.93 | (27.51 | ) | 441,345 | 1.10 | (0.24 | ) | 1.17 | 119 | ||||||||||||||||||
| 8.18 | (0.24 | ) | 399,777 | 1.09 | (0.41 | ) | 1.12 | 118 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 71 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Core Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 17.19 | $ | 0.08 | (e) | $ | (0.10 | ) | $ | (0.02 | ) | $ | — | (f) | $ | (0.01 | ) | $ | (0.01 | ) | ||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | 0.01 | (e) | 2.18 | 2.19 | — | (f) | — | — | (f) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.15 | — | (e)(f) | (0.11 | ) | (0.11 | ) | — | (f) | (0.01 | ) | (0.01 | ) | |||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | (0.04 | )(e) | 2.19 | 2.15 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.17 | 0.04 | (e) | (0.10 | ) | (0.06 | ) | — | (f) | (0.01 | ) | (0.01 | ) | |||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | (0.02 | )(e) | 2.19 | 2.17 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.23 | 0.15 | (e) | (0.09 | ) | 0.06 | (0.05 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | 0.05 | (e) | 2.19 | 2.24 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.24 | 0.21 | (e) | (0.15 | ) | 0.06 | (0.06 | ) | (0.01 | ) | (0.07 | ) | ||||||||||||||||
January 31, 2011 (j) through June 30, 2011 | 16.36 | 0.05 | (e) | 0.83 | 0.88 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 17.22 | 0.13 | (e) | (0.12 | ) | 0.01 | (0.04 | ) | (0.01 | ) | (0.05 | ) | ||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 15.00 | 0.04 | (e) | 2.19 | 2.23 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of operations. |
| (h) | Certain non-recurring expenses incurred by the Fund were not annualized for the period ended June 30, 2011. |
| (i) | Ratios are disproportionate between classes due to the size of net assets and fixed expenses. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 17.16 | (0.13 | )% | $ | 455 | 1.24 | % | 0.50 | % | 1.31 | % | 44 | % | |||||||||||||
| 17.19 | 14.70 | 276 | 1.24 | (h) | 0.11 | (h) | 5.79 | (h)(i) | 13 | |||||||||||||||||
| 17.03 | (0.65 | ) | 125 | 1.74 | (0.02 | ) | 1.81 | 44 | ||||||||||||||||||
| 17.15 | 14.33 | 99 | 1.75 | (h) | (0.39 | )(h) | 6.49 | (h)(i) | 13 | |||||||||||||||||
| 17.10 | (0.36 | ) | 57 | 1.49 | 0.22 | 1.57 | 44 | |||||||||||||||||||
| 17.17 | 14.53 | 57 | 1.49 | (h) | (0.17 | )(h) | 6.84 | (h)(i) | 13 | |||||||||||||||||
| 17.23 | 0.33 | 58 | 0.79 | 0.92 | 0.86 | 44 | ||||||||||||||||||||
| 17.23 | 15.00 | 57 | 0.80 | (h) | 0.52 | (h) | 6.17 | (h)(i) | 13 | |||||||||||||||||
| 17.23 | 0.33 | 28,251 | 0.74 | 1.18 | 0.78 | 44 | ||||||||||||||||||||
| 17.24 | 5.38 | 53 | 0.75 | (h) | 0.68 | (h) | 5.52 | (h)(i) | 13 | |||||||||||||||||
| 17.18 | 0.06 | 320,576 | 0.99 | 0.76 | 1.06 | 44 | ||||||||||||||||||||
| 17.22 | 14.84 | 91,240 | 1.00 | (h) | 0.41 | (h) | 3.41 | (h)(i) | 13 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 73 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 31.29 | $ | 0.10 | (e)(f) | $ | (0.34 | ) | $ | (0.24 | ) | $ | (0.08 | ) | $ | — | $ | (0.08 | ) | |||||||||
Year Ended June 30, 2011 | 22.95 | 0.04 | (e) | 8.36 | 8.40 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
November 2, 2009 (g) through June 30, 2010 | 21.55 | 0.05 | 1.41 | 1.46 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 31.16 | (0.05 | )(e)(f) | (0.35 | ) | (0.40 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.93 | (0.12 | )(e) | 8.37 | 8.25 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
November 2, 2009 (g) through June 30, 2010 | 21.55 | (0.03 | ) | 1.41 | 1.38 | — | (h) | — | — | (h) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 31.36 | 0.19 | (e)(f) | (0.33 | ) | (0.14 | ) | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.97 | 0.14 | (e) | 8.37 | 8.51 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 18.97 | 0.12 | 4.00 | 4.12 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
Year Ended June 30, 2009 | 28.63 | 0.18 | (8.37 | ) | (8.19 | ) | (0.17 | ) | (1.30 | ) | (1.47 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 37.93 | 0.11 | (2.80 | ) | (2.69 | ) | (0.11 | ) | (6.50 | ) | (6.61 | ) | ||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $0.05, $(0.10) and $0.14 for Class A, Class C and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.18%, (0.33)% and 0.48% for Class A, Class C and Select Class Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 30.97 | (0.76 | )% | $ | 6,965 | 1.24 | % | 0.34 | %(f) | 1.54 | % | 55 | % | |||||||||||||
| 31.29 | 36.60 | 2,918 | 1.24 | 0.14 | 1.53 | 88 | ||||||||||||||||||||
| 22.95 | 6.77 | 1,394 | 1.24 | 0.30 | 1.44 | 56 | ||||||||||||||||||||
| 30.75 | (1.29 | ) | 1,244 | 1.75 | (0.18 | )(f) | 2.03 | 55 | ||||||||||||||||||
| 31.16 | 35.98 | 447 | 1.74 | (0.40 | ) | 2.06 | 88 | |||||||||||||||||||
| 22.93 | 6.40 | 65 | 1.74 | (0.23 | ) | 1.92 | 56 | |||||||||||||||||||
| 31.05 | (0.42 | ) | 813,125 | 0.89 | 0.64 | (f) | 1.30 | 55 | ||||||||||||||||||
| 31.36 | 37.09 | 568,854 | 0.89 | 0.50 | 1.27 | 88 | ||||||||||||||||||||
| 22.97 | 21.72 | 463,478 | 0.89 | 0.55 | 1.17 | 56 | ||||||||||||||||||||
| 18.97 | (28.02 | ) | 195,785 | 0.90 | 0.94 | 1.20 | 107 | |||||||||||||||||||
| 28.63 | (8.19 | ) | 189,589 | 0.91 | 0.32 | 1.12 | 79 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 75 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net realized gain | ||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2012 | $ | 23.30 | $ | (0.05 | )(e)(f) | $ | (1.72 | ) | $ | (1.77 | ) | $ | (2.01 | ) | ||||||
Year Ended June 30, 2011 | 16.35 | (0.09 | )(e) | 7.04 | 6.95 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.68 | (0.09 | )(e) | 2.76 | 2.67 | — | ||||||||||||||
Year Ended June 30, 2009 | 20.46 | (0.07 | )(e) | (6.33 | ) | (6.40 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 24.89 | (0.17 | )(e) | (0.45 | ) | (0.62 | ) | (3.81 | ) | |||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2012 | 18.29 | (0.12 | )(e)(f) | (1.40 | ) | (1.52 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 12.90 | (0.16 | )(e) | 5.55 | 5.39 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.85 | (0.14 | )(e) | 2.19 | 2.05 | — | ||||||||||||||
Year Ended June 30, 2009 | 16.45 | (0.13 | )(e) | (5.09 | ) | (5.22 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 20.88 | (0.26 | )(e) | (0.36 | ) | (0.62 | ) | (3.81 | ) | |||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2012 | 20.88 | (0.13 | )(e)(f) | (1.57 | ) | (1.70 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 14.73 | (0.18 | )(e) | 6.33 | 6.15 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.39 | (0.16 | )(e) | 2.50 | 2.34 | — | ||||||||||||||
Year Ended June 30, 2009 | 18.70 | (0.15 | )(e) | (5.78 | ) | (5.93 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 23.21 | (0.29 | )(e) | (0.41 | ) | (0.70 | ) | (3.81 | ) | |||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2012 | 24.73 | (0.07 | )(e)(f) | (1.82 | ) | (1.89 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 17.38 | (0.13 | )(e) | 7.48 | 7.35 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.56 | (0.12 | )(e) | 2.94 | 2.82 | — | ||||||||||||||
June 19, 2009 (g) through June 30, 2009 | 14.56 | — | (e)(h) | — | (h) | — | (h) | — | ||||||||||||
Class R5 | ||||||||||||||||||||
November 1, 2011 (g) through June 30, 2012 | 21.75 | 0.04 | (e)(f) | 1.40 | 1.44 | (2.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
November 1, 2011 (g) through June 30, 2012 | 21.75 | 0.08 | (e)(f) | 1.37 | 1.45 | (2.01 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.02 | (e)(f) | (1.83 | ) | (1.81 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 17.47 | (0.03 | )(e) | 7.53 | 7.50 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.57 | (0.04 | )(e) | 2.94 | 2.90 | — | ||||||||||||||
Year Ended June 30, 2009 | 21.68 | (0.03 | )(e) | (6.70 | ) | (6.73 | ) | (0.38 | ) | |||||||||||
Year Ended June 30, 2008 | 26.10 | (0.12 | )(e) | (0.49 | ) | (0.61 | ) | (3.81 | ) | |||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $(0.09), $(0.15), $(0.17), $(0.12), less than $0.01, $0.03 and $(0.03) for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively and the net investment income (loss) ratio would have been (0.46)%, (0.99)%, (0.97)%, (0.57)%, (0.03)%, 0.24% and (0.14)% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 19.52 | (6.61 | )% | $ | 538,323 | 1.24 | % | (0.23 | )%(f) | 1.38 | % | 70 | % | |||||||||||||
| 23.30 | 42.51 | 696,334 | 1.24 | (0.44 | ) | 1.36 | 79 | |||||||||||||||||||
| 16.35 | 19.52 | 560,054 | 1.24 | (0.53 | ) | 1.42 | 82 | |||||||||||||||||||
| 13.68 | (30.97 | ) | 520,201 | 1.24 | (0.48 | ) | 1.56 | 96 | ||||||||||||||||||
| 20.46 | (3.22 | ) | 384,225 | 1.24 | (0.75 | ) | 1.39 | 95 | ||||||||||||||||||
| 14.76 | (7.08 | ) | 9,948 | 1.75 | (0.77 | )(f) | 1.88 | 70 | ||||||||||||||||||
| 18.29 | 41.78 | 18,648 | 1.77 | (0.97 | ) | 1.86 | 79 | |||||||||||||||||||
| 12.90 | 18.89 | 20,893 | 1.77 | (1.07 | ) | 1.92 | 82 | |||||||||||||||||||
| 10.85 | (31.35 | ) | 29,963 | 1.88 | (1.14 | ) | 2.03 | 96 | ||||||||||||||||||
| 16.45 | (3.90 | ) | 69,186 | 1.88 | (1.38 | ) | 1.89 | 95 | ||||||||||||||||||
| 17.17 | (7.06 | ) | 22,190 | 1.75 | (0.75 | )(f) | 1.88 | 70 | ||||||||||||||||||
| 20.88 | 41.75 | 29,187 | 1.77 | (0.97 | ) | 1.86 | 79 | |||||||||||||||||||
| 14.73 | 18.89 | 23,389 | 1.77 | (1.06 | ) | 1.92 | 82 | |||||||||||||||||||
| 12.39 | (31.38 | ) | 25,624 | 1.88 | (1.13 | ) | 2.04 | 96 | ||||||||||||||||||
| 18.70 | (3.85 | ) | 27,785 | 1.88 | (1.38 | ) | 1.89 | 95 | ||||||||||||||||||
| 20.83 | (6.72 | ) | 230 | 1.40 | (0.35 | )(f) | 1.63 | 70 | ||||||||||||||||||
| 24.73 | 42.29 | 121 | 1.40 | (0.59 | ) | 1.60 | 79 | |||||||||||||||||||
| 17.38 | 19.37 | 63 | 1.40 | (0.69 | ) | 1.67 | 82 | |||||||||||||||||||
| 14.56 | 0.00 | 83 | 1.22 | (0.31 | ) | 1.94 | 96 | |||||||||||||||||||
| 21.18 | 7.71 | 14,837 | 0.78 | 0.31 | (f) | 0.92 | 70 | |||||||||||||||||||
| 21.19 | 7.76 | 13,982 | 0.73 | 0.58 | (f) | 0.87 | 70 | |||||||||||||||||||
| 21.15 | (6.31 | ) | 827,306 | 0.93 | 0.09 | (f) | 1.13 | 70 | ||||||||||||||||||
| 24.97 | 42.93 | 1,031,463 | 0.93 | (0.13 | ) | 1.10 | 79 | |||||||||||||||||||
| 17.47 | 19.90 | 685,843 | 0.93 | (0.22 | ) | 1.17 | 82 | |||||||||||||||||||
| 14.57 | (30.74 | ) | 631,380 | 0.98 | (0.23 | ) | 1.30 | 96 | ||||||||||||||||||
| 21.68 | (3.02 | ) | 539,292 | 0.99 | (0.49 | ) | 1.13 | 95 | ||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 77 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 24.76 | $ | 0.20 | (e) | $ | 1.00 | $ | 1.20 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | |||||||||||
Year Ended June 30, 2011 | 18.91 | 0.18 | (e) | 5.85 | 6.03 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.24 | 0.19 | (e) | 3.48 | 3.67 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.91 | 0.28 | (e) | (5.92 | ) | (5.64 | ) | (0.34 | ) | (0.69 | ) | (1.03 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.71 | 0.16 | (3.78 | ) | (3.62 | ) | (0.12 | ) | (2.06 | ) | (2.18 | ) | ||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.10 | 0.07 | (e) | 0.99 | 1.06 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 18.38 | 0.07 | (e) | 5.69 | 5.76 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 14.89 | 0.10 | (e) | 3.39 | 3.49 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.39 | 0.20 | (e) | (5.79 | ) | (5.59 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.11 | 0.03 | (3.69 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | (e) | 0.98 | 1.05 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.44 | 0.07 | (e) | 5.69 | 5.76 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 14.94 | 0.10 | (e) | 3.40 | 3.50 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2009 | 21.45 | 0.20 | (e) | (5.80 | ) | (5.60 | ) | (0.22 | ) | (0.69 | ) | (0.91 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.17 | 0.04 | (3.70 | ) | (3.66 | ) | — | (2.06 | ) | (2.06 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.27 | 0.14 | (e) | 0.97 | 1.11 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.63 | 0.12 | (e) | 5.76 | 5.88 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.06 | 0.15 | (e) | 3.42 | 3.57 | — | — | — | ||||||||||||||||||||
November 3, 2008 (f) through June 30, 2009 | 16.34 | 0.20 | (e) | (0.30 | ) | (0.10 | ) | (0.49 | ) | (0.69 | ) | (1.18 | ) | |||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 25.19 | 0.32 | (e) | 1.01 | 1.33 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 19.22 | 0.30 | (e) | 5.95 | 6.25 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.43 | 0.29 | (e) | 3.52 | 3.81 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.31 | 0.38 | (e) | (6.06 | ) | (5.68 | ) | (0.51 | ) | (0.69 | ) | (1.20 | ) | |||||||||||||||
Year Ended June 30, 2008 | 28.17 | 0.31 | (3.85 | ) | (3.54 | ) | (0.26 | ) | (2.06 | ) | (2.32 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.26 | (e) | 1.01 | 1.27 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 19.07 | 0.24 | (e) | 5.90 | 6.14 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.34 | 0.24 | (e) | 3.49 | 3.73 | — | (g) | — | — | (g) | ||||||||||||||||||
Year Ended June 30, 2009 | 22.14 | 0.34 | (e) | (6.01 | ) | (5.67 | ) | (0.44 | ) | (0.69 | ) | (1.13 | ) | |||||||||||||||
Year Ended June 30, 2008 | 27.96 | 0.27 | (3.85 | ) | (3.58 | ) | (0.18 | ) | (2.06 | ) | (2.24 | ) | ||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 25.80 | 4.92 | % | $ | 1,986,930 | 1.24 | % | 0.83 | % | 1.41 | % | 30 | % | |||||||||||||
| 24.76 | 31.96 | 1,979,270 | 1.23 | 0.81 | 1.39 | 41 | ||||||||||||||||||||
| 18.91 | 24.08 | 1,705,572 | 1.23 | 1.04 | 1.40 | 34 | ||||||||||||||||||||
| 15.24 | (25.49 | ) | 1,600,044 | 1.25 | 1.71 | 1.42 | 47 | |||||||||||||||||||
| 21.91 | (13.70 | ) | 2,661,377 | 1.25 | 0.66 | 1.42 | 31 | |||||||||||||||||||
| 25.16 | 4.40 | 57,100 | 1.75 | 0.30 | 1.91 | 30 | ||||||||||||||||||||
| 24.10 | 31.33 | 90,427 | 1.74 | 0.30 | 1.89 | 41 | ||||||||||||||||||||
| 18.38 | 23.44 | 96,966 | 1.74 | 0.53 | 1.90 | 34 | ||||||||||||||||||||
| 14.89 | (25.89 | ) | 108,114 | 1.75 | 1.21 | 1.92 | 47 | |||||||||||||||||||
| 21.39 | (14.14 | ) | 163,091 | 1.75 | 0.15 | 1.92 | 31 | |||||||||||||||||||
| 25.14 | 4.38 | 370,781 | 1.75 | 0.32 | 1.91 | 30 | ||||||||||||||||||||
| 24.13 | 31.29 | 373,415 | 1.74 | 0.30 | 1.89 | 41 | ||||||||||||||||||||
| 18.44 | 23.43 | 309,513 | 1.74 | 0.53 | 1.90 | 34 | ||||||||||||||||||||
| 14.94 | (25.88 | ) | 299,956 | 1.75 | 1.20 | 1.92 | 47 | |||||||||||||||||||
| 21.45 | (14.11 | ) | 523,722 | 1.75 | 0.14 | 1.92 | 31 | |||||||||||||||||||
| 25.18 | 4.65 | 14,824 | 1.49 | 0.59 | 1.66 | 30 | ||||||||||||||||||||
| 24.27 | 31.66 | 6,500 | 1.49 | 0.50 | 1.65 | 41 | ||||||||||||||||||||
| 18.63 | 23.71 | 1,441 | 1.49 | 0.77 | 1.65 | 34 | ||||||||||||||||||||
| 15.06 | (0.24 | ) | 294 | 1.50 | 2.12 | 1.69 | 47 | |||||||||||||||||||
| 26.24 | 5.43 | 3,543,900 | 0.74 | 1.33 | 1.01 | 30 | ||||||||||||||||||||
| 25.19 | 32.66 | 2,812,296 | 0.74 | 1.29 | 0.99 | 41 | ||||||||||||||||||||
| 19.22 | 24.68 | 1,913,930 | 0.74 | 1.52 | 1.00 | 34 | ||||||||||||||||||||
| 15.43 | (25.15 | ) | 1,424,004 | 0.75 | 2.26 | 1.02 | 47 | |||||||||||||||||||
| 22.31 | (13.25 | ) | 1,777,057 | 0.75 | 1.16 | 1.02 | 31 | |||||||||||||||||||
| 26.01 | 5.20 | 1,836,012 | 0.98 | 1.09 | 1.16 | 30 | ||||||||||||||||||||
| 24.97 | 32.29 | 1,513,926 | 0.98 | 1.05 | 1.14 | 41 | ||||||||||||||||||||
| 19.07 | 24.35 | 1,061,308 | 0.98 | 1.29 | 1.15 | 34 | ||||||||||||||||||||
| 15.34 | (25.31 | ) | 766,965 | 1.00 | 2.05 | 1.18 | 47 | |||||||||||||||||||
| 22.14 | (13.46 | ) | 721,777 | 1.00 | 0.90 | 1.16 | 31 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 79 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Return of capital | Total distributions | ||||||||||||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 9.81 | $ | (0.14 | )(e) | $ | 0.02 | $ | (0.12 | ) | $ | — | $ | — | $ | — | ||||||||||||
Year Ended June 30, 2011 | 9.71 | (0.16 | )(e) | 0.26 | 0.10 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.21 | (0.17 | )(e) | (0.33 | ) | (0.50 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.23 | (0.08 | )(e) | 0.06 | (0.02 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.24 | 0.28 | (e) | (0.74 | ) | (0.46 | ) | (0.54 | ) | (0.01 | ) | (0.55 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.47 | (0.20 | )(e) | 0.02 | (0.18 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2011 | 9.44 | (0.23 | )(e) | 0.26 | 0.03 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.01 | (0.23 | )(e) | (0.34 | ) | (0.57 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.10 | (0.15 | )(e) | 0.06 | (0.09 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.17 | (e) | (0.70 | ) | (0.53 | ) | (0.43 | ) | (0.01 | ) | (0.44 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.48 | (0.20 | )(e) | 0.02 | (0.18 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2011 | 9.46 | (0.23 | )(e) | 0.25 | 0.02 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 10.02 | (0.23 | )(e) | (0.33 | ) | (0.56 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.12 | (0.15 | )(e) | 0.05 | (0.10 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.07 | 0.19 | (e) | (0.71 | ) | (0.52 | ) | (0.42 | ) | (0.01 | ) | (0.43 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.91 | (0.12 | )(e) | 0.03 | (0.09 | ) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2011 | 9.79 | (0.14 | )(e) | �� | 0.26 | 0.12 | — | — | — | |||||||||||||||||||
Year Ended June 30, 2010 | 10.27 | (0.14 | )(e) | (0.34 | ) | (0.48 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2009 | 10.27 | (0.05 | )(e) | 0.05 | — | (f) | — | — | — | |||||||||||||||||||
Year Ended June 30, 2008 | 11.31 | 0.30 | (e) | (0.73 | ) | (0.43 | ) | (0.60 | ) | (0.01 | ) | (0.61 | ) | |||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for short sales) for Class A are 1.48% and 1.94% for the year ended June 30, 2012, 1.49% and 1.95% for 2011, 1.49% and 1.94% for 2010, 1.50% and 1.95% for 2009 and 1.51% and 1.93% for 2008; for Class B are 2.23% and 2.45 for the year ended June 30, 2012, 2.24% and 2.45% for 2011, 2.24% and 2.44% for 2010, 2.25% and 2.45% for 2009 and 2.26% and 2.43% for 2008; for Class C are 2.23% and 2.44 for the year ended June 30, 2012, 2.24% and 2.45% for 2011, 2.24% and 2.44% for 2010, 2.25% and 2.45% for 2009 and 2.26% and 2.43% for 2008; for Select Class are 1.23% and 1.69% for the year ended June 30, 2012, 1.24% and 1.70% for 2011, 1.24% and 1.69% for 2010, 1.25% and 1.70% for 2009 and 1.25% and 1.67% for 2008, respectively. |
| (d) | Commencing with the period ended June 30, 2009, the Fund presented portfolio turnover in two ways, one including short sales and the other excluding short sales. For periods prior to June 30, 2009, the Fund’s portfolio turnover calculation excluded short sales. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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| Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (b)(c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (c) | Portfolio turnover rate (excluding short sales) (d) | Portfolio turnover rate (including short sales) (d) | |||||||||||||||||||||||
| $ | 9.69 | (1.22 | )% | $ | 19,759 | 2.86 | % | (1.42 | )% | 3.32 | % | 151 | % | 316 | % | |||||||||||||||
| 9.81 | 1.03 | 29,216 | 2.92 | (1.65 | ) | 3.38 | 145 | 339 | ||||||||||||||||||||||
| 9.71 | (4.90 | ) | 94,549 | 2.94 | (1.65 | ) | 3.39 | 146 | 348 | |||||||||||||||||||||
| 10.21 | (0.20 | ) | 67,884 | 2.84 | (0.79 | ) | 3.29 | 175 | 350 | |||||||||||||||||||||
| 10.23 | (4.00 | ) | 77,838 | 2.52 | 2.62 | 2.94 | 116 | — | ||||||||||||||||||||||
| 9.29 | (1.90 | ) | 1,401 | 3.61 | (2.18 | ) | 3.83 | 151 | 316 | |||||||||||||||||||||
| 9.47 | 0.32 | 3,484 | 3.67 | (2.47 | ) | 3.88 | 145 | 339 | ||||||||||||||||||||||
| 9.44 | (5.69 | ) | 7,849 | 3.69 | (2.39 | ) | 3.89 | 146 | 348 | |||||||||||||||||||||
| 10.01 | (0.89 | ) | 12,766 | 3.59 | (1.55 | ) | 3.79 | 175 | 350 | |||||||||||||||||||||
| 10.10 | (4.77 | ) | 16,402 | 3.28 | 1.66 | 3.45 | 116 | — | ||||||||||||||||||||||
| 9.30 | (1.90 | ) | 15,677 | 3.61 | (2.17 | ) | 3.82 | 151 | 316 | |||||||||||||||||||||
| 9.48 | 0.21 | 22,094 | 3.67 | (2.46 | ) | 3.88 | 145 | 339 | ||||||||||||||||||||||
| 9.46 | (5.59 | ) | 39,610 | 3.70 | (2.39 | ) | 3.89 | 146 | 348 | |||||||||||||||||||||
| 10.02 | (0.99 | ) | 61,467 | 3.59 | (1.54 | ) | 3.79 | 175 | 350 | |||||||||||||||||||||
| 10.12 | (4.71 | ) | 90,603 | 3.28 | 1.79 | 3.45 | 116 | — | ||||||||||||||||||||||
| 9.82 | (0.91 | ) | 476,803 | 2.61 | (1.17 | ) | 3.07 | 151 | 316 | |||||||||||||||||||||
| 9.91 | 1.23 | 491,653 | 2.67 | (1.39 | ) | 3.13 | 145 | 339 | ||||||||||||||||||||||
| 9.79 | (4.67 | ) | 433,539 | 2.70 | (1.39 | ) | 3.15 | 146 | 348 | |||||||||||||||||||||
| 10.27 | 0.00 | 528,478 | 2.59 | (0.45 | ) | 3.04 | 175 | 350 | ||||||||||||||||||||||
| 10.27 | (3.73 | ) | 933,631 | 2.27 | 2.79 | 2.69 | 116 | — | ||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 81 | ||||||
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 19.07 | $ | 0.25 | (c) | $ | 0.84 | $ | 1.09 | $ | (0.20 | ) | $ | — | $ | (0.20 | ) | |||||||||||
Year Ended June 30, 2011 | 15.22 | 0.23 | (c) | 3.79 | 4.02 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.23 | (c) | 3.17 | 3.40 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.38 | 0.30 | (c) | (4.40 | ) | (4.10 | ) | (0.20 | ) | (0.07 | ) | (0.27 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.45 | 0.35 | (3.19 | ) | (2.84 | ) | (0.24 | ) | (0.99 | ) | (1.23 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.01 | 0.16 | (c) | 0.84 | 1.00 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.17 | 0.14 | (c) | 3.77 | 3.91 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.97 | 0.15 | (c) | 3.17 | 3.32 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.25 | 0.23 | (c) | (4.34 | ) | (4.11 | ) | (0.10 | ) | (0.07 | ) | (0.17 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.31 | 0.26 | (3.18 | ) | (2.92 | ) | (0.15 | ) | (0.99 | ) | (1.14 | ) | ||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.11 | 0.35 | (c) | 0.83 | 1.18 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.24 | 0.32 | (c) | 3.79 | 4.11 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.31 | (c) | 3.18 | 3.49 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.40 | 0.37 | (c) | (4.42 | ) | (4.05 | ) | (0.27 | ) | (0.07 | ) | (0.34 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.47 | 0.44 | (3.19 | ) | (2.75 | ) | (0.33 | ) | (0.99 | ) | (1.32 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 19.12 | 0.30 | (c) | 0.83 | 1.13 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.27 | 0.28 | (c) | 3.79 | 4.07 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.04 | 0.27 | (c) | 3.19 | 3.46 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 16.44 | 0.34 | (c) | (4.42 | ) | (4.08 | ) | (0.25 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||||
Year Ended June 30, 2008 | 20.52 | 0.37 | (3.17 | ) | (2.80 | ) | (0.29 | ) | (0.99 | ) | (1.28 | ) | ||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 19.96 | 5.83 | % | $ | 206,816 | 1.25 | % | 1.34 | % | 1.41 | % | 49 | % | |||||||||||||
| 19.07 | 26.45 | 232,103 | 1.24 | 1.28 | 1.34 | 33 | ||||||||||||||||||||
| 15.22 | 28.35 | 150,081 | 1.24 | 1.52 | 1.38 | 45 | ||||||||||||||||||||
| 12.01 | (24.82 | ) | 112,739 | 1.25 | 2.45 | 1.50 | 70 | |||||||||||||||||||
| 16.38 | (14.42 | ) | 152,696 | 1.25 | 1.87 | 1.43 | 103 | |||||||||||||||||||
| 19.91 | 5.32 | 117,937 | 1.75 | 0.84 | 1.91 | 49 | ||||||||||||||||||||
| 19.01 | 25.82 | 131,743 | 1.74 | 0.78 | 1.84 | 33 | ||||||||||||||||||||
| 15.17 | 27.72 | 108,165 | 1.74 | 1.01 | 1.88 | 45 | ||||||||||||||||||||
| 11.97 | (25.19 | ) | 97,723 | 1.75 | 1.86 | 1.99 | 70 | |||||||||||||||||||
| 16.25 | (14.86 | ) | 182,093 | 1.75 | 1.36 | 1.93 | 103 | |||||||||||||||||||
| 19.99 | 6.36 | 384,525 | 0.75 | 1.86 | 1.01 | 49 | ||||||||||||||||||||
| 19.11 | 27.06 | 284,433 | 0.74 | 1.79 | 0.94 | 33 | ||||||||||||||||||||
| 15.24 | 29.03 | 156,531 | 0.74 | 2.04 | 0.98 | 45 | ||||||||||||||||||||
| 12.01 | (24.41 | ) | 70,825 | 0.75 | 3.11 | 1.15 | 70 | |||||||||||||||||||
| 16.40 | (13.97 | ) | 19,872 | 0.75 | 2.37 | 1.03 | 103 | |||||||||||||||||||
| 20.00 | 6.09 | 422,861 | 1.00 | 1.62 | 1.16 | 49 | ||||||||||||||||||||
| 19.12 | 26.75 | 270,562 | 0.99 | 1.53 | 1.09 | 33 | ||||||||||||||||||||
| 15.27 | 28.70 | 71,209 | 0.99 | 1.77 | 1.13 | 45 | ||||||||||||||||||||
| 12.04 | (24.62 | ) | 51,000 | 1.00 | 2.75 | 1.25 | 70 | |||||||||||||||||||
| 16.44 | (14.19 | ) | 49,262 | 1.00 | 2.18 | 1.18 | 103 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 83 | ||||||
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AS OF JUNE 30, 2012
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), an open-end management investment company, was organized as a Massachusetts business trust on September 23, 1997.
J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.
The following are 7 separate funds of the Trusts (collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversified/Non-Diversified | ||||
| Growth Advantage Fund | Class A, Class B, Class C, Class R5 and Select Class | JPMMFIT | Diversified | |||
| Mid Cap Core Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM I | Diversified | |||
| Mid Cap Equity Fund | Class A, Class C, and Select Class | JPM I | Diversified | |||
| Mid Cap Growth Fund | Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class | JPM II | Diversified | |||
| Mid Cap Value Fund | Class A, Class B, Class C, Class R2, Institutional Class and Select Class | JPMFMFG | Diversified | |||
| Multi-Cap Market Neutral Fund | Class A, Class B, Class C, and Select Class | JPM II | Diversified | |||
| Value Advantage Fund | Class A, Class C, Institutional Class and Select Class | JPM I | Diversified |
The Mid Cap Core Fund commenced operations on November 30, 2010.
Class R6 Shares commenced operations on January 31, 2011 for the Mid Cap Core Fund.
Class R5 Shares and Class R6 Shares commenced operations on November 1, 2011 for the Mid Cap Growth Fund.
The investment objective of Growth Advantage Fund is to seek to provide long-term capital growth.
The investment objective of Mid Cap Core Fund is to seek long-term capital appreciation.
The investment objective of Mid Cap Equity Fund is to seek long-term capital growth.
The investment objective of Mid Cap Growth Fund is to seek growth of capital and secondarily, current income by investing primarily in equity securities.
The investment objective of Mid Cap Value Fund is to seek growth from capital appreciation.
The investment objective of Multi-Cap Market Neutral Fund is to seek long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
The investment objective of Value Advantage Fund is to seek to provide long-term total return from a combination of income and capital gains.
Effective November 1, 2009, Class B Shares of the Growth Advantage Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund may not be purchased or acquired by new or existing shareholders, except through exchanges from Class B Shares of another J.P. Morgan Fund and dividend reinvestments. Shareholders who have invested in Class B Shares prior to November 1, 2009 may continue to hold their Class B Shares until they automatically convert to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices
| 84 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) , a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., (“JPMAM”) which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Office. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. Trading in securities on most foreign exchanges and over-the-counter markets is normally completed before the close of the domestic market and may also take place on days when the domestic market is closed. In accordance with procedures adopted by the Board of Trustees, the Funds apply fair value pricing on equity securities on a daily basis, except for North American, Central American, South American and Caribbean equity securities held in their portfolios, by utilizing the quotations of an independent pricing service, unless a Fund’s Advisor determines that use of another valuation methodology is appropriate. The pricing service uses statistical analyses and quantitative models to adjust local market prices using factors such as subsequent movement and changes in the prices of indices, securities and exchange rates in other markets, in determining fair value as of the time a Fund calculates its net asset values.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 85 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Growth Advantage Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,340,800 | $ | 9,842 | $ | — | $ | 1,350,642 | ||||||||
|
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| |||||||||
| Mid Cap Core Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 349,596 | $ | — | $ | — | $ | 349,596 | ||||||||
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| |||||||||
| Mid Cap Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 819,251 | $ | 1,758 | $ | — | $ | 821,009 | ||||||||
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| |||||||||
| Mid Cap Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,437,126 | $ | 6,126 | $ | — | $ | 1,443,252 | ||||||||
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| |||||||||
| Mid Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 7,801,832 | $ | — | $ | — | $ | 7,801,832 | ||||||||
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| |||||||||
| Multi-Cap Market Neutral Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 527,643 | $ | 123 | $ | — | $ | 527,766 | ||||||||
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| |||||||||
Total Liabilities (b) | $ | (460,231 | ) | $ | — | $ | — | $ | (460,231 | ) | ||||||
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| |||||||||
| Value Advantage Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,112,104 | $ | 19,401 | $ | — | $ | 1,131,505 | ||||||||
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|
|
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| |||||||||
| (a) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of certain ADRs, the report value of which are an evaluated price. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (c) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of an equity security (D.E. Master Blenders N.V. (Netherlands)). Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
B. Short Sales — The Multi-Cap Market Neutral Fund engages in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.
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The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as an asset on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted in the SOI. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference in the market value of the short position and cash collateral deposited with the broker. The net income or fee is included as interest income or interest expense, respectively, on securities sold short in the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on record date. Dividends on short positions are recorded on the Statements of Operations as dividend expense on securities sold short on ex-dividend date.
Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as unrealized gain or loss on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Fund will record a realized loss if the price of the security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the security declines between those dates.
As of June 30, 2012, the Fund had outstanding short sales as listed on its SOI.
C. Futures Contracts — The Mid Cap Growth Fund uses index futures contracts to gain or reduce exposure to the stock market, maintain liquidity and minimize transaction costs. The Fund also buys futures contracts to immediately invest incoming cash in the market or sells futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity. The use of futures contracts exposes the Fund to equity price risk.
Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as unrealized appreciation or depreciation in the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported in the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated in the SOI and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of unfavorable positions.
The table below discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2012 (amounts in thousands):
Mid Cap Growth Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Long | $ | 52,340 | (a) | |
Ending Notional Balance Long | — | |||
| (a) | Average for the period July 1, 2011 through July 31, 2011. |
D. Securities Lending — Each Fund (except Mid Cap Core Fund, Multi-Cap Market Neutral Fund and Value Advantage Fund) may lend securities to brokers approved by the Advisor in order to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”) serves as lending agent for the Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund and Mid Cap Value Fund pursuant to a Securities Lending Agreement (the “GSAL Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
For the year ended June 30, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands).
Growth Advantage Fund | $ | 14 | ||
Mid Cap Equity Fund | 7 | |||
Mid Cap Growth Fund | 19 | |||
Mid Cap Value Fund | 7 |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2012, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrowers | Total Value of Collateral Investments | ||||||||||
Mid Cap Equity Fund | $ | 1,140 | $ | 1,138 | * | $ | 1,138 | |||||
Mid Cap Growth Fund | 3,831 | 3,821 | * | 3,821 | ||||||||
Mid Cap Value Fund | 3,701 | 3,735 | * | 3,735 | ||||||||
| * | Subsequent to June 30, 2012, additional collateral was received from borrowers. |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GSAL has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Growth Advantage Fund | $ | 12 | ||
Mid Cap Equity Fund | 5 | |||
Mid Cap Growth Fund | 16 | |||
Mid Cap Value Fund | 6 |
These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, less dividend expense on securities sold short, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
The Funds record distributions received in excess of income from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day. Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. Each class of shares bears its pro-rata portion of expenses attributable to its Fund, except that each class separately bears expenses related specifically to that class, such as distribution and shareholder servicing fees.
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to
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shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
H. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid at least annually, except for the Mid Cap Equity Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund, which are generally declared and paid at least quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in Capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) On | ||||||||||
Growth Advantage Fund | $ | (2,006 | ) | $ | 1,690 | $ | 316 | |||||
Mid Cap Core Fund | 1 | (1 | ) | — | (a) | |||||||
Mid Cap Equity Fund | (1 | ) | (94 | ) | 95 | |||||||
Mid Cap Growth Fund | (1,874 | ) | 905 | 969 | ||||||||
Mid Cap Value Fund | 1 | 1 | (2 | ) | ||||||||
Multi-Cap Market Neutral Fund | (3,020 | ) | 3,248 | (228 | ) | |||||||
Value Advantage Fund | 1 | 923 | (924 | ) | ||||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to investments in partnerships (Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund and Value Advantage Fund), net operating loss (Growth Advantage Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund), prior year undistributed income adjustment (Mid Cap Core Fund and Mid Cap Value Fund), distribution reclassifications (Mid Cap Core Fund) and distributions from investments in real estate investment trusts (Mid Cap Growth Fund)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Growth Advantage Fund | 0.65 | % | ||
Mid Cap Core Fund | 0.65 | |||
Mid Cap Equity Fund | 0.65 | |||
Mid Cap Growth Fund | 0.65 | |||
Mid Cap Value Fund | 0.65 | |||
Multi-Cap Market Neutral Fund | 1.25 | |||
Value Advantage Fund | 0.65 |
The Advisor waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“the Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ exclusive underwriter and promotes and arranges for the sale of each Fund’s shares.
The Board of Trustees has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class B, Class C and Class R2 Shares of the Funds in accordance with Rule 12b-1 under the 1940 Act. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | |||||||||||||
Growth Advantage Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||
Mid Cap Core Fund | 0.25 | n/a | 0.75 | 0.50 | % | |||||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
Mid Cap Growth Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Mid Cap Value Fund | 0.25 | 0.75 | 0.75 | 0.50 | ||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.75 | 0.75 | n/a | ||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.75 | n/a | ||||||||||||
In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2012, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 47 | $ | 2 | ||||
Mid Cap Core Fund | 1 | — | ||||||
Mid Cap Equity Fund | 5 | — | (a) | |||||
Mid Cap Growth Fund | 17 | 4 | ||||||
Mid Cap Value Fund | 95 | 18 | ||||||
Multi-Cap Market Neutral Fund | 1 | 4 | ||||||
Value Advantage Fund | 19 | 3 | ||||||
| (a) | Amount rounds to less than $1,000. |
D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into Shareholder Servicing Agreements with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not participate in the Shareholder Servicing Agreement. For performing these services, the Distributor receives a fee that is computed daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Institutional Class | Select Class | ||||||||||||||||||||||
Growth Advantage Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | 0.05 | % | n/a | 0.25 | % | ||||||||||||||||
Mid Cap Core Fund | 0.25 | n/a | 0.25 | 0.25 | % | 0.05 | n/a | 0.25 | ||||||||||||||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Mid Cap Growth Fund | 0.25 | 0.25 | 0.25 | 0.25 | 0.05 | n/a | 0.25 | |||||||||||||||||||||
Mid Cap Value Fund | 0.25 | 0.25 | 0.25 | 0.25 | n/a | 0.10 | % | 0.25 | ||||||||||||||||||||
Multi-Cap Market Neutral Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||
Value Advantage Fund | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | 0.25 | |||||||||||||||||||||
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest,
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taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||||||||||||||||||
Growth Advantage Fund | 1.25 | % | 1.75 | % | 1.75 | % | n/a | 0.90 | % | n/a | n/a | 1.10 | % | |||||||||||||||||||
Mid Cap Core Fund | 1.25 | n/a | 1.75 | 1.50 | % | 0.80 | 0.75 | % | n/a | 1.00 | ||||||||||||||||||||||
Mid Cap Equity Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | n/a | 0.90 | ||||||||||||||||||||||||
Mid Cap Growth Fund | 1.24 | 1.74 | 1.74 | 1.40 | 0.79 | 0.74 | n/a | 0.93 | ||||||||||||||||||||||||
Mid Cap Value Fund | 1.24 | 1.75 | 1.75 | 1.50 | n/a | n/a | 0.75 | % | 0.99 | |||||||||||||||||||||||
Multi-Cap Market Neutral Fund | 1.75 | 2.50 | 2.50 | n/a | n/a | n/a | n/a | 1.50 | ||||||||||||||||||||||||
Value Advantage Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | 0.75 | 1.00 | ||||||||||||||||||||||||
Prior to November 1, 2011, the contractual expense limitations for Class B and Class C Shares of the Mid Cap Growth Fund were 1.77% and 1.77%, respectively.
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2012. The contractual expense limitation percentages in the table above are in place until at least October 31, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Growth Advantage Fund | $ | — | $ | — | $ | 102 | $ | 102 | ||||||||
Mid Cap Core Fund | 45 | 87 | — | 132 | ||||||||||||
Mid Cap Equity Fund | 447 | 461 | 1,510 | 2,418 | ||||||||||||
Mid Cap Growth Fund | 653 | 1,110 | 712 | 2,475 | ||||||||||||
Mid Cap Value Fund | 5,267 | 5,445 | 3,286 | 13,998 | ||||||||||||
Multi-Cap Market Neutral Fund | 110 | 151 | 1,104 | 1,365 | ||||||||||||
Value Advantage Fund | 834 | 634 | 314 | 1,782 | ||||||||||||
| Voluntary Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Multi-Cap Market Neutral Fund | $ | 592 | $ | 120 | $ | 145 | $ | 857 | ||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, Administrator and Distributor as shareholder servicing agent waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2012 was as follows (excluding the waiver disclosed in Note 2.D. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Growth Advantage Fund | $ | 43 | ||
Mid Cap Core Fund | 22 | |||
Mid Cap Equity Fund | 38 | |||
Mid Cap Growth Fund | 68 | |||
Mid Cap Value Fund | 429 | |||
Multi-Cap Market Neutral Fund | 108 | |||
Value Advantage Fund | 53 |
G. Other — Certain officers of the Trusts are affiliated with the Advisor, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board of Trustees appointed a Chief Compliance Officer to the Funds in accordance with federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees in the Statements of Operations.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2012 certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the year ended June 30, 2012, the Funds did not incur any brokerage commissions with brokers-dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Growth Advantage Fund | $ | 1,066,631 | $ | 1,000,178 | $ | — | $ | — | ||||||||
Mid Cap Core Fund | 345,802 | 105,169 | — | — | ||||||||||||
Mid Cap Equity Fund | 560,268 | 326,141 | — | — | ||||||||||||
Mid Cap Growth Fund | 1,016,218 | 1,179,084 | — | — | ||||||||||||
Mid Cap Value Fund | 2,610,160 | 1,998,753 | — | — | ||||||||||||
Multi-Cap Market Neutral Fund | 708,152 | 744,005 | 733,323 | 775,656 | ||||||||||||
Value Advantage Fund | 625,019 | 445,378 | — | — | ||||||||||||
During the year ended June 30, 2012, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 1,134,613 | $ | 262,629 | $ | 46,600 | $ | 216,029 | ||||||||
Mid Cap Core Fund | 336,173 | 30,120 | 16,697 | 13,423 | ||||||||||||
Mid Cap Equity Fund | 708,812 | 130,412 | 18,215 | 112,197 | ||||||||||||
Mid Cap Growth Fund | 1,210,550 | 300,825 | 68,123 | 232,702 | ||||||||||||
Mid Cap Value Fund | 6,183,803 | 1,744,195 | 126,166 | 1,618,029 | ||||||||||||
Multi-Cap Market Neutral Fund | 500,811 | 50,655 | 23,700 | 26,955 | ||||||||||||
Value Advantage Fund | 1,000,321 | 150,212 | 19,028 | 131,184 | ||||||||||||
For all of the Funds, the difference between the book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals and partnership basis outstanding (Value Advantage Fund).
The tax character of distributions paid during the fiscal year ended June 30, 2012 was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Mid Cap Core Fund | $ | 724 | $ | 2 | $ | 726 | ||||||
Mid Cap Equity Fund | 3,720 | 17 | 3,737 | |||||||||
Mid Cap Growth Fund | — | 134,380 | 134,380 | |||||||||
Mid Cap Value Fund | 60,236 | — | 60,236 | |||||||||
Value Advantage Fund | 11,280 | — | 11,280 | |||||||||
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The tax character of distributions paid during the fiscal period ended June 30, 2011 was as follows (amounts in thousands):
Ordinary Income | Total Distributions Paid | |||||||
Mid Cap Core Fund | $ | 1 | $ | 1 | ||||
Mid Cap Equity Fund | 1,989 | 1,989 | ||||||
Mid Cap Value Fund | 60,163 | 60,163 | ||||||
Value Advantage Fund | 8,184 | 8,184 | ||||||
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary | Current Long-Term Capital Gain or (Tax Basis Capital | Unrealized Appreciation | ||||||||||
Growth Advantage Fund | $ | — | $ | 4,862 | $ | 216,029 | ||||||
Mid Cap Core Fund | 1,331 | (636 | ) | 13,423 | ||||||||
Mid Cap Equity Fund | — | 2,640 | 112,197 | |||||||||
Mid Cap Growth Fund | — | 64,857 | 232,702 | |||||||||
Mid Cap Value Fund | 72,495 | (126,184 | ) | 1,618,029 | ||||||||
Multi-Cap Market Neutral Fund | — | (65,985 | ) | 38,531 | ||||||||
Value Advantage Fund | 9,249 | (13,485 | ) | 131,184 | ||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, post-October loss deferrals (Growth Advantage Fund, Mid Cap Equity Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund), late-year loss deferrals (Growth Advantage Fund and Multi-Cap Market Neutral Fund), trustee deferred compensation (Mid Cap Core Fund, Mid Cap Growth Fund, Mid Cap Value Fund and Value Advantage Fund) and partnership basis outstanding (Value Advantage Fund).
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
Mid Cap Core Fund | $ | 636 | $ | — | ||||
As of June 30, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2016 | 2017 | 2018 | Total | |||||||||||||
Mid Cap Value Fund | $ | — | $ | 8,833 | $ | 117,351 | $ | 126,184 | * | |||||||
Multi-Cap Market Neutral Fund | 65,985 | — | — | 65,985 | ||||||||||||
Value Advantage Fund | — | — | 13,485 | 13,485 | ||||||||||||
During the year ended June 30, 2012, the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
Growth Advantage Fund | $ | 46,640 | ||
Mid Cap Equity Fund | 8,278 | |||
Mid Cap Growth Fund | 25,462 | |||
Mid Cap Value Fund | 206,356 | |||
Multi-Cap Market Neutral Fund | 32,291 | |||
Value Advantage Fund | 40,231 |
During the year ended June 30, 2012, the following Funds had capital loss carryforwards disallowed (amounts in thousands):
Mid Cap Growth Fund | $ | 64,482 | * |
| * | Amount includes capital loss carryforwards from business combinations, which may be limited in future years under Internal Revenue Code Sections 381-384. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Net capital losses and net specified gains (losses) incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2012, the following Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
Late Year Ordinary Loss Deferral | Short-Term | Long-Term | ||||||||||
Growth Advantage Fund | $ | 326 | $ | 13,825 | $ | — | ||||||
Mid Cap Equity Fund | — | 4,185 | — | |||||||||
Mid Cap Growth Fund | — | 27,885 | — | |||||||||
Mid Cap Value Fund | — | 9,016 | — | |||||||||
Multi-Cap Market Neutral Fund | 3,117 | 13,576 | — | |||||||||
Value Advantage Fund | — | 456 | — | |||||||||
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012 or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Growth Advantage Fund, Mid Cap Core Fund and Mid Cap Equity Fund.
In addition, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, own in the aggregate more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Growth Advantage Fund | n/a | 20.1 | % | |||||
Multi-Cap Market Neutral Fund | 87.8 | % | n/a | |||||
Value Advantage Fund | n/a | 23.7 | ||||||
Additionally, Mid Cap Equity Fund and Mid Cap Growth Fund each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
As of June 30, 2012, the Multi-Cap Market Neutral Fund pledged substantially all of its assets for securities sold short to Credit Suisse Group, who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.
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8. Transfers-In-Kind
Pursuant to procedures approved by the Board of Trustees, on March 29, 2011, an affiliate of the Value Advantage Fund redeemed Institutional Class Shares and the Fund paid the redemption proceeds primarily by means of a redemption in-kind of the Fund’s portfolio securities.
Value (000’s) | Realized Gains/(Losses) (000’s) | Type | ||||||||||
Institutional Class | $ | 41,498 | $ | 14,315 | * | Redemption-In-Kind | ||||||
| * | Gains resulting from this in-kind transaction are not realized for tax purposes. |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Mutual Fund Investment Trust, J.P. Morgan Fleming Mutual Fund Group, Inc., JPMorgan Trust I and JPMorgan Trust II and the Shareholders of JPMorgan Growth Advantage Fund, JPMorgan Mid Cap Core Fund, JPMorgan Mid Cap Equity Fund, JPMorgan Mid Cap Growth Fund, JPMorgan Mid Cap Value Fund, JPMorgan Multi-Cap Market Neutral Fund and JPMorgan Value Advantage Fund:
In our opinion, the accompanying statements of assets and liabilities, including the schedules of portfolio investments, and the related statements of operations and of changes in net assets and the financial highlights present fairly, in all material respects, the financial position of JPMorgan Mid Cap Equity Fund, JPMorgan Value Advantage Fund (each a separate fund of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund, JPMorgan Multi-Cap Market Neutral Fund (each a separate fund of JPMorgan Trust II), JPMorgan Growth Advantage Fund (a separate fund of J.P. Morgan Mutual Fund Investment Trust) and JPMorgan Mid Cap Value Fund (a separate fund of J.P. Morgan Fleming Mutual Fund Group, Inc.) at June 30, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, and the financial position of JPMorgan Mid Cap Core Fund (a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) at June 30, 2012, the results of its operations for the year then ended, and the changes in its net assets and the financial highlights for the year then ended and for the period November 30, 2010 (commencement of operations) through June 30, 2011, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 169 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 169 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 169 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 169 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). | |||
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees (continued) | ||||||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Advisor, JP Greene & Associates, LLC (broker-dealer) (2000-2009); Chief Investment Officer, Wabash College (2004-present); Director of Investments, Eli Lilly and Company (pharmaceuticals) (1988-1999). | 169 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 169 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (169 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
| Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012, and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,107.40 | $ | 6.50 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,104.70 | 9.11 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,104.50 | 9.10 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,108.70 | 4.46 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,108.20 | 5.50 | 1.05 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.27 | 1.05 | ||||||||||||
Mid Cap Core Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,067.80 | 6.38 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,065.00 | 8.93 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,066.70 | 7.66 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 | ||||||||||||
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| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Core Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,070.20 | $ | 4.07 | 0.79 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,070.90 | 3.81 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,069.10 | 5.09 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,090.40 | 6.44 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,087.70 | 9.03 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,092.60 | 4.63 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.44 | 4.47 | 0.89 | ||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,078.50 | 6.36 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | 1.23 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,075.80 | 8.93 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.26 | 8.67 | 1.73 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,075.80 | 8.93 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.26 | 8.67 | 1.73 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,077.60 | 7.18 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.97 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,081.20 | 4.04 | 0.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,081.70 | 3.78 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.23 | 3.67 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,080.20 | 4.76 | 0.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.29 | 4.62 | 0.92 | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,102.10 | 6.43 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.75 | 6.17 | 1.23 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,099.20 | 9.08 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,099.30 | 9.08 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 101 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Mid Cap Value Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,101.00 | $ | 7.78 | 1.49 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.45 | 7.47 | 1.49 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,104.80 | 3.87 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,103.50 | 5.13 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.99 | 4.92 | 0.98 | ||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,015.70 | 14.63 | 2.92 | ||||||||||||
Hypothetical | 1,000.00 | 1,010.34 | 14.60 | 2.92 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,012.00 | 18.46 | 3.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,006.51 | 18.41 | 3.69 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,012.00 | 18.36 | 3.67 | ||||||||||||
Hypothetical | 1,000.00 | 1,006.61 | 18.31 | 3.67 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,016.60 | 13.34 | 2.66 | ||||||||||||
Hypothetical | 1,000.00 | 1,011.64 | 13.30 | 2.66 | ||||||||||||
Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,097.30 | 6.47 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,094.60 | 9.06 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,100.20 | 3.86 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.18 | 3.72 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,098.90 | 5.17 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| 102 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2012 | ||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
Dividends Received Deduction | ||||
Mid Cap Core Fund | 100.00 | % | ||
Mid Cap Equity Fund | 100.00 | |||
Mid Cap Value Fund | 100.00 | |||
Value Advantage Fund | 100.00 | |||
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended June 30, 2012 (amounts in thousands):
Long-Term Distribution | ||||
Mid Cap Core Fund | $ | 2 | ||
Mid Cap Equity Fund | 17 | |||
Mid Cap Growth Fund | 134,380 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Mid Cap Core Fund | $ | 724 | ||
Mid Cap Equity Fund | 3,720 | |||
Mid Cap Value Fund | 60,236 | |||
Value Advantage Fund | 11,280 | |||
| JUNE 30, 2012 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 103 | ||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2012. All rights reserved. June 2012. | AN-MC-612 |
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Annual Report
J.P. Morgan Large Cap Funds
June 30, 2012
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
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Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan 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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JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
 |
“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. Stocks Outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks. U.S. large-cap growth stocks outperformed U.S. large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 1 | ||||||
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MARKET OVERVIEW
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. In addition, the U.S. Federal Reserve maintained its commitment to accommodative policies, which also helped support stock prices during the reporting period. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk caused stock prices to decline during the third quarter of 2011 and the second quarter of 2012. Nonetheless, U.S. stocks gained during the reporting period, as the S&P 500 Index returned 5.45% for the twelve months ended June 30, 2012. U.S. large-cap growth stocks outperformed U.S. large-cap value stocks.
| 2 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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JPMorgan Disciplined Equity Fund
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 5.47% | |||
| S&P 500 Index | 5.45% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 1,232,910 | ||
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) outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the systems and network hardware and retail sectors was the main contributor to relative performance. The Fund’s stock selection in the industrial cyclical and basic materials sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s overweight positions versus the Benchmark in Apple, Inc. and Wells Fargo & Co. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of Wells Fargo & Co. benefited from investors’ optimism surrounding the bank’s competitive positioning as a result of its large and diverse
deposit base. The Fund’s underweight position versus the Benchmark in Hewlett-Packard Co. also contributed to relative performance as concerns about the company’s declining earnings caused the stock to underperform its sector peers.
Individual detractors from relative performance included the Fund’s overweight positions versus the Benchmark in Sprint Nextel Corp., Dendreon Corp. and Alcoa, Inc. Shares of wireless provider Sprint Nextel Corp. declined due to concerns surrounding the company’s announcement that it would have to raise additional capital to meet near-term debt obligations. Shares of Dendreon Corp., a biotechnology company, declined on news that sales of its prostate cancer drug Provenge would fall short of expectations. The announcement of a class action lawsuit against the company also hurt the stock. Shares of Alcoa, Inc., an aluminum mining company, declined due to concerns that slowing economic growth would hurt demand.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of potential excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 3 | ||||||
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JPMorgan Disciplined Equity Fund
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.7 | % | |||||
| 2. | Microsoft Corp. | 3.3 | ||||||
| 3. | Chevron Corp. | 2.4 | ||||||
| 4. | Wells Fargo & Co. | 2.4 | ||||||
| 5. | Merck & Co., Inc. | 2.2 | ||||||
| 6. | Union Pacific Corp. | 2.2 | ||||||
| 7. | Oracle Corp. | 2.1 | ||||||
| 8. | Exxon Mobil Corp. | 1.9 | ||||||
| 9. | Coca-Cola Co. (The) | 1.7 | ||||||
| 10. | Google, Inc., Class A | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 18.9 | % | ||
| Financials | 14.3 | |||
| Consumer Discretionary | 12.2 | |||
| Health Care | 12.0 | |||
| Industrials | 11.6 | |||
| Energy | 10.3 | |||
| Consumer Staples | 9.9 | |||
| Utilities | 3.4 | |||
| Materials | 2.9 | |||
| Telecommunication Services | 2.5 | |||
| U.S. Treasury Obligation | 0.1 | |||
| Short-Term Investment | 1.9 | |||
| * | 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 as of June 30, 2012. The Fund’s composition is subject to change. |
| 4 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 9/28/01 | |||||||||||||||
Without Sales Charge | 4.98 | % | 0.38 | % | 5.16 | % | ||||||||||
With Sales Charge* | (0.52 | ) | (0.70 | ) | 4.59 | |||||||||||
CLASS R6 SHARES | 3/24/03 | 5.57 | 0.89 | 5.71 | ||||||||||||
INSTITUTIONAL CLASS SHARES | 1/3/97 | 5.47 | 0.80 | 5.61 | ||||||||||||
SELECT CLASS SHARES | 9/10/01 | 5.31 | 0.65 | 5.44 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 5 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 2.95% | |||
| Russell 1000 Growth Index | 5.76% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 39,190 | ||
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) underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the technology and consumer discretionary sectors was the main detractor from relative performance. The Fund’s stock selection in the producer durables sector, and stock selection and an underweight versus the Benchmark in the materials and processing sector, contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in NetApp, Inc., Cognizant Technology Solutions Corp. and Juniper Networks, Inc. Shares of NetApp, Inc., a provider of storage and data management solutions, declined after the company gave a disappointing outlook for its quarterly earnings. Shares of Cognizant Technology Solutions Corp., an outsourcing company, declined after the company lowered its expectations for its fiscal year earnings. Shares of Juniper Networks, Inc. declined after the communications equipment company lowered its expectations for its fourth-quarter earnings due to weaker-than-expected demand for routers from telecommunication service providers.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., Kansas City Southern and McDonald’s Corp. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of railroad operator Kansas City Southern gained due to improving trends for freight volume. Shares of McDonald’s Corp. benefited from the company’s consistently strong earnings 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 portfo-
lio 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. | Biogen Idec, Inc. | 6.2 | ||||||
| 3. | Express Scripts Holding Co. | 4.9 | ||||||
| 4. | Starbucks Corp. | 4.9 | ||||||
| 5. | MasterCard, Inc., Class A | 4.7 | ||||||
| 6. | Capital One Financial Corp. | 4.5 | ||||||
| 7. | Kansas City Southern | 4.4 | ||||||
| 8. | priceline.com, Inc. | 4.0 | ||||||
| 9. | Allergan, Inc. | 3.9 | ||||||
| 10. | Teradata Corp. | 3.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 34.6 | % | ||
| Health Care | 18.7 | |||
| Consumer Discretionary | 17.3 | |||
| Industrials | 7.7 | |||
| Financials | 7.0 | |||
| Energy | 3.9 | |||
| Consumer Staples | 3.6 | |||
| Materials | 3.5 | |||
| Short-Term Investment | 3.7 | |||
| * | 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 are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| 6 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 3 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 11/30/07 | |||||||||||||||
Without Sales Charge | 2.65 | % | 17.04 | % | 1.27 | % | ||||||||||
With Sales Charge* | (2.75 | ) | 14.96 | 0.09 | ||||||||||||
CLASS C SHARES | 11/30/07 | |||||||||||||||
Without CDSC | 2.17 | 16.45 | 0.77 | |||||||||||||
With CDSC** | 1.17 | 16.45 | 0.77 | |||||||||||||
CLASS R5 SHARES | 11/30/07 | 3.18 | 17.57 | 1.73 | ||||||||||||
SELECT CLASS SHARES | 11/30/07 | 2.95 | 17.33 | 1.52 | ||||||||||||
| * | 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 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-800-480-4111.
The Fund commenced operations on 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, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 7 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 7.48% | |||
| Russell 1000 Value Index | 3.01% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 2,212,699 | ||
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, 2012. The Fund’s stock selection in the financials and energy sectors was the main contributor to relative performance. The Fund’s stock selection in the industrials sector and underweight versus the Benchmark in the health care sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in PPG Industries, Inc. and TJX Cos., Inc. Shares of PPG Industries, Inc. benefited from investors’ positive reaction to the announcement that the chemical manufacturing company would increase its quarterly dividend. Shares of TJX Cos., Inc. increased after the retail company raised its expectations for its 2012 earnings. In addition, the Fund’s underweight
position versus the Benchmark in financial services company Citigroup Inc. contributed to relative performance, as the stock underperformed its sector peers.
Individual detractors from the Fund’s relative performance included the Fund’s overweight position in Greif, Inc. and Tiffany & Co. Shares of Greif, Inc. declined after the container and packing company lowered its expectations for its fiscal 2011 earnings. Shares of Tiffany & Co. declined after the jewelry company lowered its expectations for 2012 net sales. The Fund’s underweight position in General Electric Co. also detracted from relative performance as the stock outperformed its sector peers during the reporting period.
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.
| 8 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 4.0 | % | |||||
| 2. | Merck & Co., Inc. | 3.3 | ||||||
| 3. | Pfizer, Inc. | 3.1 | ||||||
| 4. | Verizon Communications, Inc. | 2.5 | ||||||
| 5. | T. Rowe Price Group, Inc. | 2.3 | ||||||
| 6. | Exxon Mobil Corp. | 2.0 | ||||||
| 7. | ConocoPhillips | 2.0 | ||||||
| 8. | Microsoft Corp. | 2.0 | ||||||
| 9. | Sempra Energy | 1.9 | ||||||
| 10. | PPG Industries, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 22.3 | % | ||
| Consumer Discretionary | 13.5 | |||
| Health Care | 10.6 | |||
| Information Technology | 10.6 | |||
| Energy | 9.5 | |||
| Industrials | 8.4 | |||
| Consumer Staples | 7.0 | |||
| Utilities | 6.8 | |||
| Materials | 4.7 | |||
| Telecommunication Services | 4.4 | |||
| 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 as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | 7.30 | % | 1.32 | % | 5.77 | % | ||||||||||
With Sales Charge* | 1.67 | 0.23 | 5.20 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 6.75 | 0.80 | 5.27 | |||||||||||||
With CDSC** | 1.75 | 0.41 | 5.27 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 6.72 | 0.78 | 5.16 | |||||||||||||
With CDSC*** | 5.72 | 0.78 | 5.16 | |||||||||||||
CLASS R2 SHARES | 2/28/11 | 7.13 | 1.19 | 5.64 | ||||||||||||
CLASS R5 SHARES | 2/28/11 | 7.78 | 1.67 | 6.09 | ||||||||||||
CLASS R6 SHARES | 1/31/12 | 7.80 | 1.67 | 6.09 | ||||||||||||
SELECT CLASS SHARES | 7/2/87 | 7.48 | 1.62 | 6.07 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2, Class R5 and Class R6 Shares prior to their inception 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 those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Income Fund, the Russell 1000 Value Index and the Lipper Equity Income Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 5.45% | |||
| S&P 500/Citigroup Value Index | 3.00% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 308,417 | ||
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, 2012. The Fund’s stock selection in the information technology sector was the main contributor to relative performance. The Fund’s stock selection and underweight versus the Benchmark in the consumer staples sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., TJX Cos., Inc. and U.S. Bancorp. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of TJX Cos., Inc. increased after the retail company raised its expectations for its 2012 earnings. Shares of U.S. Bancorp. benefited from the announcement that the company would increase its quarterly dividend payment.
Individual detractors from the Fund’s relative performance included the Fund’s positions in Devon Energy Corp., Tiffany & Co. and PACCAR, Inc. Shares of oil and gas operations company Devon Energy Corp. declined due to concerns that slowing economic growth would hurt the demand for oil and natural gas. Shares of Tiffany & Co. declined after the jewelry company lowered its expectations for 2012 net sales. Shares of PACCAR, Inc. declined after the truck manufacturer reported lower-than-expected second-quarter profit and lowered its outlook for North American truck sales.
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. | 3.4 | % | |||||
| 2. | Microsoft Corp. | 3.0 | ||||||
| 3. | Apple, Inc. | 3.0 | ||||||
| 4. | Merck & Co., Inc. | 2.9 | ||||||
| 5. | Exxon Mobil Corp. | 2.8 | ||||||
| 6. | American Express Co. | 2.4 | ||||||
| 7. | T. Rowe Price Group, Inc. | 2.3 | ||||||
| 8. | U.S. Bancorp | 2.2 | ||||||
| 9. | General Electric Co. | 2.2 | ||||||
| 10. | Verizon Communications, Inc. | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 30.3 | % | ||
| Consumer Discretionary | 15.6 | |||
| Health Care | 13.6 | |||
| Energy | 10.5 | |||
| Information Technology | 8.4 | |||
| Industrials | 7.6 | |||
| Consumer Staples | 5.6 | |||
| Telecommunication Services | 3.3 | |||
| Utilities | 2.5 | |||
| Materials | 0.8 | |||
| Short-Term Investment | 1.8 | |||
| * | 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 indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 9/23/87 | |||||||||||||||
Without Sales Charge | 5.45 | % | (1.86 | )% | 4.48 | % | ||||||||||
With Sales Charge* | (0.10 | ) | (2.91 | ) | 3.92 | |||||||||||
CLASS B SHARES | 11/4/93 | |||||||||||||||
Without CDSC | 4.93 | (2.35 | ) | 4.06 | ||||||||||||
With CDSC** | (0.07 | ) | (2.80 | ) | 4.06 | |||||||||||
CLASS C SHARES | 1/2/98 | |||||||||||||||
Without CDSC | 4.94 | (2.35 | ) | 3.96 | ||||||||||||
With CDSC*** | 3.94 | (2.35 | ) | 3.96 | ||||||||||||
SELECT CLASS SHARES | 1/25/96 | 5.78 | (1.55 | ) | 4.83 | |||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 5.85% | |||
| Russell 1000 Growth Index | 5.76% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 6,916,874 | ||
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, 2012. The Fund’s stock selection in the health care and producer durables sectors was the main contributor to relative performance. The Fund’s stock selection in the technology and consumer discretionary sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s overweight positions versus the Benchmark in Alexion Pharmaceuticals, Inc., Monster Beverage Corp. and Apple, Inc. Shares of biotechnology company Alexion Pharmaceuticals, Inc. increased as investors reacted positively to the company’s earnings growth and favorable regulatory opinions on its Soliris drug. Monster Beverage Corp. sells and distributes alternative beverages. The stock benefited from positive growth trends in its energy drink category. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad.
Individual detractors from relative performance included the Fund’s overweight positions versus the Benchmark in Fossil, Inc. and Cognizant Technology Solutions Corp. Shares of Fossil, Inc., a specialty retailer, declined after the company lowered its expectations for its fourth-quarter earnings. Shares of Cognizant Technology Solutions Corp., an outsourcing company, declined after the company lowered its expectations for its fiscal year earnings. The Fund’s underweight position versus the Benchmark in Exxon Mobil Corp. also detracted from relative performance as the energy stock performed strongly relative to its industry peers during the reporting period.
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 consumer discretionary sector. The Fund’s largest underweight versus the Benchmark was in the producer durables sector.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 9.3 | % | |||||
| 2. | MasterCard, Inc., Class A | 3.6 | ||||||
| 3. | Biogen Idec, Inc. | 3.2 | ||||||
| 4. | International Business Machines Corp. | 2.8 | ||||||
| 5. | Intuitive Surgical, Inc. | 2.7 | ||||||
| 6. | Starbucks Corp. | 2.7 | ||||||
| 7. | Philip Morris International, Inc. | 2.6 | ||||||
| 8. | Alexion Pharmaceuticals, Inc. | 2.5 | ||||||
| 9. | W.W. Grainger, Inc. | 2.3 | ||||||
| 10. | Monster Beverage Corp. | 2.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 31.7 | % | ||
| Consumer Discretionary | 17.5 | |||
| Health Care | 16.7 | |||
| Consumer Staples | 12.1 | |||
| Industrials | 8.1 | |||
| Energy | 4.5 | |||
| Materials | 4.5 | |||
| Financials | 1.1 | |||
| Short-Term Investment | 3.8 | |||
| * | 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 indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| 14 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/22/94 | |||||||||||||||
Without Sales Charge | 5.63 | % | 4.86 | % | 6.52 | % | ||||||||||
With Sales Charge* | 0.08 | 3.73 | 5.94 | |||||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | 5.12 | 4.29 | 6.00 | |||||||||||||
With CDSC** | 0.12 | 3.95 | 6.00 | |||||||||||||
CLASS C SHARES | 11/4/97 | |||||||||||||||
Without CDSC | 5.16 | 4.32 | 5.90 | |||||||||||||
With CDSC*** | 4.16 | 4.32 | 5.90 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 5.41 | 4.61 | 6.24 | ||||||||||||
CLASS R5 SHARES | 4/14/09 | 6.10 | 5.24 | 6.84 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | 6.15 | 5.26 | 6.85 | ||||||||||||
SELECT CLASS SHARES | 2/28/92 | 5.85 | 5.10 | 6.77 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2, 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | J.P. MORGAN LARGE CAP FUNDS | 15 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -2.54% | |||
| Russell 1000 Value Index | 3.01% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 635,373 | ||
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.
Effective August 1, 2012, there was a portfolio management change. There was no change to the Fund’s investment strategy or objective.
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, 2012. The Fund’s stock selection in the industrial cyclical sector and stock selection and underweight versus the Benchmark in the big banks and brokers sector were the main detractors from relative performance. The Fund’s stock selection in the information technology and consumer cyclical sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Citigroup, Inc., MetLife, Inc. and Sprint Nextel Corp. Uncertainty about potential federal regulation and concerns surrounding contagion from the European debt crisis hurt shares of financial services company Citigroup, Inc. Shares of insurance company MetLife, Inc. declined after the U.S. Federal Reserve blocked the company from raising its dividend or buying back shares. Shares of wireless provider Sprint Nextel Corp. declined due to concerns surrounding the company’s announcement that it would have to raise additional capital to meet near-term debt obligations.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., Wells Fargo & Co. and Comcast Corp. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of Wells Fargo & Co. benefited from investors’ optimism surrounding the bank’s competitive positioning and resulting market share gains. Shares of Comcast Corp. increased as investors reacted positively to the news that the communications services company would increase its quarterly dividend and repurchase stock.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 4.7 | % | |||||
| 2. | Chevron Corp. | 4.2 | ||||||
| 3. | Citigroup, Inc. | 3.8 | ||||||
| 4. | UnitedHealth Group, Inc. | 3.6 | ||||||
| 5. | Exxon Mobil Corp. | 3.6 | ||||||
| 6. | MetLife, Inc. | 3.2 | ||||||
| 7. | Occidental Petroleum Corp. | 2.8 | ||||||
| 8. | Merck & Co., Inc. | 2.8 | ||||||
| 9. | State Street Corp. | 2.7 | ||||||
| 10. | Apache Corp. | 2.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 27.5 | % | ||
| Energy | 16.7 | |||
| Health Care | 15.0 | |||
| Consumer Discretionary | 11.9 | |||
| Information Technology | 10.9 | |||
| Industrials | 10.1 | |||
| Consumer Staples | 3.5 | |||
| Utilities | 3.3 | |||
| Others (each less than 1.0%) | 1.1 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| 16 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 2/18/92 | |||||||||||||||
Without Sales Charge | (2.75 | )% | (3.54 | )% | 3.62 | % | ||||||||||
With Sales Charge* | (7.82 | ) | (4.58 | ) | 3.06 | |||||||||||
CLASS B SHARES | 1/14/94 | |||||||||||||||
Without CDSC | (3.22 | ) | (4.07 | ) | 3.12 | |||||||||||
With CDSC** | (8.22 | ) | (4.54 | ) | 3.12 | |||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | (3.17 | ) | (4.05 | ) | 3.02 | |||||||||||
With CDSC*** | (4.17 | ) | (4.05 | ) | 3.02 | |||||||||||
CLASS R2 SHARES | 11/3/08 | (2.97 | ) | (3.81 | ) | 3.34 | ||||||||||
CLASS R5 SHARES | 5/15/06 | (2.34 | ) | (3.15 | ) | 3.98 | ||||||||||
CLASS R6 SHARES | 11/30/10 | (2.30 | ) | (3.13 | ) | 3.99 | ||||||||||
SELECT CLASS SHARES | 3/1/91 | (2.54 | ) | (3.36 | ) | 3.85 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R2 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 its 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 Class R5 and 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | J.P. MORGAN LARGE CAP FUNDS | 17 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 2.67% | |||
| S&P 500 Index | 5.45% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 6,453,009 | ||
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, 2012. The Fund’s stock selection in the industrial cyclical and auto and transportation sectors was the main detractor from relative performance. The Fund’s stock selection in the systems hardware and pharmaceuticals/medical technology sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s overweight positions versus the Benchmark in General Motors Co. and Johnson Controls, Inc. Shares of car manufacturer General Motors Co. declined due to scheduled downtime in several of its truck manufacturing plants, weakness in Europe and concerns over slowing global growth. Shares of auto and truck parts manufacturer Johnson Controls, Inc. declined after the company lowered its forecast for earnings. The Fund’s underweight position versus the Benchmark in Exxon Mobil Corp. also detracted from relative performance as the energy stock performed strongly relative to its industry peers during the reporting period.
Individual contributors to relative performance included the Fund’s overweight positions versus the Benchmark in Apple, Inc. and Wells Fargo & Co. Shares of technology company Apple, Inc. rose as the company continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of Wells Fargo & Co. benefited from investors’ optimism surrounding the bank’s competitive positioning as a result of its large and diverse deposit base. The Fund’s underweight position versus the Benchmark in Hewlett-Packard Co. also contributed to relative performance as concerns about the company’s declining earnings caused the stock to underperform its sector peers. In addition, the Fund used S&P 500 futures to equitize cash during the reporting period, which contributed to returns.
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 modest overweights versus the Benchmark in the auto and transportation and health services and systems sectors. The Fund had modest underweights versus the Benchmark in the real estate investment trusts (REITs) and industrial cyclical sectors.
| 18 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.3 | % | |||||
| 2. | Wells Fargo & Co. | 2.4 | ||||||
| 3. | Time Warner, Inc. | 2.3 | ||||||
| 4. | Microsoft Corp. | 2.2 | ||||||
| 5. | Merck & Co., Inc. | 2.2 | ||||||
| 6. | Occidental Petroleum Corp. | 2.1 | ||||||
| 7. | Exxon Mobil Corp. | 1.8 | ||||||
| 8. | Coca-Cola Co. (The) | 1.7 | ||||||
| 9. | United Technologies Corp. | 1.6 | ||||||
| 10. | UnitedHealth Group, Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 18.8 | % | ||
| Consumer Discretionary | 15.8 | |||
| Health Care | 14.0 | |||
| Financials | 13.9 | |||
| Energy | 11.0 | |||
| Industrials | 10.2 | |||
| Consumer Staples | 7.3 | |||
| Materials | 2.7 | |||
| Utilities | 2.3 | |||
| Telecommunication Services | 2.2 | |||
| Short-Term Investment | 1.8 | |||
| * | 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 indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 9/10/01 | |||||||||||||||
Without Sales Charge | 2.27 | % | 1.15 | % | 6.01 | % | ||||||||||
With Sales Charge* | (3.10 | ) | 0.07 | 5.44 | ||||||||||||
CLASS B SHARES | 9/10/01 | |||||||||||||||
Without CDSC | 1.74 | 0.63 | 5.53 | |||||||||||||
With CDSC** | (3.26 | ) | 0.24 | 5.53 | ||||||||||||
CLASS C SHARES | 9/10/01 | |||||||||||||||
Without CDSC | 1.83 | 0.65 | 5.44 | |||||||||||||
With CDSC*** | 0.83 | 0.65 | 5.44 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 2.00 | 0.97 | 5.92 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 2.62 | 1.58 | 6.47 | ||||||||||||
CLASS R6 SHARES | 11/30/10 | �� | 2.76 | 1.62 | 6.49 | |||||||||||
INSTITUTIONAL CLASS SHARES | 9/17/93 | 2.67 | 1.54 | 6.44 | ||||||||||||
SELECT CLASS SHARES | 9/10/01 | 2.43 | 1.38 | 6.27 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to its inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than 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 its 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 Class R5 and 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the 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 gain distributions 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 incurred 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 $3,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 20 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% |
| ||||||
Consumer Discretionary — 12.3% | ||||||||
Automobiles — 0.6% | ||||||||
| 370 | Ford Motor Co. | 3,551 | ||||||
| 207 | General Motors Co. (a) | 4,083 | ||||||
|
| |||||||
| 7,634 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.6% | ||||||||
| 42 | Carnival Corp. | 1,442 | ||||||
| 47 | McDonald’s Corp. | 4,126 | ||||||
| 47 | Royal Caribbean Cruises Ltd. | 1,234 | ||||||
|
| |||||||
| 6,802 | ||||||||
|
| |||||||
Household Durables — 0.9% | ||||||||
| 123 | D.R. Horton, Inc. | 2,263 | ||||||
| 90 | Lennar Corp., Class A | 2,791 | ||||||
| 25 | Newell Rubbermaid, Inc. | 453 | ||||||
| 1 | NVR, Inc. (a) | 1,190 | ||||||
| 462 | PulteGroup, Inc. (a) | 4,948 | ||||||
|
| |||||||
| 11,645 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.6% | ||||||||
| 33 | Amazon.com, Inc. (a) | 7,431 | ||||||
|
| |||||||
Leisure Equipment & Products — 0.2% | ||||||||
| 114 | Brunswick Corp. | 2,535 | ||||||
|
| |||||||
Media — 3.7% | ||||||||
| 292 | CBS Corp. (Non-Voting), Class B | 9,582 | ||||||
| 357 | Comcast Corp., Class A | 11,426 | ||||||
| 88 | DIRECTV, Class A (a) | 4,283 | ||||||
| 56 | DISH Network Corp., Class A | 1,605 | ||||||
| 44 | Time Warner Cable, Inc. | 3,571 | ||||||
| 379 | Time Warner, Inc. | 14,591 | ||||||
|
| |||||||
| 45,058 | ||||||||
|
| |||||||
Multiline Retail — 1.1% | ||||||||
| 224 | Target Corp. | 13,008 | ||||||
|
| |||||||
Specialty Retail — 3.8% | ||||||||
| 9 | AutoZone, Inc. (a) | 3,143 | ||||||
| 61 | CarMax, Inc. (a) | 1,592 | ||||||
| 383 | Home Depot, Inc. (The) | 20,290 | ||||||
| 646 | Lowe’s Cos., Inc. | 18,368 | ||||||
| 87 | TJX Cos., Inc. | 3,735 | ||||||
|
| |||||||
| 47,128 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
| 25 | Coach, Inc. | 1,485 | ||||||
| 7 | Lululemon Athletica, Inc., (Canada) (a) | 435 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — Continued |
| |||||||
| 64 | V.F. Corp. | 8,476 | ||||||
|
| |||||||
| 10,396 | ||||||||
|
| |||||||
Total Consumer Discretionary | 151,637 | |||||||
|
| |||||||
Consumer Staples — 10.0% | ||||||||
Beverages — 2.1% | ||||||||
| 276 | Coca-Cola Co. (The) | 21,576 | ||||||
| 73 | Coca-Cola Enterprises, Inc. | 2,033 | ||||||
| 29 | Constellation Brands, Inc., Class A (a) | 785 | ||||||
| 35 | Dr. Pepper Snapple Group, Inc. | 1,546 | ||||||
|
| |||||||
| 25,940 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% | ||||||||
| 52 | CVS Caremark Corp. | 2,425 | ||||||
| 245 | Kroger Co. (The) | 5,686 | ||||||
| 62 | Walgreen Co. | 1,819 | ||||||
|
| |||||||
| 9,930 | ||||||||
|
| |||||||
Food Products — 3.7% | ||||||||
| 202 | Archer-Daniels-Midland Co. | 5,972 | ||||||
| 92 | Campbell Soup Co. | 3,071 | ||||||
| 228 | General Mills, Inc. | 8,771 | ||||||
| 24 | JM Smucker Co. (The) | 1,775 | ||||||
| 88 | Kellogg Co. | 4,356 | ||||||
| 509 | Kraft Foods, Inc., Class A | 19,646 | ||||||
| 81 | Tyson Foods, Inc., Class A | 1,519 | ||||||
|
| |||||||
| 45,110 | ||||||||
|
| |||||||
Household Products — 1.6% | ||||||||
| 81 | Clorox Co. (The) | 5,884 | ||||||
| 231 | Procter & Gamble Co. (The) | 14,147 | ||||||
|
| |||||||
| 20,031 | ||||||||
|
| |||||||
Tobacco — 1.8% | ||||||||
| 165 | Altria Group, Inc. | 5,708 | ||||||
| 11 | Lorillard, Inc. | 1,438 | ||||||
| 165 | Philip Morris International, Inc. | 14,412 | ||||||
|
| |||||||
| 21,558 | ||||||||
|
| |||||||
Total Consumer Staples | 122,569 | |||||||
|
| |||||||
Energy — 10.4% | ||||||||
Energy Equipment & Services — 1.4% | ||||||||
| 42 | Baker Hughes, Inc. | 1,707 | ||||||
| 128 | Ensco plc, (United Kingdom), Class A | 6,026 | ||||||
| 102 | Halliburton Co. | 2,893 | ||||||
| 110 | Schlumberger Ltd. | 7,118 | ||||||
|
| |||||||
| 17,744 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Oil, Gas & Consumable Fuels — 9.0% | ||||||||
| 36 | Apache Corp. | 3,199 | ||||||
| 64 | Chesapeake Energy Corp. | 1,194 | ||||||
| 280 | Chevron Corp. | 29,584 | ||||||
| 203 | Denbury Resources, Inc. (a) | 3,073 | ||||||
| 51 | EOG Resources, Inc. | 4,596 | ||||||
| 50 | EQT Corp. | 2,665 | ||||||
| 276 | Exxon Mobil Corp. | 23,659 | ||||||
| 59 | Kinder Morgan, Inc. | 1,901 | ||||||
| 267 | Marathon Oil Corp. | 6,835 | ||||||
| 18 | Murphy Oil Corp. | 915 | ||||||
| 161 | Occidental Petroleum Corp. | 13,846 | ||||||
| 131 | Peabody Energy Corp. | 3,220 | ||||||
| 33 | Phillips 66 (a) | 1,080 | ||||||
| 25 | Pioneer Natural Resources Co. | 2,197 | ||||||
| 97 | Range Resources Corp. | 6,001 | ||||||
| 244 | Valero Energy Corp. | 5,893 | ||||||
| 23 | Williams Cos., Inc. (The) | 673 | ||||||
|
| |||||||
| 110,531 | ||||||||
|
| |||||||
Total Energy | 128,275 | |||||||
|
| |||||||
Financials — 14.4% | ||||||||
Capital Markets — 2.3% | ||||||||
| 124 | Bank of New York Mellon Corp. (The) | 2,711 | ||||||
| 4 | BlackRock, Inc. | 611 | ||||||
| 11 | Franklin Resources, Inc. | 1,210 | ||||||
| 59 | Goldman Sachs Group, Inc. (The) | 5,629 | ||||||
| 295 | Invesco Ltd. | 6,668 | ||||||
| 199 | State Street Corp. | 8,897 | ||||||
| 132 | TD Ameritrade Holding Corp. | 2,241 | ||||||
|
| |||||||
| 27,967 | ||||||||
|
| |||||||
Commercial Banks — 3.4% | ||||||||
| 204 | Comerica, Inc. | 6,262 | ||||||
| 65 | First Niagara Financial Group, Inc. | 496 | ||||||
| 276 | Huntington Bancshares, Inc. | 1,766 | ||||||
| 228 | KeyCorp | 1,765 | ||||||
| 103 | SunTrust Banks, Inc. | 2,501 | ||||||
| 875 | Wells Fargo & Co. | 29,262 | ||||||
|
| |||||||
| 42,052 | ||||||||
|
| |||||||
Consumer Finance — 1.2% | ||||||||
| 184 | Capital One Financial Corp. | 10,042 | ||||||
| 150 | Discover Financial Services | 5,180 | ||||||
|
| |||||||
| 15,222 | ||||||||
|
| |||||||
Diversified Financial Services — 2.0% | ||||||||
| 1,215 | Bank of America Corp. | 9,941 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — Continued | ||||||||
| 525 | Citigroup, Inc. | 14,394 | ||||||
|
| |||||||
| 24,335 | ||||||||
|
| |||||||
Insurance — 3.2% | ||||||||
| 72 | ACE Ltd., (Switzerland) | 5,302 | ||||||
| 53 | Allstate Corp. (The) | 1,867 | ||||||
| 62 | American International Group, Inc. (a) | 1,983 | ||||||
| 69 | Axis Capital Holdings Ltd., (Bermuda) | 2,243 | ||||||
| 109 | Berkshire Hathaway, Inc., Class B (a) | 9,091 | ||||||
| 22 | Everest Re Group Ltd., (Bermuda) | 2,236 | ||||||
| 115 | Hartford Financial Services Group, Inc. | 2,024 | ||||||
| 308 | MetLife, Inc. | 9,495 | ||||||
| 97 | Prudential Financial, Inc. | 4,689 | ||||||
|
| |||||||
| 38,930 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.1% |
| |||||||
| 44 | Alexandria Real Estate Equities, Inc. | 3,229 | ||||||
| 75 | Apartment Investment & Management Co., Class A | 2,038 | ||||||
| 200 | CubeSmart | 2,331 | ||||||
| 250 | Duke Realty Corp. | 3,666 | ||||||
| 55 | Equity Lifestyle Properties, Inc. | 3,786 | ||||||
| 7 | Essex Property Trust, Inc. | 1,108 | ||||||
| 20 | Home Properties, Inc. | 1,203 | ||||||
| 51 | Hospitality Properties Trust | 1,253 | ||||||
| 69 | Host Hotels & Resorts, Inc. | 1,096 | ||||||
| 44 | LaSalle Hotel Properties | 1,271 | ||||||
| 80 | Liberty Property Trust | 2,929 | ||||||
| 18 | Macerich Co. (The) | 1,075 | ||||||
| 58 | Pebblebrook Hotel Trust | 1,347 | ||||||
|
| |||||||
| 26,332 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 28 | Howard Hughes Corp. (The) (a) | 1,714 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
| 63 | Washington Federal, Inc. | 1,067 | ||||||
|
| |||||||
Total Financials | 177,619 | |||||||
|
| |||||||
Health Care — 12.1% | ||||||||
Biotechnology — 2.1% | ||||||||
| 90 | Biogen Idec, Inc. (a) | 12,936 | ||||||
| 197 | Celgene Corp. (a) | 12,625 | ||||||
|
| |||||||
| 25,561 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% | ||||||||
| 76 | Baxter International, Inc. | 4,055 | ||||||
| 18 | Becton, Dickinson & Co. | 1,353 | ||||||
| 164 | CareFusion Corp. (a) | 4,217 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care Equipment & Supplies — Continued |
| |||||||
| 235 | Covidien plc, (Ireland) | 12,561 | ||||||
|
| |||||||
| 22,186 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.3% | ||||||||
| 18 | AMERIGROUP Corp. (a) | 1,200 | ||||||
| 39 | Cigna Corp. | 1,694 | ||||||
| 108 | Humana, Inc. | 8,334 | ||||||
| 29 | McKesson Corp. | 2,741 | ||||||
| 245 | UnitedHealth Group, Inc. | 14,331 | ||||||
|
| |||||||
| 28,300 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% | ||||||||
| 15 | Life Technologies Corp. (a) | 653 | ||||||
| 33 | Thermo Fisher Scientific, Inc. | 1,692 | ||||||
|
| |||||||
| 2,345 | ||||||||
|
| |||||||
Pharmaceuticals — 5.7% | ||||||||
| 163 | Abbott Laboratories | 10,521 | ||||||
| 27 | Allergan, Inc. | 2,527 | ||||||
| 91 | Johnson & Johnson | 6,128 | ||||||
| 653 | Merck & Co., Inc. | 27,277 | ||||||
| 164 | Mylan, Inc. (a) | 3,509 | ||||||
| 7 | Perrigo Co. | 861 | ||||||
| 837 | Pfizer, Inc. | 19,251 | ||||||
|
| |||||||
| 70,074 | ||||||||
|
| |||||||
Total Health Care | 148,466 | |||||||
|
| |||||||
Industrials — 11.6% | ||||||||
Aerospace & Defense — 2.0% | ||||||||
| 80 | Honeywell International, Inc. | 4,456 | ||||||
| 265 | United Technologies Corp. | 20,001 | ||||||
|
| |||||||
| 24,457 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.3% | ||||||||
| 32 | FedEx Corp. | 2,913 | ||||||
| 164 | United Parcel Service, Inc., Class B | 12,940 | ||||||
|
| |||||||
| 15,853 | ||||||||
|
| |||||||
Airlines — 0.2% | ||||||||
| 344 | Southwest Airlines Co. | 3,175 | ||||||
|
| |||||||
Building Products — 0.2% | ||||||||
| 199 | Masco Corp. | 2,759 | ||||||
|
| |||||||
Construction & Engineering — 0.3% | ||||||||
| 77 | Fluor Corp. | 3,797 | ||||||
|
| |||||||
Electrical Equipment — 0.3% | ||||||||
| 69 | Emerson Electric Co. | 3,217 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrial Conglomerates — 1.4% | ||||||||
| 7 | 3M Co. | 651 | ||||||
| 620 | General Electric Co. | 12,921 | ||||||
| 78 | Tyco International Ltd., (Switzerland) | 4,116 | ||||||
|
| |||||||
| 17,688 | ||||||||
|
| |||||||
Machinery — 1.4% | ||||||||
| 40 | Cummins, Inc. | 3,857 | ||||||
| 15 | Deere & Co. | 1,173 | ||||||
| 33 | Eaton Corp. | 1,300 | ||||||
| 240 | PACCAR, Inc. | 9,424 | ||||||
| 18 | Stanley Black & Decker, Inc. | 1,171 | ||||||
|
| |||||||
| 16,925 | ||||||||
|
| |||||||
Professional Services — 0.3% | ||||||||
| 15 | Dun & Bradstreet Corp. (The) | 1,032 | ||||||
| 62 | Equifax, Inc. | 2,871 | ||||||
|
| |||||||
| 3,903 | ||||||||
|
| |||||||
Road & Rail — 4.0% | ||||||||
| 918 | CSX Corp. | 20,536 | ||||||
| 31 | Norfolk Southern Corp. | 2,237 | ||||||
| 225 | Union Pacific Corp. | 26,866 | ||||||
|
| |||||||
| 49,639 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% | ||||||||
| 11 | W.W. Grainger, Inc. | 2,065 | ||||||
|
| |||||||
Total Industrials | 143,478 | |||||||
|
| |||||||
Information Technology — 19.1% | ||||||||
Communications Equipment — 1.0% | ||||||||
| 596 | Cisco Systems, Inc. | 10,233 | ||||||
| 29 | QUALCOMM, Inc. | 1,626 | ||||||
|
| |||||||
| 11,859 | ||||||||
|
| |||||||
Computers & Peripherals — 6.0% | ||||||||
| 101 | Apple, Inc. (a) | 58,990 | ||||||
| 200 | EMC Corp. (a) | 5,121 | ||||||
| 258 | Hewlett-Packard Co. | 5,196 | ||||||
| 155 | NetApp, Inc. (a) | 4,916 | ||||||
|
| |||||||
| 74,223 | ||||||||
|
| |||||||
Internet Software & Services — 2.2% | ||||||||
| 112 | eBay, Inc. (a) | 4,705 | ||||||
| 36 | Google, Inc., Class A (a) | 20,645 | ||||||
| 11 | LinkedIn Corp., Class A (a) | 1,158 | ||||||
|
| |||||||
| 26,508 | ||||||||
|
| |||||||
IT Services — 0.7% | ||||||||
| 84 | Fidelity National Information Services, Inc. | 2,846 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — Continued |
| |||||||
| 31 | International Business Machines Corp. | 6,141 | ||||||
|
| |||||||
| 8,987 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.1% |
| |||||||
| 203 | Altera Corp. | 6,859 | ||||||
| 18 | Avago Technologies Ltd., (Singapore) | 653 | ||||||
| 116 | Broadcom Corp., Class A (a) | 3,917 | ||||||
| 403 | Intel Corp. | 10,727 | ||||||
| 15 | KLA-Tencor Corp. | 714 | ||||||
| 146 | Lam Research Corp. (a) | 5,521 | ||||||
| 232 | LSI Corp. (a) | 1,479 | ||||||
| 47 | Marvell Technology Group Ltd., (Bermuda) | 528 | ||||||
| 214 | ON Semiconductor Corp. (a) | 1,518 | ||||||
| 211 | Texas Instruments, Inc. | 6,054 | ||||||
|
| |||||||
| 37,970 | ||||||||
|
| |||||||
Software — 6.1% | ||||||||
| 159 | Adobe Systems, Inc. (a) | 5,153 | ||||||
| 18 | Citrix Systems, Inc. (a) | 1,519 | ||||||
| 1,356 | Microsoft Corp. | 41,472 | ||||||
| 897 | Oracle Corp. | 26,651 | ||||||
| 68 | Symantec Corp. (a) | 1,000 | ||||||
|
| |||||||
| 75,795 | ||||||||
|
| |||||||
Total Information Technology | 235,342 | |||||||
|
| |||||||
Materials — 2.9% | ||||||||
Chemicals — 2.1% | ||||||||
| 110 | Air Products & Chemicals, Inc. | 8,899 | ||||||
| 4 | CF Industries Holdings, Inc. | 698 | ||||||
| 310 | E.I. du Pont de Nemours & Co. | 15,676 | ||||||
| 36 | Georgia Gulf Corp. | 934 | ||||||
|
| |||||||
| 26,207 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
| 35 | Crown Holdings, Inc. (a) | 1,207 | ||||||
| 4 | Greif, Inc., Class A | 152 | ||||||
|
| |||||||
| 1,359 | ||||||||
|
| |||||||
Metals & Mining — 0.7% | ||||||||
| 738 | Alcoa, Inc. | 6,459 | ||||||
| 45 | Newmont Mining Corp. | 2,193 | ||||||
|
| |||||||
| 8,652 | ||||||||
|
| |||||||
Total Materials | 36,218 | |||||||
|
| |||||||
Telecommunication Services — 2.5% | ||||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
| 435 | AT&T, Inc. (m) | 15,512 | ||||||
| 325 | Verizon Communications, Inc. | 14,443 | ||||||
|
| |||||||
| 29,955 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — 0.1% |
| |||||||
| 22 | SBA Communications Corp., Class A (a) | 1,244 | ||||||
|
| |||||||
Total Telecommunication Services | 31,199 | |||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Electric Utilities — 2.1% | ||||||||
| 209 | FirstEnergy Corp. | 10,261 | ||||||
| 80 | NextEra Energy, Inc. | 5,534 | ||||||
| 260 | NV Energy, Inc. | 4,574 | ||||||
| 33 | OGE Energy Corp. | 1,699 | ||||||
| 78 | Southern Co. (The) | 3,597 | ||||||
|
| |||||||
| 25,665 | ||||||||
|
| |||||||
Gas Utilities — 0.2% | ||||||||
| 82 | UGI Corp. | 2,422 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.1% |
| |||||||
| 70 | Calpine Corp. (a) | 1,157 | ||||||
|
| |||||||
Multi-Utilities — 1.0% | ||||||||
| 193 | PG&E Corp. | 8,751 | ||||||
| 61 | Sempra Energy | 4,174 | ||||||
|
| |||||||
| 12,925 | ||||||||
|
| |||||||
Total Utilities | 42,169 | |||||||
|
| |||||||
Total Common Stocks | 1,216,972 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| Short-Term Investments — 2.0% |
| ||||||
U.S. Treasury Obligation — 0.1% | ||||||||
| 1,430 | U.S. Treasury Bill, 0.174%, 05/30/13 (k) (n) | 1,427 | ||||||
|
| |||||||
| SHARES | ||||||||
Investment Company — 1.9% | ||||||||
| 23,521 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 23,521 | ||||||
|
| |||||||
Total Short-Term Investments | 24,948 | |||||||
|
| |||||||
Total Investments — 100.7% | 1,241,920 | |||||||
Liabilities in Excess of | (9,010 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,232,910 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 286 | E-mini S&P 500 | 09/21/12 | $ | 19,397 | $ | 665 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Dynamic Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.4% |
| ||||||
Consumer Discretionary — 17.4% | ||||||||
Hotels, Restaurants & Leisure — 8.1% | ||||||||
| 28 | Las Vegas Sands Corp. | 1,224 | ||||||
| 36 | Starbucks Corp. | 1,922 | ||||||
|
| |||||||
| 3,146 | ||||||||
|
| |||||||
Internet & Catalog Retail — 5.3% | ||||||||
| 2 | Amazon.com, Inc. (a) | 521 | ||||||
| 2 | priceline.com, Inc. (a) | 1,558 | ||||||
|
| |||||||
| 2,079 | ||||||||
|
| |||||||
Specialty Retail — 2.0% | ||||||||
| 15 | Home Depot, Inc. (The) | 790 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.0% | ||||||||
| 19 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 789 | ||||||
|
| |||||||
Total Consumer Discretionary | 6,804 | |||||||
|
| |||||||
Consumer Staples — 3.6% | ||||||||
Food & Staples Retailing — 3.6% | ||||||||
| 15 | Whole Foods Market, Inc. | 1,401 | ||||||
|
| |||||||
Energy — 3.9% | ||||||||
Energy Equipment & Services — 2.6% | ||||||||
| 24 | Cameron International Corp. (a) | 1,019 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.3% | ||||||||
| 6 | Concho Resources, Inc. (a) | 519 | ||||||
|
| |||||||
Total Energy | 1,538 | |||||||
|
| |||||||
Financials — 7.0% | ||||||||
Consumer Finance — 4.6% | ||||||||
| 33 | Capital One Financial Corp. | 1,780 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.4% | ||||||||
| 14 | American Tower Corp. | 951 | ||||||
|
| |||||||
Total Financials | 2,731 | |||||||
|
| |||||||
Health Care — 18.7% | ||||||||
Biotechnology — 6.2% | ||||||||
| 17 | Biogen Idec, Inc. (a) | 2,415 | ||||||
|
| |||||||
Health Care Providers & Services — 4.9% | ||||||||
| 35 | Express Scripts Holding Co. (a) | 1,934 | ||||||
|
| |||||||
Pharmaceuticals — 7.6% | ||||||||
| 17 | Allergan, Inc. | 1,544 | ||||||
| 10 | Novo Nordisk A/S, (Denmark), ADR | 1,424 | ||||||
|
| |||||||
| 2,968 | ||||||||
|
| |||||||
Total Health Care | 7,317 | |||||||
|
| |||||||
Industrials — 7.7% | ||||||||
Aerospace & Defense — 3.3% | ||||||||
| 10 | TransDigm Group, Inc. (a) | 1,316 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 4.4% | ||||||||
| 25 | Kansas City Southern | 1,720 | ||||||
|
| |||||||
Total Industrials | 3,036 | |||||||
|
| |||||||
Information Technology — 34.6% | ||||||||
Communications Equipment — 1.6% | ||||||||
| 12 | QUALCOMM, Inc. | 640 | ||||||
|
| |||||||
Computers & Peripherals — 11.8% | ||||||||
| 6 | Apple, Inc. (a) | 3,580 | ||||||
| 41 | EMC Corp. (a) | 1,054 | ||||||
|
| |||||||
| 4,634 | ||||||||
|
| |||||||
Internet Software & Services — 3.9% | ||||||||
| 9 | Baidu, Inc., (China), ADR (a) | 1,032 | ||||||
| 1 | Google, Inc., Class A (a) | 502 | ||||||
|
| |||||||
| 1,534 | ||||||||
|
| |||||||
IT Services — 8.5% | ||||||||
| 4 | MasterCard, Inc., Class A | 1,852 | ||||||
| 20 | Teradata Corp. (a) | 1,474 | ||||||
|
| |||||||
| 3,326 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.8% |
| |||||||
| 29 | ARM Holdings plc, (United Kingdom), ADR | 683 | ||||||
|
| |||||||
Software — 7.0% | ||||||||
| 13 | Citrix Systems, Inc. (a) | 1,049 | ||||||
| 7 | Salesforce.com, Inc. (a) | 920 | ||||||
| 9 | VMware, Inc., Class A (a) | 783 | ||||||
|
| |||||||
| 2,752 | ||||||||
|
| |||||||
Total Information Technology | 13,569 | |||||||
|
| |||||||
Materials — 3.5% | ||||||||
Chemicals — 3.5% | ||||||||
| 17 | Monsanto Co. | 1,385 | ||||||
|
| |||||||
Total Common Stocks | 37,781 | |||||||
|
| |||||||
| Short-Term Investment — 3.7% |
| ||||||
Investment Company — 3.7% | ||||||||
| 1,454 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 1,454 | ||||||
|
| |||||||
Total Investments — 100.1% | 39,235 | |||||||
Liabilities in Excess of | (45 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 39,190 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.2% | |||||||
Consumer Discretionary — 13.5% |
| |||||||
Auto Components — 0.4% |
| |||||||
| 345 | Johnson Controls, Inc. | 9,567 | ||||||
|
| |||||||
Distributors — 0.6% |
| |||||||
| 211 | Genuine Parts Co. | 12,725 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.2% |
| |||||||
| 379 | Dunkin’ Brands Group, Inc. | 13,003 | ||||||
| 211 | McDonald’s Corp. | 18,718 | ||||||
| 266 | Yum! Brands, Inc. | 17,136 | ||||||
|
| |||||||
| 48,857 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
| 296 | Tupperware Brands Corp. | 16,187 | ||||||
|
| |||||||
Media — 2.7% |
| |||||||
| 665 | Cinemark Holdings, Inc. | 15,187 | ||||||
| 284 | Time Warner Cable, Inc. | 23,343 | ||||||
| 573 | Time Warner, Inc. | 22,044 | ||||||
|
| |||||||
| 60,574 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 330 | Nordstrom, Inc. | 16,384 | ||||||
|
| |||||||
Specialty Retail — 4.4% |
| |||||||
| 649 | Home Depot, Inc. (The) | 34,369 | ||||||
| 685 | Limited Brands, Inc. | 29,152 | ||||||
| 241 | Tiffany & Co. | 12,756 | ||||||
| 162 | TJX Cos., Inc. | 6,956 | ||||||
| 414 | Williams-Sonoma, Inc. | 14,468 | ||||||
|
| |||||||
| 97,701 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
| 185 | Coach, Inc. | 10,834 | ||||||
| 67 | NIKE, Inc., Class B | 5,899 | ||||||
| 149 | V.F. Corp. | 19,946 | ||||||
|
| |||||||
| 36,679 | ||||||||
|
| |||||||
Total Consumer Discretionary | 298,674 | |||||||
|
| |||||||
Consumer Staples — 7.0% |
| |||||||
Beverages — 1.1% |
| |||||||
| 327 | Coca-Cola Co. (The) | 25,544 | ||||||
|
| |||||||
Food Products — 3.0% |
| |||||||
| 390 | Hershey Co. (The) | 28,098 | ||||||
| 183 | JM Smucker Co. (The) | 13,795 | ||||||
| 630 | Kraft Foods, Inc., Class A | 24,327 | ||||||
|
| |||||||
| 66,220 | ||||||||
|
| |||||||
Household Products — 0.6% |
| |||||||
| 204 | Procter & Gamble Co. (The) | 12,510 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Tobacco — 2.3% |
| |||||||
| 207 | Lorillard, Inc. | 27,322 | ||||||
| 278 | Philip Morris International, Inc. | 24,288 | ||||||
|
| |||||||
| 51,610 | ||||||||
|
| |||||||
Total Consumer Staples | 155,884 | |||||||
|
| |||||||
Energy — 9.6% |
| |||||||
Oil, Gas & Consumable Fuels — 9.6% |
| |||||||
| 352 | Chevron Corp. | 37,091 | ||||||
| 786 | ConocoPhillips | 43,941 | ||||||
| 529 | Exxon Mobil Corp. | 45,297 | ||||||
| 378 | Kinder Morgan, Inc. | 12,165 | ||||||
| 70 | NuStar GP Holdings LLC | 2,176 | ||||||
| 415 | Occidental Petroleum Corp. | 35,593 | ||||||
| 504 | Spectra Energy Corp. | 14,657 | ||||||
| 725 | Williams Cos., Inc. (The) | 20,882 | ||||||
|
| |||||||
Total Energy | 211,802 | |||||||
|
| |||||||
Financials — 22.4% |
| |||||||
Capital Markets — 4.6% |
| |||||||
| 243 | Ameriprise Financial, Inc. | 12,704 | ||||||
| 207 | BlackRock, Inc. | 35,117 | ||||||
| 802 | T. Rowe Price Group, Inc. | 50,497 | ||||||
| 89 | W.P. Carey & Co. LLC | 4,118 | ||||||
|
| |||||||
| 102,436 | ||||||||
|
| |||||||
Commercial Banks — 8.3% |
| |||||||
| 635 | BB&T Corp. | 19,602 | ||||||
| 414 | Cullen/Frost Bankers, Inc. | 23,827 | ||||||
| 352 | M&T Bank Corp. | 29,106 | ||||||
| 675 | U.S. Bancorp | 21,712 | ||||||
| 2,679 | Wells Fargo & Co. | 89,579 | ||||||
|
| |||||||
| 183,826 | ||||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
| 101 | CME Group, Inc. | 26,988 | ||||||
|
| |||||||
Insurance — 5.5% |
| |||||||
| 744 | Arthur J. Gallagher & Co. | 26,105 | ||||||
| 336 | Cincinnati Financial Corp. | 12,775 | ||||||
| 496 | OneBeacon Insurance Group Ltd., Class A | 6,458 | ||||||
| 666 | Prudential Financial, Inc. | 32,267 | ||||||
| 341 | Travelers Cos., Inc. (The) | 21,785 | ||||||
| 666 | Validus Holdings Ltd., (Bermuda) | 21,338 | ||||||
|
| |||||||
| 120,728 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
| 196 | Alexandria Real Estate Equities, Inc. | 14,222 | ||||||
| 270 | National Health Investors, Inc. | 13,759 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
| 176 | Simon Property Group, Inc. | 27,411 | ||||||
|
| |||||||
| 55,392 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.3% |
| |||||||
| 544 | People’s United Financial, Inc. | 6,313 | ||||||
|
| |||||||
Total Financials | 495,683 | |||||||
|
| |||||||
Health Care — 10.7% |
| |||||||
Health Care Equipment & Supplies — 1.5% |
| |||||||
| 354 | Baxter International, Inc. | 18,832 | ||||||
| 184 | Becton, Dickinson & Co. | 13,736 | ||||||
|
| |||||||
| 32,568 | ||||||||
|
| |||||||
Health Care Providers & Services — 0.3% |
| |||||||
| 194 | Lincare Holdings, Inc. | 6,615 | ||||||
|
| |||||||
Pharmaceuticals — 8.9% |
| |||||||
| 312 | Abbott Laboratories | 20,104 | ||||||
| 535 | Johnson & Johnson | 36,155 | ||||||
| 1,736 | Merck & Co., Inc. | 72,491 | ||||||
| 2,963 | Pfizer, Inc. | 68,159 | ||||||
|
| |||||||
| 196,909 | ||||||||
|
| |||||||
Total Health Care | 236,092 | |||||||
|
| |||||||
Industrials — 8.5% |
| |||||||
Aerospace & Defense — 1.7% |
| |||||||
| 287 | Honeywell International, Inc. | 16,003 | ||||||
| 290 | United Technologies Corp. | 21,915 | ||||||
|
| |||||||
| 37,918 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% |
| |||||||
| 149 | United Parcel Service, Inc., Class B | 11,713 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.0% |
| |||||||
| 780 | Republic Services, Inc. | 20,637 | ||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
| 585 | Emerson Electric Co. | 27,243 | ||||||
|
| |||||||
Industrial Conglomerates — 1.0% |
| |||||||
| 247 | 3M Co. | 22,149 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
| 278 | PACCAR, Inc. | 10,914 | ||||||
| 392 | Snap-on, Inc. | 24,393 | ||||||
|
| |||||||
| 35,307 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
| 93 | Seaspan Corp., (Hong Kong) | 1,612 | ||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 301 | Norfolk Southern Corp. | 21,637 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 0.4% |
| |||||||
| 125 | Watsco, Inc. | 9,252 | ||||||
|
| |||||||
Total Industrials | 187,468 | |||||||
|
| |||||||
Information Technology — 10.6% |
| |||||||
Computers & Peripherals — 1.6% |
| |||||||
| 61 | Apple, Inc. (a) | 35,705 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| 518 | Molex, Inc. | 12,410 | ||||||
|
| |||||||
IT Services — 1.6% |
| |||||||
| 296 | Accenture plc, (Ireland), Class A | 17,786 | ||||||
| 326 | Automatic Data Processing, Inc. | 18,131 | ||||||
|
| |||||||
| 35,917 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.9% |
| |||||||
| 646 | Analog Devices, Inc. | 24,317 | ||||||
| 664 | Intel Corp. | 17,687 | ||||||
| 440 | KLA-Tencor Corp. | 21,692 | ||||||
| 681 | Linear Technology Corp. | 21,343 | ||||||
| 678 | Xilinx, Inc. | 22,767 | ||||||
|
| |||||||
| 107,806 | ||||||||
|
| |||||||
Software — 2.0% |
| |||||||
| 1,434 | Microsoft Corp. | 43,858 | ||||||
|
| |||||||
Total Information Technology | 235,696 | |||||||
|
| |||||||
Materials — 4.7% |
| |||||||
Chemicals — 4.1% |
| |||||||
| 236 | Air Products & Chemicals, Inc. | 19,078 | ||||||
| 638 | E.I. du Pont de Nemours & Co. | 32,279 | ||||||
| 374 | PPG Industries, Inc. | 39,675 | ||||||
|
| |||||||
| 91,032 | ||||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 302 | Greif, Inc., Class A | 12,387 | ||||||
|
| |||||||
Total Materials | 103,419 | |||||||
|
| |||||||
Telecommunication Services — 4.4% |
| |||||||
Diversified Telecommunication Services — 4.4% |
| |||||||
| 809 | AT&T, Inc. | 28,833 | ||||||
| 323 | CenturyLink, Inc. | 12,753 | ||||||
| 1,253 | Verizon Communications, Inc. | 55,693 | ||||||
|
| |||||||
Total Telecommunication Services | 97,279 | |||||||
|
| |||||||
Utilities — 6.8% |
| |||||||
Electric Utilities — 2.7% |
| |||||||
| 377 | Duke Energy Corp. | 8,687 | ||||||
| 356 | NextEra Energy, Inc. | 24,489 | ||||||
| 456 | Northeast Utilities | 17,698 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued | |||||||
Electric Utilities — Continued |
| |||||||
| 185 | Southern Co. (The) | 8,573 | ||||||
|
| |||||||
| 59,447 | ||||||||
|
| |||||||
Gas Utilities — 1.0% |
| |||||||
| 528 | ONEOK, Inc. | 22,337 | ||||||
|
| |||||||
Multi-Utilities — 2.8% |
| |||||||
| 877 | CMS Energy Corp. | 20,613 | ||||||
| 613 | Sempra Energy | 42,236 | ||||||
|
| |||||||
| 62,849 | ||||||||
|
| |||||||
Water Utilities — 0.3% |
| |||||||
| 177 | American Water Works Co., Inc. | 6,060 | ||||||
|
| |||||||
Total Utilities | 150,693 | |||||||
|
| |||||||
Total Common Stocks | 2,172,690 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.2% | |||||||
Investment Company — 2.2% |
| |||||||
| 48,378 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (Cost $48,378) (b) (l) (m) | 48,378 | ||||||
|
| |||||||
Total Investments — 100.4% | 2,221,068 | |||||||
Liabilities in Excess of | (8,369 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,212,699 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.6% |
| ||||||
Consumer Discretionary — 15.5% |
| |||||||
Hotels, Restaurants & Leisure — 3.4% |
| |||||||
| 76 | Marriott International, Inc., Class A | 2,964 | ||||||
| 34 | McDonald’s Corp. | 2,966 | ||||||
| 71 | Yum! Brands, Inc. | 4,567 | ||||||
|
| |||||||
| 10,497 | ||||||||
|
| |||||||
Media — 5.4% |
| |||||||
| 142 | Comcast Corp., Class A | 4,546 | ||||||
| 90 | DISH Network Corp., Class A | 2,581 | ||||||
| 156 | Gannett Co., Inc. | 2,290 | ||||||
| 85 | Time Warner, Inc. | 3,261 | ||||||
| 82 | Walt Disney Co. (The) | 3,982 | ||||||
|
| |||||||
| 16,660 | ||||||||
|
| |||||||
Specialty Retail — 4.6% |
| |||||||
| 8 | AutoZone, Inc. (a) | 2,794 | ||||||
| 104 | Home Depot, Inc. (The) | 5,506 | ||||||
| 37 | Tiffany & Co. | 1,949 | ||||||
| 90 | TJX Cos., Inc. | 3,855 | ||||||
|
| |||||||
| 14,104 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.1% |
| |||||||
| 43 | NIKE, Inc., Class B | 3,792 | ||||||
| 21 | V.F. Corp. | 2,829 | ||||||
|
| |||||||
| 6,621 | ||||||||
|
| |||||||
Total Consumer Discretionary | 47,882 | |||||||
|
| |||||||
Consumer Staples — 5.6% |
| |||||||
Beverages — 1.9% |
| |||||||
| 55 | Beam, Inc. | 3,462 | ||||||
| 58 | Dr. Pepper Snapple Group, Inc. | 2,524 | ||||||
|
| |||||||
| 5,986 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
| 71 | CVS Caremark Corp. | 3,294 | ||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
| 32 | JM Smucker Co. (The) | 2,386 | ||||||
|
| |||||||
Household Products — 1.0% |
| |||||||
| 51 | Procter & Gamble Co. (The) | 3,114 | ||||||
|
| |||||||
Tobacco — 0.8% |
| |||||||
| 28 | Philip Morris International, Inc. | 2,435 | ||||||
|
| |||||||
Total Consumer Staples | 17,215 | |||||||
|
| |||||||
Energy — 10.5% |
| |||||||
Oil, Gas & Consumable Fuels — 10.5% |
| |||||||
| 53 | Chevron Corp. | 5,629 | ||||||
| 107 | ConocoPhillips | 6,006 | ||||||
| 89 | Devon Energy Corp. | 5,173 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 30 | Energen Corp. | 1,367 | ||||||
| 33 | EQT Corp. | 1,748 | ||||||
| 99 | Exxon Mobil Corp. | 8,479 | ||||||
| 54 | Phillips 66 (a) | 1,786 | ||||||
| 71 | Williams Cos., Inc. (The) | 2,049 | ||||||
|
| |||||||
Total Energy | 32,237 | |||||||
|
| |||||||
Financials — 30.1% |
| |||||||
Capital Markets — 8.8% |
| |||||||
| 16 | Affiliated Managers Group, Inc. (a) | 1,773 | ||||||
| 57 | Ameriprise Financial, Inc. | 2,994 | ||||||
| 14 | BlackRock, Inc. | 2,327 | ||||||
| 174 | Charles Schwab Corp. (The) | 2,254 | ||||||
| 31 | Goldman Sachs Group, Inc. (The) | 2,952 | ||||||
| 137 | Invesco Ltd. | 3,089 | ||||||
| 184 | Morgan Stanley | 2,682 | ||||||
| 45 | Northern Trust Corp. | 2,076 | ||||||
| 110 | T. Rowe Price Group, Inc. | 6,894 | ||||||
|
| |||||||
| 27,041 | ||||||||
|
| |||||||
Commercial Banks — 7.3% |
| |||||||
| 75 | BB&T Corp. | 2,314 | ||||||
| 36 | M&T Bank Corp. | 2,931 | ||||||
| 213 | U.S. Bancorp | 6,860 | ||||||
| 314 | Wells Fargo & Co. | 10,483 | ||||||
|
| |||||||
| 22,588 | ||||||||
|
| |||||||
Consumer Finance — 2.4% |
| |||||||
| 126 | American Express Co. | 7,305 | ||||||
|
| |||||||
Diversified Financial Services — 3.1% |
| |||||||
| 521 | Bank of America Corp. | 4,262 | ||||||
| 192 | Citigroup, Inc. | 5,259 | ||||||
|
| |||||||
| 9,521 | ||||||||
|
| |||||||
Insurance — 5.7% |
| |||||||
| 188 | Hartford Financial Services Group, Inc. | 3,315 | ||||||
| 104 | Loews Corp. | 4,242 | ||||||
| 105 | Prudential Financial, Inc. | 5,080 | ||||||
| 85 | Validus Holdings Ltd., (Bermuda) | 2,714 | ||||||
| 107 | XL Group plc, (Ireland) | 2,243 | ||||||
|
| |||||||
| 17,594 | ||||||||
|
| |||||||
Real Estate Management & Development — 2.5% |
| |||||||
| 141 | Brookfield Asset Management, Inc., (Canada), Class A | 4,680 | ||||||
| 175 | Brookfield Office Properties, Inc. | 3,040 | ||||||
|
| |||||||
| 7,720 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Thrifts & Mortgage Finance — 0.3% |
| |||||||
| 95 | People’s United Financial, Inc. | 1,108 | ||||||
|
| |||||||
Total Financials | 92,877 | |||||||
|
| |||||||
Health Care — 13.5% |
| |||||||
Biotechnology — 1.1% |
| |||||||
| 24 | Biogen Idec, Inc. (a) | 3,422 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.9% |
| |||||||
| 39 | Baxter International, Inc. | 2,068 | ||||||
| 28 | Becton, Dickinson & Co. | 2,115 | ||||||
| 30 | Covidien plc, (Ireland) | 1,606 | ||||||
|
| |||||||
| 5,789 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.6% |
| |||||||
| 28 | Humana, Inc. | 2,184 | ||||||
| 112 | Lincare Holdings, Inc. | 3,814 | ||||||
| 87 | UnitedHealth Group, Inc. | 5,060 | ||||||
|
| |||||||
| 11,058 | ||||||||
|
| |||||||
Pharmaceuticals — 6.9% |
| |||||||
| 53 | Abbott Laboratories | 3,430 | ||||||
| 58 | Johnson & Johnson | 3,932 | ||||||
| 215 | Merck & Co., Inc. | 8,958 | ||||||
| 218 | Pfizer, Inc. | 5,005 | ||||||
|
| |||||||
| 21,325 | ||||||||
|
| |||||||
Total Health Care | 41,594 | |||||||
|
| |||||||
Industrials — 7.6% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
| 73 | Honeywell International, Inc. | 4,054 | ||||||
| 23 | L-3 Communications Holdings, Inc. | 1,717 | ||||||
| 37 | United Technologies Corp. | 2,810 | ||||||
|
| |||||||
| 8,581 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
| 21 | Cooper Industries plc | 1,432 | ||||||
| 60 | Emerson Electric Co. | 2,808 | ||||||
|
| |||||||
| 4,240 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.9% |
| |||||||
| 26 | 3M Co. | 2,347 | ||||||
| 321 | General Electric Co. | 6,688 | ||||||
|
| |||||||
| 9,035 | ||||||||
|
| |||||||
Machinery — 0.5% |
| |||||||
| 39 | PACCAR, Inc. | 1,536 | ||||||
|
| |||||||
Total Industrials | 23,392 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 8.3% |
| |||||||
Communications Equipment — 1.4% |
| |||||||
| 158 | Cisco Systems, Inc. | 2,706 | ||||||
| 28 | QUALCOMM, Inc. | 1,565 | ||||||
|
| |||||||
| 4,271 | ||||||||
|
| |||||||
Computers & Peripherals — 2.9% |
| |||||||
| 16 | Apple, Inc. (a) | 9,170 | ||||||
|
| |||||||
IT Services — 1.0% |
| |||||||
| 16 | International Business Machines Corp. | 3,051 | ||||||
|
| |||||||
Software — 3.0% |
| |||||||
| 302 | Microsoft Corp. | 9,250 | ||||||
|
| |||||||
Total Information Technology | 25,742 | |||||||
|
| |||||||
Materials — 0.8% |
| |||||||
Chemicals — 0.8% |
| |||||||
| 47 | E.I. du Pont de Nemours & Co. | 2,392 | ||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
Diversified Telecommunication Services — 3.2% |
| |||||||
| 103 | AT&T, Inc. | 3,662 | ||||||
| 143 | Verizon Communications, Inc. | 6,356 | ||||||
|
| |||||||
Total Telecommunication Services | 10,018 | |||||||
|
| |||||||
Utilities — 2.5% |
| |||||||
Multi-Utilities — 2.5% |
| |||||||
| 153 | CMS Energy Corp. | 3,586 | ||||||
| 45 | PG&E Corp. | 2,015 | ||||||
| 30 | Sempra Energy | 2,087 | ||||||
|
| |||||||
Total Utilities | 7,688 | |||||||
|
| |||||||
Total Common Stocks | 301,037 | |||||||
|
| |||||||
| Short-Term Investment — 1.7% |
| ||||||
Investment Company — 1.7% |
| |||||||
| 5,353 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 5,353 | ||||||
|
| |||||||
Total Investments — 99.3% | 306,390 | |||||||
Other Assets in Excess of | 2,027 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 308,417 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 93.3% |
| ||||||
Consumer Discretionary — 17.3% |
| |||||||
Auto Components — 1.1% |
| |||||||
| 1,123 | BorgWarner, Inc. (a) | 73,638 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.0% |
| |||||||
| 3,431 | Starbucks Corp. | 182,951 | ||||||
| 202 | Wynn Resorts Ltd. | 20,931 | ||||||
|
| |||||||
| 203,882 | ||||||||
|
| |||||||
Internet & Catalog Retail — 3.7% |
| |||||||
| 490 | Amazon.com, Inc. (a) | 111,832 | ||||||
| 215 | priceline.com, Inc. (a) | 142,806 | ||||||
|
| |||||||
| 254,638 | ||||||||
|
| |||||||
Media — 0.7% |
| |||||||
| 1,055 | DIRECTV, Class A (a) | 51,502 | ||||||
|
| |||||||
Multiline Retail — 1.5% |
| |||||||
| 1,951 | Dollar Tree, Inc. (a) | 104,964 | ||||||
|
| |||||||
Specialty Retail — 4.7% |
| |||||||
| 1,878 | Bed Bath & Beyond, Inc. (a) | 116,029 | ||||||
| 2,305 | Home Depot, Inc. (The) | 122,137 | ||||||
| 185 | O’Reilly Automotive, Inc. (a) | 15,506 | ||||||
| 1,065 | PetSmart, Inc. | 72,625 | ||||||
|
| |||||||
| 326,297 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.6% |
| |||||||
| 428 | Fossil, Inc. (a) | 32,736 | ||||||
| 925 | Lululemon Athletica, Inc., (Canada) (a) | 55,128 | ||||||
| 650 | Ralph Lauren Corp. | 90,997 | ||||||
|
| |||||||
| 178,861 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,193,782 | |||||||
|
| |||||||
Consumer Staples — 10.4% |
| |||||||
Beverages — 3.7% |
| |||||||
| 1,397 | Coca-Cola Co. (The) | 109,239 | ||||||
| 2,087 | Monster Beverage Corp. (a) | 148,573 | ||||||
|
| |||||||
| 257,812 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
| 1,290 | Whole Foods Market, Inc. | 122,991 | ||||||
|
| |||||||
Household Products — 0.7% |
| |||||||
| 469 | Colgate-Palmolive Co. | 48,833 | ||||||
|
| |||||||
Personal Products — 1.6% |
| |||||||
| 2,059 | Estee Lauder Cos., Inc. (The), Class A | 111,439 | ||||||
|
| |||||||
Tobacco — 2.6% |
| |||||||
| 2,056 | Philip Morris International, Inc. | 179,373 | ||||||
|
| |||||||
Total Consumer Staples | 720,448 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 4.4% |
| |||||||
Energy Equipment & Services — 1.6% |
| |||||||
| 1,489 | FMC Technologies, Inc. (a) | 58,429 | ||||||
| 779 | National Oilwell Varco, Inc. | 50,197 | ||||||
|
| |||||||
| 108,626 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
| 790 | Concho Resources, Inc. (a) | 67,279 | ||||||
| 580 | Continental Resources, Inc. (a) | 38,620 | ||||||
| 384 | Exxon Mobil Corp. | 32,867 | ||||||
| 673 | Occidental Petroleum Corp. | 57,732 | ||||||
|
| |||||||
| 196,498 | ||||||||
|
| |||||||
Total Energy | 305,124 | |||||||
|
| |||||||
Financials — 1.1% |
| |||||||
Capital Markets — 1.1% |
| |||||||
| 1,239 | T. Rowe Price Group, Inc. | 78,007 | ||||||
|
| |||||||
Health Care — 16.5% |
| |||||||
Biotechnology — 7.5% |
| |||||||
| 1,713 | Alexion Pharmaceuticals, Inc. (a) | 170,091 | ||||||
| 1,511 | Biogen Idec, Inc. (a) | 218,173 | ||||||
| 650 | Regeneron Pharmaceuticals, Inc. (a) | 74,254 | ||||||
| 1,008 | Vertex Pharmaceuticals, Inc. (a) | 56,384 | ||||||
|
| |||||||
| 518,902 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
| 334 | Intuitive Surgical, Inc. (a) | 185,077 | ||||||
|
| |||||||
Health Care Providers & Services — 0.8% |
| |||||||
| 720 | Humana, Inc. | 55,741 | ||||||
|
| |||||||
Health Care Technology — 1.9% |
| |||||||
| 1,553 | Cerner Corp. (a) | 128,396 | ||||||
|
| |||||||
Pharmaceuticals — 3.6% |
| |||||||
| 1,594 | Allergan, Inc. | 147,547 | ||||||
| 705 | Novo Nordisk A/S, (Denmark), ADR | 102,436 | ||||||
|
| |||||||
| 249,983 | ||||||||
|
| |||||||
Total Health Care | 1,138,099 | |||||||
|
| |||||||
Industrials — 8.0% |
| |||||||
Aerospace & Defense — 0.8% |
| |||||||
| 342 | Precision Castparts Corp. | 56,173 | ||||||
|
| |||||||
Machinery — 2.9% |
| |||||||
| 968 | Caterpillar, Inc. | 82,159 | ||||||
| 936 | Cummins, Inc. | 90,737 | ||||||
| 481 | Joy Global, Inc. | 27,258 | ||||||
|
| |||||||
| 200,154 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Road & Rail — 2.1% |
| |||||||
| 1,186 | Union Pacific Corp. | 141,526 | ||||||
|
| |||||||
Trading Companies & Distributors — 2.2% |
| |||||||
| 803 | W.W. Grainger, Inc. | 153,547 | ||||||
|
| |||||||
Total Industrials | 551,400 | |||||||
|
| |||||||
Information Technology — 31.2% |
| |||||||
Communications Equipment — 3.0% |
| |||||||
| 829 | F5 Networks, Inc. (a) | 82,565 | ||||||
| 2,317 | QUALCOMM, Inc. | 129,016 | ||||||
|
| |||||||
| 211,581 | ||||||||
|
| |||||||
Computers & Peripherals — 10.0% |
| |||||||
| 1,090 | Apple, Inc. (a) | 636,426 | ||||||
| 2,154 | EMC Corp. (a) | 55,207 | ||||||
|
| |||||||
| 691,633 | ||||||||
|
| |||||||
Internet Software & Services — 2.7% |
| |||||||
| 270 | Baidu, Inc., (China), ADR (a) | 31,010 | ||||||
| 161 | Google, Inc., Class A (a) | 93,145 | ||||||
| 1,494 | Rackspace Hosting, Inc. (a) | 65,647 | ||||||
|
| |||||||
| 189,802 | ||||||||
|
| |||||||
IT Services — 7.8% |
| |||||||
| 987 | International Business Machines Corp. | 193,034 | ||||||
| 577 | MasterCard, Inc., Class A | 248,217 | ||||||
| 1,346 | Teradata Corp. (a) | 96,889 | ||||||
|
| |||||||
| 538,140 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 0.5% |
| |||||||
| 1,392 | ARM Holdings plc, (United Kingdom), ADR | 33,116 | ||||||
|
| |||||||
Software — 7.2% |
| |||||||
| 1,036 | Citrix Systems, Inc. (a) | 86,945 | ||||||
| 111 | FactSet Research Systems, Inc. | 10,353 | ||||||
| 1,550 | Intuit, Inc. | 91,975 | ||||||
| 1,952 | Nuance Communications, Inc. (a) | 46,504 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — Continued |
| |||||||
| 1,942 | Red Hat, Inc. (a) | 109,707 | ||||||
| 596 | Salesforce.com, Inc. (a) | 82,430 | ||||||
| 753 | VMware, Inc., Class A (a) | 68,544 | ||||||
|
| |||||||
| 496,458 | ||||||||
|
| |||||||
Total Information Technology | 2,160,730 | |||||||
|
| |||||||
Materials — 4.4% |
| |||||||
Chemicals — 4.4% |
| |||||||
| 532 | CF Industries Holdings, Inc. | 103,031 | ||||||
| 542 | FMC Corp. | 28,997 | ||||||
| 772 | Praxair, Inc. | 83,983 | ||||||
| 671 | Sherwin-Williams Co. (The) | 88,767 | ||||||
|
| |||||||
Total Materials | 304,778 | |||||||
|
| |||||||
Total Common Stocks | 6,452,368 | |||||||
|
| |||||||
| Preferred Stock — 1.5% |
| ||||||
Consumer Staples — 1.5% |
| |||||||
Beverages — 1.5% |
| |||||||
| 2,757 | Cia de Bebidas das Americas, (Brazil), ADR | 105,676 | ||||||
|
| |||||||
| Short-Term Investment — 3.7% |
| ||||||
Investment Company — 3.7% |
| |||||||
| 258,082 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) | 258,082 | ||||||
|
| |||||||
Total Investments — 98.5% | 6,816,126 | |||||||
Other Assets in Excess of | 100,748 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 6,916,874 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.8% |
| ||||||
Consumer Discretionary — 11.9% |
| |||||||
Auto Components — 1.8% |
| |||||||
| 176 | Lear Corp. | 6,622 | ||||||
| 126 | TRW Automotive Holdings Corp. (a) | 4,624 | ||||||
|
| |||||||
| 11,246 | ||||||||
|
| |||||||
Automobiles — 0.6% |
| |||||||
| 194 | General Motors Co. (a) | 3,828 | ||||||
|
| |||||||
Household Durables — 0.2% | ||||||||
| 93 | PulteGroup, Inc. (a) | 993 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.2% | ||||||||
| 33 | Expedia, Inc. | 1,582 | ||||||
|
| |||||||
Media — 6.4% | ||||||||
| 281 | CBS Corp. (Non-Voting), Class B | 9,219 | ||||||
| 446 | Comcast Corp., Class A | 14,244 | ||||||
| 423 | DISH Network Corp., Class A | 12,071 | ||||||
| 106 | Time Warner, Inc. | 4,069 | ||||||
| 23 | Walt Disney Co. (The) | 1,096 | ||||||
|
| |||||||
| 40,699 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
| 141 | Macy’s, Inc. | 4,857 | ||||||
|
| |||||||
Specialty Retail — 1.9% | ||||||||
| 19 | AutoZone, Inc. (a) | 6,829 | ||||||
| 50 | Home Depot, Inc. (The) | 2,650 | ||||||
| 99 | Lowe’s Cos., Inc. | 2,810 | ||||||
|
| |||||||
| 12,289 | ||||||||
|
| |||||||
Total Consumer Discretionary | 75,494 | |||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
Food & Staples Retailing — 1.4% | ||||||||
| 183 | CVS Caremark Corp. | 8,563 | ||||||
|
| |||||||
Food Products — 1.1% | ||||||||
| 53 | Archer-Daniels-Midland Co. | 1,568 | ||||||
| 23 | Campbell Soup Co. | 754 | ||||||
| 21 | General Mills, Inc. | 809 | ||||||
| 97 | Kraft Foods, Inc., Class A | 3,735 | ||||||
|
| |||||||
| 6,866 | ||||||||
|
| |||||||
Household Products — 0.7% | ||||||||
| 44 | Energizer Holdings, Inc. (a) | 3,326 | ||||||
| 5 | Kimberly-Clark Corp. | 394 | ||||||
| 12 | Procter & Gamble Co. (The) | 750 | ||||||
|
| |||||||
| 4,470 | ||||||||
|
| |||||||
Tobacco — 0.3% | ||||||||
| 24 | Philip Morris International, Inc. | 2,129 | ||||||
|
| |||||||
Total Consumer Staples | 22,028 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 16.7% | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
| 106 | Halliburton Co. | 3,015 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 16.2% | ||||||||
| 175 | Apache Corp. (m) | 15,339 | ||||||
| 253 | Chevron Corp. | 26,641 | ||||||
| 45 | ConocoPhillips | 2,510 | ||||||
| 125 | Denbury Resources, Inc. (a) | 1,890 | ||||||
| 15 | EQT Corp. | 805 | ||||||
| 268 | Exxon Mobil Corp. | 22,941 | ||||||
| 144 | Marathon Oil Corp. | 3,674 | ||||||
| 205 | Occidental Petroleum Corp. | 17,543 | ||||||
| 109 | Peabody Energy Corp. | 2,661 | ||||||
| 80 | Phillips 66 (a) | 2,665 | ||||||
| 57 | Southwestern Energy Co. (a) | 1,811 | ||||||
| 71 | Valero Energy Corp. | 1,724 | ||||||
| 97 | Williams Cos., Inc. (The) | 2,804 | ||||||
|
| |||||||
| 103,008 | ||||||||
|
| |||||||
Total Energy | 106,023 | |||||||
|
| |||||||
Financials — 27.4% | ||||||||
Capital Markets — 6.3% | ||||||||
| 119 | Goldman Sachs Group, Inc. (The) | 11,366 | ||||||
| 504 | Invesco Ltd. | 11,386 | ||||||
| 28 | Morgan Stanley | 403 | ||||||
| 382 | State Street Corp. | 17,032 | ||||||
|
| |||||||
| 40,187 | ||||||||
|
| |||||||
Commercial Banks — 5.6% | ||||||||
| 503 | Huntington Bancshares, Inc. | 3,217 | ||||||
| 136 | Capital Bank Financial Corp., Class A (a) (e) (f) (i) | 2,686 | ||||||
| 891 | Wells Fargo & Co. | 29,800 | ||||||
|
| |||||||
| 35,703 | ||||||||
|
| |||||||
Consumer Finance — 1.4% | ||||||||
| 165 | Capital One Financial Corp. | 9,042 | ||||||
|
| |||||||
Diversified Financial Services — 5.2% | ||||||||
| 1,063 | Bank of America Corp. | 8,693 | ||||||
| 877 | Citigroup, Inc. | 24,033 | ||||||
|
| |||||||
| 32,726 | ||||||||
|
| |||||||
Insurance — 8.4% | ||||||||
| 96 | ACE Ltd., (Switzerland) | 7,131 | ||||||
| 9 | Allstate Corp. (The) | 319 | ||||||
| 111 | Everest Re Group Ltd., (Bermuda) | 11,487 | ||||||
| 19 | Hartford Financial Services Group, Inc. | 328 | ||||||
| 668 | MetLife, Inc. | 20,593 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 282 | Prudential Financial, Inc. | 13,672 | ||||||
|
| |||||||
| 53,530 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.5% | ||||||||
| 11 | Macerich Co. (The) | 643 | ||||||
| 46 | Post Properties, Inc. | 2,252 | ||||||
|
| |||||||
| 2,895 | ||||||||
|
| |||||||
Total Financials | 174,083 | |||||||
|
| |||||||
Health Care — 14.9% | ||||||||
Biotechnology — 1.0% | ||||||||
| 83 | Celgene Corp. (a) | 5,338 | ||||||
| 15 | Vertex Pharmaceuticals, Inc. (a) | 834 | ||||||
|
| |||||||
| 6,172 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% | ||||||||
| 147 | Covidien plc, (Ireland) | 7,875 | ||||||
|
| |||||||
Health Care Providers & Services — 7.3% | ||||||||
| 152 | Cigna Corp. | 6,670 | ||||||
| 111 | Humana, Inc. | 8,593 | ||||||
| 87 | McKesson Corp. | 8,159 | ||||||
| 394 | UnitedHealth Group, Inc. | 23,042 | ||||||
|
| |||||||
| 46,464 | ||||||||
|
| |||||||
Pharmaceuticals — 5.4% | ||||||||
| 419 | Merck & Co., Inc. | 17,511 | ||||||
| 329 | Mylan, Inc. (a) | 7,022 | ||||||
| 274 | Pfizer, Inc. | 6,309 | ||||||
| 80 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 3,583 | ||||||
|
| |||||||
| 34,425 | ||||||||
|
| |||||||
Total Health Care | 94,936 | |||||||
|
| |||||||
Industrials — 10.1% | ||||||||
Aerospace & Defense — 1.2% | ||||||||
| 37 | Honeywell International, Inc. | 2,038 | ||||||
| 76 | United Technologies Corp. | 5,733 | ||||||
|
| |||||||
| 7,771 | ||||||||
|
| |||||||
Building Products — 0.3% | ||||||||
| 125 | Masco Corp. | 1,730 | ||||||
|
| |||||||
Construction & Engineering — 1.0% | ||||||||
| 123 | Fluor Corp. | 6,088 | ||||||
|
| |||||||
Industrial Conglomerates — 1.6% | ||||||||
| 71 | General Electric Co. | 1,478 | ||||||
| 166 | Tyco International Ltd., (Switzerland) | 8,782 | ||||||
|
| |||||||
| 10,260 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 3.6% | ||||||||
| 28 | Deere & Co. | 2,289 | ||||||
| 24 | Joy Global, Inc. | 1,356 | ||||||
| 71 | Navistar International Corp. (a) | 2,009 | ||||||
| 299 | PACCAR, Inc. | 11,722 | ||||||
| 69 | Parker Hannifin Corp. | 5,317 | ||||||
|
| |||||||
| 22,693 | ||||||||
|
| |||||||
Professional Services — 0.1% | ||||||||
| 17 | Equifax, Inc. | 801 | ||||||
|
| |||||||
Road & Rail — 2.3% | ||||||||
| 330 | CSX Corp. | 7,370 | ||||||
| 188 | Hertz Global Holdings, Inc. (a) | 2,408 | ||||||
| 43 | Union Pacific Corp. | 5,145 | ||||||
|
| |||||||
| 14,923 | ||||||||
|
| |||||||
Total Industrials | 64,266 | |||||||
|
| |||||||
Information Technology — 10.9% | ||||||||
Communications Equipment — 2.2% | ||||||||
| 827 | Cisco Systems, Inc. | 14,200 | ||||||
|
| |||||||
Computers & Peripherals — 2.4% | ||||||||
| 26 | Apple, Inc. (a) | 15,061 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 66 | Arrow Electronics, Inc. (a) | 2,165 | ||||||
|
| |||||||
Internet Software & Services — 1.0% | ||||||||
| 11 | Google, Inc., Class A (a) | 6,381 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
| 73 | Altera Corp. (m) | 2,464 | ||||||
| 119 | Broadcom Corp., Class A (a) | 4,019 | ||||||
| 68 | KLA-Tencor Corp. | 3,344 | ||||||
| 123 | Lam Research Corp. (a) | 4,638 | ||||||
|
| |||||||
| 14,465 | ||||||||
|
| |||||||
Software — 2.7% | ||||||||
| 285 | Microsoft Corp. | 8,709 | ||||||
| 279 | Oracle Corp. | 8,298 | ||||||
|
| |||||||
| 17,007 | ||||||||
|
| |||||||
Total Information Technology | 69,279 | |||||||
|
| |||||||
Materials — 0.7% | ||||||||
Chemicals — 0.5% | ||||||||
| 52 | E.I. du Pont de Nemours & Co. | 2,627 | ||||||
| 8 | PPG Industries, Inc. | 796 | ||||||
|
| |||||||
| 3,423 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Metals & Mining — 0.2% | ||||||||
| 144 | Alcoa, Inc. (m) | 1,263 | ||||||
|
| |||||||
Total Materials | 4,686 | |||||||
|
| |||||||
Telecommunication Services — 0.4% | ||||||||
Diversified Telecommunication Services — 0.3% |
| |||||||
| 34 | Verizon Communications, Inc. | 1,507 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.1% | ||||||||
| 242 | Sprint Nextel Corp. (a) | 790 | ||||||
|
| |||||||
Total Telecommunication Services | 2,297 | |||||||
|
| |||||||
Utilities — 3.3% | ||||||||
Electric Utilities — 2.0% | ||||||||
| 20 | FirstEnergy Corp. | 989 | ||||||
| 80 | NextEra Energy, Inc. | 5,524 | ||||||
| 93 | NV Energy, Inc. | 1,629 | ||||||
| 93 | OGE Energy Corp. | 4,796 | ||||||
|
| |||||||
| 12,938 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 0.3% | ||||||||
| 48 | Atmos Energy Corp. | 1,683 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.1% |
| |||||||
| 38 | Calpine Corp. (a) | 619 | ||||||
|
| |||||||
Multi-Utilities — 0.9% | ||||||||
| 124 | PG&E Corp. | 5,596 | ||||||
|
| |||||||
Total Utilities | 20,836 | |||||||
|
| |||||||
Total Investments — 99.8% | 633,928 | |||||||
Other Assets in Excess of | 1,445 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 635,373 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.6% |
| ||||||
Consumer Discretionary — 15.7% |
| |||||||
Auto Components — 1.2% |
| |||||||
| 104 | BorgWarner, Inc. (a) | 6,814 | ||||||
| 2,340 | Johnson Controls, Inc. | 64,831 | ||||||
| 114 | Lear Corp. | 4,301 | ||||||
| 134 | TRW Automotive Holdings Corp. (a) | 4,909 | ||||||
|
| |||||||
| 80,855 | ||||||||
|
| |||||||
Automobiles — 0.8% |
| |||||||
| 2,777 | General Motors Co. (a) | 54,761 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
| 888 | Carnival Corp. | 30,430 | ||||||
| 15 | Marriott International, Inc., Class A | 605 | ||||||
| 323 | Starbucks Corp. | 17,211 | ||||||
| 19 | Wynn Resorts Ltd. | 1,975 | ||||||
| 386 | Yum! Brands, Inc. | 24,854 | ||||||
|
| |||||||
| 75,075 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 656 | D.R. Horton, Inc. | 12,052 | ||||||
| 286 | Lennar Corp., Class A | 8,850 | ||||||
| 12 | NVR, Inc. (a) | 10,265 | ||||||
| 1,353 | PulteGroup, Inc. (a) | 14,474 | ||||||
| 398 | Ryland Group, Inc. (The) | 10,182 | ||||||
|
| |||||||
| 55,823 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 306 | Amazon.com, Inc. (a) | 69,967 | ||||||
| 351 | Expedia, Inc. | 16,880 | ||||||
| 20 | priceline.com, Inc. (a) | 13,437 | ||||||
|
| |||||||
| 100,284 | ||||||||
|
| |||||||
Media — 5.1% |
| |||||||
| 1,381 | CBS Corp. (Non-Voting), Class B | 45,267 | ||||||
| 3,046 | Comcast Corp., Class A | 97,372 | ||||||
| 393 | DIRECTV, Class A (a) | 19,166 | ||||||
| 410 | DISH Network Corp., Class A | 11,711 | ||||||
| 87 | Time Warner Cable, Inc. | 7,103 | ||||||
| 3,796 | Time Warner, Inc. | 146,145 | ||||||
|
| |||||||
| 326,764 | ||||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
| 184 | Dollar Tree, Inc. (a) | 9,877 | ||||||
| 127 | Kohl’s Corp. | 5,756 | ||||||
| 102 | Macy’s, Inc. | 3,509 | ||||||
| 484 | Target Corp. | 28,184 | ||||||
|
| |||||||
| 47,326 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 2.8% |
| |||||||
| 108 | AutoZone, Inc. (a) | 39,575 | ||||||
| 177 | Bed Bath & Beyond, Inc. (a) | 10,918 | ||||||
| 1,293 | Home Depot, Inc. (The) | 68,521 | ||||||
| 1,834 | Lowe’s Cos., Inc. | 52,156 | ||||||
| 17 | O’Reilly Automotive, Inc. (a) | 1,465 | ||||||
| 100 | PetSmart, Inc. | 6,836 | ||||||
|
| |||||||
| 179,471 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
| 317 | Coach, Inc. | 18,560 | ||||||
| 40 | Fossil, Inc. (a) | 3,085 | ||||||
| 270 | Lululemon Athletica, Inc., (Canada) (a) | 16,118 | ||||||
| 123 | NIKE, Inc., Class B | 10,835 | ||||||
| 61 | Ralph Lauren Corp. | 8,564 | ||||||
| 272 | V.F. Corp. | 36,357 | ||||||
|
| |||||||
| 93,519 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,013,878 | |||||||
|
| |||||||
Consumer Staples — 7.2% |
| |||||||
Beverages — 1.9% |
| |||||||
| 1,364 | Coca-Cola Co. (The) | 106,664 | ||||||
| 196 | Monster Beverage Corp. (a) | 13,978 | ||||||
|
| |||||||
| 120,642 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
| 4 | Costco Wholesale Corp. | 369 | ||||||
| 219 | CVS Caremark Corp. | 10,253 | ||||||
| 365 | Walgreen Co. | 10,784 | ||||||
| 121 | Whole Foods Market, Inc. | 11,569 | ||||||
|
| |||||||
| 32,975 | ||||||||
|
| |||||||
Food Products — 1.6% |
| |||||||
| 190 | Archer-Daniels-Midland Co. | 5,598 | ||||||
| 330 | Campbell Soup Co. | 11,030 | ||||||
| 868 | General Mills, Inc. | 33,449 | ||||||
| 1,387 | Kraft Foods, Inc., Class A | 53,552 | ||||||
|
| |||||||
| 103,629 | ||||||||
|
| |||||||
Household Products — 1.8% | ||||||||
| 237 | Clorox Co. (The) | 17,204 | ||||||
| 186 | Colgate-Palmolive Co. | 19,317 | ||||||
| 45 | Energizer Holdings, Inc. (a) | 3,358 | ||||||
| 1,275 | Procter & Gamble Co. (The) | 78,087 | ||||||
|
| |||||||
| 117,966 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
| 198 | Estee Lauder Cos., Inc. (The), Class A | 10,700 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Tobacco — 1.2% |
| |||||||
| 23 | Lorillard, Inc. | 3,068 | ||||||
| 834 | Philip Morris International, Inc. | 72,735 | ||||||
|
| |||||||
| 75,803 | ||||||||
|
| |||||||
Total Consumer Staples | 461,715 | |||||||
|
| |||||||
Energy — 10.9% |
| |||||||
Energy Equipment & Services — 2.1% |
| |||||||
| 269 | Baker Hughes, Inc. | 11,073 | ||||||
| 62 | Cameron International Corp. (a) | 2,628 | ||||||
| 495 | Ensco plc, (United Kingdom), Class A | 23,250 | ||||||
| 140 | FMC Technologies, Inc. (a) | 5,502 | ||||||
| 411 | Halliburton Co. | 11,663 | ||||||
| 73 | National Oilwell Varco, Inc. | 4,727 | ||||||
| 1,139 | Schlumberger Ltd. | 73,907 | ||||||
|
| |||||||
| 132,750 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.8% |
| |||||||
| 486 | Anadarko Petroleum Corp. | 32,169 | ||||||
| 185 | Apache Corp. | 16,295 | ||||||
| 713 | Chevron Corp. | 75,179 | ||||||
| 74 | Concho Resources, Inc. (a) | 6,334 | ||||||
| 55 | Continental Resources, Inc. (a) | 3,639 | ||||||
| 597 | EOG Resources, Inc. | 53,823 | ||||||
| 159 | EQT Corp. | 8,545 | ||||||
| 1,347 | Exxon Mobil Corp. | 115,239 | ||||||
| 802 | Kinder Morgan, Inc. | 25,849 | ||||||
| 196 | Marathon Oil Corp. | 5,017 | ||||||
| 99 | Marathon Petroleum Corp. | 4,429 | ||||||
| 1,548 | Occidental Petroleum Corp. | 132,770 | ||||||
| 568 | Peabody Energy Corp. | 13,921 | ||||||
| 124 | Phillips 66 (a) | 4,138 | ||||||
| 290 | Pioneer Natural Resources Co. | 25,590 | ||||||
| 164 | Range Resources Corp. | 10,141 | ||||||
| 486 | Southwestern Energy Co. (a) | 15,505 | ||||||
| 390 | Valero Energy Corp. | 9,411 | ||||||
| 448 | Williams Cos., Inc. (The) | 12,914 | ||||||
|
| |||||||
| 570,908 | ||||||||
|
| |||||||
Total Energy | 703,658 | |||||||
|
| |||||||
Financials — 13.8% |
| |||||||
Capital Markets — 3.1% |
| |||||||
| 441 | Ameriprise Financial, Inc. | 23,040 | ||||||
| 673 | Goldman Sachs Group, Inc. (The) | 64,523 | ||||||
| 1,732 | Invesco Ltd. | 39,141 | ||||||
| 1,081 | Morgan Stanley | 15,776 | ||||||
| 671 | State Street Corp. | 29,939 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
| 117 | T. Rowe Price Group, Inc. | 7,342 | ||||||
| 1,082 | TD Ameritrade Holding Corp. | 18,402 | ||||||
|
| |||||||
| 198,163 | ||||||||
|
| |||||||
Commercial Banks — 2.9% |
| |||||||
| 333 | Huntington Bancshares, Inc. | 2,133 | ||||||
| 669 | SunTrust Banks, Inc. | 16,213 | ||||||
| 47 | SVB Financial Group (a) | 2,732 | ||||||
| 283 | U.S. Bancorp | 9,095 | ||||||
| 4,604 | Wells Fargo & Co. | 153,946 | ||||||
| 179 | Zions Bancorp | 3,473 | ||||||
|
| |||||||
| 187,592 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
| 443 | American Express Co. | 25,779 | ||||||
| 609 | Capital One Financial Corp. | 33,264 | ||||||
|
| |||||||
| 59,043 | ||||||||
|
| |||||||
Diversified Financial Services — 3.2% |
| |||||||
| 8,567 | Bank of America Corp. | 70,079 | ||||||
| 2,506 | Citigroup, Inc. | 68,684 | ||||||
| 199 | CME Group, Inc. | 53,367 | ||||||
| 123 | IntercontinentalExchange, Inc. (a) | 16,748 | ||||||
|
| |||||||
| 208,878 | ||||||||
|
| |||||||
Insurance — 3.2% |
| |||||||
| 666 | ACE Ltd., (Switzerland) | 49,369 | ||||||
| 296 | Axis Capital Holdings Ltd., (Bermuda) | 9,620 | ||||||
| 181 | Everest Re Group Ltd., (Bermuda) | 18,690 | ||||||
| 324 | Hartford Financial Services Group, Inc. | 5,710 | ||||||
| 2,682 | MetLife, Inc. | 82,732 | ||||||
| 772 | Prudential Financial, Inc. | 37,392 | ||||||
| 142 | XL Group plc, (Ireland) | 2,982 | ||||||
|
| |||||||
| 206,495 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||
| 275 | American Tower Corp. | 19,214 | ||||||
| 93 | Boston Properties, Inc. | 10,065 | ||||||
| 23 | Macerich Co. (The) | 1,353 | ||||||
| 28 | Post Properties, Inc. | 1,363 | ||||||
|
| |||||||
| 31,995 | ||||||||
|
| |||||||
Total Financials | 892,166 | |||||||
|
| |||||||
Health Care — 13.9% |
| |||||||
Biotechnology — 2.6% |
| |||||||
| 161 | Alexion Pharmaceuticals, Inc. (a) | 16,001 | ||||||
| 575 | Biogen Idec, Inc. (a) | 82,948 | ||||||
| 499 | Celgene Corp. (a) | 31,994 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Biotechnology — Continued |
| |||||||
| 61 | Regeneron Pharmaceuticals, Inc. (a) | 6,989 | ||||||
| 551 | Vertex Pharmaceuticals, Inc. (a) | 30,805 | ||||||
|
| |||||||
| 168,737 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
| 108 | Baxter International, Inc. | 5,765 | ||||||
| 765 | CareFusion Corp. (a) | 19,641 | ||||||
| 1,309 | Covidien plc, (Ireland) | 70,033 | ||||||
| 31 | Intuitive Surgical, Inc. (a) | 17,411 | ||||||
|
| |||||||
| 112,850 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
| 201 | AMERIGROUP Corp. (a) | 13,220 | ||||||
| 522 | Cardinal Health, Inc. | 21,923 | ||||||
| 168 | Cigna Corp. | 7,398 | ||||||
| 651 | Humana, Inc. | 50,384 | ||||||
| 357 | McKesson Corp. | 33,468 | ||||||
| 1,743 | UnitedHealth Group, Inc. | 101,972 | ||||||
|
| |||||||
| 228,365 | ||||||||
|
| |||||||
Health Care Technology — 0.2% |
| |||||||
| 146 | Cerner Corp. (a) | 12,081 | ||||||
|
| |||||||
Pharmaceuticals — 5.8% |
| |||||||
| 385 | Abbott Laboratories | 24,823 | ||||||
| 314 | Allergan, Inc. | 29,046 | ||||||
| 726 | Johnson & Johnson | 49,069 | ||||||
| 3,361 | Merck & Co., Inc. | 140,314 | ||||||
| 999 | Mylan, Inc. (a) | 21,356 | ||||||
| 66 | Novo Nordisk A/S, (Denmark), ADR | 9,640 | ||||||
| 4,226 | Pfizer, Inc. | 97,195 | ||||||
| 70 | Valeant Pharmaceuticals International, Inc., (Canada) (a) | 3,117 | ||||||
|
| |||||||
| 374,560 | ||||||||
|
| |||||||
Total Health Care | 896,593 | |||||||
|
| |||||||
Industrials — 10.2% | ||||||||
Aerospace & Defense — 2.2% | ||||||||
| 619 | Honeywell International, Inc. | 34,560 | ||||||
| 32 | Precision Castparts Corp. | 5,290 | ||||||
| 1,373 | United Technologies Corp. | 103,736 | ||||||
|
| |||||||
| 143,586 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
| 1,661 | Masco Corp. | 23,037 | ||||||
|
| |||||||
Construction & Engineering — 0.7% | ||||||||
| 856 | Fluor Corp. | 42,231 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 0.9% | ||||||||
| 1,264 | Emerson Electric Co. | 58,863 | ||||||
|
| |||||||
Industrial Conglomerates — 1.3% | ||||||||
| 470 | General Electric Co. | 9,795 | ||||||
| 1,409 | Tyco International Ltd., (Switzerland) | 74,451 | ||||||
|
| |||||||
| 84,246 | ||||||||
|
| |||||||
Machinery — 1.8% | ||||||||
| 91 | Caterpillar, Inc. | 7,733 | ||||||
| 88 | Cummins, Inc. | 8,540 | ||||||
| 95 | Joy Global, Inc. | 5,401 | ||||||
| 48 | Navistar International Corp. (a) | 1,368 | ||||||
| 1,742 | PACCAR, Inc. | 68,259 | ||||||
| 74 | Parker Hannifin Corp. | 5,681 | ||||||
| 335 | SPX Corp. | 21,872 | ||||||
|
| |||||||
| 118,854 | ||||||||
|
| |||||||
Professional Services — 0.0% (g) | ||||||||
| 36 | Equifax, Inc. | 1,683 | ||||||
|
| |||||||
Road & Rail — 2.3% | ||||||||
| 3,766 | CSX Corp. | 84,200 | ||||||
| 387 | Hertz Global Holdings, Inc. (a) | 4,956 | ||||||
| 484 | Union Pacific Corp. | 57,752 | ||||||
|
| |||||||
| 146,908 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.6% | ||||||||
| 201 | W.W. Grainger, Inc. | 38,497 | ||||||
|
| |||||||
Total Industrials | 657,905 | |||||||
|
| |||||||
Information Technology — 18.7% | ||||||||
Communications Equipment — 2.2% | ||||||||
| 5,043 | Cisco Systems, Inc. | 86,595 | ||||||
| 78 | F5 Networks, Inc. (a) | 7,772 | ||||||
| 23 | Juniper Networks, Inc. (a) | 373 | ||||||
| 862 | QUALCOMM, Inc. | 48,023 | ||||||
|
| |||||||
| 142,763 | ||||||||
|
| |||||||
Computers & Peripherals — 6.0% | ||||||||
| 586 | Apple, Inc. (a) | 342,449 | ||||||
| 621 | EMC Corp. (a) | 15,904 | ||||||
| 625 | Hewlett-Packard Co. | 12,572 | ||||||
| 471 | NetApp, Inc. (a) | 14,987 | ||||||
| 55 | SanDisk Corp. (a) | 2,019 | ||||||
|
| |||||||
| 387,931 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
| 118 | Arrow Electronics, Inc. (a) | 3,882 | ||||||
|
| |||||||
Internet Software & Services — 1.2% |
| |||||||
| 28 | Baidu, Inc., (China), ADR (a) | 3,231 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Internet Software & Services — Continued |
| |||||||
| 101 | Google, Inc., Class A (a) | 58,565 | ||||||
| 76 | LinkedIn Corp., Class A (a) | 8,055 | ||||||
| 141 | Rackspace Hosting, Inc. (a) | 6,181 | ||||||
|
| |||||||
| 76,032 | ||||||||
|
| |||||||
IT Services — 2.2% |
| |||||||
| 581 | Cognizant Technology Solutions Corp., Class A (a) | 34,886 | ||||||
| 210 | Fidelity National Information Services, Inc. | 7,153 | ||||||
| 573 | Genpact Ltd., (Bermuda) (a) | 9,535 | ||||||
| 93 | International Business Machines Corp. | 18,159 | ||||||
| 119 | MasterCard, Inc., Class A | 51,211 | ||||||
| 127 | Teradata Corp. (a) | 9,119 | ||||||
| 78 | Visa, Inc., Class A | 9,627 | ||||||
|
| |||||||
| 139,690 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
| 1,645 | Altera Corp. | 55,655 | ||||||
| 131 | ARM Holdings plc, (United Kingdom), ADR | 3,121 | ||||||
| 694 | Broadcom Corp., Class A (a) | 23,473 | ||||||
| 848 | Freescale Semiconductor Ltd. (a) | 8,689 | ||||||
| 60 | KLA-Tencor Corp. | 2,975 | ||||||
| 1,011 | Lam Research Corp. (a) | 38,150 | ||||||
| 643 | Texas Instruments, Inc. | 18,459 | ||||||
|
| |||||||
| 150,522 | ||||||||
|
| |||||||
Software — 4.7% |
| |||||||
| 293 | Adobe Systems, Inc. (a) | 9,482 | ||||||
| 264 | Citrix Systems, Inc. (a) | 22,121 | ||||||
| 11 | FactSet Research Systems, Inc. | 981 | ||||||
| 146 | Intuit, Inc. | 8,656 | ||||||
| 4,610 | Microsoft Corp. | 141,033 | ||||||
| 184 | Nuance Communications, Inc. (a) | 4,380 | ||||||
| 3,098 | Oracle Corp. | 92,007 | ||||||
| 183 | Red Hat, Inc. (a) | 10,323 | ||||||
| 56 | Salesforce.com, Inc. (a) | 7,759 | ||||||
| 110 | VMware, Inc., Class A (a) | 10,016 | ||||||
|
| |||||||
| 306,758 | ||||||||
|
| |||||||
Total Information Technology | 1,207,578 | |||||||
|
| |||||||
Materials — 2.7% |
| |||||||
Chemicals — 2.0% |
| |||||||
| 603 | Air Products & Chemicals, Inc. | 48,686 | ||||||
| 50 | CF Industries Holdings, Inc. | 9,695 | ||||||
| 923 | E.I. du Pont de Nemours & Co. | 46,669 | ||||||
| 51 | FMC Corp. | 2,734 | ||||||
| 244 | Georgia Gulf Corp. | 6,253 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 73 | Praxair, Inc. | 7,905 | ||||||
| 63 | Sherwin-Williams Co. (The) | 8,354 | ||||||
|
| |||||||
| 130,296 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
| 216 | Crown Holdings, Inc. (a) | 7,449 | ||||||
|
| |||||||
Metals & Mining — 0.6% |
| |||||||
| 1,598 | Alcoa, Inc. | 13,987 | ||||||
| 400 | Freeport-McMoRan Copper & Gold, Inc. | 13,643 | ||||||
| 180 | Walter Energy, Inc. | 7,952 | ||||||
|
| |||||||
| 35,582 | ||||||||
|
| |||||||
Total Materials | 173,327 | |||||||
|
| |||||||
Telecommunication Services — 2.2% |
| |||||||
Diversified Telecommunication Services — 2.2% |
| |||||||
| 1,449 | AT&T, Inc. | 51,657 | ||||||
| 1,937 | Verizon Communications, Inc. | 86,089 | ||||||
|
| |||||||
| 137,746 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| 384 | Sprint Nextel Corp. (a) | 1,253 | ||||||
|
| |||||||
Total Telecommunication Services | 138,999 | |||||||
|
| |||||||
Utilities — 2.3% |
| |||||||
Electric Utilities — 1.3% |
| |||||||
| 507 | FirstEnergy Corp. | 24,927 | ||||||
| 541 | NextEra Energy, Inc. | 37,198 | ||||||
| 557 | NV Energy, Inc. | 9,783 | ||||||
| 95 | OGE Energy Corp. | 4,930 | ||||||
| 362 | PPL Corp. | 10,056 | ||||||
|
| |||||||
| 86,894 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
| 69 | AGL Resources, Inc. | 2,689 | ||||||
| 39 | Atmos Energy Corp. | 1,351 | ||||||
|
| |||||||
| 4,040 | ||||||||
|
| |||||||
Multi-Utilities — 0.9% |
| |||||||
| 41 | CenterPoint Energy, Inc. | 844 | ||||||
| 910 | PG&E Corp. | 41,187 | ||||||
| 241 | Sempra Energy | 16,625 | ||||||
|
| |||||||
| 58,656 | ||||||||
|
| |||||||
Total Utilities | 149,590 | |||||||
|
| |||||||
Total Common Stocks | 6,295,409 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Preferred Stock — 0.1% |
| ||||||
Consumer Staples — 0.1% |
| |||||||
Beverages — 0.1% |
| |||||||
| 259 | Cia de Bebidas das Americas, (Brazil), ADR (Cost $8,140) | 9,945 | ||||||
|
| |||||||
| Short-Term Investment — 1.8% |
| ||||||
Investment Company — 1.8% | ||||||||
| 118,536 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 118,536 | ||||||
|
| |||||||
Total Investments — 99.5% | 6,423,890 | |||||||
Other Assets in Excess of | 29,119 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 6,453,009 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 1,151 | E-mini S&P 500 | 09/21/12 | $ | 78,061 | $ | 2,307 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 41 | ||||||
Table of Contents
J.P. Morgan Large Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
| ADR | — American Depositary Receipt | |||
| (a) | — Non-income producing security | |||
| (b) | — Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. | |||
| (e) | — Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. 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 | $2,686 | 0.4 | % | |||
| (g) | — Amount rounds to less than 0.1%. | |
| (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, 2012. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. | |
| (n) | — The rate shown is the effective yield at the date of purchase. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(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 | $ | 1,218,399 | $ | 37,781 | $ | 2,172,690 | $ | 301,037 | ||||||||
Investments in affiliates, at value | 23,521 | 1,454 | 48,378 | 5,353 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment securities, at value | 1,241,920 | 39,235 | 2,221,068 | 306,390 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 6,382 | — | 11,687 | 2,139 | ||||||||||||
Fund shares sold | 20,864 | — | 9,851 | 144 | ||||||||||||
Dividends from non-affiliates | 1,782 | 10 | 3,852 | 418 | ||||||||||||
Dividends from affiliates | 3 | — | (a) | 7 | — | (a) | ||||||||||
Variation margin on futures contracts | 722 | — | — | — | ||||||||||||
Prepaid expenses and other assets | — | 9 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 1,271,673 | 39,254 | 2,246,465 | 309,091 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 20 | — | 2,141 | 51 | ||||||||||||
Investment securities purchased | 37,799 | — | 17,297 | — | ||||||||||||
Fund shares redeemed | 525 | — | 12,878 | 202 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 231 | 18 | 684 | 97 | ||||||||||||
Administration fees | 67 | — | 49 | 21 | ||||||||||||
Shareholder servicing fees | 19 | 6 | 404 | 61 | ||||||||||||
Distribution fees | 4 | — | (a) | 191 | 63 | |||||||||||
Custodian and accounting fees | 10 | 5 | 15 | 5 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | (a) | — | (a) | 1 | ||||||||||
Transfer agent fees | 38 | 3 | 66 | 99 | ||||||||||||
Audit fees | 34 | 30 | 24 | 42 | ||||||||||||
Other | 16 | 2 | 17 | 32 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 38,763 | 64 | 33,766 | 674 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 1,232,910 | $ | 39,190 | $ | 2,212,699 | $ | 308,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except per share amounts)
| Disciplined Equity Fund | Dynamic Growth Fund | Equity Income Fund | Growth and Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 1,115,034 | $ | 38,191 | $ | 2,001,796 | $ | 306,462 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 519 | (122 | ) | (458 | ) | 53 | ||||||||||
Accumulated net realized gains (losses) | (9,417 | ) | (3,976 | ) | 7,954 | (85,321 | ) | |||||||||
Net unrealized appreciation (depreciation) | 126,774 | 5,097 | 203,407 | 87,223 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 1,232,910 | $ | 39,190 | $ | 2,212,699 | $ | 308,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 20,831 | $ | 106 | $ | 580,848 | $ | 293,520 | ||||||||
Class B | — | — | 4,353 | 3,286 | ||||||||||||
Class C | — | 104 | 130,366 | 4,137 | ||||||||||||
Class R2 | — | — | 1,682 | — | ||||||||||||
Class R5 | — | 27 | 111,647 | — | ||||||||||||
Class R6 | 1,024,228 | — | 70,589 | — | ||||||||||||
Institutional Class | 171,872 | — | — | — | ||||||||||||
Select Class | 15,979 | 38,953 | 1,313,214 | 7,474 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,232,910 | $ | 39,190 | $ | 2,212,699 | $ | 308,417 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 1,195 | 7 | 59,018 | 9,974 | ||||||||||||
Class B | — | — | 445 | 114 | ||||||||||||
Class C | — | 7 | 13,382 | 152 | ||||||||||||
Class R2 | — | — | 171 | — | ||||||||||||
Class R5 | — | 2 | 11,206 | — | ||||||||||||
Class R6 | 58,598 | — | 7,089 | — | ||||||||||||
Institutional Class | 9,833 | — | — | — | ||||||||||||
Select Class | 913 | 2,423 | 131,811 | 244 | ||||||||||||
Net Asset Value (b): | ||||||||||||||||
Class A — Redemption price per share | $ | 17.42 | $ | 15.89 | $ | 9.84 | $ | 29.43 | ||||||||
Class B — Offering price per share (c) | — | — | 9.78 | 28.76 | ||||||||||||
Class C — Offering price per share (c) | — | 15.54 | 9.74 | 27.32 | ||||||||||||
Class R2 — Offering and redemption price per share | — | — | 9.84 | — | ||||||||||||
Class R5 — Offering and redemption price per share | — | 16.22 | 9.96 | — | ||||||||||||
Class R6 — Offering and redemption price per share | 17.48 | — | 9.96 | — | ||||||||||||
Institutional Class — Offering and redemption price per share | 17.48 | — | — | — | ||||||||||||
Select Class — Offering and redemption price per share | 17.51 | 16.07 | 9.96 | 30.63 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 18.39 | $ | 16.77 | $ | 10.39 | $ | 31.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 1,092,290 | $ | 32,684 | $ | 1,969,283 | $ | 213,814 | ||||||||
Cost of investments in affiliates | 23,521 | 1,454 | 48,378 | 5,353 | ||||||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 6,558,044 | $ | 633,928 | $ | 6,305,354 | ||||||
Investments in affiliates, at value | 258,082 | — | 118,536 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 6,816,126 | 633,928 | 6,423,890 | |||||||||
Deposits at broker for futures contracts | — | — | 3,910 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 95,276 | 13,992 | 75,400 | |||||||||
Fund shares sold | 69,483 | 63 | 15,234 | |||||||||
Dividends from non-affiliates | 4,375 | 790 | 8,199 | |||||||||
Dividends from affiliates | 26 | — | (a) | 13 | ||||||||
Securities lending income | — | — | — | (a) | ||||||||
Variation margin on futures contracts | — | — | 1,845 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 6,985,286 | 648,773 | 6,528,491 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | — | 1,969 | — | |||||||||
Dividends | — | 1,287 | 4,738 | |||||||||
Investment securities purchased | 51,083 | 9,603 | 59,955 | |||||||||
Fund shares redeemed | 12,429 | 45 | 6,377 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 2,644 | 202 | 2,021 | |||||||||
Administration fees | 462 | 44 | 332 | |||||||||
Shareholder servicing fees | 965 | 119 | 890 | |||||||||
Distribution fees | 466 | 8 | 191 | |||||||||
Custodian and accounting fees | 36 | 8 | 44 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 9 | — | (a) | — | (a) | |||||||
Other | 318 | 115 | 934 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 68,412 | 13,400 | 75,482 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 6,916,874 | $ | 635,373 | $ | 6,453,009 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except per share amounts)
| Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 6,703,744 | $ | 678,237 | $ | 5,604,983 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (3,036 | ) | 261 | 1,751 | ||||||||
Accumulated net realized gains (losses) | (192,709 | ) | (109,995 | ) | (177,987 | ) | ||||||
Net unrealized appreciation (depreciation) | 408,875 | 66,870 | 1,024,262 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 6,916,874 | $ | 635,373 | $ | 6,453,009 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 1,660,335 | $ | 25,789 | $ | 662,367 | ||||||
Class B | 12,170 | 1,442 | 4,979 | |||||||||
Class C | 205,723 | 3,215 | 75,962 | |||||||||
Class R2 | 85,913 | 142 | 31,686 | |||||||||
Class R5 | 584,866 | 25,965 | 335,220 | |||||||||
Class R6 | 1,047,184 | 11,269 | 1,114,492 | |||||||||
Institutional Class | — | — | 610,670 | |||||||||
Select Class | 3,320,683 | 567,551 | 3,617,633 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 6,916,874 | $ | 635,373 | $ | 6,453,009 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 70,220 | 2,340 | 61,707 | |||||||||
Class B | 581 | 133 | 470 | |||||||||
Class C | 9,897 | 298 | 7,202 | |||||||||
Class R2 | 3,665 | 13 | 2,964 | |||||||||
Class R5 | 24,641 | 2,377 | 31,181 | |||||||||
Class R6 | 44,070 | 1,032 | 103,577 | |||||||||
Institutional Class | — | — | 56,806 | |||||||||
Select Class | 140,632 | 52,157 | 336,993 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 23.64 | $ | 11.02 | $ | 10.73 | ||||||
Class B — Offering price per share (c) | 20.96 | 10.86 | 10.59 | |||||||||
Class C — Offering price per share (c) | 20.79 | 10.80 | 10.55 | |||||||||
Class R2 — Offering and redemption price per share | 23.44 | 10.99 | 10.69 | |||||||||
Class R5 — Offering and redemption price per share | 23.74 | 10.92 | 10.75 | |||||||||
Class R6 — Offering and redemption price per share | 23.76 | 10.92 | 10.76 | |||||||||
Institutional Class — Offering and redemption price per share | — | — | 10.75 | |||||||||
Select Class — Offering and redemption price per share | 23.61 | 10.88 | 10.74 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 24.95 | $ | 11.63 | $ | 11.32 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 6,149,169 | $ | 567,058 | $ | 5,283,399 | ||||||
Cost of investments in affiliates | 258,082 | — | 118,536 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon the length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | Equity Income Fund | Growth and Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Interest income from non-affiliates | $ | 3 | $ | — | $ | — | $ | — | ||||||||
Dividend income from non-affiliates | 17,920 | 166 | 41,634 | 7,324 | ||||||||||||
Dividend income from affiliates | 21 | 1 | 61 | 7 | ||||||||||||
Income from securities lending (net) | 1 | — | 4 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 17,945 | 167 | 41,699 | 7,331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,129 | 231 | 5,106 | 1,188 | ||||||||||||
Administration fees | 746 | 34 | 1,115 | 261 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 25 | — | (a) | 926 | 710 | |||||||||||
Class B | — | — | 35 | 27 | ||||||||||||
Class C | — | 1 | 520 | 28 | ||||||||||||
Class R2 | — | — | 3 | — | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 25 | — | (a) | 926 | 710 | |||||||||||
Class B | — | — | 12 | 9 | ||||||||||||
Class C | — | — | (a) | 174 | 9 | |||||||||||
Class R2 | — | — | 1 | — | ||||||||||||
Class R5 | — | — | (a) | 30 | — | |||||||||||
Institutional Class | 120 | — | — | — | ||||||||||||
Select Class | 31 | 96 | 1,893 | 15 | ||||||||||||
Custodian and accounting fees | 52 | 23 | 77 | 34 | ||||||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | (a) | — | |||||||||
Professional fees | 62 | 34 | 77 | 45 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 7 | — | (a) | 4 | 3 | |||||||||||
Printing and mailing costs | 34 | 9 | 101 | 42 | ||||||||||||
Registration and filing fees | 45 | 26 | 111 | 82 | ||||||||||||
Transfer agent fees | 190 | 6 | 742 | 397 | ||||||||||||
Other | 11 | — | (a) | 16 | 6 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,477 | 460 | 11,869 | 3,566 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (324 | ) | (77 | ) | (530 | ) | (16 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,153 | 383 | 11,339 | 3,550 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 14,792 | (216 | ) | 30,360 | 3,781 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||||||
Investments in non-affiliates | 12,557 | (2,051 | ) | 10,022 | 9,136 | |||||||||||
Futures | 216 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 12,773 | (2,051 | ) | 10,022 | 9,136 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||||||
Investments in non-affiliates | 28,287 | 3,389 | 119,295 | 1,887 | ||||||||||||
Futures | 402 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation (depreciation) | 28,689 | 3,389 | 119,295 | 1,887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 41,462 | 1,338 | 129,317 | 11,023 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 56,254 | $ | 1,122 | $ | 159,677 | $ | 14,804 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012 (continued)
(Amounts in thousands)
| Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | — | $ | 9 | ||||||
Dividend income from non-affiliates | 31,533 | 12,347 | 101,386 | |||||||||
Dividend income from affiliates | 294 | 9 | 123 | |||||||||
Income from securities lending (net) | — | (a) | 1 | 6 | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 31,827 | 12,357 | 101,524 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 18,870 | 2,536 | 21,356 | |||||||||
Administration fees | 3,297 | 556 | 4,680 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1,914 | 62 | 1,279 | |||||||||
Class B | 109 | 13 | 42 | |||||||||
Class C | 647 | 21 | 466 | |||||||||
Class R2 | 110 | 1 | 89 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 1,914 | 62 | 1,279 | |||||||||
Class B | 36 | 4 | 14 | |||||||||
Class C | 216 | 7 | 155 | |||||||||
Class R2 | 55 | — | (a) | 45 | ||||||||
Class R5 | 134 | 13 | 121 | |||||||||
Institutional Class | — | — | 488 | |||||||||
Select Class | 5,571 | 1,420 | 8,182 | |||||||||
Custodian and accounting fees | 184 | 52 | 265 | |||||||||
Interest expense to affiliates | — | — | — | (a) | ||||||||
Professional fees | 85 | 55 | 115 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 40 | 3 | 52 | |||||||||
Printing and mailing costs | 239 | 36 | 663 | |||||||||
Registration and filing fees | 118 | 59 | 259 | |||||||||
Transfer agent fees | 1,547 | 257 | 3,280 | |||||||||
Other | 29 | 9 | 32 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 35,115 | 5,166 | 42,862 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (754 | ) | (161 | ) | (2,494 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 34,361 | 5,005 | 40,368 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (2,534 | ) | 7,352 | 61,156 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | (142,714 | ) | �� | 38,076 | (24,911 | ) | ||||||
Futures | — | — | 13,350 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (142,714 | ) | 38,076 | (11,561 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | 345,625 | (59,886 | ) | 131,401 | ||||||||
Futures | — | — | 1,093 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | 345,625 | (59,886 | ) | 132,494 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 202,911 | (21,810 | ) | 120,933 | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 200,377 | $ | (14,458 | ) | $ | 182,089 | |||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 14,792 | $ | 8,023 | $ | (216 | ) | $ | (72 | ) | ||||||
Net realized gain (loss) | 12,773 | 34,601 | (2,051 | ) | (1,016 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) | 28,689 | 71,384 | 3,389 | 1,479 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 56,254 | 114,008 | 1,122 | 391 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (137 | ) | (24 | ) | — | — | ||||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (12,011 | ) | (4,234 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (1,864 | ) | (3,509 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (173 | ) | (130 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (14,185 | ) | (7,897 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 478,660 | 365,534 | (5,780 | ) | 41,156 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 520,729 | 471,645 | (4,658 | ) | 41,547 | |||||||||||
Beginning of period | 712,181 | 240,536 | 43,848 | 2,301 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,232,910 | $ | 712,181 | $ | 39,190 | $ | 43,848 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 519 | $ | 125 | $ | (122 | ) | $ | — | (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.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 49 | ||||||
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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 30,360 | $ | 6,494 | $ | 3,781 | $ | 3,280 | ||||||||
Net realized gain (loss) | 10,022 | 9,924 | 9,136 | 7,603 | ||||||||||||
Change in net unrealized appreciation (depreciation) | 119,295 | 52,533 | 1,887 | 63,810 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 159,677 | 68,951 | 14,804 | 74,693 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (7,456 | ) | (3,059 | ) | (3,511 | ) | (3,110 | ) | ||||||||
From net realized gains | (1,481 | ) | — | — | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (61 | ) | (110 | ) | (26 | ) | (27 | ) | ||||||||
From net realized gains | (20 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (1,172 | ) | (258 | ) | (34 | ) | (23 | ) | ||||||||
From net realized gains | (240 | ) | — | — | — | |||||||||||
Class R2 (a) | ||||||||||||||||
From net investment income | (12 | ) | — | (b) | — | — | ||||||||||
From net realized gains | (1 | ) | — | — | — | |||||||||||
Class R5 (a) | ||||||||||||||||
From net investment income | (1,602 | ) | (13 | ) | — | — | ||||||||||
From net realized gains | (229 | ) | — | — | — | |||||||||||
Class R6 (c) | ||||||||||||||||
From net investment income | (480 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (17,837 | ) | (3,166 | ) | (90 | ) | (47 | ) | ||||||||
From net realized gains | (2,850 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (33,441 | ) | (6,606 | ) | (3,661 | ) | (3,207 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 1,626,785 | 216,829 | (23,585 | ) | (26,616 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,753,021 | 279,174 | (12,442 | ) | 44,870 | |||||||||||
Beginning of period | 459,678 | 180,504 | 320,859 | 275,989 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,212,699 | $ | 459,678 | $ | 308,417 | $ | 320,859 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (458 | ) | $ | (477 | ) | $ | 53 | $ | (67 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
| (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. |
| (c) | Commencement of offering of class of shares effective January 31, 2012 for the Equity Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (2,534 | ) | $ | (743 | ) | $ | 7,352 | $ | 7,344 | ||||||
Net realized gain (loss) | (142,714 | ) | 282,043 | 38,076 | 25,904 | |||||||||||
Change in net unrealized appreciation (depreciation) | 345,625 | (44,388 | ) | (59,886 | ) | 92,323 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 200,377 | 236,912 | (14,458 | ) | 125,571 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (248 | ) | (256 | ) | ||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (9 | ) | (14 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (16 | ) | (18 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (1 | ) | — | (1 | ) | (1 | ) | |||||||||
Class R5 | ||||||||||||||||
From net investment income | (140 | ) | — | (352 | ) | (480 | ) | |||||||||
Class R6 (a) | ||||||||||||||||
From net investment income | (129 | ) | — | (156 | ) | (75 | ) | |||||||||
Select Class | ||||||||||||||||
From net investment income | (421 | ) | — | (6,698 | ) | (6,412 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (691 | ) | — | (7,480 | ) | (7,256 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 4,791,189 | 1,176,092 | (10,513 | ) | 92,237 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 4,990,875 | 1,413,004 | (32,451 | ) | 210,552 | |||||||||||
Beginning of period | 1,925,999 | 512,995 | 667,824 | 457,272 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,916,874 | $ | 1,925,999 | $ | 635,373 | $ | 667,824 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (3,036 | ) | $ | (37 | ) | $ | 261 | $ | 236 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Equity Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 61,156 | $ | 38,746 | ||||
Net realized gain (loss) | (11,561 | ) | 126,612 | |||||
Change in net unrealized appreciation (depreciation) | 132,494 | 692,560 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 182,089 | 857,918 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (4,782 | ) | (2,611 | ) | ||||
From net realized gains | (2,714 | ) | — | |||||
Class B | ||||||||
From net investment income | (20 | ) | (30 | ) | ||||
From net realized gains | (31 | ) | — | |||||
Class C | ||||||||
From net investment income | (280 | ) | (223 | ) | ||||
From net realized gains | (317 | ) | — | |||||
Class R2 | ||||||||
From net investment income | (148 | ) | (35 | ) | ||||
From net realized gains | (82 | ) | — | |||||
Class R5 | ||||||||
From net investment income | (3,201 | ) | (2,223 | ) | ||||
From net realized gains | (1,305 | ) | — | |||||
Class R6 (a) | ||||||||
From net investment income | (10,168 | ) | (3,806 | ) | ||||
From net realized gains | (3,702 | ) | — | |||||
Institutional Class | ||||||||
From net investment income | (5,886 | ) | (5,016 | ) | ||||
From net realized gains | (2,489 | ) | — | |||||
Select Class | ||||||||
From net investment income | (34,893 | ) | (24,402 | ) | ||||
From net realized gains | (17,997 | ) | — | |||||
|
|
|
| |||||
Total distributions to shareholders | (88,015 | ) | (38,346 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | 1,526,527 | 1,398,645 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 1,620,601 | 2,218,217 | ||||||
Beginning of period | 4,832,408 | 2,614,191 | ||||||
|
|
|
| |||||
End of period | $ | 6,453,009 | $ | 4,832,408 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 1,751 | $ | 170 | ||||
|
|
|
| |||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 26,796 | $ | 2,001 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 137 | 22 | — | — | ||||||||||||
Cost of shares redeemed | (10,466 | ) | (512 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 16,467 | $ | 1,511 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 450,054 | $ | 559,938 | (b) | $ | — | $ | — | |||||||
Dividends and distributions reinvested | 12,011 | 4,234 | — | — | ||||||||||||
Cost of shares redeemed | (50,349 | ) | (55,165 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 411,716 | $ | 509,007 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 65,484 | $ | 251,624 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 1,862 | 3,505 | — | — | ||||||||||||
Cost of shares redeemed | (19,912 | ) | (401,169 | )(b) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Institutional Class capital transactions | $ | 47,434 | $ | (146,040 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 5,060 | $ | 3,717 | $ | 7,108 | $ | 43,933 | ||||||||
Dividends and distributions reinvested | 86 | 67 | — | — | ||||||||||||
Cost of shares redeemed | (2,103 | ) | (2,728 | ) | (12,888 | ) | (2,777 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 3,043 | $ | 1,056 | $ | (5,780 | ) | $ | 41,156 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 478,660 | $ | 365,534 | $ | (5,780 | ) | $ | 41,156 | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,584 | 125 | — | — | ||||||||||||
Reinvested | 8 | 1 | — | — | ||||||||||||
Redeemed | (599 | ) | (33 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 993 | 93 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | 26,788 | 34,542 | (b) | — | — | |||||||||||
Reinvested | 729 | 254 | — | — | ||||||||||||
Redeemed | (3,213 | ) | (3,242 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 24,304 | 31,554 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 3,833 | 16,977 | — | — | ||||||||||||
Reinvested | 114 | 223 | — | — | ||||||||||||
Redeemed | (1,194 | ) | (24,965 | )(b) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 2,753 | (7,765 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 293 | 229 | 479 | 2,792 | ||||||||||||
Reinvested | 5 | 4 | — | — | ||||||||||||
Redeemed | (126 | ) | (177 | ) | (850 | ) | (183 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 172 | 56 | (371 | ) | 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.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 424,660 | $ | 139,727 | $ | 11,165 | $ | 9,059 | ||||||||
Dividends and distributions reinvested | 8,447 | 2,832 | 3,339 | 2,918 | ||||||||||||
Cost of shares redeemed | (95,525 | ) | (33,330 | ) | (38,398 | ) | (40,745 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 337,582 | $ | 109,229 | $ | (23,894 | ) | $ | (28,768 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 746 | $ | 703 | $ | 119 | $ | 105 | ||||||||
Dividends and distributions reinvested | 72 | 100 | 26 | 27 | ||||||||||||
Cost of shares redeemed | (2,541 | ) | (3,078 | ) | (1,356 | ) | (1,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (1,723 | ) | $ | (2,275 | ) | $ | (1,211 | ) | $ | (1,717 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 110,299 | $ | 25,331 | $ | 1,398 | $ | 1,021 | ||||||||
Dividends and distributions reinvested | 1,128 | 215 | 30 | 20 | ||||||||||||
Cost of shares redeemed | (15,205 | ) | (4,560 | ) | (1,299 | ) | (702 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 96,222 | $ | 20,986 | $ | 129 | $ | 339 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 1,756 | $ | 50 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 12 | — | (b) | — | — | |||||||||||
Cost of shares redeemed | (150 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 1,618 | $ | 50 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 138,348 | $ | 2,964 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 1,831 | 13 | — | — | ||||||||||||
Cost of shares redeemed | (40,633 | ) | (26 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 99,546 | $ | 2,951 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Proceeds from shares issued | $ | 83,915 | $ | — | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 141 | — | — | — | ||||||||||||
Cost of shares redeemed | (12,794 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 71,262 | $ | — | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,203,854 | $ | 163,037 | $ | 2,028 | $ | 3,862 | ||||||||
Dividends and distributions reinvested | 7,939 | 564 | 53 | 29 | ||||||||||||
Cost of shares redeemed | (189,515 | ) | (77,713 | ) | (690 | ) | (361 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 1,022,278 | $ | 85,888 | $ | 1,391 | $ | 3,530 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 1,626,785 | $ | 216,829 | $ | (23,585 | ) | $ | (26,616 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Equity Income Fund | Growth and Income Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 45,117 | 15,758 | 395 | 339 | ||||||||||||
Reinvested | 897 | 320 | 122 | 109 | ||||||||||||
Redeemed | (10,173 | ) | (3,814 | ) | (1,402 | ) | (1,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 35,841 | 12,264 | (885 | ) | (1,094 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 80 | 80 | 4 | 4 | ||||||||||||
Reinvested | 8 | 12 | 1 | 1 | ||||||||||||
Redeemed | (282 | ) | (362 | ) | (52 | ) | (71 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (194 | ) | (270 | ) | (47 | ) | (66 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 11,785 | 2,848 | 56 | 40 | ||||||||||||
Reinvested | 120 | 24 | 1 | 1 | ||||||||||||
Redeemed | (1,636 | ) | (529 | ) | (51 | ) | (30 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 10,269 | 2,343 | 6 | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (a) | ||||||||||||||||
Issued | 180 | 5 | — | — | ||||||||||||
Reinvested | 1 | — | (b) | — | — | |||||||||||
Redeemed | (15 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 166 | 5 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (a) | ||||||||||||||||
Issued | 15,010 | 310 | — | — | ||||||||||||
Reinvested | 193 | 1 | — | — | ||||||||||||
Redeemed | (4,305 | ) | (3 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 10,898 | 308 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) | ||||||||||||||||
Issued | 8,367 | — | — | — | ||||||||||||
Reinvested | 14 | — | — | — | ||||||||||||
Redeemed | (1,292 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 7,089 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 128,808 | 17,994 | 71 | 136 | ||||||||||||
Reinvested | 827 | 63 | 2 | 1 | ||||||||||||
Redeemed | (19,342 | ) | (8,677 | ) | (24 | ) | (13 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 110,293 | 9,380 | 49 | 124 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (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). |
| (c) | Commencement of offering of class of shares effective January 31, 2012 for the Equity Income Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,485,061 | $ | 136,831 | $ | 7,733 | $ | 6,956 | ||||||||
Dividends and distributions reinvested | — | — | 241 | 227 | ||||||||||||
Cost of shares redeemed | (186,800 | ) | (56,181 | ) | (7,007 | ) | (9,150 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 1,298,261 | $ | 80,650 | $ | 967 | $ | (1,967 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 713 | $ | 482 | $ | 50 | $ | 80 | ||||||||
Dividends and distributions reinvested | — | — | 8 | 14 | ||||||||||||
Cost of shares redeemed | (7,529 | ) | (10,232 | ) | (843 | ) | (1,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (6,816 | ) | $ | (9,750 | ) | $ | (785 | ) | $ | (1,216 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 188,775 | $ | 27,328 | $ | 1,321 | $ | 1,118 | ||||||||
Dividends and distributions reinvested | — | — | 14 | 16 | ||||||||||||
Cost of shares redeemed | (17,008 | ) | (6,716 | ) | (1,141 | ) | (2,166 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 171,767 | $ | 20,612 | $ | 194 | $ | (1,032 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 92,133 | $ | 562 | $ | 83 | $ | 55 | ||||||||
Dividends and distributions reinvested | 1 | — | 1 | 1 | ||||||||||||
Cost of shares redeemed | (6,156 | ) | (33 | ) | (59 | ) | (14 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | 85,978 | $ | 529 | $ | 25 | $ | 42 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 597,130 | $ | 58,341 | $ | 1,737 | $ | 29,071 | ||||||||
Dividends and distributions reinvested | 140 | — | 352 | 481 | ||||||||||||
Cost of shares redeemed | (81,364 | ) | (20,118 | ) | (3,616 | ) | (18,502 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 515,906 | $ | 38,223 | $ | (1,527 | ) | $ | 11,050 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Proceeds from shares issued | $ | 1,106,703 | $ | 30,263 | $ | 1,179 | $ | 11,217 | ||||||||
Dividends and distributions reinvested | 129 | — | 156 | 75 | ||||||||||||
Cost of shares redeemed | (87,682 | ) | (435 | ) | (765 | ) | (94 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R6 capital transactions | $ | 1,019,150 | $ | 29,828 | $ | 570 | $ | 11,198 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 2,248,235 | $ | 1,121,868 | $ | 25,030 | $ | 116,915 | ||||||||
Dividends and distributions reinvested | 93 | — | 73 | 72 | ||||||||||||
Cost of shares redeemed | (541,385 | ) | (105,868 | ) | (35,060 | ) | (42,825 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 1,706,943 | $ | 1,016,000 | $ | (9,957 | ) | $ | 74,162 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 4,791,189 | $ | 1,176,092 | $ | (10,513 | ) | $ | 92,237 | |||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 63,642 | 6,395 | 723 | 633 | ||||||||||||
Reinvested | — | — | 23 | 21 | ||||||||||||
Redeemed | (8,079 | ) | (2,743 | ) | (648 | ) | (846 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 55,563 | 3,652 | 98 | (192 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 36 | 26 | 5 | 8 | ||||||||||||
Reinvested | — | — | 1 | 1 | ||||||||||||
Redeemed | (377 | ) | (572 | ) | (80 | ) | (123 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (341 | ) | (546 | ) | (74 | ) | �� | (114 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 9,154 | 1,465 | 122 | 102 | ||||||||||||
Reinvested | — | — | 1 | 2 | ||||||||||||
Redeemed | (834 | ) | (356 | ) | (109 | ) | (207 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 8,320 | 1,109 | 14 | (103 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 3,897 | 26 | 7 | 6 | ||||||||||||
Reinvested | — | (b) | — | — | (b) | — | (b) | |||||||||
Redeemed | (260 | ) | (2 | ) | (5 | ) | (1 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 3,637 | 24 | 2 | 5 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 25,786 | 2,656 | 164 | 3,028 | ||||||||||||
Reinvested | 7 | — | 34 | 45 | ||||||||||||
Redeemed | (3,549 | ) | (931 | ) | (331 | ) | (1,658 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 22,244 | 1,725 | (133 | ) | 1,415 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (a) | ||||||||||||||||
Issued | 46,377 | 1,376 | 119 | 971 | ||||||||||||
Reinvested | 6 | — | 15 | 7 | ||||||||||||
Redeemed | (3,669 | ) | (20 | ) | (72 | ) | (8 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 42,714 | 1,356 | 62 | 970 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 98,785 | 51,982 | 2,451 | 10,605 | ||||||||||||
Reinvested | 4 | — | 7 | 7 | ||||||||||||
Redeemed | (23,773 | ) | (5,390 | ) | (3,125 | ) | (4,113 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 75,016 | 46,592 | (667 | ) | 6,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 412,813 | $ | 288,805 | ||||
Dividends and distributions reinvested | 6,868 | 2,411 | ||||||
Cost of shares redeemed | (193,790 | ) | (111,112 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | 225,891 | $ | 180,104 | ||||
|
|
|
| |||||
Class B | ||||||||
Proceeds from shares issued | $ | 257 | $ | 566 | ||||
Dividends and distributions reinvested | 49 | 28 | ||||||
Cost of shares redeemed | (2,380 | ) | (3,701 | ) | ||||
|
|
|
| |||||
Change in net assets from Class B capital transactions | $ | (2,074 | ) | $ | (3,107 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 38,529 | $ | 35,307 | ||||
Dividends and distributions reinvested | 526 | 189 | ||||||
Cost of shares redeemed | (20,678 | ) | (14,793 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | 18,377 | $ | 20,703 | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 28,358 | $ | 10,856 | ||||
Dividends and distributions reinvested | 170 | 21 | ||||||
Cost of shares redeemed | (5,907 | ) | (3,132 | ) | ||||
|
|
|
| |||||
Change in net assets from Class R2 capital transactions | $ | 22,621 | $ | 7,745 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 204,903 | $ | 270,327 | ||||
Dividends and distributions reinvested | 4,150 | 2,062 | ||||||
Cost of shares redeemed | (38,808 | ) | (403,734 | )(a) | ||||
|
|
|
| |||||
Change in net assets from Class R5 capital transactions | $ | 170,245 | $ | (131,345 | ) | |||
|
|
|
| |||||
Class R6 (b) | ||||||||
Proceeds from shares issued | $ | 580,194 | $ | 540,527 | (a) | |||
Dividends and distributions reinvested | 13,543 | 3,806 | ||||||
Cost of shares redeemed | (40,629 | ) | (5,802 | ) | ||||
|
|
|
| |||||
Change in net assets from Class R6 capital transactions | $ | 553,108 | $ | 538,531 | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 362,823 | $ | 245,239 | ||||
Dividends and distributions reinvested | 5,451 | 2,768 | ||||||
Cost of shares redeemed | (260,526 | ) | (309,619 | ) | ||||
|
|
|
| |||||
Change in net assets from Institutional Class capital transactions | $ | 107,748 | $ | (61,612 | ) | |||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 1,199,262 | $ | 1,352,402 | ||||
Dividends and distributions reinvested | 33,012 | 3,551 | ||||||
Cost of shares redeemed | (801,663 | ) | (508,327 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | 430,611 | $ | 847,626 | ||||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | 1,526,527 | $ | 1,398,645 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 39,984 | 28,479 | ||||||
Reinvested | 687 | 232 | ||||||
Redeemed | (19,011 | ) | (10,930 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 21,660 | 17,781 | ||||||
|
|
|
| |||||
Class B | ||||||||
Issued | 25 | 56 | ||||||
Reinvested | 5 | 3 | ||||||
Redeemed | (237 | ) | (380 | ) | ||||
|
|
|
| |||||
Change in Class B Shares | (207 | ) | (321 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 3,763 | 3,517 | ||||||
Reinvested | 54 | 18 | ||||||
Redeemed | (2,067 | ) | (1,487 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 1,750 | 2,048 | ||||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 2,720 | 1,045 | ||||||
Reinvested | 17 | 2 | ||||||
Redeemed | (577 | ) | (302 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 2,160 | 745 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 20,118 | 28,025 | ||||||
Reinvested | 409 | 207 | ||||||
Redeemed | (3,739 | ) | (39,068 | )(a) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 16,788 | (10,836 | ) | |||||
|
|
|
| |||||
Class R6 (b) | ||||||||
Issued | 54,627 | 51,669 | (a) | |||||
Reinvested | 1,340 | 356 | ||||||
Redeemed | (3,879 | ) | (536 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 52,088 | 51,489 | ||||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 34,671 | 24,103 | ||||||
Reinvested | 538 | 271 | ||||||
Redeemed | (25,385 | ) | (30,551 | ) | ||||
|
|
|
| |||||
Change in Institutional Class Shares | 9,824 | (6,177 | ) | |||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 117,290 | 134,052 | ||||||
Reinvested | 3,323 | 343 | ||||||
Redeemed | (77,448 | ) | (50,487 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 43,165 | 83,908 | ||||||
|
|
|
| |||||
| (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 for U.S. Equity Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 16.80 | $ | 0.21 | (c) | $ | 0.61 | $ | 0.82 | $ | (0.20 | ) | ||||||||
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) | (3.93 | ) | (3.62 | ) | (0.30 | ) | |||||||||||
Year Ended June 30, 2008 | 18.45 | 0.22 | (c) | (3.00 | ) | (2.78 | ) | (0.23 | ) | |||||||||||
Class R6 (d) | ||||||||||||||||||||
Year Ended June 30, 2012 | 16.83 | 0.29 | (c) | 0.63 | 0.92 | (0.27 | ) | |||||||||||||
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) | (3.94 | ) | (3.57 | ) | (0.36 | ) | |||||||||||
Year Ended June 30, 2008 | 18.47 | 0.31 | (c) | (3.02 | ) | (2.71 | ) | (0.31 | ) | |||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 16.83 | 0.27 | (c) | 0.63 | 0.90 | (0.25 | ) | |||||||||||||
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) | (3.90 | ) | (3.58 | ) | (0.35 | ) | |||||||||||
Year Ended June 30, 2008 | 18.47 | 0.29 | (c) | (3.01 | ) | (2.72 | ) | (0.30 | ) | |||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 16.86 | 0.25 | (c) | 0.63 | 0.88 | (0.23 | ) | |||||||||||||
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) | (3.94 | ) | (3.61 | ) | (0.33 | ) | |||||||||||
Year Ended June 30, 2008 | 18.48 | 0.26 | (c) | (3.00 | ) | (2.74 | ) | (0.26 | ) | |||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | 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, 2012 | ||||
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 earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 17.42 | 4.98 | % | $ | 20,831 | 0.85 | % | 1.21 | % | 0.88 | % | 198 | % | |||||||||||||
| 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 | ) | 965 | 0.85 | 2.59 | 0.97 | 92 | |||||||||||||||||||
| 15.44 | (15.18 | ) | 1,487 | 0.85 | 1.26 | 0.92 | 72 | |||||||||||||||||||
| 17.48 | 5.57 | 1,024,228 | 0.35 | 1.76 | 0.38 | 198 | ||||||||||||||||||||
| 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 | ) | 83,583 | 0.35 | 3.09 | 0.47 | 92 | |||||||||||||||||||
| 15.45 | (14.78 | ) | 112,725 | 0.35 | 1.76 | 0.42 | 72 | |||||||||||||||||||
| 17.48 | 5.47 | 171,872 | 0.45 | 1.66 | 0.49 | 198 | ||||||||||||||||||||
| 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 | ) | 124,398 | 0.45 | 2.76 | 0.58 | 92 | |||||||||||||||||||
| 15.45 | (14.88 | ) | 73,219 | 0.45 | 1.66 | 0.52 | 72 | |||||||||||||||||||
| 17.51 | 5.31 | 15,979 | 0.60 | 1.50 | 0.64 | 198 | ||||||||||||||||||||
| 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 | ) | 10,514 | 0.60 | 2.76 | 0.72 | 92 | |||||||||||||||||||
| 15.48 | (14.93 | ) | 17,063 | 0.60 | 1.45 | 0.68 | 72 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 15.47 | $ | (0.12 | ) | $ | 0.54 | $ | 0.42 | $ | — | |||||||||
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, 2012 | 15.21 | (0.19 | ) | 0.52 | 0.33 | — | ||||||||||||||
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, 2012 | 15.72 | (0.06 | ) | 0.56 | 0.50 | — | ||||||||||||||
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, 2012 | 15.61 | (0.09 | ) | 0.55 | 0.46 | — | ||||||||||||||
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 values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | 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, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits (e) | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 15.89 | 2.71 | % | $ | 106 | 1.24 | % | (0.81 | )% | 1.44 | % | 99 | % | |||||||||||||
| 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 | ||||||||||||||||||
| 15.54 | 2.17 | 104 | 1.74 | (1.31 | ) | 1.94 | 99 | |||||||||||||||||||
| 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 | ||||||||||||||||||
| 16.22 | 3.18 | 27 | 0.79 | (0.36 | ) | 0.99 | 99 | |||||||||||||||||||
| 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 | ||||||||||||||||||
| 16.07 | 2.95 | 38,953 | 0.99 | (0.56 | ) | 1.19 | 99 | |||||||||||||||||||
| 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, 2012 | 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, 2012 | $ | 9.38 | $ | 0.21 | (e) | $ | 0.46 | $ | 0.67 | $ | (0.17 | ) | $ | (0.04 | ) | $ | (0.21 | ) | ||||||||||
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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.33 | 0.15 | (e) | 0.47 | 0.62 | (0.13 | ) | (0.04 | ) | (0.17 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.30 | 0.16 | (e) | 0.45 | 0.61 | (0.13 | ) | (0.04 | ) | (0.17 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.38 | 0.19 | (e) | 0.46 | 0.65 | (0.15 | ) | (0.04 | ) | (0.19 | ) | |||||||||||||||||
February 28, 2011 (f) through June 30, 2011 | 9.20 | 0.06 | (e) | 0.17 | 0.23 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.49 | 0.26 | (e) | 0.46 | 0.72 | (0.21 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||||||
February 28, 2011 (f) through June 30, 2011 | 9.31 | 0.10 | (e) | 0.16 | 0.26 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
January 31, 2012 (f) through June 30, 2012 | 9.64 | 0.13 | (e) | 0.30 | 0.43 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 9.50 | 0.24 | (e) | 0.45 | 0.69 | (0.19 | ) | (0.04 | ) | (0.23 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 9.84 | 7.30 | % | $ | 580,848 | 1.04 | % | 2.22 | % | 1.08 | % | 44 | % | |||||||||||||
| 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 | ) | 97,572 | 1.18 | 2.61 | 1.18 | 49 | |||||||||||||||||||
| 9.78 | 6.75 | 4,353 | 1.54 | 1.64 | 1.59 | 44 | ||||||||||||||||||||
| 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 | ) | 14,129 | 1.68 | 2.04 | 1.68 | 49 | |||||||||||||||||||
| 9.74 | 6.72 | 130,366 | 1.54 | 1.74 | 1.58 | 44 | ||||||||||||||||||||
| 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 | ) | 4,425 | 1.68 | 2.05 | 1.68 | 49 | |||||||||||||||||||
| 9.84 | 7.13 | 1,682 | 1.29 | 1.94 | 1.32 | 44 | ||||||||||||||||||||
| 9.38 | 2.54 | 51 | 1.28 | 1.80 | 1.36 | 37 | ||||||||||||||||||||
| 9.96 | 7.78 | 111,647 | 0.58 | 2.77 | 0.63 | 44 | ||||||||||||||||||||
| 9.49 | 2.77 | 2,925 | 0.58 | 3.21 | 0.66 | 37 | ||||||||||||||||||||
| 9.96 | 4.47 | 70,589 | 0.53 | 3.28 | 0.58 | 44 | ||||||||||||||||||||
| 9.96 | 7.48 | 1,313,214 | 0.78 | 2.48 | 0.83 | 44 | ||||||||||||||||||||
| 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 | ) | 67,729 | 0.89 | 2.86 | 0.93 | 49 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 28.26 | $ | 0.35 | (c) | $ | 1.16 | $ | 1.51 | $ | (0.34 | ) | $ | — | $ | (0.34 | ) | |||||||||||
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) | (8.52 | ) | (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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 27.62 | 0.21 | (c) | 1.14 | 1.35 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
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) | (8.32 | ) | (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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 26.27 | 0.20 | (c) | 1.08 | 1.28 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
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) | (7.95 | ) | (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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 29.39 | 0.45 | (c) | 1.21 | 1.66 | (0.42 | ) | — | (0.42 | ) | ||||||||||||||||||
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) | (8.82 | ) | (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 | ) | |||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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 earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 29.43 | 5.45 | % | $ | 293,520 | 1.19 | % | 1.28 | % | 1.19 | % | 28 | % | |||||||||||||
| 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 | ) | 253,559 | 1.27 | 2.06 | 1.28 | 52 | |||||||||||||||||||
| 27.97 | (18.43 | ) | 413,710 | 1.16 | 1.15 | 1.16 | 69 | |||||||||||||||||||
| 28.76 | 4.93 | 3,286 | 1.69 | 0.77 | 1.70 | 28 | ||||||||||||||||||||
| 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 | ) | 5,976 | 1.77 | 1.53 | 1.78 | 52 | |||||||||||||||||||
| 27.36 | (18.84 | ) | 12,097 | 1.66 | 0.62 | 1.66 | 69 | |||||||||||||||||||
| 27.32 | 4.94 | 4,137 | 1.69 | 0.79 | 1.69 | 28 | ||||||||||||||||||||
| 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 | ) | 2,027 | 1.77 | 1.54 | 1.78 | 52 | |||||||||||||||||||
| 26.13 | (18.85 | ) | 3,598 | 1.66 | 0.64 | 1.66 | 69 | |||||||||||||||||||
| 30.63 | 5.78 | 7,474 | 0.89 | 1.58 | 0.94 | 28 | ||||||||||||||||||||
| 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 | ) | 1,905 | 0.90 | 2.14 | 1.04 | 52 | |||||||||||||||||||
| 29.02 | (18.23 | ) | 8,596 | 0.90 | 1.45 | 0.91 | 69 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE 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 | ||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2012 | $ | 22.38 | $ | (0.06 | )(e) | $ | 1.32 | $ | 1.26 | $ | — | |||||||||
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 | 2.48 | — | ||||||||||||||
Year Ended June 30, 2009 | 19.50 | 0.01 | (e) | (6.11 | ) | (6.10 | ) | (0.02 | ) | |||||||||||
Year Ended June 30, 2008 | 18.67 | (0.07 | )(e) | 0.90 | 0.83 | — | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2012 | 19.93 | (0.15 | )(e) | 1.18 | 1.03 | — | ||||||||||||||
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 | 2.15 | — | ||||||||||||||
Year Ended June 30, 2009 | 17.65 | (0.07 | )(e) | (5.52 | ) | (5.59 | ) | (0.01 | ) | |||||||||||
Year Ended June 30, 2008 | 16.99 | (0.16 | )(e) | 0.82 | 0.66 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2012 | 19.77 | (0.15 | )(e) | 1.17 | 1.02 | — | ||||||||||||||
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 | 2.14 | — | ||||||||||||||
Year Ended June 30, 2009 | 17.50 | (0.06 | )(e) | (5.48 | ) | (5.54 | ) | (0.01 | ) | |||||||||||
Year Ended June 30, 2008 | 16.84 | (0.16 | )(e) | 0.82 | 0.66 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2012 | 22.24 | (0.12 | )(e) | 1.32 | 1.20 | — | (f) | |||||||||||||
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 | 2.44 | — | ||||||||||||||
November 3, 2008 (g) through June 30, 2009 | 13.68 | 0.01 | (e) | (0.31 | ) | (0.30 | ) | (0.01 | ) | |||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2012 | 22.39 | 0.04 | (e) | 1.32 | 1.36 | (0.01 | ) | |||||||||||||
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 | 2.53 | — | ||||||||||||||
April 14, 2009 (g) through June 30, 2009 | 12.47 | 0.01 | (e) | 0.81 | 0.82 | (0.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2012 | 22.40 | 0.05 | (e) | 1.33 | 1.38 | (0.02 | ) | |||||||||||||
November 30, 2010 (g) through June 30, 2011 | 19.94 | 0.03 | (e) | 2.43 | 2.46 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2012 | 22.31 | (0.01 | )(e) | 1.31 | 1.30 | — | (f) | |||||||||||||
Year Ended June 30, 2011 | 15.79 | — | (e)(f) | 6.52 | 6.52 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.28 | — | (e)(f) | 2.51 | 2.51 | — | ||||||||||||||
Year Ended June 30, 2009 | 19.33 | 0.04 | (e) | (6.06 | ) | (6.02 | ) | (0.03 | ) | |||||||||||
Year Ended June 30, 2008 | 18.46 | (0.02 | )(e) | 0.89 | 0.87 | — | ||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 23.64 | 5.63 | % | $ | 1,660,335 | 1.09 | % | (0.25 | )% | 1.15 | % | 28 | % | |||||||||||||
| 22.38 | 41.11 | 328,012 | 1.11 | (0.19 | ) | 1.23 | 84 | |||||||||||||||||||
| 15.86 | 18.54 | 174,585 | 1.24 | (0.27 | ) | 1.31 | 61 | |||||||||||||||||||
| 13.38 | (31.26 | ) | 160,168 | 1.24 | 0.05 | 1.45 | 124 | |||||||||||||||||||
| 19.50 | 4.45 | 251,333 | 1.24 | (0.36 | ) | 1.28 | 52 | |||||||||||||||||||
| 20.96 | 5.17 | 12,170 | 1.59 | (0.75 | ) | 1.65 | 28 | |||||||||||||||||||
| 19.93 | 40.35 | 18,374 | 1.62 | (0.70 | ) | 1.74 | 84 | |||||||||||||||||||
| 14.20 | 17.84 | 20,842 | 1.77 | (0.80 | ) | 1.82 | 61 | |||||||||||||||||||
| 12.05 | (31.69 | ) | 26,025 | 1.78 | (0.52 | ) | 1.93 | 124 | ||||||||||||||||||
| 17.65 | 3.88 | 60,623 | 1.77 | (0.88 | ) | 1.78 | 52 | |||||||||||||||||||
| 20.79 | 5.16 | 205,723 | 1.59 | (0.75 | ) | 1.65 | 28 | |||||||||||||||||||
| 19.77 | 40.31 | 31,181 | 1.60 | (0.68 | ) | 1.71 | 84 | |||||||||||||||||||
| 14.09 | 17.91 | 6,588 | 1.77 | (0.80 | ) | 1.81 | 61 | |||||||||||||||||||
| 11.95 | (31.67 | ) | 5,996 | 1.78 | (0.50 | ) | 1.94 | 124 | ||||||||||||||||||
| 17.50 | 3.92 | 12,465 | 1.77 | (0.88 | ) | 1.78 | 52 | |||||||||||||||||||
| 23.44 | 5.41 | 85,913 | 1.34 | (0.50 | ) | 1.39 | 28 | |||||||||||||||||||
| 22.24 | 40.67 | 626 | 1.34 | (0.50 | ) | 1.42 | 84 | |||||||||||||||||||
| 15.81 | 18.25 | 58 | 1.48 | (0.52 | ) | 1.56 | 61 | |||||||||||||||||||
| 13.37 | (2.16 | ) | 49 | 1.49 | 0.16 | 1.80 | 124 | |||||||||||||||||||
| 23.74 | 6.10 | 584,866 | 0.69 | 0.16 | 0.70 | 28 | ||||||||||||||||||||
| 22.39 | 41.62 | 53,668 | 0.71 | 0.22 | 0.76 | 84 | ||||||||||||||||||||
| 15.81 | 19.05 | 10,618 | 0.78 | 0.20 | 0.85 | 61 | ||||||||||||||||||||
| 13.28 | 6.56 | 53 | 0.79 | 0.19 | 1.17 | 124 | ||||||||||||||||||||
| 23.76 | 6.15 | 1,047,184 | 0.63 | 0.20 | 0.64 | 28 | ||||||||||||||||||||
| 22.40 | 12.34 | 30,386 | 0.63 | 0.25 | 0.65 | 84 | ||||||||||||||||||||
| 23.61 | 5.85 | 3,320,683 | 0.89 | (0.04 | ) | 0.90 | 28 | |||||||||||||||||||
| 22.31 | 41.29 | 1,463,752 | 0.91 | (0.01 | ) | 0.95 | 84 | |||||||||||||||||||
| 15.79 | 18.90 | 300,304 | 0.99 | (0.02 | ) | 1.07 | 61 | |||||||||||||||||||
| 13.28 | (31.13 | ) | 335,992 | 0.99 | 0.29 | 1.19 | 124 | |||||||||||||||||||
| 19.33 | 4.71 | 581,830 | 0.99 | (0.10 | ) | 1.03 | 52 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 11.45 | $ | 0.11 | (e) | $ | (0.43 | ) | $ | (0.32 | ) | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | |||||||||
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) | (2.54 | ) | (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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.28 | 0.05 | (e) | (0.42 | ) | (0.37 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
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) | (2.50 | ) | (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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.22 | 0.05 | (e) | (0.41 | ) | (0.36 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||
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) | (2.50 | ) | (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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.42 | 0.08 | (e) | (0.42 | ) | (0.34 | ) | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||
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 (f) through June 30, 2009 | 8.10 | 0.11 | (e) | 0.02 | 0.13 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.34 | 0.14 | (e) | (0.41 | ) | (0.27 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||
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) | (2.54 | ) | (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 | ) | |||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.34 | 0.15 | (e) | (0.42 | ) | (0.27 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||
November 30, 2010 (f) through June 30, 2011 | 10.19 | 0.10 | (e) | 1.17 | 1.27 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.30 | 0.12 | (e) | (0.41 | ) | (0.29 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||
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) | (2.51 | ) | (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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 11.02 | (2.75 | )% | $ | 25,789 | 0.95 | % | 1.00 | % | 1.06 | % | 144 | % | |||||||||||||
| 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 | ) | 20,557 | 1.16 | 2.17 | 1.17 | 108 | |||||||||||||||||||
| 10.66 | (23.52 | ) | 31,227 | 1.09 | 1.39 | 1.09 | 93 | |||||||||||||||||||
| 10.86 | (3.22 | ) | 1,442 | 1.45 | 0.51 | 1.57 | 144 | |||||||||||||||||||
| 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 | ) | 3,858 | 1.66 | 1.61 | 1.67 | 108 | |||||||||||||||||||
| 10.52 | (24.04 | ) | 7,337 | 1.59 | 0.89 | 1.59 | 93 | |||||||||||||||||||
| 10.80 | (3.17 | ) | 3,215 | 1.45 | 0.50 | 1.56 | 144 | |||||||||||||||||||
| 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 | ) | 1,551 | 1.66 | 1.67 | 1.67 | 108 | |||||||||||||||||||
| 10.47 | (24.06 | ) | 2,830 | 1.59 | 0.89 | 1.59 | 93 | |||||||||||||||||||
| 10.99 | (2.97 | ) | 142 | 1.20 | 0.76 | 1.31 | 144 | |||||||||||||||||||
| 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 | 51 | 1.46 | 2.29 | 1.47 | 108 | ||||||||||||||||||||
| 10.92 | (2.34 | ) | 25,965 | 0.59 | 1.36 | 0.61 | 144 | |||||||||||||||||||
| 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 | ) | 57 | 0.70 | 3.04 | 0.70 | 108 | |||||||||||||||||||
| 10.52 | (23.36 | ) | 30,165 | 0.64 | 1.87 | 0.64 | 93 | |||||||||||||||||||
| 10.92 | (2.30 | ) | 11,269 | 0.54 | 1.41 | 0.56 | 144 | |||||||||||||||||||
| 11.34 | 12.50 | 11,006 | 0.54 | 1.48 | 0.55 | 65 | ||||||||||||||||||||
| 10.88 | (2.54 | ) | 567,551 | 0.79 | 1.16 | 0.81 | 144 | |||||||||||||||||||
| 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 | ) | 351,537 | 0.91 | 2.44 | 0.92 | 108 | |||||||||||||||||||
| 10.53 | (23.43 | ) | 508,456 | 0.84 | 1.66 | 0.84 | 93 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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, 2012 | $ | 10.65 | $ | 0.10 | (e) | $ | 0.13 | $ | 0.23 | $ | (0.09 | ) | $ | (0.06 | ) | $ | (0.15 | ) | ||||||||||
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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.51 | 0.04 | (e) | 0.14 | 0.18 | (0.04 | ) | (0.06 | ) | (0.10 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.47 | 0.04 | (e) | 0.15 | 0.19 | (0.05 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.62 | 0.07 | (e) | 0.13 | 0.20 | (0.07 | ) | (0.06 | ) | (0.13 | ) | |||||||||||||||||
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 (f) 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, 2012 | 10.66 | 0.14 | (e) | 0.14 | 0.28 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.67 | 0.14 | (e) | 0.14 | 0.28 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
November 30, 2010 (f) through June 30, 2011 | 9.59 | 0.07 | (e) | 1.10 | 1.17 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.66 | 0.13 | (e) | 0.14 | 0.27 | (0.12 | ) | (0.06 | ) | (0.18 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.65 | 0.12 | (e) | 0.14 | 0.26 | (0.11 | ) | (0.06 | ) | (0.17 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.73 | 2.27 | % | $ | 662,367 | 0.97 | % | 0.93 | % | 1.08 | % | 83 | % | |||||||||||||
| 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 | ) | 120,365 | 1.05 | 0.91 | 1.07 | 103 | |||||||||||||||||||
| 10.59 | 1.74 | 4,979 | 1.47 | 0.43 | 1.58 | 83 | ||||||||||||||||||||
| 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 | ) | 12,548 | 1.57 | 0.38 | 1.57 | 103 | |||||||||||||||||||
| 10.55 | 1.83 | 75,962 | 1.47 | 0.43 | 1.58 | 83 | ||||||||||||||||||||
| 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 | ) | 8,589 | 1.57 | 0.40 | 1.57 | 103 | |||||||||||||||||||
| 10.69 | 2.00 | 31,686 | 1.22 | 0.68 | 1.32 | 83 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 10.75 | 2.72 | 335,220 | 0.59 | 1.32 | 0.63 | 83 | ||||||||||||||||||||
| 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 | ) | 96,194 | 0.59 | 1.42 | 0.62 | 103 | |||||||||||||||||||
| 10.76 | 2.76 | 1,114,492 | 0.54 | 1.38 | 0.57 | 83 | ||||||||||||||||||||
| 10.67 | 12.17 | 549,478 | 0.54 | 1.15 | 0.57 | 69 | ||||||||||||||||||||
| 10.75 | 2.67 | 610,670 | 0.64 | 1.25 | 0.68 | 83 | ||||||||||||||||||||
| 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 | ) | 249,806 | 0.64 | 1.33 | 0.67 | 103 | |||||||||||||||||||
| 10.74 | 2.52 | 3,617,633 | 0.79 | 1.12 | 0.83 | 83 | ||||||||||||||||||||
| 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 | ) | 987,949 | 0.79 | 1.17 | 0.82 | 103 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 73 | ||||||
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AS OF JUNE 30, 2012
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
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, Class R6 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.
Class R6 Shares commenced operations on January 31, 2012 for Equity Income Fund.
Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares for the Disciplined Equity Fund.
The investment objective of the Disciplined Equity Fund is to seek 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.
The investment objective of the Dynamic Growth Fund is to seek long-term capital growth.
The investment objective of the Equity Income Fund is to seek current income through regular payment of dividends with the secondary goal of achieving capital appreciation by investing primarily in equity securities.
The investment objective of the Growth and Income Fund is to seek to provide capital growth over the long-term and earn income from dividends.
The investment objective of the Large Cap Growth Fund is to seek long-term capital appreciation and growth of income by investing primarily in equity securities.
The investment objective of the Large Cap Value Fund is to seek capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.
The investment objective of the U.S. Equity Fund is to seek to provide high total return from a portfolio of selected equity securities.
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 automatically convert to Class A Shares.
Class A Shares generally provide for a front-end sales charge while Class B and Class C Shares provide for a contingent deferred sales charge (“CDSC”). Class B Shares automatically convert to Class A Shares after eight years. No sales charges are assessed with respect to the Class R2, Class R5, Class R6, Institutional Class and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges except that each class may bear different distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Trusts in the preparation of their financial statements. The policies are in accordance with accounting principles generally accepted in the United States of America. The preparation of financial statements requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of income and expenses for the period. Actual results could differ from those estimates.
A. Valuation of Investments — Equity securities listed on a North American, Central American, South American or Caribbean securities exchange shall generally be valued at the last sale price on the exchange on which the security is principally traded that is reported before the time when the
| 74 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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net assets of the Funds are valued. The value of securities listed on The NASDAQ Stock Market LLC shall generally be the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) , a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., (“JPMAM”) which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Office. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 75 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The following tables represent each valuation input by sector as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):
Disciplined Equity Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,240,493 | $ | 1,427 | $ | — | $ | 1,241,920 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 665 | $ | — | $ | — | $ | 665 | ||||||||
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| Dynamic Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 37,128 | $ | 2,107 | $ | — | $ | 39,235 | ||||||||
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| Equity Income Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 2,221,068 | $ | — | $ | — | $ | 2,221,068 | ||||||||
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| Growth and Income Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (c) | $ | 306,390 | $ | — | $ | — | $ | 306,390 | ||||||||
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| Large Cap Growth Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 6,574,898 | $ | 241,228 | $ | — | $ | 6,816,126 | ||||||||
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| Large Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 75,494 | $ | — | $ | — | $ | 75,494 | ||||||||
Consumer Staples | 22,028 | — | — | 22,028 | ||||||||||||
Energy | 106,023 | — | — | 106,023 | ||||||||||||
Financials | 171,397 | — | 2,686 | 174,083 | ||||||||||||
Health Care | 94,936 | — | — | 94,936 | ||||||||||||
Industrials | 64,266 | — | — | 64,266 | ||||||||||||
Information Technology | 69,279 | — | — | 69,279 | ||||||||||||
Materials | 4,686 | — | — | 4,686 | ||||||||||||
Telecommunication Services | 2,297 | — | — | 2,297 | ||||||||||||
Utilities | 20,836 | — | — | 20,836 | ||||||||||||
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Total Investments in Securities | $ | 631,242 | $ | — | $ | 2,686 | $ | 633,928 | ||||||||
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| 76 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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U.S. Equity Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 6,401,184 | $ | 22,706 | $ | — | $ | 6,423,890 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 2,307 | $ | — | $ | — | $ | 2,307 | ||||||||
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| (a) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of a U.S. Treasury Bill that is held for futures collateral. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of certain ADRs, the report values of which are an evaluated price. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (c) | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
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 6/30/11 | 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 6/30/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Common Stocks — Financials | $ | 2,306 | $ | — | $ | 380 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2,686 | ||||||||||||||||||
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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, 2012, which were valued using significant unobservable inputs (Level 3) was approximately $380,000 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.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. 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. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.
The following is the value and percentage of net assets of illiquid securities as of June 30, 2012 (amounts in thousands):
| Value | Percentage | |||||||
Large Cap Value Fund | $ | 2,686 | 0.4 | % | ||||
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 also 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 the futures contract. 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, 2012 | J.P. MORGAN LARGE CAP FUNDS | 77 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (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 Funds’ futures contracts activity during the year ended June 30, 2012 (amounts in thousands):
| Disciplined Equity Fund | U.S. Equity Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 13,909 | $ | 49,681 | ||||
Ending Notional Balance Long | 19,397 | 78,061 | ||||||
D. Securities Lending — Each Fund (except Dynamic Growth Fund) may lend securities to brokers approved by the Advisor in order to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”), serves as lending agent for the 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 “GSAL Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Disciplined Equity Fund | $ | — | (a) | |
Equity Income Fund | 1 | |||
Large Cap Growth Fund | — | (a) | ||
Large Cap Value Fund | — | (a) | ||
U.S. Equity Fund | 3 |
| (a) | Amount rounds to less than $1,000. |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. The Funds did not have any securities out on loan at June 30, 2012.
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GSAL has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Disciplined Equity Fund | $ | — | (a) | |
Equity Income Fund | 1 | |||
Large Cap Growth Fund | — | (a) | ||
Large Cap Value Fund | — | (a) | ||
U.S. Equity Fund | 3 |
| (a) | Amount rounds to less than $1,000. |
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These amounts offset the administration fees and shareholder servicing fees incurred by JPMorgan Prime Money Market Fund related to the Funds’ investment in such fund. A portion of the waiver is voluntary.
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income 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 Fund’s Federal tax returns for the prior three fiscal years remain 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 generally declared and paid annually, and the Equity Income Fund, which are generally 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 Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) On Investments | ||||||||||
Disciplined Equity Fund | $ | 586 | $ | (213 | ) | $ | (373 | ) | ||||
Dynamic Growth Fund | (94 | ) | 94 | — | ||||||||
Equity Income Fund | (1 | ) | (1,721 | ) | 1,722 | |||||||
Large Cap Growth Fund | (1,123 | ) | 226 | 897 | ||||||||
Large Cap Value Fund | (1 | ) | 153 | (152 | ) | |||||||
U.S. Equity Fund | (2 | ) | (197 | ) | 199 | |||||||
The reclassifications for the Funds relate primarily to distributions from investments in real estate investment trusts (Disciplined Equity Fund and U.S. Equity Fund), expiration of capital loss carryforwards (Disciplined Equity Fund and Large Cap Growth Fund), net operating loss (Dynamic Growth Fund), investments in partnerships (Equity Income Fund, Large Cap Value Fund and U.S. Equity Fund) and taxable overdistributions (Large Cap Growth Fund).
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
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, the Administrator, provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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, 2012, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Disciplined Equity Fund | $ | 2 | $ | — | ||||
Equity Income Fund | 266 | 14 | ||||||
Growth and Income Fund | 23 | 2 | ||||||
Large Cap Growth Fund | 278 | 7 | ||||||
Large Cap Value Fund | 5 | — | (a) | |||||
U.S. Equity Fund | 177 | 7 | ||||||
| (a) | Amount rounds to less than $1,000. |
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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 to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | Institutional Class | Select Class | |||||||||||||||||||||||||
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 | 0.54 | 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 | ||||||||||||||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2012. The contractual expense limitation percentages in the table above are in place until at least October 31, 2012.
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Disciplined Equity Fund | $ | — | $ | 295 | $ | — | $ | 295 | ||||||||
Dynamic Growth Fund | 40 | 14 | 20 | 74 | ||||||||||||
Equity Income Fund | 281 | 176 | — | 457 | ||||||||||||
Growth and Income Fund | — | — | 3 | 3 | ||||||||||||
Large Cap Growth Fund | — | — | 407 | 407 | ||||||||||||
Large Cap Value Fund | — | 120 | 27 | 147 | ||||||||||||
U.S. Equity Fund | 1,155 | 716 | 418 | 2,289 | ||||||||||||
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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2012 was as follows (excluding the waiver disclosed in Note 2.D. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):
Disciplined Equity Fund | $ | 29 | ||
Dynamic Growth Fund | 3 | |||
Equity Income Fund | 73 | |||
Growth and Income Fund | 13 | |||
Large Cap Growth Fund | 347 | |||
Large Cap Value Fund | 14 | |||
U.S. Equity Fund | 205 |
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 Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the year ended June 30, 2012, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Disciplined Equity Fund | $ | 2,154,945 | $ | 1,678,712 | $ | — | $ | 500 | ||||||||
Dynamic Growth Fund | 37,307 | 43,123 | — | — | ||||||||||||
Equity Income Fund | 2,141,542 | 549,641 | — | — | ||||||||||||
Growth and Income Fund | 82,921 | 101,927 | — | — | ||||||||||||
Large Cap Growth Fund | 5,573,281 | 1,041,898 | — | — | ||||||||||||
Large Cap Value Fund | 910,310 | 923,252 | — | — | ||||||||||||
U.S. Equity Fund | 5,831,891 | 4,385,666 | — | 3,211 | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Disciplined Equity Fund | $ | 1,142,238 | $ | 117,715 | $ | 18,033 | $ | 99,682 | ||||||||
Dynamic Growth Fund | 34,523 | 5,395 | 683 | 4,712 | ||||||||||||
Equity Income Fund | 2,024,301 | 217,637 | 20,870 | 196,767 | ||||||||||||
Growth and Income Fund | 222,762 | 88,710 | 5,082 | 83,628 | ||||||||||||
Large Cap Growth Fund | 6,436,842 | 593,630 | 214,346 | 379,284 | ||||||||||||
Large Cap Value Fund | 581,144 | 73,976 | 21,192 | 52,784 | ||||||||||||
U.S. Equity Fund | 5,653,285 | 918,538 | 147,933 | 770,605 | ||||||||||||
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).
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The tax character of distributions paid during the fiscal year ended June 30, 2012, was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Disciplined Equity Fund | $ | 14,185 | $ | — | $ | 14,185 | ||||||
Equity Income Fund | 28,620 | 4,821 | 33,441 | |||||||||
Growth and Income Fund | 3,661 | — | 3,661 | |||||||||
Large Cap Growth Fund | 691 | — | 691 | |||||||||
Large Cap Value Fund | 7,480 | — | 7,480 | |||||||||
U.S. Equity Fund | 59,378 | 28,637 | 88,015 | |||||||||
The tax character of distributions paid during the fiscal year ended June 30, 2011, was as follows (amounts in thousands):
Ordinary Income | Total Distributions Paid | |||||||
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 | ||||||
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Disciplined Equity Fund | $ | 555 | $ | 17,676 | $ | 99,682 | ||||||
Dynamic Growth Fund | — | (2,859 | ) | 4,712 | ||||||||
Equity Income Fund | 5,314 | 10,978 | 196,767 | |||||||||
Growth and Income Fund | 138 | (81,727 | ) | 83,628 | ||||||||
Large Cap Growth Fund | — | (89,736 | ) | 379,284 | ||||||||
Large Cap Value Fund | 1,574 | (95,910 | ) | 52,784 | ||||||||
U.S. Equity Fund | 6,561 | 75,669 | 770,605 | |||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, trustee deferred compensation (Disciplined Equity Fund and Growth and Income Fund), distributions payable (Disciplined Equity Fund, Equity Income Fund, Growth and Income Fund, Large Cap Value Fund and U.S. Equity Fund), post-October loss deferrals (Dynamic Growth Fund and Large Cap Growth Fund), late-year loss deferred (Dynamic Growth Fund and Large Cap Growth Fund), partnership basis outstanding (Equity Income Fund) and outstanding basis from RIC (regulated investment company) conversion (Growth and Income Fund).
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the following Funds had post-enactment net capital loss carryforwards (amounts in thousands):
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
Dynamic Growth Fund | $ | 1,950 | $ | — | ||||
Large Cap Growth Fund | 36,940 | 3,625 | ||||||
As of June 30, 2012, the following Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | 2018 | 2019 | Total | |||||||||||||
Dynamic Growth Fund | $ | 473 | $ | 436 | $ | — | (a) | 909 | ||||||||
Growth and Income Fund | 5,691 | 76,036 | — | 81,727 | ||||||||||||
Large Cap Growth Fund | — | 49,171 | — | 49,171 | ||||||||||||
Large Cap Value Fund | 9,758 | 86,152 | — | 95,910 | ||||||||||||
| (a) | Amount rounds to less than $1,000. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
During the year ended June 30, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Disciplined Equity Fund | $ | 7,465 | ||
Growth and Income Fund | 9,429 | |||
Large Cap Value Fund | 34,614 |
During the year ended June 30, 2012, the Funds had expired capital loss carryforwards as follows (amounts in thousands):
Large Cap Growth Fund (a) | $ | 896 |
| (a) | Acquired from JPMorgan Equity Growth Fund. |
Net capital losses and net specified gains (losses) incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2012, the Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
Late Year Ordinary | Short-Term | Long-Term | ||||||||||
Dynamic Growth Fund | $ | 122 | $ | 733 | $ | — | ||||||
Large Cap Growth Fund | 2,993 | 66,416 | 6,965 | |||||||||
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for Equity Income Fund and Large Cap Growth 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 | |||||||
Disciplined Equity Fund | n/a | 79.0 | % | |||||
Dynamic Growth Fund | 86.7 | % | n/a | |||||
Large Cap Value Fund | 87.9 | n/a | ||||||
U.S. Equity Fund | 14.8 | n/a | ||||||
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and the Shareholders of 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 and JPMorgan U.S. Equity 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 Dynamic Growth Fund, JPMorgan Growth and Income Fund and JPMorgan U.S. Equity Fund (each a separate fund of JPMorgan Trust I) and 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, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 85 | ||||||
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). | 169 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 169 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 169 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 169 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). | |||
| 86 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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). | 169 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 169 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (169 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2012 | J.P. MORGAN LARGE CAP FUNDS | 87 | ||||||
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. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
| Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| 88 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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 fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012 and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Disciplined Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,095.80 | $ | 4.43 | 0.85 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.64 | 4.27 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,098.90 | 1.83 | 0.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.12 | 1.76 | 0.35 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,098.40 | 2.35 | 0.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.63 | 2.26 | 0.45 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,097.40 | 3.13 | 0.60 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Dynamic Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,127.70 | 6.56 | 1.24 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,125.30 | 9.19 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,130.30 | 4.18 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,128.50 | 5.24 | 0.99 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
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Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,074.20 | $ | 5.31 | 1.03 | % | ||||||||
Hypothetical* | 1,000.00 | 1,019.74 | 5.17 | 1.03 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,071.00 | 7.88 | 1.53 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.26 | 7.67 | 1.53 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,071.50 | 7.88 | 1.53 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.26 | 7.67 | 1.53 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,072.80 | 6.65 | 1.29 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.45 | 6.47 | 1.29 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,076.50 | 2.99 | 0.58 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.98 | 2.92 | 0.58 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,044.70 | 2.24 | 0.53 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.23 | 2.66 | 0.53 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,074.40 | 4.02 | 0.78 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
Growth and Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,106.60 | 6.13 | 1.17 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.05 | 5.87 | 1.17 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,103.90 | 8.74 | 1.67 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.56 | 8.37 | 1.67 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,103.80 | 8.74 | 1.67 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.56 | 8.37 | 1.67 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,108.30 | 4.61 | 0.88 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.49 | 4.42 | 0.88 | ||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,099.00 | 5.69 | 1.09 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.44 | 5.47 | 1.09 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,096.80 | 8.29 | 1.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.96 | 7.97 | 1.59 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,096.50 | 8.29 | 1.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.96 | 7.97 | 1.59 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,097.90 | 6.99 | 1.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 6.72 | 1.34 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,101.60 | 3.55 | 0.68 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.48 | 3.42 | 0.68 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,101.50 | 3.29 | 0.63 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.73 | 3.17 | 0.63 | ||||||||||||
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Table of Contents
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Large Cap Growth Fund (continued) | ||||||||||||||||
Select Class | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,100.20 | $ | 4.60 | 0.88 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.49 | 4.42 | 0.88 | ||||||||||||
Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,061.60 | 4.87 | 0.95 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,058.60 | 7.42 | 1.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,059.50 | 7.42 | 1.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,060.70 | 6.15 | 1.20 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,063.10 | 2.98 | 0.58 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.98 | 2.92 | 0.58 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,063.40 | 2.72 | 0.53 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.23 | 2.66 | 0.53 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,062.30 | 4.00 | 0.78 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.98 | 3.92 | 0.78 | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,088.20 | 5.04 | 0.97 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.04 | 4.87 | 0.97 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,085.30 | 7.62 | 1.47 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.55 | 7.37 | 1.47 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,086.20 | 7.62 | 1.47 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.55 | 7.37 | 1.47 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,087.80 | 6.33 | 1.22 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.80 | 6.12 | 1.22 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,091.10 | 3.07 | 0.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.93 | 2.97 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,091.20 | 2.81 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.18 | 2.72 | 0.54 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,090.80 | 3.33 | 0.64 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.68 | 3.22 | 0.64 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,090.10 | 4.11 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 151/366 (to reflect the actual period). Commencement of offering of class of shares was January 31, 2012. |
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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, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
| Dividends Received Deduction | ||||
Disciplined Equity Fund | 100.00 | % | ||
Equity Income Fund | 100.00 | |||
Growth and Income Fund | 100.00 | |||
Large Cap Growth Fund | 100.00 | |||
Large Cap Value Fund | 100.00 | |||
U.S. Equity Fund | 100.00 | |||
Long Term Capital Gain Designation — 15%
Each Fund hereby designates the following amount as long-term capital gain distributions for the purpose of the dividend paid deduction on its respective tax return for the fiscal year ended June 30, 2012 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Equity Income Fund | $ | 4,821 | ||
U.S. Equity Fund | 28,637 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Disciplined Equity Fund | $ | 14,185 | ||
Equity Income Fund | 28,620 | |||
Growth and Income Fund | 3,661 | |||
Large Cap Growth Fund | 691 | |||
Large Cap Value Fund | 7,480 | |||
U.S. Equity Fund | 59,378 | |||
| 92 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2012 | ||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2012. All rights reserved. June 2012. | AN-LCE-612 |
Table of Contents
Annual Report
J.P. Morgan Equity Funds
June 30, 2012
JPMorgan Equity Index Fund
JPMorgan Market Expansion Index Fund
Table of Contents
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative 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.
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JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
 |
“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. stocks outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks. U.S. large-cap growth stocks outperformed U.S.
large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 1 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 5.26% | |||
| S&P 500 Index | 5.45% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 1,770,211 | ||
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) performed in line with the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2012. 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.
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk triggered a decline in stock prices in the third quarter of 2011 and the second quarter of 2012. Nonetheless, the Benchmark returned 5.45% for the twelve months ended June 30, 2012.
Performance among sectors in the Benchmark varied during the reporting period. The energy and materials sectors posted negative returns and were the worst performers, while the utilities and consumer staples sectors produced positive returns and were the strongest performing sectors.
HOW WAS THE FUND POSITIONED?
Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Apple, Inc. | 4.4 | % | |||||
| 2. | Exxon Mobil Corp. | 3.2 | ||||||
| 3. | Microsoft Corp. | 1.9 | ||||||
| 4. | International Business Machines Corp. | 1.8 | ||||||
| 5. | General Electric Co. | 1.8 | ||||||
| 6. | AT&T, Inc. | 1.7 | ||||||
| 7. | Chevron Corp. | 1.7 | ||||||
| 8. | Johnson & Johnson | 1.5 | ||||||
| 9. | Wells Fargo & Co. | 1.4 | ||||||
| 10. | Coca-Cola Co. (The) | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 19.7 | % | ||
| Financials | 14.4 | |||
| Health Care | 11.9 | |||
| Consumer Staples | 11.3 | |||
| Consumer Discretionary | 10.9 | |||
| Energy | 10.8 | |||
| Industrials | 10.4 | |||
| Utilities | 3.7 | |||
| Materials | 3.4 | |||
| Telecommunication Services | 3.2 | |||
| Short-Term Investment | 0.3 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The 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 as of June 30, 2012. The Fund’s composition is subject to change. |
| 2 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 02/18/92 | |||||||||||||||
Without Sales Charge | 5.00 | % | (0.17 | )% | 4.86 | % | ||||||||||
With Sales Charge* | (0.51 | ) | (1.24 | ) | 4.30 | |||||||||||
CLASS B SHARES | 01/14/94 | |||||||||||||||
Without CDSC | 4.20 | (0.92 | ) | 4.23 | ||||||||||||
With CDSC** | (0.80 | ) | (1.33 | ) | 4.23 | |||||||||||
CLASS C SHARES | 11/04/97 | |||||||||||||||
Without CDSC | 4.21 | (0.91 | ) | 4.08 | ||||||||||||
With CDSC*** | 3.21 | (0.91 | ) | 4.08 | ||||||||||||
SELECT CLASS SHARES | 07/02/91 | 5.26 | 0.08 | 5.13 | ||||||||||||
| * | 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 (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 3 | ||||||
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JPMorgan Market Expansion Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -1.96% | |||
| S&P 1000 Index | -1.21% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 1,183,572 | ||
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, 2012. The Benchmark is a blend of the S&P SmallCap 600 Index and the S&P MidCap 400 Index.
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk triggered a decline in stock prices in the third quarter of 2011 and the second quarter of 2012. This decline was more pronounced among small- and mid-cap stocks versus large-cap stocks, which caused the Benchmark to finish the twelve months ended June 30, 2012 with a 1.21% loss.
There were two principal drivers to the Fund’s portfolio managers’ stock selection process: valuation (how a stock is priced relative to what the Fund’s portfolio managers believe is 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 a top-down approach, which focuses on economic, sector, and market data to guide stock selection). The Fund’s stock selection in the financials and consumer non-durables sectors was the main detractor from relative performance. The Fund’s stock selection in the consumer capital spending and biotechnology sectors contributed to relative performance.
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. The Fund’s portfolio managers took
modestly active positions in individual stocks, generally 10 to 25 basis points greater or lesser than the Benchmark. Looking at valuation and fundamentals, the Fund’s portfolio managers overweighted what they believed were attractively priced stocks with improving fundamentals and underweighted what they believed were expensive stocks with deteriorating fundamentals based on their stock selection process.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | HollyFrontier Corp. | 0.7 | % | |||||
| 2. | PetSmart, Inc. | 0.7 | ||||||
| 3. | Alliance Data Systems Corp. | 0.7 | ||||||
| 4. | Foot Locker, Inc. | 0.6 | ||||||
| 5. | Vertex Pharmaceuticals, Inc. | 0.6 | ||||||
| 6. | Questcor Pharmaceuticals, Inc. | 0.6 | ||||||
| 7. | Everest Re Group Ltd., (Bermuda) | 0.5 | ||||||
| 8. | J.B. Hunt Transport Services, Inc. | 0.5 | ||||||
| 9. | AMETEK, Inc. | 0.5 | ||||||
| 10. | AGCO Corp. | 0.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Financials | 20.7 | % | ||
| Information Technology | 16.6 | |||
| Industrials | 15.7 | |||
| Consumer Discretionary | 14.1 | |||
| Health Care | 10.3 | |||
| Materials | 6.2 | |||
| Energy | 5.2 | |||
| Utilities | 4.4 | |||
| Consumer Staples | 4.3 | |||
| Others (each less than 1.0%) | 0.6 | |||
| Short-Term Investments | 1.9 | |||
| * | 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. |
| *** | “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 (excluding Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| 4 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 07/31/98 | |||||||||||||||
Without Sales Charge | (2.22 | )% | 0.97 | % | 7.40 | % | ||||||||||
With Sales Charge* | (7.36 | ) | (0.11 | ) | 6.82 | |||||||||||
CLASS B SHARES | 07/31/98 | |||||||||||||||
Without CDSC | (2.98 | ) | 0.23 | 6.78 | ||||||||||||
With CDSC** | (7.98 | ) | (0.17 | ) | 6.78 | |||||||||||
CLASS C SHARES | 03/22/99 | |||||||||||||||
Without CDSC | (2.85 | ) | 0.25 | 6.61 | ||||||||||||
With CDSC*** | (3.85 | ) | 0.25 | 6.61 | ||||||||||||
CLASS R2 SHARES | 11/03/08 | (2.64 | ) | 0.60 | 7.01 | |||||||||||
SELECT CLASS SHARES | 07/31/98 | (1.96 | ) | 1.22 | 7.65 | |||||||||||
| * | 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 (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to its inception date are based on the performance of 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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the 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 gain distributions 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
incurred 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 $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 5 | ||||||
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JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.5% |
| ||||||
Consumer Discretionary — 10.9% |
| |||||||
Auto Components — 0.2% |
| |||||||
| 16 | BorgWarner, Inc. (a) | 1,076 | ||||||
| 35 | Goodyear Tire & Rubber Co. (The) (a) | 413 | ||||||
| 97 | Johnson Controls, Inc. | 2,698 | ||||||
|
| |||||||
| 4,187 | ||||||||
|
| |||||||
Automobiles — 0.4% |
| |||||||
| 546 | Ford Motor Co. | 5,239 | ||||||
| 33 | Harley-Davidson, Inc. | 1,515 | ||||||
|
| |||||||
| 6,754 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
| 22 | Genuine Parts Co. | 1,345 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% |
| |||||||
| 15 | Apollo Group, Inc., Class A (a) | 556 | ||||||
| 8 | DeVry, Inc. | 261 | ||||||
| 42 | H&R Block, Inc. | 672 | ||||||
|
| |||||||
| 1,489 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
| 65 | Carnival Corp. | 2,223 | ||||||
| 5 | Chipotle Mexican Grill, Inc. (a) | 1,724 | ||||||
| 18 | Darden Restaurants, Inc. | 932 | ||||||
| 42 | International Game Technology | 665 | ||||||
| 38 | Marriott International, Inc., Class A | 1,486 | ||||||
| 145 | McDonald’s Corp. | 12,877 | ||||||
| 109 | Starbucks Corp. | 5,789 | ||||||
| 28 | Starwood Hotels & Resorts Worldwide, Inc. | 1,500 | ||||||
| 21 | Wyndham Worldwide Corp. | 1,101 | ||||||
| 11 | Wynn Resorts Ltd. | 1,179 | ||||||
| 66 | Yum! Brands, Inc. | 4,247 | ||||||
|
| |||||||
| 33,723 | ||||||||
|
| |||||||
Household Durables — 0.3% |
| |||||||
| 40 | D.R. Horton, Inc. | 737 | ||||||
| 10 | Harman International Industries, Inc. | 399 | ||||||
| 20 | Leggett & Platt, Inc. | 424 | ||||||
| 23 | Lennar Corp., Class A | 720 | ||||||
| 41 | Newell Rubbermaid, Inc. | 753 | ||||||
| 48 | PulteGroup, Inc. (a) | 517 | ||||||
| 11 | Whirlpool Corp. | 676 | ||||||
|
| |||||||
| 4,226 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.0% |
| |||||||
| 52 | Amazon.com, Inc. (a) | 11,780 | ||||||
| 13 | Expedia, Inc. | 621 | ||||||
| 8 | NetFlix, Inc. (a) | 544 | ||||||
| 7 | priceline.com, Inc. (a) | 4,736 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — Continued |
| |||||||
| 14 | TripAdvisor, Inc. (a) | 609 | ||||||
|
| |||||||
| 18,290 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.1% |
| |||||||
| 17 | Hasbro, Inc. | 566 | ||||||
| 49 | Mattel, Inc. | 1,581 | ||||||
|
| |||||||
| 2,147 | ||||||||
|
| |||||||
Media — 3.4% |
| |||||||
| 31 | Cablevision Systems Corp., Class A | 407 | ||||||
| 93 | CBS Corp. (Non-Voting), Class B | 3,041 | ||||||
| 386 | Comcast Corp., Class A | 12,337 | ||||||
| 94 | DIRECTV, Class A (a) | 4,577 | ||||||
| 36 | Discovery Communications, Inc., Class A (a) | 1,971 | ||||||
| 34 | Gannett Co., Inc. | 495 | ||||||
| 63 | Interpublic Group of Cos., Inc. (The) | 688 | ||||||
| 40 | McGraw-Hill Cos., Inc. (The) | 1,802 | ||||||
| 302 | News Corp., Class A | 6,721 | ||||||
| 39 | Omnicom Group, Inc. | 1,896 | ||||||
| 13 | Scripps Networks Interactive, Inc., Class A | 754 | ||||||
| 45 | Time Warner Cable, Inc. | 3,672 | ||||||
| 137 | Time Warner, Inc. | 5,290 | ||||||
| 76 | Viacom, Inc., Class B | 3,552 | ||||||
| 256 | Walt Disney Co. (The) | 12,408 | ||||||
| 1 | Washington Post Co. (The), Class B | 257 | ||||||
|
| |||||||
| 59,868 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 9 | Big Lots, Inc. (a) | 372 | ||||||
| 33 | Dollar Tree, Inc. (a) | 1,786 | ||||||
| 17 | Family Dollar Stores, Inc. | 1,111 | ||||||
| 21 | J.C. Penney Co., Inc. | 489 | ||||||
| 34 | Kohl’s Corp. | 1,561 | ||||||
| 59 | Macy’s, Inc. | 2,031 | ||||||
| 23 | Nordstrom, Inc. | 1,139 | ||||||
| 5 | Sears Holdings Corp. (a) | 327 | ||||||
| 95 | Target Corp. | 5,507 | ||||||
|
| |||||||
| 14,323 | ||||||||
|
| |||||||
Specialty Retail — 2.0% |
| |||||||
| 12 | Abercrombie & Fitch Co., Class A | 403 | ||||||
| 6 | AutoNation, Inc. (a) | 210 | ||||||
| 4 | AutoZone, Inc. (a) | 1,400 | ||||||
| 33 | Bed Bath & Beyond, Inc. (a) | 2,056 | ||||||
| 40 | Best Buy Co., Inc. | 832 | ||||||
| 33 | CarMax, Inc. (a) | 847 | ||||||
| 19 | GameStop Corp., Class A | 342 | ||||||
| 48 | Gap, Inc. (The) | 1,303 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 6 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Specialty Retail — Continued |
| |||||||
| 219 | Home Depot, Inc. (The) | 11,609 | ||||||
| 35 | Limited Brands, Inc. | 1,471 | ||||||
| 168 | Lowe’s Cos., Inc. | 4,790 | ||||||
| 18 | O’Reilly Automotive, Inc. (a) | 1,512 | ||||||
| 32 | Ross Stores, Inc. | 2,017 | ||||||
| 99 | Staples, Inc. | 1,287 | ||||||
| 18 | Tiffany & Co. | 961 | ||||||
| 106 | TJX Cos., Inc. | 4,553 | ||||||
| 16 | Urban Outfitters, Inc. (a) | 440 | ||||||
|
| |||||||
| 36,033 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 41 | Coach, Inc. | 2,406 | ||||||
| 7 | Fossil, Inc. (a) | 570 | ||||||
| 52 | Nike, Inc., Class B | 4,607 | ||||||
| 9 | Ralph Lauren Corp. | 1,301 | ||||||
| 12 | V.F. Corp. | 1,653 | ||||||
|
| |||||||
| 10,537 | ||||||||
|
| |||||||
Total Consumer Discretionary | 192,922 | |||||||
|
| |||||||
Consumer Staples — 11.2% |
| |||||||
Beverages — 2.8% |
| |||||||
| 23 | Beam, Inc. | 1,410 | ||||||
| 14 | Brown-Forman Corp., Class B | 1,378 | ||||||
| 323 | Coca-Cola Co. (The) | 25,247 | ||||||
| 43 | Coca-Cola Enterprises, Inc. | 1,204 | ||||||
| 23 | Constellation Brands, Inc., Class A (a) | 629 | ||||||
| 30 | Dr. Pepper Snapple Group, Inc. | 1,327 | ||||||
| 22 | Molson Coors Brewing Co., Class B | 936 | ||||||
| 22 | Monster Beverage Corp. (a) | 1,571 | ||||||
| 224 | PepsiCo, Inc. | 15,817 | ||||||
|
| |||||||
| 49,519 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.4% |
| |||||||
| 62 | Costco Wholesale Corp. | 5,879 | ||||||
| 183 | CVS Caremark Corp. | 8,571 | ||||||
| 80 | Kroger Co. (The) | 1,862 | ||||||
| 34 | Safeway, Inc. | 624 | ||||||
| 84 | Sysco Corp. | 2,499 | ||||||
| 123 | Walgreen Co. | 3,653 | ||||||
| 247 | Wal-Mart Stores, Inc. | 17,220 | ||||||
| 23 | Whole Foods Market, Inc. | 2,229 | ||||||
|
| |||||||
| 42,537 | ||||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
| 94 | Archer-Daniels-Midland Co. | 2,782 | ||||||
| 25 | Campbell Soup Co. | 846 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — Continued |
| |||||||
| 59 | ConAgra Foods, Inc. | 1,542 | ||||||
| 26 | Dean Foods Co. (a) | 450 | ||||||
| 93 | General Mills, Inc. | 3,571 | ||||||
| 46 | H.J. Heinz Co. | 2,490 | ||||||
| 22 | Hershey Co. (The) | 1,568 | ||||||
| 20 | Hormel Foods Corp. | 597 | ||||||
| 16 | JM Smucker Co. (The) | 1,225 | ||||||
| 35 | Kellogg Co. | 1,741 | ||||||
| 254 | Kraft Foods, Inc., Class A | 9,800 | ||||||
| 19 | McCormick & Co., Inc. (Non-Voting) | 1,151 | ||||||
| 29 | Mead Johnson Nutrition Co. | 2,349 | ||||||
| 41 | Tyson Foods, Inc., Class A | 778 | ||||||
|
| |||||||
| 30,890 | ||||||||
|
| |||||||
Household Products — 2.1% |
| |||||||
| 19 | Clorox Co. (The) | 1,349 | ||||||
| 68 | Colgate-Palmolive Co. | 7,111 | ||||||
| 56 | Kimberly-Clark Corp. | 4,702 | ||||||
| 392 | Procter & Gamble Co. (The) | 24,021 | ||||||
|
| |||||||
| 37,183 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
| 62 | Avon Products, Inc. | 1,002 | ||||||
| 32 | Estee Lauder Cos., Inc. (The), Class A | 1,746 | ||||||
|
| |||||||
| 2,748 | ||||||||
|
| |||||||
Tobacco — 2.0% |
| |||||||
| 291 | Altria Group, Inc. | 10,063 | ||||||
| 19 | Lorillard, Inc. | 2,465 | ||||||
| 244 | Philip Morris International, Inc. | 21,301 | ||||||
| 47 | Reynolds American, Inc. | 2,129 | ||||||
|
| |||||||
| 35,958 | ||||||||
|
| |||||||
Total Consumer Staples | 198,835 | |||||||
|
| |||||||
Energy — 10.8% |
| |||||||
Energy Equipment & Services — 1.7% |
| |||||||
| 63 | Baker Hughes, Inc. | 2,579 | ||||||
| 35 | Cameron International Corp. (a) | 1,506 | ||||||
| 10 | Diamond Offshore Drilling, Inc. | 588 | ||||||
| 34 | FMC Technologies, Inc. (a) | 1,343 | ||||||
| 132 | Halliburton Co. | 3,751 | ||||||
| 15 | Helmerich & Payne, Inc. | 669 | ||||||
| 42 | Nabors Industries Ltd., (Bermuda) (a) | 598 | ||||||
| 61 | National Oilwell Varco, Inc. | 3,931 | ||||||
| 36 | Noble Corp., (Switzerland) (a) | 1,175 | ||||||
| 18 | Rowan Cos. plc, Class A (a) | 575 | ||||||
| 191 | Schlumberger Ltd. | 12,389 | ||||||
|
| |||||||
| 29,104 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Oil, Gas & Consumable Fuels — 9.1% |
| |||||||
| 32 | Alpha Natural Resources, Inc. (a) | 275 | ||||||
| 72 | Anadarko Petroleum Corp. | 4,733 | ||||||
| 56 | Apache Corp. | 4,916 | ||||||
| 30 | Cabot Oil & Gas Corp. | 1,183 | ||||||
| 95 | Chesapeake Energy Corp. | 1,763 | ||||||
| 282 | Chevron Corp. | 29,795 | ||||||
| 181 | ConocoPhillips | 10,114 | ||||||
| 33 | CONSOL Energy, Inc. | 985 | ||||||
| 56 | Denbury Resources, Inc. (a) | 845 | ||||||
| 58 | Devon Energy Corp. | 3,357 | ||||||
| 39 | EOG Resources, Inc. | 3,477 | ||||||
| 21 | EQT Corp. | 1,148 | ||||||
| 669 | Exxon Mobil Corp. | 57,271 | ||||||
| 44 | Hess Corp. | 1,891 | ||||||
| 72 | Kinder Morgan, Inc. | 2,329 | ||||||
| 101 | Marathon Oil Corp. | 2,581 | ||||||
| 49 | Marathon Petroleum Corp. | 2,191 | ||||||
| 28 | Murphy Oil Corp. | 1,398 | ||||||
| 19 | Newfield Exploration Co. (a) | 566 | ||||||
| 25 | Noble Energy, Inc. | 2,158 | ||||||
| 116 | Occidental Petroleum Corp. | 9,957 | ||||||
| 39 | Peabody Energy Corp. | 956 | ||||||
| 89 | Phillips 66 (a) | 2,975 | ||||||
| 18 | Pioneer Natural Resources Co. | 1,553 | ||||||
| 26 | QEP Resources, Inc. | 765 | ||||||
| 23 | Range Resources Corp. | 1,436 | ||||||
| 50 | Southwestern Energy Co. (a) | 1,591 | ||||||
| 93 | Spectra Energy Corp. | 2,715 | ||||||
| 15 | Sunoco, Inc. | 720 | ||||||
| 20 | Tesoro Corp. (a) | 501 | ||||||
| 79 | Valero Energy Corp. | 1,911 | ||||||
| 90 | Williams Cos., Inc. (The) | 2,581 | ||||||
| 28 | WPX Energy, Inc. (a) | 460 | ||||||
|
| |||||||
| 161,097 | ||||||||
|
| |||||||
Total Energy | 190,201 | |||||||
|
| |||||||
Financials — 14.3% |
| |||||||
Capital Markets — 1.8% |
| |||||||
| 31 | Ameriprise Financial, Inc. | 1,635 | ||||||
| 171 | Bank of New York Mellon Corp. (The) | 3,747 | ||||||
| 18 | BlackRock, Inc. | 3,115 | ||||||
| 155 | Charles Schwab Corp. (The) | 2,002 | ||||||
| 36 | E*TRADE Financial Corp. (a) | 293 | ||||||
| 13 | Federated Investors, Inc., Class B | 290 | ||||||
| 20 | Franklin Resources, Inc. | 2,256 | ||||||
| 70 | Goldman Sachs Group, Inc. (The) | 6,749 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — Continued |
| |||||||
| 64 | Invesco Ltd. | 1,450 | ||||||
| 18 | Legg Mason, Inc. | 474 | ||||||
| 218 | Morgan Stanley | 3,180 | ||||||
| 35 | Northern Trust Corp. | 1,588 | ||||||
| 70 | State Street Corp. | 3,122 | ||||||
| 37 | T. Rowe Price Group, Inc. | 2,299 | ||||||
|
| |||||||
| 32,200 | ||||||||
|
| |||||||
Commercial Banks — 2.9% |
| |||||||
| 100 | BB&T Corp. | 3,085 | ||||||
| 28 | Comerica, Inc. | 864 | ||||||
| 132 | Fifth Third Bancorp | 1,765 | ||||||
| 36 | First Horizon National Corp. | 313 | ||||||
| 124 | Huntington Bancshares, Inc. | 792 | ||||||
| 136 | KeyCorp | 1,056 | ||||||
| 18 | M&T Bank Corp. | 1,496 | ||||||
| 76 | PNC Financial Services Group, Inc. | 4,625 | ||||||
| 202 | Regions Financial Corp. | 1,365 | ||||||
| 77 | SunTrust Banks, Inc. | 1,866 | ||||||
| 271 | U.S. Bancorp | 8,719 | ||||||
| 761 | Wells Fargo & Co. | 25,433 | ||||||
| 26 | Zions Bancorp | 512 | ||||||
|
| |||||||
| 51,891 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
| 143 | American Express Co. | 8,342 | ||||||
| 83 | Capital One Financial Corp. | 4,540 | ||||||
| 76 | Discover Financial Services | 2,625 | ||||||
| 70 | SLM Corp. | 1,097 | ||||||
|
| |||||||
| 16,604 | ||||||||
|
| |||||||
Diversified Financial Services — 2.9% |
| |||||||
| 1,542 | Bank of America Corp. | 12,617 | ||||||
| 420 | Citigroup, Inc. | 11,503 | ||||||
| 10 | CME Group, Inc. | 2,551 | ||||||
| 10 | IntercontinentalExchange, Inc. (a) | 1,416 | ||||||
| 545 | JPMorgan Chase & Co. (q) | 19,468 | ||||||
| 28 | Leucadia National Corp. | 603 | ||||||
| 28 | Moody’s Corp. | 1,035 | ||||||
| 18 | NASDAQ OMX Group, Inc. (The) | 397 | ||||||
| 36 | NYSE Euronext | 930 | ||||||
|
| |||||||
| 50,520 | ||||||||
|
| |||||||
Insurance — 3.6% |
| |||||||
| 48 | ACE Ltd., (Switzerland) | 3,593 | ||||||
| 67 | Aflac, Inc. | 2,851 | ||||||
| 70 | Allstate Corp. (The) | 2,468 | ||||||
| 92 | American International Group, Inc. (a) | 2,937 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued |
| |||||||
| 47 | Aon plc, (United Kingdom) | 2,186 | ||||||
| 12 | Assurant, Inc. | 428 | ||||||
| 252 | Berkshire Hathaway, Inc., Class B (a) | 20,974 | ||||||
| 39 | Chubb Corp. (The) | 2,814 | ||||||
| 23 | Cincinnati Financial Corp. | 884 | ||||||
| 70 | Genworth Financial, Inc., Class A (a) | 398 | ||||||
| 63 | Hartford Financial Services Group, Inc. | 1,112 | ||||||
| 41 | Lincoln National Corp. | 893 | ||||||
| 44 | Loews Corp. | 1,789 | ||||||
| 78 | Marsh & McLennan Cos., Inc. | 2,517 | ||||||
| 152 | MetLife, Inc. | 4,689 | ||||||
| 43 | Principal Financial Group, Inc. | 1,127 | ||||||
| 87 | Progressive Corp. (The) | 1,818 | ||||||
| 67 | Prudential Financial, Inc. | 3,251 | ||||||
| 14 | Torchmark Corp. | 712 | ||||||
| 56 | Travelers Cos., Inc. (The) | 3,555 | ||||||
| 41 | Unum Group | 783 | ||||||
| 45 | XL Group plc, (Ireland) | 939 | ||||||
|
| |||||||
| 62,718 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.1% |
| |||||||
| 56 | American Tower Corp. | 3,948 | ||||||
| 19 | Apartment Investment & Management Co., Class A | 512 | ||||||
| 14 | AvalonBay Communities, Inc. | 1,931 | ||||||
| 21 | Boston Properties, Inc. | 2,324 | ||||||
| 43 | Equity Residential | 2,683 | ||||||
| 60 | HCP, Inc. | 2,651 | ||||||
| 31 | Health Care REIT, Inc. | 1,784 | ||||||
| 103 | Host Hotels & Resorts, Inc. | 1,627 | ||||||
| 58 | Kimco Realty Corp. | 1,108 | ||||||
| 23 | Plum Creek Timber Co., Inc. | 918 | ||||||
| 66 | Prologis, Inc. | 2,190 | ||||||
| 20 | Public Storage | 2,942 | ||||||
| 43 | Simon Property Group, Inc. | 6,753 | ||||||
| 41 | Ventas, Inc. | 2,611 | ||||||
| 27 | Vornado Realty Trust | 2,231 | ||||||
| 77 | Weyerhaeuser Co. | 1,720 | ||||||
|
| |||||||
| 37,933 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
| 47 | CBRE Group, Inc., Class A (a) | 768 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
| 76 | Hudson City Bancorp, Inc. | 482 | ||||||
| 51 | People’s United Financial, Inc. | 591 | ||||||
|
| |||||||
| 1,073 | ||||||||
|
| |||||||
Total Financials | 253,707 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care — 11.9% |
| |||||||
Biotechnology — 1.4% |
| |||||||
| 27 | Alexion Pharmaceuticals, Inc. (a) | 2,730 | ||||||
| 111 | Amgen, Inc. | 8,130 | ||||||
| 34 | Biogen Idec, Inc. (a) | 4,951 | ||||||
| 63 | Celgene Corp. (a) | 4,045 | ||||||
| 108 | Gilead Sciences, Inc. (a) | 5,559 | ||||||
|
| |||||||
| 25,415 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
| 79 | Baxter International, Inc. | 4,188 | ||||||
| 29 | Becton, Dickinson & Co. | 2,169 | ||||||
| 205 | Boston Scientific Corp. (a) | 1,160 | ||||||
| 12 | C.R. Bard, Inc. | 1,291 | ||||||
| 32 | CareFusion Corp. (a) | 816 | ||||||
| 69 | Covidien plc, (Ireland) | 3,693 | ||||||
| 20 | DENTSPLY International, Inc. | 767 | ||||||
| 16 | Edwards Lifesciences Corp. (a) | 1,694 | ||||||
| 6 | Intuitive Surgical, Inc. (a) | 3,147 | ||||||
| 149 | Medtronic, Inc. | 5,768 | ||||||
| 45 | St. Jude Medical, Inc. | 1,793 | ||||||
| 46 | Stryker Corp. | 2,553 | ||||||
| 16 | Varian Medical Systems, Inc. (a) | 970 | ||||||
| 25 | Zimmer Holdings, Inc. | 1,622 | ||||||
|
| |||||||
| 31,631 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.0% |
| |||||||
| 50 | Aetna, Inc. | 1,928 | ||||||
| 36 | AmerisourceBergen Corp. | 1,413 | ||||||
| 50 | Cardinal Health, Inc. | 2,080 | ||||||
| 41 | Cigna Corp. | 1,816 | ||||||
| 20 | Coventry Health Care, Inc. | 650 | ||||||
| 13 | DaVita, Inc. (a) | 1,322 | ||||||
| 115 | Express Scripts Holding Co. (a) | 6,436 | ||||||
| 23 | Humana, Inc. | 1,809 | ||||||
| 14 | Laboratory Corp. of America Holdings (a) | 1,283 | ||||||
| 34 | McKesson Corp. | 3,159 | ||||||
| 13 | Patterson Cos., Inc. | 432 | ||||||
| 23 | Quest Diagnostics, Inc. | 1,360 | ||||||
| 59 | Tenet Healthcare Corp. (a) | 310 | ||||||
| 148 | UnitedHealth Group, Inc. | 8,687 | ||||||
| 47 | WellPoint, Inc. | 3,020 | ||||||
|
| |||||||
| 35,705 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 21 | Cerner Corp. (a) | 1,734 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
| 50 | Agilent Technologies, Inc. | 1,952 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Life Sciences Tools & Services — Continued |
| |||||||
| 26 | Life Technologies Corp. (a) | 1,150 | ||||||
| 16 | PerkinElmer, Inc. | 420 | ||||||
| 53 | Thermo Fisher Scientific, Inc. | 2,729 | ||||||
| 13 | Waters Corp. (a) | 1,011 | ||||||
|
| |||||||
| 7,262 | ||||||||
|
| |||||||
Pharmaceuticals — 6.2% |
| |||||||
| 225 | Abbott Laboratories | 14,518 | ||||||
| 44 | Allergan, Inc. | 4,074 | ||||||
| 242 | Bristol-Myers Squibb Co. | 8,691 | ||||||
| 146 | Eli Lilly & Co. | 6,272 | ||||||
| 38 | Forest Laboratories, Inc. (a) | 1,331 | ||||||
| 24 | Hospira, Inc. (a) | 827 | ||||||
| 393 | Johnson & Johnson | 26,557 | ||||||
| 435 | Merck & Co., Inc. | 18,175 | ||||||
| 61 | Mylan, Inc. (a) | 1,311 | ||||||
| 13 | Perrigo Co. | 1,577 | ||||||
| 1,072 | Pfizer, Inc. | 24,651 | ||||||
| 18 | Watson Pharmaceuticals, Inc. (a) | 1,349 | ||||||
|
| |||||||
| 109,333 | ||||||||
|
| |||||||
Total Health Care | 211,080 | |||||||
|
| |||||||
Industrials — 10.4% |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
| 107 | Boeing Co. (The) | 7,966 | ||||||
| 52 | General Dynamics Corp. | 3,404 | ||||||
| 18 | Goodrich Corp. | 2,287 | ||||||
| 112 | Honeywell International, Inc. | 6,227 | ||||||
| 14 | L-3 Communications Holdings, Inc. | 1,032 | ||||||
| 38 | Lockheed Martin Corp. | 3,318 | ||||||
| 36 | Northrop Grumman Corp. | 2,296 | ||||||
| 21 | Precision Castparts Corp. | 3,421 | ||||||
| 48 | Raytheon Co. | 2,700 | ||||||
| 21 | Rockwell Collins, Inc. | 1,025 | ||||||
| 40 | Textron, Inc. | 998 | ||||||
| 130 | United Technologies Corp. | 9,852 | ||||||
|
| |||||||
| 44,526 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.0% |
| |||||||
| 23 | C.H. Robinson Worldwide, Inc. | 1,363 | ||||||
| 30 | Expeditors International of Washington, Inc. | 1,178 | ||||||
| 45 | FedEx Corp. | 4,135 | ||||||
| 137 | United Parcel Service, Inc., Class B | 10,816 | ||||||
|
| |||||||
| 17,492 | ||||||||
|
| |||||||
Airlines — 0.1% |
| |||||||
| 110 | Southwest Airlines Co. | 1,013 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Building Products — 0.0% (g) |
| |||||||
| 51 | Masco Corp. | 709 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 15 | Avery Dennison Corp. | 405 | ||||||
| 16 | Cintas Corp. | 610 | ||||||
| 25 | Iron Mountain, Inc. | 808 | ||||||
| 29 | Pitney Bowes, Inc. | 429 | ||||||
| 26 | R.R. Donnelley & Sons Co. | 304 | ||||||
| 45 | Republic Services, Inc. | 1,192 | ||||||
| 12 | Stericycle, Inc. (a) | 1,116 | ||||||
| 66 | Waste Management, Inc. | 2,212 | ||||||
|
| |||||||
| 7,076 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% |
| |||||||
| 24 | Fluor Corp. | 1,194 | ||||||
| 18 | Jacobs Engineering Group, Inc. (a) | 699 | ||||||
| 30 | Quanta Services, Inc. (a) | 734 | ||||||
|
| |||||||
| 2,627 | ||||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 23 | Cooper Industries plc | 1,552 | ||||||
| 105 | Emerson Electric Co. | 4,891 | ||||||
| 20 | Rockwell Automation, Inc. | 1,349 | ||||||
| 14 | Roper Industries, Inc. | 1,375 | ||||||
|
| |||||||
| 9,167 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.7% |
| |||||||
| 99 | 3M Co. | 8,898 | ||||||
| 82 | Danaher Corp. | 4,286 | ||||||
| 1,516 | General Electric Co. (k) | 31,604 | ||||||
| 66 | Tyco International Ltd., (Switzerland) | 3,501 | ||||||
|
| |||||||
| 48,289 | ||||||||
|
| |||||||
Machinery — 1.9% |
| |||||||
| 93 | Caterpillar, Inc. | 7,928 | ||||||
| 28 | Cummins, Inc. | 2,666 | ||||||
| 57 | Deere & Co. | 4,604 | ||||||
| 26 | Dover Corp. | 1,409 | ||||||
| 48 | Eaton Corp. | 1,915 | ||||||
| 8 | Flowserve Corp. | 898 | ||||||
| 68 | Illinois Tool Works, Inc. | 3,614 | ||||||
| 43 | Ingersoll-Rand plc, (Ireland) | 1,803 | ||||||
| 15 | Joy Global, Inc. | 859 | ||||||
| 51 | PACCAR, Inc. | 2,001 | ||||||
| 17 | Pall Corp. | 908 | ||||||
| 22 | Parker Hannifin Corp. | 1,662 | ||||||
| 8 | Snap-on, Inc. | 518 | ||||||
| 24 | Stanley Black & Decker, Inc. | 1,574 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Machinery — Continued |
| |||||||
| 27 | Xylem, Inc. | 668 | ||||||
|
| |||||||
| 33,027 | ||||||||
|
| |||||||
Professional Services — 0.1% |
| |||||||
| 7 | Dun & Bradstreet Corp. (The) | 487 | ||||||
| 17 | Equifax, Inc. | 803 | ||||||
| 20 | Robert Half International, Inc. | 585 | ||||||
|
| |||||||
| 1,875 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 149 | CSX Corp. | 3,326 | ||||||
| 47 | Norfolk Southern Corp. | 3,347 | ||||||
| 7 | Ryder System, Inc. | 264 | ||||||
| 68 | Union Pacific Corp. | 8,132 | ||||||
|
| |||||||
| 15,069 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
| 42 | Fastenal Co. | 1,704 | ||||||
| 9 | W.W. Grainger, Inc. | 1,670 | ||||||
|
| |||||||
| 3,374 | ||||||||
|
| |||||||
Total Industrials | 184,244 | |||||||
|
| |||||||
Information Technology — 19.7% |
| |||||||
Communications Equipment — 1.8% |
| |||||||
| 767 | Cisco Systems, Inc. | 13,165 | ||||||
| 11 | F5 Networks, Inc. (a) | 1,131 | ||||||
| 16 | Harris Corp. | 682 | ||||||
| 33 | JDS Uniphase Corp. (a) | 364 | ||||||
| 76 | Juniper Networks, Inc. (a) | 1,236 | ||||||
| 42 | Motorola Solutions, Inc. | 2,011 | ||||||
| 245 | QUALCOMM, Inc. | 13,662 | ||||||
|
| |||||||
| 32,251 | ||||||||
|
| |||||||
Computers & Peripherals — 5.6% |
| |||||||
| 134 | Apple, Inc. (a) | 78,159 | ||||||
| 213 | Dell, Inc. (a) | 2,664 | ||||||
| 301 | EMC Corp. (a) | 7,703 | ||||||
| 283 | Hewlett-Packard Co. | 5,691 | ||||||
| 10 | Lexmark International, Inc., Class A | 271 | ||||||
| 52 | NetApp, Inc. (a) | 1,653 | ||||||
| 35 | SanDisk Corp. (a) | 1,272 | ||||||
| 54 | Seagate Technology plc, (Ireland) | 1,343 | ||||||
| 33 | Western Digital Corp. (a) | 1,021 | ||||||
|
| |||||||
| 99,777 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
| 23 | Amphenol Corp., Class A | 1,274 | ||||||
| 217 | Corning, Inc. | 2,809 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — Continued |
| |||||||
| 22 | FLIR Systems, Inc. | 430 | ||||||
| 26 | Jabil Circuit, Inc. | 529 | ||||||
| 20 | Molex, Inc. | 471 | ||||||
| 61 | TE Connectivity Ltd., (Switzerland) | 1,953 | ||||||
|
| |||||||
| 7,466 | ||||||||
|
| |||||||
Internet Software & Services — 1.9% |
| |||||||
| 26 | Akamai Technologies, Inc. (a) | 814 | ||||||
| 164 | eBay, Inc. (a) | 6,910 | ||||||
| 36 | Google, Inc., Class A (a) | 21,114 | ||||||
| 23 | VeriSign, Inc. (a) | 985 | ||||||
| 174 | Yahoo!, Inc. (a) | 2,761 | ||||||
|
| |||||||
| 32,584 | ||||||||
|
| |||||||
IT Services — 3.9% |
| |||||||
| 92 | Accenture plc, (Ireland), Class A | 5,543 | ||||||
| 70 | Automatic Data Processing, Inc. | 3,896 | ||||||
| 44 | Cognizant Technology Solutions Corp., Class A (a) | 2,615 | ||||||
| 22 | Computer Sciences Corp. | 551 | ||||||
| 34 | Fidelity National Information Services, Inc. | 1,165 | ||||||
| 20 | Fiserv, Inc. (a) | 1,411 | ||||||
| 165 | International Business Machines Corp. | 32,290 | ||||||
| 15 | MasterCard, Inc., Class A | 6,535 | ||||||
| 46 | Paychex, Inc. | 1,451 | ||||||
| 40 | SAIC, Inc. | 480 | ||||||
| 24 | Teradata Corp. (a) | 1,739 | ||||||
| 23 | Total System Services, Inc. | 550 | ||||||
| 71 | Visa, Inc., Class A | 8,811 | ||||||
| 88 | Western Union Co. (The) | 1,477 | ||||||
|
| |||||||
| 68,514 | ||||||||
|
| |||||||
Office Electronics — 0.1% |
| |||||||
| 193 | Xerox Corp. | 1,518 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
| 84 | Advanced Micro Devices, Inc. (a) | 483 | ||||||
| 46 | Altera Corp. | 1,563 | ||||||
| 43 | Analog Devices, Inc. | 1,609 | ||||||
| 183 | Applied Materials, Inc. | 2,102 | ||||||
| 71 | Broadcom Corp., Class A (a) | 2,399 | ||||||
| 8 | First Solar, Inc. (a) | 127 | ||||||
| 720 | Intel Corp. | 19,190 | ||||||
| 24 | KLA-Tencor Corp. | 1,179 | ||||||
| 29 | Lam Research Corp. (a) | 1,088 | ||||||
| 33 | Linear Technology Corp. | 1,032 | ||||||
| 81 | LSI Corp. (a) | 519 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 11 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 28 | Microchip Technology, Inc. | 917 | ||||||
| 142 | Micron Technology, Inc. (a) | 894 | ||||||
| 89 | NVIDIA Corp. (a) | 1,224 | ||||||
| 27 | Teradyne, Inc. (a) | 376 | ||||||
| 164 | Texas Instruments, Inc. | 4,699 | ||||||
| 38 | Xilinx, Inc. | 1,268 | ||||||
|
| |||||||
| 40,669 | ||||||||
|
| |||||||
Software — 3.7% |
| |||||||
| 71 | Adobe Systems, Inc. (a) | 2,298 | ||||||
| 33 | Autodesk, Inc. (a) | 1,151 | ||||||
| 23 | BMC Software, Inc. (a) | 984 | ||||||
| 51 | CA, Inc. | 1,372 | ||||||
| 27 | Citrix Systems, Inc. (a) | 2,237 | ||||||
| 45 | Electronic Arts, Inc. (a) | 562 | ||||||
| 42 | Intuit, Inc. | 2,495 | ||||||
| 1,070 | Microsoft Corp. | 32,735 | ||||||
| 555 | Oracle Corp. | 16,496 | ||||||
| 28 | Red Hat, Inc. (a) | 1,559 | ||||||
| 20 | Salesforce.com, Inc. (a) | 2,731 | ||||||
| 103 | Symantec Corp. (a) | 1,507 | ||||||
|
| |||||||
| 66,127 | ||||||||
|
| |||||||
Total Information Technology | 348,906 | |||||||
|
| |||||||
Materials — 3.4% |
| |||||||
Chemicals — 2.3% |
| |||||||
| 30 | Air Products & Chemicals, Inc. | 2,443 | ||||||
| 10 | Airgas, Inc. | 832 | ||||||
| 9 | CF Industries Holdings, Inc. | 1,820 | ||||||
| 171 | Dow Chemical Co. (The) | 5,390 | ||||||
| 134 | E.I. du Pont de Nemours & Co. | 6,782 | ||||||
| 20 | Eastman Chemical Co. | 995 | ||||||
| 42 | Ecolab, Inc. | 2,866 | ||||||
| 20 | FMC Corp. | 1,050 | ||||||
| 12 | International Flavors & Fragrances, Inc. | 636 | ||||||
| 76 | Monsanto Co. | 6,320 | ||||||
| 43 | Mosaic Co. (The) | 2,334 | ||||||
| 22 | PPG Industries, Inc. | 2,313 | ||||||
| 43 | Praxair, Inc. | 4,648 | ||||||
| 12 | Sherwin-Williams Co. (The) | 1,624 | ||||||
| 17 | Sigma-Aldrich Corp. | 1,279 | ||||||
|
| |||||||
| 41,332 | ||||||||
|
| |||||||
Construction Materials — 0.0% (g) |
| |||||||
| 19 | Vulcan Materials Co. | 735 | ||||||
|
| |||||||
Containers & Packaging — 0.1% |
| |||||||
| 22 | Ball Corp. | 921 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — Continued |
| |||||||
| 15 | Bemis Co., Inc. | 462 | ||||||
| 24 | Owens-Illinois, Inc. (a) | 452 | ||||||
| 28 | Sealed Air Corp. | 429 | ||||||
|
| |||||||
| 2,264 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
| 153 | Alcoa, Inc. | 1,336 | ||||||
| 15 | Allegheny Technologies, Inc. | 489 | ||||||
| 20 | Cliffs Natural Resources, Inc. | 1,005 | ||||||
| 136 | Freeport-McMoRan Copper & Gold, Inc. | 4,628 | ||||||
| 71 | Newmont Mining Corp. | 3,441 | ||||||
| 45 | Nucor Corp. | 1,720 | ||||||
| 12 | Titanium Metals Corp. | 133 | ||||||
| 21 | United States Steel Corp. | 425 | ||||||
|
| |||||||
| 13,177 | ||||||||
|
| |||||||
Paper & Forest Products — 0.2% |
| |||||||
| 63 | International Paper Co. | 1,809 | ||||||
| 25 | MeadWestvaco Corp. | 709 | ||||||
|
| |||||||
| 2,518 | ||||||||
|
| |||||||
Total Materials | 60,026 | |||||||
|
| |||||||
Telecommunication Services — 3.2% |
| |||||||
Diversified Telecommunication Services — 3.0% |
| |||||||
| 839 | AT&T, Inc. | 29,925 | ||||||
| 89 | CenturyLink, Inc. | 3,511 | ||||||
| 143 | Frontier Communications Corp. | 547 | ||||||
| 407 | Verizon Communications, Inc. | 18,071 | ||||||
| 84 | Windstream Corp. | 813 | ||||||
|
| |||||||
| 52,867 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 37 | Crown Castle International Corp. (a) | 2,165 | ||||||
| 42 | MetroPCS Communications, Inc. (a) | 255 | ||||||
| 429 | Sprint Nextel Corp. (a) | 1,399 | ||||||
|
| |||||||
| 3,819 | ||||||||
|
| |||||||
Total Telecommunication Services | 56,686 | |||||||
|
| |||||||
Utilities — 3.7% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
| 69 | American Electric Power Co., Inc. | 2,766 | ||||||
| 192 | Duke Energy Corp. | 4,417 | ||||||
| 47 | Edison International | 2,154 | ||||||
| 25 | Entergy Corp. | 1,721 | ||||||
| 122 | Exelon Corp. | 4,590 | ||||||
| 60 | FirstEnergy Corp. | 2,944 | ||||||
| 60 | NextEra Energy, Inc. | 4,108 | ||||||
| 45 | Northeast Utilities | 1,742 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Electric Utilities — Continued |
| |||||||
| 33 | Pepco Holdings, Inc. | 639 | ||||||
| 16 | Pinnacle West Capital Corp. | 811 | ||||||
| 83 | PPL Corp. | 2,309 | ||||||
| 42 | Progress Energy, Inc. | 2,549 | ||||||
| 124 | Southern Co. (The) | 5,757 | ||||||
| 70 | Xcel Energy, Inc. | 1,980 | ||||||
|
| |||||||
| 38,487 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
| 17 | AGL Resources, Inc. | 650 | ||||||
| 30 | ONEOK, Inc. | 1,259 | ||||||
|
| |||||||
| 1,909 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.1% |
| |||||||
| 92 | AES Corp. (The) (a) | 1,184 | ||||||
| 33 | NRG Energy, Inc. (a) | 566 | ||||||
|
| |||||||
| 1,750 | ||||||||
|
| |||||||
Multi-Utilities — 1.3% |
| |||||||
| 35 | Ameren Corp. | 1,165 | ||||||
| 61 | CenterPoint Energy, Inc. | 1,264 | ||||||
| 37 | CMS Energy Corp. | 876 | ||||||
| 42 | Consolidated Edison, Inc. | 2,607 | ||||||
| 82 | Dominion Resources, Inc. | 4,417 | ||||||
| 24 | DTE Energy Co. | 1,445 | ||||||
| 11 | Integrys Energy Group, Inc. | 634 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — Continued |
| |||||||
| 41 | NiSource, Inc. | 1,006 | ||||||
| 60 | PG&E Corp. | 2,737 | ||||||
| 72 | Public Service Enterprise Group, Inc. | 2,353 | ||||||
| 17 | SCANA Corp. | 797 | ||||||
| 34 | Sempra Energy | 2,365 | ||||||
| 31 | TECO Energy, Inc. | 558 | ||||||
| 33 | Wisconsin Energy Corp. | 1,305 | ||||||
|
| |||||||
| 23,529 | ||||||||
|
| |||||||
Total Utilities | 65,675 | |||||||
|
| |||||||
Total Common Stocks | 1,762,282 | |||||||
|
| |||||||
| Short-Term Investment — 0.3% |
| ||||||
Investment Company — 0.3% |
| |||||||
| 5,027 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) | 5,027 | ||||||
|
| |||||||
Total Investments — 99.8% | 1,767,309 | |||||||
Other Assets in Excess of | 2,902 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,770,211 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 103 | E-mini S&P 500 | 09/21/12 | $ | 6,985 | $ | 89 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 13 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.9% |
| ||||||
Consumer Discretionary — 14.1% | ||||||||
Auto Components — 0.1% | ||||||||
| 13 | Drew Industries, Inc. (a) | 372 | ||||||
| 24 | Spartan Motors, Inc. | 124 | ||||||
| 13 | Standard Motor Products, Inc. | 183 | ||||||
| 16 | Superior Industries International, Inc. | 262 | ||||||
|
| |||||||
| 941 | ||||||||
|
| |||||||
Automobiles — 0.2% | ||||||||
| 98 | Thor Industries, Inc. | 2,681 | ||||||
| 21 | Winnebago Industries, Inc. (a) | 213 | ||||||
|
| |||||||
| 2,894 | ||||||||
|
| |||||||
Distributors — 0.5% | ||||||||
| 86 | LKQ Corp. (a) | 2,874 | ||||||
| 64 | Pool Corp. | 2,589 | ||||||
| 13 | VOXX International Corp. (a) | 119 | ||||||
|
| |||||||
| 5,582 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% | ||||||||
| 15 | American Public Education, Inc. (a) | 469 | ||||||
| 11 | Capella Education Co. (a) | 393 | ||||||
| 76 | Coinstar, Inc. (a) | 5,243 | ||||||
| 24 | Corinthian Colleges, Inc. (a) | 71 | ||||||
| 91 | Hillenbrand, Inc. | 1,673 | ||||||
| 18 | ITT Educational Services, Inc. (a) | 1,116 | ||||||
| 6 | Lincoln Educational Services Corp. | 40 | ||||||
| 21 | Matthews International Corp., Class A | 674 | ||||||
| 41 | Regis Corp. | 745 | ||||||
| 286 | Service Corp. International | 3,532 | ||||||
| 13 | Universal Technical Institute, Inc. | 170 | ||||||
|
| |||||||
| 14,126 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.2% | ||||||||
| 79 | Bally Technologies, Inc. (a) | 3,678 | ||||||
| 1 | Biglari Holdings, Inc. (a) | 409 | ||||||
| 23 | Bob Evans Farms, Inc. | 925 | ||||||
| 39 | Boyd Gaming Corp. (a) | 280 | ||||||
| 157 | Brinker International, Inc. | 5,004 | ||||||
| 6 | Buffalo Wild Wings, Inc. (a) | 547 | ||||||
| 15 | CEC Entertainment, Inc. | 535 | ||||||
| 58 | Cracker Barrel Old Country Store, Inc. | 3,647 | ||||||
| 12 | DineEquity, Inc. (a) | 539 | ||||||
| 21 | International Speedway Corp., Class A | 555 | ||||||
| 29 | Interval Leisure Group, Inc. | 548 | ||||||
| 9 | Jack in the Box, Inc. (a) | 244 | ||||||
| 15 | Marcus Corp. | 201 | ||||||
| 20 | Marriott Vacations Worldwide Corp. (a) | 618 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Hotels, Restaurants & Leisure — Continued | ||||||||
| 6 | Monarch Casino & Resort, Inc. (a) | 56 | ||||||
| 19 | Multimedia Games Holding Co., Inc. (a) | 270 | ||||||
| 17 | Panera Bread Co., Class A (a) | 2,426 | ||||||
| 15 | Papa John’s International, Inc. (a) | 696 | ||||||
| 9 | PF Chang’s China Bistro, Inc. | 449 | ||||||
| 43 | Pinnacle Entertainment, Inc. (a) | 415 | ||||||
| 11 | Red Robin Gourmet Burgers, Inc. (a) | 327 | ||||||
| 47 | Ruby Tuesday, Inc. (a) | 319 | ||||||
| 25 | Ruth’s Hospitality Group, Inc. (a) | 167 | ||||||
| 49 | Scientific Games Corp., Class A (a) | 417 | ||||||
| 39 | Shuffle Master, Inc. (a) | 536 | ||||||
| 43 | Sonic Corp. (a) | 431 | ||||||
| 30 | Texas Roadhouse, Inc. | 546 | ||||||
| 210 | Wendy’s Co. (The) | 991 | ||||||
|
| |||||||
| 25,776 | ||||||||
|
| |||||||
Household Durables — 1.4% | ||||||||
| 29 | American Greetings Corp., Class A | 420 | ||||||
| 8 | Blyth, Inc. | 267 | ||||||
| 19 | Ethan Allen Interiors, Inc. | 370 | ||||||
| 22 | Helen of Troy Ltd., (Bermuda) (a) | 744 | ||||||
| 19 | iRobot Corp. (a) | 430 | ||||||
| 72 | Jarden Corp. | 3,028 | ||||||
| 51 | KB Home | 501 | ||||||
| 36 | La-Z-Boy, Inc. (a) | 437 | ||||||
| 13 | M/I Homes, Inc. (a) | 232 | ||||||
| 22 | Meritage Homes Corp. (a) | 762 | ||||||
| 5 | NVR, Inc. (a) | 3,964 | ||||||
| 31 | Ryland Group, Inc. (The) | 784 | ||||||
| 357 | Standard Pacific Corp. (a) | 2,207 | ||||||
| 36 | Tempur-Pedic International, Inc. (a) | 834 | ||||||
| 30 | Tupperware Brands Corp. | 1,668 | ||||||
| 5 | Universal Electronics, Inc. (a) | 69 | ||||||
|
| |||||||
| 16,717 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% | ||||||||
| 10 | Blue Nile, Inc. (a) | 298 | ||||||
| 14 | HSN, Inc. | 583 | ||||||
| 21 | Nutrisystem, Inc. | 238 | ||||||
| 16 | PetMed Express, Inc. | 195 | ||||||
|
| |||||||
| 1,314 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.8% | ||||||||
| 9 | Arctic Cat, Inc. (a) | 339 | ||||||
| 42 | Brunswick Corp. | 929 | ||||||
| 26 | Callaway Golf Co. | 153 | ||||||
| 19 | JAKKS Pacific, Inc. | 308 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Leisure Equipment & Products — Continued | ||||||||
| 74 | Polaris Industries, Inc. | 5,258 | ||||||
| 61 | Sturm Ruger & Co., Inc. | 2,442 | ||||||
|
| |||||||
| 9,429 | ||||||||
|
| |||||||
Media — 1.1% | ||||||||
| 55 | AMC Networks, Inc., Class A (a) | 1,970 | ||||||
| 10 | Arbitron, Inc. | 338 | ||||||
| 192 | Cinemark Holdings, Inc. | 4,398 | ||||||
| 20 | Digital Generation, Inc. (a) | 244 | ||||||
| 22 | E.W. Scripps Co., Class A (a) | 215 | ||||||
| 32 | Harte-Hanks, Inc. | 290 | ||||||
| 15 | John Wiley & Sons, Inc., Class A | 713 | ||||||
| 167 | New York Times Co. (The), Class A (a) | 1,306 | ||||||
| 18 | Scholastic Corp. | 493 | ||||||
| 134 | Valassis Communications, Inc. (a) | 2,917 | ||||||
|
| |||||||
| 12,884 | ||||||||
|
| |||||||
Multiline Retail — 0.0% (g) | ||||||||
| 28 | Fred’s, Inc., Class A | 421 | ||||||
| 26 | Tuesday Morning Corp. (a) | 112 | ||||||
|
| |||||||
| 533 | ||||||||
|
| |||||||
Specialty Retail — 5.2% | ||||||||
| 76 | Advance Auto Parts, Inc. | 5,207 | ||||||
| 182 | American Eagle Outfitters, Inc. | 3,596 | ||||||
| 35 | ANN, Inc. (a) | 898 | ||||||
| 178 | Ascena Retail Group, Inc. (a) | 3,307 | ||||||
| 28 | Barnes & Noble, Inc. (a) | 464 | ||||||
| 22 | Big 5 Sporting Goods Corp. | 166 | ||||||
| 31 | Brown Shoe Co., Inc. | 403 | ||||||
| 81 | Buckle, Inc. (The) | 3,196 | ||||||
| 13 | Cabela’s, Inc. (a) | 499 | ||||||
| 22 | Cato Corp. (The), Class A | 682 | ||||||
| 82 | Chico’s FAS, Inc. | 1,224 | ||||||
| 26 | Christopher & Banks Corp. | 30 | ||||||
| 34 | Coldwater Creek, Inc. (a) | 19 | ||||||
| 16 | Collective Brands, Inc. (a) | 343 | ||||||
| 58 | Dick’s Sporting Goods, Inc. | 2,780 | ||||||
| 95 | Finish Line, Inc. (The), Class A | 1,977 | ||||||
| 230 | Foot Locker, Inc. | 7,035 | ||||||
| 47 | Genesco, Inc. (a) | 2,813 | ||||||
| 60 | Group 1 Automotive, Inc. | 2,731 | ||||||
| 28 | Guess?, Inc. | 854 | ||||||
| 13 | Haverty Furniture Cos., Inc. | 143 | ||||||
| 9 | Hibbett Sports, Inc. (a) | 542 | ||||||
| 31 | Hot Topic, Inc. | 296 | ||||||
| 10 | Kirkland’s, Inc. (a) | 115 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — Continued | ||||||||
| 15 | Lithia Motors, Inc., Class A | 345 | ||||||
| 20 | Lumber Liquidators Holdings, Inc. (a) | 678 | ||||||
| 16 | MarineMax, Inc. (a) | 148 | ||||||
| 202 | Office Depot, Inc. (a) | 437 | ||||||
| 62 | OfficeMax, Inc. (a) | 312 | ||||||
| 36 | Pep Boys-Manny Moe & Jack (The) | 361 | ||||||
| 124 | PetSmart, Inc. | 8,439 | ||||||
| 37 | RadioShack Corp. | 142 | ||||||
| 24 | Rent-A-Center, Inc. | 812 | ||||||
| 11 | rue21, Inc. (a) | 268 | ||||||
| 137 | Select Comfort Corp. (a) | 2,856 | ||||||
| 26 | Sonic Automotive, Inc., Class A (c) | 357 | ||||||
| 22 | Stage Stores, Inc. | 405 | ||||||
| 18 | Stein Mart, Inc. (a) | 146 | ||||||
| 70 | Tractor Supply Co. | 5,795 | ||||||
| 20 | Zale Corp. (a) | 53 | ||||||
| 4 | Zumiez, Inc. (a) | 144 | ||||||
|
| |||||||
| 61,018 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
| 47 | Carter’s, Inc. (a) | 2,473 | ||||||
| 206 | Crocs, Inc. (a) | 3,331 | ||||||
| 78 | Fifth & Pacific Cos., Inc. (a) | 833 | ||||||
| 20 | K-Swiss, Inc., Class A (a) | 60 | ||||||
| 17 | Maidenform Brands, Inc. (a) | 335 | ||||||
| 12 | Movado Group, Inc. | 294 | ||||||
| 10 | Oxford Industries, Inc. | 428 | ||||||
| 8 | Perry Ellis International, Inc. (a) | 171 | ||||||
| 47 | PVH Corp. | 3,654 | ||||||
| 89 | Quiksilver, Inc. (a) | 207 | ||||||
| 28 | Skechers U.S.A., Inc., Class A (a) | 580 | ||||||
| 76 | Steven Madden Ltd. (a) | 2,426 | ||||||
| 18 | True Religion Apparel, Inc. | 529 | ||||||
| 7 | Warnaco Group, Inc. (The) (a) | 317 | ||||||
|
| |||||||
| 15,638 | ||||||||
|
| |||||||
Total Consumer Discretionary | 166,852 | |||||||
|
| |||||||
Consumer Staples — 4.3% | ||||||||
Beverages — 0.1% | ||||||||
| 7 | Boston Beer Co., Inc. (The), Class A (a) | 817 | ||||||
|
| |||||||
Food & Staples Retailing — 1.0% | ||||||||
| 13 | Andersons, Inc. (The) | 568 | ||||||
| 68 | Casey’s General Stores, Inc. | 4,008 | ||||||
| 88 | Harris Teeter Supermarkets, Inc. | 3,626 | ||||||
| 9 | Nash Finch Co. | 189 | ||||||
| 1,371 | Rite Aid Corp. (a) | 1,919 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 15 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (Continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Food & Staples Retailing — Continued | ||||||||
| 15 | Spartan Stores, Inc. | 281 | ||||||
| 150 | SUPERVALU, Inc. | 779 | ||||||
|
| |||||||
| 11,370 | ||||||||
|
| |||||||
Food Products — 2.0% | ||||||||
| 34 | B&G Foods, Inc. | 915 | ||||||
| 8 | Calavo Growers, Inc. | 217 | ||||||
| 10 | Cal-Maine Foods, Inc. | 404 | ||||||
| 111 | Darling International, Inc. (a) | 1,835 | ||||||
| 16 | Diamond Foods, Inc. | 277 | ||||||
| 38 | Green Mountain Coffee Roasters, Inc. (a) | 823 | ||||||
| 41 | Hain Celestial Group, Inc. (The) (a) | 2,278 | ||||||
| 87 | Hillshire Brands Co. | 2,529 | ||||||
| 44 | Ingredion, Inc. | 2,161 | ||||||
| 10 | J&J Snack Foods Corp. | 609 | ||||||
| 14 | Lancaster Colony Corp. | 1,003 | ||||||
| 40 | Ralcorp Holdings, Inc. (a) | 2,682 | ||||||
| 14 | Sanderson Farms, Inc. | 622 | ||||||
| 6 | Seneca Foods Corp., Class A (a) | 168 | ||||||
| 259 | Smithfield Foods, Inc. (a) | 5,612 | ||||||
| 36 | Snyders-Lance, Inc. | 914 | ||||||
| 19 | Tootsie Roll Industries, Inc. | 449 | ||||||
| 13 | TreeHouse Foods, Inc. (a) | 796 | ||||||
|
| |||||||
| 24,294 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
| 35 | Central Garden & Pet Co., Class A (a) | 382 | ||||||
| 89 | Church & Dwight Co., Inc. | 4,911 | ||||||
| 77 | Energizer Holdings, Inc. (a) | 5,792 | ||||||
| 12 | WD-40 Co. | 601 | ||||||
|
| |||||||
| 11,686 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
| 11 | Inter Parfums, Inc. | 187 | ||||||
| 9 | Medifast, Inc. (a) | 177 | ||||||
| 35 | Prestige Brands Holdings, Inc. (a) | 554 | ||||||
|
| |||||||
| 918 | ||||||||
|
| |||||||
Tobacco — 0.1% | ||||||||
| 61 | Alliance One International, Inc. (a) | 212 | ||||||
| 23 | Universal Corp. | 1,084 | ||||||
|
| |||||||
| 1,296 | ||||||||
|
| |||||||
Total Consumer Staples | 50,381 | |||||||
|
| |||||||
Energy — 5.2% | ||||||||
Energy Equipment & Services — 2.5% | ||||||||
| 25 | Atwood Oceanics, Inc. (a) | 960 | ||||||
| 22 | Basic Energy Services, Inc. (a) | 230 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — Continued | ||||||||
| 25 | Bristow Group, Inc. | 1,027 | ||||||
| 53 | Dresser-Rand Group, Inc. (a) | 2,381 | ||||||
| 9 | Dril-Quip, Inc. (a) | 581 | ||||||
| 46 | Exterran Holdings, Inc. (a) | 589 | ||||||
| 10 | Gulf Island Fabrication, Inc. | 279 | ||||||
| 256 | Helix Energy Solutions Group, Inc. (a) | 4,196 | ||||||
| 58 | Hornbeck Offshore Services, Inc. (a) | 2,256 | ||||||
| 9 | Matrix Service Co. (a) | 104 | ||||||
| 66 | Oceaneering International, Inc. | 3,140 | ||||||
| 53 | Oil States International, Inc. (a) | 3,495 | ||||||
| 5 | OYO Geospace Corp. (a) | 406 | ||||||
| 73 | Patterson-UTI Energy, Inc. | 1,070 | ||||||
| 43 | Pioneer Drilling Co. (a) | 345 | ||||||
| 15 | SEACOR Holdings, Inc. (a) | 1,357 | ||||||
| 229 | Superior Energy Services, Inc. (a) | 4,638 | ||||||
| 55 | TETRA Technologies, Inc. (a) | 391 | ||||||
| 75 | Unit Corp. (a) | 2,780 | ||||||
|
| |||||||
| 30,225 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.7% | ||||||||
| 102 | Approach Resources, Inc. (a) | 2,608 | ||||||
| 34 | Bill Barrett Corp. (a) | 736 | ||||||
| 28 | Cimarex Energy Co. | 1,562 | ||||||
| 197 | Cloud Peak Energy, Inc. (a) | 3,338 | ||||||
| 34 | Comstock Resources, Inc. (a) | 550 | ||||||
| 10 | Contango Oil & Gas Co. (a) | 578 | ||||||
| 16 | Energen Corp. | 724 | ||||||
| 13 | GeoResources, Inc. (a) | 477 | ||||||
| 250 | HollyFrontier Corp. | 8,843 | ||||||
| 70 | Northern Oil & Gas, Inc. (a) | 1,119 | ||||||
| 19 | Overseas Shipholding Group, Inc. | 214 | ||||||
| 21 | PDC Energy, Inc. (a) | 525 | ||||||
| 33 | Penn Virginia Corp. | 240 | ||||||
| 41 | Petroquest Energy, Inc. (a) | 204 | ||||||
| 118 | Plains Exploration & Production Co. (a) | 4,155 | ||||||
| 84 | Quicksilver Resources, Inc. (a) | 456 | ||||||
| 19 | SM Energy Co. | 916 | ||||||
| 153 | Stone Energy Corp. (a) | 3,881 | ||||||
| 18 | World Fuel Services Corp. | 682 | ||||||
|
| |||||||
| 31,808 | ||||||||
|
| |||||||
Total Energy | 62,033 | |||||||
|
| |||||||
Financials — 20.6% | ||||||||
Capital Markets — 1.5% | ||||||||
| 18 | Affiliated Managers Group, Inc. (a) | 2,007 | ||||||
| 375 | Apollo Investment Corp. | 2,878 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Capital Markets — Continued | ||||||||
| 14 | Calamos Asset Management, Inc., Class A | 162 | ||||||
| 60 | Eaton Vance Corp. | 1,617 | ||||||
| 38 | Greenhill & Co., Inc. | 1,372 | ||||||
| 30 | Investment Technology Group, Inc. (a) | 273 | ||||||
| 35 | Jefferies Group, Inc. | 459 | ||||||
| 11 | Piper Jaffray Cos. (a) | 254 | ||||||
| 272 | Prospect Capital Corp. | 3,102 | ||||||
| 54 | Raymond James Financial, Inc. | 1,838 | ||||||
| 21 | SEI Investments Co. | 425 | ||||||
| 20 | Stifel Financial Corp. (a) | 614 | ||||||
| 21 | SWS Group, Inc. (a) | 109 | ||||||
| 6 | Virtus Investment Partners, Inc. (a) | 495 | ||||||
| 79 | Waddell & Reed Financial, Inc., Class A | 2,405 | ||||||
|
| |||||||
| 18,010 | ||||||||
|
| |||||||
Commercial Banks — 4.9% | ||||||||
| 74 | Associated Banc-Corp. | 980 | ||||||
| 105 | BancorpSouth, Inc. | 1,518 | ||||||
| 63 | Bank of Hawaii Corp. | 2,873 | ||||||
| 42 | Bank of the Ozarks, Inc. | 1,248 | ||||||
| 55 | BBCN Bancorp, Inc. (a) | 600 | ||||||
| 64 | Boston Private Financial Holdings, Inc. | 570 | ||||||
| 45 | Cathay General Bancorp | 739 | ||||||
| 11 | City Holding Co. | 366 | ||||||
| 17 | City National Corp. | 814 | ||||||
| 28 | Columbia Banking System, Inc. | 520 | ||||||
| 93 | Commerce Bancshares, Inc. | 3,513 | ||||||
| 42 | Community Bank System, Inc. | 1,126 | ||||||
| 41 | Cullen/Frost Bankers, Inc. | 2,357 | ||||||
| 118 | CVB Financial Corp. | 1,378 | ||||||
| 235 | East West Bancorp, Inc. | 5,517 | ||||||
| 12 | First Bancorp (a) | 48 | ||||||
| 76 | First Commonwealth Financial Corp. | 510 | ||||||
| 42 | First Financial Bancorp | 665 | ||||||
| 23 | First Financial Bankshares, Inc. (c) | 780 | ||||||
| 53 | First Midwest Bancorp, Inc. | 587 | ||||||
| 546 | First Niagara Financial Group, Inc. | 4,177 | ||||||
| 87 | FirstMerit Corp. | 1,437 | ||||||
| 315 | Fulton Financial Corp. | 3,150 | ||||||
| 52 | Glacier Bancorp, Inc. | 799 | ||||||
| 22 | Hanmi Financial Corp. (a) | 234 | ||||||
| 16 | Home BancShares, Inc. | 478 | ||||||
| 15 | Independent Bank Corp. | 445 | ||||||
| 38 | International Bancshares Corp. | 737 | ||||||
| 26 | National Penn Bancshares, Inc. | 246 | ||||||
| 26 | NBT Bancorp, Inc. | 562 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Commercial Banks — Continued | ||||||||
| 184 | Old National Bancorp | 2,205 | ||||||
| 23 | PacWest Bancorp | 554 | ||||||
| 24 | Pinnacle Financial Partners, Inc. (a) | 469 | ||||||
| 16 | Prosperity Bancshares, Inc. | 652 | ||||||
| 20 | S&T Bancorp, Inc. | 375 | ||||||
| 12 | Simmons First National Corp., Class A | 283 | ||||||
| 22 | Sterling Bancorp | 216 | ||||||
| 74 | Susquehanna Bancshares, Inc. | 766 | ||||||
| 86 | Texas Capital Bancshares, Inc. (a) | 3,483 | ||||||
| 8 | Tompkins Financial Corp. | 296 | ||||||
| 47 | Trustmark Corp. | 1,157 | ||||||
| 42 | UMB Financial Corp. | 2,145 | ||||||
| 176 | Umpqua Holdings Corp. | 2,321 | ||||||
| 14 | United Community Banks, Inc. (a) | 116 | ||||||
| 176 | Webster Financial Corp. | 3,803 | ||||||
| 4 | Westamerica Bancorp | 185 | ||||||
| 44 | Wilshire Bancorp, Inc. (a) | 241 | ||||||
|
| |||||||
| 58,241 | ||||||||
|
| |||||||
Consumer Finance — 0.6% | ||||||||
| 63 | Cash America International, Inc. | 2,759 | ||||||
| 106 | Ezcorp, Inc., Class A (a) | 2,496 | ||||||
| 24 | First Cash Financial Services, Inc. (a) | 948 | ||||||
| 10 | World Acceptance Corp. (a) | 689 | ||||||
|
| |||||||
| 6,892 | ||||||||
|
| |||||||
Diversified Financial Services — 0.4% | ||||||||
| 66 | CBOE Holdings, Inc. | 1,822 | ||||||
| 33 | Interactive Brokers Group, Inc., Class A | 481 | ||||||
| 70 | MSCI, Inc., Class A (a) | 2,377 | ||||||
|
| |||||||
| 4,680 | ||||||||
|
| |||||||
Insurance — 3.2% | ||||||||
| 10 | Alleghany Corp. (a) | 3,533 | ||||||
| 51 | American Financial Group, Inc. | 1,993 | ||||||
| 13 | AMERISAFE, Inc. (a) | 337 | ||||||
| 16 | eHealth, Inc. (a) | 253 | ||||||
| 29 | Employers Holdings, Inc. | 528 | ||||||
| 63 | Everest Re Group Ltd., (Bermuda) | 6,489 | ||||||
| 43 | First American Financial Corp. | 722 | ||||||
| 55 | Hanover Insurance Group, Inc. (The) | 2,169 | ||||||
| 105 | HCC Insurance Holdings, Inc. | 3,297 | ||||||
| 29 | Horace Mann Educators Corp. | 498 | ||||||
| 9 | Infinity Property & Casualty Corp. | 526 | ||||||
| 35 | Kemper Corp. | 1,085 | ||||||
| 38 | Meadowbrook Insurance Group, Inc. | 334 | ||||||
| 32 | National Financial Partners Corp. (a) | 428 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 17 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (Continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Insurance — Continued | ||||||||
| 9 | Navigators Group, Inc. (The) (a) | 451 | ||||||
| 185 | Old Republic International Corp. | 1,536 | ||||||
| 15 | Presidential Life Corp. | 146 | ||||||
| 52 | ProAssurance Corp. | 4,607 | ||||||
| 167 | Protective Life Corp. | 4,899 | ||||||
| 40 | Reinsurance Group of America, Inc. | 2,145 | ||||||
| 1 | RLI Corp. | 58 | ||||||
| 11 | Safety Insurance Group, Inc. | 439 | ||||||
| 39 | Selective Insurance Group, Inc. | 672 | ||||||
| 18 | Stewart Information Services Corp. | 279 | ||||||
| 28 | Tower Group, Inc. | 583 | ||||||
| 14 | United Fire Group, Inc. | 297 | ||||||
|
| |||||||
| 38,304 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 9.0% | ||||||||
| 32 | Acadia Realty Trust | 739 | ||||||
| 44 | Alexandria Real Estate Equities, Inc. | 3,225 | ||||||
| 55 | American Campus Communities, Inc. | 2,453 | ||||||
| 109 | BioMed Realty Trust, Inc. | 2,035 | ||||||
| 56 | BRE Properties, Inc. | 2,810 | ||||||
| 57 | Camden Property Trust | 3,881 | ||||||
| 51 | Cedar Realty Trust, Inc. | 258 | ||||||
| 62 | Colonial Properties Trust | 1,375 | ||||||
| 53 | Corporate Office Properties Trust | 1,245 | ||||||
| 74 | Cousins Properties, Inc. | 571 | ||||||
| 121 | DiamondRock Hospitality Co. | 1,238 | ||||||
| 171 | Duke Realty Corp. | 2,503 | ||||||
| 20 | EastGroup Properties, Inc. | 1,076 | ||||||
| 33 | Entertainment Properties Trust | 1,369 | ||||||
| 44 | Equity One, Inc. | 933 | ||||||
| 25 | Essex Property Trust, Inc. | 3,872 | ||||||
| 74 | Extra Space Storage, Inc. | 2,270 | ||||||
| 46 | Federal Realty Investment Trust | 4,752 | ||||||
| 49 | Franklin Street Properties Corp. | 523 | ||||||
| 19 | Getty Realty Corp. | 364 | ||||||
| 56 | Healthcare Realty Trust, Inc. | 1,332 | ||||||
| 54 | Highwoods Properties, Inc. | 1,819 | ||||||
| 36 | Home Properties, Inc. | 2,196 | ||||||
| 89 | Hospitality Properties Trust | 2,193 | ||||||
| 39 | Inland Real Estate Corp. | 324 | ||||||
| 48 | Kilroy Realty Corp. | 2,339 | ||||||
| 45 | Kite Realty Group Trust | 224 | ||||||
| 63 | LaSalle Hotel Properties | 1,844 | ||||||
| 72 | Lexington Realty Trust | 607 | ||||||
| 85 | Liberty Property Trust | 3,122 | ||||||
| 22 | LTC Properties, Inc. | 782 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — Continued |
| |||||||
| 95 | Macerich Co. (The) | 5,592 | ||||||
| 62 | Mack-Cali Realty Corp. | 1,805 | ||||||
| 96 | Medical Properties Trust, Inc. | 920 | ||||||
| 30 | Mid-America Apartment Communities, Inc. | 2,035 | ||||||
| 76 | National Retail Properties, Inc. | 2,163 | ||||||
| 76 | Omega Healthcare Investors, Inc. | 1,701 | ||||||
| 16 | Parkway Properties, Inc. | 179 | ||||||
| 42 | Pennsylvania Real Estate Investment Trust | 628 | ||||||
| 38 | Post Properties, Inc. | 1,878 | ||||||
| 29 | Potlatch Corp. | 917 | ||||||
| 13 | PS Business Parks, Inc. | 911 | ||||||
| 88 | Rayonier, Inc. | 3,961 | ||||||
| 97 | Realty Income Corp. | 4,058 | ||||||
| 65 | Regency Centers Corp. | 3,090 | ||||||
| 26 | Sabra Health Care REIT, Inc. | 447 | ||||||
| 8 | Saul Centers, Inc. | 345 | ||||||
| 116 | Senior Housing Properties Trust | 2,594 | ||||||
| 64 | SL Green Realty Corp. | 5,138 | ||||||
| 22 | Sovran Self Storage, Inc. | 1,101 | ||||||
| 66 | Tanger Factory Outlet Centers | 2,121 | ||||||
| 42 | Taubman Centers, Inc. | 3,239 | ||||||
| 179 | UDR, Inc. | 4,623 | ||||||
| 9 | Universal Health Realty Income Trust | 370 | ||||||
| 16 | Urstadt Biddle Properties, Inc., Class A | 311 | ||||||
| 86 | Weingarten Realty Investors | 2,259 | ||||||
|
| |||||||
| 106,660 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
| 25 | Forestar Group, Inc. (a) | 317 | ||||||
| 31 | Jones Lang LaSalle, Inc. | 2,199 | ||||||
|
| |||||||
| 2,516 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.8% | ||||||||
| 28 | Bank Mutual Corp. | 124 | ||||||
| 50 | Brookline Bancorp, Inc. | 439 | ||||||
| 20 | Dime Community Bancshares, Inc. | 268 | ||||||
| 310 | New York Community Bancorp, Inc. | 3,890 | ||||||
| 70 | Northwest Bancshares, Inc. | 817 | ||||||
| 41 | Oritani Financial Corp. | 587 | ||||||
| 39 | Provident Financial Services, Inc. | 597 | ||||||
| 65 | Trustco Bank Corp. | 357 | ||||||
| 24 | ViewPoint Financial Group, Inc. | 373 | ||||||
| 89 | Washington Federal, Inc. | 1,507 | ||||||
|
| |||||||
| 8,959 | ||||||||
|
| |||||||
Total Financials | 244,262 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care — 10.3% | ||||||||
Biotechnology — 1.8% | ||||||||
| 32 | Alkermes plc, (Ireland) (a) | 548 | ||||||
| 54 | ArQule, Inc. (a) | 321 | ||||||
| 81 | Cubist Pharmaceuticals, Inc. (a) | 3,062 | ||||||
| 16 | Emergent Biosolutions, Inc. (a) | 247 | ||||||
| 31 | Momenta Pharmaceuticals, Inc. (a) | 423 | ||||||
| 40 | Regeneron Pharmaceuticals, Inc. (a) | 4,523 | ||||||
| 52 | Savient Pharmaceuticals, Inc. (a) | 28 | ||||||
| 36 | Spectrum Pharmaceuticals, Inc. (a) | 556 | ||||||
| 98 | United Therapeutics Corp. (a) | 4,841 | ||||||
| 124 | Vertex Pharmaceuticals, Inc. (a) | 6,961 | ||||||
|
| |||||||
| 21,510 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% | ||||||||
| 16 | Abaxis, Inc. (a) | 593 | ||||||
| 6 | Align Technology, Inc. (a) | 203 | ||||||
| 9 | Analogic Corp. | 550 | ||||||
| 15 | Cantel Medical Corp. | 405 | ||||||
| 20 | CONMED Corp. | 554 | ||||||
| 39 | Cooper Cos., Inc. (The) | 3,105 | ||||||
| 19 | CryoLife, Inc. (a) | 102 | ||||||
| 17 | Cyberonics, Inc. (a) | 781 | ||||||
| 24 | Gen-Probe, Inc. (a) | 2,003 | ||||||
| 17 | Greatbatch, Inc. (a) | 375 | ||||||
| 119 | Hill-Rom Holdings, Inc. | 3,665 | ||||||
| 164 | Hologic, Inc. (a) | 2,960 | ||||||
| 8 | ICU Medical, Inc. (a) | 453 | ||||||
| 2 | IDEXX Laboratories, Inc. (a) | 163 | ||||||
| 22 | Invacare Corp. | 344 | ||||||
| 8 | Masimo Corp. (a) | 189 | ||||||
| 31 | Meridian Bioscience, Inc. | 636 | ||||||
| 29 | Merit Medical Systems, Inc. (a) | 404 | ||||||
| 11 | Natus Medical, Inc. (a) | 127 | ||||||
| 18 | Neogen Corp. (a) | 825 | ||||||
| 31 | NuVasive, Inc. (a) | 782 | ||||||
| 14 | Palomar Medical Technologies, Inc. (a) | 116 | ||||||
| 182 | ResMed, Inc. (a) | 5,680 | ||||||
| 12 | SurModics, Inc. (a) | 207 | ||||||
| 25 | Symmetry Medical, Inc. (a) | 212 | ||||||
| 29 | Teleflex, Inc. | 1,748 | ||||||
| 82 | Thoratec Corp. (a) | 2,765 | ||||||
|
| |||||||
| 29,947 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.6% | ||||||||
| 10 | Air Methods Corp. (a) | 965 | ||||||
| 6 | Almost Family, Inc. (a) | 131 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — Continued |
| |||||||
| 3 | Amedisys, Inc. (a) | 39 | ||||||
| 28 | AMN Healthcare Services, Inc. (a) | 167 | ||||||
| 22 | AmSurg Corp. (a) | 669 | ||||||
| 17 | Bio-Reference Labs, Inc. (a) | 456 | ||||||
| 29 | Catalyst Health Solutions, Inc. (a) | 2,726 | ||||||
| 53 | Centene Corp. (a) | 1,592 | ||||||
| 5 | Chemed Corp. | 324 | ||||||
| 208 | Community Health Systems, Inc. (a) | 5,844 | ||||||
| 5 | Corvel Corp. (a) | 234 | ||||||
| 21 | Cross Country Healthcare, Inc. (a) | 93 | ||||||
| 12 | Ensign Group, Inc. (The) | 334 | ||||||
| 21 | Gentiva Health Services, Inc. (a) | 148 | ||||||
| 26 | Hanger, Inc. (a) | 673 | ||||||
| 422 | Health Management Associates, Inc., Class A (a) | 3,316 | ||||||
| 39 | Health Net, Inc. (a) | 949 | ||||||
| 23 | Healthways, Inc. (a) | 186 | ||||||
| 72 | Henry Schein, Inc. (a) | 5,635 | ||||||
| 12 | IPC The Hospitalist Co., Inc. (a) | 559 | ||||||
| 38 | Kindred Healthcare, Inc. (a) | 370 | ||||||
| 7 | Landauer, Inc. | 383 | ||||||
| 11 | LHC Group, Inc. (a) | 187 | ||||||
| 44 | Lincare Holdings, Inc. | 1,481 | ||||||
| 7 | Magellan Health Services, Inc. (a) | 337 | ||||||
| 50 | Molina Healthcare, Inc. (a) | 1,166 | ||||||
| 9 | MWI Veterinary Supply, Inc. (a) | 914 | ||||||
| 179 | Omnicare, Inc. | 5,596 | ||||||
| 27 | Owens & Minor, Inc. | 824 | ||||||
| 21 | PharMerica Corp. (a) | 226 | ||||||
| 33 | Universal Health Services, Inc., Class B | 1,434 | ||||||
| 89 | WellCare Health Plans, Inc. (a) | 4,738 | ||||||
|
| |||||||
| 42,696 | ||||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
| 8 | Computer Programs & Systems, Inc. | 450 | ||||||
| 16 | Medidata Solutions, Inc. (a) | 516 | ||||||
| 23 | Omnicell, Inc. (a) | 341 | ||||||
|
| |||||||
| 1,307 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% | ||||||||
| 30 | Affymetrix, Inc. (a) | 140 | ||||||
| 27 | Cambrex Corp. (a) | 251 | ||||||
| 68 | Charles River Laboratories International, Inc. (a) | 2,213 | ||||||
| 24 | Covance, Inc. (a) | 1,171 | ||||||
| 23 | Enzo Biochem, Inc. (a) | 38 | ||||||
| 30 | eResearchTechnology, Inc. (a) | 240 | ||||||
| 27 | Luminex Corp. (a) | 657 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 19 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (Continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Life Sciences Tools & Services — Continued |
| |||||||
| 4 | Mettler-Toledo International, Inc. (a) | 680 | ||||||
| 75 | PAREXEL International Corp. (a) | 2,123 | ||||||
|
| |||||||
| 7,513 | ||||||||
|
| |||||||
Pharmaceuticals — 1.6% | ||||||||
| 166 | Akorn, Inc. (a) | 2,620 | ||||||
| 156 | Endo Health Solutions, Inc. (a) | 4,830 | ||||||
| 7 | Hi-Tech Pharmacal Co., Inc. (a) | 228 | ||||||
| 38 | Medicines Co. (The) (a) | 870 | ||||||
| 22 | Par Pharmaceutical Cos., Inc. (a) | 786 | ||||||
| 124 | Questcor Pharmaceuticals, Inc. (a) | 6,576 | ||||||
| 33 | Salix Pharmaceuticals Ltd. (a) | 1,777 | ||||||
| 69 | ViroPharma, Inc. (a) | 1,628 | ||||||
|
| |||||||
| 19,315 | ||||||||
|
| |||||||
Total Health Care | 122,288 | |||||||
|
| |||||||
Industrials — 15.6% | ||||||||
Aerospace & Defense — 1.5% | ||||||||
| 28 | AAR Corp. | 382 | ||||||
| 13 | Aerovironment, Inc. (a) | 351 | ||||||
| 55 | Alliant Techsystems, Inc. | 2,796 | ||||||
| 7 | American Science & Engineering, Inc. | 368 | ||||||
| 135 | BE Aerospace, Inc. (a) | 5,910 | ||||||
| 18 | Ceradyne, Inc. | 453 | ||||||
| 12 | Cubic Corp. | 571 | ||||||
| 134 | Exelis, Inc. | 1,320 | ||||||
| 42 | GenCorp, Inc. (a) | 271 | ||||||
| 63 | Huntington Ingalls Industries, Inc. (a) | 2,525 | ||||||
| 5 | Moog, Inc., Class A (a) | 186 | ||||||
| 4 | National Presto Industries, Inc. | 270 | ||||||
| 44 | Orbital Sciences Corp. (a) | 570 | ||||||
| 14 | Teledyne Technologies, Inc. (a) | 835 | ||||||
| 24 | Triumph Group, Inc. | 1,330 | ||||||
|
| |||||||
| 18,138 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% | ||||||||
| 21 | Forward Air Corp. | 669 | ||||||
| 74 | UTi Worldwide, Inc., (United Kingdom) | 1,081 | ||||||
|
| |||||||
| 1,750 | ||||||||
|
| |||||||
Airlines — 0.8% | ||||||||
| 137 | Alaska Air Group, Inc. (a) | 4,917 | ||||||
| 13 | Allegiant Travel Co. (a) | 933 | ||||||
| 636 | JetBlue Airways Corp. (a) | 3,372 | ||||||
| 29 | SkyWest, Inc. | 190 | ||||||
|
| |||||||
| 9,412 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Building Products — 0.5% | ||||||||
| 34 | A.O. Smith Corp. | 1,685 | ||||||
| 13 | AAON, Inc. | 241 | ||||||
| 19 | Apogee Enterprises, Inc. | 310 | ||||||
| 11 | Gibraltar Industries, Inc. (a) | 110 | ||||||
| 32 | Griffon Corp. | 278 | ||||||
| 43 | Lennox International, Inc. | 2,028 | ||||||
| 20 | NCI Building Systems, Inc. (a) | 216 | ||||||
| 26 | Quanex Building Products Corp. | 464 | ||||||
| 14 | Universal Forest Products, Inc. | 542 | ||||||
|
| |||||||
| 5,874 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% | ||||||||
| 33 | ABM Industries, Inc. | 654 | ||||||
| 78 | Brink’s Co. (The) | 1,815 | ||||||
| 6 | Clean Harbors, Inc. (a) | 312 | ||||||
| 7 | Consolidated Graphics, Inc. (a) | 213 | ||||||
| 160 | Copart, Inc. (a) | 3,782 | ||||||
| 36 | Deluxe Corp. | 893 | ||||||
| 15 | Encore Capital Group, Inc. (a) | 457 | ||||||
| 13 | G&K Services, Inc., Class A | 400 | ||||||
| 47 | Healthcare Services Group, Inc. | 920 | ||||||
| 12 | Herman Miller, Inc. | 226 | ||||||
| 7 | HNI Corp. | 180 | ||||||
| 53 | Interface, Inc. | 720 | ||||||
| 22 | Mine Safety Appliances Co. | 886 | ||||||
| 26 | Mobile Mini, Inc. (a) | 371 | ||||||
| 12 | Portfolio Recovery Associates, Inc. (a) | 1,104 | ||||||
| 31 | Sykes Enterprises, Inc. (a) | 493 | ||||||
| 94 | Tetra Tech, Inc. (a) | 2,445 | ||||||
| 11 | UniFirst Corp. | 731 | ||||||
| 24 | United Stationers, Inc. | 656 | ||||||
| 14 | Viad Corp. | 283 | ||||||
|
| |||||||
| 17,541 | ||||||||
|
| |||||||
Construction & Engineering — 1.3% | ||||||||
| 40 | AECOM Technology Corp. (a) | 657 | ||||||
| 28 | Aegion Corp. (a) | 506 | ||||||
| 26 | Comfort Systems USA, Inc. | 264 | ||||||
| 26 | Dycom Industries, Inc. (a) | 476 | ||||||
| 72 | EMCOR Group, Inc. | 2,002 | ||||||
| 48 | Granite Construction, Inc. | 1,252 | ||||||
| 39 | KBR, Inc. | 963 | ||||||
| 19 | Orion Marine Group, Inc. (a) | 135 | ||||||
| 140 | Shaw Group, Inc. (The) (a) | 3,814 | ||||||
| 137 | URS Corp. | 4,779 | ||||||
|
| |||||||
| 14,848 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Electrical Equipment — 1.4% | ||||||||
| 17 | Acuity Brands, Inc. | 888 | ||||||
| 126 | AMETEK, Inc. | 6,282 | ||||||
| 9 | AZZ, Inc. | 533 | ||||||
| 44 | Belden, Inc. | 1,459 | ||||||
| 86 | Brady Corp., Class A | 2,355 | ||||||
| 14 | Encore Wire Corp. | 362 | ||||||
| 57 | EnerSys (a) | 2,012 | ||||||
| 14 | Franklin Electric Co., Inc. | 705 | ||||||
| 21 | General Cable Corp. (a) | 549 | ||||||
| 21 | Hubbell, Inc., Class B | 1,633 | ||||||
| 6 | Powell Industries, Inc. (a) | 232 | ||||||
| 16 | Vicor Corp. | 110 | ||||||
|
| |||||||
| 17,120 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% | ||||||||
| 82 | Carlisle Cos., Inc. | 4,344 | ||||||
| 9 | Standex International Corp. | 364 | ||||||
|
| |||||||
| 4,708 | ||||||||
|
| |||||||
Machinery — 4.9% |
| |||||||
| 159 | Actuant Corp., Class A | 4,320 | ||||||
| 133 | AGCO Corp. (a) | 6,078 | ||||||
| 20 | Albany International Corp., Class A | 374 | ||||||
| 15 | Astec Industries, Inc. (a) | 461 | ||||||
| 91 | Barnes Group, Inc. | 2,221 | ||||||
| 36 | Briggs & Stratton Corp. | 633 | ||||||
| 6 | Cascade Corp. | 297 | ||||||
| 12 | CIRCOR International, Inc. | 421 | ||||||
| 7 | CLARCOR, Inc. | 314 | ||||||
| 66 | Crane Co. | 2,394 | ||||||
| 8 | Donaldson Co., Inc. | 269 | ||||||
| 15 | EnPro Industries, Inc. (a) | 545 | ||||||
| 20 | ESCO Technologies, Inc. | 737 | ||||||
| 44 | Federal Signal Corp. (a) | 258 | ||||||
| 35 | Gardner Denver, Inc. | 1,873 | ||||||
| 29 | Graco, Inc. | 1,336 | ||||||
| 41 | ITT Corp. | 713 | ||||||
| 20 | John Bean Technologies Corp. | 273 | ||||||
| 88 | Kennametal, Inc. | 2,911 | ||||||
| 83 | Lincoln Electric Holdings, Inc. | 3,613 | ||||||
| 9 | Lindsay Corp. | 586 | ||||||
| 12 | Lydall, Inc. (a) | 156 | ||||||
| 27 | Mueller Industries, Inc. | 1,165 | ||||||
| 80 | Oshkosh Corp. (a) | 1,667 | ||||||
| 25 | Pentair, Inc. | 967 | ||||||
| 80 | Robbins & Myers, Inc. | 3,364 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
| 14 | Tennant Co. | 549 | ||||||
| 50 | Terex Corp. (a) | 884 | ||||||
| 79 | Timken Co. | 3,627 | ||||||
| 30 | Toro Co. (The) | 2,224 | ||||||
| 125 | Trinity Industries, Inc. | 3,132 | ||||||
| 40 | Valmont Industries, Inc. | 4,809 | ||||||
| 59 | Wabtec Corp. | 4,587 | ||||||
|
| |||||||
| 57,758 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
| 48 | Kirby Corp. (a) | 2,254 | ||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 9 | CDI Corp. | 146 | ||||||
| 39 | Corporate Executive Board Co. (The) | 1,606 | ||||||
| 22 | Dolan Co. (The) (a) | 145 | ||||||
| 10 | Exponent, Inc. (a) | 517 | ||||||
| 94 | FTI Consulting, Inc. (a) | 2,714 | ||||||
| 12 | Heidrick & Struggles International, Inc. | 218 | ||||||
| 17 | Insperity, Inc. | 458 | ||||||
| 21 | Kelly Services, Inc., Class A | 270 | ||||||
| 33 | Korn/Ferry International (a) | 477 | ||||||
| 44 | Manpower, Inc. | 1,620 | ||||||
| 36 | Navigant Consulting, Inc. (a) | 460 | ||||||
| 31 | On Assignment, Inc. (a) | 491 | ||||||
| 33 | Resources Connection, Inc. | 404 | ||||||
| 14 | Towers Watson & Co., Class A | 857 | ||||||
| 34 | TrueBlue, Inc. (a) | 522 | ||||||
|
| |||||||
| 10,905 | ||||||||
|
| |||||||
Road & Rail — 1.6% |
| |||||||
| 18 | Arkansas Best Corp. | 228 | ||||||
| 171 | Avis Budget Group, Inc. (a) | 2,601 | ||||||
| 77 | Con-way, Inc. | 2,781 | ||||||
| 41 | Heartland Express, Inc. | 583 | ||||||
| 106 | J.B. Hunt Transport Services, Inc. | 6,311 | ||||||
| 56 | Kansas City Southern | 3,868 | ||||||
| 35 | Landstar System, Inc. | 1,830 | ||||||
| 26 | Old Dominion Freight Line, Inc. (a) | 1,140 | ||||||
|
| |||||||
| 19,342 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.5% |
| |||||||
| 4 | Applied Industrial Technologies, Inc. | 138 | ||||||
| 19 | Kaman Corp. | 579 | ||||||
| 4 | Lawson Products, Inc. | 35 | ||||||
| 8 | MSC Industrial Direct Co., Inc., Class A | 556 | ||||||
| 95 | United Rentals, Inc. (a) | 3,234 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 21 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (Continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Trading Companies & Distributors — Continued |
| |||||||
| 13 | Watsco, Inc. | 929 | ||||||
|
| |||||||
| 5,471 | ||||||||
|
| |||||||
Total Industrials | 185,121 | |||||||
|
| |||||||
Information Technology — 16.6% |
| |||||||
Communications Equipment — 1.1% |
| |||||||
| 155 | Arris Group, Inc. (a) | 2,154 | ||||||
| 8 | Bel Fuse, Inc., Class B | 140 | ||||||
| 13 | Black Box Corp. | 366 | ||||||
| 14 | Comtech Telecommunications Corp. | 409 | ||||||
| 17 | Digi International, Inc. (a) | 177 | ||||||
| 84 | Harmonic, Inc. (a) | 356 | ||||||
| 83 | NETGEAR, Inc. (a) | 2,849 | ||||||
| 14 | Oplink Communications, Inc. (a) | 194 | ||||||
| 13 | PC-Tel, Inc. | 86 | ||||||
| 74 | Plantronics, Inc. | 2,480 | ||||||
| 191 | Polycom, Inc. (a) | 2,013 | ||||||
| 55 | Riverbed Technology, Inc. (a) | 893 | ||||||
| 30 | Symmetricom, Inc. (a) | 182 | ||||||
|
| |||||||
| 12,299 | ||||||||
|
| |||||||
Computers & Peripherals — 1.2% |
| |||||||
| 44 | 3D Systems Corp. (a) | 1,519 | ||||||
| 21 | Avid Technology, Inc. (a) | 155 | ||||||
| 114 | Diebold, Inc. | 4,192 | ||||||
| 36 | Intermec, Inc. (a) | 221 | ||||||
| 14 | Intevac, Inc. (a) | 103 | ||||||
| 251 | NCR Corp. (a) | 5,696 | ||||||
| 23 | Novatel Wireless, Inc. (a) | 57 | ||||||
| 32 | QLogic Corp. (a) | 444 | ||||||
| 15 | Stratasys, Inc. (a) | 732 | ||||||
| 24 | Super Micro Computer, Inc. (a) | 380 | ||||||
| 32 | Synaptics, Inc. (a) | 925 | ||||||
|
| |||||||
| 14,424 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.5% |
| |||||||
| 15 | Agilysys, Inc. (a) | 128 | ||||||
| 88 | Avnet, Inc. (a) | 2,723 | ||||||
| 10 | Badger Meter, Inc. | 387 | ||||||
| 43 | Benchmark Electronics, Inc. (a) | 603 | ||||||
| 49 | Brightpoint, Inc. (a) | 267 | ||||||
| 28 | Checkpoint Systems, Inc. (a) | 243 | ||||||
| 23 | CTS Corp. | 220 | ||||||
| 24 | Daktronics, Inc. | 168 | ||||||
| 12 | DTS, Inc. (a) | 315 | ||||||
| 18 | Electro Scientific Industries, Inc. | 213 | ||||||
| 13 | FARO Technologies, Inc. (a) | 551 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — Continued |
| |||||||
| 54 | FEI Co. (a) | 2,602 | ||||||
| 18 | Gerber Scientific, Inc. (a) (f) (i) | — | ||||||
| 170 | Ingram Micro, Inc., Class A (a) | 2,976 | ||||||
| 33 | Insight Enterprises, Inc. (a) | 562 | ||||||
| 16 | Littelfuse, Inc. | 903 | ||||||
| 11 | Measurement Specialties, Inc. (a) | 353 | ||||||
| 22 | Mercury Computer Systems, Inc. (a) | 280 | ||||||
| 26 | Methode Electronics, Inc. | 222 | ||||||
| 11 | MTS Systems Corp. | 439 | ||||||
| 26 | Newport Corp. (a) | 317 | ||||||
| 7 | OSI Systems, Inc. (a) | 452 | ||||||
| 14 | Park Electrochemical Corp. | 367 | ||||||
| 67 | Plexus Corp. (a) | 1,902 | ||||||
| 26 | Pulse Electronics Corp. | 51 | ||||||
| 17 | Radisys Corp. (a) | 106 | ||||||
| 21 | Rofin-Sinar Technologies, Inc. (a) | 390 | ||||||
| 11 | Rogers Corp. (a) | 453 | ||||||
| 21 | ScanSource, Inc. (a) | 643 | ||||||
| 68 | SYNNEX Corp. (a) | 2,357 | ||||||
| 90 | Tech Data Corp. (a) | 4,330 | ||||||
| 76 | Trimble Navigation Ltd. (a) | 3,485 | ||||||
| 49 | TTM Technologies, Inc. (a) | 458 | ||||||
|
| |||||||
| 29,466 | ||||||||
|
| |||||||
Internet Software & Services — 1.7% |
| |||||||
| 77 | AOL, Inc. (a) | 2,149 | ||||||
| 32 | Blucora, Inc. (a) | 400 | ||||||
| 29 | comScore, Inc. (a) | 479 | ||||||
| 30 | DealerTrack Holdings, Inc. (a) | 892 | ||||||
| 26 | Digital River, Inc. (a) | 438 | ||||||
| 34 | Equinix, Inc. (a) | 6,032 | ||||||
| 33 | j2 Global, Inc. | 872 | ||||||
| 31 | Liquidity Services, Inc. (a) | 1,566 | ||||||
| 34 | LivePerson, Inc. (a) | 657 | ||||||
| 15 | LogMeIn, Inc. (a) | 464 | ||||||
| 93 | Monster Worldwide, Inc. (a) | 789 | ||||||
| 16 | OpenTable, Inc. (a) | 724 | ||||||
| 23 | Perficient, Inc. (a) | 256 | ||||||
| 25 | QuinStreet, Inc. (a) | 227 | ||||||
| 76 | Rackspace Hosting, Inc. (a) | 3,352 | ||||||
| 12 | Stamps.com, Inc. (a) | 301 | ||||||
| 55 | United Online, Inc. | 232 | ||||||
| 11 | XO Group, Inc. (a) | 98 | ||||||
|
| |||||||
| 19,928 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — 3.5% |
| |||||||
| 58 | Acxiom Corp. (a) | 871 | ||||||
| 62 | Alliance Data Systems Corp. (a) | 8,370 | ||||||
| 30 | Broadridge Financial Solutions, Inc. | 634 | ||||||
| 69 | CACI International, Inc., Class A (a) | 3,810 | ||||||
| 49 | CIBER, Inc. (a) | 212 | ||||||
| 61 | Convergys Corp. | 900 | ||||||
| 49 | CoreLogic, Inc. (a) | 898 | ||||||
| 24 | CSG Systems International, Inc. (a) | 418 | ||||||
| 80 | DST Systems, Inc. | 4,372 | ||||||
| 15 | ExlService Holdings, Inc. (a) | 359 | ||||||
| 10 | Forrester Research, Inc. | 355 | ||||||
| 121 | Gartner, Inc. (a) | 5,227 | ||||||
| 27 | Heartland Payment Systems, Inc. | 813 | ||||||
| 24 | Higher One Holdings, Inc. (a) | 292 | ||||||
| 21 | iGATE Corp. (a) | 360 | ||||||
| 35 | Jack Henry & Associates, Inc. | �� | 1,213 | |||||
| 217 | Lender Processing Services, Inc. | 5,480 | ||||||
| 11 | ManTech International Corp., Class A | 261 | ||||||
| 11 | MAXIMUS, Inc. | 548 | ||||||
| 4 | NCI, Inc., Class A (a) | 18 | ||||||
| 40 | NeuStar, Inc., Class A (a) | 1,339 | ||||||
| 21 | TeleTech Holdings, Inc. (a) | 340 | ||||||
| 59 | VeriFone Systems, Inc. (a) | 1,956 | ||||||
| 13 | Virtusa Corp. (a) | 179 | ||||||
| 27 | Wright Express Corp. (a) | 1,676 | ||||||
|
| |||||||
| 40,901 | ||||||||
|
| |||||||
Office Electronics — 0.0% (g) |
| |||||||
| 6 | Zebra Technologies Corp., Class A (a) | 206 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 32 | Advanced Energy Industries, Inc. (a) | 423 | ||||||
| 202 | Atmel Corp. (a) | 1,355 | ||||||
| 24 | ATMI, Inc. (a) | 489 | ||||||
| 47 | Brooks Automation, Inc. | 442 | ||||||
| 17 | Cabot Microelectronics Corp. | 492 | ||||||
| 18 | Ceva, Inc. (a) | 311 | ||||||
| 67 | Cirrus Logic, Inc. (a) | 1,994 | ||||||
| 17 | Cohu, Inc. | 174 | ||||||
| 221 | Cypress Semiconductor Corp. (a) | 2,921 | ||||||
| 16 | DSP Group, Inc. (a) | 103 | ||||||
| 12 | Entropic Communications, Inc. (a) | 66 | ||||||
| 32 | Exar Corp. (a) | 259 | ||||||
| 243 | Fairchild Semiconductor International, Inc. (a) | 3,432 | ||||||
| 381 | GT Advanced Technologies, Inc. (a) | 2,012 | ||||||
| 8 | Hittite Microwave Corp. (a) | 428 | ||||||
| 106 | Integrated Device Technology, Inc. (a) | 593 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — Continued |
| |||||||
| 44 | Kopin Corp. (a) | 153 | ||||||
| 51 | Kulicke & Soffa Industries, Inc. (a) | 451 | ||||||
| 30 | Lam Research Corp. (a) | 1,123 | ||||||
| 35 | Micrel, Inc. | 332 | ||||||
| 146 | Microsemi Corp. (a) | 2,699 | ||||||
| 63 | MKS Instruments, Inc. | 1,831 | ||||||
| 25 | Monolithic Power Systems, Inc. (a) | 498 | ||||||
| 12 | Nanometrics, Inc. (a) | 189 | ||||||
| 17 | Pericom Semiconductor Corp. (a) | 153 | ||||||
| 28 | Power Integrations, Inc. | 1,042 | ||||||
| 12 | Rubicon Technology, Inc. (a) | 120 | ||||||
| 21 | Rudolph Technologies, Inc. (a) | 186 | ||||||
| 4 | Semtech Corp. (a) | 93 | ||||||
| 19 | Sigma Designs, Inc. (a) | 123 | ||||||
| 85 | Silicon Laboratories, Inc. (a) | 3,236 | ||||||
| 124 | Skyworks Solutions, Inc. (a) | 3,392 | ||||||
| 16 | Standard Microsystems Corp. (a) | 598 | ||||||
| 30 | STR Holdings, Inc. (a) | 136 | ||||||
| 9 | Supertex, Inc. (a) | 168 | ||||||
| 37 | Tessera Technologies, Inc. | 564 | ||||||
| 19 | Ultratech, Inc. (a) | 599 | ||||||
| 18 | Volterra Semiconductor Corp. (a) | 418 | ||||||
|
| |||||||
| 33,598 | ||||||||
|
| |||||||
Software — 3.8% |
| |||||||
| 23 | Advent Software, Inc. (a) | 615 | ||||||
| 52 | ANSYS, Inc. (a) | 3,253 | ||||||
| 32 | Blackbaud, Inc. | 824 | ||||||
| 25 | Bottomline Technologies, Inc. (a) | 454 | ||||||
| 481 | Cadence Design Systems, Inc. (a) | 5,283 | ||||||
| 72 | CommVault Systems, Inc. (a) | 3,580 | ||||||
| 156 | Compuware Corp. (a) | 1,445 | ||||||
| 28 | Ebix, Inc. (c) | 550 | ||||||
| 23 | EPIQ Systems, Inc. | 285 | ||||||
| 24 | FactSet Research Systems, Inc. | 2,184 | ||||||
| 87 | Fair Isaac Corp. | 3,672 | ||||||
| 63 | Informatica Corp. (a) | 2,653 | ||||||
| 10 | Interactive Intelligence Group, Inc. (a) | 282 | ||||||
| 35 | Manhattan Associates, Inc. (a) | 1,619 | ||||||
| 36 | Mentor Graphics Corp. (a) | 533 | ||||||
| 37 | MICROS Systems, Inc. (a) | 1,890 | ||||||
| 6 | MicroStrategy, Inc., Class A (a) | 783 | ||||||
| 26 | Monotype Imaging Holdings, Inc. (a) | 437 | ||||||
| 25 | Netscout Systems, Inc. (a) | 548 | ||||||
| 11 | Opnet Technologies, Inc. | 289 | ||||||
| 16 | Parametric Technology Corp. (a) | 325 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 23 | ||||||
Table of Contents
JPMorgan Market Expansion Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (Continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Software — Continued |
| |||||||
| 42 | Quest Software, Inc. (a) | 1,179 | ||||||
| 111 | Rovi Corp. (a) | 2,181 | ||||||
| 16 | Sourcefire, Inc. (a) | 828 | ||||||
| 189 | Synopsys, Inc. (a) | 5,573 | ||||||
| 103 | TIBCO Software, Inc. (a) | 3,093 | ||||||
| 20 | VASCO Data Security International, Inc. (a) | 164 | ||||||
| 29 | Websense, Inc. (a) | 540 | ||||||
|
| |||||||
| 45,062 | ||||||||
|
| |||||||
Total Information Technology | 195,884 | |||||||
|
| |||||||
Materials — 6.3% |
| |||||||
Chemicals — 2.8% |
| |||||||
| 23 | A Schulman, Inc. | 451 | ||||||
| 59 | Albemarle Corp. | 3,495 | ||||||
| 17 | American Vanguard Corp. | 447 | ||||||
| 46 | Ashland, Inc. | 3,192 | ||||||
| 22 | Balchem Corp. | 712 | ||||||
| 48 | Cabot Corp. | 1,973 | ||||||
| 43 | Calgon Carbon Corp. (a) | 605 | ||||||
| 37 | Cytec Industries, Inc. | 2,186 | ||||||
| 87 | H.B. Fuller Co. | 2,668 | ||||||
| 6 | Hawkins, Inc. | 236 | ||||||
| 29 | Intrepid Potash, Inc. (a) | 650 | ||||||
| 14 | Koppers Holdings, Inc. | 492 | ||||||
| 23 | Kraton Performance Polymers, Inc. (a) | 498 | ||||||
| 13 | LSB Industries, Inc. (a) | 412 | ||||||
| 13 | Minerals Technologies, Inc. | 843 | ||||||
| 24 | NewMarket Corp. | 5,297 | ||||||
| 158 | Olin Corp. | 3,303 | ||||||
| 20 | OM Group, Inc. (a) | 382 | ||||||
| 9 | Quaker Chemical Corp. | 419 | ||||||
| 3 | Sensient Technologies Corp. | 113 | ||||||
| 7 | Stepan Co. | 634 | ||||||
| 16 | Tredegar Corp. | 231 | ||||||
| 72 | Valspar Corp. | 3,796 | ||||||
| 15 | Zep, Inc. | 208 | ||||||
|
| |||||||
| 33,243 | ||||||||
|
| |||||||
Construction Materials — 0.5% |
| |||||||
| 103 | Eagle Materials, Inc. | 3,861 | ||||||
| 44 | Headwaters, Inc. (a) | 225 | ||||||
| 20 | Martin Marietta Materials, Inc. | 1,538 | ||||||
|
| |||||||
| 5,624 | ||||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
| 21 | Aptargroup, Inc. | 1,095 | ||||||
| 4 | Greif, Inc., Class A | 163 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — Continued |
| |||||||
| 24 | Myers Industries, Inc. | 412 | ||||||
| 21 | Rock-Tenn Co., Class A | 1,146 | ||||||
| 60 | Silgan Holdings, Inc. | 2,544 | ||||||
| 49 | Sonoco Products Co. | 1,466 | ||||||
|
| |||||||
| 6,826 | ||||||||
|
| |||||||
Metals & Mining — 1.6% |
| |||||||
| 11 | AM Castle & Co. (a) | 122 | ||||||
| 18 | AMCOL International Corp. | 506 | ||||||
| 41 | Commercial Metals Co. | 523 | ||||||
| 45 | Globe Specialty Metals, Inc. | 598 | ||||||
| 9 | Haynes International, Inc. | 441 | ||||||
| 11 | Kaiser Aluminum Corp. | 592 | ||||||
| 15 | Materion Corp. | 353 | ||||||
| 6 | Olympic Steel, Inc. | 102 | ||||||
| 88 | Reliance Steel & Aluminum Co. | 4,464 | ||||||
| 43 | Royal Gold, Inc. | 3,341 | ||||||
| 23 | RTI International Metals, Inc. (a) | 525 | ||||||
| 362 | Steel Dynamics, Inc. | 4,250 | ||||||
| 51 | SunCoke Energy, Inc. (a) | 740 | ||||||
| 103 | Worthington Industries, Inc. | 2,101 | ||||||
|
| |||||||
| 18,658 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
| 18 | Buckeye Technologies, Inc. | 506 | ||||||
| 17 | Clearwater Paper Corp. (a) | 564 | ||||||
| 8 | Deltic Timber Corp. | 515 | ||||||
| 64 | Domtar Corp., (Canada) | 4,890 | ||||||
| 28 | KapStone Paper & Packaging Corp. (a) | 436 | ||||||
| 13 | Neenah Paper, Inc. | 357 | ||||||
| �� | 29 | Schweitzer-Mauduit International, Inc. | 1,984 | |||||
| 34 | Wausau Paper Corp. | 329 | ||||||
|
| |||||||
| 9,581 | ||||||||
|
| |||||||
Total Materials | 73,932 | |||||||
|
| |||||||
Telecommunication Services — 0.5% |
| |||||||
Diversified Telecommunication Services — 0.3% |
| |||||||
| 7 | Atlantic Tele-Network, Inc. | 219 | ||||||
| 19 | Cbeyond, Inc. (a) | 131 | ||||||
| 137 | Cincinnati Bell, Inc. (a) | 510 | ||||||
| 30 | General Communication, Inc., Class A (a) | 246 | ||||||
| 11 | Lumos Networks Corp. | 106 | ||||||
| 23 | Neutral Tandem, Inc. (a) | 301 | ||||||
| 108 | tw telecom, inc. (a) | 2,759 | ||||||
|
| |||||||
| 4,272 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — (Continued) |
| ||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 11 | NTELOS Holdings Corp. | 212 | ||||||
| 72 | Telephone & Data Systems, Inc. | 1,537 | ||||||
| 15 | USA Mobility, Inc. | 196 | ||||||
|
| |||||||
| 1,945 | ||||||||
|
| |||||||
Total Telecommunication Services | 6,217 | |||||||
|
| |||||||
Utilities — 4.4% |
| |||||||
Electric Utilities — 2.1% |
| |||||||
| 10 | ALLETE, Inc. | 414 | ||||||
| 42 | Cleco Corp. | 1,769 | ||||||
| 93 | El Paso Electric Co. | 3,080 | ||||||
| 136 | Hawaiian Electric Industries, Inc. | 3,889 | ||||||
| 141 | NV Energy, Inc. | 2,476 | ||||||
| 106 | OGE Energy Corp. | 5,500 | ||||||
| 212 | PNM Resources, Inc. | 4,147 | ||||||
| 61 | UNS Energy Corp. | 2,338 | ||||||
| 35 | Westar Energy, Inc. | 1,047 | ||||||
|
| |||||||
| 24,660 | ||||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
| 38 | Atmos Energy Corp. | 1,342 | ||||||
| 16 | Laclede Group, Inc. (The) | 632 | ||||||
| 42 | New Jersey Resources Corp. | 1,827 | ||||||
| 19 | Northwest Natural Gas Co. | 904 | ||||||
| 274 | Questar Corp. | 5,719 | ||||||
| 44 | Southwest Gas Corp. | 1,924 | ||||||
| 61 | UGI Corp. | 1,781 | ||||||
|
| |||||||
| 14,129 | ||||||||
|
| |||||||
Multi-Utilities — 1.1% |
| |||||||
| 92 | Alliant Energy Corp. | 4,212 | ||||||
| 111 | Avista Corp. | 2,976 | ||||||
| 11 | Black Hills Corp. | 338 | ||||||
| 11 | CH Energy Group, Inc. | 711 | ||||||
| 42 | NorthWestern Corp. | 1,539 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — Continued |
| |||||||
| 92 | Vectren Corp. | 2,716 | ||||||
|
| |||||||
| 12,492 | ||||||||
|
| |||||||
Water Utilities — 0.0% (g) |
| |||||||
| 14 | American States Water Co. | 555 | ||||||
|
| |||||||
Total Utilities | 51,836 | |||||||
|
| |||||||
Total Common Stocks | 1,158,806 | |||||||
|
| |||||||
| Short-Term Investments — 2.0% |
| ||||||
Investment Company — 1.9% | ||||||||
| 21,942 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) | 21,942 | ||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
U.S. Treasury Obligation — 0.1% |
| |||||||
| 1,965 | U.S. Treasury Bill, 0.067%, 08/09/12 (k) (n) | 1,965 | ||||||
|
| |||||||
Total Short-Term Investments | 23,907 | |||||||
|
| |||||||
| SHARES | ||||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
| 1,127 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 1,127 | ||||||
|
| |||||||
Total Investments — 100.0% | 1,183,840 | |||||||
Liabilities in Excess of | (268 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,183,572 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 90 | E-mini Russell 2000 | 09/21/12 | $ | 7,159 | $ | 377 | ||||||||||
| 202 | S&P Mid Cap 400 | 09/21/12 | 18,978 | 539 | ||||||||||||
|
| |||||||||||||||
| $ | 916 | |||||||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 25 | ||||||
Table of Contents
J.P. Morgan Equity Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (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. | |||||
| (f) | — Security is fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Market Expansion Index Fund owns fair valued securities with a value of $0 which amounts to 0.0% of total investments. | |||||
| (g) | — Amount rounds to less than 0.1% |
| (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, 2012. | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. | |
| (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.
| 26 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(Amounts in thousands, except per share amounts)
| Equity Index Fund | Market Expansion Index Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 1,742,814 | $ | 1,160,771 | ||||
Investments in affiliates, at value | 24,495 | 23,069 | ||||||
|
|
|
| |||||
Total investment securities, at value | 1,767,309 | 1,183,840 | ||||||
Receivables: | ||||||||
Investment securities sold | 1,572 | 4,300 | ||||||
Fund shares sold | 5,029 | 1,622 | ||||||
Dividends from non-affiliates | 2,291 | 1,043 | ||||||
Dividends from affiliates | 1 | 4 | ||||||
Securities lending income | — | 1 | ||||||
Variation margin on futures contracts | 59 | 722 | ||||||
Other assets | 228 | — | ||||||
|
|
|
| |||||
Total Assets | 1,776,489 | 1,191,532 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Due to custodian | 255 | — | ||||||
Dividends | 823 | 2,581 | ||||||
Investment securities purchased | 2,857 | 3,011 | ||||||
Collateral for securities lending program | — | 1,127 | ||||||
Fund shares redeemed | 1,393 | 666 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 227 | 230 | ||||||
Administration fees | — | 80 | ||||||
Shareholder servicing fees | 12 | 62 | ||||||
Distribution fees | 140 | 24 | ||||||
Custodian and accounting fees | 13 | 15 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 3 | 10 | ||||||
Transfer agent fees | 430 | 93 | ||||||
Other | 125 | 61 | ||||||
|
|
|
| |||||
Total Liabilities | 6,278 | 7,960 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,770,211 | $ | 1,183,572 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Index Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 975,274 | $ | 981,121 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 605 | (1,205 | ) | |||||
Accumulated net realized gains (losses) | (133,340 | ) | 31,952 | |||||
Net unrealized appreciation (depreciation) | 927,672 | 171,704 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 1,770,211 | $ | 1,183,572 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 520,294 | $ | 62,820 | ||||
Class B | 15,380 | 3,613 | ||||||
Class C | 45,854 | 12,330 | ||||||
Class R2 | — | 4,477 | ||||||
Select Class | 1,188,683 | 1,100,332 | ||||||
|
|
|
| |||||
Total | $ | 1,770,211 | $ | 1,183,572 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 16,828 | 6,089 | ||||||
Class B | 499 | 363 | ||||||
Class C | 1,488 | 1,292 | ||||||
Class R2 | — | 436 | ||||||
Select Class | 38,442 | 106,106 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 30.92 | $ | 10.32 | ||||
Class B — Offering price per share (b) | 30.83 | 9.95 | ||||||
Class C — Offering price per share (b) | 30.81 | 9.55 | ||||||
Class R2 — Offering and redemption price per share | — | 10.25 | ||||||
Select Class — Offering and redemption price per share | 30.92 | 10.37 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 32.63 | $ | 10.89 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 821,341 | $ | 989,983 | ||||
Cost of investments in affiliates | 18,385 | 23,069 | ||||||
Value of securities on loan | — | 1,123 | ||||||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (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, 2012 | J.P. MORGAN EQUITY FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(Amounts in thousands)
| Equity Index Fund | Market Expansion Index Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income from non-affiliates | $ | — | $ | 1 | ||||
Dividend income from non-affiliates | 37,479 | 15,085 | ||||||
Dividend income from affiliates | 628 | 31 | ||||||
Income from securities lending (net) | 31 | 252 | ||||||
Other income | 9 | — | ||||||
|
|
|
| |||||
Total investment income | 38,147 | 15,369 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 4,356 | 2,899 | ||||||
Administration fees | 1,528 | 1,017 | ||||||
Distribution fees: | ||||||||
Class A | 1,270 | 167 | ||||||
Class B | 133 | 32 | ||||||
Class C | 339 | 98 | ||||||
Class R2 | — | 18 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 1,270 | 167 | ||||||
Class B | 44 | 11 | ||||||
Class C | 113 | 32 | ||||||
Class R2 | — | 9 | ||||||
Select Class | 2,929 | 2,680 | ||||||
Custodian and accounting fees | 89 | 78 | ||||||
Interest expense to affiliates | — | (a) | — | |||||
Professional fees | 59 | 61 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 16 | 11 | ||||||
Printing and mailing costs | 200 | 72 | ||||||
Registration and filing fees | 51 | 41 | ||||||
Transfer agent fees | 1,279 | 339 | ||||||
Other | 20 | 11 | ||||||
|
|
|
| |||||
Total expenses | 13,696 | 7,743 | ||||||
|
|
|
| |||||
Less amounts waived | (8,340 | ) | (2,334 | ) | ||||
|
|
|
| |||||
Net expenses | 5,356 | 5,409 | ||||||
|
|
|
| |||||
Net investment income (loss) | 32,791 | 9,960 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 45,297 | 45,758 | ||||||
Investment in affiliates | (199 | ) | — | |||||
Futures | 177 | (2,627 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 45,275 | 43,131 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments in non-affiliates | 867 | (81,678 | ) | |||||
Investments in affiliates | (3,144 | ) | — | |||||
Futures | (514 | ) | 57 | |||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) | (2,791 | ) | (81,621 | ) | ||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 42,484 | (38,490 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 75,275 | $ | (28,530 | ) | |||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 32,791 | $ | 32,321 | $ | 9,960 | $ | 7,635 | ||||||||
Net realized gain (loss) | 45,275 | 39,885 | 43,131 | 111,952 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (2,791 | ) | 397,365 | (81,621 | ) | 203,262 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 75,275 | 469,571 | (28,530 | ) | 322,849 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (8,762 | ) | (8,578 | ) | (449 | ) | (388 | ) | ||||||||
From net realized gains | — | — | (5,003 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (167 | ) | (217 | ) | (4 | ) | (10 | ) | ||||||||
From net realized gains | — | — | (329 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (453 | ) | (419 | ) | (20 | ) | (24 | ) | ||||||||
From net realized gains | — | — | (1,060 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (14 | ) | (10 | ) | ||||||||||
From net realized gains | — | — | (251 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (22,770 | ) | (22,680 | ) | (9,910 | ) | (7,240 | ) | ||||||||
From net realized gains | — | — | (78,847 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (32,152 | ) | (31,894 | ) | (95,887 | ) | (7,672 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (166,073 | ) | (108,701 | ) | 62,469 | 79,057 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (122,950 | ) | 328,976 | (61,948 | ) | 394,234 | ||||||||||
Beginning of period | 1,893,161 | 1,564,185 | 1,245,520 | 851,286 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,770,211 | $ | 1,893,161 | $ | 1,183,572 | $ | 1,245,520 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 605 | $ | 273 | $ | (1,205 | ) | $ | (768 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 31 | ||||||
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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 99,357 | $ | 116,737 | $ | 16,148 | $ | 22,257 | ||||||||
Dividends and distributions reinvested | 8,689 | 8,306 | 4,676 | 327 | ||||||||||||
Cost of shares redeemed | (142,765 | ) | (206,303 | ) | (27,749 | ) | (24,492 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (34,719 | ) | $ | (81,260 | ) | $ | (6,925 | ) | $ | (1,908 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 113 | $ | 159 | $ | 34 | $ | 71 | ||||||||
Dividends and distributions reinvested | 162 | 204 | 312 | 9 | ||||||||||||
Cost of shares redeemed | (7,129 | ) | (12,938 | ) | (1,996 | ) | (3,504 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (6,854 | ) | $ | (12,575 | ) | $ | (1,650 | ) | $ | (3,424 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 8,152 | $ | 8,223 | $ | 3,714 | $ | 2,884 | ||||||||
Dividends and distributions reinvested | 311 | 266 | 894 | 19 | ||||||||||||
Cost of shares redeemed | (13,075 | ) | (13,431 | ) | (4,570 | ) | (2,585 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (4,612 | ) | $ | (4,942 | ) | $ | 38 | $ | 318 | ||||||
|
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|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 2,397 | $ | 2,144 | ||||||||
Dividends and distributions reinvested | — | — | 140 | 6 | ||||||||||||
Cost of shares redeemed | — | — | (1,029 | ) | (1,001 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | $ | — | $ | 1,508 | $ | 1,149 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 299,768 | $ | 414,907 | $ | 237,908 | $ | 295,629 | ||||||||
Dividends and distributions reinvested | 19,621 | 18,907 | 34,362 | 849 | ||||||||||||
Cost of shares redeemed | (439,277 | ) | (443,738 | ) | (202,772 | ) | (213,556 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (119,888 | ) | $ | (9,924 | ) | $ | 69,498 | $ | 82,922 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (166,073 | ) | $ | (108,701 | ) | $ | 62,469 | $ | 79,057 | ||||||
|
|
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|
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|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 3,394 | 4,188 | 1,572 | 2,149 | ||||||||||||
Reinvested | 300 | 293 | 500 | 29 | ||||||||||||
Redeemed | (4,913 | ) | (7,451 | ) | (2,724 | ) | (2,314 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (1,219 | ) | (2,970 | ) | (652 | ) | (136 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 4 | 6 | 4 | 7 | ||||||||||||
Reinvested | 6 | 7 | 35 | 1 | ||||||||||||
Redeemed | (245 | ) | (465 | ) | (199 | ) | (353 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (235 | ) | (452 | ) | (160 | ) | (345 | ) | ||||||||
|
|
|
|
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|
| |||||||||
Class C | ||||||||||||||||
Issued | 279 | 291 | 395 | 283 | ||||||||||||
Reinvested | 11 | 9 | 104 | 2 | ||||||||||||
Redeemed | (447 | ) | (490 | ) | (474 | ) | (276 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (157 | ) | (190 | ) | 25 | 9 | ||||||||||
|
|
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|
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|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 232 | 202 | ||||||||||||
Reinvested | — | — | 15 | 1 | ||||||||||||
Redeemed | — | — | (100 | ) | (96 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 147 | 107 | ||||||||||||
|
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|
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|
| |||||||||
Select Class | ||||||||||||||||
Issued | 10,176 | 14,906 | 23,196 | 27,688 | ||||||||||||
Reinvested | 677 | 665 | 3,668 | 76 | ||||||||||||
Redeemed | (15,173 | ) | (15,613 | ) | (19,720 | ) | (20,466 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in Select Class Shares | (4,320 | ) | (42 | ) | 7,144 | 7,298 | ||||||||||
|
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|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 33 | ||||||
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 asset value, end of period | Total return (excludes sales charge) (a) | ||||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 29.96 | $ | 0.51 | (c) | $ | 0.96 | $ | 1.47 | $ | (0.51 | ) | $ | 30.92 | 5.03 | % | ||||||||||||
Year Ended June 30, 2011 | 23.40 | 0.45 | (c) | 6.56 | 7.01 | (0.45 | ) | 29.96 | 30.09 | |||||||||||||||||||
Year Ended June 30, 2010 | 20.90 | 0.45 | (c) | 2.49 | 2.94 | (0.44 | ) | 23.40 | 13.96 | |||||||||||||||||||
Year Ended June 30, 2009 | 29.08 | 0.51 | (c) | (8.19 | ) | (7.68 | ) | (0.50 | ) | 20.90 | (26.38 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 34.16 | 0.53 | (c) | (5.09 | ) | (4.56 | ) | (0.52 | ) | 29.08 | (13.47 | ) | ||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 29.88 | 0.29 | (c) | 0.94 | 1.23 | (0.28 | ) | 30.83 | 4.20 | |||||||||||||||||||
Year Ended June 30, 2011 | 23.34 | 0.24 | (c) | 6.54 | 6.78 | (0.24 | ) | 29.88 | 29.10 | |||||||||||||||||||
Year Ended June 30, 2010 | 20.84 | 0.26 | (c) | 2.49 | 2.75 | (0.25 | ) | 23.34 | 13.12 | |||||||||||||||||||
Year Ended June 30, 2009 | 28.98 | 0.34 | (c) | (8.15 | ) | (7.81 | ) | (0.33 | ) | 20.84 | (26.92 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 34.02 | 0.28 | (c) | (5.07 | ) | (4.79 | ) | (0.25 | ) | 28.98 | (14.12 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 29.87 | 0.29 | (c) | 0.94 | 1.23 | (0.29 | ) | 30.81 | 4.21 | |||||||||||||||||||
Year Ended June 30, 2011 | 23.34 | 0.24 | (c) | 6.54 | 6.78 | (0.25 | ) | 29.87 | 29.11 | |||||||||||||||||||
Year Ended June 30, 2010 | 20.84 | 0.26 | (c) | 2.49 | 2.75 | (0.25 | ) | 23.34 | 13.14 | |||||||||||||||||||
Year Ended June 30, 2009 | 28.98 | 0.34 | (c) | (8.14 | ) | (7.80 | ) | (0.34 | ) | 20.84 | (26.91 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 34.04 | 0.29 | (c) | (5.08 | ) | (4.79 | ) | (0.27 | ) | 28.98 | (14.13 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 29.97 | 0.58 | (c) | 0.95 | 1.53 | (0.58 | ) | 30.92 | 5.26 | |||||||||||||||||||
Year Ended June 30, 2011 | 23.40 | 0.52 | (c) | 6.57 | 7.09 | (0.52 | ) | 29.97 | 30.45 | |||||||||||||||||||
Year Ended June 30, 2010 | 20.90 | 0.51 | (c) | 2.49 | 3.00 | (0.50 | ) | 23.40 | 14.24 | |||||||||||||||||||
Year Ended June 30, 2009 | 29.08 | 0.56 | (c) | (8.18 | ) | (7.62 | ) | (0.56 | ) | 20.90 | (26.20 | ) | ||||||||||||||||
Year Ended June 30, 2008 | 34.16 | 0.61 | (c) | (5.09 | ) | (4.48 | ) | (0.60 | ) | 29.08 | (13.25 | ) | ||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | ||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||
| Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate | ||||||||||||||
| $ | 520,294 | 0.45 | % | 1.74 | % | 0.94 | % | 7 | % | |||||||||
| 540,743 | 0.45 | 1.63 | 0.94 | 7 | ||||||||||||||
| 491,906 | 0.45 | 1.80 | 0.96 | 8 | ||||||||||||||
| 439,950 | 0.45 | 2.29 | 1.04 | 18 | ||||||||||||||
| 594,810 | 0.45 | 1.64 | 0.97 | 12 | ||||||||||||||
| 15,380 | 1.20 | 0.99 | 1.44 | 7 | ||||||||||||||
| 21,922 | 1.20 | 0.88 | 1.44 | 7 | ||||||||||||||
| 27,677 | 1.20 | 1.07 | 1.46 | 8 | ||||||||||||||
| 36,524 | 1.20 | 1.53 | 1.53 | 18 | ||||||||||||||
| 71,403 | 1.20 | 0.87 | 1.47 | 12 | ||||||||||||||
| 45,854 | 1.20 | 0.99 | 1.44 | 7 | ||||||||||||||
| 49,126 | 1.20 | 0.88 | 1.44 | 7 | ||||||||||||||
| 42,819 | 1.20 | 1.06 | 1.46 | 8 | ||||||||||||||
| 44,210 | 1.20 | 1.53 | 1.54 | 18 | ||||||||||||||
| 72,637 | 1.20 | 0.89 | 1.47 | 12 | ||||||||||||||
| 1,188,683 | 0.20 | 1.99 | 0.69 | 7 | ||||||||||||||
| 1,281,370 | 0.20 | 1.87 | 0.69 | 7 | ||||||||||||||
| 1,001,783 | 0.20 | 2.05 | 0.71 | 8 | ||||||||||||||
| 887,055 | 0.20 | 2.57 | 0.79 | 18 | ||||||||||||||
| 1,102,129 | 0.20 | 1.89 | 0.72 | 12 | ||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 35 | ||||||
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 gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Market Expansion Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 11.52 | $ | 0.07 | (e) | $ | (0.42 | ) | $ | (0.35 | ) | $ | (0.07 | ) | $ | (0.78 | ) | $ | (0.85 | ) | ||||||||
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 | ) | (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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.16 | (0.01 | )(e) | (0.41 | ) | (0.42 | ) | (0.01 | ) | (0.78 | ) | (0.79 | ) | |||||||||||||||
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)(f) | 1.49 | 1.49 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.97 | 0.03 | (e) | (2.94 | ) | (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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 10.74 | (0.01 | )(e) | (0.39 | ) | (0.40 | ) | (0.01 | ) | (0.78 | ) | (0.79 | ) | |||||||||||||||
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)(f) | 1.44 | 1.44 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2009 | 9.63 | 0.03 | (e) | (2.84 | ) | (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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.46 | 0.03 | (e) | (0.42 | ) | (0.39 | ) | (0.04 | ) | (0.78 | ) | (0.82 | ) | |||||||||||||||
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(g) 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, 2012 | 11.57 | 0.09 | (e) | (0.42 | ) | (0.33 | ) | (0.09 | ) | (0.78 | ) | (0.87 | ) | |||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of (000’s) | Net expenses (d) | Net income | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 10.32 | (2.22 | )% | $ | 62,820 | 0.69 | % | 0.64 | % | 0.89 | % | 77 | % | |||||||||||||
| 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 | ) | 45,589 | 0.75 | 1.18 | 1.01 | 70 | |||||||||||||||||||
| 10.21 | (11.79 | ) | 65,663 | 0.70 | 0.70 | 0.94 | 65 | |||||||||||||||||||
| 9.95 | (2.98 | ) | 3,613 | 1.39 | (0.08 | ) | 1.39 | 77 | ||||||||||||||||||
| 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 | ) | 8,587 | 1.49 | 0.44 | 1.50 | 70 | |||||||||||||||||||
| 9.97 | (12.45 | ) | 17,126 | 1.44 | (0.05 | ) | 1.44 | 65 | ||||||||||||||||||
| 9.55 | (2.85 | ) | 12,330 | 1.39 | (0.07 | ) | 1.39 | 77 | ||||||||||||||||||
| 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 | ) | 8,906 | 1.49 | 0.44 | 1.50 | 70 | |||||||||||||||||||
| 9.63 | (12.43 | ) | 15,669 | 1.44 | (0.06 | ) | 1.44 | 65 | ||||||||||||||||||
| 10.25 | (2.64 | ) | 4,477 | 1.07 | 0.27 | 1.14 | 77 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 10.37 | (1.96 | ) | 1,100,332 | 0.44 | 0.89 | 0.64 | 77 | |||||||||||||||||||
| 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 | ) | 591,735 | 0.51 | 1.43 | 0.76 | 70 | |||||||||||||||||||
| 10.24 | (11.55 | ) | 485,717 | 0.45 | 0.95 | 0.69 | 65 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 37 | ||||||
Table of Contents
AS OF JUNE 30, 2012
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.
| 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 |
The investment objective of the Equity Index Fund is to seek investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index.
The investment objective of the Market Expansion Index Fund is to seek 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 Small Cap 600 Index and the Standard & Poor’s Mid Cap 400 Index.
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 is generally the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date.
Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) , a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc. (“JPMAM”), which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Office. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
| 38 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below:
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following tables represent each valuation input 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 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,767,309 | $ | — | $ | — | $ | 1,767,309 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 89 | $ | — | $ | — | $ | 89 | ||||||||
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| Market Expansion Index Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 166,852 | $ | — | $ | — | $ | 166,852 | ||||||||
Consumer Staples | 50,381 | — | — | 50,381 | ||||||||||||
Energy | 62,033 | — | — | 62,033 | ||||||||||||
Financials | 244,262 | — | — | 244,262 | ||||||||||||
Health Care | 122,288 | — | — | 122,288 | ||||||||||||
Industrials | 185,121 | — | — | 185,121 | ||||||||||||
Information Technology | 195,884 | — | — | (b) | 195,884 | |||||||||||
Materials | 73,932 | — | — | 73,932 | ||||||||||||
Telecommunication Services | 6,217 | — | — | 6,217 | ||||||||||||
Utilities | 51,836 | — | — | 51,836 | ||||||||||||
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Total Common Stocks | 1,158,806 | — | — | (b) | 1,158,806 | |||||||||||
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Short-Term Investments | ||||||||||||||||
Investment Company | 21,942 | — | — | 21,942 | ||||||||||||
U.S. Treasury Obligation | — | 1,965 | — | 1,965 | ||||||||||||
Investment of Cash Collateral for Securities on Loan | ||||||||||||||||
Investment Company | 1,127 | — | — | 1,127 | ||||||||||||
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Total Investments in Securities | $ | 1,181,875 | $ | 1,965 | $ | — | (b) | $ | 1,183,840 | |||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 916 | $ | — | $ | — | $ | 916 | ||||||||
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| (a) | Portfolio holdings designated as Level 1 are disclosed individually in the SOI. Please refer to the SOI for industry specifics of portfolio holdings. |
| (b) | Value is zero. |
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 39 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
The following is a summary of investments for which significant unobservable inputs (Level 3) were used in determining fair value (amounts in thousands):
| Market Expansion Index Fund | Balance as of 06/30/11 | 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 06/30/12 | |||||||||||||||||||||||||||
Investments in Securities | ||||||||||||||||||||||||||||||||||||
Common Stock — Information Technology | $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | — | $ | — | $ | — | $ | — | (a) | ||||||||||||||||
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| $ | — | $ | — | $ | — | $ | — | $ | — | (a) | $ | — | $ | — | $ | — | $ | — | (a) | |||||||||||||||||
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| (1) | Purchases include all purchases of securities and securities received in corporate actions. |
| (2) | Sales included all sales of securities, maturities, paydowns and securities tendered in a corporate action. |
| (a) | Value is zero. |
The change in unrealized appreciation (depreciation) attributable to securities owned at June 30, 2012, which were valued using significant unobservable inputs (Level 3), amounted to zero. This amount is included in Change in net unrealized appreciation (depreciation) of investments in non-affiliates on the Statements of Operations.
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
B. Restricted and Illiquid Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale and/or are illiquid. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933. 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. Prompt sale at the current valuation may be difficult and could adversely affect the net assets of the Funds.
The following is the value and percentage of net assets of illiquid securities as of June 30, 2012 (amounts in thousands):
| Value | Percentage | |||||||
Market Expansion Index Fund | $ | — | (a) | — | % | |||
| (a) | Value is zero. |
C. Futures Contracts — The Funds use index futures contracts to gain or reduce exposure to their index, maintain liquidity and minimize transaction costs. The Funds also 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 the futures contract. 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 contracts activity during the year ended June 30, 2012 (amounts in thousands):
| Equity Index Fund | Market Expansion Index Fund | |||||||
Average Notional Balance Long | $ | 14,619 | $ | 28,287 | ||||
Ending Notional Balance Long | 6,985 | 26,137 | ||||||
| 40 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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D. Investment Transactions with Affiliates — An issuer which is under common control with a Fund may be considered 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, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
JPMorgan Chase & Co. (common stock) | $ | 25,282 | $ | 891 | $ | 3,362 | $ | (199 | ) | $ | 609 | 545 | $ | 19,468 | ||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 19,103 | 208,730 | 222,806 | — | 19 | 5,027 | 5,027 | |||||||||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares* | 7,885 | 5,427 | 13,312 | — | — | — | — | |||||||||||||||||||||
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Total | $ | 52,270 | $ | (199 | ) | $ | 628 | $ | 24,495 | |||||||||||||||||||
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| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Market Expansion Index Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, | $ | 25,717 | $ | 250,145 | $ | 253,920 | $ | — | $ | 31 | 21,942 | $ | 21,942 | |||||||||||||||
JPMorgan Prime Money Market Fund, Capital Shares* | 32,596 | 32,617 | 64,086 | — | — | 1,127 | 1,127 | |||||||||||||||||||||
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Total | $ | 58,313 | $ | — | $ | 31 | $ | 23,069 | ||||||||||||||||||||
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| * | Represents investment of cash collateral related to securities on loan, as described in Note 2.E. 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. |
E. Securities Lending — Each Fund may lend securities to brokers approved by JPMIM in order to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”), serves as lending agent for the Funds pursuant to a Securities Lending Agreement (the “GSAL Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands).
Equity Index Fund | $ | 1 | ||
Market Expansion Index Fund | 14 |
At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2012, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrowers | Total Value of Collateral Investments | ||||||||||
Market Expansion Index Fund | $ | 1,123 | $ | 1,127 | * | $ | 1,127 | |||||
| * | Subsequent to June 30, 2012, additional collateral was received from borrowers. |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 41 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GSAL has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Equity Index Fund | $ | 1 | ||
Market Expansion Index Fund | 11 |
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.
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, less dividend expense on securities sold short, 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 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.
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 Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
I. Dividends and Distributions to Shareholders — Dividends from net investment income are generally 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 Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) on Investments | ||||||||||
Equity Index Fund | $ | (19 | ) | $ | (307 | ) | $ | 326 | ||||
Market Expansion Index Fund | 24 | — | (24 | ) | ||||||||
The reclassifications for the Funds relate primarily to distributions from investments in real estate investments trusts.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual 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.
| 42 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2012, the annualized effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services, Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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, 2012, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 23 | $ | 9 | ||||
Market Expansion Index Fund | 5 | 1 | ||||||
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 to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | 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 expense limitation agreements were in effect for the year ended June 30, 2012. The expense limitation percentages in the table above are in place until at least October 31, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 43 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Equity Index Fund | $ | 2,717 | $ | 1,397 | $ | 4,198 | $ | 8,312 | ||||||||
Market Expansion Index Fund | — | — | 807 | 807 | ||||||||||||
| Voluntary Waivers | ||||||||
| Shareholder | ||||||||
| Servicing | Total | |||||||
Market Expansion Index Fund | $ | 1,480 | $ | 1,480 | ||||
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, 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 amount of waivers resulting from investments in the money market funds for the year ended June 30, 2012 was as follows (excluding the waiver disclosed in Note 2.E. regarding cash collateral for securities lending invested in the JPMorgan Prime Money Market Fund) (amounts in thousands):
Equity Index Fund | $ | 28 | ||
Market Expansion Index Fund | 47 |
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.
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 Trustees. The deferred fees are invested in various J. P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the year ended June 30, 2012, the Funds did not incur any brokerage commissions with broker/dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Equity Index Fund | $ | 114,561 | $ | 262,824 | ||||
Market Expansion Index Fund | 882,769 | 918,286 | ||||||
During the year ended June 30, 2012, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012, were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Index Fund | $ | 923,822 | $ | 899,131 | $ | 55,644 | $ | 843,487 | ||||||||
Market Expansion Index Fund | 1,023,697 | 207,934 | 47,791 | 160,143 | ||||||||||||
| 44 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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For 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, 2012 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||||||
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 32,152 | $ | — | $ | 32,152 | ||||||
Market Expansion Index Fund | 10,397 | 85,490 | 95,887 | |||||||||
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 | ||||||
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Long-Term Capital Gain (Tax Basis Capital | Unrealized Appreciation (Depreciation) | ||||||||||
Equity Index Fund | $ | 1,478 | $ | (49,123 | ) | $ | 843,487 | |||||
Market Expansion Index Fund | 1,395 | 53,690 | 160,143 | |||||||||
For the Funds, the cumulative timing differences primarily consist of distributions payable, wash sale loss deferrals and post-October loss deferrals (Market Expansion Index Fund).
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the Funds did not have post-enactment net capital loss carryforwards.
As of June 30, 2011, the Equity Index Fund had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | 2018 | Total | ||||||||||
Equity Index Fund | $ | 2,968 | $ | 46,155 | $ | 49,123 | ||||||
During the year ended June 30, 2012, the Equity Index Fund utilized capital loss carryforwards of approximately $42,513,000.
Net capital losses and net specified gains (losses) incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2012, the Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
| Post-October Capital Loss Character | ||||||||||||
| Late Year Ordinary Loss Deferral | Short-Term | Long-Term | ||||||||||
Equity Index Fund | $ | — | $ | 32 | $ | — | ||||||
Market Expansion Index Fund | — | 10,178 | — | |||||||||
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).
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 45 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
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 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012. Average borrowings from the Facility for the year ended June 30, 2012, were as follows (amounts in thousands):
| Average Borrowings | Number of Days Outstanding | Interest Paid | ||||||||||
Equity Index Fund | $ | 8,038 | 2 | $ | — | (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, 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 29.7% of the net assets of Market Expansion Index Fund. Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
| 46 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of 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, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the 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, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 47 | ||||||
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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). | 169 | 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). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of 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). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of 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). | 169 | 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). | 169 | 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). | 169 | 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). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Dr. 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). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of 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). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). | |||
| 48 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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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). | 169 | 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). | 169 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trust since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of 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). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the 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 (169 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 49 | ||||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
| Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012, and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,092.70 | $ | 2.34 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.63 | 2.26 | 0.45 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,088.30 | 6.23 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,088.60 | 6.23 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,093.70 | 1.04 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.87 | 1.01 | 0.20 | ||||||||||||
Market Expansion Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,076.70 | 3.56 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.43 | 3.47 | 0.69 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,072.30 | 7.11 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.00 | 6.92 | 1.38 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,072.30 | 7.11 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.00 | 6.92 | 1.38 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,073.20 | 5.52 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.54 | 5.37 | 1.07 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,077.70 | 2.27 | 0.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.68 | 2.21 | 0.44 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| JUNE 30, 2012 | J.P. MORGAN EQUITY FUNDS | 51 | ||||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
| Dividends Received Deduction | ||||
Equity Index Fund | 100.00 | % | ||
Market Expansion Index Fund | 100.00 | |||
Long Term Capital Gain Designation — 15%
The Market Expansion Index Fund hereby designates approximately $85,490,000 as long-term capital gain distributions for the purpose of the dividend paid deduction on its tax return for the fiscal year ended June 30, 2012.
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Equity Index Fund | $ | 32,152 | ||
Market Expansion Index Fund | 10,397 | |||
| 52 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2012 | ||||
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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 | ||
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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., 2012. All rights reserved. June 2012. | AN-INDEX-612 |
Table of Contents
Annual Report
J.P. Morgan Investor Funds
June 30, 2012
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
Table of Contents
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan 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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JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
 |
“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. Stocks Outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks. U.S. large-cap growth stocks outperformed U.S. large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 1 | ||||||
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J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
Fund | Fund Return* | Barclays Capital U.S. Intermediate Aggregate Index Return (Broad Based Fixed Income Benchmark) | Russell 3000 Index Return (Broad- Based Equity Benchmark) | Composite Benchmark Return | Fund Net Assets as of 6/30/2012 (in thousands) | |||||||||||||||
JPMorgan Investor Balanced Fund, Class A (no sales charge) | 1.45% | 5.28% | 3.84% | 5.02% | ** | $ | 3,118,446 | |||||||||||||
JPMorgan Investor Conservative Growth Fund, Class A | 2.60% | 5.28% | 3.84% | 5.23% | *** | 2,871,690 | ||||||||||||||
JPMorgan Investor Growth Fund, Class A (no sales charge) | -1.03% | 5.28% | 3.84% | 4.15% | **** | 1,481,475 | ||||||||||||||
| JPMorgan Investor Growth & Income Fund, Class A (no sales charge) | 0.60% | 5.28% | 3.84% | 4.65% | ***** | 1,976,888 | ||||||||||||||
Portfolio Composition by Asset Class******
Investor Balanced Fund | ||||
| Fixed Income | 43.0 | % | ||
| U.S. Equity | 42.6 | |||
| Alternative Assets | 8.5 | |||
| International Equity | 5.1 | |||
| Money Market | 0.8 | |||
Investor Conservative Growth Fund | ||||
| Fixed Income | 60.3 | % | ||
| U.S. Equity | 26.9 | |||
| Alternative Assets | 8.7 | |||
| International Equity | 3.4 | |||
| Money Market | 0.7 | |||
Investor Growth Fund | ||||
| U.S. Equity | 81.0 | % | ||
| International Equity | 7.6 | |||
| Fixed Income | 6.6 | |||
| Alternative Assets | 3.9 | |||
| Money Market | 0.9 | |||
Investor Growth & Income Fund | ||||
| U.S. Equity | 58.8 | % | ||
| Fixed Income | 24.6 | |||
| Alternative Assets | 8.8 | |||
| International Equity | 6.8 | |||
| Money Market | 1.0 | |||
| * | 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 Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Balanced Fund’s model allocation and consists of the Barclays Capital U.S. Intermediate Aggregate Index (50%) and the Russell 3000 Index (50%). |
| *** | The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Conservative Growth Fund’s model allocation and consists of the Barclays Capital U.S. Intermediate Aggregate Index (70%) and the Russell 3000 Index (30%). |
| **** | The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Growth Fund’s model allocation and consists of the Russell 3000 Index (90%) and the Barclays Capital U.S. Intermediate Aggregate Index (10%). |
| ***** | The Composite Benchmark is comprised of unmanaged indices that correspond to the Investor Growth & Income Fund’s model allocation and consists of the Russell 3000 Index (70%) and the Barclays Capital U.S. Intermediate Aggregate Index (30%). |
| ****** | Percentages indicated are based upon total investments as of June 30, 2012. The Funds’ composition is subject to change. |
| 2 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2012 (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?
While fears of systemic risk from Europe’s debt crisis weighed on stocks in most parts of the world during the reporting period, the drag on stock prices was more pronounced in international markets. During the twelve months ended June 30, 2012, international stocks, as measured by the MSCI EAFE Index (net of foreign withholding taxes) returned -13.83%. On the other hand, the Russell 3000 Index, a measure of U.S. stocks, returned 3.84%. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and buoyed U.S. stocks. U.S. stocks also outperformed emerging market stocks, as investors worried that measures implemented by the Chinese government to control inflation and cool the country’s surging property market might result in an economic “hard landing” for China. U.S. bonds, as measured by the Barclays Capital U.S. Intermediate Aggregate Index gained 5.28% during the same period.
WHAT WERE THE MAIN DRIVERS OF THE FUNDS’ PERFORMANCE?
For the twelve months ended June 30, 2012, each of the JPMorgan Investor Funds (the “Investor Funds”) underperformed the Barclays Capital U.S. Intermediate Aggregate Index, their broad based fixed income benchmark and the Russell 3000 Index, their broad based equity benchmark.
In accordance with their model allocations, each Investor Fund allocated its assets among fixed income, equity and alternative investments. The Funds’ exposure to equities drove their underperformance versus the Barclays Capital U.S. Intermediate Aggregate Index as equities underperformed fixed income securities during the reporting period. Meanwhile, each Investor Fund invests in U.S., international and emerging market stocks, while the Russell 3000 Index is comprised solely of U.S. large-cap stocks. The Investor Funds’ allocation to international and emerging market stocks, which underperformed U.S. stocks during the reporting period, was the primary driver of their relative underperformance versus the Russell 3000 Index.
Each Investor Fund’s performance is also compared to 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 composite benchmark during the reporting period. The primary driver of the Investor Funds’ relative underperformance versus their respective composite benchmarks was also their allocation to international and emerging market stocks.
HOW WERE THE FUNDS POSITIONED?
Each Investor Fund invested in underlying JPMorgan 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 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 determined the strategic weight for each asset class in the Investor Funds by making investments that 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.
| * | The advisor seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 3 | ||||||
Table of Contents
JPMorgan Investor Balanced Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | 1.45 | % | 2.98 | % | 5.61 | % | ||||||||||
With Sales Charge* | (3.10 | ) | 2.04 | 5.13 | ||||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | 0.97 | 2.43 | 5.08 | |||||||||||||
With CDSC** | (4.03 | ) | 2.06 | 5.08 | ||||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | 0.94 | 2.42 | 4.98 | |||||||||||||
With CDSC*** | (0.06 | ) | 2.42 | 4.98 | ||||||||||||
SELECT CLASS SHARES | 12/10/96 | 1.70 | 3.25 | 5.88 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Balanced Fund, the Barclays Capital U.S. Intermediate Aggregate Index, the Russell 3000 Index, the Composite Benchmark and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the 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 gain distributions 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 incurred by the Fund. The Barclays Capital U.S. Intermediate Aggregate 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 U.S. Intermediate Aggregate 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year 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, 2012 | ||||
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JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | 2.60 | % | 3.94 | % | 5.11 | % | ||||||||||
With Sales Charge* | (2.04 | ) | 2.99 | 4.62 | ||||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | 2.16 | 3.37 | 4.59 | |||||||||||||
With CDSC** | (2.84 | ) | 3.01 | 4.59 | ||||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | 2.09 | 3.36 | 4.47 | |||||||||||||
With CDSC*** | 1.09 | 3.36 | 4.47 | |||||||||||||
SELECT CLASS SHARES | 12/10/96 | 2.92 | 4.20 | 5.38 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Conservative Growth Fund, the Barclays Capital U.S. Intermediate Aggregate Index, the Russell 3000 Index, the Composite Benchmark, and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the 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 gain distributions 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 incurred by the Fund. The Barclays Capital U.S. Intermediate Aggregate 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 U.S. Intermediate Aggregate 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 5 | ||||||
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JPMorgan Investor Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | (1.03 | )% | 0.06 | % | 5.35 | % | ||||||||||
With Sales Charge* | (5.51 | ) | (0.85 | ) | 4.87 | |||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | (1.55 | ) | (0.51 | ) | 4.81 | |||||||||||
With CDSC** | (6.55 | ) | (0.92 | ) | 4.81 | |||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | (1.57 | ) | (0.53 | ) | 4.69 | |||||||||||
With CDSC*** | (2.57 | ) | (0.53 | ) | 4.69 | |||||||||||
SELECT CLASS SHARES | 12/10/96 | (0.77 | ) | 0.29 | 5.61 | |||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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 U.S. Intermediate Aggregate Index, the Composite Benchmark and the Lipper Multi-Cap Core Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and 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 gain distributions 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 incurred 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 U.S. Intermediate Aggregate 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 U.S. Intermediate Aggregate 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year 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, 2012 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 12/10/96 | |||||||||||||||
Without Sales Charge | 0.60 | % | 1.62 | % | 5.60 | % | ||||||||||
With Sales Charge* | (3.96 | ) | 0.69 | 5.11 | ||||||||||||
CLASS B SHARES | 12/10/96 | |||||||||||||||
Without CDSC | 0.03 | 1.05 | 5.05 | |||||||||||||
With CDSC** | (4.97 | ) | 0.66 | 5.05 | ||||||||||||
CLASS C SHARES | 7/1/97 | |||||||||||||||
Without CDSC | 0.00 | 1.05 | 4.94 | |||||||||||||
With CDSC*** | (1.00 | ) | 1.05 | 4.94 | ||||||||||||
SELECT CLASS SHARES | 12/10/96 | 0.79 | 1.86 | 5.86 | ||||||||||||
| * | Sales Charge for Class A Shares is 4.50%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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 U.S. Intermediate Aggregate Index, the Composite Benchmark and the Lipper Mixed-Asset Target Allocation Growth Funds Index from June 30, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the 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 gain distributions 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 incurred 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 U.S. Intermediate Aggregate 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 U.S. Intermediate Aggregate 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 $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 7 | ||||||
Table of Contents
JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.9% (b) |
| ||||||
Alternative Assets — 8.4% |
| |||||||
| 1,562 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 25,060 | ||||||
| 991 | JPMorgan Global Natural Resources Fund, Select Class Shares | 10,536 | ||||||
| 17,053 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 167,460 | ||||||
| 4,197 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 60,434 | ||||||
|
| |||||||
Total Alternative Assets | 263,490 | |||||||
|
| |||||||
Fixed Income — 43.0% |
| |||||||
| 27,264 | JPMorgan Core Bond Fund, Select Class Shares | 326,897 | ||||||
| 49,388 | JPMorgan Core Plus Bond Fund, Select Class Shares | 414,860 | ||||||
| 3,479 | JPMorgan Credit Opportunities Fund, Select Class Shares | 35,589 | ||||||
| 6,418 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 53,975 | ||||||
| 365 | JPMorgan Floating Rate Income Fund, Select Class Shares | 3,566 | ||||||
| 9,214 | JPMorgan Government Bond Fund, Select Class Shares | 107,339 | ||||||
| 28,717 | JPMorgan High Yield Fund, Select Class Shares | 226,001 | ||||||
| 4,902 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 52,308 | ||||||
| 6,709 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 64,002 | ||||||
| 5,068 | JPMorgan Short Duration Bond Fund, Select Class Shares | 55,644 | ||||||
|
| |||||||
Total Fixed Income | 1,340,181 | |||||||
|
| |||||||
International Equity — 5.1% |
| |||||||
| 1,929 | JPMorgan Emerging Economies Fund, Select Class Shares | 23,866 | ||||||
| 1,169 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 24,824 | ||||||
| 5,894 | JPMorgan International Equity Index Fund, Select Class Shares | 94,713 | ||||||
| 914 | JPMorgan Latin America Fund, Select Class Shares | 16,080 | ||||||
|
| |||||||
Total International Equity | 159,483 | |||||||
|
| |||||||
Money Market — 0.8% |
| |||||||
| 24,491 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (l) | 24,491 | ||||||
|
| |||||||
U.S. Equity — 42.6% |
| |||||||
| 1,009 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 16,217 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — Continued |
| |||||||
| 1,780 | JPMorgan Equity Income Fund, Select Class Shares | 17,726 | ||||||
| 9,610 | JPMorgan Intrepid America Fund, Select Class Shares | 239,105 | ||||||
| 4,960 | JPMorgan Intrepid Growth Fund, Select Class Shares | 124,750 | ||||||
| 5,948 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 92,259 | ||||||
| 1,712 | JPMorgan Large Cap Growth Fund, Select Class Shares | 40,430 | ||||||
| 13,532 | JPMorgan Large Cap Value Fund, Select Class Shares | 147,233 | ||||||
| 11,927 | JPMorgan Market Expansion Index Fund, Select Class Shares | 123,679 | ||||||
| 2,912 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 39,462 | ||||||
| 30,416 | JPMorgan U.S. Equity Fund, Select Class Shares | 326,360 | ||||||
| 6,860 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 147,070 | ||||||
| 643 | JPMorgan Value Advantage Fund, Select Class Shares | 12,862 | ||||||
|
| |||||||
Total U.S. Equity | 1,327,153 | |||||||
|
| |||||||
Total Investments — 99.9% | 3,114,798 | |||||||
Other Assets in Excess of | 3,648 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,118,446 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.9% (b) |
| ||||||
Alternative Assets — 8.7% |
| |||||||
| 1,412 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 22,647 | ||||||
| 565 | JPMorgan Global Natural Resources Fund, Select Class Shares | 6,006 | ||||||
| 14,732 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 144,666 | ||||||
| 5,301 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 76,329 | ||||||
|
| |||||||
Total Alternative Assets | 249,648 | |||||||
|
| |||||||
Fixed Income — 60.2% |
| |||||||
| 29,595 | JPMorgan Core Bond Fund, Select Class Shares | 354,838 | ||||||
| 58,248 | JPMorgan Core Plus Bond Fund, Select Class Shares | 489,284 | ||||||
| 4,286 | JPMorgan Credit Opportunities Fund, Select Class Shares | 43,845 | ||||||
| 5,577 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 46,905 | ||||||
| 1,345 | JPMorgan Floating Rate Income Fund, Select Class Shares | 13,150 | ||||||
| 20,876 | JPMorgan Government Bond Fund, Select Class Shares | 243,209 | ||||||
| 17,885 | JPMorgan High Yield Fund, Select Class Shares | 140,758 | ||||||
| 8,096 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 86,384 | ||||||
| 15,488 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 147,755 | ||||||
| 14,907 | JPMorgan Short Duration Bond Fund, Select Class Shares | 163,682 | ||||||
|
| |||||||
Total Fixed Income | 1,729,810 | |||||||
|
| |||||||
International Equity — 3.4% |
| |||||||
| 1,601 | JPMorgan Emerging Economies Fund, Select Class Shares | 19,804 | ||||||
| 938 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 19,917 | ||||||
| 2,726 | JPMorgan International Equity Index Fund, Select Class Shares | 43,805 | ||||||
| 714 | JPMorgan Latin America Fund, Select Class Shares | 12,558 | ||||||
|
| |||||||
Total International Equity | 96,084 | |||||||
|
| |||||||
Money Market — 0.7% |
| |||||||
| 19,185 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (l) | 19,185 | ||||||
|
| |||||||
U.S. Equity — 26.9% |
| |||||||
| 2,886 | JPMorgan Equity Income Fund, Select Class Shares | 28,741 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — Continued |
| |||||||
| 8,057 | JPMorgan Intrepid America Fund, Select Class Shares | 200,446 | ||||||
| 3,302 | JPMorgan Intrepid Growth Fund, Select Class Shares | 83,037 | ||||||
| 2,522 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 39,122 | ||||||
| 5,870 | JPMorgan Large Cap Value Fund, Select Class Shares | 63,869 | ||||||
| 3,637 | JPMorgan Market Expansion Index Fund, Select Class Shares | 37,713 | ||||||
| 682 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 14,424 | ||||||
| 2,382 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 32,281 | ||||||
| 14,745 | JPMorgan U.S. Equity Fund, Select Class Shares | 158,210 | ||||||
| 4,076 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 87,389 | ||||||
| 1,374 | JPMorgan Value Advantage Fund, Select Class Shares | 27,484 | ||||||
|
| |||||||
Total U.S. Equity | 772,716 | |||||||
|
| |||||||
Total Investments — 99.9% | 2,867,443 | |||||||
Other Assets in Excess of | 4,247 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,871,690 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 9 | ||||||
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.9% (b) |
| ||||||
Alternative Assets — 3.8% |
| |||||||
| 800 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 12,829 | ||||||
| 369 | JPMorgan Global Natural Resources Fund, Select Class Shares | 3,927 | ||||||
| 2,839 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 27,882 | ||||||
| 872 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 12,559 | ||||||
|
| |||||||
Total Alternative Assets | 57,197 | |||||||
|
| |||||||
Fixed Income — 6.6% |
| |||||||
| 507 | JPMorgan Core Plus Bond Fund, Select Class Shares | 4,259 | ||||||
| 660 | JPMorgan Credit Opportunities Fund, Select Class Shares | 6,754 | ||||||
| 3,317 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 27,896 | ||||||
| 188 | JPMorgan Floating Rate Income Fund, Select Class Shares | 1,834 | ||||||
| 37 | JPMorgan Government Bond Fund, Select Class Shares | 435 | ||||||
| 4,395 | JPMorgan High Yield Fund, Select Class Shares | 34,588 | ||||||
| 1,868 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 19,929 | ||||||
| 184 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 1,755 | ||||||
|
| |||||||
Total Fixed Income | 97,450 | |||||||
|
| |||||||
International Equity — 7.6% |
| |||||||
| 696 | JPMorgan Emerging Economies Fund, Select Class Shares | 8,603 | ||||||
| 455 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 9,669 | ||||||
| 1,945 | JPMorgan International Equity Fund, Select Class Shares | 24,427 | ||||||
| 4,108 | JPMorgan International Equity Index Fund, Select Class Shares | 66,021 | ||||||
| 248 | JPMorgan Latin America Fund, Select Class Shares | 4,366 | ||||||
|
| |||||||
Total International Equity | 113,086 | |||||||
|
| |||||||
Money Market — 0.9% |
| |||||||
| 13,037 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (l) | 13,037 | ||||||
|
| |||||||
U.S. Equity — 81.0% |
| |||||||
| 481 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 7,730 | ||||||
| 622 | JPMorgan Equity Income Fund, Select Class Shares | 6,191 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — Continued |
| |||||||
| 8,237 | JPMorgan Intrepid America Fund, Select Class Shares | 204,945 | ||||||
| 3,854 | JPMorgan Intrepid Growth Fund, Select Class Shares | 96,921 | ||||||
| 3,883 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 60,223 | ||||||
| 6,176 | JPMorgan Large Cap Growth Fund, Select Class Shares | 145,814 | ||||||
| 17,460 | JPMorgan Large Cap Value Fund, Select Class Shares | 189,970 | ||||||
| 8,988 | JPMorgan Market Expansion Index Fund, Select Class Shares | 93,202 | ||||||
| 391 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 8,265 | ||||||
| 2,487 | JPMorgan Small Cap Value Fund, Select Class Shares | 48,700 | ||||||
| 1,456 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 19,733 | ||||||
| 21,920 | JPMorgan U.S. Equity Fund, Select Class Shares | 235,205 | ||||||
| 3,428 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 73,497 | ||||||
| 452 | JPMorgan Value Advantage Fund, Select Class Shares | 9,046 | ||||||
|
| |||||||
Total U.S. Equity | 1,199,442 | |||||||
|
| |||||||
Total Investments — 99.9% | 1,480,212 | |||||||
Other Assets in Excess of | 1,263 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,481,475 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 99.9% (b) |
| ||||||
Alternative Assets — 8.8% |
| |||||||
| 1,010 | Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | 16,206 | ||||||
| 542 | JPMorgan Global Natural Resources Fund, Select Class Shares | 5,760 | ||||||
| 11,319 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 111,151 | ||||||
| 2,874 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 41,383 | ||||||
|
| |||||||
Total Alternative Assets | 174,500 | |||||||
|
| |||||||
Fixed Income — 24.5% |
| |||||||
| 9,027 | JPMorgan Core Bond Fund, Select Class Shares | 108,228 | ||||||
| 17,982 | JPMorgan Core Plus Bond Fund, Select Class Shares | 151,050 | ||||||
| 1,953 | JPMorgan Credit Opportunities Fund, Select Class Shares | 19,977 | ||||||
| 4,155 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 34,945 | ||||||
| 240 | JPMorgan Floating Rate Income Fund, Select Class Shares | 2,343 | ||||||
| 17,956 | JPMorgan High Yield Fund, Select Class Shares | 141,317 | ||||||
| 2,560 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 27,315 | ||||||
|
| |||||||
Total Fixed Income | 485,175 | |||||||
|
| |||||||
International Equity — 6.8% |
| |||||||
| 1,509 | JPMorgan Emerging Economies Fund, Select Class Shares | 18,663 | ||||||
| 948 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 20,116 | ||||||
| 1,564 | JPMorgan International Equity Fund, Select Class Shares | 19,648 | ||||||
| 4,038 | JPMorgan International Equity Index Fund, Select Class Shares | 64,888 | ||||||
| 577 | JPMorgan Latin America Fund, Select Class Shares | 10,150 | ||||||
|
| |||||||
Total International Equity | 133,465 | |||||||
|
| |||||||
Money Market — 1.0% |
| |||||||
| 19,679 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (l) | 19,679 | ||||||
|
| |||||||
U.S. Equity — 58.8% |
| |||||||
| 624 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 10,021 | ||||||
| 1,761 | JPMorgan Equity Income Fund, Select Class Shares | 17,537 | ||||||
| 9,395 | JPMorgan Intrepid America Fund, Select Class Shares | 233,745 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
U.S. Equity — Continued |
| |||||||
| 3,341 | JPMorgan Intrepid Growth Fund, Select Class Shares | 84,024 | ||||||
| 2,194 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 34,027 | ||||||
| 4,895 | JPMorgan Large Cap Growth Fund, Select Class Shares | 115,577 | ||||||
| 14,437 | JPMorgan Large Cap Value Fund, Select Class Shares | 157,070 | ||||||
| 9,292 | JPMorgan Market Expansion Index Fund, Select Class Shares | 96,358 | ||||||
| 456 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 9,638 | ||||||
| 1,901 | JPMorgan Small Cap Value Fund, Select Class Shares | 37,231 | ||||||
| 1,668 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 22,598 | ||||||
| 21,792 | JPMorgan U.S. Equity Fund, Select Class Shares | 233,828 | ||||||
| 4,417 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 94,698 | ||||||
| 800 | JPMorgan Value Advantage Fund, Select Class Shares | 16,009 | ||||||
|
| |||||||
Total U.S. Equity | 1,162,361 | |||||||
|
| |||||||
Total Investments — 99.9% | 1,975,180 | |||||||
Other Assets in Excess of | 1,708 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,976,888 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 11 | ||||||
Table of Contents
J.P. Morgan Investor Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
| (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, 2012. |
Detailed information about investment portfolios of the underlying affiliated funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) semi-annually on Form N-CSR and in certified portfolio holdings filed quarterly on Form N-Q, and are available for download from both the SEC’s as well as the Funds’ website.
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 13 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(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 | $ | 3,114,798 | $ | 2,867,443 | $ | 1,480,212 | $ | 1,975,180 | ||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 4,030 | 5,292 | 1,638 | 1,809 | ||||||||||||
Dividends from affiliates | 5,815 | 5,327 | 2,270 | 3,394 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 3,124,643 | 2,878,062 | 1,484,120 | 1,980,383 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Dividends | 626 | 99 | 208 | 218 | ||||||||||||
Fund shares redeemed | 3,726 | 4,532 | 1,286 | 1,941 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 126 | 116 | 59 | 80 | ||||||||||||
Administration fees | 156 | 147 | 89 | 110 | ||||||||||||
Shareholder servicing fees | 193 | 175 | 66 | 106 | ||||||||||||
Distribution fees | 814 | 941 | 384 | 519 | ||||||||||||
Custodian and accounting fees | 4 | 4 | 5 | 3 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | 1 | — | (a) | — | (a) | ||||||||||
Transfer agent fees | 392 | 218 | 404 | 376 | ||||||||||||
Other | 158 | 139 | 144 | 142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 6,197 | 6,372 | 2,645 | 3,495 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 3,118,446 | $ | 2,871,690 | $ | 1,481,475 | $ | 1,976,888 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 2,932,044 | $ | 2,729,902 | $ | 1,403,245 | $ | 1,883,102 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | 5,057 | 4,261 | 587 | 1,973 | ||||||||||||
Accumulated net realized gains (losses) | (105,978 | ) | (51,944 | ) | (113,085 | ) | (143,092 | ) | ||||||||
Net unrealized appreciation (depreciation) | 287,323 | 189,471 | 190,728 | 234,905 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 3,118,446 | $ | 2,871,690 | $ | 1,481,475 | $ | 1,976,888 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 2,287,495 | $ | 1,847,352 | $ | 1,100,639 | $ | 1,485,151 | ||||||||
Class B | 167,057 | 87,831 | 147,256 | 185,106 | ||||||||||||
Class C | 413,805 | 841,332 | 125,391 | 179,336 | ||||||||||||
Select Class | 250,089 | 95,175 | 108,189 | 127,295 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 3,118,446 | $ | 2,871,690 | $ | 1,481,475 | $ | 1,976,888 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 182,528 | 161,180 | 79,319 | 112,773 | ||||||||||||
Class B | 13,336 | 7,658 | 10,847 | 14,121 | ||||||||||||
Class C | 33,409 | 73,658 | 9,398 | 13,910 | ||||||||||||
Select Class | 19,930 | 8,272 | 7,677 | 9,789 | ||||||||||||
Net Asset Value (b): | ||||||||||||||||
Class A — Redemption price per share | $ | 12.53 | $ | 11.46 | $ | 13.88 | $ | 13.17 | ||||||||
Class B — Offering price per share (c) | 12.53 | 11.47 | 13.58 | 13.11 | ||||||||||||
Class C — Offering price per share (c) | 12.39 | 11.42 | 13.34 | 12.89 | ||||||||||||
Select Class — Offering and redemption price per share | 12.55 | 11.51 | 14.09 | 13.00 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | $ | 13.12 | $ | 12.00 | $ | 14.53 | $ | 13.79 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | $ | 2,827,475 | $ | 2,677,972 | $ | 1,289,484 | $ | 1,740,275 | ||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 15 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from affiliates | $ | 67,525 | $ | 68,060 | $ | 17,756 | $ | 35,338 | ||||||||
|
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|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 1,478 | 1,352 | 727 | 967 | ||||||||||||
Administration fees | 1,849 | 1,729 | 1,097 | 1,339 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 5,318 | 4,239 | 2,618 | 3,523 | ||||||||||||
Class B | 1,443 | 740 | 1,283 | 1,627 | ||||||||||||
Class C | 3,001 | 6,149 | 905 | 1,321 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 5,318 | 4,239 | 2,618 | 3,523 | ||||||||||||
Class B | 481 | 247 | 428 | 542 | ||||||||||||
Class C | 1,000 | 2,049 | 302 | 440 | ||||||||||||
Select Class | 592 | 224 | 286 | 332 | ||||||||||||
Custodian and accounting fees | 20 | 14 | 13 | 21 | ||||||||||||
Professional fees | 67 | 54 | 52 | 48 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 28 | 26 | 12 | 17 | ||||||||||||
Printing and mailing costs | 346 | 338 | 282 | 270 | ||||||||||||
Registration and filing fees | 156 | 212 | 65 | 117 | ||||||||||||
Transfer agent fees | 1,608 | 1,110 | 1,348 | 1,322 | ||||||||||||
Other | 28 | 21 | 15 | 15 | ||||||||||||
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|
| |||||||||
Total expenses | 22,733 | 22,743 | 12,051 | 15,424 | ||||||||||||
|
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|
|
| |||||||||
Less amounts waived | (5,485 | ) | (4,829 | ) | (3,478 | ) | (4,017 | ) | ||||||||
Less earnings credits | — | (a) | — | (a) | — | — | ||||||||||
|
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|
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| |||||||||
Net expenses | 17,248 | 17,914 | 8,573 | 11,407 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 50,277 | 50,146 | 9,183 | 23,931 | ||||||||||||
|
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|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | (10,483 | ) | (8,234 | ) | (6,532 | ) | 680 | |||||||||
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|
|
|
|
|
|
| |||||||||
Distributions of realized gains by investment company affiliates | 20,960 | 13,599 | 11,781 | 15,097 | ||||||||||||
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| |||||||||
Change in net unrealized appreciation (depreciation) of investments in affiliates | (24,973 | ) | 9,677 | (34,335 | ) | (36,829 | ) | |||||||||
|
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| |||||||||
Net realized/unrealized gains (losses) | (14,496 | ) | 15,042 | (29,086 | ) | (21,052 | ) | |||||||||
|
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|
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|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 35,781 | $ | 65,188 | $ | (19,903 | ) | $ | 2,879 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 50,277 | $ | 45,843 | $ | 50,146 | $ | 42,561 | ||||||||
Net realized gain (loss) on investments in affiliates | (10,483 | ) | (1,259 | ) | (8,234 | ) | (623 | ) | ||||||||
Distributions of realized gains by investment company affiliates | 20,960 | 1,299 | 13,599 | 945 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (24,973 | ) | 311,746 | 9,677 | 149,813 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 35,781 | 357,629 | 65,188 | 192,696 | ||||||||||||
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|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (38,618 | ) | (34,094 | ) | (34,626 | ) | (28,821 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (2,382 | ) | (3,548 | ) | (1,501 | ) | (2,298 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (5,228 | ) | (4,557 | ) | (12,571 | ) | (10,083 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (4,881 | ) | (4,294 | ) | (2,014 | ) | (1,842 | ) | ||||||||
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|
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|
| |||||||||
Total distributions to shareholders | (51,109 | ) | (46,493 | ) | (50,712 | ) | (43,044 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 146,175 | 600,320 | 219,149 | 1,012,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 130,847 | 911,456 | 233,625 | 1,162,529 | ||||||||||||
Beginning of period | 2,987,599 | 2,076,143 | 2,638,065 | 1,475,536 | ||||||||||||
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| |||||||||
End of period | $ | 3,118,446 | $ | 2,987,599 | $ | 2,871,690 | $ | 2,638,065 | ||||||||
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|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 5,057 | $ | (40 | ) | $ | 4,261 | $ | 5 | |||||||
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|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 9,183 | $ | 8,079 | $ | 23,931 | $ | 24,031 | ||||||||
Net realized gain (loss) on investments in affiliates | (6,532 | ) | (2,942 | ) | 680 | 1,383 | ||||||||||
Distributions of realized gains by investment company affiliates | 11,781 | 462 | 15,097 | 890 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (34,335 | ) | 303,641 | (36,829 | ) | 310,921 | ||||||||||
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|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (19,903 | ) | 309,240 | 2,879 | 337,225 | |||||||||||
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|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (8,453 | ) | (6,542 | ) | (19,773 | ) | (18,124 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (681 | ) | (560 | ) | (1,798 | ) | (2,656 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (484 | ) | (274 | ) | (1,588 | ) | (1,486 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (1,193 | ) | (928 | ) | (2,176 | ) | (2,206 | ) | ||||||||
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| |||||||||
Total distributions to shareholders | (10,811 | ) | (8,304 | ) | (25,335 | ) | (24,472 | ) | ||||||||
|
|
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|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (42,812 | ) | 91,548 | (47,878 | ) | 186,583 | ||||||||||
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|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (73,526 | ) | 392,484 | (70,334 | ) | 499,336 | ||||||||||
Beginning of period | 1,555,001 | 1,162,517 | 2,047,222 | 1,547,886 | ||||||||||||
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| |||||||||
End of period | $ | 1,481,475 | $ | 1,555,001 | $ | 1,976,888 | $ | 2,047,222 | ||||||||
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|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 587 | $ | (32 | ) | $ | 1,973 | $ | (44 | ) | ||||||
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|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 730,615 | $ | 911,333 | $ | 752,074 | $ | 910,497 | ||||||||
Dividends and distributions reinvested | 38,341 | 32,173 | 34,317 | 26,639 | ||||||||||||
Cost of shares redeemed | (577,312 | ) | (464,581 | ) | (539,952 | ) | (369,085 | ) | ||||||||
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|
|
|
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|
| |||||||||
Change in net assets from Class A capital transactions | $ | 191,644 | $ | 478,925 | $ | 246,439 | $ | 568,051 | ||||||||
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 7,310 | $ | 10,328 | $ | 6,726 | $ | 10,510 | ||||||||
Dividends and distributions reinvested | 2,369 | 3,451 | 1,489 | 2,207 | ||||||||||||
Cost of shares redeemed | (76,357 | ) | (103,233 | ) | (36,963 | ) | (53,962 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (66,678 | ) | $ | (89,454 | ) | $ | (28,748 | ) | $ | (41,245 | ) | ||||
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|
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 129,142 | $ | 244,314 | $ | 294,727 | $ | 614,085 | ||||||||
Dividends and distributions reinvested | 5,110 | 4,206 | 12,411 | 9,202 | ||||||||||||
Cost of shares redeemed | (132,499 | ) | (83,866 | ) | (311,228 | ) | (159,839 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | 1,753 | $ | 164,654 | $ | (4,090 | ) | $ | 463,448 | |||||||
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|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 68,801 | $ | 89,071 | $ | 28,903 | $ | 42,405 | ||||||||
Dividends and distributions reinvested | 2,558 | 2,429 | 1,022 | 1,012 | ||||||||||||
Cost of shares redeemed | (51,903 | ) | (45,305 | ) | (24,377 | ) | (20,794 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | 19,456 | $ | 46,195 | $ | 5,548 | $ | 22,623 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 146,175 | $ | 600,320 | $ | 219,149 | $ | 1,012,877 | ||||||||
|
|
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|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 59,328 | 74,647 | 66,705 | 81,610 | ||||||||||||
Reinvested | 3,165 | 2,621 | 3,051 | 2,381 | ||||||||||||
Redeemed | (47,215 | ) | (38,299 | ) | (48,056 | ) | (33,055 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 15,278 | 38,969 | 21,700 | 50,936 | ||||||||||||
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|
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|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 598 | 851 | 601 | 945 | ||||||||||||
Reinvested | 197 | 283 | 133 | 198 | ||||||||||||
Redeemed | (6,225 | ) | (8,538 | ) | (3,281 | ) | (4,840 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (5,430 | ) | (7,404 | ) | (2,547 | ) | (3,697 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 10,574 | 20,096 | 26,167 | 54,963 | ||||||||||||
Reinvested | 428 | 345 | 1,109 | 823 | ||||||||||||
Redeemed | (10,978 | ) | (6,969 | ) | (27,844 | ) | (14,318 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 24 | 13,472 | (568 | ) | 41,468 | |||||||||||
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|
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|
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| |||||||||
Select Class | ||||||||||||||||
Issued | 5,536 | 7,278 | 2,552 | 3,769 | ||||||||||||
Reinvested | 211 | 198 | 90 | 90 | ||||||||||||
Redeemed | (4,200 | ) | (3,712 | ) | (2,163 | ) | (1,853 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 1,547 | 3,764 | 479 | 2,006 | ||||||||||||
|
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|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 248,735 | $ | 319,346 | $ | 371,643 | $ | 495,870 | ||||||||
Dividends and distributions reinvested | 8,402 | 6,345 | 19,659 | 17,581 | ||||||||||||
Cost of shares redeemed | (225,071 | ) | (209,622 | ) | (334,754 | ) | (286,725 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 32,066 | $ | 116,069 | $ | 56,548 | $ | 226,726 | ||||||||
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|
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|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 1,330 | $ | 3,761 | $ | 3,279 | $ | 5,663 | ||||||||
Dividends and distributions reinvested | 675 | 550 | 1,787 | 2,603 | ||||||||||||
Cost of shares redeemed | (62,712 | ) | (77,822 | ) | (86,518 | ) | (111,264 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (60,707 | ) | $ | (73,511 | ) | $ | (81,452 | ) | $ | (102,998 | ) | ||||
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|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 31,754 | $ | 49,459 | $ | 42,033 | $ | 77,947 | ||||||||
Dividends and distributions reinvested | 447 | 241 | 1,446 | 1,279 | ||||||||||||
Cost of shares redeemed | (32,919 | ) | (25,787 | ) | (48,479 | ) | (36,602 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (718 | ) | $ | 23,913 | $ | (5,000 | ) | $ | 42,624 | ||||||
|
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|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 26,915 | $ | 44,870 | $ | 23,379 | $ | 37,959 | ||||||||
Dividends and distributions reinvested | 503 | 430 | 1,585 | 1,795 | ||||||||||||
Cost of shares redeemed | (40,871 | ) | (20,223 | ) | (42,938 | ) | (19,523 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (13,453 | ) | $ | 25,077 | $ | (17,974 | ) | $ | 20,231 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (42,812 | ) | $ | 91,548 | $ | (47,878 | ) | $ | 186,583 | ||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 18,359 | 23,839 | 28,782 | 38,884 | ||||||||||||
Reinvested | 636 | 466 | 1,558 | 1,369 | ||||||||||||
Redeemed | (16,730 | ) | (15,849 | ) | (26,229 | ) | (22,783 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,265 | 8,456 | 4,111 | 17,470 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 101 | 284 | 256 | 448 | ||||||||||||
Reinvested | 53 | 42 | 144 | 205 | ||||||||||||
Redeemed | (4,745 | ) | (6,027 | ) | (6,771 | ) | (8,888 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (4,591 | ) | (5,701 | ) | (6,371 | ) | (8,235 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 2,443 | 3,805 | 3,325 | 6,195 | ||||||||||||
Reinvested | 36 | 18 | 117 | 102 | ||||||||||||
Redeemed | (2,554 | ) | (2,019 | ) | (3,881 | ) | (2,964 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (75 | ) | 1,804 | (439 | ) | 3,333 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 1,956 | 3,279 | 1,829 | 3,035 | ||||||||||||
Reinvested | 38 | 31 | 128 | 141 | ||||||||||||
Redeemed | (2,889 | ) | (1,528 | ) | (3,337 | ) | (1,577 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (895 | ) | 1,782 | (1,380 | ) | 1,599 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2012 | 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 and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 12.58 | $ | 0.22 | (e) | $ | (0.05 | ) | $ | 0.17 | $ | (0.22 | ) | $ | — | $ | (0.22 | ) | ||||||||||
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 | ) | ||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 12.57 | 0.15 | (e) | (0.03 | ) | 0.12 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 12.44 | 0.15 | (e) | (0.04 | ) | 0.11 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 12.60 | 0.25 | (e) | (0.05 | ) | 0.20 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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)(c) | Net investment income (loss) (d) | Expenses without waivers, reimbursements and earning credits (c) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 12.53 | 1.45 | % | $ | 2,287,495 | 0.50 | % | 1.79 | % | 0.69 | % | 9 | % | |||||||||||||
| 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 | ) | 1,081,145 | 0.46 | 3.09 | 0.68 | 26 | |||||||||||||||||||
| 12.53 | 0.97 | 167,057 | 1.02 | 1.26 | 1.19 | 9 | ||||||||||||||||||||
| 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 | ) | 517,262 | 1.04 | 2.48 | 1.19 | 26 | |||||||||||||||||||
| 12.39 | 0.94 | 413,805 | 1.02 | 1.27 | 1.19 | 9 | ||||||||||||||||||||
| 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 | ) | 134,639 | 1.04 | 2.52 | 1.19 | 26 | |||||||||||||||||||
| 12.55 | 1.70 | 250,089 | 0.25 | 2.03 | 0.44 | 9 | ||||||||||||||||||||
| 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 | ) | 140,188 | 0.21 | 3.28 | 0.43 | 26 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 11.40 | $ | 0.23 | (e) | $ | 0.06 | $ | 0.29 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | |||||||||||
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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.40 | 0.17 | (e) | 0.07 | 0.24 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.36 | 0.17 | (e) | 0.06 | 0.23 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 11.44 | 0.26 | (e) | 0.07 | 0.33 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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)(c) | Net investment income (loss) (d) | Expenses without waivers, reimbursements and earning credits (c) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 11.46 | 2.60 | % | $ | 1,847,352 | 0.50 | % | 2.03 | % | 0.68 | % | 9 | % | |||||||||||||
| 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 | 489,374 | 0.50 | 3.74 | 0.71 | 27 | ||||||||||||||||||||
| 11.47 | 2.16 | 87,831 | 1.01 | 1.50 | 1.18 | 9 | ||||||||||||||||||||
| 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 | ) | 218,437 | 1.06 | 3.13 | 1.21 | 27 | |||||||||||||||||||
| 11.42 | 2.09 | 841,332 | 1.01 | 1.50 | 1.18 | 9 | ||||||||||||||||||||
| 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 | ) | 128,991 | 1.06 | 3.20 | 1.21 | 27 | |||||||||||||||||||
| 11.51 | 2.92 | 95,175 | 0.25 | 2.27 | 0.43 | 9 | ||||||||||||||||||||
| 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 | ) | 50,698 | 0.25 | 3.89 | 0.46 | 27 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 14.14 | $ | 0.10 | (e) | $ | (0.25 | ) | $ | (0.15 | ) | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | |||||||||
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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 13.85 | 0.02 | (e) | (0.24 | ) | (0.22 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 13.61 | 0.02 | (e) | (0.24 | ) | (0.22 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 14.35 | 0.14 | (e) | (0.26 | ) | (0.12 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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)(c) | Net investment income (loss) (d) | Expenses without waivers, reimbursements and earning credits (c) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 13.88 | (1.03 | )% | $ | 1,100,639 | 0.50 | % | 0.72 | % | 0.75 | % | 6 | % | |||||||||||||
| 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 | ) | 708,064 | 0.50 | 1.42 | 0.73 | 25 | |||||||||||||||||||
| 13.58 | (1.55 | ) | 147,256 | 1.05 | 0.16 | 1.25 | 6 | |||||||||||||||||||
| 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 | ) | 481,947 | 1.07 | 0.86 | 1.23 | 25 | |||||||||||||||||||
| 13.34 | (1.57 | ) | 125,391 | 1.05 | 0.17 | 1.25 | 6 | |||||||||||||||||||
| 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 | ) | 87,048 | 1.07 | 0.86 | 1.23 | 25 | |||||||||||||||||||
| 14.09 | (0.77 | ) | 108,189 | 0.25 | 0.99 | 0.50 | 6 | |||||||||||||||||||
| 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 | ) | 68,846 | 0.25 | 1.68 | 0.48 | 25 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Investor Growth & Income Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 13.28 | $ | 0.17 | (e) | $ | (0.10 | ) | $ | 0.07 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | ||||||||||
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 | ) | ||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 13.22 | 0.10 | (e) | (0.10 | ) | — | (f) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 13.01 | 0.10 | (e) | (0.11 | ) | (0.01 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
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 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 13.12 | 0.20 | (e) | (0.11 | ) | 0.09 | (0.21 | ) | — | (0.21 | ) | |||||||||||||||||
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 | ) | ||||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Amount rounds to less than $0.01. |
| (g) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
Net asset | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b)(c) | Net investment income (loss) (d) | Expenses without waivers, reimbursements and earning credits (c) | Portfolio turnover rate | ||||||||||||||||||||
| $ | 13.17 | 0.60 | % | $ | 1,485,151 | 0.50 | % | 1.33 | % | 0.71 | % | 11 | % | |||||||||||||
| 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 | ) | 979,243 | 0.47 | 2.31 | 0.70 | 25 | |||||||||||||||||||
| 13.11 | 0.03 | 185,106 | 1.03 | 0.79 | 1.22 | 11 | ||||||||||||||||||||
| 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 | ) | 615,387 | 1.04 | 1.73 | 1.20 | 25 | |||||||||||||||||||
| 12.89 | 0.00 | (g) | 179,336 | 1.03 | 0.80 | 1.21 | 11 | |||||||||||||||||||
| 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 | ) | 113,522 | 1.04 | 1.75 | 1.20 | 25 | |||||||||||||||||||
| 13.00 | 0.79 | 127,295 | 0.25 | 1.59 | 0.46 | 11 | ||||||||||||||||||||
| 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 | ) | 139,611 | 0.22 | 2.55 | 0.45 | 25 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 29 | ||||||
Table of Contents
AS OF JUNE 30, 2012
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 |
The investment objective of the Investor Balanced Fund is to seek 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 investment objective of the Investor Conservative Growth Fund is to seek 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 investment objective of the Investor Growth Fund is to seek 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 investment objective of the Investor Growth & Income Fund is to seek 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.
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 such fund’s net asset value per share as of the report date.
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 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 unobservable inputs | Total | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 3,114,798 | $ | $ | $ | 3,114,798 | ||||||||||
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Investor Conservative Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 2,867,443 | $ | $ | $ | 2,867,443 | ||||||||||
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| 30 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investor Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 1,480,212 | $ | $ | $ | 1,480,212 | ||||||||||
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Investor Growth & Income Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 1,975,180 | $ | $ | $ | 1,975,180 | ||||||||||
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| (a) | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for the asset class specifics of the portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
B. Investment 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 to Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the report, the Funds assume the following to be affiliated issuers. Included in the Realized Gain (Loss) amounts in the tables below are distributions of realized gains by investment company affiliates (amounts in thousands):
| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 39,651 | $ | 199 | $ | 8,600 | $ | (1,104 | ) | $ | 1,602 | 1,562 | $ | 25,060 | ||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 281,556 | 43,534 | 9,250 | 836 | 9,854 | 27,264 | 326,897 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 361,906 | 52,064 | 8,250 | 146 | 16,529 | 49,388 | 414,860 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 18,179 | 18,548 | 1,750 | 37 | 885 | 3,479 | 35,589 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 19,041 | 3,000 | 6,000 | (593 | ) | — | 1,009 | 16,217 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 24,474 | 7,000 | 3,600 | (674 | ) | 320 | 1,929 | 23,866 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 53,560 | — | 1,000 | (22 | ) | 3,272 | 6,418 | 53,975 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 27,083 | 6,999 | 6,300 | (296 | ) | 15 | 1,169 | 24,824 | ||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | — | 15,966 | — | 66 | 257 | 1,780 | 17,726 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | — | 3,500 | — | — | (a) | 100 | 365 | 3,566 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 19,494 | — | 3,400 | (808 | ) | 83 | 991 | 10,536 | ||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 96,355 | 21,145 | 15,700 | 690 | 3,053 | 9,214 | 107,339 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 208,053 | 28,724 | 3,000 | 4,022 | 14,797 | 28,717 | 226,001 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 39,019 | 19,370 | 6,500 | 146 | 1,066 | 4,902 | 52,308 | |||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 111,197 | 12,500 | 7,500 | (1,378 | ) | 2,772 | 5,894 | 94,713 | ||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 233,847 | 23,700 | 20,500 | (376 | ) | 2,023 | 9,610 | 239,105 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 121,007 | 12,001 | 11,300 | 214 | 648 | 4,960 | 124,750 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 93,946 | 14,001 | 11,400 | (858 | ) | 852 | 5,948 | 92,259 | ||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 38,149 | 7,001 | 6,500 | (32 | ) | 7 | 1,712 | 40,430 | ||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 152,226 | 8,001 | 7,700 | (875 | ) | 1,730 | 13,532 | 147,233 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 14,534 | 6,499 | 2,900 | (327 | ) | 28 | 914 | 16,080 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 73,564 | 2,000 | 12,000 | (82 | ) | 1,291 | 6,709 | 64,002 | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 38,376 | 265,623 | 279,508 | — | 54 | 24,491 | 24,491 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 124,068 | 22,749 | 12,000 | 7,483 | 1,119 | 11,927 | 123,679 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 171,198 | 10,100 | 12,100 | (979 | ) | — | 17,053 | 167,460 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 53,708 | 17,000 | 7,100 | (379 | ) | — | 4,197 | 60,434 | ||||||||||||||||||||
JPMorgan Short Duration Bond Fund, Select Class Shares | 76,599 | 31,114 | 51,900 | 125 | 915 | 5,068 | 55,644 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 41,590 | 9,952 | 8,500 | 4,105 | 141 | 2,912 | 39,462 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 297,654 | 42,992 | 19,600 | 1,390 | 3,234 | 30,416 | 326,360 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 146,795 | — | — | — | 878 | 6,860 | 147,070 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | — | 12,000 | — | — | — | 643 | 12,862 | |||||||||||||||||||||
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Total | $ | 2,976,829 | $ | 10,477 | $ | 67,525 | $ | 3,114,798 | ||||||||||||||||||||
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| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 31 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 50,209 | $ | 174 | $ | 22,100 | $ | (1,496 | ) | $ | 1,389 | 1,412 | $ | 22,647 | ||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 281,516 | 64,041 | 2,000 | 550 | 10,204 | 29,595 | 354,838 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 411,379 | 69,374 | 2,000 | 70 | 19,108 | 58,248 | 489,284 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 33,856 | 16,976 | 7,500 | (40 | ) | 1,302 | 4,286 | 43,845 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 21,189 | 7,250 | 4,800 | (679 | ) | 309 | 1,601 | 19,804 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 45,678 | — | — | — | 2,839 | 5,577 | 46,905 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 22,428 | 6,001 | 6,550 | 45 | 14 | 938 | 19,917 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | — | 27,064 | — | 64 | 268 | 2,886 | 28,741 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | — | 13,201 | — | 1 | 512 | 1,345 | 13,150 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 11,757 | — | 2,500 | (578 | ) | 44 | 565 | 6,006 | ||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 219,124 | 24,350 | 13,500 | 253 | 7,286 | 20,876 | 243,209 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 151,012 | 31,693 | 36,000 | 670 | 10,129 | 17,885 | 140,758 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 58,416 | 29,270 | 2,000 | 277 | 1,658 | 8,096 | 86,384 | |||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 51,858 | 6,500 | 4,600 | (776 | ) | 1,327 | 2,726 | 43,805 | ||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 177,499 | 39,049 | 20,000 | (479 | ) | 1,700 | 8,057 | 200,446 | ||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 67,795 | 25,301 | 13,000 | 160 | 413 | 3,302 | 83,037 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 36,601 | 9,499 | 5,600 | (333 | ) | 359 | 2,522 | 39,122 | ||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 60,977 | 7,499 | 3,000 | (18 | ) | 754 | 5,870 | 63,869 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 13,190 | 3,001 | 1,700 | (138 | ) | 28 | 714 | 12,558 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 148,174 | — | 1,500 | (62 | ) | 2,929 | 15,488 | 147,755 | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 42,052 | 360,934 | 383,801 | — | 55 | 19,185 | 19,185 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 34,836 | 12,974 | 6,600 | 1,822 | 338 | 3,637 | 37,713 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 20,500 | 6,771 | 10,250 | 2,292 | — | 682 | 14,424 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 136,915 | 15,700 | 6,500 | (466 | ) | — | 14,732 | 144,666 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 71,947 | 15,000 | 6,500 | (399 | ) | — | 5,301 | 76,329 | ||||||||||||||||||||
JPMorgan Short Duration Bond Fund, Select Class Shares | 169,533 | 29,864 | 35,300 | 217 | 2,658 | 14,907 | 163,682 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 30,368 | 7,831 | 3,300 | 3,428 | 109 | 2,382 | 32,281 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 145,913 | 30,167 | 21,750 | 1,092 | 1,601 | 14,745 | 158,210 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 87,226 | — | — | — | 522 | 4,076 | 87,389 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 19,921 | 14,000 | 7,000 | (112 | ) | 205 | 1,374 | 27,484 | ||||||||||||||||||||
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Total | $ | 2,621,869 | $ | 5,365 | $ | 68,060 | $ | 2,867,443 | ||||||||||||||||||||
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| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 16,731 | $ | 90 | $ | 1,000 | $ | (78 | ) | $ | 702 | 800 | $ | 12,829 | ||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 5,642 | 1 | 1,500 | 208 | 191 | 507 | 4,259 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 6,713 | 14 | — | 14 | 229 | 660 | 6,754 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 8,326 | 1,899 | 3,000 | (1 | ) | — | 481 | 7,730 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 12,238 | 3,500 | 4,700 | (741 | ) | 146 | 696 | 8,603 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 30,145 | — | 3,000 | (55 | ) | 1,713 | 3,317 | 27,896 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 15,419 | 500 | 4,400 | (312 | ) | 7 | 455 | 9,669 | ||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | — | 5,525 | — | 25 | 94 | 622 | 6,191 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | — | 1,800 | — | — | (a) | 51 | 188 | 1,834 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 7,811 | — | 1,800 | (362 | ) | 34 | 369 | 3,927 | ||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 2,150 | 1 | 1,800 | 211 | 20 | 37 | 435 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 33,500 | 2,373 | — | 673 | 2,308 | 4,395 | 34,588 | |||||||||||||||||||||
| 32 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Investor Growth Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | $ | 14,795 | $ | 4,964 | $ | — | $ | 64 | $ | 383 | $ | 1,868 | $ | 19,929 | ||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 37,157 | 3,001 | 11,800 | (338 | ) | 486 | 1,945 | 24,427 | ||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 87,882 | 3,000 | 7,100 | (1,534 | ) | 1,946 | 4,108 | 66,021 | ||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 200,506 | 8,000 | 5,500 | 127 | 1,715 | 8,237 | 204,945 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 96,503 | 3,000 | 4,500 | (364 | ) | 513 | 3,854 | 96,921 | ||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 65,123 | 5,500 | 6,500 | (1,027 | ) | 562 | 3,883 | 60,223 | ||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 148,641 | — | 11,000 | 637 | 29 | 6,176 | 145,814 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 195,941 | 5,100 | 4,500 | (1,203 | ) | 2,196 | 17,460 | 189,970 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 7,899 | 500 | 3,000 | (189 | ) | 13 | 248 | 4,366 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 3,245 | — | 1,500 | 133 | 37 | 184 | 1,755 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 12,247 | 122,346 | 121,556 | — | 19 | 13,037 | 13,037 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 97,787 | 9,681 | 4,500 | 6,117 | 854 | 8,988 | 93,202 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 9,448 | 3,624 | 4,000 | 1,537 | — | 391 | 8,265 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 33,655 | 6,000 | 11,500 | (169 | ) | — | 2,839 | 27,882 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 15,879 | 1,000 | 3,500 | (193 | ) | — | 872 | 12,559 | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 50,501 | 6,001 | 6,500 | (1,536 | ) | 505 | 2,487 | 48,700 | ||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 20,710 | 3,855 | 3,000 | 1,952 | 67 | 1,456 | 19,733 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 234,529 | 6,555 | 8,500 | 1,058 | 2,395 | 21,920 | 235,205 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 73,360 | — | — | — | 439 | 3,428 | 73,497 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 9,424 | 3,000 | 4,000 | 595 | 102 | 452 | 9,046 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,553,907 | $ | 5,249 | $ | 17,756 | $ | 1,480,212 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 21,389 | $ | 112 | $ | 1,500 | $ | (149 | ) | $ | 897 | 1,010 | $ | 16,206 | ||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 114,101 | 38,175 | 48,350 | 3,106 | 3,423 | 9,027 | 108,228 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 158,073 | 16,527 | 27,250 | 523 | 6,679 | 17,982 | 151,050 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 8,817 | 12,026 | 1,250 | 31 | 468 | 1,953 | 19,977 | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 12,271 | — | 2,500 | (87 | ) | — | 624 | 10,021 | ||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 16,616 | 6,300 | 1,600 | (349 | ) | 214 | 1,509 | 18,663 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 35,027 | — | 1,000 | (22 | ) | 2,120 | 4,155 | 34,945 | ||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 19,455 | 4,000 | 1,100 | (96 | ) | 11 | 948 | 20,116 | ||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | — | 16,627 | — | 28 | 134 | 1,761 | 17,537 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | — | 2,300 | — | — | (a) | 66 | 240 | 2,343 | ||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 10,700 | — | 2,000 | (392 | ) | 45 | 542 | 5,760 | ||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 129,976 | 17,016 | 900 | 2,565 | 9,194 | 17,956 | 141,317 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 19,998 | 9,086 | 2,000 | 80 | 538 | 2,560 | 27,315 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 26,674 | 4,001 | 8,750 | 847 | 387 | 1,564 | 19,648 | |||||||||||||||||||||
JPMorgan International Equity Index Fund, Select Class Shares | 80,902 | 3,250 | 2,900 | (521 | ) | 1,885 | 4,038 | 64,888 | ||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 245,989 | 6,501 | 21,100 | 467 | 2,049 | 9,395 | 233,745 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 87,538 | 3,250 | 8,900 | 383 | 470 | 3,341 | 84,024 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 42,812 | 3,249 | 9,100 | (960 | ) | 332 | 2,194 | 34,027 | ||||||||||||||||||||
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
| For the year ended June 30, 2012 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2011 | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | Shares at June 30, 2012 | Value at June 30, 2012 | |||||||||||||||||||||
Investor Growth & Income Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | $ | 125,701 | $ | 2,000 | $ | 19,350 | $ | 3,691 | $ | 25 | $ | 4,895 | $ | 115,577 | ||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 171,558 | 2,999 | 12,050 | (2,154 | ) | 1,863 | 14,437 | 157,070 | ||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 9,802 | 3,500 | 1,800 | (70 | ) | 19 | 577 | 10,150 | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 21,538 | 136,782 | 138,641 | — | 22 | 19,679 | 19,679 | |||||||||||||||||||||
JPMorgan Market Expansion Index Fund, Select Class Shares | 104,955 | 9,975 | 8,800 | 6,297 | 880 | 9,292 | 96,358 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 13,715 | 1,915 | 4,000 | 324 | — | 456 | 9,638 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 117,421 | 6,499 | 11,600 | (619 | ) | — | 11,319 | 111,151 | ||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 39,750 | 8,500 | 4,600 | (248 | ) | — | 2,874 | 41,383 | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 43,848 | 3,250 | 8,800 | (589 | ) | 412 | 1,901 | 37,231 | ||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 24,480 | 5,351 | 5,400 | 2,344 | 81 | 1,668 | 22,598 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 238,695 | 14,289 | 22,600 | 1,300 | 2,412 | 21,792 | 233,828 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 94,521 | — | — | — | 566 | 4,417 | 94,698 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 13,619 | 6,500 | 4,750 | 47 | 146 | 800 | 16,009 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 2,049,941 | $ | 15,777 | $ | 35,338 | $ | 1,975,180 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| (a) | Amount rounds to less than $1,000. |
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 and distributions of realized gains from the Underlying Funds, if any, are recorded on the ex-dividend date.
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 remain subject to examination by the Internal Revenue Service.
F. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid quarterly, except for dividends from the Investor Conservative Growth Fund, which are generally 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.
| 34 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
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 | ||||||||||
Investor Balanced Fund | $ | (1 | ) | $ | 5,929 | $ | (5,928 | ) | ||||
Investor Conservative Growth Fund | (1 | ) | 4,822 | (4,821 | ) | |||||||
Investor Growth Fund | (2 | ) | 2,247 | (2,245 | ) | |||||||
Investor Growth & Income Fund | 2 | 3,421 | (3,423 | ) | ||||||||
The reclassifications for the Funds relate primarily to 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 annual 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, 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, 2012, the annual effective rate of each Fund’s average daily net assets, not withstanding any fee waivers and/or expense reimbursements, was as follows:
Investor Balanced Fund | 0.06 | % | ||
Investor Conservative Growth Fund | 0.06 | |||
Investor Growth Fund | 0.08 | |||
Investor Growth & Income Fund | 0.07 |
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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, 2012, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 2,236 | $ | 39 | ||||
Investor Conservative Growth Fund | 2,400 | 57 | ||||||
Investor Growth Fund | 696 | 48 | ||||||
Investor Growth & Income Fund | 1,055 | 35 | ||||||
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.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 35 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
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 — JPMCB provides portfolio custody and accounting services to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately in the Statements of Operations.
Interest income, if any, earned on cash balances at the custodian, is included as Interest income from affiliates in the Statement of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | 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 expense limitation agreements were in effect for the year ended June 30, 2012. The contractual expense limitation percentages in the table above are in place until at least October 31, 2012. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2012. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||
| Administration | Shareholder Servicing | Total | ||||||||||
Investor Balanced Fund | $ | — | $ | 4,461 | $ | 4,461 | ||||||
Investor Conservative Growth Fund | — | 3,216 | 3,216 | |||||||||
Investor Growth Fund | 84 | 2,823 | 2,907 | |||||||||
Investor Growth & Income Fund | — | 3,278 | 3,278 | |||||||||
| Voluntary Waivers | ||||||||||||
| Administration | Shareholder Servicing | Total | ||||||||||
Investor Balanced Fund | $ | — | $ | 1,024 | $ | 1,024 | ||||||
Investor Conservative Growth Fund | — | 1,613 | 1,613 | |||||||||
Investor Growth Fund | 22 | 549 | 571 | |||||||||
Investor Growth & Income Fund | — | 739 | 739 | |||||||||
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.
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 Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
| 36 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
Table of Contents
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales Government) | |||||||
Investor Balanced Fund | $ | 451,659 | $ | 264,350 | ||||
Investor Conservative Growth Fund | 512,550 | 245,550 | ||||||
Investor Growth Fund | 88,484 | 122,100 | ||||||
Investor Growth & Income Fund | 207,198 | 243,950 | ||||||
During the year ended June 30, 2012, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 2,917,754 | $ | 223,880 | $ | 26,836 | $ | 197,044 | ||||||||
Investor Conservative Growth Fund | 2,708,408 | 177,760 | 18,725 | 159,035 | ||||||||||||
Investor Growth Fund | 1,360,283 | 145,306 | 25,377 | 119,929 | ||||||||||||
Investor Growth & Income Fund | 1,847,087 | 149,782 | 21,689 | 128,093 | ||||||||||||
For the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily due to was sale loss deferrals.
The tax character of distributions paid during the fiscal year ended June 30, 2012 was as follows (amounts in thousands):
| Total Distributions Paid From: | ||||||||
| Ordinary Income | Total Distributions Paid | |||||||
Investor Balanced Fund | $ | 51,109 | $ | 51,109 | ||||
Investor Conservative Growth Fund | 50,712 | 50,712 | ||||||
Investor Growth Fund | 10,811 | 10,811 | ||||||
Investor Growth & Income Fund | 25,335 | 25,335 | ||||||
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 | ||||||
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
| Current Distributable Ordinary Income | Current Distributable Long Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Investor Balanced Fund | $ | 5,734 | $ | (12,946 | ) | $ | 197,044 | |||||
Investor Conservative Growth Fund | 4,390 | (18,257 | ) | 159,035 | ||||||||
Investor Growth Fund | 827 | (40,692 | ) | 119,929 | ||||||||
Investor Growth & Income Fund | 2,241 | (34,409 | ) | 128,093 | ||||||||
For the Funds, the cumulative timing differences primarily consist of trustee deferred compensation (Investor Conservative Growth Fund, Investor Growth Fund and Investor Growth & Income Fund), distributions payable and wash sale loss deferrals.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the Funds did not have post-enactment net capital loss carryforwards.
As of June 30, 2012, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | 2018 | 2019 | Total | |||||||||||||
Investor Balanced Fund | $ | — | $ | 7,068 | $ | 5,878 | $ | 12,946 | ||||||||
Investor Conservative Growth Fund | 2,308 | 11,953 | 3,996 | 18,257 | ||||||||||||
Investor Growth Fund | 3,756 | 9,674 | 27,262 | 40,692 | ||||||||||||
Investor Growth & Income Fund | — | 20,269 | 14,140 | 34,409 | ||||||||||||
During the year ended June 30, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Investor Balanced Fund | $ | 11,399 | ||
Investor Conservative Growth Fund | 7,492 | |||
Investor Growth Fund | 6,862 | |||
Investor Growth & Income Fund | 15,540 |
Net capital losses and net specified gains (losses) incurred after October 31 and within the taxable year are deemed to arise on the first business day of the Fund’s next taxable year. For the year ended June 30, 2012, the Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
Late Year Ordinary Loss Deferral | Post-October Capital Loss Character | |||||||||||
| Short-Term | Long-Term | |||||||||||
Investor Balanced Fund | $ | — | $ | 2,754 | $ | — | ||||||
Investor Conservative Growth Fund | — | 3,252 | — | |||||||||
Investor Growth Fund | — | 1,593 | — | |||||||||
Investor Growth & Income Fund | — | 1,872 | — | |||||||||
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 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
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.
| 38 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities. Specific risks and concentrations present in the Underlying Funds 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:
| % of Net Assets | ||||
JPMorgan Core Plus Bond Fund | 41 | % | ||
JPMorgan Credit Opportunities Fund | 99 | |||
JPMorgan Dynamic Growth Fund | 87 | |||
JPMorgan Emerging Economies Fund | 19 | |||
JPMorgan Emerging Markets Debt Fund | 25 | |||
JPMorgan Global Natural Resources Fund | 40 | |||
JPMorgan Government Bond Fund | 19 | |||
JPMorgan Inflation Managed Bond Fund | 14 | |||
JPMorgan International Equity Index Fund | 48 | |||
JPMorgan Intrepid America Fund | 48 | |||
JPMorgan Intrepid Growth Fund | 59 | |||
JPMorgan Intrepid Mid Cap Fund | 53 | |||
JPMorgan Large Cap Value Fund | 88 | |||
JPMorgan Latin America Fund | 58 | |||
JPMorgan Limited Duration Bond Fund | 53 | |||
JPMorgan Market Expansion Index Fund | 30 | |||
JPMorgan Multi-Cap Market Neutral Fund | 88 | |||
JPMorgan Research Market Neutral Fund | 25 | |||
JPMorgan Small Cap Value Fund | 14 | |||
JPMorgan U.S. Dynamic Plus Fund | 70 | |||
JPMorgan U.S. Equity Fund | 15 | |||
In addition, the Funds each have a shareholder, which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares. Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 39 | ||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of 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, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the 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, 2012 by correspondence with the transfer agent and custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
| 40 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of 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). | 169 | 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). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of 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). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of 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). | 169 | 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). | 169 | 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). | 169 | 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). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Dr. 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). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of 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). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). | |||
| JUNE 30, 2012 | 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). | 169 | 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). | 169 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trust since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of 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). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the 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 (169 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 42 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Patricia A. Maleski (1960), | Managing Director, J.P. Morgan Investment Management Inc. and Chief Administrative Officer, J.P. Morgan Funds and Institutional Pooled Vehicles since 2010; previously, Treasurer and Principal Financial Officer of the Trusts from 2008 to 2010; previously, Head of Funds Administration and Board Liaison, J.P. Morgan Funds prior to 2010. Ms. Maleski has been with JPMorgan Chase & Co. since 2001. | |
| Joy C. Dowd (1972), Treasurer and Principal Financial Officer (2010) | Assistant Treasurer of the Trusts from 2009 to 2010; Executive Director, JPMorgan Funds Management, Inc. from February 2011; Vice President, JPMorgan Funds Management, Inc. from December 2008 to February 2011; prior to joining JPMorgan Chase, Ms. Dowd worked in MetLife’s investments audit group from 2005 through 2008. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
| Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| JUNE 30, 2012 | J.P. MORGAN INVESTOR FUNDS | 43 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and redemption fees and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012 and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds 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, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,055.80 | $ | 2.56 | 0.50 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,053.90 | 5.21 | 1.02 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.12 | 1.02 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,053.80 | 5.21 | 1.02 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.12 | 1.02 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,057.00 | 1.28 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.62 | 1.26 | 0.25 | ||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,045.60 | 2.54 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,042.90 | 5.13 | 1.01 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.07 | 1.01 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,042.30 | 5.13 | 1.01 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.07 | 1.01 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,047.40 | 1.27 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.62 | 1.26 | 0.25 | ||||||||||||
| 44 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2012 | ||||
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| Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,075.30 | $ | 2.58 | $ | 0.50 | ||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,072.70 | 5.36 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.22 | 1.04 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,072.30 | 5.36 | 1.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.22 | 1.04 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,076.20 | 1.29 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.62 | 1.26 | 0.25 | ||||||||||||
Investor Growth & Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,067.60 | 2.57 | 0.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.38 | 2.51 | 0.50 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,065.10 | 5.24 | 1.02 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.12 | 1.02 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,064.70 | 5.24 | 1.02 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.79 | 5.12 | 1.02 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,068.10 | 1.29 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.62 | 1.26 | 0.25 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| JUNE 30, 2012 | 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, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
| Dividends Received Deduction | ||||
Investor Balanced Fund | 26.55 | % | ||
Investor Conservative Growth Fund | 17.12 | |||
Investor Growth Fund | 99.46 | |||
Investor Growth & Income Fund | 42.75 | |||
Qualified Dividend Income (QDI)
For the fiscal year ended June 30, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Investor Balanced Fund | $ | 51,109 | ||
Investor Conservative Growth Fund | 50,712 | |||
Investor Growth Fund | 10,811 | |||
Investor Growth & Income Fund | 25,335 | |||
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2012, the Funds intend to elect to pass through to shareholders the income tax credit for taxes paid to foreign countries. Gross income and foreign tax expenses are as follows (amounts in thousands):
| Gross Income | Foreign Tax Pass Through | |||||||
Investor Balanced Fund | $ | 4,819 | $ | 484 | ||||
Investor Conservative Growth Fund | 3,110 | 268 | ||||||
Investor Growth Fund | 3,334 | 333 | ||||||
Investor Growth & Income Fund | 3,457 | 339 | ||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡Social Security number and account balances
¡transaction history and account transactions
¡checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡open an account or provide contact information
¡give us your account information or pay us by check
¡make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡affiliates from using your information to market to you
¡sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and a description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Advisor. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.
| © JPMorgan Chase & Co., 2012. All rights reserved. June 2012. | AN-INV-612 |
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Annual Report
J.P. Morgan Intrepid Funds
June 30, 2012
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 market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at (800) 480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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JULY 23, 2012 (Unaudited)
Dear Shareholder:
The twelve months ended June 30, 2012 was another period defined by market volatility and investor uncertainty, related themes that have prevailed in recent years amid ongoing macroeconomic and geopolitical concerns.
 |
“While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios.” |
Europe’s economic woes dominated the headlines and continue to be a major source of uncertainty in capital markets. In the Middle East, focus on the social and political unrest resulting from 2011’s “Arab Spring” has shifted toward escalating tension surrounding Iran’s nuclear program. Even the U.S., a relative bright spot, has recently seen disappointing employment data, raising questions about the level and sustainability of economic growth. Accordingly, the U.S. Federal Reserve has maintained their commitment to keep interest rates low for the foreseeable future.
U.S. Stocks Outperform
Stock returns across market capitalizations, countries and investment styles varied during the twelve months ended June 30, 2012. Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and U.S. stocks finished the twelve-month reporting period ahead of international and emerging markets stocks.
During the reporting period, the S&P 500 Index gained 5.4% versus the -13.4% and -15.7% returns for the MSCI EAFE (Europe, Australasia, and the Far East) Index and the MSCI EM (Emerging Markets) Index1, respectively.
Among U.S. stocks, large-cap stocks outperformed small- and mid-cap stocks. U.S. large-cap growth stocks outperformed U.S.
large-cap value stocks, while U.S. small- and mid-cap value stocks outperformed U.S. small- and mid-cap growth stocks.
Uncertainty in Europe
The European debt crisis has dragged on for years and now threatens the solvency of many European countries and their banking systems. The lack of political and fiscal unity has exacerbated the crisis. Of course, for a solution that demands stronger countries to take responsibility for the debts of weaker countries and every European country to give up some level of sovereignty, political discord can be expected.
The situation in Europe will likely continue to breed volatile, sentiment- and headline-driven markets. Equities in North America can provide some insulation for investors, while depressed valuations on European equities can provide select opportunities in dividend yielding stocks for long-term investors. While the overhang from policy uncertainty can be frustrating, we encourage investors to remain committed to their long-term strategies and take advantage of opportunities caused by market volatility by tactically rebalancing their portfolios. As always, we encourage investors to maintain exposure to a variety of asset classes within fixed income, equity and alternative investments.
On behalf of everyone at J.P. Morgan Asset Management, thank you for your continued support. We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
George C.W. Gatch
CEO, Global Funds Management
J.P. Morgan Asset Management
| 1 | The returns of the MSCI EAFE and MSCI EM Indexes are gross of foreign withholding taxes |
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 1 | ||||||
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JPMorgan Intrepid Funds
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
Despite disappointing employment figures toward the end of the reporting period, U.S. economic data was generally positive during the twelve months ended June 30, 2012 and benefited U.S. stocks. However, the debt crisis in Europe continued to be a major source of uncertainty in capital markets and fears of systemic risk triggered a decline in stock prices in the third quarter of 2011 and the second quarter of 2012. Nonetheless, U.S. stocks across most market capitalizations and investment styles finished the reporting period with positive gains. The Russell 1000 Index gained 4.37% for the twelve months ended June 30, 2012.
U.S. large-cap growth stocks outperformed U.S. large-cap value stocks, as the Russell 1000 Growth Index returned 5.76% versus the 3.01% return for the Russell 1000 Value Index during the twelve months ended June 30, 2012. U.S. mid-cap stocks posted a negative return and underperformed U.S. large-cap stocks as the Russell Midcap Index declined 1.65%.
Intrepid Investment Philosophy and Process1
The JPMorgan Intrepid Investment Team (the “Team”) employs a philosophy that is rooted in 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 emotional biases and reactions. The field theorizes that inefficiencies arise in the stock market because investors are consistently irrational in making many investment decisions.
The Team aims to capitalize on these market inefficiencies by targeting attractively valued stocks that they believe possess strong fundamentals and momentum characteristics, looking to sell these stocks when they no longer exhibit these criteria. A disciplined quantitative ranking methodology is utilized to identify attractive stocks in each sector, a process that is combined with qualitative research and value-added trading. Portfolios are constructed with limited sector bets so that stock selection is typically the primary driver of relative performance.
During the reporting period, each of the Funds were managed and positioned in accordance with this investment philosophy and process.
| 1 | There was a change to the Team for each Fund during the reporting period. There was no change to any Fund’s investment strategy or objective. |
| 2 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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JPMorgan Intrepid America Fund
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.52% | |||
| Russell 1000 Index | 4.37% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $1,832,140 | |||
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) underperformed the Russell 1000 Index (the “Benchmark”) for the twelve months ended June 30, 2012. The Fund’s stock selection in the consumer discretionary and financials sectors was the primary detractor from relative performance. The Fund’s stock selection in the information technology and consumer staples sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Citigroup, Inc., Ford Motor Co. and Xerox Corp. Uncertainty about potential federal regulation hurt shares of financial services company Citigroup, Inc. Shares of automobile manufacturer Ford Motor Co. declined after the company reported disappointing fourth-quarter earnings. Shares of Xerox Corp. declined due to concerns about weak spending by corporations.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., Kimberly-Clark Corp. and Amgen, Inc. Shares of technology company Apple, Inc. rose as it continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of Kimberly-Clark Corp., which sells personal and household products, increased following the company’s strong first-quarter results. Shares of healthcare company Amgen, Inc. benefited from the company’s better-than-expected earnings and announced stock repurchase program.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 5.3 | % | |||||
| 2. | Exxon Mobil Corp. | 3.5 | ||||||
| 3. | Microsoft Corp. | 3.0 | ||||||
| 4. | Chevron Corp. | 2.9 | ||||||
| 5. | International Business Machines Corp. | 2.8 | ||||||
| 6. | Pfizer, Inc. | 2.8 | ||||||
| 7. | Wells Fargo & Co. | 2.1 | ||||||
| 8. | Tyco International Ltd., (Switzerland) | 1.7 | ||||||
| 9. | Discover Financial Services | 1.7 | ||||||
| 10. | Amgen, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 19.8 | % | ||
| Financials | 14.2 | |||
| Health Care | 11.7 | |||
| Consumer Discretionary | 11.4 | |||
| Consumer Staples | 10.3 | |||
| Energy | 10.3 | |||
| Industrials | 9.8 | |||
| Materials | 3.9 | |||
| Telecommunication Services | 3.4 | |||
| Utilities | 3.2 | |||
| Short-Term Investment | 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. |
| *** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 3 | ||||||
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JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 1.26 | % | (1.09 | )% | 7.84 | % | ||||||||||
With Sales Charge* | (4.05 | ) | (2.15 | ) | 7.22 | |||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 0.78 | (1.57 | ) | 7.41 | ||||||||||||
With CDSC** | (0.22 | ) | (1.57 | ) | 7.41 | |||||||||||
CLASS R2 SHARES | 11/3/08 | 1.03 | (1.26 | ) | 7.74 | |||||||||||
CLASS R5 SHARES | 5/15/06 | 1.74 | (0.63 | ) | 8.19 | |||||||||||
SELECT CLASS SHARES | 2/28/03 | 1.52 | (0.84 | ) | 8.05 | |||||||||||
| * | 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 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 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, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
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, 2012 | ||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 3.04% | |||
| Russell 1000 Growth Index | 5.76% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $656,509 | |||
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) underperformed the Russell 1000 Growth Index for the twelve months ended June 30, 2012. The Fund’s stock selection in the consumer discretionary and financials sectors was the primary detractor from relative performance. The Fund’s stock selection in the information technology and consumer staples sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Western Union Co., Ford Motor Co. and Baker Hughes Inc. Business services company Western Union Co. announced a weaker-than-expected earnings outlook, which caused the stock to decline. Shares of automobile manufacturer Ford Motor Co. declined after the company reported disappointing fourth-quarter earnings. Shares of oil well services and equipment provider Baker Hughes Inc. declined due to concerns that slowing economic growth would diminish demand for oil.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., PPG Industries, Inc. and AutoZone, Inc. Shares of technology company Apple, Inc. rose as it continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of chemical manufacturing company PPG Industries, Inc. benefited from investors’ positive reaction to the announcement that the company would increase its quarterly dividend. Shares of AutoZone, Inc., a distributor of automotive replacement parts and accessories, benefited from the company’s strong sales and announced stock buyback.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 9.2 | % | |||||
| 2. | Microsoft Corp. | 4.7 | ||||||
| 3. | International Business Machines Corp. | 4.3 | ||||||
| 4. | Philip Morris International, Inc. | 3.2 | ||||||
| 5. | Home Depot, Inc. (The) | 2.2 | ||||||
| 6. | Gilead Sciences, Inc. | 2.1 | ||||||
| 7. | Wal-Mart Stores, Inc. | 1.9 | ||||||
| 8. | priceline.com, Inc. | 1.8 | ||||||
| 9. | McKesson Corp. | 1.8 | ||||||
| 10. | Honeywell International, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 30.1 | % | ||
| Consumer Discretionary | 16.0 | |||
| Consumer Staples | 12.8 | |||
| Health Care | 11.6 | |||
| Industrials | 11.1 | |||
| Financials | 5.0 | |||
| Materials | 4.4 | |||
| Energy | 4.3 | |||
| Telecommunication Services | 1.8 | |||
| 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 June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 5 | ||||||
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JPMorgan Intrepid Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 2.76 | % | 1.18 | % | 8.04 | % | ||||||||||
With Sales Charge* | (2.63 | ) | 0.09 | 7.42 | ||||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 2.28 | 0.68 | 7.61 | |||||||||||||
With CDSC** | 1.28 | 0.68 | 7.61 | |||||||||||||
CLASS R2 SHARES | 11/3/08 | 2.53 | 1.00 | 7.94 | ||||||||||||
CLASS R5 SHARES | 5/15/06 | 3.26 | 1.64 | 8.39 | ||||||||||||
SELECT CLASS SHARES | 2/28/03 | 3.04 | 1.44 | 8.25 | ||||||||||||
| * | 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 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 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, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 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 gain distributions 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 incurred 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursement, 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, 2012 | ||||
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JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | -4.11% | |||
| Russell Midcap Index | -1.65% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $427,794 | |||
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, 2012. The Fund’s stock selection in the retail and industrial cyclical sectors was the primary detractor from relative performance. The Fund’s stock selection in the finance and capital markets sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Walter Energy, Inc., Navistar International Corp. and GameStop Corp. Shares of Walter Energy, Inc., a producer and exporter of metallurgical coal for the global steel industry, declined due to lower-than-expected earnings and concerns about the company’s future production growth. Navistar International Corp., a manufacturer of commercial and military truck engines, reported disappointing first-quarter earnings, which was lower than expected due to costs related to its joint ventures. In addition, lower expectations for military spending caused the company to lower its guidance, which also hurt the stock. Shares of GameStop Corp. declined after the video game retailer reported lower sales and a disappointing forecast for its second-quarter earnings.
Individual contributors to relative performance included the Fund’s positions in Pharmasset Inc., PPG Industries, Inc. and Wyndham Worldwide Corp. Shares of biotechnology company Pharmasset Inc. increased after the announcement that it would be acquired by Gilead Sciences, Inc. Shares of chemical manufacturing company PPG Industries, Inc. benefited from investors’ positive reaction to the announcement that the company would increase its quarterly dividend. Shares of hotel operator Wyndham Worldwide Corp. increased after the company announced an increase in its stock repurchase program and declared a quarterly dividend.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Lorillard, Inc. | 2.3 | % | |||||
| 2. | Macy’s, Inc. | 2.1 | ||||||
| 3. | Discover Financial Services | 2.0 | ||||||
| 4. | Constellation Brands, Inc., Class A | 1.7 | ||||||
| 5. | PPG Industries, Inc. | 1.6 | ||||||
| 6. | Wyndham Worldwide Corp. | 1.5 | ||||||
| 7. | Alliance Data Systems Corp. | 1.5 | ||||||
| 8. | CBS Corp. (Non-Voting), Class B | 1.4 | ||||||
| 9. | CA, Inc. | 1.4 | ||||||
| 10. | NCR Corp. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 19.0 | % | ||
| Consumer Discretionary | 15.7 | |||
| Information Technology | 14.9 | |||
| Health Care | 11.0 | |||
| Industrials | 10.0 | |||
| Consumer Staples | 7.4 | |||
| Utilities | 7.0 | |||
| Materials | 5.6 | |||
| Energy | 5.4 | |||
| Others (each less than 1.0%) | 0.9 | |||
| Short-Term Investment | 3.1 | |||
| * | 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 (exclud- ing Investments of Cash Collateral for Securities on Loan) as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 7 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | 5/1/92 | |||||||||||||||
Without Sales Charge | (4.36 | )% | (0.78 | )% | 6.17 | % | ||||||||||
With Sales Charge* | (9.36 | ) | (1.85 | ) | 5.60 | |||||||||||
CLASS B SHARES | 9/23/96 | |||||||||||||||
Without CDSC | (4.94 | ) | (1.42 | ) | 5.61 | |||||||||||
With CDSC** | (9.94 | ) | (1.85 | ) | 5.61 | |||||||||||
CLASS C SHARES | 3/22/99 | |||||||||||||||
Without CDSC | (4.97 | ) | (1.41 | ) | 5.47 | |||||||||||
With CDSC*** | (5.97 | ) | (1.41 | ) | 5.47 | |||||||||||
SELECT CLASS SHARES | 6/1/91 | (4.11 | ) | (0.55 | ) | 6.43 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 5% CDSC (contingent deferred sales charge) for the one year period, 2% CDSC for the five year period and 0% CDSC thereafter. |
| *** | Assumes a 1% CDSC for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/02 TO 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
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, 2002 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Mid-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 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, 2012 | ||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 4.09% | |||
| Russell 3000 Index | 3.84% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $ | 10,240 | ||
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, 2012. The Fund’s stock selection in the health care, consumer staples and information technology sectors was the main contributor to relative performance. The Fund’s stock selection in the industrials, financials and telecommunication services sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Expedia, Inc., Wyndham Worldwide Corp. and Apple, Inc. Shares of Expedia, Inc., an online travel company, benefited from the company’s better-than-expected first-quarter results. Shares of hotel operator Wyndham Worldwide Corp. increased after the company announced an increase in its stock repurchase program and declared a quarterly dividend. Shares of technology company Apple, Inc. rose as it continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad.
Individual detractors from relative performance included the Fund’s positions in Best Buy Co., Inc., TRW Automotive Holdings Corp. and Xerox Corp. Shares of Best Buy Co., Inc., a consumer electronics retailer, were hurt by the company’s disappointing third-quarter results and the unexpected resignation of its chief executive officer. Shares of TRW Automotive Holdings Corp. declined after the auto and truck parts manufacturer reported lower-than-expected earnings. Shares of Xerox Corp. declined due to concerns about weak spending by corporations.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.3 | % | |||||
| 2. | Exxon Mobil Corp. | 3.3 | ||||||
| 3. | Microsoft Corp. | 2.7 | ||||||
| 4. | Pfizer, Inc. | 2.6 | ||||||
| 5. | Chevron Corp. | 2.4 | ||||||
| 6. | UnitedHealth Group, Inc. | 2.1 | ||||||
| 7. | Constellation Brands, Inc., Class A | 1.9 | ||||||
| 8. | Wyndham Worldwide Corp. | 1.8 | ||||||
| 9. | Expedia, Inc. | 1.8 | ||||||
| 10. | PNC Financial Services Group, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 17.9 | % | ||
| Health Care | 12.7 | |||
| Financials | 12.6 | |||
| Consumer Discretionary | 10.6 | |||
| Energy | 9.9 | |||
| Consumer Staples | 9.9 | |||
| Industrials | 7.1 | |||
| Materials | 3.3 | |||
| Utilities | 3.0 | |||
| Telecommunication Services | 2.6 | |||
| Short-Term Investment | 10.4 | |||
| * | The return shown is based on net asset value calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. |
| ** | The advisor seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based upon total investments as of June 30, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 9 | ||||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 3.78 | % | (2.10 | )% | 7.56 | % | ||||||||||
With Sales Charge* | (1.66 | ) | (3.15 | ) | 6.94 | |||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | 3.28 | (2.58 | ) | 7.13 | ||||||||||||
With CDSC** | 2.28 | (2.58 | ) | 7.13 | ||||||||||||
SELECT CLASS SHARES | 2/28/03 | 4.09 | (1.85 | ) | 7.77 | |||||||||||
| * | 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 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 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, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 3000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark. The performance of the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 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.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
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, 2012 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 0.29% | |||
| Russell 1000 Value Index | 3.01% | |||
| Net Assets as of 6/30/2012 (In Thousands) | $859,821 | |||
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) underperformed the Russell 1000 Value Index for the twelve months ended June 30, 2012. The Fund’s stock selection in the financials and industrials sectors was the main detractor from relative performance. The Fund’s stock selection in the health care and telecommunication services sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Citigroup, Inc., Ford Motor Co. and MetLife, Inc. Uncertainty about potential federal regulation hurt shares of financial services company Citigroup, Inc. Shares of automobile manufacturer Ford Motor Co. declined after the company reported disappointing fourth-quarter earnings. Shares of insurance company MetLife, Inc. declined after the U.S. Federal Reserve blocked the company from raising its dividend or buying back shares.
Individual contributors to relative performance included the Fund’s positions in Apple, Inc., ACE Ltd. and Kimberly-Clark Corp. Shares of technology company Apple, Inc. rose as it continued to show the ability to gain share in the growing mobility market through the strong sales of its iPhone and iPad. Shares of insurer ACE Ltd. gained on investor optimism about the company’s increase of its quarterly dividend payment. Shares of Kimberly-Clark Corp., which sells personal and household products, increased following the company’s strong first-quarter results.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Exxon Mobil Corp. | 5.9 | % | |||||
| 2. | Pfizer, Inc. | 4.0 | ||||||
| 3. | Wells Fargo & Co. | 3.5 | ||||||
| 4. | Chevron Corp. | 3.2 | ||||||
| 5. | AT&T, Inc. | 2.7 | ||||||
| 6. | ConocoPhillips | 2.2 | ||||||
| 7. | Citigroup, Inc. | 2.1 | ||||||
| 8. | Tyco International Ltd., (Switzerland) | 1.9 | ||||||
| 9. | PNC Financial Services Group, Inc. | 1.9 | ||||||
| 10. | Bank of America Corp. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 25.8 | % | ||
| Energy | 15.5 | |||
| Health Care | 12.6 | |||
| Industrials | 8.0 | |||
| Consumer Discretionary | 7.8 | |||
| Information Technology | 7.5 | |||
| Utilities | 7.1 | |||
| Consumer Staples | 6.5 | |||
| Telecommunication Services | 4.1 | |||
| Materials | 3.5 | |||
| 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, 2012. The Fund’s composition is subject to change. |
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 11 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2012 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2012 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | 2/19/05 | |||||||||||||||
Without Sales Charge | 0.14 | % | (2.26 | )% | 8.28 | % | ||||||||||
With Sales Charge* | (5.12 | ) | (3.31 | ) | 7.66 | |||||||||||
CLASS C SHARES | 2/19/05 | |||||||||||||||
Without CDSC | (0.37 | ) | (2.75 | ) | 7.85 | |||||||||||
With CDSC** | (1.37 | ) | (2.75 | ) | 7.85 | |||||||||||
CLASS R2 SHARES | 11/3/08 | (0.13 | ) | (2.44 | ) | 8.17 | ||||||||||
CLASS R5 SHARES | 5/15/06 | 0.49 | (1.85 | ) | 8.61 | |||||||||||
CLASS R6 SHARES | 11/30/10 | 0.54 | (1.84 | ) | 8.62 | |||||||||||
SELECT CLASS SHARES | 2/28/03 | 0.29 | (2.05 | ) | 8.47 | |||||||||||
| * | 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 6/30/12)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 28, 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 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 Intrepid Value Fund, the Russell 1000 Value Index, and the Lipper Large-Cap Value Funds Index from February 28, 2003 to June 30, 2012. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the 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 gain distributions 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 incurred 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 $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Subsequent to the inception of the Fund through October 1, 2003, the Fund did not experience any shareholder purchase and sale activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.8% |
| ||||||
Consumer Discretionary — 11.4% |
| |||||||
Auto Components — 0.2% |
| |||||||
| 79 | TRW Automotive Holdings Corp. (a) | 2,900 | ||||||
|
| |||||||
Automobiles — 1.0% |
| |||||||
| 1,989 | Ford Motor Co. | 19,073 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
| 323 | H&R Block, Inc. | 5,154 | ||||||
| 73 | Weight Watchers International, Inc. | 3,743 | ||||||
|
| |||||||
| 8,897 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 161 | Bally Technologies, Inc. (a) | 7,512 | ||||||
| 232 | Brinker International, Inc. | 7,404 | ||||||
| 250 | Marriott International, Inc., Class A | 9,780 | ||||||
| 160 | Wyndham Worldwide Corp. | 8,433 | ||||||
|
| |||||||
| 33,129 | ||||||||
|
| |||||||
Household Durables — 0.6% |
| |||||||
| 163 | Jarden Corp. | 6,841 | ||||||
| 75 | Lennar Corp., Class A | 2,303 | ||||||
| 73 | Toll Brothers, Inc. (a) | 2,182 | ||||||
|
| |||||||
| 11,326 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
| 161 | Expedia, Inc. | 7,730 | ||||||
|
| |||||||
Media — 2.7% |
| |||||||
| 378 | CBS Corp. (Non-Voting), Class B | 12,378 | ||||||
| 526 | Gannett Co., Inc. | 7,746 | ||||||
| 148 | Time Warner Cable, Inc. | 12,143 | ||||||
| 374 | Viacom, Inc., Class B | 17,571 | ||||||
|
| |||||||
| 49,838 | ||||||||
|
| |||||||
Multiline Retail — 1.8% |
| |||||||
| 106 | Dillard’s, Inc., Class A | 6,718 | ||||||
| 757 | Macy’s, Inc. | 25,993 | ||||||
|
| |||||||
| 32,711 | ||||||||
|
| |||||||
Specialty Retail — 2.0% | ||||||||
| 140 | Best Buy Co., Inc. | 2,926 | ||||||
| 234 | Foot Locker, Inc. | 7,143 | ||||||
| 491 | Home Depot, Inc. (The) | 25,992 | ||||||
|
| |||||||
| 36,061 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| 46 | PVH Corp. | 3,555 | ||||||
| 27 | V.F. Corp. | 3,590 | ||||||
|
| |||||||
| 7,145 | ||||||||
|
| |||||||
Total Consumer Discretionary | 208,810 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 10.3% |
| |||||||
Beverages — 1.8% |
| |||||||
| 420 | Constellation Brands, Inc., Class A (a) | 11,356 | ||||||
| 304 | Monster Beverage Corp. (a) | 21,624 | ||||||
|
| |||||||
| 32,980 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% |
| |||||||
| 375 | CVS Caremark Corp. | 17,500 | ||||||
| 554 | Kroger Co. (The) | 12,836 | ||||||
| 180 | Wal-Mart Stores, Inc. | 12,543 | ||||||
|
| |||||||
| 42,879 | ||||||||
|
| |||||||
Food Products — 2.0% |
| |||||||
| 689 | Archer-Daniels-Midland Co. | 20,345 | ||||||
| 80 | Bunge Ltd. | 4,988 | ||||||
| 68 | Campbell Soup Co. | 2,280 | ||||||
| 260 | ConAgra Foods, Inc. | 6,747 | ||||||
| 101 | Tyson Foods, Inc., Class A | 1,905 | ||||||
|
| |||||||
| 36,265 | ||||||||
|
| |||||||
Household Products — 2.0% |
| |||||||
| 84 | Energizer Holdings, Inc. (a) | 6,291 | ||||||
| 369 | Kimberly-Clark Corp. | 30,928 | ||||||
|
| |||||||
| 37,219 | ||||||||
|
| |||||||
Tobacco — 2.2% |
| |||||||
| 147 | Altria Group, Inc. | 5,072 | ||||||
| 42 | Lorillard, Inc. | 5,542 | ||||||
| 332 | Philip Morris International, Inc. | 28,935 | ||||||
|
| |||||||
| 39,549 | ||||||||
|
| |||||||
Total Consumer Staples | 188,892 | |||||||
|
| |||||||
Energy — 10.3% |
| |||||||
Energy Equipment & Services — 0.1% |
| |||||||
| 9 | National Oilwell Varco, Inc. | 599 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.2% |
| |||||||
| 507 | Chevron Corp. | 53,467 | ||||||
| 304 | ConocoPhillips | 16,988 | ||||||
| 242 | Energy XXI Bermuda Ltd., (Bermuda) | 7,575 | ||||||
| 750 | Exxon Mobil Corp. | 64,165 | ||||||
| 795 | Marathon Oil Corp. | 20,336 | ||||||
| 103 | Marathon Petroleum Corp. | 4,640 | ||||||
| 161 | Occidental Petroleum Corp. | 13,809 | ||||||
| 152 | Phillips 66 (a) | 5,052 | ||||||
| 59 | Valero Energy Corp. | 1,430 | ||||||
|
| |||||||
| 187,462 | ||||||||
|
| |||||||
Total Energy | 188,061 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 13 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Financials — 14.2% |
| |||||||
Capital Markets — 1.3% |
| |||||||
| 194 | Ameriprise Financial, Inc. | 10,138 | ||||||
| 134 | Goldman Sachs Group, Inc. (The) | 12,885 | ||||||
|
| |||||||
| 23,023 | ||||||||
|
| |||||||
Commercial Banks — 3.8% |
| |||||||
| 973 | Fifth Third Bancorp | 13,034 | ||||||
| 288 | PNC Financial Services Group, Inc. | 17,618 | ||||||
| 1,170 | Wells Fargo & Co. | 39,110 | ||||||
|
| |||||||
| 69,762 | ||||||||
|
| |||||||
Consumer Finance — 1.7% |
| |||||||
| 920 | Discover Financial Services | 31,807 | ||||||
|
| |||||||
Diversified Financial Services — 1.2% |
| |||||||
| 790 | Citigroup, Inc. | 21,652 | ||||||
|
| |||||||
Insurance — 3.2% |
| |||||||
| 95 | ACE Ltd., (Switzerland) | 7,065 | ||||||
| 135 | Allstate Corp. (The) | 4,744 | ||||||
| 83 | Assurant, Inc. | 2,892 | ||||||
| 70 | Everest Re Group Ltd., (Bermuda) | 7,275 | ||||||
| 278 | Lincoln National Corp. | 6,079 | ||||||
| 717 | MetLife, Inc. | 22,119 | ||||||
| 264 | Protective Life Corp. | 7,755 | ||||||
|
| |||||||
| 57,929 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.0% |
| |||||||
| 384 | CBL & Associates Properties, Inc. | 7,494 | ||||||
| 260 | Extra Space Storage, Inc. | 7,965 | ||||||
| 99 | HCP, Inc. | 4,389 | ||||||
| 28 | Health Care REIT, Inc. | 1,644 | ||||||
| 227 | Hospitality Properties Trust | 5,615 | ||||||
| 541 | Host Hotels & Resorts, Inc. | 8,559 | ||||||
| 247 | LaSalle Hotel Properties | 7,192 | ||||||
| 133 | Prologis, Inc. | 4,406 | ||||||
| 126 | Ventas, Inc. | 7,940 | ||||||
|
| |||||||
| 55,204 | ||||||||
|
| |||||||
Total Financials | 259,377 | |||||||
|
| |||||||
Health Care — 11.6% |
| |||||||
Biotechnology — 4.1% |
| |||||||
| 431 | Amgen, Inc. | 31,466 | ||||||
| 500 | Gilead Sciences, Inc. (a) | 25,650 | ||||||
| 337 | Vertex Pharmaceuticals, Inc. (a) | 18,817 | ||||||
|
| |||||||
| 75,933 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.4% |
| |||||||
| 404 | Hologic, Inc. (a) | 7,295 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — 2.8% |
| |||||||
| 118 | Community Health Systems, Inc. (a) | 3,313 | ||||||
| 205 | Humana, Inc. | 15,898 | ||||||
| 29 | McKesson Corp. | 2,747 | ||||||
| 440 | UnitedHealth Group, Inc. | 25,717 | ||||||
| 57 | WellPoint, Inc. | 3,611 | ||||||
|
| |||||||
| 51,286 | ||||||||
|
| |||||||
Pharmaceuticals — 4.3% |
| |||||||
| 489 | Merck & Co., Inc. | 20,403 | ||||||
| 2,211 | Pfizer, Inc. | 50,843 | ||||||
| 410 | Warner Chilcott plc, (Ireland), Class A (a) | 7,343 | ||||||
|
| |||||||
| 78,589 | ||||||||
|
| |||||||
Total Health Care | 213,103 | |||||||
|
| |||||||
Industrials — 9.7% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
| 402 | General Dynamics Corp. | 26,483 | ||||||
| 550 | Honeywell International, Inc. | 30,718 | ||||||
|
| |||||||
| 57,201 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 160 | Alaska Air Group, Inc. (a) | 5,740 | ||||||
| 287 | United Continental Holdings, Inc. (a) | 6,971 | ||||||
|
| |||||||
| 12,711 | ||||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
| 173 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 6,559 | ||||||
|
| |||||||
Industrial Conglomerates — 1.7% |
| |||||||
| 604 | Tyco International Ltd., (Switzerland) | 31,900 | ||||||
|
| |||||||
Machinery — 2.5% |
| |||||||
| 135 | AGCO Corp. (a) | 6,151 | ||||||
| 447 | Ingersoll-Rand plc, (Ireland) | 18,863 | ||||||
| 209 | Parker Hannifin Corp. | 16,053 | ||||||
| 64 | Stanley Black & Decker, Inc. | 4,125 | ||||||
|
| |||||||
| 45,192 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
| 100 | Dun & Bradstreet Corp. (The) | 7,138 | ||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 246 | Norfolk Southern Corp. | 17,648 | ||||||
|
| |||||||
Total Industrials | 178,349 | |||||||
|
| |||||||
Information Technology — 19.8% |
| |||||||
Communications Equipment — 0.9% |
| |||||||
| 1,481 | Brocade Communications Systems, Inc. (a) | 7,301 | ||||||
| 408 | Cisco Systems, Inc. | 7,007 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Communications Equipment — Continued |
| |||||||
| 50 | QUALCOMM, Inc. | 2,767 | ||||||
|
| |||||||
| 17,075 | ||||||||
|
| |||||||
Computers & Peripherals — 5.9% |
| |||||||
| 167 | Apple, Inc. (a) | 97,411 | ||||||
| 190 | Diebold, Inc. | 7,009 | ||||||
| 149 | Western Digital Corp. (a) | 4,542 | ||||||
|
| |||||||
| 108,962 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| 562 | Vishay Intertechnology, Inc. (a) | 5,296 | ||||||
|
| |||||||
Internet Software & Services — 0.6% |
| |||||||
| 96 | Facebook, Inc., Class A (a) | 3,000 | ||||||
| 169 | IAC/InterActiveCorp. | 7,702 | ||||||
|
| |||||||
| 10,702 | ||||||||
|
| |||||||
IT Services — 5.0% |
| |||||||
| 47 | Alliance Data Systems Corp. (a) | 6,385 | ||||||
| 261 | International Business Machines Corp. | 51,056 | ||||||
| 291 | Lender Processing Services, Inc. | 7,367 | ||||||
| 8 | MasterCard, Inc., Class A | 3,613 | ||||||
| 191 | Visa, Inc., Class A | 23,613 | ||||||
|
| |||||||
| 92,034 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.6% |
| |||||||
| 752 | Altera Corp. | 25,451 | ||||||
| 295 | Broadcom Corp., Class A (a) | 9,971 | ||||||
| 449 | Freescale Semiconductor Ltd. (a) | 4,599 | ||||||
| 124 | Lam Research Corp. (a) | 4,661 | ||||||
| 84 | Texas Instruments, Inc. | 2,399 | ||||||
|
| |||||||
| 47,081 | ||||||||
|
| |||||||
Software — 4.5% |
| |||||||
| 27 | BMC Software, Inc. (a) | 1,165 | ||||||
| 1,822 | Microsoft Corp. | 55,744 | ||||||
| 507 | Oracle Corp. | 15,070 | ||||||
| 95 | SolarWinds, Inc. (a) | 4,116 | ||||||
| 398 | Symantec Corp. (a) | 5,821 | ||||||
|
| |||||||
| 81,916 | ||||||||
|
| |||||||
Total Information Technology | 363,066 | |||||||
|
| |||||||
Materials — 3.9% |
| |||||||
Chemicals — 2.6% |
| |||||||
| 75 | CF Industries Holdings, Inc. | 14,608 | ||||||
| 181 | LyondellBasell Industries N.V., (Netherlands), Class A | 7,273 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 148 | Monsanto Co. | 12,251 | ||||||
| 119 | PPG Industries, Inc. | 12,607 | ||||||
|
| |||||||
| 46,739 | ||||||||
|
| |||||||
Metals & Mining — 1.0% |
| |||||||
| 540 | Freeport-McMoRan Copper & Gold, Inc. | 18,395 | ||||||
|
| |||||||
Paper & Forest Products — 0.3% |
| |||||||
| 214 | International Paper Co. | 6,184 | ||||||
|
| |||||||
Total Materials | 71,318 | |||||||
|
| |||||||
Telecommunication Services — 3.4% |
| |||||||
Diversified Telecommunication Services — 3.4% |
| |||||||
| 609 | AT&T, Inc. | 21,706 | ||||||
| 538 | CenturyLink, Inc. | 21,227 | ||||||
| 434 | Verizon Communications, Inc. | 19,292 | ||||||
|
| |||||||
Total Telecommunication Services | 62,225 | |||||||
|
| |||||||
Utilities — 3.2% |
| |||||||
Electric Utilities — 1.8% |
| |||||||
| 511 | American Electric Power Co., Inc. | 20,395 | ||||||
| 173 | NextEra Energy, Inc. | 11,911 | ||||||
|
| |||||||
| 32,306 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.4% |
| |||||||
| 550 | AES Corp. (The) (a) | 7,059 | ||||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
| 22 | Ameren Corp. | 721 | ||||||
| 60 | Consolidated Edison, Inc. | 3,732 | ||||||
| 210 | Sempra Energy | 14,492 | ||||||
|
| |||||||
| 18,945 | ||||||||
|
| |||||||
Total Utilities | 58,310 | |||||||
|
| |||||||
Total Common Stocks | 1,791,511 | |||||||
|
| |||||||
| Short-Term Investment — 2.0% |
| ||||||
Investment Company — 2.0% |
| |||||||
| 37,467 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 37,467 | ||||||
|
| |||||||
Total Investments — 99.8% | 1,828,978 | |||||||
Other Assets in Excess of | 3,162 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,832,140 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 15 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 590 | E-mini S&P 500 | 09/21/12 | $ | 40,014 | $ | 1,396 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.0% |
| ||||||
Consumer Discretionary — 16.0% |
| |||||||
Automobiles — 0.9% |
| |||||||
| 642 | Ford Motor Co. | 6,155 | ||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
| 76 | H&R Block, Inc. | 1,221 | ||||||
| 26 | Weight Watchers International, Inc. | 1,330 | ||||||
|
| |||||||
| 2,551 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.5% |
| |||||||
| 58 | Bally Technologies, Inc. (a) | 2,688 | ||||||
| 89 | Brinker International, Inc. | 2,824 | ||||||
| 188 | Marriott International, Inc., Class A | 7,377 | ||||||
| 56 | Wyndham Worldwide Corp. | 2,948 | ||||||
| 67 | Wynn Resorts Ltd. | 6,960 | ||||||
|
| |||||||
| 22,797 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 66 | Jarden Corp. | 2,765 | ||||||
| 269 | PulteGroup, Inc. (a) | 2,881 | ||||||
|
| |||||||
| 5,646 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.2% |
| |||||||
| 57 | Expedia, Inc. | 2,759 | ||||||
| 18 | priceline.com, Inc. (a) | 12,028 | ||||||
|
| |||||||
| 14,787 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.5% |
| |||||||
| 44 | Mattel, Inc. | 1,421 | ||||||
| 29 | Polaris Industries, Inc. | 2,037 | ||||||
|
| |||||||
| 3,458 | ||||||||
|
| |||||||
Media — 3.3% |
| |||||||
| 116 | CBS Corp. (Non-Voting), Class B | 3,786 | ||||||
| 121 | DIRECTV, Class A (a) | 5,902 | ||||||
| 184 | Gannett Co., Inc. | 2,706 | ||||||
| 32 | Scripps Networks Interactive, Inc., Class A | 1,797 | ||||||
| 19 | Time Warner Cable, Inc. | 1,527 | ||||||
| 120 | Viacom, Inc., Class B | 5,638 | ||||||
|
| |||||||
| 21,356 | ||||||||
|
| |||||||
Multiline Retail — 1.3% |
| |||||||
| 247 | Macy’s, Inc. | 8,485 | ||||||
|
| |||||||
Specialty Retail — 2.6% |
| |||||||
| 8 | AutoZone, Inc. (a) | 2,937 | ||||||
| 272 | Home Depot, Inc. (The) | 14,424 | ||||||
|
| |||||||
| 17,361 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| 33 | PVH Corp. | 2,528 | ||||||
|
| |||||||
Total Consumer Discretionary | 105,124 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Consumer Staples — 12.8% |
| |||||||
Beverages — 2.7% |
| |||||||
| 115 | Coca-Cola Co. (The) | 8,992 | ||||||
| 93 | Coca-Cola Enterprises, Inc. | 2,611 | ||||||
| 126 | Constellation Brands, Inc., Class A (a) | 3,420 | ||||||
| 35 | Monster Beverage Corp. (a) | 2,478 | ||||||
|
| |||||||
| 17,501 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.1% |
| |||||||
| 91 | CVS Caremark Corp. | 4,267 | ||||||
| 159 | Kroger Co. (The) | 3,694 | ||||||
| 177 | Wal-Mart Stores, Inc. | 12,347 | ||||||
|
| |||||||
| 20,308 | ||||||||
|
| |||||||
Food Products — 2.3% |
| |||||||
| 210 | Archer-Daniels-Midland Co. | 6,184 | ||||||
| 19 | Bunge Ltd. | 1,180 | ||||||
| 79 | Campbell Soup Co. | 2,624 | ||||||
| 97 | ConAgra Foods, Inc. | 2,520 | ||||||
| 135 | Tyson Foods, Inc., Class A | 2,538 | ||||||
|
| |||||||
| 15,046 | ||||||||
|
| |||||||
Household Products — 1.6% |
| |||||||
| 123 | Kimberly-Clark Corp. | 10,329 | ||||||
|
| |||||||
Tobacco — 3.1% |
| |||||||
| 237 | Philip Morris International, Inc. | 20,663 | ||||||
|
| |||||||
Total Consumer Staples | 83,847 | |||||||
|
| |||||||
Energy — 4.3% |
| |||||||
Energy Equipment & Services — 0.5% |
| |||||||
| 49 | National Oilwell Varco, Inc. | 3,183 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.8% |
| |||||||
| 64 | Chevron Corp. | 6,792 | ||||||
| 69 | Energy XXI Bermuda Ltd., (Bermuda) | 2,150 | ||||||
| 94 | Exxon Mobil Corp. | 8,009 | ||||||
| 244 | Marathon Oil Corp. | 6,242 | ||||||
| 15 | Marathon Petroleum Corp. | 660 | ||||||
| 24 | Phillips 66 (a) | 804 | ||||||
|
| |||||||
| 24,657 | ||||||||
|
| |||||||
Total Energy | 27,840 | |||||||
|
| |||||||
Financials — 5.0% |
| |||||||
Capital Markets — 0.5% |
| |||||||
| 62 | Ameriprise Financial, Inc. | 3,240 | ||||||
|
| |||||||
Commercial Banks — 0.6% |
| |||||||
| 115 | Wells Fargo & Co. | 3,849 | ||||||
|
| |||||||
Consumer Finance — 1.6% |
| |||||||
| 301 | Discover Financial Services | 10,405 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 17 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Diversified Financial Services — 0.2% |
| |||||||
| 62 | Citigroup, Inc. | 1,705 | ||||||
|
| |||||||
Insurance — 0.3% |
| |||||||
| 67 | Validus Holdings Ltd., (Bermuda) | 2,136 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
| 137 | CBL & Associates Properties, Inc. | 2,681 | ||||||
| 85 | Hospitality Properties Trust | 2,101 | ||||||
| 40 | Host Hotels & Resorts, Inc. | 639 | ||||||
| 55 | LaSalle Hotel Properties | 1,588 | ||||||
| 75 | Ventas, Inc. | 4,721 | ||||||
|
| |||||||
| 11,730 | ||||||||
|
| |||||||
Total Financials | 33,065 | |||||||
|
| |||||||
Health Care — 11.6% |
| |||||||
Biotechnology — 4.5% |
| |||||||
| 83 | Amgen, Inc. | 6,084 | ||||||
| 85 | Celgene Corp. (a) | 5,473 | ||||||
| 269 | Gilead Sciences, Inc. (a) | 13,789 | ||||||
| 74 | Vertex Pharmaceuticals, Inc. (a) | 4,150 | ||||||
|
| |||||||
| 29,496 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
| 101 | Baxter International, Inc. | 5,357 | ||||||
| 109 | Covidien plc, (Ireland) | 5,837 | ||||||
| 28 | Hill-Rom Holdings, Inc. | 876 | ||||||
|
| |||||||
| 12,070 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% |
| |||||||
| 44 | Humana, Inc. | 3,415 | ||||||
| 123 | McKesson Corp. | 11,560 | ||||||
| 110 | UnitedHealth Group, Inc. | 6,423 | ||||||
|
| |||||||
| 21,398 | ||||||||
|
| |||||||
Pharmaceuticals — 2.0% |
| |||||||
| 456 | Pfizer, Inc. | 10,497 | ||||||
| 144 | Warner Chilcott plc, (Ireland), Class A (a) | 2,574 | ||||||
|
| |||||||
| 13,071 | ||||||||
|
| |||||||
Total Health Care | 76,035 | |||||||
|
| |||||||
Industrials — 11.1% |
| |||||||
Aerospace & Defense — 3.1% |
| |||||||
| 132 | General Dynamics Corp. | 8,700 | ||||||
| 202 | Honeywell International, Inc. | 11,258 | ||||||
|
| |||||||
| 19,958 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 51 | Alaska Air Group, Inc. (a) | 1,846 | ||||||
| 81 | Delta Air Lines, Inc. (a) | 890 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Airlines — Continued |
| |||||||
| 77 | United Continental Holdings, Inc. (a) | 1,871 | ||||||
|
| |||||||
| 4,607 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
| 233 | R.R. Donnelley & Sons Co. | 2,741 | ||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
| 61 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 2,308 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 152 | Tyco International Ltd., (Switzerland) | 8,033 | ||||||
|
| |||||||
Machinery — 3.5% |
| |||||||
| 259 | Ingersoll-Rand plc, (Ireland) | 10,916 | ||||||
| 124 | Parker Hannifin Corp. | 9,502 | ||||||
| 43 | Stanley Black & Decker, Inc. | 2,787 | ||||||
|
| |||||||
| 23,205 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
| 38 | Dun & Bradstreet Corp. (The) | 2,676 | ||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
| 250 | CSX Corp. | 5,590 | ||||||
| 30 | Union Pacific Corp. | 3,579 | ||||||
|
| |||||||
| 9,169 | ||||||||
|
| |||||||
Total Industrials | 72,697 | |||||||
|
| |||||||
Information Technology — 30.0% |
| |||||||
Communications Equipment — 1.2% |
| |||||||
| 524 | Brocade Communications Systems, Inc. (a) | 2,584 | ||||||
| 104 | QUALCOMM, Inc. | 5,802 | ||||||
|
| |||||||
| 8,386 | ||||||||
|
| |||||||
Computers & Peripherals — 9.4% |
| |||||||
| 103 | Apple, Inc. (a) | 60,006 | ||||||
| 44 | Diebold, Inc. | 1,609 | ||||||
|
| |||||||
| 61,615 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 145 | Vishay Intertechnology, Inc. (a) | 1,371 | ||||||
|
| |||||||
Internet Software & Services — 1.0% |
| |||||||
| 34 | Facebook, Inc., Class A (a) | 1,058 | ||||||
| 9 | Google, Inc., Class A (a) | 5,453 | ||||||
|
| |||||||
| 6,511 | ||||||||
|
| |||||||
IT Services — 7.6% |
| |||||||
| 23 | Alliance Data Systems Corp. (a) | 3,125 | ||||||
| 67 | FleetCor Technologies, Inc. (a) | 2,330 | ||||||
| 143 | International Business Machines Corp. | 27,997 | ||||||
| 80 | NeuStar, Inc., Class A (a) | 2,685 | ||||||
| 60 | Visa, Inc., Class A | 7,443 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — Continued |
| |||||||
| 377 | Western Union Co. (The) | 6,344 | ||||||
|
| |||||||
| 49,924 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
| 296 | Altera Corp. | 10,020 | ||||||
| 126 | Broadcom Corp., Class A (a) | 4,266 | ||||||
| 163 | Freescale Semiconductor Ltd. (a) | 1,666 | ||||||
| 84 | Intel Corp. | 2,228 | ||||||
| 40 | Lam Research Corp. (a) | 1,491 | ||||||
| 45 | Texas Instruments, Inc. | 1,282 | ||||||
|
| |||||||
| 20,953 | ||||||||
|
| |||||||
Software — 7.4% |
| |||||||
| 69 | BMC Software, Inc. (a) | 2,949 | ||||||
| 1,006 | Microsoft Corp. | 30,787 | ||||||
| 318 | Oracle Corp. | 9,442 | ||||||
| 360 | Symantec Corp. (a) | 5,260 | ||||||
|
| |||||||
| 48,438 | ||||||||
|
| |||||||
Total Information Technology | 197,198 | |||||||
|
| |||||||
Materials — 4.4% |
| |||||||
Chemicals — 4.2% |
| |||||||
| 44 | CF Industries Holdings, Inc. | 8,447 | ||||||
| 75 | LyondellBasell Industries N.V., (Netherlands), Class A | 3,012 | ||||||
| 101 | Monsanto Co. | 8,319 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — Continued |
| |||||||
| 74 | PPG Industries, Inc. | 7,821 | ||||||
|
| |||||||
| 27,599 | ||||||||
|
| |||||||
Metals & Mining — 0.2% |
| |||||||
| 38 | Freeport-McMoRan Copper & Gold, Inc. | 1,288 | ||||||
|
| |||||||
Total Materials | 28,887 | |||||||
|
| |||||||
Telecommunication Services — 1.8% |
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
| 237 | CenturyLink, Inc. | 9,376 | ||||||
| 103 | tw telecom, inc. (a) | 2,633 | ||||||
|
| |||||||
Total Telecommunication Services | 12,009 | |||||||
|
| |||||||
Total Common Stocks | 636,702 | |||||||
|
| |||||||
| Short-Term Investment — 2.9% |
| ||||||
Investment Company — 2.9% |
| |||||||
| 18,952 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.130% (b) (l) (m) | 18,952 | ||||||
|
| |||||||
Total Investments — 99.9% | 655,654 | |||||||
Other Assets in Excess of | 855 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 656,509 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 290 | E-mini S&P 500 | 09/21/12 | $ | 19,668 | $ | 687 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 19 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.0% |
| ||||||
Consumer Discretionary — 15.9% |
| |||||||
Auto Components — 0.5% |
| |||||||
| 12 | Delphi Automotive plc, (United Kingdom) (a) | 293 | ||||||
| 10 | Lear Corp. | 362 | ||||||
| 37 | TRW Automotive Holdings Corp. (a) | 1,357 | ||||||
|
| |||||||
| 2,012 | ||||||||
|
| |||||||
Automobiles — 0.1% |
| |||||||
| 8 | Harley-Davidson, Inc. | 380 | ||||||
|
| |||||||
Distributors — 0.5% |
| |||||||
| 3 | Genuine Parts Co. | 205 | ||||||
| 54 | LKQ Corp. (a) | 1,810 | ||||||
|
| |||||||
| 2,015 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.5% |
| |||||||
| 30 | Apollo Group, Inc., Class A (a) | 1,078 | ||||||
| 27 | ITT Educational Services, Inc. (a) (c) | 1,616 | ||||||
| 297 | Service Corp. International | 3,669 | ||||||
|
| |||||||
| 6,363 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% |
| |||||||
| 82 | Brinker International, Inc. | 2,620 | ||||||
| 126 | Wyndham Worldwide Corp. | 6,629 | ||||||
|
| |||||||
| 9,249 | ||||||||
|
| |||||||
Household Durables — 2.0% |
| |||||||
| 48 | Garmin Ltd., (Switzerland) | 1,846 | ||||||
| 74 | Leggett & Platt, Inc. | 1,568 | ||||||
| 401 | PulteGroup, Inc. (a) | 4,290 | ||||||
| 21 | Tempur-Pedic International, Inc. (a) | 486 | ||||||
| 5 | Tupperware Brands Corp. | 252 | ||||||
|
| |||||||
| 8,442 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
| 22 | Expedia, Inc. | 1,077 | ||||||
| 1 | priceline.com, Inc. (a) | 531 | ||||||
|
| |||||||
| 1,608 | ||||||||
|
| |||||||
Leisure Equipment & Products — 0.1% |
| |||||||
| 18 | Mattel, Inc. | 587 | ||||||
|
| |||||||
Media — 2.4% |
| |||||||
| 191 | CBS Corp. (Non-Voting), Class B | 6,272 | ||||||
| 71 | DISH Network Corp., Class A | 2,036 | ||||||
| 73 | Lamar Advertising Co., Class A (a) | 2,088 | ||||||
|
| |||||||
| 10,396 | ||||||||
|
| |||||||
Multiline Retail — 2.7% |
| |||||||
| 3 | Big Lots, Inc. (a) | 123 | ||||||
| 22 | Dillard’s, Inc., Class A | 1,401 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multiline Retail — Continued |
| |||||||
| 20 | Dollar Tree, Inc. (a) | 1,065 | ||||||
| 260 | Macy’s, Inc. | 8,917 | ||||||
|
| |||||||
| 11,506 | ||||||||
|
| |||||||
Specialty Retail — 3.2% |
| |||||||
| 10 | AutoZone, Inc. (a) | 3,745 | ||||||
| 47 | Foot Locker, Inc. | 1,422 | ||||||
| 84 | GameStop Corp., Class A | 1,545 | ||||||
| 26 | O’Reilly Automotive, Inc. (a) | 2,203 | ||||||
| 30 | Ross Stores, Inc. | 1,880 | ||||||
| 43 | TJX Cos., Inc. | 1,829 | ||||||
| 38 | Urban Outfitters, Inc. (a) | 1,057 | ||||||
|
| |||||||
| 13,681 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| 6 | Carter’s, Inc. (a) | 321 | ||||||
| 35 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 1,477 | ||||||
|
| |||||||
| 1,798 | ||||||||
|
| |||||||
Total Consumer Discretionary | 68,037 | |||||||
|
| |||||||
Consumer Staples — 7.5% |
| |||||||
Beverages — 1.8% |
| |||||||
| 280 | Constellation Brands, Inc., Class A (a) | 7,563 | ||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
| 52 | Fresh Market, Inc. (The) (a) | 2,773 | ||||||
|
| |||||||
Food Products — 2.8% |
| |||||||
| 175 | Campbell Soup Co. | 5,848 | ||||||
| 29 | Green Mountain Coffee Roasters, Inc. (a) | 623 | ||||||
| 51 | Smithfield Foods, Inc. (a) | 1,092 | ||||||
| 233 | Tyson Foods, Inc., Class A | 4,386 | ||||||
|
| |||||||
| 11,949 | ||||||||
|
| |||||||
Tobacco — 2.3% |
| |||||||
| 75 | Lorillard, Inc. | 9,896 | ||||||
|
| |||||||
Total Consumer Staples | 32,181 | |||||||
|
| |||||||
Energy — 5.5% |
| |||||||
Energy Equipment & Services — 1.7% |
| |||||||
| 9 | Baker Hughes, Inc. | 370 | ||||||
| 15 | Dresser-Rand Group, Inc. (a) | 650 | ||||||
| 18 | National Oilwell Varco, Inc. | 1,174 | ||||||
| 63 | Oil States International, Inc. (a) | 4,167 | ||||||
| 4 | SEACOR Holdings, Inc. (a) | 322 | ||||||
| 21 | Unit Corp. (a) | 758 | ||||||
|
| |||||||
| 7,441 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.8% |
| |||||||
| 38 | Cheniere Energy, Inc. (a) | 565 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Oil, Gas & Consumable Fuels — Continued |
| |||||||
| 38 | Cimarex Energy Co. | 2,108 | ||||||
| 11 | Continental Resources, Inc. (a) | 739 | ||||||
| 89 | Energen Corp. | 4,021 | ||||||
| 68 | HollyFrontier Corp. | 2,420 | ||||||
| 31 | Laredo Petroleum Holdings, Inc. (a) | 645 | ||||||
| 17 | Murphy Oil Corp. | 850 | ||||||
| 41 | Newfield Exploration Co. (a) | 1,211 | ||||||
| 12 | Noble Energy, Inc. | 1,031 | ||||||
| 21 | Sunoco, Inc. | 997 | ||||||
| 64 | Valero Energy Corp. | 1,550 | ||||||
|
| |||||||
| 16,137 | ||||||||
|
| |||||||
Total Energy | 23,578 | |||||||
|
| |||||||
Financials — 19.3% |
| |||||||
Capital Markets — 1.1% |
| |||||||
| 30 | Affiliated Managers Group, Inc. (a) | 3,327 | ||||||
| 152 | American Capital Ltd. (a) | 1,531 | ||||||
|
| |||||||
| 4,858 | ||||||||
|
| |||||||
Commercial Banks — 2.9% |
| |||||||
| 20 | BOK Financial Corp. | 1,135 | ||||||
| 94 | Fifth Third Bancorp | 1,260 | ||||||
| 103 | Huntington Bancshares, Inc. | 657 | ||||||
| 223 | KeyCorp | 1,726 | ||||||
| 10 | M&T Bank Corp. | 793 | ||||||
| 133 | Regions Financial Corp. | 900 | ||||||
| 67 | SVB Financial Group (a) | 3,934 | ||||||
| 156 | TCF Financial Corp. (c) | 1,793 | ||||||
|
| |||||||
| 12,198 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
| 246 | Discover Financial Services | 8,503 | ||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 65 | NASDAQ OMX Group, Inc. (The) | 1,468 | ||||||
|
| |||||||
Insurance — 4.4% |
| |||||||
| 28 | Allied World Assurance Co. Holdings AG, (Switzerland) | 2,225 | ||||||
| 77 | American Financial Group, Inc. | 3,028 | ||||||
| 39 | Arch Capital Group Ltd., (Bermuda) (a) | 1,534 | ||||||
| 26 | Assurant, Inc. | 911 | ||||||
| 126 | Assured Guaranty Ltd., (Bermuda) | 1,777 | ||||||
| 18 | Axis Capital Holdings Ltd., (Bermuda) | 573 | ||||||
| 8 | Everest Re Group Ltd., (Bermuda) | 828 | ||||||
| 50 | Hartford Financial Services Group, Inc. | 873 | ||||||
| 34 | Lincoln National Corp. | 741 | ||||||
| 46 | Principal Financial Group, Inc. | 1,196 | ||||||
| 44 | Protective Life Corp. | 1,291 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — Continued |
| |||||||
| 15 | Torchmark Corp. | 776 | ||||||
| 106 | Unum Group | 2,020 | ||||||
| 35 | Validus Holdings Ltd., (Bermuda) | 1,118 | ||||||
|
| |||||||
| 18,891 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 8.4% |
| |||||||
| 92 | Annaly Capital Management, Inc. | 1,536 | ||||||
| 84 | Apartment Investment & Management Co., Class A | 2,281 | ||||||
| 80 | Brandywine Realty Trust | 991 | ||||||
| 15 | Camden Property Trust | 1,035 | ||||||
| 26 | Chimera Investment Corp. | 62 | ||||||
| 49 | CommonWealth REIT | 936 | ||||||
| 54 | DDR Corp. | 792 | ||||||
| 60 | Digital Realty Trust, Inc. | 4,519 | ||||||
| 47 | Douglas Emmett, Inc. (m) | 1,079 | ||||||
| 312 | Duke Realty Corp. | 4,572 | ||||||
| 22 | Equity Residential | 1,366 | ||||||
| 46 | Health Care REIT, Inc. | 2,670 | ||||||
| 161 | Hospitality Properties Trust | 3,982 | ||||||
| 107 | Host Hotels & Resorts, Inc. | 1,685 | ||||||
| 28 | Mack-Cali Realty Corp. | 805 | ||||||
| 42 | Post Properties, Inc. | 2,056 | ||||||
| 6 | SL Green Realty Corp. | 449 | ||||||
| 33 | Taubman Centers, Inc. | 2,523 | ||||||
| 40 | Ventas, Inc. | 2,555 | ||||||
|
| |||||||
| 35,894 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 23 | Forest City Enterprises, Inc., Class A (a) | 340 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
| 13 | BankUnited, Inc. | 300 | ||||||
|
| |||||||
Total Financials | 82,452 | |||||||
|
| |||||||
Health Care — 11.1% |
| |||||||
Biotechnology — 2.3% |
| |||||||
| 60 | BioMarin Pharmaceutical, Inc. (a) | 2,359 | ||||||
| 33 | United Therapeutics Corp. (a) | 1,644 | ||||||
| 102 | Vertex Pharmaceuticals, Inc. (a) | 5,682 | ||||||
|
| |||||||
| 9,685 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
| 46 | Alere, Inc. (a) | 890 | ||||||
| 73 | Cooper Cos., Inc. (The) | 5,799 | ||||||
| 48 | Hologic, Inc. (a) | 862 | ||||||
| 60 | Zimmer Holdings, Inc. | 3,887 | ||||||
|
| |||||||
| 11,438 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 21 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Health Care Providers & Services — 3.4% |
| |||||||
| 29 | Aetna, Inc. | 1,140 | ||||||
| 125 | AmerisourceBergen Corp. | 4,926 | ||||||
| 68 | Community Health Systems, Inc. (a) | 1,895 | ||||||
| 47 | Humana, Inc. | 3,640 | ||||||
| 99 | Omnicare, Inc. | 3,095 | ||||||
|
| |||||||
| 14,696 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.3% |
| |||||||
| 28 | Agilent Technologies, Inc. | 1,103 | ||||||
| 57 | Illumina, Inc. (a) | 2,290 | ||||||
| 50 | Life Technologies Corp. (a) | 2,263 | ||||||
|
| |||||||
| 5,656 | ||||||||
|
| |||||||
Pharmaceuticals — 1.4% |
| |||||||
| 75 | Endo Health Solutions, Inc. (a) | 2,308 | ||||||
| 108 | Warner Chilcott plc, (Ireland), Class A (a) | 1,940 | ||||||
| 24 | Watson Pharmaceuticals, Inc. (a) | 1,776 | ||||||
|
| |||||||
| 6,024 | ||||||||
|
| |||||||
Total Health Care | 47,499 | |||||||
|
| |||||||
Industrials — 10.1% |
| |||||||
Aerospace & Defense — 2.1% |
| |||||||
| 19 | Alliant Techsystems, Inc. | 940 | ||||||
| 50 | Huntington Ingalls Industries, Inc. (a) | 2,004 | ||||||
| 64 | L-3 Communications Holdings, Inc. | 4,759 | ||||||
| 17 | Northrop Grumman Corp. | 1,091 | ||||||
|
| |||||||
| 8,794 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 22 | Copa Holdings S.A., (Panama), Class A | 1,806 | ||||||
| 99 | Delta Air Lines, Inc. (a) | 1,086 | ||||||
|
| |||||||
| 2,892 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
| 46 | R.R. Donnelley & Sons Co. | 545 | ||||||
|
| |||||||
Construction & Engineering — 1.8% |
| |||||||
| 47 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 1,777 | ||||||
| 170 | KBR, Inc. | 4,191 | ||||||
| 50 | URS Corp. | 1,740 | ||||||
|
| |||||||
| 7,708 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
| 52 | Hubbell, Inc., Class B | 4,080 | ||||||
|
| |||||||
Machinery — 3.7% |
| |||||||
| 53 | AGCO Corp. (a) | 2,442 | ||||||
| 44 | Ingersoll-Rand plc, (Ireland) | 1,852 | ||||||
| 70 | Navistar International Corp. (a) | 1,992 | ||||||
| 74 | Parker Hannifin Corp. | 5,724 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — Continued |
| |||||||
| 81 | Timken Co. | 3,713 | ||||||
| 11 | Xylem, Inc. | 264 | ||||||
|
| |||||||
| 15,987 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
| 18 | Kirby Corp. (a) | 866 | ||||||
|
| |||||||
Professional Services — 0.0% (g) | ||||||||
| 3 | Dun & Bradstreet Corp. (The) | 228 | ||||||
|
| |||||||
Road & Rail — 0.5% |
| |||||||
| 78 | CSX Corp. | 1,748 | ||||||
| 5 | Landstar System, Inc. | 248 | ||||||
|
| |||||||
| 1,996 | ||||||||
|
| |||||||
Total Industrials | 43,096 | |||||||
|
| |||||||
Information Technology — 15.1% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
| 122 | Brocade Communications Systems, Inc. (a) | 603 | ||||||
| 1 | F5 Networks, Inc. (a) | 119 | ||||||
| 53 | Harris Corp. | 2,212 | ||||||
|
| |||||||
| 2,934 | ||||||||
|
| |||||||
Computers & Peripherals — 2.5% |
| |||||||
| 60 | Lexmark International, Inc., Class A | 1,597 | ||||||
| 259 | NCR Corp. (a) | 5,892 | ||||||
| 26 | SanDisk Corp. (a) | 956 | ||||||
| 70 | Western Digital Corp. (a) | 2,121 | ||||||
|
| |||||||
| 10,566 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.3% |
| |||||||
| 59 | Arrow Electronics, Inc. (a) | 1,939 | ||||||
| 81 | Avnet, Inc. (a) | 2,500 | ||||||
| 10 | Dolby Laboratories, Inc., Class A (a) | 396 | ||||||
| 8 | Tech Data Corp. (a) | 400 | ||||||
| 65 | Vishay Intertechnology, Inc. (a) | 613 | ||||||
|
| |||||||
| 5,848 | ||||||||
|
| |||||||
Internet Software & Services — 1.7% |
| |||||||
| 78 | IAC/InterActiveCorp. | 3,543 | ||||||
| 34 | LinkedIn Corp., Class A (a) | 3,592 | ||||||
|
| |||||||
| 7,135 | ||||||||
|
| |||||||
IT Services — 3.2% |
| |||||||
| 49 | Alliance Data Systems Corp. (a) | 6,568 | ||||||
| 12 | Amdocs Ltd. (a) | 345 | ||||||
| 16 | Booz Allen Hamilton Holding Corp. | 243 | ||||||
| 49 | Broadridge Financial Solutions, Inc. | 1,049 | ||||||
| 55 | Computer Sciences Corp. | 1,354 | ||||||
| 21 | DST Systems, Inc. | 1,113 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — Continued |
| |||||||
| 55 | Fidelity National Information Services, Inc. | 1,864 | ||||||
| 52 | Lender Processing Services, Inc. | 1,307 | ||||||
|
| |||||||
| 13,843 | ||||||||
|
| |||||||
Office Electronics — 0.5% |
| |||||||
| 285 | Xerox Corp. | 2,243 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 20 | Analog Devices, Inc. | 742 | ||||||
| 125 | Applied Materials, Inc. | 1,430 | ||||||
| 26 | Fairchild Semiconductor International, Inc. (a) | 368 | ||||||
| 25 | KLA-Tencor Corp. | 1,236 | ||||||
| 23 | Lam Research Corp. (a) | 876 | ||||||
| 11 | Linear Technology Corp. | 359 | ||||||
| 268 | LSI Corp. (a) | 1,705 | ||||||
| 106 | Marvell Technology Group Ltd., (Bermuda) | 1,191 | ||||||
| 200 | Micron Technology, Inc. (a) | 1,261 | ||||||
| 34 | Teradyne, Inc. (a) | 484 | ||||||
| 27 | Xilinx, Inc. | 911 | ||||||
|
| |||||||
| 10,563 | ||||||||
|
| |||||||
Software — 2.7% |
| |||||||
| 53 | BMC Software, Inc. (a) | 2,276 | ||||||
| 231 | CA, Inc. | 6,260 | ||||||
| 79 | Symantec Corp. (a) | 1,150 | ||||||
| 30 | Synopsys, Inc. (a) | 880 | ||||||
| 176 | Zynga, Inc., Class A (a) | 960 | ||||||
|
| |||||||
| 11,526 | ||||||||
|
| |||||||
Total Information Technology | 64,658 | |||||||
|
| |||||||
Materials — 5.7% |
| |||||||
Chemicals — 2.9% |
| |||||||
| 18 | CF Industries Holdings, Inc. | 3,448 | ||||||
| 64 | PPG Industries, Inc. | 6,739 | ||||||
| 45 | Valspar Corp. | 2,336 | ||||||
|
| |||||||
| 12,523 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
| 33 | Crown Holdings, Inc. (a) | 1,131 | ||||||
| 6 | Rock-Tenn Co., Class A | 322 | ||||||
|
| |||||||
| 1,453 | ||||||||
|
| |||||||
Metals & Mining — 1.5% |
| |||||||
| 44 | Cliffs Natural Resources, Inc. | 2,154 | ||||||
| 23 | Reliance Steel & Aluminum Co. | 1,141 | ||||||
| 16 | Royal Gold, Inc. | 1,254 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — Continued |
| |||||||
| 7 | Steel Dynamics, Inc. | 85 | ||||||
| 41 | Walter Energy, Inc. | 1,822 | ||||||
|
| |||||||
| 6,456 | ||||||||
|
| |||||||
Paper & Forest Products — 0.9% |
| |||||||
| 23 | Domtar Corp., (Canada) | 1,795 | ||||||
| 75 | International Paper Co. | 2,154 | ||||||
|
| |||||||
| 3,949 | ||||||||
|
| |||||||
Total Materials | 24,381 | |||||||
|
| |||||||
Telecommunication Services — 0.7% |
| |||||||
Diversified Telecommunication Services — 0.2% |
| |||||||
| 248 | Frontier Communications Corp. | 951 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.5% |
| |||||||
| 537 | Clearwire Corp., Class A (a) | 601 | ||||||
| 61 | Telephone & Data Systems, Inc. | 1,303 | ||||||
|
| |||||||
| 1,904 | ||||||||
|
| |||||||
Total Telecommunication Services | 2,855 | |||||||
|
| |||||||
Utilities — 7.1% |
| |||||||
Electric Utilities — 0.3% |
| |||||||
| 11 | Exelon Corp. | 418 | ||||||
| 35 | NV Energy, Inc. | 617 | ||||||
| 8 | Pinnacle West Capital Corp. | 393 | ||||||
|
| |||||||
| 1,428 | ||||||||
|
| |||||||
Gas Utilities — 0.9% |
| |||||||
| 7 | AGL Resources, Inc. | 287 | ||||||
| 53 | Questar Corp. | 1,107 | ||||||
| 83 | UGI Corp. | 2,440 | ||||||
|
| |||||||
| 3,834 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.4% |
| |||||||
| 137 | AES Corp. (The) (a) | 1,763 | ||||||
|
| |||||||
Multi-Utilities — 5.5% |
| |||||||
| 40 | Alliant Energy Corp. | 1,802 | ||||||
| 56 | Ameren Corp. | 1,882 | ||||||
| 172 | CenterPoint Energy, Inc. | 3,555 | ||||||
| 75 | CMS Energy Corp. | 1,760 | ||||||
| 37 | Consolidated Edison, Inc. | 2,295 | ||||||
| 64 | DTE Energy Co. | 3,779 | ||||||
| 5 | Integrys Energy Group, Inc. | 279 | ||||||
| 49 | MDU Resources Group, Inc. | 1,057 | ||||||
| 74 | Sempra Energy | 5,111 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 23 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Multi-Utilities — Continued |
| |||||||
| 105 | TECO Energy, Inc. | 1,901 | ||||||
|
| |||||||
| 23,421 | ||||||||
|
| |||||||
Total Utilities | 30,446 | |||||||
|
| |||||||
Total Common Stocks | 419,183 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.2% |
| ||||||
| 890 | U.S. Treasury Note, 0.500%, | 891 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.1% |
| ||||||
Investment Company — 3.1% | ||||||||
| 13,228 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.160% (b) (l) (m) (Cost $13,228) | 13,228 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.2% |
| ||||||
Investment Company — 0.2% | ||||||||
| 804 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 804 | ||||||
|
| |||||||
Total Investments — 101.5% | 434,106 | |||||||
Liabilities in Excess of | (6,312 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 427,794 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 100 | S&P Mid Cap 400 | 09/21/12 | $ | 9,395 | $ | 226 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% |
| ||||||
Consumer Discretionary — 11.5% |
| |||||||
Auto Components — 0.5% |
| |||||||
| 1 | TRW Automotive Holdings Corp. (a) | 47 | ||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
| 3 | Ford Motor Co. | 33 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% |
| |||||||
| 4 | Wyndham Worldwide Corp. | 204 | ||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
| 1 | Jarden Corp. | 39 | ||||||
|
| |||||||
Internet & Catalog Retail — 2.0% |
| |||||||
| 4 | Expedia, Inc. | 204 | ||||||
|
| |||||||
Media — 2.6% |
| |||||||
| 2 | Time Warner Cable, Inc. | 170 | ||||||
| — | (h) | Time Warner, Inc. | 11 | |||||
| 2 | Viacom, Inc., Class B | 85 | ||||||
|
| |||||||
| 266 | ||||||||
|
| |||||||
Multiline Retail — 1.1% |
| |||||||
| 3 | Macy’s, Inc. | 109 | ||||||
|
| |||||||
Specialty Retail — 1.7% |
| |||||||
| 3 | Best Buy Co., Inc. | 59 | ||||||
| 2 | Home Depot, Inc. (The) | 120 | ||||||
|
| |||||||
| 179 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
| 1 | V.F. Corp. | 97 | ||||||
|
| |||||||
Total Consumer Discretionary | 1,178 | |||||||
|
| |||||||
Consumer Staples — 10.8% |
| |||||||
Beverages — 2.1% |
| |||||||
| 8 | Constellation Brands, Inc., Class A (a) | 211 | ||||||
|
| |||||||
Food & Staples Retailing — 3.1% |
| |||||||
| 2 | CVS Caremark Corp. | 97 | ||||||
| 3 | Kroger Co. (The) | 76 | ||||||
| 2 | Wal-Mart Stores, Inc. | 141 | ||||||
|
| |||||||
| 314 | ||||||||
|
| |||||||
Food Products — 1.9% |
| |||||||
| 2 | Campbell Soup Co. | 51 | ||||||
| 3 | Smithfield Foods, Inc. (a) | 72 | ||||||
| 4 | Tyson Foods, Inc., Class A | 74 | ||||||
|
| |||||||
| 197 | ||||||||
|
| |||||||
Household Products — 1.2% |
| |||||||
| 1 | Energizer Holdings, Inc. (a) | 90 | ||||||
| — | (h) | Kimberly-Clark Corp. | 32 | |||||
|
| |||||||
| 122 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — 0.4% |
| |||||||
| 1 | USANA Health Sciences, Inc. (a) | 37 | ||||||
|
| |||||||
Tobacco — 2.1% |
| |||||||
| 1 | Lorillard, Inc. | 112 | ||||||
| 1 | Philip Morris International, Inc. | 109 | ||||||
|
| |||||||
| 221 | ||||||||
|
| |||||||
Total Consumer Staples | 1,102 | |||||||
|
| |||||||
Energy — 10.8% |
| |||||||
Energy Equipment & Services — 1.0% |
| |||||||
| 1 | Halliburton Co. | 33 | ||||||
| 1 | National Oilwell Varco, Inc. | 66 | ||||||
|
| |||||||
| 99 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.8% |
| |||||||
| — | (h) | Apache Corp. | 37 | |||||
| 3 | Chevron Corp. | 266 | ||||||
| 2 | ConocoPhillips | 100 | ||||||
| 4 | Exxon Mobil Corp. | 366 | ||||||
| 2 | Marathon Oil Corp. | 54 | ||||||
| 2 | Marathon Petroleum Corp. | 79 | ||||||
| 1 | Occidental Petroleum Corp. | 71 | ||||||
| 1 | Phillips 66 (a) | 30 | ||||||
|
| |||||||
| 1,003 | ||||||||
|
| |||||||
Total Energy | 1,102 | |||||||
|
| |||||||
Financials — 13.6% |
| |||||||
Capital Markets — 1.4% |
| |||||||
| 2 | Ameriprise Financial, Inc. | 106 | ||||||
| 1 | Bank of New York Mellon Corp. (The) | 28 | ||||||
| — | (h) | Goldman Sachs Group, Inc. (The) | 14 | |||||
|
| |||||||
| 148 | ||||||||
|
| |||||||
Commercial Banks — 3.9% |
| |||||||
| 1 | BB&T Corp. | 30 | ||||||
| 4 | KeyCorp | 32 | ||||||
| 3 | PNC Financial Services Group, Inc. | 190 | ||||||
| 5 | Wells Fargo & Co. | 152 | ||||||
|
| |||||||
| 404 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
| 2 | Capital One Financial Corp. | 126 | ||||||
| 1 | Discover Financial Services | 50 | ||||||
| 1 | Nelnet, Inc., Class A | 32 | ||||||
|
| |||||||
| 208 | ||||||||
|
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
| 6 | Bank of America Corp. | 50 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 25 | ||||||
Table of Contents
JPMorgan Intrepid Multi Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
| 3 | Citigroup, Inc. | 81 | ||||||
|
| |||||||
| 131 | ||||||||
|
| |||||||
Insurance — 2.8% |
| |||||||
| 1 | Allied World Assurance Co. Holdings AG, (Switzerland) | 89 | ||||||
| 4 | CNO Financial Group, Inc. | 33 | ||||||
| 1 | MetLife, Inc. | 39 | ||||||
| 1 | Protective Life Corp. | 18 | ||||||
| 2 | Prudential Financial, Inc. | 104 | ||||||
|
| |||||||
| 283 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
| 2 | Ashford Hospitality Trust, Inc. | 17 | ||||||
| 7 | Brandywine Realty Trust | 84 | ||||||
| 3 | CBL & Associates Properties, Inc. | 51 | ||||||
| 2 | First Industrial Realty Trust, Inc. (a) | 22 | ||||||
| 1 | LaSalle Hotel Properties | 24 | ||||||
| 2 | Pennsylvania Real Estate Investment Trust | 24 | ||||||
|
| |||||||
| 222 | ||||||||
|
| |||||||
Total Financials | 1,396 | |||||||
|
| |||||||
Health Care — 13.8% |
| |||||||
Biotechnology — 2.9% |
| |||||||
| 1 | Amgen, Inc. | 90 | ||||||
| — | (h) | Biogen Idec, Inc. (a) | 54 | |||||
| 1 | Gilead Sciences, Inc. (a) | 28 | ||||||
| 2 | Vertex Pharmaceuticals, Inc. (a) | 123 | ||||||
|
| |||||||
| 295 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
| 1 | Baxter International, Inc. | 51 | ||||||
| 1 | Cooper Cos., Inc. (The) | 60 | ||||||
| 2 | Covidien plc, (Ireland) | 92 | ||||||
| 4 | Hologic, Inc. (a) | 79 | ||||||
| 1 | Medtronic, Inc. | 27 | ||||||
|
| |||||||
| 309 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.2% |
| |||||||
| 1 | AmerisourceBergen Corp. | 56 | ||||||
| 1 | Humana, Inc. | 83 | ||||||
| 1 | McKesson Corp. | 56 | ||||||
| 4 | UnitedHealth Group, Inc. | 237 | ||||||
|
| |||||||
| 432 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.5% |
| |||||||
| 1 | Agilent Technologies, Inc. | 48 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — 3.2% |
| |||||||
| 13 | Pfizer, Inc. | 291 | ||||||
| 2 | Warner Chilcott plc, (Ireland), Class A (a) | 41 | ||||||
|
| |||||||
| 332 | ||||||||
|
| |||||||
Total Health Care | 1,416 | |||||||
|
| |||||||
Industrials — 7.7% |
| |||||||
Aerospace & Defense — 1.7% |
| |||||||
| 2 | General Dynamics Corp. | 104 | ||||||
| 1 | Honeywell International, Inc. | 70 | ||||||
|
| |||||||
| 174 | ||||||||
|
| |||||||
Airlines — 0.2% |
| |||||||
| 1 | United Continental Holdings, Inc. (a) | 23 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
| 1 | R.R. Donnelley & Sons Co. | 13 | ||||||
|
| |||||||
Construction & Engineering — 1.3% |
| |||||||
| 2 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 85 | ||||||
| 2 | KBR, Inc. | 50 | ||||||
|
| |||||||
| 135 | ||||||||
|
| |||||||
Machinery — 3.0% |
| |||||||
| 2 | Actuant Corp., Class A | 58 | ||||||
| 1 | Cummins, Inc. | 58 | ||||||
| 3 | Eaton Corp. | 119 | ||||||
| — | (h) | Parker Hannifin Corp. | 23 | |||||
| 1 | Stanley Black & Decker, Inc. | 50 | ||||||
|
| |||||||
| 308 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
| 1 | Towers Watson & Co., Class A | 49 | ||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
| 1 | Norfolk Southern Corp. | 86 | ||||||
|
| |||||||
Total Industrials | 788 | |||||||
|
| |||||||
Information Technology — 19.4% |
| |||||||
Communications Equipment — 1.7% |
| |||||||
| 8 | Cisco Systems, Inc. | 133 | ||||||
| 1 | Harris Corp. | 32 | ||||||
| — | (h) | QUALCOMM, Inc. | 7 | |||||
|
| |||||||
| 172 | ||||||||
|
| |||||||
Computers & Peripherals — 5.3% |
| |||||||
| 1 | Apple, Inc. (a) | 482 | ||||||
| 1 | EMC Corp. (a) | 25 | ||||||
| 1 | Western Digital Corp. (a) | 35 | ||||||
|
| |||||||
| 542 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
| 3 | Vishay Intertechnology, Inc. (a) | 26 | ||||||
|
| |||||||
Internet Software & Services — 0.9% |
| |||||||
| 1 | Facebook, Inc., Class A (a) | 43 | ||||||
| 1 | IAC/InterActiveCorp. | 55 | ||||||
|
| |||||||
| 98 | ||||||||
|
| |||||||
IT Services — 3.7% |
| |||||||
| 1 | Alliance Data Systems Corp. (a) | 105 | ||||||
| 1 | CSG Systems International, Inc. (a) | 13 | ||||||
| 1 | International Business Machines Corp. | 147 | ||||||
| 2 | Lender Processing Services, Inc. | 58 | ||||||
| — | (h) | Visa, Inc., Class A | 52 | |||||
|
| |||||||
| 375 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
| 4 | Altera Corp. | 149 | ||||||
| 2 | Broadcom Corp., Class A (a) | 56 | ||||||
| 3 | Freescale Semiconductor Ltd. (a) | 25 | ||||||
| 1 | Intel Corp. | 38 | ||||||
| 1 | Lam Research Corp. (a) | 37 | ||||||
| 1 | Texas Instruments, Inc. | 18 | ||||||
|
| |||||||
| 323 | ||||||||
|
| |||||||
Software — 4.4% |
| |||||||
| 1 | Adobe Systems, Inc. (a) | 24 | ||||||
| 1 | BMC Software, Inc. (a) | 29 | ||||||
| 10 | Microsoft Corp. | 300 | ||||||
| 3 | Oracle Corp. | 97 | ||||||
|
| |||||||
| 450 | ||||||||
|
| |||||||
Total Information Technology | 1,986 | |||||||
|
| |||||||
Materials — 3.6% |
| |||||||
Chemicals — 3.4% |
| |||||||
| 1 | CF Industries Holdings, Inc. | 150 | ||||||
| 1 | E.I. du Pont de Nemours & Co. | 39 | ||||||
| 1 | Monsanto Co. | 93 | ||||||
| 1 | PPG Industries, Inc. | 72 | ||||||
|
| |||||||
| 354 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — 0.2% |
| |||||||
| 1 | Freeport-McMoRan Copper & Gold, Inc. | 21 | ||||||
|
| |||||||
Total Materials | 375 | |||||||
|
| |||||||
Telecommunication Services — 2.9% |
| |||||||
Diversified Telecommunication Services — 2.9% |
| |||||||
| 4 | AT&T, Inc. | 129 | ||||||
| 4 | CenturyLink, Inc. | 164 | ||||||
|
| |||||||
Total Telecommunication Services | 293 | |||||||
|
| |||||||
Utilities — 3.2% | ||||||||
Electric Utilities — 1.8% |
| |||||||
| 1 | Entergy Corp. | 51 | ||||||
| 1 | NextEra Energy, Inc. | 62 | ||||||
| 2 | NV Energy, Inc. | 40 | ||||||
| 2 | PNM Resources, Inc. | 34 | ||||||
|
| |||||||
| 187 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.9% |
| |||||||
| 7 | AES Corp. (The) (a) | 96 | ||||||
|
| |||||||
Multi-Utilities — 0.5% |
| |||||||
| 1 | Sempra Energy | 48 | ||||||
|
| |||||||
Total Utilities | 331 | |||||||
|
| |||||||
Total Common Stocks | 9,967 | |||||||
|
| |||||||
| Short-Term Investment — 11.3% |
| ||||||
Investment Company — 11.3% | ||||||||
| 1,157 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1,157 | ||||||
|
| |||||||
Total Investments — 108.6% | 11,124 | |||||||
Liabilities in Excess of | (884 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,240 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding |
| |||||||||||||||
| 4 | E-mini S&P 500 | 09/21/12 | $ | 271 | $ | 2 | ||||||||||
|
| |||||||||||||||
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 27 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 95.9% |
| ||||||
Consumer Discretionary — 7.6% |
| |||||||
Automobiles — 1.0% |
| |||||||
| 896 | Ford Motor Co. | 8,597 | ||||||
|
| |||||||
Diversified Consumer Services — 0.3% |
| |||||||
| 181 | H&R Block, Inc. | 2,892 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.4% |
| |||||||
| 70 | Wyndham Worldwide Corp. | 3,697 | ||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
| 80 | Jarden Corp. | 3,370 | ||||||
| 70 | Lennar Corp., Class A | 2,170 | ||||||
| 36 | Toll Brothers, Inc. (a) | 1,061 | ||||||
|
| |||||||
| 6,601 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.4% |
| |||||||
| 71 | Expedia, Inc. | 3,428 | ||||||
|
| |||||||
Media — 2.8% |
| |||||||
| 274 | CBS Corp. (Non-Voting), Class B | 8,975 | ||||||
| 246 | Gannett Co., Inc. | 3,627 | ||||||
| 62 | Time Warner Cable, Inc. | 5,049 | ||||||
| 133 | Viacom, Inc., Class B | 6,259 | ||||||
|
| |||||||
| 23,910 | ||||||||
|
| |||||||
Multiline Retail — 1.4% |
| |||||||
| 354 | Macy’s, Inc. | 12,170 | ||||||
|
| |||||||
Specialty Retail — 0.5% |
| |||||||
| 158 | Best Buy Co., Inc. | 3,305 | ||||||
| 64 | GameStop Corp., Class A | 1,179 | ||||||
|
| |||||||
| 4,484 | ||||||||
|
| |||||||
Total Consumer Discretionary | 65,779 | |||||||
|
| |||||||
Consumer Staples — 6.4% |
| |||||||
Beverages — 0.5% |
| |||||||
| 153 | Constellation Brands, Inc., Class A (a) | 4,129 | ||||||
|
| |||||||
Food & Staples Retailing — 1.3% |
| |||||||
| 135 | CVS Caremark Corp. | 6,313 | ||||||
| 151 | Kroger Co. (The) | 3,497 | ||||||
| 73 | Safeway, Inc. | 1,327 | ||||||
|
| |||||||
| 11,137 | ||||||||
|
| |||||||
Food Products — 1.6% |
| |||||||
| 216 | Archer-Daniels-Midland Co. | 6,361 | ||||||
| 25 | Bunge Ltd. | 1,550 | ||||||
| 127 | Smithfield Foods, Inc. (a) | 2,747 | ||||||
| 157 | Tyson Foods, Inc., Class A | 2,964 | ||||||
|
| |||||||
| 13,622 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 2.3% |
| |||||||
| 48 | Energizer Holdings, Inc. (a) | 3,635 | ||||||
| 119 | Kimberly-Clark Corp. | 9,977 | ||||||
| 100 | Procter & Gamble Co. (The) | 6,137 | ||||||
|
| |||||||
| 19,749 | ||||||||
|
| |||||||
Tobacco — 0.7% |
| |||||||
| 18 | Lorillard, Inc. | 2,415 | ||||||
| 42 | Philip Morris International, Inc. | 3,665 | ||||||
|
| |||||||
| 6,080 | ||||||||
|
| |||||||
Total Consumer Staples | 54,717 | |||||||
|
| |||||||
Energy — 15.1% |
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
| 20 | National Oilwell Varco, Inc. | 1,270 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 14.9% |
| |||||||
| 254 | Chevron Corp. | 26,803 | ||||||
| 328 | ConocoPhillips | 18,312 | ||||||
| 115 | Energy XXI Bermuda Ltd., (Bermuda) | 3,608 | ||||||
| 579 | Exxon Mobil Corp. | 49,579 | ||||||
| 574 | Marathon Oil Corp. | 14,669 | ||||||
| 73 | Marathon Petroleum Corp. | 3,288 | ||||||
| 63 | Occidental Petroleum Corp. | 5,412 | ||||||
| 164 | Phillips 66 (a) | 5,446 | ||||||
| 58 | Valero Energy Corp. | 1,396 | ||||||
|
| |||||||
| 128,513 | ||||||||
|
| |||||||
Total Energy | 129,783 | |||||||
|
| |||||||
Financials — 25.1% |
| |||||||
Capital Markets — 2.7% |
| |||||||
| 259 | Ameriprise Financial, Inc. | 13,514 | ||||||
| 99 | Goldman Sachs Group, Inc. (The) | 9,524 | ||||||
|
| |||||||
| 23,038 | ||||||||
|
| |||||||
Commercial Banks — 6.4% |
| |||||||
| 159 | BB&T Corp. | 4,896 | ||||||
| 357 | Fifth Third Bancorp | 4,782 | ||||||
| 257 | PNC Financial Services Group, Inc. | 15,704 | ||||||
| 877 | Wells Fargo & Co. | 29,312 | ||||||
|
| |||||||
| 54,694 | ||||||||
|
| |||||||
Consumer Finance — 1.8% |
| |||||||
| 23 | Capital One Financial Corp. | 1,268 | ||||||
| 422 | Discover Financial Services | 14,593 | ||||||
|
| |||||||
| 15,861 | ||||||||
|
| |||||||
Diversified Financial Services — 3.8% |
| |||||||
| 1,866 | Bank of America Corp. | 15,262 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
Diversified Financial Services — Continued |
| |||||||
| 651 | Citigroup, Inc. | 17,849 | ||||||
|
| |||||||
| 33,111 | ||||||||
|
| |||||||
Insurance — 6.5% |
| |||||||
| 38 | ACE Ltd., (Switzerland) | 2,791 | ||||||
| 50 | Allied World Assurance Co. Holdings AG, (Switzerland) | 3,977 | ||||||
| 424 | Allstate Corp. (The) | 14,892 | ||||||
| 78 | Hartford Financial Services Group, Inc. | 1,370 | ||||||
| 114 | Lincoln National Corp. | 2,491 | ||||||
| 265 | MetLife, Inc. | 8,160 | ||||||
| 24 | PartnerRe Ltd., (Bermuda) | 1,786 | ||||||
| 126 | Protective Life Corp. | 3,691 | ||||||
| 212 | Prudential Financial, Inc. | 10,272 | ||||||
| 69 | Torchmark Corp. | 3,468 | ||||||
| 96 | Validus Holdings Ltd., (Bermuda) | 3,081 | ||||||
|
| |||||||
| 55,979 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.9% |
| |||||||
| 32 | Alexandria Real Estate Equities, Inc. | 2,356 | ||||||
| 197 | Annaly Capital Management, Inc. | 3,299 | ||||||
| 370 | Brandywine Realty Trust | 4,560 | ||||||
| 179 | CBL & Associates Properties, Inc. | 3,494 | ||||||
| 120 | Douglas Emmett, Inc. (m) | 2,781 | ||||||
| 75 | Entertainment Properties Trust | 3,083 | ||||||
| 112 | Extra Space Storage, Inc. | 3,421 | ||||||
| 152 | Hospitality Properties Trust | 3,773 | ||||||
| 130 | Host Hotels & Resorts, Inc. | 2,053 | ||||||
| 29 | Mack-Cali Realty Corp. | 831 | ||||||
| 61 | Ventas, Inc. | 3,857 | ||||||
|
| |||||||
| 33,508 | ||||||||
|
| |||||||
Total Financials | 216,191 | |||||||
|
| |||||||
Health Care — 12.3% |
| |||||||
Biotechnology — 2.8% |
| |||||||
| 187 | Amgen, Inc. | 13,673 | ||||||
| 134 | Gilead Sciences, Inc. (a) | 6,882 | ||||||
| 68 | Vertex Pharmaceuticals, Inc. (a) | 3,780 | ||||||
|
| |||||||
| 24,335 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.6% |
| |||||||
| 89 | Community Health Systems, Inc. (a) | 2,492 | ||||||
| 247 | UnitedHealth Group, Inc. | 14,444 | ||||||
| 214 | WellPoint, Inc. | 13,625 | ||||||
|
| |||||||
| 30,561 | ||||||||
|
| |||||||
Pharmaceuticals — 5.9% |
| |||||||
| 341 | Merck & Co., Inc. | 14,224 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — Continued |
| |||||||
| 1,469 | Pfizer, Inc. | 33,783 | ||||||
| 170 | Warner Chilcott plc, (Ireland), Class A (a) | 3,051 | ||||||
|
| |||||||
| 51,058 | ||||||||
|
| |||||||
Total Health Care | 105,954 | |||||||
|
| |||||||
Industrials — 7.8% |
| |||||||
Aerospace & Defense — 2.0% |
| |||||||
| 216 | General Dynamics Corp. | 14,228 | ||||||
| 53 | Northrop Grumman Corp. | 3,368 | ||||||
|
| |||||||
| 17,596 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 57 | Alaska Air Group, Inc. (a) | 2,035 | ||||||
| 71 | Delta Air Lines, Inc. (a) | 782 | ||||||
| 119 | United Continental Holdings, Inc. (a) | 2,903 | ||||||
|
| |||||||
| 5,720 | ||||||||
|
| |||||||
Industrial Conglomerates — 3.0% |
| |||||||
| 473 | General Electric Co. | 9,856 | ||||||
| 302 | Tyco International Ltd., (Switzerland) | 15,950 | ||||||
|
| |||||||
| 25,806 | ||||||||
|
| |||||||
Machinery — 1.5% |
| |||||||
| 84 | Navistar International Corp. (a) | 2,377 | ||||||
| 89 | Parker Hannifin Corp. | 6,835 | ||||||
| 53 | Stanley Black & Decker, Inc. | 3,411 | ||||||
|
| |||||||
| 12,623 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
| 46 | Dun & Bradstreet Corp. (The) | 3,281 | ||||||
|
| |||||||
Road & Rail — 0.2% |
| |||||||
| 16 | Union Pacific Corp. | 1,849 | ||||||
|
| |||||||
Total Industrials | 66,875 | |||||||
|
| |||||||
Information Technology — 7.3% |
| |||||||
Communications Equipment — 2.0% |
| |||||||
| 676 | Brocade Communications Systems, Inc. (a) | 3,331 | ||||||
| 816 | Cisco Systems, Inc. | 14,011 | ||||||
|
| |||||||
| 17,342 | ||||||||
|
| |||||||
Computers & Peripherals — 1.6% |
| |||||||
| 13 | Apple, Inc. (a) | 7,709 | ||||||
| 246 | Dell, Inc. (a) | 3,085 | ||||||
| 83 | Western Digital Corp. (a) | 2,526 | ||||||
|
| |||||||
| 13,320 | ||||||||
|
| |||||||
Internet Software & Services — 0.1% |
| |||||||
| 38 | Facebook, Inc., Class A (a) | 1,192 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 29 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except number of contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — Continued |
| ||||||
IT Services — 0.9% |
| |||||||
| 24 | International Business Machines Corp. | 4,675 | ||||||
| 137 | Lender Processing Services, Inc. | 3,458 | ||||||
|
| |||||||
| 8,133 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
| 280 | Altera Corp. | 9,485 | ||||||
| 71 | Broadcom Corp., Class A (a) | 2,407 | ||||||
| 207 | Freescale Semiconductor Ltd. (a) | 2,119 | ||||||
| 100 | Lam Research Corp. (a) | 3,770 | ||||||
|
| |||||||
| 17,781 | ||||||||
|
| |||||||
Software — 0.6% |
| |||||||
| 157 | Microsoft Corp. | 4,790 | ||||||
|
| |||||||
Total Information Technology | 62,558 | |||||||
|
| |||||||
Materials — 3.4% |
| |||||||
Chemicals — 2.3% |
| |||||||
| 33 | CF Industries Holdings, Inc. | 6,374 | ||||||
| 337 | LyondellBasell Industries N.V., (Netherlands), Class A | 13,567 | ||||||
|
| |||||||
| 19,941 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
| 210 | Freeport-McMoRan Copper & Gold, Inc. | 7,158 | ||||||
|
| |||||||
Paper & Forest Products — 0.3% |
| |||||||
| 27 | Domtar Corp., (Canada) | 2,056 | ||||||
|
| |||||||
Total Materials | 29,155 | |||||||
|
| |||||||
Telecommunication Services — 4.0% |
| |||||||
Diversified Telecommunication Services — 4.0% |
| |||||||
| 640 | AT&T, Inc. | 22,826 | ||||||
| 301 | CenturyLink, Inc. | 11,872 | ||||||
|
| |||||||
Total Telecommunication Services | 34,698 | |||||||
|
| |||||||
Utilities — 6.9% |
| |||||||
Electric Utilities — 4.4% |
| |||||||
| 352 | American Electric Power Co., Inc. | 14,045 | ||||||
| 74 | Cleco Corp. | 3,083 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electric Utilities — Continued |
| |||||||
| 50 | Entergy Corp. | 3,374 | ||||||
| 92 | FirstEnergy Corp. | 4,516 | ||||||
| 132 | NextEra Energy, Inc. | 9,055 | ||||||
| 95 | Northeast Utilities | 3,668 | ||||||
|
| |||||||
| 37,741 | ||||||||
|
| |||||||
Gas Utilities — 0.4% |
| |||||||
| 108 | UGI Corp. | 3,184 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders — 0.4% |
| |||||||
| 285 | AES Corp. (The) (a) | 3,654 | ||||||
|
| |||||||
Multi-Utilities — 1.7% |
| |||||||
| 13 | Ameren Corp. | 419 | ||||||
| 71 | Consolidated Edison, Inc. | 4,409 | ||||||
| 143 | Sempra Energy | 9,864 | ||||||
|
| |||||||
| 14,692 | ||||||||
|
| |||||||
Total Utilities | 59,271 | |||||||
|
| |||||||
Total Common Stocks | 824,981 | |||||||
|
| |||||||
| Short-Term Investment — 1.6% |
| ||||||
Investment Company — 1.6% |
| |||||||
| 13,716 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 13,716 | ||||||
|
| |||||||
| Investment of Cash Collateral for Securities on Loan — 0.1% |
| ||||||
Investment Company — 0.1% |
| |||||||
| 496 | JPMorgan Prime Money Market Fund, Capital Shares, 0.160% (b) (l) | 496 | ||||||
|
| |||||||
Total Investments — 97.6% | 839,193 | |||||||
Other Assets in Excess of | 20,628 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 859,821 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT 06/30/12 | UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding |
| |||||||||||||||
| 560 | E-mini S&P 500 | 09/21/12 | $ | 37,979 | $ | 427 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
J.P. Morgan Intrepid Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2012
| (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, 2012 . | |
| (m) | — All or a portion of this security is reserved and/or pledged with the custodian for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, reverse repurchase agreements, unfunded commitments and/or forward foreign currency exchange contracts. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012
(Amounts in thousands, except per share amounts)
Intrepid | Intrepid Growth Fund | Intrepid Mid Cap Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 1,791,511 | $ | 636,702 | $ | 420,074 | ||||||
Investments in affiliates, at value | 37,467 | 18,952 | 14,032 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 1,828,978 | 655,654 | 434,106 | |||||||||
Deposits at broker for futures contracts | 2,430 | 1,285 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 4,460 | 1,876 | — | |||||||||
Fund shares sold | 462 | 363 | 269 | |||||||||
Interest and dividends from non-affiliates | 1,867 | 629 | 530 | |||||||||
Dividends from affiliates | 7 | 3 | 2 | |||||||||
Securities lending income | — | — | 20 | |||||||||
Variation margin on futures contracts | 1,071 | 496 | 268 | |||||||||
Other assets | 49 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,839,324 | 660,306 | 435,195 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | — | — | 725 | |||||||||
Investment securities purchased | 5,043 | 2,895 | 5,100 | |||||||||
Collateral for securities lending program | — | — | 804 | |||||||||
Fund shares redeemed | 618 | 266 | 249 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 942 | 339 | 219 | |||||||||
Administration fees | 126 | 41 | 29 | |||||||||
Shareholder servicing fees | 272 | 88 | 64 | |||||||||
Distribution fees | 21 | 15 | 46 | |||||||||
Custodian and accounting fees | 13 | 6 | 7 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 5 | — | (a) | — | (a) | |||||||
Other | 144 | 147 | 158 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 7,184 | 3,797 | 7,401 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,832,140 | $ | 656,509 | $ | 427,794 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
Intrepid | Intrepid Growth Fund | Intrepid Mid Cap Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-capital | $ | 1,987,555 | $ | 980,192 | $ | 420,588 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 18,896 | 2,075 | (560 | ) | ||||||||
Accumulated net realized gains (losses) | (489,597 | ) | (453,525 | ) | �� | (67,484 | ) | |||||
Net unrealized appreciation (depreciation) | 315,286 | 127,767 | 75,250 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,832,140 | $ | 656,509 | $ | 427,794 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 81,139 | $ | 32,027 | $ | 122,217 | ||||||
Class B | — | — | 7,805 | |||||||||
Class C | 7,117 | 14,298 | 28,079 | |||||||||
Class R2 | 75 | 375 | — | |||||||||
Class R5 | 411,202 | 107,169 | — | |||||||||
Select Class | 1,332,607 | 502,640 | 269,693 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,832,140 | $ | 656,509 | $ | 427,794 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 3,288 | 1,281 | 8,153 | |||||||||
Class B | — | — | 580 | |||||||||
Class C | 291 | 580 | 2,083 | |||||||||
Class R2 | 3 | 15 | — | |||||||||
Class R5 | 16,554 | 4,278 | — | |||||||||
Select Class | 53,554 | 19,989 | 17,387 | |||||||||
Net Asset Value (b): | ||||||||||||
Class A — Redemption price per share | $ | 24.68 | $ | 25.00 | $ | 14.99 | ||||||
Class B — Offering price per share (c) | — | — | 13.47 | |||||||||
Class C — Offering price per share (c) | 24.48 | 24.64 | 13.48 | |||||||||
Class R2 — Offering and redemption price per share | 24.43 | 24.72 | — | |||||||||
Class R5 — Offering and redemption price per share | 24.84 | 25.05 | — | |||||||||
Select Class — Offering and redemption price per share | 24.88 | 25.15 | 15.51 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 26.05 | $ | 26.39 | $ | 15.82 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 1,477,621 | $ | 509,622 | $ | 345,050 | ||||||
Cost of investments in affiliates | 37,467 | 18,952 | 14,032 | |||||||||
Value of securities on loan | — | — | 807 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class B and Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2012 (continued)
(Amounts in thousands, except per share amounts)
Intrepid | Intrepid Value Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 9,967 | $ | 824,981 | ||||
Investments in affiliates, at value | 1,157 | 14,212 | ||||||
|
|
|
| |||||
Total investment securities, at value | 11,124 | 839,193 | ||||||
Deposits at broker for futures contracts | 50 | 740 | ||||||
Receivables: | ||||||||
Investment securities sold | — | 2,600 | ||||||
Fund shares sold | 94 | 24,860 | ||||||
Dividends from non-affiliates | 6 | 1,180 | ||||||
Dividends from affiliates | — | (a) | 2 | |||||
Securities lending income | — | 3 | ||||||
Variation margin on futures contracts | 7 | 357 | ||||||
Due from Advisor | — | (a) | 17 | |||||
|
|
|
| |||||
Total Assets | 11,281 | 868,952 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Dividends | — | 1,057 | ||||||
Investment securities purchased | 958 | 1,347 | ||||||
Collateral for securities lending program | — | 496 | ||||||
Fund shares redeemed | 36 | 5,513 | ||||||
Accrued liabilities: | ||||||||
Shareholder servicing fees | — | 148 | ||||||
Distribution fees | 2 | 26 | ||||||
Custodian and accounting fees | 5 | 6 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 1 | |||||
Other | 40 | 537 | ||||||
|
|
|
| |||||
Total Liabilities | 1,041 | 9,131 | ||||||
|
|
|
| |||||
Net Assets | $ | 10,240 | $ | 859,821 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
Intrepid | Intrepid Value Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-capital | $ | 14,323 | $ | 914,967 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 59 | 71 | ||||||
Accumulated net realized gains (losses) | (5,956 | ) | (142,919 | ) | ||||
Net unrealized appreciation (depreciation) | 1,814 | 87,702 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 10,240 | $ | 859,821 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 7,329 | $ | 61,097 | ||||
Class C | 1,747 | 22,086 | ||||||
Class R2 | — | 70 | ||||||
Class R5 | — | 52,183 | ||||||
Class R6 | — | 18,840 | ||||||
Select Class | 1,164 | 705,545 | ||||||
|
|
|
| |||||
Total | $ | 10,240 | $ | 859,821 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 347 | 2,546 | ||||||
Class C | 84 | 928 | ||||||
Class R2 | — | 3 | ||||||
Class R5 | — | 2,165 | ||||||
Class R6 | — | 782 | ||||||
Select Class | 55 | 29,325 | ||||||
Net Asset Value (b): | ||||||||
Class A — Redemption price per share | $ | 21.13 | $ | 23.99 | ||||
Class C — Offering price per share (c) | 20.81 | 23.80 | ||||||
Class R2 — Offering and redemption price per share | — | 23.95 | ||||||
Class R5 — Offering and redemption price per share | — | 24.10 | ||||||
Class R6 — Offering and redemption price per share | — | 24.10 | ||||||
Select Class — Offering and redemption price per share | 21.21 | 24.06 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 22.30 | $ | 25.32 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 8,155 | $ | 737,706 | ||||
Cost of investments in affiliates | 1,157 | 14,212 | ||||||
Value of securities on loan | — | 467 | ||||||
| (a) | Amount rounds to less than $1,000. |
| (b) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (c) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 35 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2012
(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 | 35,481 | 10,707 | 7,895 | |||||||||
Dividend income from affiliates | 58 | 18 | 13 | |||||||||
Income from securities lending (net) | 7 | 1 | 205 | |||||||||
Other income | — | — | 9 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 35,546 | 10,726 | 8,124 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 11,200 | 4,182 | 2,754 | |||||||||
Administration fees | 1,511 | 564 | 372 | |||||||||
Distribution fees: | ||||||||||||
Class A | 161 | 88 | 304 | |||||||||
Class B | — | — | 66 | |||||||||
Class C | 60 | 115 | 204 | |||||||||
Class R2 | — | (a) | — | (a) | — | |||||||
Shareholder servicing fees: | ||||||||||||
Class A | 161 | 88 | 304 | |||||||||
Class B | — | — | 22 | |||||||||
Class C | 20 | 38 | 68 | |||||||||
Class R2 | — | (a) | — | (a) | — | |||||||
Class R5 | 172 | 53 | — | |||||||||
Select Class | 3,265 | 1,219 | 665 | |||||||||
Custodian and accounting fees | 66 | 36 | 39 | |||||||||
Professional fees | 61 | 52 | 54 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 17 | 6 | 2 | |||||||||
Printing and mailing costs | 25 | 18 | 62 | |||||||||
Registration and filing fees | 58 | 55 | 30 | |||||||||
Transfer agent fees | 355 | 323 | 405 | |||||||||
Other | 11 | 7 | 5 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 17,143 | 6,844 | 5,356 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (488 | ) | (451 | ) | (556 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 16,655 | 6,393 | 4,800 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 18,891 | 4,333 | 3,324 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 18,216 | 19,321 | 7,760 | |||||||||
Futures | 1,056 | 1,961 | (1,181 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 19,272 | 21,282 | 6,579 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) of: | ||||||||||||
Investments in non-affiliates | (615 | ) | (7,039 | ) | (31,338 | ) | ||||||
Futures | (800 | ) | 139 | (303 | ) | |||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation (depreciation) | (1,415 | ) | (6,900 | ) | (31,641 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 17,857 | 14,382 | (25,062 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 36,748 | $ | 18,715 | $ | (21,738 | ) | |||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Intrepid Multi Cap Fund | Intrepid | |||||||
INVESTMENT INCOME: | ||||||||
Dividend income from non-affiliates | $ | 186 | $ | 21,012 | ||||
Dividend income from affiliates | — | (a) | 24 | |||||
Income from securities lending (net) | — | 17 | ||||||
|
|
|
| |||||
Total investment income | 186 | 21,053 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 63 | 5,505 | ||||||
Administration fees | 8 | 743 | ||||||
Distribution fees: | ||||||||
Class A | 17 | 163 | ||||||
Class C | 14 | 185 | ||||||
Class R2 | — | — | (a) | |||||
Shareholder servicing fees: | ||||||||
Class A | 17 | 163 | ||||||
Class C | 4 | 62 | ||||||
Class R2 | — | — | (a) | |||||
Class R5 | — | 23 | ||||||
Select Class | 3 | 1,708 | ||||||
Custodian and accounting fees | 25 | 48 | ||||||
Professional fees | 42 | 48 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 8 | |||||
Printing and mailing costs | 3 | 128 | ||||||
Registration and filing fees | 29 | 51 | ||||||
Transfer agent fees | 20 | 1,666 | ||||||
Other | 3 | 9 | ||||||
|
|
|
| |||||
Total expenses | 248 | 10,510 | ||||||
|
|
|
| |||||
Less amounts waived | (94 | ) | (3,637 | ) | ||||
Less expense reimbursements | (27 | ) | (41 | ) | ||||
|
|
|
| |||||
Net expenses | 127 | 6,832 | ||||||
|
|
|
| |||||
Net investment income (loss) | 59 | 14,221 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 705 | (31,650 | ) | |||||
Futures | (19 | ) | 493 | |||||
|
|
|
| |||||
Net realized gain (loss) | 686 | (31,157 | ) | |||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) of: | ||||||||
Investments in non-affiliates | (786 | ) | 4,206 | |||||
Futures | (6 | ) | (341 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) | (792 | ) | 3,865 | |||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | (106 | ) | (27,292 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | (47 | ) | $ | (13,071 | ) | ||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 37 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Intrepid America Fund | Intrepid Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 18,891 | $ | 15,968 | $ | 4,333 | $ | 4,654 | ||||||||
Net realized gain (loss) | 19,272 | 202,523 | 21,282 | 71,980 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (1,415 | ) | 218,333 | (6,900 | ) | 106,083 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 36,748 | 436,824 | 18,715 | 182,717 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (431 | ) | (401 | ) | (87 | ) | (275 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | — | (18 | ) | — | (16 | ) | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | (a) | (1 | ) | — | (a) | — | (a) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (3,672 | ) | (2,018 | ) | (790 | ) | (1,104 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (11,474 | ) | (12,491 | ) | (2,710 | ) | (3,481 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (15,577 | ) | (14,929 | ) | (3,587 | ) | (4,876 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | 96,366 | (131,730 | ) | (39,626 | ) | (41,790 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 117,537 | 290,165 | (24,498 | ) | 136,051 | |||||||||||
Beginning of period | 1,714,603 | 1,424,438 | 681,007 | 544,956 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,832,140 | $ | 1,714,603 | $ | 656,509 | $ | 681,007 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 18,896 | $ | 15,505 | $ | 2,075 | $ | 1,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Multi Cap Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 3,324 | $ | 1,644 | $ | 59 | $ | 102 | ||||||||
Net realized gain (loss) | 6,579 | 30,929 | 686 | 1,106 | ||||||||||||
Change in net unrealized appreciation (depreciation) | (31,641 | ) | 94,527 | (792 | ) | 2,270 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | (21,738 | ) | 127,100 | (47 | ) | 3,478 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (902 | ) | (470 | ) | (74 | ) | (20 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (29 | ) | (12 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | (106 | ) | (35 | ) | (10 | ) | — | |||||||||
Select Class | ||||||||||||||||
From net investment income | (2,535 | ) | (1,319 | ) | (15 | ) | (4 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (3,572 | ) | (1,836 | ) | (99 | ) | (24 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets from capital transactions | (17,403 | ) | (10,440 | ) | (2,420 | ) | (1,350 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | (42,713 | ) | 114,824 | (2,566 | ) | 2,104 | ||||||||||
Beginning of period | 470,507 | 355,683 | 12,806 | 10,702 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 427,794 | $ | 470,507 | $ | 10,240 | $ | 12,806 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (560 | ) | $ | (313 | ) | $ | 59 | $ | 100 | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 39 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 14,221 | $ | 7,144 | ||||
Net realized gain (loss) | (31,157 | ) | 24,271 | |||||
Change in net unrealized appreciation (depreciation) | 3,865 | 74,548 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | (13,071 | ) | 105,963 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (1,007 | ) | (902 | ) | ||||
Class C | ||||||||
From net investment income | (264 | ) | (221 | ) | ||||
Class R2 | ||||||||
From net investment income | (1 | ) | (1 | ) | ||||
Class R5 | ||||||||
From net investment income | (898 | ) | (539 | ) | ||||
Class R6 (a) | ||||||||
From net investment income | (530 | ) | (267 | ) | ||||
Select Class | ||||||||
From net investment income | (11,743 | ) | (4,939 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (14,443 | ) | (6,869 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets from capital transactions | (75,090 | ) | 594,945 | |||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | (102,604 | ) | 694,039 | |||||
Beginning of period | 962,425 | 268,386 | ||||||
|
|
|
| |||||
End of period | $ | 859,821 | $ | 962,425 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 71 | $ | 293 | ||||
|
|
|
| |||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Intrepid America Fund | Intrepid Growth Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 54,229 | $ | 4,325 | $ | 4,240 | $ | 6,003 | ||||||||
Dividends and distributions reinvested | 428 | 357 | 84 | 257 | ||||||||||||
Cost of shares redeemed | (24,386 | ) | (22,071 | ) | (14,288 | ) | (19,392 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | 30,271 | $ | (17,389 | ) | $ | (9,964 | ) | $ | (13,132 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 277 | $ | 414 | $ | 830 | $ | 588 | ||||||||
Dividends and distributions reinvested | — | 17 | — | 13 | ||||||||||||
Cost of shares redeemed | (2,695 | ) | (4,044 | ) | (4,559 | ) | (7,604 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (2,418 | ) | $ | (3,613 | ) | $ | (3,729 | ) | $ | (7,003 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | 4 | $ | 307 | $ | — | ||||||||
Dividends and distributions reinvested | — | (a) | 1 | — | (a) | — | (a) | |||||||||
Cost of shares redeemed | — | (65 | ) | (9 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R2 capital transactions | $ | — | (a) | $ | (60 | ) | $ | 298 | $ | — | (a) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 126,573 | $ | 144,738 | $ | 18,112 | $ | 18,394 | ||||||||
Dividends and distributions reinvested | 3,672 | 2,018 | 790 | 1,104 | ||||||||||||
Cost of shares redeemed | (15,017 | ) | (8,848 | ) | (25,313 | ) | (25,231 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class R5 capital transactions | $ | 115,228 | $ | 137,908 | $ | (6,411 | ) | $ | (5,733 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 174,790 | $ | 309,123 | $ | 59,824 | $ | 108,326 | ||||||||
Dividends and distributions reinvested | 398 | 932 | 149 | 223 | ||||||||||||
Cost of shares redeemed | (221,903 | ) | (558,631 | ) | (79,793 | ) | (124,471 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (46,715 | ) | $ | (248,576 | ) | $ | (19,820 | ) | $ | (15,922 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | 96,366 | $ | (131,730 | ) | $ | (39,626 | ) | $ | (41,790 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 41 | ||||||
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 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 2,380 | 192 | 176 | 271 | ||||||||||||
Reinvested | 19 | 16 | 4 | 12 | ||||||||||||
Redeemed | (1,041 | ) | (972 | ) | (598 | ) | (880 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 1,358 | (764 | ) | (418 | ) | (597 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 12 | 18 | 36 | 27 | ||||||||||||
Reinvested | — | 1 | — | 1 | ||||||||||||
Redeemed | (115 | ) | (183 | ) | (195 | ) | (352 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (103 | ) | (164 | ) | (159 | ) | (324 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | (a) | 12 | — | |||||||||||
Reinvested | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Redeemed | — | (3 | ) | — | (a) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | (a) | (3 | ) | 12 | — | (a) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 5,382 | 6,307 | 752 | 844 | ||||||||||||
Reinvested | 164 | 89 | 35 | 49 | ||||||||||||
Redeemed | (636 | ) | (386 | ) | (1,051 | ) | (1,179 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 4,910 | 6,010 | (264 | ) | (286 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 7,481 | 12,985 | 2,516 | 4,712 | ||||||||||||
Reinvested | 18 | 41 | 6 | 10 | ||||||||||||
Redeemed | (9,335 | ) | (25,053 | ) | (3,336 | ) | (5,984 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (1,836 | ) | (12,027 | ) | (814 | ) | (1,262 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Multi Cap Fund | |||||||||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 21,079 | $ | 22,772 | $ | 1,923 | $ | 1,903 | ||||||||
Dividends and distributions reinvested | 890 | 447 | 74 | 19 | ||||||||||||
Cost of shares redeemed | (30,955 | ) | (46,008 | ) | (3,790 | ) | (2,590 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class A capital transactions | $ | (8,986 | ) | $ | (22,789 | ) | $ | (1,793 | ) | $ | (668 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 97 | $ | 164 | $ | — | $ | — | ||||||||
Dividends and distributions reinvested | 28 | 11 | — | — | ||||||||||||
Cost of shares redeemed | (2,469 | ) | (3,642 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class B capital transactions | $ | (2,344 | ) | $ | (3,467 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 6,681 | $ | 8,889 | $ | 89 | $ | 234 | ||||||||
Dividends and distributions reinvested | 101 | 32 | 9 | — | ||||||||||||
Cost of shares redeemed | (7,645 | ) | (8,375 | ) | (638 | ) | (975 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Class C capital transactions | $ | (863 | ) | $ | 546 | $ | (540 | ) | $ | (741 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 37,997 | $ | 62,291 | $ | 115 | $ | 240 | ||||||||
Dividends and distributions reinvested | 338 | 205 | 4 | 1 | ||||||||||||
Cost of shares redeemed | (43,545 | ) | (47,226 | ) | (206 | ) | (182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets from Select Class capital transactions | $ | (5,210 | ) | $ | 15,270 | $ | (87 | ) | $ | 59 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets from capital transactions | $ | (17,403 | ) | $ | (10,440 | ) | $ | (2,420 | ) | $ | (1,350 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,439 | 1,604 | 95 | 102 | ||||||||||||
Reinvested | 60 | 29 | 4 | 1 | ||||||||||||
Redeemed | (2,144 | ) | (3,267 | ) | (203 | ) | (138 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (645 | ) | (1,634 | ) | (104 | ) | (35 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 7 | 13 | — | — | ||||||||||||
Reinvested | 2 | 1 | — | — | ||||||||||||
Redeemed | (190 | ) | (292 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (181 | ) | (278 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 506 | 683 | 5 | 13 | ||||||||||||
Reinvested | 8 | 2 | 1 | — | ||||||||||||
Redeemed | (592 | ) | (656 | ) | (34 | ) | (52 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (78 | ) | 29 | (28 | ) | (39 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 2,568 | 4,060 | 6 | 12 | ||||||||||||
Reinvested | 22 | 13 | — | (a) | — | (a) | ||||||||||
Redeemed | (2,955 | ) | (3,277 | ) | (11 | ) | (10 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (365 | ) | 796 | (5 | ) | 2 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 7,225 | $ | 11,484 | ||||
Dividends and distributions reinvested | 975 | 867 | ||||||
Cost of shares redeemed | (27,020 | ) | (34,466 | ) | ||||
|
|
|
| |||||
Change in net assets from Class A capital transactions | $ | (18,820 | ) | $ | (22,115 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 1,276 | $ | 2,248 | ||||
Dividends and distributions reinvested | 212 | 160 | ||||||
Cost of shares redeemed | (8,712 | ) | (10,960 | ) | ||||
|
|
|
| |||||
Change in net assets from Class C capital transactions | $ | (7,224 | ) | $ | (8,552 | ) | ||
|
|
|
| |||||
Class R2 | ||||||||
Dividends and distributions reinvested | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Change in net assets from Class R2 capital transactions | $ | 1 | $ | 1 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 11,186 | $ | 32,689 | ||||
Dividends and distributions reinvested | 898 | 539 | ||||||
Cost of shares redeemed | (9,351 | ) | (7,975 | ) | ||||
|
|
|
| |||||
Change in net assets from Class R5 capital transactions | $ | 2,733 | $ | 25,253 | ||||
|
|
|
| |||||
Class R6 (a) | ||||||||
Proceeds from shares issued | $ | 18,438 | $ | 31,546 | ||||
Dividends and distributions reinvested | 362 | 268 | ||||||
Cost of shares redeemed | (30,975 | ) | — | |||||
|
|
|
| |||||
Change in net assets from Class R6 capital transactions | $ | (12,175 | ) | $ | 31,814 | |||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 303,999 | $ | 663,470 | ||||
Dividends and distributions reinvested | 7,270 | 3,708 | ||||||
Cost of shares redeemed | (350,874 | ) | (98,634 | ) | ||||
|
|
|
| |||||
Change in net assets from Select Class capital transactions | $ | (39,605 | ) | $ | 568,544 | |||
|
|
|
| |||||
Total change in net assets from capital transactions | $ | (75,090 | ) | $ | 594,945 | |||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Intrepid Value Fund | ||||||||
| Year Ended 6/30/2012 | Year Ended 6/30/2011 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 315 | 508 | ||||||
Reinvested | 43 | 38 | ||||||
Redeemed | (1,229 | ) | (1,530 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (871 | ) | (984 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 56 | 99 | ||||||
Reinvested | 10 | 7 | ||||||
Redeemed | (387 | ) | (496 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (321 | ) | (390 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Reinvested | — | (b) | — | (b) | ||||
|
|
|
| |||||
Change in Class R2 Shares | — | (b) | — | (b) | ||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 482 | 1,432 | ||||||
Reinvested | 39 | 23 | ||||||
Redeemed | (412 | ) | (338 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 109 | 1,117 | ||||||
|
|
|
| |||||
Class R6 (a) | ||||||||
Issued | 756 | 1,307 | ||||||
Reinvested | 16 | 11 | ||||||
Redeemed | (1,308 | ) | — | |||||
|
|
|
| |||||
Change in Class R6 Shares | (536 | ) | 1,318 | |||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 13,182 | 28,121 | ||||||
Reinvested | 320 | 159 | ||||||
Redeemed | (15,567 | ) | (4,289 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | (2,065 | ) | 23,991 | |||||
|
|
|
| |||||
| (a) | Commencement of offering of class of shares effective November 30, 2010. |
| (b) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 45 | ||||||
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, 2012 | $ | 24.55 | $ | 0.19 | (e) | $ | 0.10 | $ | 0.29 | $ | (0.16 | ) | $ | — | $ | (0.16 | ) | |||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.29 | 0.07 | (e) | 0.12 | 0.19 | — | — | — | ||||||||||||||||||||
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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.21 | 0.13 | (e) | 0.12 | 0.25 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
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, 2012 | 24.69 | 0.30 | (e) | 0.10 | 0.40 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.73 | 0.25 | (e) | 0.10 | 0.35 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Includes interest expense of 0.01%. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratio/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 24.68 | 1.26 | % | $ | 81,139 | 1.25 | % | 0.82 | % | 1.27 | % | 95 | % | |||||||||||||
| 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 | ||||||||||||||||||
| 24.48 | 0.78 | 7,117 | 1.75 | 0.31 | 1.78 | 95 | ||||||||||||||||||||
| 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 | ||||||||||||||||||
| 24.43 | 1.03 | 75 | 1.50 | 0.56 | 1.52 | 95 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.84 | 1.74 | 411,202 | 0.79 | 1.28 | 0.82 | 95 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.88 | 1.52 | 1,332,607 | 1.00 | 1.07 | 1.02 | 95 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 47 | ||||||
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, 2012 | $ | 24.39 | $ | 0.10 | (e) | $ | 0.57 | $ | 0.67 | $ | (0.06 | ) | $ | — | $ | (0.06 | ) | |||||||||||
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 | ) | ||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.09 | (0.02 | )(e) | 0.57 | 0.55 | — | — | — | ||||||||||||||||||||
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 | ) | ||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | (e) | 0.54 | 0.61 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
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 (f) through June 30, 2009 | 15.84 | 0.08 | (e) | (0.09 | ) | (0.01 | ) | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.45 | 0.21 | (e) | 0.57 | 0.78 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.55 | 0.16 | (e) | 0.57 | 0.73 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 25.00 | 2.76 | % | $ | 32,027 | 1.25 | % | 0.42 | % | 1.32 | % | 110 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 24.64 | 2.28 | 14,298 | 1.75 | (0.09 | ) | 1.82 | 110 | |||||||||||||||||||
| 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 | ||||||||||||||||||
| 24.72 | 2.53 | 375 | 1.50 | 0.29 | 1.56 | 110 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 25.05 | 3.26 | 107,169 | 0.80 | 0.87 | 0.87 | 110 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 25.15 | 3.04 | 502,640 | 1.00 | 0.67 | 1.07 | 110 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 Mid Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 15.79 | $ | 0.10 | (c) | $ | (0.79 | ) | $ | (0.69 | ) | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | |||||||||
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 | ) | (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 | ) | |||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 14.22 | — | (c)(d) | (0.70 | ) | (0.70 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 14.24 | 0.01 | (c) | (0.72 | ) | (0.71 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 16.33 | 0.14 | (c) | (0.82 | ) | (0.68 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||
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 | ) | (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 | ) | |||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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, | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 14.99 | (4.36 | )% | $ | 122,217 | 1.24 | % | 0.68 | % | 1.38 | % | 51 | % | |||||||||||||
| 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 | ) | 105,702 | 1.24 | 1.22 | 1.55 | 64 | |||||||||||||||||||
| 14.39 | (13.02 | ) | 190,093 | 1.24 | 0.23 | 1.37 | 109 | |||||||||||||||||||
| 13.47 | (4.94 | ) | 7,805 | 1.88 | 0.03 | 1.88 | 51 | |||||||||||||||||||
| 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 | ) | 11,745 | 1.85 | 0.60 | 2.04 | 64 | |||||||||||||||||||
| 13.11 | (13.61 | ) | 22,749 | 1.83 | (0.37 | ) | 1.87 | 109 | ||||||||||||||||||
| 13.48 | (4.97 | ) | 28,079 | 1.88 | 0.04 | 1.88 | 51 | |||||||||||||||||||
| 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 | ) | 16,706 | 1.85 | 0.61 | 2.05 | 64 | |||||||||||||||||||
| 13.12 | (13.60 | ) | 31,298 | 1.83 | (0.36 | ) | 1.87 | 109 | ||||||||||||||||||
| 15.51 | (4.11 | ) | 269,693 | 0.99 | 0.94 | 1.13 | 51 | |||||||||||||||||||
| 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 | ) | 224,925 | 0.99 | 1.48 | 1.30 | 64 | |||||||||||||||||||
| 14.83 | (12.89 | ) | 391,384 | 0.99 | 0.46 | 1.12 | 109 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 Multi Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 20.60 | $ | 0.13 | (c) | $ | 0.63 | $ | 0.76 | $ | (0.23 | ) | $ | — | $ | (0.23 | ) | |||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 20.25 | 0.04 | (c) | 0.62 | 0.66 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 20.70 | 0.19 | (c) | 0.62 | 0.81 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (b) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (c) | Calculated based upon average shares outstanding. |
| (d) | Includes interest expense of 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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 earning credits | Portfolio turnover rate | ||||||||||||||||||||
| $ | 21.13 | 3.83 | % | $ | 7,329 | 1.25 | % | 0.68 | % | 2.51 | % | 57 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 20.81 | 3.33 | 1,747 | 1.75 | 0.19 | 3.02 | 57 | ||||||||||||||||||||
| 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 | |||||||||||||||||
| 21.21 | 4.09 | 1,164 | 1.00 | 0.94 | 2.28 | 57 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | 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 Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | $ | 24.35 | $ | 0.35 | (e) | $ | (0.34 | ) | $ | 0.01 | $ | (0.37 | ) | $ | — | $ | (0.37 | ) | ||||||||||
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 | ) | |||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.16 | 0.24 | (e) | (0.35 | ) | (0.11 | ) | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||
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 | ) | |||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.31 | 0.29 | (e) | (0.33 | ) | (0.04 | ) | (0.32 | ) | — | (0.32 | ) | ||||||||||||||||
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, 2012 | 24.46 | 0.43 | (e) | (0.34 | ) | 0.09 | (0.45 | ) | — | (0.45 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (e) | (0.33 | ) | 0.10 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||
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, 2012 | 24.42 | 0.39 | (e) | (0.35 | ) | 0.04 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||
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 | ) | |||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (d) | Includes earning credits and interest expense, each of which is less than 0.01%, if applicable or unless otherwise noted. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earning credits | Portfolio turnover rate (b) | ||||||||||||||||||||
| $ | 23.99 | 0.14 | % | $ | 61,097 | 0.95 | % | 1.54 | % | 1.47 | % | 82 | % | |||||||||||||
| 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 | |||||||||||||||||||
| 23.80 | (0.37 | ) | 22,086 | 1.45 | 1.04 | 1.96 | 82 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 23.95 | (0.09 | ) | 70 | 1.20 | 1.29 | 1.73 | 82 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.10 | 0.49 | 52,183 | 0.60 | 1.88 | 1.03 | 82 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.10 | 0.54 | 18,840 | 0.55 | 1.86 | 0.97 | 82 | ||||||||||||||||||||
| 24.46 | 15.96 | 32,237 | 0.54 | 1.48 | 0.87 | 72 | ||||||||||||||||||||
| 24.06 | 0.29 | 705,545 | 0.80 | 1.70 | 1.22 | 82 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 55 | ||||||
Table of Contents
AS OF JUNE 30, 2012
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) (the “Trusts”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
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.
The Investment objective of the Intrepid America Fund is to seek to provide long-term capital growth.
The investment objective of the Intrepid Growth Fund is to seek to provide long-term capital growth.
The Investment objective of the Intrepid Mid Cap Fund is to seek long-term capital growth by investing primarily in equity securities of companies with intermediate capitalizations.
The Investment objective of the Intrepid Multi Cap Fund is to seek to provide long-term capital appreciation.
The investment objective of the Intrepid Value Fund is to seek to provide long-term capital appreciation.
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 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 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 is generally the NASDAQ Official Closing Price. Fixed income securities (other than certain short-term investments maturing in less than 61 days) are valued each day based on prices received from independent or affiliated pricing services approved by the Board of Trustees or third party broker-dealers. The broker-dealers or pricing services use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the broker-dealers or pricing services may utilize a market-based approach through which quotes from market makers are used to determine fair value. In instances where sufficient market activity may not exist or is limited, the broker-dealers or pricing services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining value and/or market characteristics such as benchmark yield curves, option-adjusted spreads, credit spreads, estimated default rates, coupon-rates, anticipated timing of principal repayments, underlying collateral, and other unique security features in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates market value. Certain investments of the Funds may, depending upon market conditions, trade in relatively thin markets and/or in markets that experience significant volatility. As a result of these conditions, the prices used by the Funds to value securities may differ from the value that would be realized if these securities were sold, and the differences could be material. Futures and options are generally valued on the basis of available market quotations. Swaps and other derivatives are valued daily, primarily using independent or affiliated pricing services approved by the Board of Trustees. If valuations are not available from such services or values received are deemed not representative of market value, values will be obtained from a third party broker-dealer or counterparty. Investments in other open-end investment companies are valued at such investment company’s net asset value per share as of the report date.
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Securities or other assets for which market quotations are not readily available or for which market quotations do not represent the fair value of the security or asset at the time of pricing (including certain illiquid securities) are fair valued in accordance with procedures established by and under the supervision and responsibility of the Board of Trustees. The Board of Trustees has established an Audit and Valuation Committee to assist with the oversight of the valuation of the Funds’ securities. JPMorgan Funds Management, Inc. (the “Administrator”, or “JPMFM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (“JPMIM” or the “Advisor”) , a wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., (“JPMAM”) which is a wholly-owned subsidiary of JPMorgan, JPMAM’s Legal and Compliance, JPMAM’s Risk Management and the Funds’ Chief Compliance Office. The VC’s responsibilities include making determinations regarding Level 3 fair value measurements (“Fair Values”) and/or providing recommendations for approval to the Board of Trustees’ Audit and Valuation Committee, in accordance with the Funds’ valuation policies.
The VC or Board of Trustees, as applicable, primarily employ a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The VC or Board of Trustees may also use an income-based valuation approach in which the anticipated future cash flows of the investment are discounted to calculate fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry.
It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material. JPMFM and JPMIM are responsible for monitoring developments that may impact Fair Values and discuss and assess Fair Values on an ongoing and at least a quarterly basis with the VC and Board of Trustees, as applicable. The appropriateness of Fair Values are assessed based on results of unchanged price review and consideration of macro or security specific events, back testing and broker and vendor due diligence.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report, are not reflected herein.
The various inputs that are used in determining the fair value of the Funds’ investments are summarized into the three broad levels listed below.
| Ÿ | Level 1 — quoted prices in active markets for identical securities |
| Ÿ | Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
| Ÿ | Level 3 — significant unobservable inputs (including the Funds’ own assumptions in determining the fair value of investments) |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input both individually and in aggregate that is significant to the fair value measurement. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities.
The following tables represent each valuation input 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 (a) | $ | 1,828,978 | $ | — | $ | — | $ | 1,828,978 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 1,396 | $ | — | $ | — | $ | 1,396 | ||||||||
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Intrepid Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 655,654 | $ | — | $ | — | $ | 655,654 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 687 | $ | — | $ | — | $ | 687 | ||||||||
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Intrepid Mid Cap Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 433,215 | $ | 891 | $ | — | $ | 434,106 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 226 | $ | — | $ | — | $ | 226 | ||||||||
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Intrepid Multi Cap Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 11,124 | $ | — | $ | — | $ | 11,124 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 2 | $ | — | $ | — | $ | 2 | ||||||||
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Intrepid Value Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 839,193 | $ | — | $ | — | $ | 839,193 | ||||||||
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| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 57 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Level 1 Quoted prices | Level 2 Other significant | Level 3 Significant | Total | |||||||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 427 | $ | — | $ | — | $ | 427 | ||||||||
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| (a) | All portfolio holdings designated as Level 1 are disclosed individually in the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually in the SOIs. Level 2 consists of a U.S. Treasury Note that is held for futures collateral. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2012.
B. 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 also 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 the futures contract. 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 contracts activity during the year ended June 30, 2012 (amounts in thousands):
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | Intrepid Multi Cap Fund | Intrepid Value Fund | ||||||||||||||||
Average Notional Balance Long | $ | 37,347 | $ | 11,842 | $ | 8,223 | $ | 210 | $ | 19,736 | ||||||||||
Ending Notional Balance Long | 40,014 | 19,668 | 9,395 | 271 | 37,979 | |||||||||||||||
C. Securities Lending — Each Fund (except Intrepid Multi Cap Fund) may lend securities to brokers approved by the Advisor in order to generate additional income. The Goldman Sachs Bank USA, doing business as Goldman Sachs Agency Lending (“GSAL”), serves as lending agent for each Fund except Intrepid Multi Cap Fund pursuant to a Securities Lending Agreement (the “GSAL Securities Lending Agreement”). Securities loaned are collateralized by cash, which is invested in Capital Shares of the JPMorgan Prime Money Market Fund. Upon termination of a loan, the Funds are required to return to the borrower the posted cash collateral. Loans are subject to termination by the Funds or the borrower at any time.
Securities lending income is comprised of income earned on cash collateral investments (“Collateral Investments”), net of a rebate received from or paid to borrowers for use of cash collateral and lending agent fees. This amount is recorded as Income from securities lending (net) on the Statements of Operations. The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
For the year ended June 30, 2012, the Funds earned the following amounts from the investment of cash collateral, prior to rebates or fees, from an investment in an affiliated fund as described below (amounts in thousands):
Intrepid America Fund | $ | 2 | ||
Intrepid Growth Fund | — | (a) | ||
Intrepid Mid Cap Fund | 7 | |||
Intrepid Value Fund | 2 |
| (a) | Amount rounds to less than $1,000. |
| 58 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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At the inception of a loan, securities are exchanged for cash collateral equal to at least 102% of the value of loaned U.S. securities plus accrued interest. The GSAL Securities Lending Agreement requires that the loaned securities be marked to market on a daily basis and additional cash collateral is requested from borrowers when the cash received from borrowers becomes less than 102% of the value of loaned securities.
The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of Collateral Investments are disclosed in the SOIs. At June 30, 2012, the value of outstanding securities on loan and the value of Collateral Investments were as follows (amounts in thousands):
| Value of Securities on Loan | Cash Collateral Posted by Borrowers | Total Value of Collateral Investments | ||||||||||
Intrepid Mid Cap Fund | $ | 807 | $ | 804 | * | $ | 804 | |||||
Intrepid Value Fund | 467 | 496 | 496 | |||||||||
| * | Subsequent to June 30, 2012, additional collateral was received from borrowers. |
The Funds bear the risk of loss associated with the Collateral Investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the Collateral Investments declines below the amount owed to a borrower, a Fund may incur losses that exceed the amount it earned on lending the security. Upon termination of a loan, a Fund may use leverage (borrow money) to repay the borrower for cash collateral posted, if the Advisor does not believe that it is prudent to sell the Collateral Investments to fund the payment of this liability.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, GSAL has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM waived fees associated with the Funds’ investment of collateral in JPMorgan Prime Money Market Fund as follows (amounts in thousands):
Intrepid America Fund | $ | 2 | ||
Intrepid Growth Fund | — | (a) | ||
Intrepid Mid Cap Fund | 5 | |||
Intrepid Value Fund | 2 |
| (a) | Amount rounds to less than $1,000. |
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.
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income 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 shareholders all of its distributable net investment income and net realized gain on investments. Accordingly, no provision for Federal income tax is necessary. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits or losses will significantly change in the next twelve months. However, the Funds’ conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 59 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
G. Dividends and Distributions to Shareholders — Dividends from net investment income are generally declared and paid at least annually, except for the Intrepid Mid Cap Fund and Intrepid Value Fund, which are generally declared and paid at least quarterly. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from accounting principles generally accepted in the United States of America. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
Paid-in Capital | Accumulated Undistributed/ (Overdistributed) Net Investment Income | Accumulated Net Realized Gain (Loss) On Investments | ||||||||||
Intrepid America Fund | $ | — | (a) | $ | 77 | $ | (77 | ) | ||||
Intrepid Growth Fund | — | (a) | 4 | (4 | ) | |||||||
Intrepid Mid Cap Fund | (1 | ) | 1 | — | ||||||||
Intrepid Multi Cap Fund | (1 | ) | (1 | ) | 2 | |||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to distributions from investments in real estate investment trusts (Intrepid America Fund and Intrepid Growth Fund) and prior year undistributed income and gain (loss) true-up (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 Agreements, JPMIM supervises the investments of each respective Fund and for such services is paid a fee. The fee is accrued daily and paid monthly at an annual rate of 0.65% 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, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee computed daily and paid monthly at the annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the year ended June 30, 2012, the annual effective rate was 0.09% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, and successor in interest to J.P. Morgan Investor Services Co., serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
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 | ||||||||||||
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In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class B and Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2012, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Intrepid America Fund | $ | 1 | $ | — | (a) | |||
Intrepid Growth Fund | 3 | — | ||||||
Intrepid Mid Cap Fund | 65 | 2 | ||||||
Intrepid Multi Cap Fund | 1 | — | ||||||
Intrepid Value Fund | 3 | 1 | ||||||
| (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 | 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 to the Funds. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees in the Statements of Operations. The custodian fees may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits are presented separately in the Statements of Operations.
Interest expense, if any, paid to the custodian related to cash overdrafts is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses, dividend expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, extraordinary expenses and expenses related to the Board of Trustees’ deferred compensation plan) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class B | Class C | Class R2 | Class R5 | Class R6 | 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 | ||||||||||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2012. The contractual expense limitation percentages in the table above are in place until at least October 31, 2012.
For the year ended June 30, 2012, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expects the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | Contractual Reimbursements | ||||||||||||||||
Intrepid America Fund | $ | — | $ | — | $ | 381 | $ | 381 | $ | — | ||||||||||
Intrepid Growth Fund | — | 108 | 311 | 419 | — | |||||||||||||||
Intrepid Mid Cap Fund | — | — | 538 | 538 | — | |||||||||||||||
Intrepid Multi Cap Fund | 62 | 8 | 24 | 94 | 27 | |||||||||||||||
Intrepid Value Fund | 2,994 | 513 | 90 | 3,597 | 41 | |||||||||||||||
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 61 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
Additionally, the Funds may invest in one or more money market funds advised by the Advisor or its affiliates. The Advisor, 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 amount of waivers resulting from investments in these money market funds for the year ended June 30, 2012 was as follows (excluding the waiver disclosed in Note 2.C. regarding cash collateral for securities lending invested in JPMorgan Prime Money Market Fund) (amounts in thousands):
Intrepid America Fund | $ | 107 | ||
Intrepid Growth Fund | 32 | |||
Intrepid Mid Cap Fund | 18 | |||
Intrepid Value Fund | 40 |
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 Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended June 30, 2012, certain Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Advisor.
The Funds may use related party broker-dealers. For the year ended June 30, 2012, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Advisor.
The Securities and Exchange Commission has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2012, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
| Purchases (excluding U.S. Government) | Sales (excluding | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Intrepid America Fund | $ | 1,722,852 | $ | 1,598,691 | $ | — | $ | — | ||||||||
Intrepid Growth Fund | 691,258 | 732,254 | — | — | ||||||||||||
Intrepid Mid Cap Fund | 211,415 | 224,159 | 733 | 220 | ||||||||||||
Intrepid Multi Cap Fund | 5,513 | 8,130 | — | — | ||||||||||||
Intrepid Value Fund | 681,024 | 765,902 | — | — | ||||||||||||
5. Federal Income Tax Matters
For Federal income tax purposes, the cost and unrealized appreciation (depreciation) in value of investment securities held at June 30, 2012 were as follows (amounts in thousands):
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Intrepid America Fund | $ | 1,530,081 | $ | 339,167 | $ | 40,270 | $ | 298,897 | ||||||||
Intrepid Growth Fund | 532,965 | 132,264 | 9,575 | 122,689 | ||||||||||||
Intrepid Mid Cap Fund | 364,533 | 91,847 | 22,274 | 69,573 | ||||||||||||
Intrepid Multi Cap Fund | 9,463 | 1,960 | 299 | 1,661 | ||||||||||||
Intrepid Value Fund | 788,586 | 80,797 | 30,190 | 50,607 | ||||||||||||
For all of the Funds, the difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
| 62 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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The tax character of distributions paid during the fiscal year ended June 30, 2012 was as follows (amounts in thousands):
Ordinary Income | Total Distributions | |||||||
Intrepid America Fund | $ | 15,577 | $ | 15,577 | ||||
Intrepid Growth Fund | 3,587 | 3,587 | ||||||
Intrepid Mid Cap Fund | 3,572 | 3,572 | ||||||
Intrepid Multi Cap Fund | 99 | 99 | ||||||
Intrepid Value Fund | 14,443 | 14,443 | ||||||
The tax character of distributions paid during the fiscal year ended June 30, 2011 was as follows (amounts in thousands):
Ordinary Income | Total Distributions | |||||||
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 | ||||||
At June 30, 2012, the components of net assets (excluding paid in capital) on a tax basis were as follows (amounts in thousands):
Current Distributable Ordinary Income | Current Long-Term Capital Gain or (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Intrepid America Fund | $ | 18,971 | $ | (473,209 | ) | $ | 298,897 | |||||
Intrepid Growth Fund | 2,098 | (448,447 | ) | 122,689 | ||||||||
Intrepid Mid Cap Fund | 185 | (59,938 | ) | 69,573 | ||||||||
Intrepid Multi Cap Fund | 60 | (5,803 | ) | 1,661 | ||||||||
Intrepid Value Fund | 1,133 | (101,392 | ) | 50,607 | ||||||||
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), mark to market of futures contracts (Intrepid Growth Fund), distributions payable (Intrepid Mid Cap Fund and Intrepid Value Fund) and post-October loss deferrals (Intrepid Mid Cap Fund and Intrepid Value Fund)
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011, may get carried forward indefinitely, and retain their character as short-term and/or long term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.
As of June 30, 2012, the following Fund had post-enactment net capital loss carryforwards (amounts in thousands):
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
Intrepid Value Fund | $ | 13,137 | $ | — | ||||
As of June 30, 2012, the Funds had the following pre-enactment net capital loss carryforwards, expiring during the year indicated, which are available to offset future realized gains (amounts in thousands):
| 2017 | 2018 | Total | ||||||||||
Intrepid America Fund | $ | 107,685 | $ | 365,524 | $ | 473,209 | ||||||
Intrepid Growth Fund | 195,957 | 252,490 | 448,447 | |||||||||
Intrepid Mid Cap Fund | — | 59,938 | 59,938 | |||||||||
Intrepid Multi Cap Fund | 2,371 | 3,432 | 5,803 | |||||||||
Intrepid Value Fund | 23,411 | 64,844 | 88,255 | |||||||||
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 63 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2012 (continued)
During the year ended June 30, 2012, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Intrepid America Fund | $ | 4,928 | ||
Intrepid Growth Fund | 23,241 | |||
Intrepid Mid Cap Fund | 5,605 | |||
Intrepid Multi Cap Fund | 679 |
Net capital losses and net specified gains (losses) incurred after October 31 and within the taxable year end are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2012, the Funds deferred to July 1, 2012 post-October capital losses of (amounts in thousands):
| Late Year Ordinary Loss Deferral | Short-Term | Long-Term | ||||||||||
Intrepid Mid Cap Fund | $ | — | $ | 1,871 | $ | — | ||||||
Intrepid Value Fund | — | 4,432 | — | |||||||||
6. Borrowings
The Funds rely upon an exemptive order (“Order”) permitting the establishment and operation of an Interfund Lending Facility (“Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund Loan Rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because they are investment companies in the same “group of investment companies” (as defined in Section 12(d) (1)(G) of the 1940 Act).
In addition, the Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 12, 2012.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2012, or at any time during the year then ended.
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Advisor have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for 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 | 47.9 | % | 20.1 | % | ||||
Intrepid Growth Fund | 59.2 | n/a | ||||||
Intrepid Mid Cap Fund | 52.8 | n/a | ||||||
Additionally, Intrepid Multi Cap Fund has a shareholder which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Fund’s outstanding shares.
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
| 64 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of 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 and 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, 2012, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period then ended and the financial highlights for each of the periods presented, in conformity with accounting principles generally accepted in the United States of America. These financial statements and financial highlights (hereafter referred to as “financial statements”) are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements based on our audits. We conducted our audits of these financial statements in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement. An audit includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. We believe that our audits, which included confirmation of securities at June 30, 2012 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 24, 2012
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 65 | ||||||
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupations During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee (2) | Other Directorships Held Outside Fund Complex During Past 5 Years | |||
Independent Trustees | ||||||
| William J. Armstrong (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1987. | Retired; CFO and Consultant, EduNeering, Inc. (internet business education supplier) (2000-2001); Vice President and Treasurer, Ingersoll-Rand Company (manufacturer of industrial equipment) (1972-2000). | 169 | None. | |||
| John F. Finn (1947); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman (1985-present), President and Chief Executive Officer, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (1974-present). | 169 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present). | |||
| Dr. Matthew Goldstein (1941); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Chancellor, City University of New York (1999-present); President, Adelphi University (New York) (1998-1999). | 169 | Director, New Plan Excel (NXL) (1999-2005); Director, National Financial Partners (NFP) (2003-2005); Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present). | |||
| Robert J. Higgins (1945); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2002. | Retired; Director of Administration of the State of Rhode Island (2003-2004); President — Consumer Banking and Investment Services, Fleet Boston Financial (1971-2001). | 169 | None. | |||
| Peter C. Marshall (1942); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1985. | Self-employed business consultant (2002-present). | 169 | Director, Center for Communication, Hearing, and Deafness (1990-present). | |||
| Marilyn McCoy* (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President of Administration and Planning, Northwestern University (1985-present). | 169 | Trustee, Carleton College (2003-present). | |||
| William G. Morton, Jr. (1937); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Retired; Chairman Emeritus (2001-2002), and Chairman and Chief Executive Officer, Boston Stock Exchange (1985-2001). | 169 | Director, Radio Shack Corp. (1987-2008); Trustee, Stratton Mountain School (2001-present). | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 169 | Trustee, American University in Cairo (1999-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, Carleton College (2002-2010). | |||
| Fergus Reid, III (1932); Trustee of Trusts (Chairman) since 2005; Trustee (Chairman) of heritage J.P. Morgan Funds since 1987. | Chairman, Joe Pietryka, Inc. (formerly Lumelite Corporation) (plastics manufacturing) (2003-present); Chairman and Chief Executive Officer, Lumelite Corporation (1985-2002). | 169 | Trustee, Morgan Stanley Funds (107 portfolios) (1992-present). | |||
| 66 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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). | 169 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony Orchestra Foundation (1994-present). | |||
| James J. Schonbachler (1943); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2001. | Retired; Managing Director of Bankers Trust Company (financial services) (1968-1998). | 169 | None. | |||
Interested Trustees | ||||||
| Frankie D. Hughes** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 169 | Trustee, The Victory Portfolios (2000-2008). | |||
| Leonard M. Spalding, Jr.*** (1935); Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 1998. | Retired; Chief Executive Officer, Chase Mutual Funds (investment company) (1989-1998); President and Chief Executive Officer, Vista Capital Management (investment management) (1990-1998); Chief Investment Executive, Chase Manhattan Private Bank (investment management) (1990-1998). | 169 | Director, Glenview Trust Company, LLC (2001-present); Trustee, St. Catharine College (1998-present); Trustee, Bellarmine University (2000-present); Director, Springfield-Washington County Economic Development Authority (1997-present). | |||
| (1) | Each Trustee serves for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Messrs. Reid and Spalding should continue to serve until December 31, 2012. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment advisor or have an investment advisor that is an affiliated person of the investment advisor of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes eleven registered investment companies (169 funds). |
| * | Ms. McCoy has served as Vice President of Administration and Planning for Northwestern University since 1985. William M. Daley was the Head of Corporate Responsibility for JPMorgan Chase & Co. prior to January 2011 and served as a member of the Board of Trustees of Northwestern University from 2005 through 2010. JPMIM, the Funds’ investment advisor, is a wholly-owned subsidiary of JPMorgan Chase & Co. Three other members of the Board of Trustees of Northwestern University are executive officers of registered investment advisors (not affiliated with JPMorgan) that are under common control with subadvisors to certain J.P. Morgan Funds. |
| ** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
| *** | Mr. Spalding is treated as an “interested person” due to his ownership of JPMorgan Chase stock. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 67 | ||||||
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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. | |
| Frank J. Nasta (1964), Secretary (2008) | Managing Director and Associate General Counsel, JPMorgan Chase since 2008; Previously, Director, Managing Director, General Counsel and Corporate Secretary, J. & W. Seligman & Co. Incorporated; Secretary of each of the investment companies of the Seligman Group of Funds and Seligman Data Corp.; Director and Corporate Secretary, Seligman Advisors, Inc. and Seligman Services, Inc. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Kathryn A. Jackson (1962), | Vice President and AML Compliance Manager for JPMorgan Asset Management Compliance since 2011; Senior On-Boarding Specialist for JPMorgan Distribution Services, Inc. in Global Liquidity from 2008 to 2011; prior to joining JPMorgan, Ms. Jackson was a Financial Services Analyst responsible for on-boarding, compliance and training with Nationwide Securities LLC and 1717 Capital Management Company, both registered broker-dealers, from 2005 until 2008. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2012; formerly Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2012; Senior Counsel, JPMorgan Chase (formerly Bank One Corporation) from 2004 to 2005. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)** | Executive Director and Assistant General Counsel, JPMorgan Chase since February 2011; Ms. Ditullio has served as an attorney with various titles for JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| John T. Fitzgerald (1975), Assistant Secretary (2008) | Executive Director and Assistant General Counsel, JPMorgan chase since February 2011; formerly, Vice President and Assistant General Counsel, JPMorgan Chase from 2005 until February 2011. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011) | Vice President and Assistant General Counsel, JPMorgan Chase since 2011; Associate, Skadden, Arps, Slate, Meagher & Flom LLP (law firm) from 2006 to 2011. | |
| Gregory S. Samuels (1980), Assistant Secretary (2010) | Vice President and Assistant General Counsel, JPMorgan Chase since 2010; Associate, Ropes & Gray (law firm) from 2008 to 2010; Associate, Clifford Chance LLP (law firm) from 2005 to 2008. | |
| Pamela L. Woodley (1971), Assistant Secretary (2012) | Vice President and Assistant General Counsel, JPMorgan Chase since November 2004. | |
| Jeffrey D. House (1972), Assistant Treasurer (2006)** | Vice President, JPMorgan Funds Management, Inc. since July 2006. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2006. | |
| Matthew J. Plastina (1970), Assistant Treasurer (2011) | Vice President, JPMorgan Funds Management, Inc. since August 2010; prior to August 2010, Vice President and Controller, Legg Mason Global Asset Management. | |
| Jeffery Reedy (1973), Assistant Treasurer (2011)** | Vice President, JPMorgan Funds Management, Inc. since February 2006. | |
The contact address for each of the officers, unless otherwise noted, is 270 Park Avenue, New York, NY 10017.
| * | The contact address for the officer is 500 Stanton Christiana Road, Ops 1, Floor 02, Newark, DE 19173-2107. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| 68 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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 fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2012, and continued to hold your shares at the end of the reporting period, June 30, 2012.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides 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, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During | Annualized Expense Ratio | |||||||||||||
Intrepid America Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,094.50 | $ | 6.46 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,091.90 | 9.05 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,093.10 | 7.81 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,096.70 | 4.12 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.93 | 3.97 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,095.60 | 5.16 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Intrepid Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,101.80 | 6.53 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,099.50 | 9.08 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.21 | 8.72 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,100.60 | 7.83 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.40 | 7.52 | 1.50 | ||||||||||||
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 69 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value, January 1, 2012 | Ending Account Value, June 30, 2012 | Expenses Paid During | Annualized Expense Ratio | |||||||||||||
Intrepid Growth Fund (continued) | ||||||||||||||||
Class R5 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,104.50 | $ | 4.19 | 0.80 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.89 | 4.02 | 0.80 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,103.60 | 5.23 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,076.70 | 6.40 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.22 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,074.00 | 9.59 | 1.86 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.61 | 9.32 | 1.86 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,074.20 | 9.54 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.66 | 9.27 | 1.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,078.20 | 5.12 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.94 | 4.97 | 0.99 | ||||||||||||
Intrepid Multi Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,117.40 | 6.58 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.27 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,115.20 | 9.20 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.16 | 8.77 | 1.75 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,118.70 | 5.27 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 5.02 | 1.00 | ||||||||||||
Intrepid Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,082.90 | 4.92 | 0.95 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.14 | 4.77 | 0.95 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,080.30 | 7.50 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.27 | 1.45 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,081.80 | 6.21 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.90 | 6.02 | 1.20 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,084.90 | 3.11 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.88 | 3.02 | 0.60 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,085.20 | 2.85 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.13 | 2.77 | 0.55 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,083.50 | 4.14 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.89 | 4.02 | 0.80 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). |
| 70 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2012 | ||||
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(Unaudited)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended June 30, 2012. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2012. The information necessary to complete your income tax returns for the calendar year ending December 31, 2012 will be received under separate cover.
Dividends Received Deductions (DRD)
The following represents the percentage of ordinary income distributions eligible for the 70% dividends received deduction for corporate rate shareholders for the fiscal year ended June 30, 2012:
| Dividends Received Deduction | ||||
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, 2012, certain dividends paid by the Funds may be subject to a maximum tax rate of 15%. The following represents the amount of ordinary income distributions treated as qualified dividends (amounts in thousands):
| Qualified Dividend Income | ||||
Intrepid America Fund | $ | 15,577 | ||
Intrepid Growth Fund | 3,587 | |||
Intrepid Mid Cap Fund | 3,572 | |||
Intrepid Multi Cap Fund | 99 | |||
Intrepid Value Fund | 14,443 | |||
| JUNE 30, 2012 | J.P. MORGAN INTREPID FUNDS | 71 | ||||||
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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., 2012. All rights reserved. June 2012. | AN-INT-612 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is John F. Finn. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2012 – $357,900
2011 – $371,800
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2012 – $139,900
2011 – $136,000
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2012 – $108,900
2011 – $109,600
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2012 and 2011, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2012 – Not applicable
2011 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of
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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.
2012 – 0.0%
2011 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
None.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant for the last two calendar year ends were:
2011 - $28.7 million
2010 - $32.2 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 paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
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The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.
(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
Code of Ethics applicable to its Principal Executive and Principal Financial Officers pursuant to Section 406 of the Sarbanes-Oxley Act of 2002 attached hereto.
(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.
(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.
Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Trust II
| By: | /s/ Patricia A. Maleski | |
| Patricia A. Maleski | ||
| President and Principal Executive Officer | ||
| September 6, 2012 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Patricia A. Maleski | |
| Patricia A. Maleski | ||
| President and Principal Executive Officer | ||
| September 6, 2012 |
| By: | /s/ Joy C. Dowd | |
| Joy C. Dowd | ||
| Treasurer and Principal Financial Officer | ||
| September 6, 2012 |