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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, 2013 through June 30, 2014
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).
Table of Contents
Annual Report
J.P. Morgan Small Cap Funds
June 30, 2014
JPMorgan Dynamic Small Cap Growth Fund
JPMorgan Small Cap Core Fund
JPMorgan Small Cap Equity Fund
JPMorgan Small Cap Growth Fund
JPMorgan Small Cap Value Fund
JPMorgan U.S. Small Company Fund
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Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee 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 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.
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JULY 31, 2014 (Unaudited)
Dear Shareholder:
The economic recovery strengthened over the past year and financial markets in the U.S. withstood periodic volatility to end the period with robust returns. Throughout the 12 months ended June 30, 2014, major central banks continued to provide economic stimulus through closely aligned policies of historically low interest rates. During this period, the U.S. unemployment rate fell to 6.09% from 7.54%. While there were discrete sell-offs in U.S. Treasury bonds, emerging market equities and U.S. small cap stocks, by the end of the period each of these market segments had largely recovered along with broader bond and equity markets.
 |
“The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their investments.” |
Financial markets were firmly focused on the U.S. Federal Reserve Bank (the “Fed”) and its policy decisions and pronouncements. At the start of the period, the Fed was purchasing $85 billion a month of Treasury bonds and mortgage backed securities under its Quantitative Easing (QE) program. However, the Fed’s then-chairman, Ben Bernanke, had signaled the central bank might reduce its monthly purchases if the U.S. economy continued to improve. Bernanke’s remarks were followed by a sell-off in U.S. equities and bonds during the summer of 2013. Equity prices then rebounded and headed higher as a range of U.S. economic data showed steady improvement through the final three months of 2013. The Fed’s announcement in December that it would cut its monthly asset purchases by $10 billion to $75 billion was followed by a sharp sell-off in emerging market assets that drove currency volatility in those markets. While reassuring investors that it would hold down interest rates into 2015, the Fed continued to taper off its QE purchases in $10 billion increments and by the end of the period monthly purchases were down to $45 billion.
The month of December also ushered in a winter of severe weather across much of the U.S. Snowstorms grounded airlines — affecting passengers and parcels alike — and shuttered businesses and schools throughout the country. Consumer spending and construction slowed to a greater extent than was understood at the time. In fact, U.S. gross domestic product shrank by 2.13% during the first three months of 2014. Economists attributed nearly half of that contraction to severe weather.
Signs of slower growth in China raised concerns that the nation’s economy might be in for a “hard landing” that would reverberate through emerging market nations, as well as developed economies. While the Chinese government’s efforts to restrain growth in real estate prices did impact property companies on the mainland as well as in Hong Kong, where the real estate sector makes up a significant portion of the local economy, China’s economy continued to grow at better than 7%.
Following volatility in the initial months of the reporting period, U.S. equity markets rose to record highs in December and, after a brief pause early in 2014, marched steadily higher in the following months, notching 22 record-high closings by the end of June. Volatility virtually disappeared in the final months of the reporting period and the Standard & Poor’s 500 Index (the “S&P 500”) did not move higher or lower by more than 1 percent for 51 consecutive days ended June 30, 2014. The last time the index moved so little was in 1995, when it went 95 days without moving a full percentage point. The Chicago Board Options Exchange Volatility Index ended the period near its lowest level since February 2007. At June 30, 2014, the S&P 500 produced a 12-month return of 24.61% and extended its longest stretch of consecutive quarterly gains in 16 years.
The U.S. bond market had a less stellar year than equities as the Fed’s maintenance of low interest rates held down prices for much of 2013. Bond prices rebounded in 2014, as slower-than-expected domestic growth and instability in emerging markets lifted demand for fixed income securities. The Barclays U.S. Aggregate Index returned 3.93% for the first six months of 2014 and 4.37% for the 12 months ended June 30, 2014.
In Europe, the sovereign debt crisis receded further and by the end of 2013, Ireland became the first nation to exit the European Union (EU) bailout program. Healthy corporate earnings and robust mergers and acquisitions activity bolstered equity markets. While the crisis in Ukraine appeared to have little impact on the EU economy, the European Central Bank (ECB) began to confront the threat of price deflation. In an unprecedented move on June 5, 2014, the ECB President Mario Draghi cut the deposit rate to negative 0.10% from 0.00%, effectively charging European banks for parking excess cash with the ECB. In Japan, Prime Minister Shinzo Abe’s economic policies appeared to be successful in pushing the economy out of a decade of stagnation and price deflation. Japanese equities ended 2013 at their highest levels since 1988. However, as 2014 began, investors grew less confident in “Abenomics” and an April increase in Japan’s consumption tax raised concerns that consumer spending would slow, removing a key support of the nation’s economic growth. The MSCI Europe, Australasia and Far East Index returned 23.57% for the 12 months ended June 30, 2014.
From Turbulence to Turnaround
At the start of the period, emerging markets generally benefited from investors’ global search for yield amid the low interest rate environment engineered by central banks in developed markets. However, a sell-off in emerging markets followed the Fed’s December decision to reduce its monthly asset purchases. Emerging market investors also faced political unrest in Ukraine, Thailand and Turkey, a potential bond default in Argentina, and uncertainty surrounding pending elections in India and Indonesia, two of the world’s largest democracies. Despite the headwinds and perhaps due to the “low for long” message on interest rates from both the Fed and the ECB, emerging markets rebounded and ended at June 30, 2014 with the strongest quarterly performance since 2012. The MSCI Emerging Markets Index returned 14.31% for the year ended June 30, 2014.
The past 12 months witnessed periodic sell-offs in equities and bonds in both developed and emerging markets. Market volatility was driven by comments as well as actions from the Fed and the ECB, along with external events around the globe. As the reporting period unfolded, investors who believed 2013 provided a bumpy ride soon found that 2014 provided its own surprises. However, equity markets — and also fixed income markets to some extent — proved resilient in the face of a variety of shocks and headwinds. The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their 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. If you should 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
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 1 | ||||||
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J.P. Morgan Small Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
The U.S. equity market performed strongly during the twelve months ended June 30, 2014. While financial market volatility spiked early in the reporting period amid investor uncertainty about the U.S. Federal Reserve Board’s (“Fed”) intent to taper off its monthly asset purchases, equity prices recovered and headed toward record highs at the end of 2013. Corporate profits remained healthy into 2014 and mergers and acquisitions activity increased as companies amassed large cash holdings and/or had access to inexpensive financing in the low-interest rate environment. Further bolstering equities were improving conditions in employment, housing and consumer sentiment. The Standard & Poor’s 500 Index notched seven record high closings in December 2013.
In early 2014, investors began to question the strength of the global economy as bond yields, which move in the opposite direction of bond prices, continued to fall across the developed world. Adding to investor anxiety were the ongoing tensions between Russia and Ukraine as well as a growing insurgency in Iraq. After outperforming large cap stocks in 2013, small cap stocks traded lower starting in February 2014. The Russell 2000 Index fell as much as 9%, before regaining some strength at the end of May 2014. In June, small caps rebounded strongly to outperform large cap securities and mid cap securities for the month.
During the reporting period, the energy and health care sectors were strong performers, while consumer discretionary and financials services were among the weakest performers. The Russell 2000 Index returned 23.64%, while the Russell 2000 Growth Index returned 24.73% and the Russell 2000 Value Index returned 22.54% for the twelve months ended June 30, 2014.
| 2 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 18.52% | |||
| Russell 2000 Growth Index | 24.73% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 560,024 | ||
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 12 months ended June 30, 2014. The Fund’s security selection in the technology and energy sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the producer durables and health care sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s positions Francesca’s Holdings Corp., Model N Inc. and ReachLocal Inc. Shares of Francesca’s, a specialty retailer of clothing, accessories and gifts, traded lower on a weak back-to-school sales season in 2013 and the company’s failure to increase comparable store sales. Shares of Model N, a provider of revenue management services, fell on questions about the company’s business model and management’s ability to execute its strategy and the replacement of the company’s head of sales shortly after the initial public offering in 2013. Shares of ReachLocal, a provider of Internet marketing and analytics, remained weak as the company’s revamped sales model led to results that were below expectations and raised questions about future growth.
Individual contributors to relative performance included the Fund’s positions in Envestnet Inc., Spirit Airlines Inc. and Acuity Brands Inc. Shares of Envestnet, a provider of technology to the financial services sector, benefitted from the company’s market share gains and healthy recurring revenue. Shares of Spirit Airlines, an airline serving North America, the Caribbean and Latin America, traded higher amid improved demand for travel and industry-wide capacity discipline and record utilization levels. Shares of Acuity Brands, a provider of lighting products for commercial and retail markets, traded higher amid an improving environment for non-residential renovation and construction as well as the company’s growth in energy efficient and digitized lighting.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, 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. | Acuity Brands, Inc. | 2.1 | % | |||||
| 2. | Middleby Corp. (The) | 1.9 | ||||||
| 3. | Old Dominion Freight Line, Inc. | 1.7 | ||||||
| 4. | Envestnet, Inc. | 1.6 | ||||||
| 5. | Watsco, Inc. | 1.5 | ||||||
| 6. | Insulet Corp. | 1.4 | ||||||
| 7. | Rush Enterprises, Inc., Class A | 1.4 | ||||||
| 8. | Acadia Healthcare Co., Inc. | 1.4 | ||||||
| 9. | Fortune Brands Home & Security, Inc. | 1.4 | ||||||
| 10. | Trulia, Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 22.9 | % | ||
| Health Care | 22.9 | |||
| Industrials | 22.3 | |||
| Consumer Discretionary | 14.9 | |||
| Financials | 8.3 | |||
| Energy | 5.9 | |||
| Telecommunication Services | 1.0 | |||
| Others (each less than 1.0%) | 0.6 | |||
| Short-Term Investment | 1.2 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 3 | ||||||
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JPMorgan Dynamic Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 19, 1997 | |||||||||||||
Without Sales Charge | 18.52 | % | 19.09 | % | 7.74 | % | ||||||||
With Sales Charge* | 12.29 | 17.81 | 7.16 | |||||||||||
CLASS B SHARES | May 19, 1997 | |||||||||||||
Without CDSC | 17.94 | 18.45 | 7.23 | |||||||||||
With CDSC** | 12.94 | 18.25 | 7.23 | |||||||||||
CLASS C SHARES | January 7, 1998 | |||||||||||||
Without CDSC | 17.93 | 18.45 | 7.14 | |||||||||||
With CDSC*** | 16.93 | 18.45 | 7.14 | |||||||||||
SELECT CLASS SHARES | April 5, 1999 | 18.87 | 19.50 | 8.14 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable. 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, 2014 | ||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 28.95% | |||
| Russell 2000 Index | 23.64% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 703,307 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Core Fund seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The JPMorgan Small Cap Core Fund (Select Class Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the health services & systems sector and the systems hardware sector was the leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the finance and energy sectors was the main detractor from relative performance.
Individual contributors to relative performance included the Fund’s positions in Rite Aid Corp., SunEdison Inc. and Lannett Co. Shares of Rite Aid, a national drug-store chain, rose as management shed underperforming stores and continued to execute on its turnaround efforts. Shares of SunEdison, a maker of silicon wafers and solar energy products, gained from the continued expansion of its solar energy business. Shares of Lannett, a maker of generic pharmaceuticals, rose on healthy revenue growth, a low debt-to-equity ratio and expanding profit margins.
Individual detractors from relative performance included the Fund’s positions in Medicines Co., Republic Airways Holdings and Cooper Tire & Rubber Co. Shares of Medicines, a pharmaceutical company focused on serving the hospital market, sank after a U.S. Food and Drug Administration panel voted against approval of the company’s blood clot prevention treatment. Shares of Republic Airways, a regional airline, fell on investor concerns about the company’s growth prospects. Shares of Cooper Tire, a manufacturer of replacement automotive tires, remained under pressure after it cancelled a merger agreement with Indian tire maker Apollo Tyres.
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. | Sanmina Corp. | 1.1 | % | |||||
| 2. | Tower International, Inc. | 1.1 | ||||||
| 3. | Deluxe Corp. | 1.1 | ||||||
| 4. | Barnes & Noble, Inc. | 1.0 | ||||||
| 5. | Warren Resources, Inc. | 1.0 | ||||||
| 6. | Greatbatch, Inc. | 1.0 | ||||||
| 7. | WebMD Health Corp. | 1.0 | ||||||
| 8. | Popular, Inc., (Puerto Rico) | 1.0 | ||||||
| 9. | Dynegy, Inc. | 1.0 | ||||||
| 10. | NuVasive, Inc. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 22.0 | % | ||
| Information Technology | 17.7 | |||
| Industrials | 14.4 | |||
| Consumer Discretionary | 13.6 | |||
| Health Care | 11.8 | |||
| Energy | 7.1 | |||
| Consumer Staples | 4.1 | |||
| Materials | 3.8 | |||
| Utilities | 3.2 | |||
| Telecommunication Services | 1.2 | |||
| U.S. Treasury Obligations | 0.2 | |||
| Short-Term Investment | 0.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
SELECT CLASS SHARES | January 1, 1997 | 28.95 | % | 22.34 | % | 8.73 | % | |||||||||
TEN YEAR PERFORMANCE (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable. 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.
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, 2014 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 23.27% | |||
| Russell 2000 Index | 23.64% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 3,409,445 | ||
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) underperformed the Russell 2000 Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the materials & processing sector and its underweight position in the health care sector were the leading detractors from performance relative to the Benchmark. The Fund’s security selection in the financial services and energy sectors was the leading contributor to relative performance.
Individual detractors from relative performance included the Fund’s overweight positions in American Eagle Outfitters Inc., ProAssurance Group Corp. and Quicksilver Inc. Shares of American Eagle, a specialty retailer of apparel, traded lower on intensifying competition and discounting in retail apparel, along with some product missteps. Shares of ProAssurance, a provider of professional liability insurance not held in the Benchmark, fell on weaker-than-expected quarterly results, driven by poor pricing and higher expenses from mergers and acquisitions activity. Shares of Quicksilver, a maker of branded apparel, fell after weak quarterly earnings and sales led to a shift in strategy by management.
Individual contributors to relative performance included the Fund’s overweight positions in HFF Inc., Cimarex Energy Co. and Zillow Inc. Shares of HFF, a commercial real estate company, traded higher on better-than-expected revenue and continued market share gains. Shares of Cimarex Energy, an oil and gas producer not held in the Benchmark, gained on the company’s ability to execute on its acreage position in the Permian Basin and to outperform expectations. Shares of Zillow, an online provider of real estate and housing information, traded higher on improving conditions in real estate and the company’s ability to expand its competitive advantage over its peers.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Waste Connections, Inc. | 2.8 | % | |||||
| 2. | Jarden Corp. | 2.4 | ||||||
| 3. | Associated Banc-Corp. | 2.2 | ||||||
| 4. | IDEXX Laboratories, Inc. | 2.0 | ||||||
| 5. | Taminco Corp. | 1.9 | ||||||
| 6. | Brinker International, Inc. | 1.9 | ||||||
| 7. | Silgan Holdings, Inc. | 1.8 | ||||||
| 8. | ProAssurance Corp. | 1.8 | ||||||
| 9. | Crown Holdings, Inc. | 1.7 | ||||||
| 10. | AptarGroup, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Consumer Discretionary | 20.0 | % | ||
| Financials | 19.8 | |||
| Industrials | 16.8 | |||
| Information Technology | 12.3 | |||
| Health Care | 9.1 | |||
| Materials | 7.2 | |||
| Energy | 5.2 | |||
| Consumer Staples | 2.9 | |||
| Utilities | 2.8 | |||
| Short-Term Investment | 3.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 20, 1994 | |||||||||||||
Without Sales Charge | 23.27 | % | 20.45 | % | 12.55 | % | ||||||||
With Sales Charge* | 16.81 | 19.16 | 11.95 | |||||||||||
CLASS B SHARES | March 28, 1995 | |||||||||||||
Without CDSC | 22.67 | 19.86 | 12.09 | |||||||||||
With CDSC** | 17.67 | 19.66 | 12.09 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 22.67 | 19.87 | 11.97 | |||||||||||
With CDSC*** | 21.67 | 19.87 | 11.97 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 22.95 | 20.15 | 12.39 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 23.90 | 21.06 | 13.12 | ||||||||||
SELECT CLASS SHARES | May 7, 1996 | 23.65 | 20.82 | 12.93 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable. 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, 2014 | ||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 18.94% | |||
| Russell 2000 Growth Index | 24.73% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 1,157,314 | ||
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 12 months ended June 30, 2014. The Fund’s security selection in the technology and energy sectors was a leading detractor from performance relative to the Benchmark, while security selection in the producer durables and health care sectors was a leading contributor to relative performance.
Individual detractors from relative performance included the Fund’s positions in Francesca’s Holdings Corp., Model N Inc. and ReachLocal Inc. Shares of Francesca’s, a specialty retailer of clothing, accessories and gifts, traded lower on a weak back-to-school sales season in 2013 and the company’s failure to increase comparable store sales. Shares of Model N, a provider of revenue management services, fell on questions about the company’s business model and management’s ability to execute its strategy and the replacement of the company’s head of sales shortly after the initial public offering in 2013. Shares of ReachLocal, a provider of Internet marketing and analytics, remained weak as the company’s revamped sales model led to results that were below expectations and raised questions about future growth.
Individual contributors to relative performance included the Fund’s positions in Envestnet Inc., Spirit Airlines Inc. and Acuity Brands Inc. Shares of Envestnet, a provider of technology to the financial services sector, benefitted from the company’s market share gains and healthy recurring revenue. Shares of Spirit Airlines, an airline serving North America, the Caribbean and Latin America, traded higher amid improved demand for travel and industry-wide capacity discipline and record utilization levels. Shares of Acuity Brands, a provider of lighting products for commercial and retail markets, traded higher amid an improving environment for non-residential renovation and construction as well as the company’s growth in energy efficient and digitized lighting.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, 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. | Acuity Brands, Inc. | 2.1 | % | |||||
| 2. | Middleby Corp. (The) | 1.9 | ||||||
| 3. | Old Dominion Freight Line, Inc. | 1.6 | ||||||
| 4. | Envestnet, Inc. | 1.6 | ||||||
| 5. | Watsco, Inc. | 1.5 | ||||||
| 6. | Insulet Corp. | 1.4 | ||||||
| 7. | Rush Enterprises, Inc., Class A | 1.4 | ||||||
| 8. | Acadia Healthcare Co., Inc. | 1.4 | ||||||
| 9. | Fortune Brands Home & Security, Inc. | 1.4 | ||||||
| 10. | Trulia, Inc. | 1.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Health Care | 22.9 | % | ||
| Information Technology | 22.9 | |||
| Industrials | 22.2 | |||
| Consumer Discretionary | 14.9 | |||
| Financials | 8.3 | |||
| Energy | 5.9 | |||
| Telecommunication Services | 1.0 | |||
| Others (each less than 1.0%) | 0.5 | |||
| Short-Term Investment | 1.4 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | July 1, 1991 | |||||||||||||
Without Sales Charge | 18.94 | % | 20.57 | % | 9.48 | % | ||||||||
With Sales Charge* | 12.70 | 19.26 | 8.89 | |||||||||||
CLASS B SHARES | September 12, 1994 | |||||||||||||
Without CDSC | 18.34 | 19.93 | 8.93 | |||||||||||
With CDSC** | 13.34 | 19.74 | 8.93 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 18.29 | 19.91 | 8.85 | |||||||||||
With CDSC*** | 17.29 | 19.91 | 8.85 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 18.62 | 20.23 | 9.12 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 19.55 | 21.13 | 9.94 | ||||||||||
INSTITUTIONAL CLASS SHARES | February 19, 2005 | 19.46 | 21.04 | 9.90 | ||||||||||
SELECT CLASS SHARES | March 26, 1996 | 19.20 | 20.86 | 9.75 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 prior to their inception date are based on the performance of Select Class Shares. Returns for Class R6 Shares prior to their inception date are based on the performance of Institutional Class Shares from February 19, 2005 through inception and on the performance of Select Class Shares prior to February 19, 2005. The actual returns for Institutional Class Shares and Class R6 Shares would have been different than those shown because Institutional Class Shares and Class R6 Shares have different expenses than the class on which the earlier performance is based. 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, 2004 to June 30, 2014. 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, if applicable. 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, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 21.57% | |||
| Russell 2000 Value Index | 22.54% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 1,559,154 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Value Fund (the “Fund”) seeks long-term capital growth primarily by investing in equity securities of small-capitalization companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell 2000 Value Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the consumer cyclical and retail sectors was the primary detractor from performance relative to the Benchmark, while security selection in the semiconductors and health services & systems sectors contributed to relative performance.
Individual detractors from relative performance included the Fund’s positions in Forest Oil Corp., Northstar Realty Financial Corp. and World Acceptance Corp. Shares of Forest Oil, an independent oil and gas company focused on natural gas production, sank as the company struggled with disappointing production from its Eagle Ford property. Shares of Northstar, a real estate investment trust, performed well during the year, and the Fund’s lack of position in the stock hurt performance relative to the Benchmark. Shares of World Acceptance, a small-loan consumer finance company, retreated on new reports that the company was a target of multiple shareholder lawsuits.
Individual contributors to relative performance included the Fund’s positions in Rite Aid Corp., Penn Virginia Corp. and Intelliquent Inc. Shares of Rite Aid, a national drug-store chain, rose as management shed underperforming stores and continued to execute on its turnaround efforts. Shares of Penn Virginia, an independent oil and gas company, rose after the company reaffirmed its forecast for production and cash flow. Shares of Inteliquent, a provider of Ethernet voice and data services, gained after the company revised upward its forecast for earnings and revenue.
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. | Portland General Electric Co. | 1.2 | % | |||||
| 2. | TiVo, Inc. | 1.1 | ||||||
| 3. | Dana Holding Corp. | 1.1 | ||||||
| 4. | CYS Investments, Inc. | 1.1 | ||||||
| 5. | Helix Energy Solutions Group, Inc. | 1.1 | ||||||
| 6. | Iconix Brand Group, Inc. | 1.1 | ||||||
| 7. | Rite Aid Corp. | 1.0 | ||||||
| 8. | Spansion, Inc., Class A | 0.9 | ||||||
| 9. | Minerals Technologies, Inc. | 0.9 | ||||||
| 10. | CNO Financial Group, Inc. | 0.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 35.3 | % | ||
| Industrials | 13.8 | |||
| Information Technology | 11.9 | |||
| Consumer Discretionary | 9.6 | |||
| Energy | 6.9 | |||
| Utilities | 5.8 | |||
| Health Care | 5.0 | |||
| Materials | 4.0 | |||
| Consumer Staples | 3.1 | |||
| Others (each less than 1.0%) | 1.0 | |||
| Short-Term Investment | 3.6 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | January 27, 1995 | |||||||||||||
Without Sales Charge | 21.24 | % | 21.01 | % | 8.74 | % | ||||||||
With Sales Charge* | 14.86 | 19.72 | 8.15 | |||||||||||
CLASS B SHARES | January 27, 1995 | |||||||||||||
Without CDSC | 20.50 | 20.28 | 8.19 | |||||||||||
With CDSC** | 15.50 | 20.09 | 8.19 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 20.45 | 20.28 | 8.07 | |||||||||||
With CDSC*** | 19.45 | 20.28 | 8.07 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 20.95 | 20.71 | 8.46 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 21.67 | 21.43 | 9.09 | ||||||||||
CLASS R6 SHARES | February 22, 2005 | 21.71 | 21.47 | 9.15 | ||||||||||
SELECT CLASS SHARES | January 27, 1995 | 21.57 | 21.32 | 9.01 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable.
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.
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, 2014 | ||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 26.42% | |||
| Russell 2000 Index | 23.64% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 581,763 | ||
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) outperformed the Russell 2000 Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the software & services sector and the basic materials sector was the leading contributor to performance relative to the Benchmark, while security selection in the media and the real estate investment trust (REIT) sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Rite Aid Corp., Ubiquity Networks Inc. and Manhattan Associates Inc. Shares of Rite Aid Corp., a drugstore chain, rose as management shed underperforming stores and continued to execute on its turnaround efforts. Shares of Ubiquity, a communications technology company, gained from a string of quarterly earnings surprises, a strong balance sheet and substantial cash flow. Shares of Manhattan Associates, a supply-chain software maker, rose after the company raised its forecast for revenue and earnings.
Individual detractors from relative performance included the Fund’s positions in Republic Airways Holdings Inc., Cross Country Healthcare Inc. and Aegerion Pharmaceuticals Inc. Shares of Republic Airways, a U.S. regional airline, fell on investor concerns about the company’s growth prospects. Shares of Cross Country Healthcare, a provider of staffing services for the health care industry, slumped after the company missed analysts’ earnings estimates for several consecutive quarters. Shares of Aegerion, a drug maker focused on treatments of lipid (cholesterol) disorders, weakened after the company lowered its revenue forecast.
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. | Manhattan Associates, Inc. | 1.3 | % | |||||
| 2. | InterDigital, Inc. | 1.3 | ||||||
| 3. | Minerals Technologies, Inc. | 1.3 | ||||||
| 4. | Iconix Brand Group, Inc. | 1.2 | ||||||
| 5. | Rite Aid Corp. | 1.2 | ||||||
| 6. | Dana Holding Corp. | 1.2 | ||||||
| 7. | hhgregg, Inc. | 1.0 | ||||||
| 8. | AAR Corp. | 1.0 | ||||||
| 9. | Abraxas Petroleum Corp. | 1.0 | ||||||
| 10. | CYS Investments, Inc. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 20.7 | % | ||
| Information Technology | 17.1 | |||
| Industrials | 14.2 | |||
| Consumer Discretionary | 13.4 | |||
| Health Care | 12.9 | |||
| Energy | 6.6 | |||
| Consumer Staples | 3.6 | |||
| Materials | 3.5 | |||
| Utilities | 3.0 | |||
| Telecommunication Services | 1.1 | |||
| U.S. Treasury Obligation | 0.4 | |||
| Short-Term Investment | 3.5 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 1, 2007 | |||||||||||||
Without Sales Charge | 25.86 | % | 22.32 | % | 9.08 | % | ||||||||
With Sales Charge* | 19.25 | 21.02 | 8.50 | |||||||||||
CLASS C SHARES | November 1, 2007 | |||||||||||||
Without CDSC | 25.35 | 21.72 | 8.73 | |||||||||||
With CDSC** | 24.35 | 21.72 | 8.73 | |||||||||||
CLASS R2 SHARES | November 1, 2011 | 25.66 | 22.19 | 9.02 | ||||||||||
CLASS R6 SHARES | November 1, 2011 | 26.54 | 22.87 | 9.49 | ||||||||||
INSTITUTIONAL CLASS SHARES | November 4, 1993 | 26.42 | 22.82 | 9.47 | ||||||||||
SELECT CLASS SHARES | September 10, 2001 | 26.21 | 22.61 | 9.28 | ||||||||||
| * | 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 (6/30/04 To 6/30/14)
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 Class R2 Shares prior to their inception date are based on the performances of the Class A Shares from November 1, 2007 to October 31, 2011 and the performance of Select Class Shares prior to November 1, 2007. Returns for Class R6 Shares prior to their inception date are based on the performance of the Institutional Class 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 and Select Class 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, 2004 to June 30, 2014. 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, if applicable. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 14 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.3% | |||||||
Consumer Discretionary — 14.8% | ||||||||
Distributors — 0.9% | ||||||||
| 88 | Pool Corp. | 5,001 | ||||||
|
| |||||||
Diversified Consumer Services — 1.0% |
| |||||||
| 338 | 2U, Inc. (a) | 5,685 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
| 64 | Noodles & Co. (a) | 2,218 | ||||||
| 435 | Scientific Games Corp., Class A (a) | 4,839 | ||||||
|
| |||||||
| 7,057 | ||||||||
|
| |||||||
Household Durables — 1.0% | ||||||||
| 100 | La-Z-Boy, Inc. | 2,316 | ||||||
| 197 | TRI Pointe Homes, Inc. (a) | 3,091 | ||||||
|
| |||||||
| 5,407 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.1% | ||||||||
| 100 | Coupons.com, Inc. (a) | 2,622 | ||||||
| 136 | HomeAway, Inc. (a) | 4,728 | ||||||
| 165 | RetailMeNot, Inc. (a) | 4,379 | ||||||
|
| |||||||
| 11,729 | ||||||||
|
| |||||||
Media — 0.5% | ||||||||
| 395 | ReachLocal, Inc. (a) | 2,776 | ||||||
|
| |||||||
Specialty Retail — 4.8% | ||||||||
| 143 | Container Store Group, Inc. (The) (a) | 3,967 | ||||||
| 150 | Five Below, Inc. (a) | 5,997 | ||||||
| 258 | Francesca’s Holdings Corp. (a) | 3,802 | ||||||
| 47 | Lithia Motors, Inc., Class A | 4,413 | ||||||
| 53 | Lumber Liquidators Holdings, Inc. (a) | 3,995 | ||||||
| 93 | Penske Automotive Group, Inc. | 4,606 | ||||||
|
| |||||||
| 26,780 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.3% |
| |||||||
| 83 | Movado Group, Inc. | 3,460 | ||||||
| 78 | Skechers U.S.A., Inc., Class A (a) | 3,578 | ||||||
| 241 | Vera Bradley, Inc. (a) | 5,265 | ||||||
| 67 | Vince Holding Corp. (a) | 2,443 | ||||||
| 149 | Wolverine World Wide, Inc. | 3,886 | ||||||
|
| |||||||
| 18,632 | ||||||||
|
| |||||||
Total Consumer Discretionary | 83,067 | |||||||
|
| |||||||
Consumer Staples — 0.1% | ||||||||
Food & Staples Retailing — 0.1% | ||||||||
| 47 | Fairway Group Holdings Corp. (a) | 315 | ||||||
|
| |||||||
Energy — 5.9% | ||||||||
Energy Equipment & Services — 2.4% | ||||||||
| 66 | Dril-Quip, Inc. (a) | 7,173 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued |
| |||||||
| 165 | Forum Energy Technologies, Inc. (a) | 6,018 | ||||||
|
| |||||||
| 13,191 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.5% |
| |||||||
| 132 | Delek U.S. Holdings, Inc. | 3,725 | ||||||
| 110 | Eclipse Resources Corp. (a) | 2,774 | ||||||
| 227 | Laredo Petroleum Holdings, Inc. (a) | 7,028 | ||||||
| 109 | Oasis Petroleum, Inc. (a) | 6,116 | ||||||
|
| |||||||
| 19,643 | ||||||||
|
| |||||||
Total Energy | 32,834 | |||||||
|
| |||||||
Financials — 8.2% | ||||||||
Banks — 0.9% | ||||||||
| 41 | Signature Bank (a) | 5,195 | ||||||
|
| |||||||
Capital Markets — 2.9% | ||||||||
| 92 | Cohen & Steers, Inc. | 3,972 | ||||||
| 124 | Financial Engines, Inc. | 5,623 | ||||||
| 148 | FXCM, Inc., Class A | 2,207 | ||||||
| 379 | PennantPark Investment Corp. | 4,338 | ||||||
|
| |||||||
| 16,140 | ||||||||
|
| |||||||
Insurance — 0.5% | ||||||||
| 75 | AmTrust Financial Services, Inc. | 3,157 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.0% |
| |||||||
| 159 | CubeSmart | 2,913 | ||||||
| 43 | EastGroup Properties, Inc. | 2,730 | ||||||
| 269 | Glimcher Realty Trust | 2,912 | ||||||
| 65 | Highwoods Properties, Inc. | 2,730 | ||||||
|
| |||||||
| 11,285 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
| 147 | RE/MAX Holdings, Inc., Class A | 4,358 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% | ||||||||
| 83 | BofI Holding, Inc. (a) | 6,091 | ||||||
|
| |||||||
Total Financials | 46,226 | |||||||
|
| |||||||
Health Care — 22.8% | ||||||||
Biotechnology — 9.2% | ||||||||
| 138 | ACADIA Pharmaceuticals, Inc. (a) | 3,122 | ||||||
| 74 | Acceleron Pharma, Inc. (a) | 2,513 | ||||||
| 69 | Aegerion Pharmaceuticals, Inc. (a) | 2,224 | ||||||
| 160 | Arrowhead Research Corp. (a) | 2,288 | ||||||
| 161 | Chimerix, Inc. (a) | 3,540 | ||||||
| 208 | Exact Sciences Corp. (a) | 3,539 | ||||||
| 342 | Halozyme Therapeutics, Inc. (a) | 3,382 | ||||||
| 212 | Ignyta, Inc. (a) | 1,928 | ||||||
| 192 | Insmed, Inc. (a) | 3,836 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Dynamic Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Biotechnology — continued | ||||||||
| 109 | InterMune, Inc. (a) | 4,791 | ||||||
| 94 | Intrexon Corp. (a) | 2,363 | ||||||
| 36 | Isis Pharmaceuticals, Inc. (a) | 1,231 | ||||||
| 195 | Keryx Biopharmaceuticals, Inc. (a) | 2,996 | ||||||
| 58 | Kite Pharma, Inc. (a) | 1,677 | ||||||
| 114 | Portola Pharmaceuticals, Inc. (a) | 3,319 | ||||||
| 39 | Puma Biotechnology, Inc. (a) | 2,580 | ||||||
| 66 | Receptos, Inc. (a) | 2,807 | ||||||
| 423 | Threshold Pharmaceuticals, Inc. (a) | 1,676 | ||||||
| 64 | Versartis, Inc. (a) | 1,791 | ||||||
|
| |||||||
| 51,603 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.9% |
| |||||||
| 352 | GenMark Diagnostics, Inc. (a) | 4,765 | ||||||
| 203 | Insulet Corp. (a) | 8,065 | ||||||
| 133 | K2M Group Holdings, Inc. (a) | 1,977 | ||||||
| 435 | Novadaq Technologies, Inc., (Canada) (a) | 7,163 | ||||||
| 401 | Syneron Medical Ltd., (Israel) (a) | 4,133 | ||||||
| 146 | Tandem Diabetes Care, Inc. (a) | 2,381 | ||||||
| 1,632 | Unilife Corp. (a) | 4,832 | ||||||
|
| |||||||
| 33,316 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.2% |
| |||||||
| 169 | Acadia Healthcare Co., Inc. (a) | 7,706 | ||||||
| 135 | Surgical Care Affiliates, Inc. (a) | 3,931 | ||||||
| 85 | WellCare Health Plans, Inc. (a) | 6,330 | ||||||
|
| |||||||
| 17,967 | ||||||||
|
| |||||||
Health Care Technology — 0.9% | ||||||||
| 196 | Veeva Systems, Inc., Class A (a) | 4,984 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.9% |
| |||||||
| 174 | Bruker Corp. (a) | 4,229 | ||||||
| 216 | Fluidigm Corp. (a) | 6,356 | ||||||
|
| |||||||
| 10,585 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% | ||||||||
| 295 | Nektar Therapeutics (a) | 3,783 | ||||||
| 73 | Revance Therapeutics, Inc. (a) | 2,479 | ||||||
| 119 | Sagent Pharmaceuticals, Inc. (a) | 3,086 | ||||||
|
| |||||||
| 9,348 | ||||||||
|
| |||||||
Total Health Care | 127,803 | |||||||
|
| |||||||
Industrials — 22.2% | ||||||||
Aerospace & Defense — 1.9% | ||||||||
| 123 | HEICO Corp. | 6,400 | ||||||
| 104 | Hexcel Corp. (a) | 4,261 | ||||||
|
| |||||||
| 10,661 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Air Freight & Logistics — 0.9% | ||||||||
| 166 | XPO Logistics, Inc. (a) | 4,764 | ||||||
|
| |||||||
Airlines — 1.0% | ||||||||
| 85 | Spirit Airlines, Inc. (a) | 5,349 | ||||||
|
| |||||||
Building Products — 2.5% | ||||||||
| 190 | Fortune Brands Home & Security, Inc. | 7,567 | ||||||
| 225 | Trex Co., Inc. (a) | 6,490 | ||||||
|
| |||||||
| 14,057 | ||||||||
|
| |||||||
Electrical Equipment — 3.3% | ||||||||
| 84 | Acuity Brands, Inc. | 11,658 | ||||||
| 102 | Generac Holdings, Inc. (a) | 4,962 | ||||||
| 200 | TCP International Holdings Ltd., (Switzerland) (a) | 2,053 | ||||||
|
| |||||||
| 18,673 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% | ||||||||
| 80 | Carlisle Cos., Inc. | 6,953 | ||||||
|
| |||||||
Machinery — 3.1% | ||||||||
| 89 | Graco, Inc. | 6,966 | ||||||
| 127 | Middleby Corp. (The) (a) | 10,494 | ||||||
|
| |||||||
| 17,460 | ||||||||
|
| |||||||
Marine — 1.3% | ||||||||
| 62 | Kirby Corp. (a) | 7,227 | ||||||
|
| |||||||
Road & Rail — 2.4% | ||||||||
| 190 | Marten Transport Ltd. | 4,250 | ||||||
| 145 | Old Dominion Freight Line, Inc. (a) | 9,241 | ||||||
|
| |||||||
| 13,491 | ||||||||
|
| |||||||
Trading Companies & Distributors — 4.6% |
| |||||||
| 44 | DXP Enterprises, Inc. (a) | 3,350 | ||||||
| 62 | MSC Industrial Direct Co., Inc., Class A | 5,883 | ||||||
| 232 | Rush Enterprises, Inc., Class A (a) | 8,045 | ||||||
| 82 | Watsco, Inc. | 8,441 | ||||||
|
| |||||||
| 25,719 | ||||||||
|
| |||||||
Total Industrials | 124,354 | |||||||
|
| |||||||
Information Technology — 22.8% | ||||||||
Communications Equipment — 3.8% | ||||||||
| 271 | Aruba Networks, Inc. (a) | 4,752 | ||||||
| 232 | Ciena Corp. (a) | 5,015 | ||||||
| 387 | Infinera Corp. (a) | 3,564 | ||||||
| 52 | Palo Alto Networks, Inc. (a) | 4,365 | ||||||
| 286 | Ruckus Wireless, Inc. (a) | 3,407 | ||||||
|
| |||||||
| 21,103 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
| 48 | FEI Co. | 4,392 | ||||||
|
| |||||||
Internet Software & Services — 9.1% | ||||||||
| 126 | ChannelAdvisor Corp. (a) | 3,327 | ||||||
| 117 | Cornerstone OnDemand, Inc. (a) | 5,391 | ||||||
| 40 | CoStar Group, Inc. (a) | 6,366 | ||||||
| 119 | Dealertrack Technologies, Inc. (a) | 5,409 | ||||||
| 75 | Demandware, Inc. (a) | 5,230 | ||||||
| 183 | Envestnet, Inc. (a) | 8,975 | ||||||
| 124 | Marketo, Inc. (a) | 3,611 | ||||||
| 53 | OpenTable, Inc. (a) | 5,486 | ||||||
| 153 | Trulia, Inc. (a) | 7,268 | ||||||
|
| |||||||
| 51,063 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 99 | Cavium, Inc. (a) | 4,895 | ||||||
| 404 | Inphi Corp. (a) | 5,938 | ||||||
| 123 | Monolithic Power Systems, Inc. | 5,208 | ||||||
|
| |||||||
| 16,041 | ||||||||
|
| |||||||
Software — 5.4% |
| |||||||
| 257 | A10 Networks, Inc. (a) | 3,413 | ||||||
| 104 | CommVault Systems, Inc. (a) | 5,122 | ||||||
| 192 | Fortinet, Inc. (a) | 4,828 | ||||||
| 303 | Gigamon, Inc. (a) | 5,808 | ||||||
| 119 | Guidewire Software, Inc. (a) | 4,849 | ||||||
| 86 | Imperva, Inc. (a) | 2,247 | ||||||
| 55 | Tableau Software, Inc., Class A (a) | 3,923 | ||||||
|
| |||||||
| 30,190 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 0.9% |
| |||||||
| 164 | Nimble Storage, Inc. (a) | 5,048 | ||||||
|
| |||||||
Total Information Technology | 127,837 | |||||||
|
| |||||||
Materials — 0.5% |
| |||||||
Construction Materials — 0.5% |
| |||||||
| 28 | Eagle Materials, Inc. | 2,676 | ||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
Wireless Telecommunication Services — 1.0% |
| |||||||
| 311 | Boingo Wireless, Inc. (a) | 2,123 | ||||||
| 222 | RingCentral, Inc., Class A (a) | 3,353 | ||||||
|
| |||||||
Total Telecommunication Services | 5,476 | |||||||
|
| |||||||
Total Common Stocks | 550,588 | |||||||
|
| |||||||
| Short-Term Investment — 1.2% |
| ||||||
Investment Company — 1.2% |
| |||||||
| 6,614 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 6,614 | ||||||
|
| |||||||
Total Investments — 99.5% | 557,202 | |||||||
Other Assets in Excess of | 2,822 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 560,024 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.5% |
| ||||||
Consumer Discretionary — 13.5% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 28 | Standard Motor Products, Inc. | 1,233 | ||||||
| 56 | Stoneridge, Inc. (a) | 600 | ||||||
| 213 | Tower International, Inc. (a) | 7,847 | ||||||
|
| |||||||
| 9,680 | ||||||||
|
| |||||||
Distributors — 0.3% | ||||||||
| 40 | Core-Mark Holding Co., Inc. | 1,807 | ||||||
| 9 | VOXX International Corp. (a) | 85 | ||||||
|
| |||||||
| 1,892 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.6% | ||||||||
| 79 | 2U, Inc. (a) | 1,328 | ||||||
| 9 | Capella Education Co. | 506 | ||||||
| 110 | Chegg, Inc. (a) | 776 | ||||||
| 18 | ITT Educational Services, Inc. (a) | 307 | ||||||
| 60 | ServiceMaster Global Holdings, Inc. (a) | 1,097 | ||||||
|
| |||||||
| 4,014 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.4% | ||||||||
| 33 | Einstein Noah Restaurant Group, Inc. | 535 | ||||||
| 61 | Jack in the Box, Inc. | 3,650 | ||||||
| 24 | La Quinta Holdings, Inc. (a) | 450 | ||||||
| 179 | Ruth’s Hospitality Group, Inc. | 2,213 | ||||||
| 116 | Sonic Corp. (a) | 2,562 | ||||||
| 15 | Zoe’s Kitchen, Inc. (a) | 512 | ||||||
|
| |||||||
| 9,922 | ||||||||
|
| |||||||
Household Durables — 2.0% |
| |||||||
| 37 | Century Communities, Inc. (a) | 824 | ||||||
| 19 | GoPro, Inc., Class A (a) | 758 | ||||||
| 95 | Helen of Troy Ltd., (Bermuda) (a) | 5,766 | ||||||
| 20 | Jarden Corp. (a) | 1,163 | ||||||
| 68 | KB Home | 1,278 | ||||||
| 14 | Libbey, Inc. (a) | 370 | ||||||
| 50 | Lifetime Brands, Inc. | 778 | ||||||
| 10 | NACCO Industries, Inc., Class A | 491 | ||||||
| 140 | Skullcandy, Inc. (a) | 1,016 | ||||||
| 15 | Turtle Beach Corp. (a) | 135 | ||||||
| 36 | Universal Electronics, Inc. (a) | 1,755 | ||||||
|
| |||||||
| 14,334 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% |
| |||||||
| 15 | Coupons.com, Inc. (a) | 405 | ||||||
|
| |||||||
Leisure Products — 0.0% (g) |
| |||||||
| 14 | Nautilus, Inc. (a) | 155 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — 1.4% | ||||||||
| 15 | AMC Entertainment Holdings, Inc., Class A (m) | 383 | ||||||
| 244 | E.W. Scripps Co. (The), Class A (a) | 5,169 | ||||||
| 33 | Entercom Communications Corp., Class A (a) | 357 | ||||||
| 74 | Gray Television, Inc. (a) | 976 | ||||||
| 86 | Journal Communications, Inc., Class A (a) | 765 | ||||||
| 12 | Live Nation Entertainment, Inc. (a) | 296 | ||||||
| 63 | Markit Ltd., (United Kingdom) (a) | 1,703 | ||||||
| 16 | Sinclair Broadcast Group, Inc., Class A | 570 | ||||||
|
| |||||||
| 10,219 | ||||||||
|
| |||||||
Multiline Retail — 0.7% | ||||||||
| 43 | Dillard’s, Inc., Class A | 5,014 | ||||||
|
| |||||||
Specialty Retail — 4.1% | ||||||||
| 320 | Barnes & Noble, Inc. (a) | 7,286 | ||||||
| 107 | Brown Shoe Co., Inc. | 3,061 | ||||||
| 69 | Cato Corp. (The), Class A | 2,135 | ||||||
| 9 | Children’s Place, Inc. (The) | 457 | ||||||
| 30 | Destination Maternity Corp. | 692 | ||||||
| 207 | Express, Inc. (a) | 3,520 | ||||||
| 69 | Lithia Motors, Inc., Class A | 6,444 | ||||||
| 25 | Michaels Cos., Inc. (The) (a) | 420 | ||||||
| 671 | Office Depot, Inc. (a) | 3,816 | ||||||
| 14 | Outerwall, Inc. (a) | 819 | ||||||
| 32 | Systemax, Inc. (a) | 464 | ||||||
|
| |||||||
| 29,114 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.5% | ||||||||
| 60 | G-III Apparel Group Ltd. (a) | 4,875 | ||||||
| 125 | Iconix Brand Group, Inc. (a) | 5,372 | ||||||
| 14 | RG Barry Corp. | 265 | ||||||
|
| |||||||
| 10,512 | ||||||||
|
| |||||||
Total Consumer Discretionary | 95,261 | |||||||
|
| |||||||
Consumer Staples — 4.1% |
| |||||||
Food & Staples Retailing — 1.9% |
| |||||||
| 66 | Andersons, Inc. (The) | 3,404 | ||||||
| 731 | Rite Aid Corp. (a) | 5,244 | ||||||
| 183 | Roundy’s, Inc. | 1,008 | ||||||
| 193 | SpartanNash Co. | 4,054 | ||||||
|
| |||||||
| 13,710 | ||||||||
|
| |||||||
Food Products — 1.8% | ||||||||
| 371 | Chiquita Brands International, Inc. (a) | 4,028 | ||||||
| 184 | Pilgrim’s Pride Corp. (a) | 5,037 | ||||||
| 53 | Pinnacle Foods, Inc. | 1,734 | ||||||
| 17 | Sanderson Farms, Inc. | 1,633 | ||||||
|
| |||||||
| 12,432 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Personal Products — 0.4% |
| |||||||
| 28 | Revlon, Inc., Class A (a) | 842 | ||||||
| 22 | USANA Health Sciences, Inc. (a) | 1,695 | ||||||
|
| |||||||
| 2,537 | ||||||||
|
| |||||||
Total Consumer Staples | 28,679 | |||||||
|
| |||||||
Energy — 7.0% |
| |||||||
Energy Equipment & Services — 2.1% |
| |||||||
| 57 | C&J Energy Services, Inc. (a) | 1,912 | ||||||
| 50 | Dawson Geophysical Co. | 1,424 | ||||||
| 62 | Forum Energy Technologies, Inc. (a) | 2,262 | ||||||
| 63 | Helix Energy Solutions Group, Inc. (a) | 1,655 | ||||||
| 69 | Matrix Service Co. (a) | 2,259 | ||||||
| 16 | Pioneer Energy Services Corp. (a) | 286 | ||||||
| 66 | Superior Energy Services, Inc. | 2,387 | ||||||
| 122 | Tesco Corp. | 2,606 | ||||||
|
| |||||||
| 14,791 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.9% |
| |||||||
| 71 | Carrizo Oil & Gas, Inc. (a) | 4,925 | ||||||
| 65 | Delek U.S. Holdings, Inc. | 1,832 | ||||||
| 30 | Energy XXI Bermuda Ltd., (Bermuda) | 703 | ||||||
| 49 | Equal Energy Ltd. | 265 | ||||||
| 150 | Green Plains, Inc. | 4,940 | ||||||
| 16 | Memorial Resource Development Corp. (a) | 392 | ||||||
| 103 | Pacific Ethanol, Inc. (a) | 1,569 | ||||||
| 8 | Parsley Energy, Inc., Class A (a) | 188 | ||||||
| 289 | Renewable Energy Group, Inc. (a) | 3,315 | ||||||
| 13 | REX American Resources Corp. (a) | 916 | ||||||
| 16 | Ring Energy, Inc. (a) | 281 | ||||||
| 10 | SemGroup Corp., Class A | 796 | ||||||
| 49 | Stone Energy Corp. (a) | 2,269 | ||||||
| 19 | TransAtlantic Petroleum Ltd. (a) | 212 | ||||||
| 174 | VAALCO Energy, Inc. (a) | 1,257 | ||||||
| 1,140 | Warren Resources, Inc. (a) | 7,069 | ||||||
| 69 | Western Refining, Inc. | 2,595 | ||||||
| 14 | Westmoreland Coal Co. (a) | 522 | ||||||
| 15 | World Fuel Services Corp. | 734 | ||||||
|
| |||||||
| 34,780 | ||||||||
|
| |||||||
Total Energy | 49,571 | |||||||
|
| |||||||
Financials — 21.9% |
| |||||||
Banks — 7.1% |
| |||||||
| 18 | Banco Latinoamericano de Comercio Exterior S.A., (Panama), Class E | 534 | ||||||
| 68 | BBCN Bancorp, Inc. | 1,091 | ||||||
| 15 | BNC Bancorp | 260 | ||||||
| 7 | Bridge Bancorp, Inc. | 168 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 40 | Cathay General Bancorp | 1,025 | ||||||
| 23 | Citizens & Northern Corp. | 450 | ||||||
| 9 | Community Trust Bancorp, Inc. | 298 | ||||||
| 3 | ConnectOne Bancorp, Inc. (a) | 160 | ||||||
| 136 | Customers Bancorp, Inc. (a) | 2,712 | ||||||
| 170 | East West Bancorp, Inc. | 5,962 | ||||||
| 17 | Fidelity Southern Corp. | 220 | ||||||
| 25 | Financial Institutions, Inc. | 574 | ||||||
| 315 | First BanCorp, (Puerto Rico) (a) | 1,713 | ||||||
| 9 | First Business Financial Services, Inc. | 405 | ||||||
| 120 | First Commonwealth Financial Corp. | 1,106 | ||||||
| 29 | First Community Bancshares, Inc. | 421 | ||||||
| 28 | First Financial Bancorp | 482 | ||||||
| 23 | First Merchants Corp. | 478 | ||||||
| 46 | First NBC Bank Holding Co. (a) | 1,548 | ||||||
| 174 | FirstMerit Corp. | 3,442 | ||||||
| 175 | Hanmi Financial Corp. | 3,695 | ||||||
| 23 | Huntington Bancshares, Inc. | 221 | ||||||
| 6 | Iberiabank Corp. | 388 | ||||||
| 21 | MainSource Financial Group, Inc. | 362 | ||||||
| 5 | National Bankshares, Inc. | 142 | ||||||
| 15 | NBT Bancorp, Inc. | 365 | ||||||
| 9 | Park Sterling Corp. | 57 | ||||||
| 8 | Peoples Bancorp, Inc. | 198 | ||||||
| 4 | Peoples Financial Services Corp. | 206 | ||||||
| 50 | Pinnacle Financial Partners, Inc. | 1,970 | ||||||
| 204 | Popular, Inc., (Puerto Rico) (a) | 6,956 | ||||||
| 41 | Preferred Bank (a) | 957 | ||||||
| 25 | PrivateBancorp, Inc. | 738 | ||||||
| 8 | Prosperity Bancshares, Inc. | 482 | ||||||
| 29 | Sierra Bancorp | 450 | ||||||
| 76 | Southwest Bancorp, Inc. | 1,302 | ||||||
| 10 | Square 1 Financial, Inc., Class A (a) | 188 | ||||||
| 70 | Susquehanna Bancshares, Inc. | 739 | ||||||
| 8 | SVB Financial Group (a) | 921 | ||||||
| 18 | Texas Capital Bancshares, Inc. (a) | 987 | ||||||
| 52 | Tristate Capital Holdings, Inc. (a) | 733 | ||||||
| 14 | WesBanco, Inc. | 425 | ||||||
| 22 | West Bancorporation, Inc. | 327 | ||||||
| 345 | Wilshire Bancorp, Inc. | 3,538 | ||||||
| 10 | Yadkin Financial Corp. (a) | 187 | ||||||
|
| |||||||
| 49,583 | ||||||||
|
| |||||||
Capital Markets — 1.3% |
| |||||||
| 18 | Arlington Asset Investment Corp., Class A | 478 | ||||||
| 315 | BGC Partners, Inc., Class A | 2,341 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Capital Markets — continued |
| |||||||
| 114 | Cowen Group, Inc., Class A (a) | 481 | ||||||
| 159 | Investment Technology Group, Inc. (a) | 2,681 | ||||||
| 96 | Ladenburg Thalmann Financial Services, Inc. (a) | 302 | ||||||
| 70 | Manning & Napier, Inc. | 1,213 | ||||||
| 27 | Moelis & Co. (a) | 904 | ||||||
| 20 | Piper Jaffray Cos. (a) | 1,056 | ||||||
|
| |||||||
| 9,456 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
| 88 | Cash America International, Inc. | 3,928 | ||||||
| 49 | Encore Capital Group, Inc. (a) | 2,216 | ||||||
| 294 | Green Dot Corp., Class A (a) | 5,588 | ||||||
| 33 | JGWPT Holdings, Inc., Class A (a) | 374 | ||||||
| 39 | Nelnet, Inc., Class A | 1,599 | ||||||
| 18 | Regional Management Corp. (a) | 272 | ||||||
|
| |||||||
| 13,977 | ||||||||
|
| |||||||
Insurance — 2.6% |
| |||||||
| 204 | American Equity Investment Life Holding Co. | 5,023 | ||||||
| 38 | Aspen Insurance Holdings Ltd., (Bermuda) | 1,717 | ||||||
| 257 | CNO Financial Group, Inc. | 4,580 | ||||||
| 13 | Crawford & Co., Class B | 133 | ||||||
| 10 | Federated National Holding Co. | 265 | ||||||
| 32 | HCI Group, Inc. | 1,287 | ||||||
| 69 | Hilltop Holdings, Inc. (a) | 1,465 | ||||||
| 9 | Horace Mann Educators Corp. | 278 | ||||||
| 69 | Maiden Holdings Ltd., (Bermuda) | 833 | ||||||
| 7 | Montpelier Re Holdings Ltd., (Bermuda) | 227 | ||||||
| 18 | Selective Insurance Group, Inc. | 455 | ||||||
| 8 | Stewart Information Services Corp. | 236 | ||||||
| 33 | Symetra Financial Corp. | 760 | ||||||
| 20 | United Fire Group, Inc. | 592 | ||||||
| 6 | Validus Holdings Ltd., (Bermuda) | 232 | ||||||
|
| |||||||
| 18,083 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.9% | ||||||||
| 5 | Agree Realty Corp. (m) | 154 | ||||||
| 23 | American Campus Communities, Inc. | 868 | ||||||
| 487 | Anworth Mortgage Asset Corp. | 2,515 | ||||||
| 21 | Ashford Hospitality Prime, Inc. | 357 | ||||||
| 353 | Ashford Hospitality Trust, Inc. | 4,076 | ||||||
| 357 | Capstead Mortgage Corp. | 4,697 | ||||||
| 46 | Chatham Lodging Trust | 1,012 | ||||||
| 40 | Chesapeake Lodging Trust | 1,206 | ||||||
| 60 | CoreSite Realty Corp. | 1,978 | ||||||
| 133 | Cousins Properties, Inc. | 1,650 | ||||||
| 150 | DCT Industrial Trust, Inc. | 1,228 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 49 | DDR Corp. | 860 | ||||||
| 16 | EastGroup Properties, Inc. | 1,053 | ||||||
| 121 | Education Realty Trust, Inc. | 1,298 | ||||||
| 219 | First Industrial Realty Trust, Inc. | 4,120 | ||||||
| 16 | Franklin Street Properties Corp. | 203 | ||||||
| 84 | Geo Group, Inc. (The) | 2,991 | ||||||
| 44 | Glimcher Realty Trust | 481 | ||||||
| 8 | Home Properties, Inc. | 505 | ||||||
| 32 | LaSalle Hotel Properties | 1,129 | ||||||
| 20 | LTC Properties, Inc. | 789 | ||||||
| 6 | Mid-America Apartment Communities, Inc. | 448 | ||||||
| 16 | Parkway Properties, Inc. | 339 | ||||||
| 40 | Pebblebrook Hotel Trust | 1,475 | ||||||
| 57 | Pennsylvania Real Estate Investment Trust | 1,075 | ||||||
| 100 | PennyMac Mortgage Investment Trust | 2,187 | ||||||
| 110 | Potlatch Corp. | 4,558 | ||||||
| 18 | PS Business Parks, Inc. | 1,528 | ||||||
| 84 | RAIT Financial Trust | 691 | ||||||
| 15 | Ramco-Gershenson Properties Trust | 241 | ||||||
| 104 | Redwood Trust, Inc. | 2,023 | ||||||
| 108 | RLJ Lodging Trust | 3,117 | ||||||
| 160 | Strategic Hotels & Resorts, Inc. (a) | 1,877 | ||||||
| 7 | Sun Communities, Inc. | 369 | ||||||
| 185 | Sunstone Hotel Investors, Inc. | 2,756 | ||||||
|
| |||||||
| 55,854 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
| — | (h) | Altisource Asset Management Corp., (Virgin Islands, U.S.) (a) | 144 | |||||
|
| |||||||
Thrifts & Mortgage Finance — 1.0% |
| |||||||
| 12 | BofI Holding, Inc. (a) | 874 | ||||||
| 103 | Flagstar Bancorp, Inc. (a) | 1,857 | ||||||
| 31 | HomeStreet, Inc. | 564 | ||||||
| 15 | OceanFirst Financial Corp. | 244 | ||||||
| 65 | Ocwen Financial Corp. (a) | 2,393 | ||||||
| 43 | Walker & Dunlop, Inc. (a) | 611 | ||||||
| 9 | Washington Federal, Inc. | 206 | ||||||
|
| |||||||
| 6,749 | ||||||||
|
| |||||||
Total Financials | 153,846 | |||||||
|
| |||||||
Health Care — 11.8% |
| |||||||
Biotechnology — 3.9% |
| |||||||
| 28 | Acceleron Pharma, Inc. (a) (m) | 938 | ||||||
| 6 | Adamas Pharmaceuticals, Inc. (a) (m) | 108 | ||||||
| 3 | Agios Pharmaceuticals, Inc. (a) (m) | 151 | ||||||
| 24 | Alnylam Pharmaceuticals, Inc. (a) (m) | 1,522 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 10 | Applied Genetic Technologies Corp. (a) | 238 | ||||||
| 33 | Ardelyx, Inc. (a) | 522 | ||||||
| 185 | ARIAD Pharmaceuticals, Inc. (a) | 1,177 | ||||||
| 63 | Auspex Pharmaceuticals, Inc. (a) | 1,405 | ||||||
| 37 | Cara Therapeutics, Inc. (a) | 625 | ||||||
| 53 | Celladon Corp. (a) | 844 | ||||||
| 172 | Celldex Therapeutics, Inc. (a) | 2,802 | ||||||
| 44 | Cerulean Pharma, Inc. (a) | 254 | ||||||
| 78 | Dicerna Pharmaceuticals, Inc. (a) | 1,761 | ||||||
| 32 | Eleven Biotherapeutics, Inc. (a) | 418 | ||||||
| 33 | Flexion Therapeutics, Inc. (a) | 446 | ||||||
| 3 | Intercept Pharmaceuticals, Inc. (a) | 686 | ||||||
| 27 | InterMune, Inc. (a) | 1,174 | ||||||
| 28 | Isis Pharmaceuticals, Inc. (a) | 947 | ||||||
| 7 | Karyopharm Therapeutics, Inc. (a) | 331 | ||||||
| 67 | Kindred Biosciences, Inc. (a) | 1,242 | ||||||
| 15 | Kite Pharma, Inc. (a) | 419 | ||||||
| 20 | MacroGenics, Inc. (a) | 430 | ||||||
| 45 | NPS Pharmaceuticals, Inc. (a) | 1,487 | ||||||
| 7 | Ophthotech Corp. (a) | 300 | ||||||
| 39 | Synageva BioPharma Corp. (a) | 4,108 | ||||||
| 279 | Threshold Pharmaceuticals, Inc. (a) | 1,105 | ||||||
| 63 | Trevena, Inc. (a) | 355 | ||||||
| 29 | Ultragenyx Pharmaceutical, Inc. (a) | 1,311 | ||||||
| 14 | Zafgen, Inc. (a) | 271 | ||||||
|
| |||||||
| 27,377 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.9% |
| |||||||
| 143 | Greatbatch, Inc. (a) | 7,035 | ||||||
| 16 | Inogen, Inc. (a) | 350 | ||||||
| 71 | Insulet Corp. (a) | 2,801 | ||||||
| 23 | K2M Group Holdings, Inc. (a) | 339 | ||||||
| 194 | NuVasive, Inc. (a) | 6,908 | ||||||
| 54 | Orthofix International N.V., (Curacao) (a) | 1,972 | ||||||
| 24 | PhotoMedex, Inc. (a) | 290 | ||||||
| 55 | TransEnterix, Inc. (a) | 275 | ||||||
| 32 | TriVascular Technologies, Inc. (a) | 497 | ||||||
|
| |||||||
| 20,467 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
| 30 | Adeptus Health, Inc., Class A (a) (m) | 769 | ||||||
| 69 | Amsurg Corp. (a) | 3,164 | ||||||
| 19 | BioTelemetry, Inc. (a) | 136 | ||||||
| 33 | Centene Corp. (a) | 2,465 | ||||||
| 373 | Cross Country Healthcare, Inc. (a) | 2,434 | ||||||
| 60 | Kindred Healthcare, Inc. | 1,386 | ||||||
| 90 | Molina Healthcare, Inc. (a) | 4,030 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — continued |
| |||||||
| 52 | Owens & Minor, Inc. | 1,750 | ||||||
| 34 | RadNet, Inc. (a) | 226 | ||||||
| 51 | Select Medical Holdings Corp. | 788 | ||||||
|
| |||||||
| 17,148 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 16 | Castlight Health, Inc., Class B (a) | 248 | ||||||
| 30 | Imprivata, Inc. (a) | 498 | ||||||
|
| |||||||
| 746 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.3% |
| |||||||
| 17 | Furiex Pharmaceuticals, Inc. (a) | 1,773 | ||||||
|
| |||||||
Pharmaceuticals — 2.2% |
| |||||||
| 8 | Achaogen, Inc. (a) (m) | 105 | ||||||
| 82 | Amphastar Pharmaceuticals, Inc. (a) | 817 | ||||||
| 18 | Egalet Corp. (a) | 240 | ||||||
| 77 | Impax Laboratories, Inc. (a) | 2,321 | ||||||
| 24 | Jazz Pharmaceuticals plc (a) | 3,558 | ||||||
| 47 | Lannett Co., Inc. (a) | 2,307 | ||||||
| 66 | Medicines Co. (The) (a) | 1,921 | ||||||
| 30 | Phibro Animal Health Corp., Class A (a) | 661 | ||||||
| 19 | Questcor Pharmaceuticals, Inc. | 1,794 | ||||||
| 42 | Revance Therapeutics, Inc. (a) | 1,424 | ||||||
| 8 | ZS Pharma, Inc. (a) | 233 | ||||||
|
| |||||||
| 15,381 | ||||||||
|
| |||||||
Total Health Care | 82,892 | |||||||
|
| |||||||
Industrials — 14.3% |
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
| 83 | AAR Corp. (m) | 2,282 | ||||||
| 7 | Curtiss-Wright Corp. | 433 | ||||||
| 133 | Engility Holdings, Inc. (a) | 5,104 | ||||||
| 28 | Esterline Technologies Corp. (a) | 3,269 | ||||||
| 3 | Triumph Group, Inc. | 202 | ||||||
|
| |||||||
| 11,290 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.3% | ||||||||
| 20 | Atlas Air Worldwide Holdings, Inc. (a) | 752 | ||||||
| 19 | Park-Ohio Holdings Corp. | 1,115 | ||||||
|
| |||||||
| 1,867 | ||||||||
|
| |||||||
Airlines — 1.1% | ||||||||
| 58 | Alaska Air Group, Inc. (m) | 5,532 | ||||||
| 123 | Hawaiian Holdings, Inc. (a) | 1,692 | ||||||
| 70 | SkyWest, Inc. | 860 | ||||||
|
| |||||||
| 8,084 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Building Products — 0.1% | ||||||||
| 47 | Gibraltar Industries, Inc. (a) | 730 | ||||||
|
| |||||||
Commercial Services & Supplies — 3.8% | ||||||||
| 172 | ABM Industries, Inc. (m) | 4,641 | ||||||
| 85 | ARC Document Solutions, Inc. (a) (m) | 499 | ||||||
| 66 | Brady Corp., Class A | 1,960 | ||||||
| 38 | Ceco Environmental Corp. | 594 | ||||||
| 440 | Cenveo, Inc. (a) | 1,631 | ||||||
| 131 | Deluxe Corp. | 7,668 | ||||||
| 13 | Herman Miller, Inc. | 399 | ||||||
| 208 | Kimball International, Inc., Class B | 3,473 | ||||||
| 60 | Knoll, Inc. | 1,045 | ||||||
| 150 | Steelcase, Inc., Class A | 2,276 | ||||||
| 6 | UniFirst Corp. | 678 | ||||||
| 21 | United Stationers, Inc. | 858 | ||||||
| 30 | Viad Corp. | 713 | ||||||
|
| |||||||
| 26,435 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% | ||||||||
| 13 | Argan, Inc. | 492 | ||||||
| 56 | EMCOR Group, Inc. | 2,507 | ||||||
| 80 | Tutor Perini Corp. (a) | 2,537 | ||||||
|
| |||||||
| 5,536 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% | ||||||||
| 22 | Acuity Brands, Inc. (m) | 3,097 | ||||||
| 37 | EnerSys | 2,531 | ||||||
| 31 | Generac Holdings, Inc. (a) | 1,516 | ||||||
| 7 | LSI Industries, Inc. | 54 | ||||||
| 17 | Regal-Beloit Corp. | 1,336 | ||||||
|
| |||||||
| 8,534 | ||||||||
|
| |||||||
Machinery — 2.6% | ||||||||
| 30 | Barnes Group, Inc. | 1,137 | ||||||
| 25 | Columbus McKinnon Corp. | 663 | ||||||
| 80 | Federal Signal Corp. | 1,166 | ||||||
| 59 | Global Brass & Copper Holdings, Inc. | 1,001 | ||||||
| 20 | Hyster-Yale Materials Handling, Inc. | 1,753 | ||||||
| 38 | Kadant, Inc. | 1,453 | ||||||
| 28 | LB Foster Co., Class A | 1,488 | ||||||
| 1 | Middleby Corp. (The) (a) | 91 | ||||||
| 50 | NN, Inc. | 1,274 | ||||||
| 5 | Standex International Corp. | 358 | ||||||
| 49 | TriMas Corp. (a) | 1,865 | ||||||
| 93 | Wabash National Corp. (a) | 1,331 | ||||||
| 45 | Wabtec Corp. | 3,741 | ||||||
| 6 | Watts Water Technologies, Inc., Class A | 358 | ||||||
| 30 | Xerium Technologies, Inc. (a) | 417 | ||||||
|
| |||||||
| 18,096 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Professional Services — 0.8% | ||||||||
| 44 | Barrett Business Services, Inc. | 2,054 | ||||||
| 18 | Heidrick & Struggles International, Inc. | 331 | ||||||
| 17 | Hill International, Inc. (a) | 103 | ||||||
| 10 | Kelly Services, Inc., Class A | 170 | ||||||
| 20 | Paylocity Holding Corp. (a) | 439 | ||||||
| 39 | RPX Corp. (a) | 694 | ||||||
| 15 | TriNet Group, Inc. (a) | 359 | ||||||
| 33 | TrueBlue, Inc. (a) | 915 | ||||||
| 12 | VSE Corp. | 809 | ||||||
|
| |||||||
| 5,874 | ||||||||
|
| |||||||
Road & Rail — 1.7% | ||||||||
| 3 | AMERCO | 901 | ||||||
| 127 | ArcBest Corp. | 5,505 | ||||||
| 13 | Avis Budget Group, Inc. (a) | 764 | ||||||
| 112 | Quality Distribution, Inc. (a) | 1,658 | ||||||
| 19 | Saia, Inc. (a) | 837 | ||||||
| 78 | Swift Transportation Co. (a) | 1,976 | ||||||
| 13 | Universal Truckload Services, Inc. | 332 | ||||||
|
| |||||||
| 11,973 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% | ||||||||
| 42 | Applied Industrial Technologies, Inc. | 2,115 | ||||||
| 6 | Beacon Roofing Supply, Inc. (a) | 186 | ||||||
| 15 | General Finance Corp. (a) | 139 | ||||||
|
| |||||||
| 2,440 | ||||||||
|
| |||||||
Total Industrials | 100,859 | |||||||
|
| |||||||
Information Technology — 17.7% | ||||||||
Communications Equipment — 1.3% | ||||||||
| 11 | Arista Networks, Inc. (a) | 686 | ||||||
| 202 | ARRIS Group, Inc. (a) | 6,561 | ||||||
| 139 | Extreme Networks, Inc. (a) | 618 | ||||||
| 119 | Polycom, Inc. (a) | 1,487 | ||||||
|
| |||||||
| 9,352 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.4% |
| |||||||
| 172 | Benchmark Electronics, Inc. (a) | 4,385 | ||||||
| 13 | CUI Global, Inc. (a) | 106 | ||||||
| 72 | Insight Enterprises, Inc. (a) | 2,213 | ||||||
| 13 | Littelfuse, Inc. | 1,190 | ||||||
| 57 | Newport Corp. (a) | 1,056 | ||||||
| 353 | Sanmina Corp. (a) | 8,037 | ||||||
| — | (h) | Uni-Pixel, Inc. (a) | 3 | |||||
|
| |||||||
| 16,990 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Internet Software & Services — 3.0% | ||||||||
| 57 | Aerohive Networks, Inc. (a) (m) | 468 | ||||||
| 14 | Amber Road, Inc. (a) | 227 | ||||||
| 6 | Borderfree, Inc. (a) | 103 | ||||||
| 126 | Carbonite, Inc. (a) | 1,511 | ||||||
| 75 | Cornerstone OnDemand, Inc. (a) | 3,470 | ||||||
| 43 | Demandware, Inc. (a) | 3,004 | ||||||
| 6 | Digital River, Inc. (a) | 97 | ||||||
| 34 | Five9, Inc. (a) | 246 | ||||||
| 7 | GrubHub, Inc. (a) | 241 | ||||||
| 33 | Intralinks Holdings, Inc. (a) | 291 | ||||||
| 3 | OPOWER, Inc. (a) | 47 | ||||||
| 15 | Q2 Holdings, Inc. (a) | 220 | ||||||
| 145 | WebMD Health Corp. (a) | 7,009 | ||||||
| 50 | Yelp, Inc. (a) | 3,819 | ||||||
|
| |||||||
| 20,753 | ||||||||
|
| |||||||
IT Services — 2.3% | ||||||||
| 62 | CSG Systems International, Inc. | 1,627 | ||||||
| 12 | EVERTEC, Inc., (Puerto Rico) | 289 | ||||||
| 359 | Global Cash Access Holdings, Inc. (a) | 3,193 | ||||||
| 121 | iGATE Corp. (a) | 4,411 | ||||||
| 9 | Science Applications International Corp. | 406 | ||||||
| 206 | Unisys Corp. (a) | 5,096 | ||||||
| 36 | VeriFone Systems, Inc. (a) | 1,308 | ||||||
|
| |||||||
| 16,330 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.2% |
| |||||||
| 39 | Alpha & Omega Semiconductor Ltd. (a) | 357 | ||||||
| 125 | Amkor Technology, Inc. (a) | 1,398 | ||||||
| 91 | Audience, Inc. (a) | 1,093 | ||||||
| 35 | Brooks Automation, Inc. | 372 | ||||||
| 73 | First Solar, Inc. (a) | 5,202 | ||||||
| 76 | Integrated Silicon Solution, Inc. (a) | 1,128 | ||||||
| 62 | Lattice Semiconductor Corp. (a) | 512 | ||||||
| 23 | Nanometrics, Inc. (a) | 414 | ||||||
| 56 | Pericom Semiconductor Corp. (a) | 504 | ||||||
| 31 | Photronics, Inc. (a) | 264 | ||||||
| 153 | Silicon Image, Inc. (a) | 772 | ||||||
| 100 | Skyworks Solutions, Inc. | 4,701 | ||||||
| 139 | Spansion, Inc., Class A (a) | 2,920 | ||||||
| 260 | SunEdison, Inc. (a) | 5,869 | ||||||
| 398 | Ultra Clean Holdings, Inc. (a) | 3,597 | ||||||
|
| |||||||
| 29,103 | ||||||||
|
| |||||||
Software — 4.2% | ||||||||
| 101 | Actuate Corp. (a) (m) | 483 | ||||||
| 9 | Aspen Technology, Inc. (a) | 404 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — continued | ||||||||
| 11 | Comverse, Inc. (a) | 280 | ||||||
| 12 | FireEye, Inc. (a) | 499 | ||||||
| 36 | Manhattan Associates, Inc. (a) | 1,250 | ||||||
| 54 | MobileIron, Inc. (a) | 515 | ||||||
| 38 | Model N, Inc. (a) | 420 | ||||||
| 48 | Paycom Software, Inc. (a) | 705 | ||||||
| 266 | Pegasystems, Inc. | 5,614 | ||||||
| 83 | Proofpoint, Inc. (a) | 3,120 | ||||||
| 45 | PTC, Inc. (a) | 1,762 | ||||||
| 8 | Rovi Corp. (a) | 189 | ||||||
| 17 | Rubicon Project, Inc. (The) (a) | 223 | ||||||
| 256 | Take-Two Interactive Software, Inc. (a) | 5,682 | ||||||
| 320 | TeleCommunication Systems, Inc., Class A (a) | 1,054 | ||||||
| 92 | Telenav, Inc. (a) | 522 | ||||||
| 22 | TIBCO Software, Inc. (a) | 448 | ||||||
| 167 | TiVo, Inc. (a) | 2,161 | ||||||
| 27 | Varonis Systems, Inc. (a) | 777 | ||||||
| 69 | Verint Systems, Inc. (a) | 3,370 | ||||||
| 14 | Zendesk, Inc. (a) | 240 | ||||||
|
| |||||||
| 29,718 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
| 64 | Avid Technology, Inc. (a) | 472 | ||||||
| 105 | QLogic Corp. (a) | 1,060 | ||||||
| 19 | Super Micro Computer, Inc. (a) | 485 | ||||||
|
| |||||||
| 2,017 | ||||||||
|
| |||||||
Total Information Technology | 124,263 | |||||||
|
| |||||||
Materials — 3.8% | ||||||||
Chemicals — 1.9% | ||||||||
| 69 | A Schulman, Inc. | 2,663 | ||||||
| 65 | Axiall Corp. | 3,077 | ||||||
| 5 | FutureFuel Corp. | 76 | ||||||
| 6 | Innospec, Inc. | 246 | ||||||
| 39 | Koppers Holdings, Inc. | 1,507 | ||||||
| 103 | Kronos Worldwide, Inc. | 1,608 | ||||||
| 46 | Minerals Technologies, Inc. | 3,023 | ||||||
| 71 | OMNOVA Solutions, Inc. (a) | 649 | ||||||
| 36 | Senomyx, Inc. (a) | 315 | ||||||
|
| |||||||
| 13,164 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
| 32 | Headwaters, Inc. (a) | 437 | ||||||
|
| |||||||
Containers & Packaging — 0.9% | ||||||||
| 245 | Graphic Packaging Holding Co. (a) | 2,862 | ||||||
| 36 | Rock-Tenn Co., Class A | 3,812 | ||||||
|
| |||||||
| 6,674 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Small Cap Core Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Metals & Mining — 0.6% |
| |||||||
| 69 | Commercial Metals Co. | 1,192 | ||||||
| 77 | Worthington Industries, Inc. | 3,323 | ||||||
|
| |||||||
| 4,515 | ||||||||
|
| |||||||
Paper & Forest Products — 0.3% | ||||||||
| 33 | Boise Cascade Co. (a) | 931 | ||||||
| 57 | Resolute Forest Products, Inc., (Canada) (a) | 950 | ||||||
|
| |||||||
| 1,881 | ||||||||
|
| |||||||
Total Materials | 26,671 | |||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
| 40 | IDT Corp., Class B | 688 | ||||||
| 381 | Inteliquent, Inc. | 5,286 | ||||||
| 59 | Intelsat S.A., (Luxembourg) (a) | 1,114 | ||||||
| 100 | Premiere Global Services, Inc. (a) | 1,336 | ||||||
|
| |||||||
Total Telecommunication Services | 8,424 | |||||||
|
| |||||||
Utilities — 3.2% |
| |||||||
Electric Utilities — 1.5% |
| |||||||
| 7 | El Paso Electric Co. | 282 | ||||||
| 21 | Empire District Electric Co. (The) | 527 | ||||||
| 34 | IDACORP, Inc. | 1,937 | ||||||
| 18 | MGE Energy, Inc. | 691 | ||||||
| 164 | Portland General Electric Co. | 5,696 | ||||||
| 13 | UNS Energy Corp. | 767 | ||||||
| 12 | Westar Energy, Inc. | 439 | ||||||
|
| |||||||
| 10,339 | ||||||||
|
| |||||||
Gas Utilities — 0.7% | ||||||||
| 2 | AGL Resources, Inc. (m) | 137 | ||||||
| 6 | Chesapeake Utilities Corp. | 399 | ||||||
| 20 | Laclede Group, Inc. (The) | 951 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — continued | ||||||||
| 34 | New Jersey Resources Corp. | 1,932 | ||||||
| 9 | Northwest Natural Gas Co. | 420 | ||||||
| 16 | Southwest Gas Corp. | 860 | ||||||
| 10 | WGL Holdings, Inc. | 440 | ||||||
|
| |||||||
| 5,139 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 1.0% |
| |||||||
| 199 | Dynegy, Inc. (a) | 6,922 | ||||||
|
| |||||||
Total Utilities | 22,400 | |||||||
|
| |||||||
Total Common Stocks | 692,866 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.2% |
| ||||||
| 1,415 | U.S. Treasury Note, 0.250%, 11/30/14 (k) (m) | 1,416 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 0.9% |
| ||||||
Investment Company — 0.9% |
| |||||||
| 6,392 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 6,392 | ||||||
|
| |||||||
Total Investments — 99.6% | 700,674 | |||||||
Other Assets in Excess of | 2,633 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 703,307 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 87 | E-mini Russell 2000 | 09/19/14 | $ | 10,356 | $ | 183 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.7% |
| ||||||
Consumer Discretionary — 20.2% |
| |||||||
Auto Components — 1.8% |
| |||||||
| 1,655 | Dana Holding Corp. | 40,403 | ||||||
| 416 | Drew Industries, Inc. | 20,806 | ||||||
|
| |||||||
| 61,209 | ||||||||
|
| |||||||
Distributors — 1.4% |
| |||||||
| 828 | Pool Corp. | 46,852 | ||||||
|
| |||||||
Diversified Consumer Services — 1.9% |
| |||||||
| 612 | Ascent Capital Group, Inc., Class A (a) | 40,400 | ||||||
| 1,295 | ServiceMaster Global Holdings, Inc. (a) | 23,603 | ||||||
|
| |||||||
| 64,003 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.5% |
| |||||||
| 1,313 | Brinker International, Inc. | 63,892 | ||||||
| 156 | Cracker Barrel Old Country Store, Inc. | 15,535 | ||||||
| 725 | Monarch Casino & Resort, Inc. (a) | 10,969 | ||||||
| 569 | Papa John’s International, Inc. | 24,124 | ||||||
| 104 | Zoe’s Kitchen, Inc. (a) | 3,572 | ||||||
|
| |||||||
| 118,092 | ||||||||
|
| |||||||
Household Durables — 2.5% |
| |||||||
| 1,416 | Jarden Corp. (a) | 84,020 | ||||||
|
| |||||||
Leisure Products — 1.0% |
| |||||||
| 547 | Brunswick Corp. | 23,042 | ||||||
| 621 | Malibu Boats, Inc., Class A (a) | 12,484 | ||||||
|
| |||||||
| 35,526 | ||||||||
|
| |||||||
Media — 3.7% |
| |||||||
| 1,615 | Cinemark Holdings, Inc. | 57,116 | ||||||
| 508 | E.W. Scripps Co. (The), Class A (a) | 10,745 | ||||||
| 374 | Morningstar, Inc. | 26,844 | ||||||
| 1,814 | National CineMedia, Inc. | 31,757 | ||||||
|
| |||||||
| 126,462 | ||||||||
|
| |||||||
Specialty Retail — 2.0% |
| |||||||
| 2,919 | American Eagle Outfitters, Inc. | 32,753 | ||||||
| 2,095 | Chico’s FAS, Inc. | 35,536 | ||||||
|
| |||||||
| 68,289 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.4% |
| |||||||
| 2,734 | Crocs, Inc. (a) | 41,091 | ||||||
| 555 | Iconix Brand Group, Inc. (a) | 23,828 | ||||||
| 5,178 | Quiksilver, Inc. (a) | 18,538 | ||||||
|
| |||||||
| 83,457 | ||||||||
|
| |||||||
Total Consumer Discretionary | 687,910 | |||||||
|
| |||||||
Consumer Staples — 2.9% |
| |||||||
Food Products — 1.2% |
| |||||||
| 423 | J&J Snack Foods Corp. | 39,795 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 1.7% |
| |||||||
| 678 | Spectrum Brands Holdings, Inc. | 58,340 | ||||||
|
| |||||||
Total Consumer Staples | 98,135 | |||||||
|
| |||||||
Energy — 5.2% |
| |||||||
Energy Equipment & Services — 2.0% |
| |||||||
| 940 | Patterson-UTI Energy, Inc. | 32,833 | ||||||
| 660 | Tidewater, Inc. | 37,068 | ||||||
|
| |||||||
| 69,901 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.2% |
| |||||||
| 766 | Approach Resources, Inc. (a) | 17,407 | ||||||
| 204 | Cimarex Energy Co. | 29,236 | ||||||
| 526 | Laredo Petroleum Holdings, Inc. (a) | 16,299 | ||||||
| 389 | Oasis Petroleum, Inc. (a) | 21,760 | ||||||
| 2,785 | Resolute Energy Corp. (a) | 24,064 | ||||||
|
| |||||||
| 108,766 | ||||||||
|
| |||||||
Total Energy | 178,667 | |||||||
|
| |||||||
Financials — 20.0% |
| |||||||
Banks — 8.5% |
| |||||||
| 4,148 | Associated Banc-Corp. | 75,002 | ||||||
| 589 | BankUnited, Inc. | 19,716 | ||||||
| 1,513 | First Financial Bancorp | 26,040 | ||||||
| 1,870 | First Horizon National Corp. | 22,181 | ||||||
| 604 | First Republic Bank | 33,221 | ||||||
| 733 | Glacier Bancorp, Inc. | 20,804 | ||||||
| 390 | Iberiabank Corp. | 26,995 | ||||||
| 1,862 | Umpqua Holdings Corp. | 33,369 | ||||||
| 1,327 | Western Alliance Bancorp (a) | 31,585 | ||||||
|
| |||||||
| 288,913 | ||||||||
|
| |||||||
Capital Markets — 4.0% |
| |||||||
| 409 | Eaton Vance Corp. | 15,464 | ||||||
| 545 | Greenhill & Co., Inc. | 26,851 | ||||||
| 1,278 | HFF, Inc., Class A | 47,535 | ||||||
| 1,931 | Janus Capital Group, Inc. | 24,102 | ||||||
| 678 | Moelis & Co. (a) | 22,794 | ||||||
|
| |||||||
| 136,746 | ||||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
| 1,408 | ProAssurance Corp. | 62,528 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 5.0% |
| |||||||
| 565 | EastGroup Properties, Inc. | 36,288 | ||||||
| 408 | Mid-America Apartment Communities, Inc. | 29,771 | ||||||
| 1,302 | National Retail Properties, Inc. | 48,436 | ||||||
| 1,940 | RLJ Lodging Trust | 56,056 | ||||||
|
| |||||||
| 170,551 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Real Estate Management & Development — 0.7% |
| |||||||
| 578 | Realogy Holdings Corp. (a) | 21,805 | ||||||
|
| |||||||
Total Financials | 680,543 | |||||||
|
| |||||||
Health Care — 9.1% | ||||||||
Health Care Equipment & Supplies — 3.0% | ||||||||
| 509 | IDEXX Laboratories, Inc. (a) | 67,976 | ||||||
| 788 | West Pharmaceutical Services, Inc. | 33,254 | ||||||
|
| |||||||
| 101,230 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.2% |
| |||||||
| 384 | Centene Corp. (a) | 28,998 | ||||||
| 821 | Hanger, Inc. (a) | 25,829 | ||||||
| 711 | HealthSouth Corp. | 25,502 | ||||||
| 476 | Magellan Health, Inc. (a) | 29,629 | ||||||
| 301 | MWI Veterinary Supply, Inc. (a) | 42,733 | ||||||
| 355 | WellCare Health Plans, Inc. (a) | 26,498 | ||||||
|
| |||||||
| 179,189 | ||||||||
|
| |||||||
Health Care Technology — 0.9% | ||||||||
| 1,061 | Omnicell, Inc. (a) | 30,467 | ||||||
|
| |||||||
Total Health Care | 310,886 | |||||||
|
| |||||||
Industrials — 16.9% | ||||||||
Air Freight & Logistics — 0.7% | ||||||||
| 505 | Forward Air Corp. | 24,150 | ||||||
|
| |||||||
Airlines — 0.3% | ||||||||
| 101 | Allegiant Travel Co. | 11,906 | ||||||
|
| |||||||
Building Products — 0.5% | ||||||||
| 1,526 | Ply Gem Holdings, Inc. (a) | 15,411 | ||||||
|
| |||||||
Commercial Services & Supplies — 5.1% |
| |||||||
| 1,429 | Herman Miller, Inc. | 43,217 | ||||||
| 1,129 | KAR Auction Services, Inc. | 35,986 | ||||||
| 1,977 | Waste Connections, Inc. | 95,968 | ||||||
|
| |||||||
| 175,171 | ||||||||
|
| |||||||
Construction & Engineering — 0.6% | ||||||||
| 1,368 | Comfort Systems USA, Inc. | 21,619 | ||||||
|
| |||||||
Electrical Equipment — 2.0% | ||||||||
| 743 | Generac Holdings, Inc. (a) | 36,209 | ||||||
| 404 | Regal-Beloit Corp. | 31,705 | ||||||
|
| |||||||
| 67,914 | ||||||||
|
| |||||||
Machinery — 6.6% | ||||||||
| 1,174 | Allison Transmission Holdings, Inc. | 36,523 | ||||||
| 800 | Altra Industrial Motion Corp. | 29,116 | ||||||
| 1,168 | Douglas Dynamics, Inc. | 20,576 | ||||||
| 625 | RBC Bearings, Inc. | 40,061 | ||||||
| 1,530 | Rexnord Corp. (a) | 43,066 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — continued | ||||||||
| 867 | Toro Co. (The) | 55,118 | ||||||
|
| |||||||
| 224,460 | ||||||||
|
| |||||||
Road & Rail — 1.1% | ||||||||
| 1,537 | Knight Transportation, Inc. | 36,524 | ||||||
|
| |||||||
Total Industrials | 577,155 | |||||||
|
| |||||||
Information Technology — 12.4% | ||||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
| 446 | Anixter International, Inc. | 44,584 | ||||||
| 302 | FEI Co. | 27,390 | ||||||
|
| |||||||
| 71,974 | ||||||||
|
| |||||||
Internet Software & Services — 1.4% | ||||||||
| 66 | GrubHub, Inc. (a) | 2,330 | ||||||
| 1,017 | Q2 Holdings, Inc. (a) | 14,501 | ||||||
| 215 | Zillow, Inc., Class A (a) | 30,713 | ||||||
|
| |||||||
| 47,544 | ||||||||
|
| |||||||
IT Services — 1.2% | ||||||||
| 1,308 | CoreLogic, Inc. (a) | 39,703 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
| 1,550 | Freescale Semiconductor Ltd. (a) | 36,428 | ||||||
| 373 | Hittite Microwave Corp. | 29,081 | ||||||
|
| |||||||
| 65,509 | ||||||||
|
| |||||||
Software — 5.8% | ||||||||
| 1,109 | Advent Software, Inc. | 36,117 | ||||||
| 230 | FactSet Research Systems, Inc. | 27,666 | ||||||
| 616 | Imperva, Inc. (a) | 16,136 | ||||||
| 250 | MICROS Systems, Inc. (a) | 16,948 | ||||||
| 1,048 | Monotype Imaging Holdings, Inc. | 29,511 | ||||||
| 138 | NetSuite, Inc. (a) | 12,031 | ||||||
| 2,086 | Rovi Corp. (a) | 49,978 | ||||||
| 186 | Splunk, Inc. (a) | 10,312 | ||||||
|
| |||||||
| 198,699 | ||||||||
|
| |||||||
Total Information Technology | 423,429 | |||||||
|
| |||||||
Materials — 7.2% | ||||||||
Chemicals — 1.9% | ||||||||
| 2,814 | Taminco Corp. (a) | 65,462 | ||||||
|
| |||||||
Containers & Packaging — 5.3% | ||||||||
| 871 | AptarGroup, Inc. | 58,359 | ||||||
| 1,192 | Crown Holdings, Inc. (a) | 59,330 | ||||||
| 1,238 | Silgan Holdings, Inc. | 62,899 | ||||||
|
| |||||||
| 180,588 | ||||||||
|
| |||||||
Total Materials | 246,050 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Utilities — 2.8% | ||||||||
Electric Utilities — 1.3% | ||||||||
| 1,323 | Portland General Electric Co. | 45,875 | ||||||
|
| |||||||
Multi-Utilities — 1.5% | ||||||||
| 947 | NorthWestern Corp. | 49,407 | ||||||
|
| |||||||
Total Utilities | 95,282 | |||||||
|
| |||||||
Total Common Stocks | 3,298,057 | |||||||
|
| |||||||
| Short-Term Investment — 3.9% | |||||||
Investment Company — 3.9% | ||||||||
| 132,553 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 132,553 | ||||||
|
| |||||||
Total Investments — 100.6% | 3,430,610 | |||||||
Liabilities in Excess of | (21,165 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,409,445 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.1% |
| ||||||
Consumer Discretionary — 14.8% |
| |||||||
Distributors — 0.9% |
| |||||||
| 182 | Pool Corp. | 10,308 | ||||||
|
| |||||||
Diversified Consumer Services — 1.0% |
| |||||||
| 694 | 2U, Inc. (a) | 11,674 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% |
| |||||||
| 132 | Noodles & Co. (a) | 4,552 | ||||||
| 913 | Scientific Games Corp., Class A (a) | 10,149 | ||||||
|
| |||||||
| 14,701 | ||||||||
|
| |||||||
Household Durables — 0.9% |
| |||||||
| 206 | La-Z-Boy, Inc. | 4,777 | ||||||
| 406 | TRI Pointe Homes, Inc. (a) | 6,387 | ||||||
|
| |||||||
| 11,164 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.1% |
| |||||||
| 206 | Coupons.com, Inc. (a) | 5,408 | ||||||
| 280 | HomeAway, Inc. (a) | 9,744 | ||||||
| 339 | RetailMeNot, Inc. (a) | 9,011 | ||||||
|
| |||||||
| 24,163 | ||||||||
|
| |||||||
Media — 0.5% |
| |||||||
| 818 | ReachLocal, Inc. (a) | 5,747 | ||||||
|
| |||||||
Specialty Retail — 4.8% |
| |||||||
| 297 | Container Store Group, Inc. (The) (a) | 8,248 | ||||||
| 309 | Five Below, Inc. (a) | 12,338 | ||||||
| 531 | Francesca’s Holdings Corp. (a) | 7,820 | ||||||
| 97 | Lithia Motors, Inc., Class A | 9,114 | ||||||
| 109 | Lumber Liquidators Holdings, Inc. (a) | 8,307 | ||||||
| 192 | Penske Automotive Group, Inc. | 9,491 | ||||||
|
| |||||||
| 55,318 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 3.3% |
| |||||||
| 171 | Movado Group, Inc. | 7,126 | ||||||
| 161 | Skechers U.S.A., Inc., Class A (a) | 7,380 | ||||||
| 498 | Vera Bradley, Inc. (a) | 10,893 | ||||||
| 137 | Vince Holding Corp. (a) | 5,035 | ||||||
| 306 | Wolverine World Wide, Inc. | 7,980 | ||||||
|
| |||||||
| 38,414 | ||||||||
|
| |||||||
Total Consumer Discretionary | 171,489 | |||||||
|
| |||||||
Consumer Staples — 0.0% | ||||||||
Food & Staples Retailing — 0.0% | ||||||||
| 97 | Fairway Group Holdings Corp. (a) | 643 | ||||||
|
| |||||||
Energy — 5.8% | ||||||||
Energy Equipment & Services — 2.3% | ||||||||
| 135 | Dril-Quip, Inc. (a) | 14,789 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued |
| |||||||
| 340 | Forum Energy Technologies, Inc. (a) | 12,369 | ||||||
|
| |||||||
| 27,158 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.5% |
| |||||||
| 272 | Delek U.S. Holdings, Inc. | 7,676 | ||||||
| 227 | Eclipse Resources Corp. (a) | 5,706 | ||||||
| 468 | Laredo Petroleum Holdings, Inc. (a) | 14,489 | ||||||
| 226 | Oasis Petroleum, Inc. (a) | 12,606 | ||||||
|
| |||||||
| 40,477 | ||||||||
|
| |||||||
Total Energy | 67,635 | |||||||
|
| |||||||
Financials — 8.3% |
| |||||||
Banks — 0.9% |
| |||||||
| 86 | Signature Bank (a) | 10,827 | ||||||
|
| |||||||
Capital Markets — 2.9% |
| |||||||
| 189 | Cohen & Steers, Inc. | 8,195 | ||||||
| 256 | Financial Engines, Inc. | 11,592 | ||||||
| 304 | FXCM, Inc., Class A | 4,545 | ||||||
| 804 | PennantPark Investment Corp. | 9,211 | ||||||
|
| |||||||
| 33,543 | ||||||||
|
| |||||||
Insurance — 0.6% |
| |||||||
| 156 | AmTrust Financial Services, Inc. | 6,502 | ||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.0% |
| |||||||
| 328 | CubeSmart | 6,000 | ||||||
| 88 | EastGroup Properties, Inc. | 5,624 | ||||||
| 554 | Glimcher Realty Trust | 5,997 | ||||||
| 134 | Highwoods Properties, Inc. | 5,624 | ||||||
|
| |||||||
| 23,245 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
| 304 | RE/MAX Holdings, Inc., Class A | 8,982 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.1% | ||||||||
| 171 | BofI Holding, Inc. (a) | 12,570 | ||||||
|
| |||||||
Total Financials | 95,669 | |||||||
|
| |||||||
Health Care — 22.8% |
| |||||||
Biotechnology — 9.2% |
| |||||||
| 285 | ACADIA Pharmaceuticals, Inc. (a) | 6,431 | ||||||
| 152 | Acceleron Pharma, Inc. (a) | 5,176 | ||||||
| 143 | Aegerion Pharmaceuticals, Inc. (a) | 4,580 | ||||||
| 329 | Arrowhead Research Corp. (a) | 4,711 | ||||||
| 332 | Chimerix, Inc. (a) | 7,292 | ||||||
| 428 | Exact Sciences Corp. (a) | 7,292 | ||||||
| 705 | Halozyme Therapeutics, Inc. (a) | 6,967 | ||||||
| 436 | Ignyta, Inc. (a) | 3,967 | ||||||
| 396 | Insmed, Inc. (a) | 7,903 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 223 | InterMune, Inc. (a) | 9,863 | ||||||
| 195 | Intrexon Corp. (a) | 4,890 | ||||||
| 73 | Isis Pharmaceuticals, Inc. (a) | 2,506 | ||||||
| 401 | Keryx Biopharmaceuticals, Inc. (a) | 6,172 | ||||||
| 120 | Kite Pharma, Inc. (a) | 3,466 | ||||||
| 234 | Portola Pharmaceuticals, Inc. (a) | 6,837 | ||||||
| 80 | Puma Biotechnology, Inc. (a) | 5,313 | ||||||
| 135 | Receptos, Inc. (a) | 5,772 | ||||||
| 871 | Threshold Pharmaceuticals, Inc. (a) | 3,450 | ||||||
| 131 | Versartis, Inc. (a) | 3,685 | ||||||
|
| |||||||
| 106,273 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 5.9% |
| |||||||
| 726 | GenMark Diagnostics, Inc. (a) | 9,819 | ||||||
| 419 | Insulet Corp. (a) | 16,629 | ||||||
| 273 | K2M Group Holdings, Inc. (a) | 4,067 | ||||||
| 896 | Novadaq Technologies, Inc., (Canada) (a) | 14,768 | ||||||
| 825 | Syneron Medical Ltd., (Israel) (a) | 8,518 | ||||||
| 302 | Tandem Diabetes Care, Inc. (a) | 4,904 | ||||||
| 3,365 | Unilife Corp. (a) | 9,960 | ||||||
|
| |||||||
| 68,665 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.2% |
| |||||||
| 349 | Acadia Healthcare Co., Inc. (a) | 15,887 | ||||||
| 279 | Surgical Care Affiliates, Inc. (a) | 8,117 | ||||||
| 175 | WellCare Health Plans, Inc. (a) | 13,050 | ||||||
|
| |||||||
| 37,054 | ||||||||
|
| |||||||
Health Care Technology — 0.9% |
| |||||||
| 412 | Veeva Systems, Inc., Class A (a) | 10,492 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.9% |
| |||||||
| 358 | Bruker Corp. (a) | 8,685 | ||||||
| 446 | Fluidigm Corp. (a) | 13,104 | ||||||
|
| |||||||
| 21,789 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
| 608 | Nektar Therapeutics (a) | 7,791 | ||||||
| 150 | Revance Therapeutics, Inc. (a) | 5,098 | ||||||
| 246 | Sagent Pharmaceuticals, Inc. (a) | 6,357 | ||||||
|
| |||||||
| 19,246 | ||||||||
|
| |||||||
Total Health Care | 263,519 | |||||||
|
| |||||||
Industrials — 22.1% |
| |||||||
Aerospace & Defense — 1.9% |
| |||||||
| 254 | HEICO Corp. | 13,195 | ||||||
| 215 | Hexcel Corp. (a) | 8,808 | ||||||
|
| |||||||
| 22,003 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Air Freight & Logistics — 0.8% |
| |||||||
| 343 | XPO Logistics, Inc. (a) | 9,819 | ||||||
|
| |||||||
Airlines — 1.0% |
| |||||||
| 175 | Spirit Airlines, Inc. (a) | 11,059 | ||||||
|
| |||||||
Building Products — 2.5% |
| |||||||
| 391 | Fortune Brands Home & Security, Inc. | 15,601 | ||||||
| 464 | Trex Co., Inc. (a) | 13,382 | ||||||
|
| |||||||
| 28,983 | ||||||||
|
| |||||||
Electrical Equipment — 3.3% |
| |||||||
| 174 | Acuity Brands, Inc. | 24,038 | ||||||
| 210 | Generac Holdings, Inc. (a) | 10,257 | ||||||
| 413 | TCP International Holdings Ltd., | 4,241 | ||||||
|
| |||||||
| 38,536 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 165 | Carlisle Cos., Inc. | 14,334 | ||||||
|
| |||||||
Machinery — 3.1% |
| |||||||
| 184 | Graco, Inc. | 14,361 | ||||||
| 262 | Middleby Corp. (The) (a) | 21,698 | ||||||
|
| |||||||
| 36,059 | ||||||||
|
| |||||||
Marine — 1.3% |
| |||||||
| 127 | Kirby Corp. (a) | 14,899 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
| 392 | Marten Transport Ltd. | 8,759 | ||||||
| 298 | Old Dominion Freight Line, Inc. (a) | 18,981 | ||||||
|
| |||||||
| 27,740 | ||||||||
|
| |||||||
Trading Companies & Distributors — 4.6% |
| |||||||
| 92 | DXP Enterprises, Inc. (a) | 6,921 | ||||||
| 127 | MSC Industrial Direct Co., Inc., Class A | 12,128 | ||||||
| 478 | Rush Enterprises, Inc., Class A (a) | 16,588 | ||||||
| 169 | Watsco, Inc. | 17,405 | ||||||
|
| |||||||
| 53,042 | ||||||||
|
| |||||||
Total Industrials | 256,474 | |||||||
|
| |||||||
Information Technology — 22.8% |
| |||||||
Communications Equipment — 3.7% |
| |||||||
| 557 | Aruba Networks, Inc. (a) | 9,766 | ||||||
| 477 | Ciena Corp. (a) | 10,336 | ||||||
| 798 | Infinera Corp. (a) | 7,344 | ||||||
| 107 | Palo Alto Networks, Inc. (a) | 8,964 | ||||||
| 589 | Ruckus Wireless, Inc. (a) | 7,019 | ||||||
|
| |||||||
| 43,429 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
| 100 | FEI Co. | 9,053 | ||||||
|
| |||||||
Internet Software & Services — 9.1% | ||||||||
| 260 | ChannelAdvisor Corp. (a) | 6,856 | ||||||
| 240 | Cornerstone OnDemand, Inc. (a) | 11,047 | ||||||
| 83 | CoStar Group, Inc. (a) | 13,125 | ||||||
| 248 | Dealertrack Technologies, Inc. (a) | 11,249 | ||||||
| 155 | Demandware, Inc. (a) | 10,780 | ||||||
| 377 | Envestnet, Inc. (a) | 18,445 | ||||||
| 256 | Marketo, Inc. (a) | 7,440 | ||||||
| 109 | OpenTable, Inc. (a) | 11,286 | ||||||
| 316 | Trulia, Inc. (a) | 14,953 | ||||||
|
| |||||||
| 105,181 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.9% |
| |||||||
| 202 | Cavium, Inc. (a) | 10,053 | ||||||
| 843 | Inphi Corp. (a) | 12,376 | ||||||
| 253 | Monolithic Power Systems, Inc. | 10,710 | ||||||
|
| |||||||
| 33,139 | ||||||||
|
| |||||||
Software — 5.4% | ||||||||
| 526 | A10 Networks, Inc. (a) | 6,992 | ||||||
| 215 | CommVault Systems, Inc. (a) | 10,579 | ||||||
| 396 | Fortinet, Inc. (a) | 9,952 | ||||||
| 629 | Gigamon, Inc. (a) | 12,030 | ||||||
| 246 | Guidewire Software, Inc. (a) | 9,995 | ||||||
| 177 | Imperva, Inc. (a) | 4,626 | ||||||
| 113 | Tableau Software, Inc., Class A (a) | 8,084 | ||||||
|
| |||||||
| 62,258 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 0.9% |
| |||||||
| 339 | Nimble Storage, Inc. (a) | 10,417 | ||||||
|
| |||||||
Total Information Technology | 263,477 | |||||||
|
| |||||||
Materials — 0.5% | ||||||||
Construction Materials — 0.5% | ||||||||
| 59 | Eagle Materials, Inc. | 5,516 | ||||||
|
| |||||||
Telecommunication Services — 1.0% | ||||||||
Wireless Telecommunication Services — 1.0% |
| |||||||
| 647 | Boingo Wireless, Inc. (a) | 4,420 | ||||||
| 452 | RingCentral, Inc., Class A (a) | 6,832 | ||||||
|
| |||||||
Total Telecommunication Services | 11,252 | |||||||
|
| |||||||
Total Common Stocks | 1,135,674 | |||||||
|
| |||||||
| Short-Term Investment — 1.4% | |||||||
Investment Company — 1.4% | ||||||||
| 16,310 | JPMorgan Liquid Assets Money Market | 16,310 | ||||||
|
| |||||||
Total Investments — 99.5% | 1,151,984 | |||||||
Other Assets in Excess of | 5,330 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,157,314 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.2% |
| ||||||
Consumer Discretionary — 9.6% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 698 | Dana Holding Corp. | 17,035 | ||||||
| 75 | Fuel Systems Solutions, Inc. (a) | 830 | ||||||
| 211 | Stoneridge, Inc. (a) | 2,263 | ||||||
| 115 | Superior Industries International, Inc. | 2,378 | ||||||
|
| |||||||
| 22,506 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.4% | ||||||||
| 69 | 2U, Inc. (a) | 1,160 | ||||||
| 38 | Chegg, Inc. (a) | 268 | ||||||
| 106 | K12, Inc. (a) | 2,541 | ||||||
| 102 | ServiceMaster Global Holdings, Inc. (a) | 1,858 | ||||||
|
| |||||||
| 5,827 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.8% | ||||||||
| 11 | Biglari Holdings, Inc. (a) | 4,483 | ||||||
| 51 | Einstein Noah Restaurant Group, Inc. | 811 | ||||||
| 188 | Isle of Capri Casinos, Inc. (a) | 1,613 | ||||||
| 16 | Jack in the Box, Inc. | 981 | ||||||
| 110 | La Quinta Holdings, Inc. (a) | 2,113 | ||||||
| 237 | Ruth’s Hospitality Group, Inc. | 2,933 | ||||||
| 28 | Scientific Games Corp., Class A (a) | 314 | ||||||
|
| |||||||
| 13,248 | ||||||||
|
| |||||||
Household Durables — 0.6% | ||||||||
| 12 | Cavco Industries, Inc. (a) | 1,032 | ||||||
| 40 | Century Communities, Inc. (a) | 875 | ||||||
| 73 | CSS Industries, Inc. | 1,936 | ||||||
| 24 | GoPro, Inc., Class A (a) | 961 | ||||||
| 83 | Leggett & Platt, Inc. | 2,838 | ||||||
| 27 | Lifetime Brands, Inc. | 429 | ||||||
| 30 | NACCO Industries, Inc., Class A | 1,513 | ||||||
|
| |||||||
| 9,584 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.3% | ||||||||
| 35 | Coupons.com, Inc. (a) | 929 | ||||||
| 411 | Orbitz Worldwide, Inc. (a) | 3,661 | ||||||
|
| |||||||
| 4,590 | ||||||||
|
| |||||||
Media — 0.9% | ||||||||
| 35 | AH Belo Corp., Class A (m) | 415 | ||||||
| 158 | Entercom Communications Corp., Class A (a) | 1,690 | ||||||
| 298 | Journal Communications, Inc., Class A (a) | 2,647 | ||||||
| 202 | Lee Enterprises, Inc. (a) | 900 | ||||||
| 134 | Markit Ltd., (United Kingdom) (a) | 3,607 | ||||||
| 304 | McClatchy Co. (The), Class A (a) | 1,689 | ||||||
| 8 | Saga Communications, Inc., Class A | 335 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Media — continued | ||||||||
| 297 | Sizmek, Inc. (a) | 2,831 | ||||||
|
| |||||||
| 14,114 | ||||||||
|
| |||||||
Multiline Retail — 0.9% | ||||||||
| 139 | Bon-Ton Stores, Inc. (The) | 1,436 | ||||||
| 108 | Dillard’s, Inc., Class A | 12,641 | ||||||
|
| |||||||
| 14,077 | ||||||||
|
| |||||||
Specialty Retail — 3.0% | ||||||||
| 556 | Barnes & Noble, Inc. (a) | 12,678 | ||||||
| 268 | Brown Shoe Co., Inc. | 7,664 | ||||||
| 236 | Children’s Place, Inc. (The) | 11,718 | ||||||
| 147 | Guess?, Inc. | 3,972 | ||||||
| 918 | hhgregg, Inc. (a) | 9,340 | ||||||
| 42 | Michaels Cos., Inc. (The) (a) | 721 | ||||||
|
| |||||||
| 46,093 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
| 381 | Iconix Brand Group, Inc. (a) | 16,369 | ||||||
| 140 | Unifi, Inc. (a) | 3,840 | ||||||
|
| |||||||
| 20,209 | ||||||||
|
| |||||||
Total Consumer Discretionary | 150,248 | |||||||
|
| |||||||
Consumer Staples — 3.1% | ||||||||
Food & Staples Retailing — 1.3% | ||||||||
| 8 | Pantry, Inc. (The) (a) | 125 | ||||||
| 2,237 | Rite Aid Corp. (a) | 16,041 | ||||||
| 372 | Roundy’s, Inc. | 2,050 | ||||||
| 74 | SpartanNash Co. | 1,544 | ||||||
|
| |||||||
| 19,760 | ||||||||
|
| |||||||
Food Products — 0.8% | ||||||||
| 381 | Chiquita Brands International, Inc. (a) | 4,128 | ||||||
| 21 | Farmer Bros Co. (a) | 452 | ||||||
| 90 | Fresh Del Monte Produce, Inc. | 2,761 | ||||||
| 7 | John B Sanfilippo & Son, Inc. | 175 | ||||||
| 132 | Pinnacle Foods, Inc. | 4,333 | ||||||
| 18 | Seneca Foods Corp., Class A (a) | 560 | ||||||
|
| |||||||
| 12,409 | ||||||||
|
| |||||||
Household Products — 0.2% | ||||||||
| 365 | Central Garden & Pet Co., Class A (a) | 3,355 | ||||||
|
| |||||||
Tobacco — 0.8% | ||||||||
| 163 | Alliance One International, Inc. (a) | 407 | ||||||
| 228 | Universal Corp. | 12,631 | ||||||
|
| |||||||
| 13,038 | ||||||||
|
| |||||||
Total Consumer Staples | 48,562 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy — 6.9% |
| |||||||
Energy Equipment & Services — 3.1% |
| |||||||
| 59 | Dawson Geophysical Co. | 1,687 | ||||||
| 213 | Exterran Holdings, Inc. | 9,565 | ||||||
| 644 | Helix Energy Solutions Group, Inc. (a) | 16,933 | ||||||
| 43 | Key Energy Services, Inc. (a) | 393 | ||||||
| 19 | Mitcham Industries, Inc. (a) | 259 | ||||||
| 57 | Natural Gas Services Group, Inc. (a) | 1,888 | ||||||
| 269 | Parker Drilling Co. (a) | 1,756 | ||||||
| 401 | Pioneer Energy Services Corp. (a) | 7,036 | ||||||
| 97 | SEACOR Holdings, Inc. (a) | 8,003 | ||||||
|
| |||||||
| 47,520 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.8% | ||||||||
| 2 | Adams Resources & Energy, Inc. | 192 | ||||||
| 74 | Alon USA Energy, Inc. | 923 | ||||||
| 461 | Cloud Peak Energy, Inc. (a) | 8,493 | ||||||
| 109 | Energy XXI Bermuda Ltd., (Bermuda) | 2,586 | ||||||
| 33 | Equal Energy Ltd. | 181 | ||||||
| 186 | Frontline Ltd., (Bermuda) (a) | 543 | ||||||
| 115 | Green Plains, Inc. | 3,777 | ||||||
| 43 | Memorial Resource Development Corp. (a) | 1,035 | ||||||
| 304 | Midstates Petroleum Co., Inc. (a) | 2,199 | ||||||
| 30 | Pacific Ethanol, Inc. (a) | 460 | ||||||
| 14 | Panhandle Oil and Gas, Inc., Class A | 768 | ||||||
| 26 | Parsley Energy, Inc., Class A (a) | 635 | ||||||
| 638 | Penn Virginia Corp. (a) | 10,817 | ||||||
| 90 | Renewable Energy Group, Inc. (a) | 1,037 | ||||||
| 55 | REX American Resources Corp. (a) | 4,032 | ||||||
| 144 | Stone Energy Corp. (a) | 6,733 | ||||||
| 282 | VAALCO Energy, Inc. (a) | 2,040 | ||||||
| 240 | W&T Offshore, Inc. | 3,934 | ||||||
| 168 | Warren Resources, Inc. (a) | 1,039 | ||||||
| 203 | Western Refining, Inc. | 7,623 | ||||||
| 19 | Westmoreland Coal Co. (a) | 693 | ||||||
|
| |||||||
| 59,740 | ||||||||
|
| |||||||
Total Energy | 107,260 | |||||||
|
| |||||||
Financials — 35.4% |
| |||||||
Banks — 14.1% |
| |||||||
| 86 | 1st Source Corp. | 2,621 | ||||||
| 20 | 1st United Bancorp, Inc. | 168 | ||||||
| 6 | American National Bankshares, Inc. | 122 | ||||||
| 63 | BancFirst Corp. | 3,912 | ||||||
| 326 | BancorpSouth, Inc. | 8,007 | ||||||
| 143 | Bank of Hawaii Corp. | 8,381 | ||||||
| 54 | Banner Corp. | 2,132 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 308 | BBCN Bancorp, Inc. | 4,914 | ||||||
| 17 | Bridge Capital Holdings (a) | 407 | ||||||
| 142 | Capital Bank Financial Corp., Class A (a) | 3,348 | ||||||
| 72 | Cascade Bancorp (a) | 378 | ||||||
| 180 | Cathay General Bancorp | 4,598 | ||||||
| 18 | Center Bancorp, Inc. | 352 | ||||||
| 269 | Central Pacific Financial Corp. | 5,338 | ||||||
| 7 | Century Bancorp, Inc., Class A | 251 | ||||||
| 63 | Chemical Financial Corp. | 1,775 | ||||||
| 17 | Citizens & Northern Corp. | 327 | ||||||
| 126 | City Holding Co. | 5,694 | ||||||
| 85 | CoBiz Financial, Inc. | 918 | ||||||
| 48 | Columbia Banking System, Inc. | 1,253 | ||||||
| 118 | Community Bank System, Inc. | 4,279 | ||||||
| 107 | Community Trust Bancorp, Inc. | 3,647 | ||||||
| 3 | Cullen/Frost Bankers, Inc. | 238 | ||||||
| 14 | East West Bancorp, Inc. | 488 | ||||||
| 61 | Financial Institutions, Inc. | 1,422 | ||||||
| 26 | First Bancorp | 484 | ||||||
| 562 | First BanCorp, (Puerto Rico) (a) | 3,059 | ||||||
| 362 | First Busey Corp. | 2,103 | ||||||
| 7 | First Citizens BancShares, Inc., Class A | 1,764 | ||||||
| 1,129 | First Commonwealth Financial Corp. | 10,413 | ||||||
| 21 | First Community Bancshares, Inc. | 305 | ||||||
| 126 | First Financial Bancorp | 2,167 | ||||||
| 66 | First Financial Bankshares, Inc. | 2,070 | ||||||
| 101 | First Interstate BancSystem, Inc. | 2,751 | ||||||
| 9 | First Merchants Corp. | 188 | ||||||
| 28 | FirstMerit Corp. | 562 | ||||||
| 100 | Flushing Financial Corp. | 2,049 | ||||||
| 406 | FNB Corp. | 5,204 | ||||||
| 185 | Glacier Bancorp, Inc. | 5,253 | ||||||
| 32 | Great Southern Bancorp, Inc. | 1,022 | ||||||
| 23 | Guaranty Bancorp | 317 | ||||||
| 290 | Hancock Holding Co. | 10,250 | ||||||
| 47 | Heartland Financial USA, Inc. | 1,170 | ||||||
| 21 | Heritage Financial Corp. | 340 | ||||||
| 46 | Hudson Valley Holding Corp. | 821 | ||||||
| 54 | Lakeland Bancorp, Inc. | 581 | ||||||
| 24 | Lakeland Financial Corp. | 931 | ||||||
| 172 | MainSource Financial Group, Inc. | 2,968 | ||||||
| 105 | MB Financial, Inc. | 2,827 | ||||||
| 52 | Metro Bancorp, Inc. (a) | 1,191 | ||||||
| 41 | National Penn Bancshares, Inc. | 432 | ||||||
| 491 | OFG Bancorp, (Puerto Rico) | 9,041 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Banks — continued |
| |||||||
| 33 | OmniAmerican Bancorp, Inc. | 820 | ||||||
| 68 | Pacific Continental Corp. | 938 | ||||||
| 136 | PacWest Bancorp | 5,863 | ||||||
| 28 | Preferred Bank (a) | 662 | ||||||
| 17 | Republic Bancorp, Inc., Class A | 408 | ||||||
| 19 | S&T Bancorp, Inc. | 472 | ||||||
| 15 | Sierra Bancorp | 235 | ||||||
| 66 | Simmons First National Corp., Class A | 2,588 | ||||||
| 142 | Southwest Bancorp, Inc. | 2,414 | ||||||
| 11 | Stock Yards Bancorp, Inc. | 326 | ||||||
| 15 | Suffolk Bancorp (a) | 335 | ||||||
| 638 | Susquehanna Bancshares, Inc. | 6,734 | ||||||
| 35 | SVB Financial Group (a) | 4,128 | ||||||
| 385 | TCF Financial Corp. | 6,294 | ||||||
| 35 | Tompkins Financial Corp. | 1,667 | ||||||
| 125 | Trustmark Corp. | 3,096 | ||||||
| 163 | UMB Financial Corp. | 10,345 | ||||||
| 514 | Umpqua Holdings Corp. | 9,220 | ||||||
| 374 | Union Bankshares Corp. | 9,590 | ||||||
| 14 | Univest Corp of Pennsylvania | 288 | ||||||
| 54 | Valley National Bancorp | 531 | ||||||
| 33 | Washington Trust Bancorp, Inc. | 1,217 | ||||||
| 98 | Webster Financial Corp. | 3,075 | ||||||
| 36 | West Bancorporation, Inc. | 551 | ||||||
| 120 | Westamerica Bancorporation | 6,263 | ||||||
| 590 | Wilshire Bancorp, Inc. | 6,062 | ||||||
|
| |||||||
| 219,355 | ||||||||
|
| |||||||
Capital Markets — 1.1% |
| |||||||
| 90 | Arlington Asset Investment Corp., Class A | 2,457 | ||||||
| 204 | Cowen Group, Inc., Class A (a) | 862 | ||||||
| 30 | GAMCO Investors, Inc., Class A | 2,492 | ||||||
| 402 | Investment Technology Group, Inc. (a) | 6,777 | ||||||
| 58 | Janus Capital Group, Inc. | 729 | ||||||
| 25 | Moelis & Co. (a) | 837 | ||||||
| 49 | Oppenheimer Holdings, Inc., Class A | 1,168 | ||||||
| 41 | Piper Jaffray Cos. (a) | 2,143 | ||||||
|
| |||||||
| 17,465 | ||||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
| 96 | Nelnet, Inc., Class A | 3,973 | ||||||
| 128 | World Acceptance Corp. (a) | 9,731 | ||||||
|
| |||||||
| 13,704 | ||||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 99 | Marlin Business Services Corp. | 1,808 | ||||||
| 19 | NewStar Financial, Inc. (a) | 271 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — continued |
| |||||||
| 66 | PHH Corp. (a) | 1,507 | ||||||
| 31 | Resource America, Inc., Class A | 288 | ||||||
|
| |||||||
| 3,874 | ||||||||
|
| |||||||
Insurance — 4.5% | ||||||||
| 334 | American Equity Investment Life Holding Co. | 8,211 | ||||||
| 30 | Arch Capital Group Ltd., (Bermuda) (a) | 1,702 | ||||||
| 98 | Argo Group International Holdings Ltd., (Bermuda) | 4,987 | ||||||
| 787 | CNO Financial Group, Inc. | 14,005 | ||||||
| 10 | Global Indemnity plc, (Ireland) (a) | 260 | ||||||
| 64 | Hallmark Financial Services (a) | 685 | ||||||
| 204 | Horace Mann Educators Corp. | 6,388 | ||||||
| 166 | Meadowbrook Insurance Group, Inc. | 1,190 | ||||||
| 180 | Platinum Underwriters Holdings Ltd., (Bermuda) | 11,667 | ||||||
| 95 | Primerica, Inc. | 4,527 | ||||||
| 153 | ProAssurance Corp. | 6,780 | ||||||
| 56 | StanCorp Financial Group, Inc. | 3,552 | ||||||
| 275 | Symetra Financial Corp. | 6,263 | ||||||
|
| |||||||
| 70,217 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 12.3% |
| |||||||
| 20 | American Assets Trust, Inc. | 691 | ||||||
| 2,032 | Anworth Mortgage Asset Corp. | 10,485 | ||||||
| 171 | Apartment Investment & Management Co., Class A | 5,528 | ||||||
| 114 | Ashford Hospitality Prime, Inc. | 1,957 | ||||||
| 570 | Ashford Hospitality Trust, Inc. | 6,580 | ||||||
| 945 | Capstead Mortgage Corp. | 12,424 | ||||||
| 365 | CBL & Associates Properties, Inc. | 6,939 | ||||||
| 422 | Chambers Street Properties (m) | 3,389 | ||||||
| 291 | CoreSite Realty Corp. | 9,607 | ||||||
| 478 | CubeSmart | 8,764 | ||||||
| 1,886 | CYS Investments, Inc. | 17,012 | ||||||
| 1,661 | DCT Industrial Trust, Inc. | 13,636 | ||||||
| 277 | DiamondRock Hospitality Co. | 3,551 | ||||||
| 228 | Education Realty Trust, Inc. | 2,453 | ||||||
| 65 | EPR Properties | 3,654 | ||||||
| 618 | FelCor Lodging Trust, Inc. | 6,493 | ||||||
| 110 | First Industrial Realty Trust, Inc. | 2,063 | ||||||
| 425 | First Potomac Realty Trust (m) | 5,569 | ||||||
| 72 | Getty Realty Corp. | 1,368 | ||||||
| 64 | Gladstone Commercial Corp. | 1,137 | ||||||
| 162 | Government Properties Income Trust | 4,111 | ||||||
| 51 | Highwoods Properties, Inc. | 2,131 | ||||||
| 57 | Home Properties, Inc. | 3,665 | ||||||
| 139 | Hospitality Properties Trust | 4,213 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 69 | LaSalle Hotel Properties | 2,431 | ||||||
| 86 | LTC Properties, Inc. | 3,350 | ||||||
| 13 | Mid-America Apartment Communities, Inc. | 918 | ||||||
| 131 | Parkway Properties, Inc. | 2,707 | ||||||
| 112 | Pebblebrook Hotel Trust | 4,132 | ||||||
| 199 | Pennsylvania Real Estate Investment Trust | 3,740 | ||||||
| 265 | Potlatch Corp. | 10,971 | ||||||
| 31 | PS Business Parks, Inc. | 2,597 | ||||||
| 822 | RAIT Financial Trust | 6,800 | ||||||
| 172 | Redwood Trust, Inc. | 3,353 | ||||||
| 66 | Strategic Hotels & Resorts, Inc. (a) | 768 | ||||||
| 377 | Sunstone Hotel Investors, Inc. | 5,621 | ||||||
| 12 | Taubman Centers, Inc. | 902 | ||||||
| 256 | Washington Real Estate Investment Trust | 6,656 | ||||||
|
| |||||||
| 192,366 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.2% |
| |||||||
| 178 | Alexander & Baldwin, Inc. | 7,386 | ||||||
| 1 | Altisource Asset Management Corp., (Virgin Islands, U.S.) (a) | 506 | ||||||
| 134 | Forestar Group, Inc. (a) | 2,551 | ||||||
| 313 | St. Joe Co. (The) (a) | 7,962 | ||||||
|
| |||||||
| 18,405 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.0% |
| |||||||
| 21 | BankFinancial Corp. | 235 | ||||||
| 85 | Beneficial Mutual Bancorp, Inc. (a) | 1,147 | ||||||
| 129 | Charter Financial Corp. | 1,426 | ||||||
| 26 | ESB Financial Corp. | 340 | ||||||
| 23 | Fox Chase Bancorp, Inc. | 395 | ||||||
| 13 | Kearny Financial Corp. (a) | 191 | ||||||
| 49 | OceanFirst Financial Corp. | 808 | ||||||
| 231 | Ocwen Financial Corp. (a) | 8,552 | ||||||
| 14 | Territorial Bancorp, Inc. | 288 | ||||||
| 84 | United Financial Bancorp, Inc. | 1,142 | ||||||
| 22 | WSFS Financial Corp. | 1,628 | ||||||
|
| |||||||
| 16,152 | ||||||||
|
| |||||||
Total Financials | 551,538 | |||||||
|
| |||||||
Health Care — 5.0% | ||||||||
Biotechnology — 1.5% |
| |||||||
| 14 | Adamas Pharmaceuticals, Inc. (a) | 254 | ||||||
| 73 | Agios Pharmaceuticals, Inc. (a) | 3,331 | ||||||
| 1 | Alnylam Pharmaceuticals, Inc. (a) | 70 | ||||||
| 22 | Applied Genetic Technologies Corp. (a) | 517 | ||||||
| 69 | Ardelyx, Inc. (a) | 1,108 | ||||||
| 97 | Auspex Pharmaceuticals, Inc. (a) | 2,156 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Biotechnology — continued |
| |||||||
| 84 | Cara Therapeutics, Inc. (a) | 1,428 | ||||||
| 49 | Dicerna Pharmaceuticals, Inc. (a) | 1,101 | ||||||
| 72 | Eleven Biotherapeutics, Inc. (a) | 954 | ||||||
| 36 | Epizyme, Inc. (a) | 1,108 | ||||||
| 75 | Flexion Therapeutics, Inc. (a) | 1,008 | ||||||
| 17 | Foundation Medicine, Inc. (a) | 464 | ||||||
| 126 | Insmed, Inc. (a) | 2,508 | ||||||
| 17 | Karyopharm Therapeutics, Inc. (a) | 768 | ||||||
| 31 | Kite Pharma, Inc. (a) | 888 | ||||||
| 41 | MacroGenics, Inc. (a) | 895 | ||||||
| 4 | Ohr Pharmaceutical, Inc. (a) | 42 | ||||||
| 113 | Radius Health, Inc. (a) | 1,465 | ||||||
| 34 | Ultragenyx Pharmaceutical, Inc. (a) | 1,504 | ||||||
| 101 | Verastem, Inc. (a) | 917 | ||||||
| 29 | Zafgen, Inc. (a) | 572 | ||||||
|
| |||||||
| 23,058 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% |
| |||||||
| 35 | Inogen, Inc. (a) | 794 | ||||||
| 52 | K2M Group Holdings, Inc. (a) | 774 | ||||||
| 126 | NuVasive, Inc. (a) | 4,477 | ||||||
| 275 | PhotoMedex, Inc. (a) | 3,370 | ||||||
| 174 | SurModics, Inc. (a) | 3,727 | ||||||
| 182 | Symmetry Medical, Inc. (a) | 1,613 | ||||||
| 160 | Thoratec Corp. (a) | 5,585 | ||||||
| 33 | TriVascular Technologies, Inc. (a) | 509 | ||||||
|
| |||||||
| 20,849 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.6% |
| |||||||
| 376 | Amedisys, Inc. (a) | 6,291 | ||||||
| 72 | Centene Corp. (a) | 5,474 | ||||||
| 579 | Cross Country Healthcare, Inc. (a) | 3,772 | ||||||
| 84 | LHC Group, Inc. (a) | 1,793 | ||||||
| 165 | PharMerica Corp. (a) | 4,717 | ||||||
| 14 | Providence Service Corp. (The) (a) | 527 | ||||||
| 98 | Triple-S Management Corp., (Puerto Rico), Class B (a) | 1,753 | ||||||
|
| |||||||
| 24,327 | ||||||||
|
| |||||||
Health Care Technology — 0.0% |
| |||||||
| 19 | Imprivata, Inc. (a) | 318 | ||||||
|
| |||||||
Pharmaceuticals — 0.6% |
| |||||||
| 17 | Achaogen, Inc. (a) | 236 | ||||||
| 172 | Amphastar Pharmaceuticals, Inc. (a) | 1,722 | ||||||
| 42 | Egalet Corp. (a) | 548 | ||||||
| 69 | Phibro Animal Health Corp., Class A (a) | 1,515 | ||||||
| 31 | Questcor Pharmaceuticals, Inc. | 2,895 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Pharmaceuticals — continued |
| |||||||
| 52 | Revance Therapeutics, Inc. (a) | 1,761 | ||||||
| 17 | ZS Pharma, Inc. (a) | 483 | ||||||
|
| |||||||
| 9,160 | ||||||||
|
| |||||||
Total Health Care | 77,712 | |||||||
|
| |||||||
Industrials — 13.8% |
| |||||||
Aerospace & Defense — 1.3% |
| |||||||
| 496 | AAR Corp. (m) | 13,681 | ||||||
| 189 | Engility Holdings, Inc. (a) | 7,216 | ||||||
|
| |||||||
| 20,897 | ||||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 35 | Alaska Air Group, Inc. | 3,365 | ||||||
| 227 | Republic Airways Holdings, Inc. (a) | 2,465 | ||||||
| 377 | SkyWest, Inc. | 4,607 | ||||||
|
| |||||||
| 10,437 | ||||||||
|
| |||||||
Building Products — 0.7% |
| |||||||
| 368 | Gibraltar Industries, Inc. (a) | 5,706 | ||||||
| 385 | PGT, Inc. (a) | 3,261 | ||||||
| 62 | Trex Co., Inc. (a) | 1,793 | ||||||
|
| |||||||
| 10,760 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.2% |
| |||||||
| 153 | ABM Industries, Inc. (m) | 4,125 | ||||||
| 885 | ACCO Brands Corp. (a) (m) | 5,676 | ||||||
| 654 | ARC Document Solutions, Inc. (a) (m) | 3,835 | ||||||
| 1,637 | Cenveo, Inc. (a) | 6,074 | ||||||
| 21 | Ennis, Inc. | 325 | ||||||
| 62 | G&K Services, Inc., Class A | 3,214 | ||||||
| 103 | HNI Corp. | 4,017 | ||||||
| 64 | Kimball International, Inc., Class B | 1,068 | ||||||
| 252 | Quad/Graphics, Inc. | 5,637 | ||||||
| 145 | R.R. Donnelley & Sons Co. | 2,460 | ||||||
| 219 | Steelcase, Inc., Class A | 3,310 | ||||||
| 264 | United Stationers, Inc. | 10,944 | ||||||
|
| |||||||
| 50,685 | ||||||||
|
| |||||||
Construction & Engineering — 1.2% |
| |||||||
| 139 | Argan, Inc. | 5,195 | ||||||
| 122 | Comfort Systems USA, Inc. | 1,931 | ||||||
| 266 | EMCOR Group, Inc. | 11,858 | ||||||
| 45 | Orion Marine Group, Inc. (a) | 483 | ||||||
|
| |||||||
| 19,467 | ||||||||
|
| |||||||
Electrical Equipment — 0.2% |
| |||||||
| 123 | LSI Industries, Inc. | 979 | ||||||
| 16 | Polypore International, Inc. (a) | 745 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — continued |
| |||||||
| 15 | Powell Industries, Inc. | 986 | ||||||
|
| |||||||
| 2,710 | ||||||||
|
| |||||||
Machinery — 3.0% |
| |||||||
| 83 | AGCO Corp. (m) | 4,655 | ||||||
| 458 | Briggs & Stratton Corp. | 9,365 | ||||||
| 230 | Douglas Dynamics, Inc. | 4,054 | ||||||
| 174 | Federal Signal Corp. | 2,546 | ||||||
| 46 | FreightCar America, Inc. | 1,162 | ||||||
| 56 | Hurco Cos., Inc. | 1,576 | ||||||
| 60 | Hyster-Yale Materials Handling, Inc. | 5,304 | ||||||
| 115 | Kadant, Inc. | 4,406 | ||||||
| 1 | Middleby Corp. (The) (a) | 83 | ||||||
| 50 | Mueller Industries, Inc. | 1,478 | ||||||
| 256 | Mueller Water Products, Inc., Class A | 2,214 | ||||||
| 78 | Standex International Corp. | 5,787 | ||||||
| 161 | Wabash National Corp. (a) | 2,293 | ||||||
| 18 | Watts Water Technologies, Inc., Class A | 1,117 | ||||||
|
| |||||||
| 46,040 | ||||||||
|
| |||||||
Marine — 0.2% |
| |||||||
| 37 | Baltic Trading Ltd. | 224 | ||||||
| 51 | International Shipholding Corp. | 1,162 | ||||||
| 51 | Matson, Inc. | 1,363 | ||||||
|
| |||||||
| 2,749 | ||||||||
|
| |||||||
Professional Services — 1.6% |
| |||||||
| 140 | Barrett Business Services, Inc. | 6,561 | ||||||
| 342 | FTI Consulting, Inc. (a) | 12,938 | ||||||
| 29 | Paylocity Holding Corp. (a) | 623 | ||||||
| 156 | RPX Corp. (a) | 2,775 | ||||||
| 26 | VSE Corp. | 1,836 | ||||||
|
| |||||||
| 24,733 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
| 4 | AMERCO | 1,163 | ||||||
| 187 | ArcBest Corp. | 8,141 | ||||||
| 43 | Celadon Group, Inc. | 925 | ||||||
| 8 | Heartland Express, Inc. | 169 | ||||||
| 11 | PAM Transportation Services, Inc. (a) | 310 | ||||||
| 196 | Quality Distribution, Inc. (a) | 2,907 | ||||||
| 28 | Saia, Inc. (a) | 1,210 | ||||||
| 34 | USA Truck, Inc. (a) | 633 | ||||||
|
| |||||||
| 15,458 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
| 216 | Applied Industrial Technologies, Inc. | 10,945 | ||||||
|
| |||||||
Total Industrials | 214,881 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Information Technology — 11.9% | ||||||||
Communications Equipment — 1.3% | ||||||||
| 32 | Bel Fuse, Inc., Class B | 815 | ||||||
| 127 | Black Box Corp. | 2,984 | ||||||
| 73 | Calix, Inc. (a) | 593 | ||||||
| 214 | Ciena Corp. (a) | 4,635 | ||||||
| 17 | Clearfield, Inc. (a) | 277 | ||||||
| 229 | Comtech Telecommunications Corp. | 8,554 | ||||||
| 334 | Harmonic, Inc. (a) | 2,494 | ||||||
| 29 | Oplink Communications, Inc. (a) | 497 | ||||||
|
| |||||||
| 20,849 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.2% |
| |||||||
| 15 | Anixter International, Inc. | 1,521 | ||||||
| 333 | Benchmark Electronics, Inc. (a) | 8,480 | ||||||
| 107 | Checkpoint Systems, Inc. (a) | 1,496 | ||||||
| 44 | Cognex Corp. (a) | 1,684 | ||||||
| 84 | Coherent, Inc. (a) | 5,545 | ||||||
| 96 | Insight Enterprises, Inc. (a) | 2,945 | ||||||
| 12 | Multi-Fineline Electronix, Inc. (a) | 131 | ||||||
| 135 | Newport Corp. (a) | 2,499 | ||||||
| 88 | ScanSource, Inc. (a) | 3,366 | ||||||
| 69 | Tech Data Corp. (a) | 4,308 | ||||||
| 1 | Uni-Pixel, Inc. (a) | 5 | ||||||
| 123 | Vishay Intertechnology, Inc. | 1,908 | ||||||
|
| |||||||
| 33,888 | ||||||||
|
| |||||||
Internet Software & Services — 0.6% | ||||||||
| 26 | Amber Road, Inc. (a) | 418 | ||||||
| 88 | Benefitfocus, Inc. (a) | 4,063 | ||||||
| 44 | Five9, Inc. (a) | 313 | ||||||
| 546 | Intralinks Holdings, Inc. (a) | 4,855 | ||||||
| 2 | OPOWER, Inc. (a) | 44 | ||||||
| 4 | Q2 Holdings, Inc. (a) | 56 | ||||||
| 15 | Xoom Corp. (a) | 401 | ||||||
|
| |||||||
| 10,150 | ||||||||
|
| |||||||
IT Services — 2.1% | ||||||||
| 114 | CSG Systems International, Inc. | 2,966 | ||||||
| 3 | Euronet Worldwide, Inc. (a) | 123 | ||||||
| 30 | EVERTEC, Inc., (Puerto Rico) | 727 | ||||||
| 274 | Global Cash Access Holdings, Inc. (a) | 2,441 | ||||||
| 50 | Hackett Group, Inc. (The) | 299 | ||||||
| 111 | ManTech International Corp., Class A | 3,286 | ||||||
| 430 | MoneyGram International, Inc. (a) | 6,331 | ||||||
| 245 | NeuStar, Inc., Class A (a) | 6,385 | ||||||
| 86 | Sykes Enterprises, Inc. (a) | 1,875 | ||||||
| 323 | Unisys Corp. (a) | 7,993 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — continued | ||||||||
| 27 | Vantiv, Inc., Class A (a) | 911 | ||||||
|
| |||||||
| 33,337 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
| 411 | Amkor Technology, Inc. (a) | 4,597 | ||||||
| 74 | Cirrus Logic, Inc. (a) | 1,683 | ||||||
| 244 | DSP Group, Inc. (a) | 2,075 | ||||||
| 90 | First Solar, Inc. (a) | 6,374 | ||||||
| 125 | GT Advanced Technologies, Inc. (a) | 2,325 | ||||||
| 58 | IXYS Corp. | 710 | ||||||
| 68 | Pericom Semiconductor Corp. (a) | 615 | ||||||
| 266 | Photronics, Inc. (a) | 2,287 | ||||||
| 497 | RF Micro Devices, Inc. (a) | 4,767 | ||||||
| 692 | Spansion, Inc., Class A (a) | 14,585 | ||||||
| 117 | SunPower Corp. (a) | 4,811 | ||||||
| 110 | Ultra Clean Holdings, Inc. (a) | 992 | ||||||
| 401 | Xcerra Corp. (a) | 3,649 | ||||||
|
| |||||||
| 49,470 | ||||||||
|
| |||||||
Software — 2.2% | ||||||||
| 159 | A10 Networks, Inc. (a) | 2,111 | ||||||
| 132 | Actuate Corp. (a) | 631 | ||||||
| 120 | Aspen Technology, Inc. (a) | 5,582 | ||||||
| 56 | Fair Isaac Corp. | 3,539 | ||||||
| 48 | Paycom Software, Inc. (a) | 706 | ||||||
| 41 | Rubicon Project, Inc. (The) (a) | 520 | ||||||
| 135 | Take-Two Interactive Software, Inc. (a) | 3,011 | ||||||
| 133 | TeleCommunication Systems, Inc., Class A (a) | 436 | ||||||
| 1,333 | TiVo, Inc. (a) | 17,207 | ||||||
| 14 | Varonis Systems, Inc. (a) | 397 | ||||||
|
| |||||||
| 34,140 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
| 402 | Avid Technology, Inc. (a) | 2,978 | ||||||
| 102 | QLogic Corp. (a) | 1,031 | ||||||
|
| |||||||
| 4,009 | ||||||||
|
| |||||||
Total Information Technology | 185,843 | |||||||
|
| |||||||
Materials — 4.0% | ||||||||
Chemicals — 1.5% | ||||||||
| 214 | Minerals Technologies, Inc. | 14,008 | ||||||
| 207 | Olin Corp. | 5,567 | ||||||
| 138 | Tredegar Corp. | 3,219 | ||||||
|
| |||||||
| 22,794 | ||||||||
|
| |||||||
Containers & Packaging — 0.6% | ||||||||
| 549 | Graphic Packaging Holding Co. (a) | 6,427 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Containers & Packaging — continued | ||||||||
| 129 | Myers Industries, Inc. | 2,593 | ||||||
|
| |||||||
| 9,020 | ||||||||
|
| |||||||
Metals & Mining — 1.1% | ||||||||
| 152 | AM Castle & Co. (a) | 1,681 | ||||||
| 5 | Ampco-Pittsburgh Corp. | 116 | ||||||
| 234 | Coeur Mining, Inc. (a) | 2,146 | ||||||
| 51 | Olympic Steel, Inc. | 1,250 | ||||||
| 34 | Schnitzer Steel Industries, Inc., Class A | 894 | ||||||
| 272 | Worthington Industries, Inc. | 11,707 | ||||||
|
| |||||||
| 17,794 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% | ||||||||
| 110 | Domtar Corp., (Canada) | 4,714 | ||||||
| 41 | PH Glatfelter Co. | 1,091 | ||||||
| 113 | Resolute Forest Products, Inc., (Canada) (a) | 1,899 | ||||||
| 97 | Schweitzer-Mauduit International, Inc. | 4,244 | ||||||
|
| |||||||
| 11,948 | ||||||||
|
| |||||||
Total Materials | 61,556 | |||||||
|
| |||||||
Telecommunication Services — 0.7% | ||||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 101 | FairPoint Communications, Inc. (a) | 1,406 | ||||||
| 482 | Inteliquent, Inc. | 6,681 | ||||||
| 40 | magicJack VocalTec Ltd., (Israel) (a) | 609 | ||||||
| 466 | Vonage Holdings Corp. (a) | 1,747 | ||||||
|
| |||||||
Total Telecommunication Services | 10,443 | |||||||
|
| |||||||
Utilities — 5.8% | ||||||||
Electric Utilities — 2.5% | ||||||||
| 259 | El Paso Electric Co. | 10,402 | ||||||
| 124 | PNM Resources, Inc. | 3,631 | ||||||
| 536 | Portland General Electric Co. | 18,580 | ||||||
| 45 | Unitil Corp. | 1,519 | ||||||
| 88 | UNS Energy Corp. | 5,328 | ||||||
|
| |||||||
| 39,460 | ||||||||
|
| |||||||
Gas Utilities — 1.6% | ||||||||
| 74 | AGL Resources, Inc. (m) | 4,072 | ||||||
| 18 | Chesapeake Utilities Corp. | 1,270 | ||||||
| 224 | Laclede Group, Inc. (The) | 10,890 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — continued | ||||||||
| 40 | Piedmont Natural Gas Co., Inc. | 1,485 | ||||||
| 131 | Southwest Gas Corp. | 6,915 | ||||||
|
| |||||||
| 24,632 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.3% |
| |||||||
| 973 | Atlantic Power Corp. | 3,988 | ||||||
| 38 | Dynegy, Inc. (a) | 1,316 | ||||||
|
| |||||||
| 5,304 | ||||||||
|
| |||||||
Multi-Utilities — 1.3% | ||||||||
| 300 | Avista Corp. | 10,056 | ||||||
| 194 | NorthWestern Corp. | 10,135 | ||||||
|
| |||||||
| 20,191 | ||||||||
|
| |||||||
Water Utilities — 0.1% | ||||||||
| 56 | California Water Service Group | 1,353 | ||||||
|
| |||||||
Total Utilities | 90,940 | |||||||
|
| |||||||
Total Common Stocks | 1,498,983 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.3% | |||||||
| 5,165 | U.S. Treasury Note, 0.250%, 11/30/14 (k) (m) | 5,168 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 3.6% | |||||||
Investment Company — 3.6% | ||||||||
| 56,903 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 56,903 | ||||||
|
| |||||||
Total Investments — 100.1% | 1,561,054 | |||||||
Liabilities in Excess of | (1,900 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,559,154 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 493 | E-mini Russell 2000 | 09/19/14 | $ | 58,682 | $ | 1,414 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 94.4% | |||||||
Consumer Discretionary — 13.2% | ||||||||
Auto Components — 2.2% | ||||||||
| 274 | Dana Holding Corp. | 6,691 | ||||||
| 345 | Stoneridge, Inc. (a) | 3,701 | ||||||
| 63 | Tower International, Inc. (a) | 2,317 | ||||||
|
| |||||||
| 12,709 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.3% | ||||||||
| 63 | 2U, Inc. (a) | 1,056 | ||||||
| 13 | Chegg, Inc. (a) | 88 | ||||||
| 4 | Collectors Universe, Inc. | 86 | ||||||
| 29 | ServiceMaster Global Holdings, Inc. (a) | 534 | ||||||
| 109 | Strayer Education, Inc. (a) | 5,724 | ||||||
|
| |||||||
| 7,488 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% | ||||||||
| 4 | Biglari Holdings, Inc. (a) | 1,734 | ||||||
| 33 | Interval Leisure Group, Inc. | 724 | ||||||
| 6 | Jack in the Box, Inc. | 377 | ||||||
| 31 | La Quinta Holdings, Inc. (a) | 601 | ||||||
| 28 | Red Robin Gourmet Burgers, Inc. (a) | 2,015 | ||||||
| 169 | Sonic Corp. (a) | 3,736 | ||||||
|
| |||||||
| 9,187 | ||||||||
|
| |||||||
Household Durables — 0.6% | ||||||||
| 14 | Century Communities, Inc. (a) | 319 | ||||||
| 27 | CSS Industries, Inc. | 699 | ||||||
| 15 | GoPro, Inc., Class A (a) | 596 | ||||||
| 37 | Leggett & Platt, Inc. | 1,275 | ||||||
| 48 | Lifetime Brands, Inc. | 748 | ||||||
| 3 | NACCO Industries, Inc., Class A | 157 | ||||||
|
| |||||||
| 3,794 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.0% | ||||||||
| 13 | Coupons.com, Inc. (a) | 331 | ||||||
|
| |||||||
Media — 1.1% | ||||||||
| 82 | Entercom Communications Corp., Class A (a) | 876 | ||||||
| 130 | Harte-Hanks, Inc. | 934 | ||||||
| 202 | Lee Enterprises, Inc. (a) | 899 | ||||||
| 49 | Markit Ltd., (United Kingdom) (a) | 1,314 | ||||||
| 69 | Radio One, Inc.,, Class D (a) | 340 | ||||||
| 195 | Sizmek, Inc. (a) | 1,857 | ||||||
|
| |||||||
| 6,220 | ||||||||
|
| |||||||
Multiline Retail — 1.0% | ||||||||
| 43 | Bon-Ton Stores, Inc. (The) | 442 | ||||||
| 46 | Dillard’s, Inc., Class A | 5,318 | ||||||
|
| |||||||
| 5,760 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 4.0% | ||||||||
| 37 | ANN, Inc. (a) | 1,510 | ||||||
| 216 | Barnes & Noble, Inc. (a) | 4,920 | ||||||
| 28 | Brown Shoe Co., Inc. | 792 | ||||||
| 92 | Children’s Place, Inc. (The) | 4,576 | ||||||
| 21 | Conn’s, Inc. (a) | 1,018 | ||||||
| 61 | Express, Inc. (a) | 1,034 | ||||||
| 28 | Guess?, Inc. | 759 | ||||||
| 585 | hhgregg, Inc. (a) | 5,946 | ||||||
| 16 | Michaels Cos., Inc. (The) (a) | 264 | ||||||
| 31 | Outerwall, Inc. (a) | 1,864 | ||||||
| 8 | Rent-A-Center, Inc. | 241 | ||||||
| 17 | Systemax, Inc. (a) | 240 | ||||||
|
| |||||||
| 23,164 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% | ||||||||
| 161 | Iconix Brand Group, Inc. (a) | 6,931 | ||||||
| 36 | Unifi, Inc. (a) | 980 | ||||||
|
| |||||||
| 7,911 | ||||||||
|
| |||||||
Total Consumer Discretionary | 76,564 | |||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
Food & Staples Retailing — 1.5% | ||||||||
| 941 | Rite Aid Corp. (a) | 6,747 | ||||||
| 306 | Roundy’s, Inc. | 1,685 | ||||||
|
| |||||||
| 8,432 | ||||||||
|
| |||||||
Food Products — 1.4% | ||||||||
| 34 | B&G Foods, Inc. | 1,095 | ||||||
| 159 | Chiquita Brands International, Inc. (a) | 1,728 | ||||||
| 52 | Pilgrim’s Pride Corp. (a) | 1,434 | ||||||
| 52 | Pinnacle Foods, Inc. | 1,724 | ||||||
| 21 | Sanderson Farms, Inc. | 2,041 | ||||||
| 11 | Seneca Foods Corp., Class A (a) | 321 | ||||||
|
| |||||||
| 8,343 | ||||||||
|
| |||||||
Personal Products — 0.4% | ||||||||
| 7 | Herbalife Ltd. | 471 | ||||||
| 1 | IGI Laboratories, Inc. (a) | 3 | ||||||
| 6 | Inter Parfums, Inc. | 186 | ||||||
| 24 | USANA Health Sciences, Inc. (a) | 1,883 | ||||||
|
| |||||||
| 2,543 | ||||||||
|
| |||||||
Tobacco — 0.2% |
| |||||||
| 23 | Universal Corp. | 1,273 | ||||||
|
| |||||||
Total Consumer Staples | 20,591 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy — 6.5% |
| |||||||
Energy Equipment & Services — 2.4% |
| |||||||
| 52 | Basic Energy Services, Inc. (a) | 1,531 | ||||||
| 6 | Dawson Geophysical Co. | 181 | ||||||
| 115 | Exterran Holdings, Inc. | 5,187 | ||||||
| 64 | Helix Energy Solutions Group, Inc. (a) | 1,681 | ||||||
| 95 | Pioneer Energy Services Corp. (a) | 1,661 | ||||||
| 46 | SEACOR Holdings, Inc. (a) | 3,792 | ||||||
|
| |||||||
| 14,033 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.1% |
| |||||||
| 922 | Abraxas Petroleum Corp. (a) (m) | 5,772 | ||||||
| 3 | Adams Resources & Energy, Inc. (m) | 265 | ||||||
| 48 | Alon USA Energy, Inc. | 600 | ||||||
| 26 | Clayton Williams Energy, Inc. (a) | 3,572 | ||||||
| 77 | Cloud Peak Energy, Inc. (a) | 1,427 | ||||||
| 36 | Comstock Resources, Inc. | 1,027 | ||||||
| 9 | Contango Oil & Gas Co. (a) | 377 | ||||||
| 13 | Delek U.S. Holdings, Inc. | 367 | ||||||
| 42 | Energy XXI Bermuda Ltd., (Bermuda) | 986 | ||||||
| 63 | Equal Energy Ltd. | 340 | ||||||
| 27 | Green Plains, Inc. | 894 | ||||||
| 1 | Isramco, Inc. (a) | 129 | ||||||
| 13 | Memorial Resource Development Corp. (a) | 312 | ||||||
| 6 | Parsley Energy, Inc., Class A (a) | 152 | ||||||
| 27 | Renewable Energy Group, Inc. (a) | 312 | ||||||
| 52 | REX American Resources Corp. (a) | 3,841 | ||||||
| 35 | Stone Energy Corp. (a) | 1,619 | ||||||
| 41 | VAALCO Energy, Inc. (a) | 295 | ||||||
| 29 | Western Refining, Inc. | 1,100 | ||||||
| 6 | Westmoreland Coal Co. (a) | 229 | ||||||
|
| |||||||
| 23,616 | ||||||||
|
| |||||||
Total Energy | 37,649 | |||||||
|
| |||||||
Financials — 20.3% |
| |||||||
Banks — 6.7% |
| |||||||
| 23 | 1st Source Corp. | 704 | ||||||
| 45 | BancFirst Corp. | 2,792 | ||||||
| 97 | BancorpSouth, Inc. | 2,381 | ||||||
| 23 | Banner Corp. | 911 | ||||||
| 34 | BBCN Bancorp, Inc. | 542 | ||||||
| 101 | Capital Bank Financial Corp., Class A (a) | 2,375 | ||||||
| 37 | Cathay General Bancorp | 951 | ||||||
| 122 | Central Pacific Financial Corp. | 2,412 | ||||||
| 15 | Chemical Financial Corp. | 427 | ||||||
| 9 | Citizens & Northern Corp. | 173 | ||||||
| 24 | City Holding Co. | 1,087 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 29 | CoBiz Financial, Inc. | 310 | ||||||
| 164 | CVB Financial Corp. | 2,629 | ||||||
| 4 | East West Bancorp, Inc. | 130 | ||||||
| 209 | First Commonwealth Financial Corp. | 1,929 | ||||||
| 7 | First Financial Bancorp | 119 | ||||||
| 23 | First Interstate BancSystem, Inc. | 612 | ||||||
| 52 | Flushing Financial Corp. | 1,077 | ||||||
| 60 | FNB Corp. | 772 | ||||||
| 17 | Guaranty Bancorp | 232 | ||||||
| 10 | Independent Bank Corp. | 122 | ||||||
| 19 | MainSource Financial Group, Inc. | 335 | ||||||
| 29 | National Penn Bancshares, Inc. | 310 | ||||||
| 104 | OFG Bancorp, (Puerto Rico) | 1,918 | ||||||
| 15 | OmniAmerican Bancorp, Inc. | 365 | ||||||
| 27 | PacWest Bancorp | 1,153 | ||||||
| 10 | Sierra Bancorp | 156 | ||||||
| 28 | Simmons First National Corp., Class A | 1,095 | ||||||
| 41 | Southwest Bancorp, Inc. | 693 | ||||||
| 53 | Suffolk Bancorp (a) | 1,180 | ||||||
| 57 | Susquehanna Bancshares, Inc. | 597 | ||||||
| 5 | SVB Financial Group (a) | 618 | ||||||
| 98 | TCF Financial Corp. | 1,603 | ||||||
| 15 | UMB Financial Corp. | 932 | ||||||
| 124 | Union Bankshares Corp. | 3,191 | ||||||
| 8 | Webster Financial Corp. | 265 | ||||||
| 43 | West Bancorporation, Inc. | 661 | ||||||
| 13 | Westamerica Bancorporation | 659 | ||||||
| 75 | Wilshire Bancorp, Inc. | 773 | ||||||
|
| |||||||
| 39,191 | ||||||||
|
| |||||||
Capital Markets — 1.2% |
| |||||||
| 23 | Arlington Asset Investment Corp., Class A | 629 | ||||||
| 8 | Artisan Partners Asset Management, Inc., Class A | 477 | ||||||
| 27 | FBR & Co. (a) | 738 | ||||||
| 14 | Federated Investors, Inc., Class B | 436 | ||||||
| 11 | Greenhill & Co., Inc. | 517 | ||||||
| 216 | Investment Technology Group, Inc. (a) | 3,644 | ||||||
| 8 | Moelis & Co. (a) | 282 | ||||||
|
| |||||||
| 6,723 | ||||||||
|
| |||||||
Consumer Finance — 1.2% |
| |||||||
| 4 | Credit Acceptance Corp. (a) | 517 | ||||||
| 41 | Nelnet, Inc., Class A | 1,715 | ||||||
| 35 | Portfolio Recovery Associates, Inc. (a) | 2,060 | ||||||
| 38 | World Acceptance Corp. (a) | 2,863 | ||||||
|
| |||||||
| 7,155 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Diversified Financial Services — 0.2% |
| |||||||
| 46 | Marlin Business Services Corp. | 829 | ||||||
|
| |||||||
Insurance — 2.3% |
| |||||||
| 107 | American Equity Investment Life Holding Co. | 2,642 | ||||||
| 9 | Aspen Insurance Holdings Ltd., (Bermuda) | 427 | ||||||
| 170 | CNO Financial Group, Inc. | 3,021 | ||||||
| 4 | Federated National Holding Co. | 112 | ||||||
| 8 | Global Indemnity plc, (Ireland) (a) | 218 | ||||||
| 22 | Navigators Group, Inc. (The) (a) | 1,442 | ||||||
| 43 | Platinum Underwriters Holdings Ltd., (Bermuda) | 2,788 | ||||||
| 23 | Primerica, Inc. | 1,101 | ||||||
| 34 | ProAssurance Corp. | 1,510 | ||||||
| 5 | Stewart Information Services Corp. | 161 | ||||||
|
| |||||||
| 13,422 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.3% |
| |||||||
| 42 | American Assets Trust, Inc. | 1,448 | ||||||
| 161 | Anworth Mortgage Asset Corp. | 832 | ||||||
| 4 | Ashford Hospitality Prime, Inc. | 67 | ||||||
| 19 | Ashford Hospitality Trust, Inc. | 223 | ||||||
| 8 | Associated Estates Realty Corp. | 150 | ||||||
| 23 | BioMed Realty Trust, Inc. | 502 | ||||||
| 216 | Capstead Mortgage Corp. | 2,846 | ||||||
| 46 | CBL & Associates Properties, Inc. | 876 | ||||||
| 136 | CoreSite Realty Corp. | 4,504 | ||||||
| 10 | Cousins Properties, Inc. | 129 | ||||||
| 638 | CYS Investments, Inc. | 5,757 | ||||||
| 87 | DCT Industrial Trust, Inc. | 713 | ||||||
| 46 | DiamondRock Hospitality Co. | 589 | ||||||
| 25 | EastGroup Properties, Inc. | 1,612 | ||||||
| 27 | EPR Properties | 1,520 | ||||||
| 17 | Equity Lifestyle Properties, Inc. | 742 | ||||||
| 25 | FelCor Lodging Trust, Inc. | 264 | ||||||
| 18 | First Industrial Realty Trust, Inc. | 345 | ||||||
| 40 | Franklin Street Properties Corp. | 501 | ||||||
| 10 | Gladstone Commercial Corp. | 186 | ||||||
| 25 | Home Properties, Inc. | 1,573 | ||||||
| 45 | Hospitality Properties Trust | 1,368 | ||||||
| 71 | LTC Properties, Inc. | 2,760 | ||||||
| 18 | National Retail Properties, Inc. | 662 | ||||||
| 45 | Pennsylvania Real Estate Investment Trust | 837 | ||||||
| 24 | Post Properties, Inc. | 1,262 | ||||||
| 84 | Potlatch Corp. | 3,490 | ||||||
| 7 | PS Business Parks, Inc. | 609 | ||||||
| 22 | RAIT Financial Trust | 185 | ||||||
| 84 | Ramco-Gershenson Properties Trust | 1,393 | ||||||
| 22 | Saul Centers, Inc. | 1,069 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 214 | Strategic Hotels & Resorts, Inc. (a) | 2,502 | ||||||
| 15 | Taubman Centers, Inc. | 1,114 | ||||||
|
| |||||||
| 42,630 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
| 59 | Alexander & Baldwin, Inc. | 2,433 | ||||||
| 8 | St. Joe Co. (The) (a) | 214 | ||||||
|
| |||||||
| 2,647 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.9% |
| |||||||
| 10 | Astoria Financial Corp. | 133 | ||||||
| 8 | BankFinancial Corp. | 93 | ||||||
| 28 | Beneficial Mutual Bancorp, Inc. (a) | 382 | ||||||
| 8 | Capitol Federal Financial, Inc. | 101 | ||||||
| 96 | NMI Holdings, Inc., Class A (a) | 1,012 | ||||||
| 31 | OceanFirst Financial Corp. | 512 | ||||||
| 85 | Ocwen Financial Corp. (a) | 3,150 | ||||||
|
| |||||||
| 5,383 | ||||||||
|
| |||||||
Total Financials | 117,980 | |||||||
|
| |||||||
Health Care — 12.7% |
| |||||||
Biotechnology — 4.2% |
| |||||||
| 113 | ACADIA Pharmaceuticals, Inc. (a) (m) | 2,557 | ||||||
| 6 | Adamas Pharmaceuticals, Inc. (a) (m) | 113 | ||||||
| 4 | Agios Pharmaceuticals, Inc. (a) (m) | 192 | ||||||
| 67 | Alnylam Pharmaceuticals, Inc. (a) | 4,239 | ||||||
| 8 | Applied Genetic Technologies Corp. (a) | 181 | ||||||
| 25 | Ardelyx, Inc. (a) | 404 | ||||||
| 2 | Auspex Pharmaceuticals, Inc. (a) | 47 | ||||||
| 29 | Cara Therapeutics, Inc. (a) | 499 | ||||||
| 33 | Cerulean Pharma, Inc. (a) | 189 | ||||||
| 73 | ChemoCentryx, Inc. (a) | 428 | ||||||
| 44 | Chimerix, Inc. (a) | 965 | ||||||
| 21 | Dicerna Pharmaceuticals, Inc. (a) | 472 | ||||||
| 25 | Eleven Biotherapeutics, Inc. (a) | 331 | ||||||
| 27 | Flexion Therapeutics, Inc. (a) | 367 | ||||||
| 8 | Foundation Medicine, Inc. (a) | 226 | ||||||
| 6 | Karyopharm Therapeutics, Inc. (a) | 293 | ||||||
| 11 | Kite Pharma, Inc. (a) | 324 | ||||||
| 46 | MacroGenics, Inc. (a) | 1,002 | ||||||
| 105 | Merrimack Pharmaceuticals, Inc. (a) | 767 | ||||||
| 105 | NPS Pharmaceuticals, Inc. (a) | 3,464 | ||||||
| 34 | Puma Biotechnology, Inc. (a) | 2,211 | ||||||
| 23 | Synageva BioPharma Corp. (a) | 2,421 | ||||||
| 63 | Trius Therapeutics, Inc. (a) (i) | — | ||||||
| 11 | Ultragenyx Pharmaceutical, Inc. (a) | 471 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Biotechnology — continued |
| |||||||
| 38 | Versartis, Inc. (a) | 1,057 | ||||||
| 111 | Xencor, Inc. (a) | 1,290 | ||||||
| 11 | Zafgen, Inc. (a) | 208 | ||||||
|
| |||||||
| 24,718 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
| 84 | CONMED Corp. | 3,726 | ||||||
| 15 | Inogen, Inc. (a) | 329 | ||||||
| 19 | K2M Group Holdings, Inc. (a) | 280 | ||||||
| 45 | NuVasive, Inc. (a) | 1,604 | ||||||
| 246 | PhotoMedex, Inc. (a) | 3,013 | ||||||
| 171 | SurModics, Inc. (a) | 3,654 | ||||||
| 25 | TriVascular Technologies, Inc. (a) | 391 | ||||||
| 46 | Wright Medical Group, Inc. (a) | 1,448 | ||||||
|
| |||||||
| 14,445 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% | ||||||||
| 25 | Adeptus Health, Inc., Class A (a) (m) | 637 | ||||||
| 63 | Amedisys, Inc. (a) | 1,061 | ||||||
| 42 | Centene Corp. (a) | 3,206 | ||||||
| 467 | Cross Country Healthcare, Inc. (a) | 3,043 | ||||||
| 23 | HealthSouth Corp. | 825 | ||||||
| 36 | LHC Group, Inc. (a) | 761 | ||||||
| 6 | Magellan Health, Inc. (a) | 392 | ||||||
| 65 | Owens & Minor, Inc. | 2,209 | ||||||
| 80 | PharMerica Corp. (a) | 2,276 | ||||||
| 15 | Providence Service Corp. (The) (a) | 556 | ||||||
| 25 | RadNet, Inc. (a) | 166 | ||||||
|
| |||||||
| 15,132 | ||||||||
|
| |||||||
Health Care Technology — 0.9% |
| |||||||
| 107 | Castlight Health, Inc., Class B (a) | 1,625 | ||||||
| 25 | Imprivata, Inc. (a) | 411 | ||||||
| 109 | MedAssets, Inc. (a) | 2,490 | ||||||
| 19 | Veeva Systems, Inc., Class A (a) | 478 | ||||||
|
| |||||||
| 5,004 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 13 | PAREXEL International Corp. (a) | 692 | ||||||
|
| |||||||
Pharmaceuticals — 2.4% |
| |||||||
| 6 | Achaogen, Inc. (a) (m) | 86 | ||||||
| 65 | Amphastar Pharmaceuticals, Inc. (a) | 650 | ||||||
| 99 | BioDelivery Sciences International, Inc. (a) | 1,189 | ||||||
| 15 | Egalet Corp. (a) | 202 | ||||||
| 36 | Pacira Pharmaceuticals, Inc. (a) | 3,270 | ||||||
| 3 | Pain Therapeutics, Inc. (a) | 18 | ||||||
| 25 | Phibro Animal Health Corp., Class A (a) | 551 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — continued |
| |||||||
| 60 | Prestige Brands Holdings, Inc. (a) | 2,040 | ||||||
| 55 | Questcor Pharmaceuticals, Inc. | 5,041 | ||||||
| 21 | Revance Therapeutics, Inc. (a) | 711 | ||||||
| 6 | ZS Pharma, Inc. (a) | 181 | ||||||
|
| |||||||
| 13,939 | ||||||||
|
| |||||||
Total Health Care | 73,930 | |||||||
|
| |||||||
Industrials — 13.9% |
| |||||||
Aerospace & Defense — 2.2% |
| |||||||
| 210 | AAR Corp. (m) | 5,777 | ||||||
| 57 | Engility Holdings, Inc. (a) | 2,165 | ||||||
| 356 | Taser International, Inc. (a) | 4,732 | ||||||
|
| |||||||
| 12,674 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
| 10 | Park-Ohio Holdings Corp. | 575 | ||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
| 45 | Alaska Air Group, Inc. (m) | 4,287 | ||||||
|
| |||||||
Building Products — 0.5% |
| |||||||
| 118 | Gibraltar Industries, Inc. (a) | 1,836 | ||||||
| 11 | Nortek, Inc. (a) | 943 | ||||||
| 11 | Trex Co., Inc. (a) | 303 | ||||||
|
| |||||||
| 3,082 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.2% |
| |||||||
| 52 | ACCO Brands Corp. (a) (m) | 335 | ||||||
| 276 | ARC Document Solutions, Inc. (a) (m) | 1,618 | ||||||
| 46 | Deluxe Corp. | 2,700 | ||||||
| 18 | G&K Services, Inc., Class A | 958 | ||||||
| 28 | Quad/Graphics, Inc. | 633 | ||||||
| 27 | R.R. Donnelley & Sons Co. | 457 | ||||||
| 20 | Steelcase, Inc., Class A | 309 | ||||||
| 139 | United Stationers, Inc. | 5,756 | ||||||
|
| |||||||
| 12,766 | ||||||||
|
| |||||||
Construction & Engineering — 1.0% |
| |||||||
| 42 | Argan, Inc. | 1,578 | ||||||
| 99 | EMCOR Group, Inc. | 4,386 | ||||||
| 5 | Orion Marine Group, Inc. (a) | 55 | ||||||
|
| |||||||
| 6,019 | ||||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
| 29 | Acuity Brands, Inc. (m) | 3,982 | ||||||
| 88 | Polypore International, Inc. (a) | 4,200 | ||||||
|
| |||||||
| 8,182 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Machinery — 2.2% |
| |||||||
| 21 | Blount International, Inc. (a) | 296 | ||||||
| 145 | Briggs & Stratton Corp. | 2,958 | ||||||
| 110 | Douglas Dynamics, Inc. | 1,932 | ||||||
| 24 | Hurco Cos., Inc. | 666 | ||||||
| 9 | Hyster-Yale Materials Handling, Inc. | 788 | ||||||
| 55 | Kadant, Inc. | 2,096 | ||||||
| 1 | Middleby Corp. (The) (a) | 58 | ||||||
| 12 | Mueller Industries, Inc. | 347 | ||||||
| 34 | Standex International Corp. | 2,540 | ||||||
| 3 | Watts Water Technologies, Inc., Class A | 191 | ||||||
| 86 | Xerium Technologies, Inc. (a) | 1,206 | ||||||
|
| |||||||
| 13,078 | ||||||||
|
| |||||||
Marine — 0.3% |
| |||||||
| 57 | Matson, Inc. | 1,535 | ||||||
|
| |||||||
Professional Services — 1.5% | ||||||||
| 64 | Barrett Business Services, Inc. | 3,010 | ||||||
| 42 | FTI Consulting, Inc. (a) | 1,585 | ||||||
| 17 | Paylocity Holding Corp. (a) | 361 | ||||||
| 13 | TriNet Group, Inc. (a) | 301 | ||||||
| 45 | VSE Corp. | 3,171 | ||||||
|
| |||||||
| 8,428 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
| 114 | ArcBest Corp. | 4,969 | ||||||
| 15 | Celadon Group, Inc. | 311 | ||||||
| 23 | Con-way, Inc. | 1,159 | ||||||
| 20 | Heartland Express, Inc. | 423 | ||||||
| 55 | Swift Transportation Co. (a) | 1,375 | ||||||
| 29 | USA Truck, Inc. (a) | 537 | ||||||
|
| |||||||
| 8,774 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
| 34 | Applied Industrial Technologies, Inc. | 1,725 | ||||||
|
| |||||||
Total Industrials | 81,125 | |||||||
|
| |||||||
Information Technology — 16.8% |
| |||||||
Communications Equipment — 2.6% |
| |||||||
| 9 | Arista Networks, Inc. (a) | 555 | ||||||
| 52 | Comtech Telecommunications Corp. | 1,926 | ||||||
| 117 | Harmonic, Inc. (a) | 875 | ||||||
| 160 | InterDigital, Inc. | 7,639 | ||||||
| 96 | Ubiquiti Networks, Inc. (a) | 4,356 | ||||||
|
| |||||||
| 15,351 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.4% |
| |||||||
| 82 | Aeroflex Holding Corp. (a) (m) | 858 | ||||||
| 170 | Benchmark Electronics, Inc. (a) | 4,326 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
| 17 | Checkpoint Systems, Inc. (a) | 239 | ||||||
| 42 | Coherent, Inc. (a) | 2,772 | ||||||
| 15 | Insight Enterprises, Inc. (a) | 452 | ||||||
| 69 | InvenSense, Inc. (a) | 1,568 | ||||||
| 65 | Newport Corp. (a) | 1,201 | ||||||
| 46 | ScanSource, Inc. (a) | 1,755 | ||||||
| 44 | Vishay Intertechnology, Inc. | 682 | ||||||
|
| |||||||
| 13,853 | ||||||||
|
| |||||||
Internet Software & Services — 0.9% |
| |||||||
| 44 | Aerohive Networks, Inc. (a) (m) | 361 | ||||||
| 92 | Bazaarvoice, Inc. (a) | 727 | ||||||
| 52 | Blucora, Inc. (a) | 989 | ||||||
| 29 | Five9, Inc. (a) | 210 | ||||||
| 6 | GrubHub, Inc. (a) | 223 | ||||||
| 166 | Intralinks Holdings, Inc. (a) | 1,471 | ||||||
| 134 | Millennial Media, Inc. (a) | 669 | ||||||
| 2 | OPOWER, Inc. (a) | 40 | ||||||
| 13 | Q2 Holdings, Inc. (a) | 178 | ||||||
| 8 | WebMD Health Corp. (a) | 406 | ||||||
| 8 | Xoom Corp. (a) | 221 | ||||||
|
| |||||||
| 5,495 | ||||||||
|
| |||||||
IT Services — 1.8% |
| |||||||
| 5 | CSG Systems International, Inc. | 138 | ||||||
| 15 | EVERTEC, Inc., (Puerto Rico) | 354 | ||||||
| 27 | Heartland Payment Systems, Inc. | 1,121 | ||||||
| 122 | ManTech International Corp., Class A | 3,587 | ||||||
| 50 | MoneyGram International, Inc. (a) | 741 | ||||||
| 38 | NeuStar, Inc., Class A (a) | 999 | ||||||
| 65 | Unisys Corp. (a) | 1,603 | ||||||
| 24 | Vantiv, Inc., Class A (a) | 810 | ||||||
| 23 | VeriFone Systems, Inc. (a) | 863 | ||||||
|
| |||||||
| 10,216 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
| 19 | Advanced Energy Industries, Inc. (a) (m) | 362 | ||||||
| 161 | Brooks Automation, Inc. | 1,738 | ||||||
| 41 | DSP Group, Inc. (a) | 346 | ||||||
| 31 | First Solar, Inc. (a) | 2,231 | ||||||
| 143 | Integrated Device Technology, Inc. (a) | 2,203 | ||||||
| 32 | Micrel, Inc. | 360 | ||||||
| 136 | Photronics, Inc. (a) | 1,166 | ||||||
| 229 | PLX Technology, Inc. (a) | 1,481 | ||||||
| 145 | PMC-Sierra, Inc. (a) | 1,100 | ||||||
| 94 | RF Micro Devices, Inc. (a) | 899 | ||||||
| 67 | SunPower Corp. (a) | 2,750 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 228 | TriQuint Semiconductor, Inc. (a) | 3,611 | ||||||
| 278 | Ultra Clean Holdings, Inc. (a) | 2,518 | ||||||
|
| |||||||
| 20,765 | ||||||||
|
| |||||||
Software — 5.2% | ||||||||
| 31 | ACI Worldwide, Inc. (a) (m) | 1,753 | ||||||
| 73 | Actuate Corp. (a) (m) | 349 | ||||||
| 99 | Aspen Technology, Inc. (a) | 4,570 | ||||||
| 36 | Fair Isaac Corp. | 2,270 | ||||||
| 222 | Manhattan Associates, Inc. (a) | 7,650 | ||||||
| 44 | MobileIron, Inc. (a) | 418 | ||||||
| 40 | Paycom Software, Inc. (a) | 581 | ||||||
| 48 | Pegasystems, Inc. | 1,018 | ||||||
| 50 | Qualys, Inc. (a) | 1,291 | ||||||
| 105 | Rally Software Development Corp. (a) | 1,140 | ||||||
| 15 | Rubicon Project, Inc. (The) (a) | 188 | ||||||
| 78 | Take-Two Interactive Software, Inc. (a) | 1,728 | ||||||
| 161 | TeleCommunication Systems, Inc., Class A (a) | 530 | ||||||
| 29 | TIBCO Software, Inc. (a) | 581 | ||||||
| 423 | TiVo, Inc. (a) | 5,465 | ||||||
| 28 | Varonis Systems, Inc. (a) | 824 | ||||||
| 10 | Zendesk, Inc. (a) | 181 | ||||||
|
| |||||||
| 30,537 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.3% |
| |||||||
| 197 | Avid Technology, Inc. (a) | 1,454 | ||||||
|
| |||||||
Total Information Technology | 97,671 | |||||||
|
| |||||||
Materials — 3.5% | ||||||||
Chemicals — 1.6% | ||||||||
| 114 | Minerals Technologies, Inc. | 7,456 | ||||||
| 46 | OM Group, Inc. | 1,495 | ||||||
| 16 | Senomyx, Inc. (a) | 134 | ||||||
| 1 | Tredegar Corp. | 33 | ||||||
|
| |||||||
| 9,118 | ||||||||
|
| |||||||
Containers & Packaging — 0.7% | ||||||||
| 281 | Graphic Packaging Holding Co. (a) | 3,285 | ||||||
| 49 | Myers Industries, Inc. | 989 | ||||||
|
| |||||||
| 4,274 | ||||||||
|
| |||||||
Metals & Mining — 0.8% | ||||||||
| 7 | Ampco-Pittsburgh Corp. | 168 | ||||||
| 102 | Worthington Industries, Inc. | 4,373 | ||||||
|
| |||||||
| 4,541 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Paper & Forest Products — 0.4% | ||||||||
| 19 | Domtar Corp., (Canada) | 806 | ||||||
| 82 | Resolute Forest Products, Inc., (Canada) (a) | 1,379 | ||||||
|
| |||||||
| 2,185 | ||||||||
|
| |||||||
Total Materials | 20,118 | |||||||
|
| |||||||
Telecommunication Services — 1.0% | ||||||||
Diversified Telecommunication Services — 0.8% |
| |||||||
| 74 | FairPoint Communications, Inc. (a) | 1,039 | ||||||
| 203 | Inteliquent, Inc. | 2,820 | ||||||
| 58 | magicJack VocalTec Ltd., (Israel) (a) | 870 | ||||||
|
| |||||||
| 4,729 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% | ||||||||
| 90 | RingCentral, Inc., Class A (a) | 1,363 | ||||||
|
| |||||||
Total Telecommunication Services | 6,092 | |||||||
|
| |||||||
Utilities — 3.0% | ||||||||
Electric Utilities — 1.3% | ||||||||
| 45 | El Paso Electric Co. | 1,810 | ||||||
| 35 | PNM Resources, Inc. | 1,030 | ||||||
| 92 | Portland General Electric Co. | 3,179 | ||||||
| 23 | UNS Energy Corp. | 1,389 | ||||||
|
| |||||||
| 7,408 | ||||||||
|
| |||||||
Gas Utilities — 0.8% | ||||||||
| 22 | AGL Resources, Inc. (m) | 1,186 | ||||||
| 27 | Laclede Group, Inc. (The) | 1,320 | ||||||
| 27 | Piedmont Natural Gas Co., Inc. | 999 | ||||||
| 23 | Southwest Gas Corp. | 1,214 | ||||||
|
| |||||||
| 4,719 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.1% |
| |||||||
| 12 | Dynegy, Inc. (a) | 431 | ||||||
|
| |||||||
Multi-Utilities — 0.8% | ||||||||
| 92 | NorthWestern Corp. | 4,786 | ||||||
|
| |||||||
Total Utilities | 17,344 | |||||||
|
| |||||||
Total Common Stocks | 549,064 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.4% | |||||||
| 2,105 | U.S. Treasury Note, 0.250%, 11/30/14 (k) (m) | 2,107 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.4% |
| ||||||
Investment Company — 3.4% | ||||||||
| 20,060 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 20,060 | ||||||
|
| |||||||
Total Investments — 98.2% | 571,231 | |||||||
Other Assets in Excess of | 10,532 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 581,763 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 216 | E-mini Russell 2000 | 09/19/14 | $ | 25,710 | $ | 512 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Small Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
| (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. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than one thousand (shares or dollars). | |
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. |
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. | |
| (l) | — The rate shown is the current yield as of June 30, 2014. | |
| (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, 2014 | J.P. MORGAN SMALL CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014
(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 | $ | 550,588 | $ | 694,282 | $ | 3,298,057 | ||||||
Investments in affiliates, at value | 6,614 | 6,392 | 132,553 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 557,202 | 700,674 | 3,430,610 | |||||||||
Cash | — | — | (a) | — | ||||||||
Receivables: | ||||||||||||
Investment securities sold | 5,397 | 21,029 | 4,575 | |||||||||
Fund shares sold | 1,507 | 692 | 5,191 | |||||||||
Interest and dividends from non-affiliates | 228 | 616 | 3,783 | |||||||||
Dividends from affiliates | — | — | 1 | |||||||||
Variation margin on futures contracts | — | 72 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 564,334 | 723,083 | 3,444,160 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | 2,201 | 18,934 | 26,392 | |||||||||
Fund shares redeemed | 1,501 | 211 | 5,038 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 289 | 344 | 1,601 | |||||||||
Administration fees | 37 | 47 | 228 | |||||||||
Shareholder servicing fees | 55 | — | 393 | |||||||||
Distribution fees | 51 | — | 179 | |||||||||
Custodian and accounting fees | 27 | 27 | 69 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | — | ||||||||
Other | 149 | 213 | 815 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 4,310 | 19,776 | 34,715 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 560,024 | $ | 703,307 | $ | 3,409,445 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 387,467 | $ | 434,776 | $ | 1,965,344 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (2,468 | ) | (28 | ) | 7,594 | |||||||
Accumulated net realized gains (losses) | 26,380 | 53,143 | 248,294 | |||||||||
Net unrealized appreciation (depreciation) | 148,645 | 215,416 | 1,188,213 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 560,024 | $ | 703,307 | $ | 3,409,445 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 86,997 | $ | — | $ | 738,967 | ||||||
Class B | 521 | — | 5,469 | |||||||||
Class C | 55,458 | — | 39,824 | |||||||||
Class R2 | — | — | 3,883 | |||||||||
Class R5 | — | — | 1,177,534 | |||||||||
Select Class | 417,048 | 703,307 | 1,443,768 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 560,024 | $ | 703,307 | $ | 3,409,445 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 3,465 | — | 15,871 | |||||||||
Class B | 24 | — | 144 | |||||||||
Class C | 2,566 | — | 1,049 | |||||||||
Class R2 | — | — | 84 | |||||||||
Class R5 | — | — | 22,697 | |||||||||
Select Class | 15,402 | 11,981 | 27,883 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 25.11 | $ | — | $ | 46.56 | ||||||
Class B — Offering price per share (b) | 21.67 | — | 38.08 | |||||||||
Class C — Offering price per share (b) | 21.61 | — | 37.96 | |||||||||
Class R2 — Offering and redemption price per share | — | — | 45.99 | |||||||||
Class R5 — Offering and redemption price per share | — | — | 51.88 | |||||||||
Select Class — Offering and redemption price per share | 27.08 | 58.70 | 51.78 | |||||||||
Class A maximum sales charge | 5.25 | % | — | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 26.50 | $ | — | $ | 49.14 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 401,943 | $ | 479,049 | $ | 2,109,844 | ||||||
Cost of investments in affiliates | 6,614 | 6,392 | 132,553 | |||||||||
| (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, 2014 | J.P. MORGAN SMALL CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014 (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 | $ | 1,135,674 | $ | 1,504,151 | $ | 551,171 | ||||||
Investments in affiliates, at value | 16,310 | 56,903 | 20,060 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 1,151,984 | 1,561,054 | 571,231 | |||||||||
Cash | — | 5 | 165 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 11,091 | 43,678 | 15,836 | |||||||||
Fund shares sold | 966 | 2,463 | 19,482 | |||||||||
Interest and dividends from non-affiliates | 482 | 2,828 | 663 | |||||||||
Dividends from affiliates | — | 1 | — | |||||||||
Variation margin on futures contracts | — | 409 | 148 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,164,523 | 1,610,438 | 607,525 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Dividends | — | 91 | — | |||||||||
Investment securities purchased | 4,546 | 46,368 | 25,091 | |||||||||
Fund shares redeemed | 1,521 | 3,310 | 183 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 467 | 599 | 235 | |||||||||
Administration fees | 77 | 104 | 37 | |||||||||
Shareholder servicing fees | 124 | 124 | 75 | |||||||||
Distribution fees | 87 | 156 | 42 | |||||||||
Custodian and accounting fees | 33 | 58 | 53 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | 1 | — | (a) | ||||||||
Other | 353 | 473 | 46 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 7,209 | 51,284 | 25,762 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,157,314 | $ | 1,559,154 | $ | 581,763 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Small Cap Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 815,696 | $ | 1,176,433 | $ | 488,567 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (4,080 | ) | 282 | 254 | ||||||||
Accumulated net realized gains (losses) | 49,375 | 48,325 | 7,694 | |||||||||
Net unrealized appreciation (depreciation) | 296,323 | 334,114 | 85,248 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,157,314 | $ | 1,559,154 | $ | 581,763 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 282,408 | $ | 516,950 | $ | 126,858 | ||||||
Class B | 2,048 | 3,071 | — | |||||||||
Class C | 28,035 | 52,909 | 22,539 | |||||||||
Class R2 | 31,119 | 47,939 | 9,785 | |||||||||
Class R5 | — | 79,792 | — | |||||||||
Class R6 | 355,032 | 453,645 | 45,604 | |||||||||
Institutional Class | 302,087 | — | 216,698 | |||||||||
Select Class | 156,585 | 404,848 | 160,279 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,157,314 | $ | 1,559,154 | $ | 581,763 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 20,230 | 18,477 | 7,806 | |||||||||
Class B | 191 | 126 | — | |||||||||
Class C | 2,468 | 2,187 | 1,421 | |||||||||
Class R2 | 2,267 | 1,723 | 607 | |||||||||
Class R5 | — | 2,722 | — | |||||||||
Class R6 | 23,316 | 15,468 | 2,761 | |||||||||
Institutional Class | 19,918 | — | 13,123 | |||||||||
Select Class | 10,504 | 13,814 | 9,696 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 13.96 | $ | 27.98 | $ | 16.25 | ||||||
Class B — Offering price per share (b) | 10.75 | 24.43 | — | |||||||||
Class C — Offering price per share (b) | 11.36 | 24.19 | 15.86 | |||||||||
Class R2 — Offering and redemption price per share | 13.73 | 27.83 | 16.12 | |||||||||
Class R5 — Offering and redemption price per share | — | 29.31 | — | |||||||||
Class R6 — Offering and redemption price per share | 15.23 | 29.33 | 16.52 | |||||||||
Institutional Class — Offering and redemption price per share | 15.17 | — | 16.51 | |||||||||
Select Class — Offering and redemption price per share | 14.91 | 29.31 | 16.53 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 14.73 | $ | 29.53 | $ | 17.15 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 839,351 | $ | 1,171,451 | $ | 466,435 | ||||||
Cost of investments in affiliates | 16,310 | 56,903 | 20,060 | |||||||||
| (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, 2014 | J.P. MORGAN SMALL CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
AS OF JUNE 30, 2014
(Amounts in thousands)
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | Small Cap Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | — | $ | 2 | $ | — | ||||||
Dividend income from non-affiliates | 2,110 | 6,815 | 48,136 | |||||||||
Dividend income from affiliates | 2 | 3 | 24 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 2,112 | 6,820 | 48,160 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 3,628 | 4,107 | 20,533 | |||||||||
Administration fees | 467 | 528 | 2,639 | |||||||||
Distribution fees: | ||||||||||||
Class A | 222 | — | 1,847 | |||||||||
Class B | 6 | — | 54 | |||||||||
Class C | 446 | — | 296 | |||||||||
Class R2 | — | — | 26 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 222 | — | 1,847 | |||||||||
Class B | 2 | — | 18 | |||||||||
Class C | 149 | — | 99 | |||||||||
Class R2 | — | — | 12 | |||||||||
Class R5 | — | — | 509 | |||||||||
Select Class | 1,022 | 1,580 | 3,377 | |||||||||
Custodian and accounting fees | 47 | 55 | 116 | |||||||||
Interest expense to affiliates | — | (a) | — | — | ||||||||
Professional fees | 46 | 46 | 72 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 6 | 26 | |||||||||
Printing and mailing costs | 106 | 69 | 324 | |||||||||
Registration and filing fees | 95 | 27 | 182 | |||||||||
Transfer agent fees | 526 | 681 | 3,497 | |||||||||
Other | 14 | 12 | 56 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 7,004 | 7,111 | 35,530 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (366 | ) | (2,089 | ) | (3,594 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 6,638 | 5,022 | 31,936 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (4,526 | ) | 1,798 | 16,224 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 59,230 | 76,272 | 337,200 | |||||||||
Futures | — | 4,069 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 59,230 | 80,341 | 337,200 | |||||||||
|
|
|
|
|
| |||||||
Distributions of realized gains by investment company affiliates | — | — | 1 | |||||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 39,546 | 73,308 | 297,373 | |||||||||
Futures | — | (19 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 39,546 | 73,289 | 297,373 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 98,776 | 153,630 | 634,574 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 94,250 | $ | 155,428 | $ | 650,798 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Growth Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 1 | $ | 4 | $ | 1 | ||||||
Dividend income from non-affiliates | 4,271 | 22,143 | 4,237 | |||||||||
Dividend income from affiliates | 6 | 11 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 4,278 | 22,158 | 4,241 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 7,219 | 8,408 | 2,151 | |||||||||
Administration fees | 928 | 1,080 | 299 | |||||||||
Distribution fees: | ||||||||||||
Class A | 714 | 1,097 | 233 | |||||||||
Class B | 21 | 26 | — | |||||||||
Class C | 216 | 366 | 106 | |||||||||
Class R2 | 156 | 157 | 27 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 714 | 1,097 | 233 | |||||||||
Class B | 7 | 9 | — | |||||||||
Class C | 72 | 122 | 35 | |||||||||
Class R2 | 78 | 78 | 14 | |||||||||
Class R5 | — | 32 | — | |||||||||
Institutional Class | 286 | — | 96 | |||||||||
Select Class | 401 | 907 | 286 | |||||||||
Custodian and accounting fees | 59 | 108 | 83 | |||||||||
Professional fees | 49 | 50 | 47 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 11 | 13 | 3 | |||||||||
Printing and mailing costs | 86 | 149 | 28 | |||||||||
Registration and filing fees | 118 | 213 | 103 | |||||||||
Transfer agent fees | 1,123 | 1,591 | 301 | |||||||||
Other | 29 | 29 | 12 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 12,287 | 15,532 | 4,057 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (1,328 | ) | (1,519 | ) | (359 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 10,959 | 14,013 | 3,698 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (6,681 | ) | 8,145 | 543 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 107,813 | 85,364 | 14,438 | |||||||||
Futures | — | 8,119 | 2,539 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 107,813 | 93,483 | 16,977 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 79,679 | 128,384 | 56,355 | |||||||||
Futures | — | 1,242 | 482 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 79,679 | 129,626 | 56,837 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 187,492 | 223,109 | 73,814 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 180,811 | $ | 231,254 | $ | 74,357 | ||||||
|
|
|
|
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (4,526 | ) | $ | (2,034 | ) | $ | 1,798 | $ | 3,808 | ||||||
Net realized gain (loss) | 59,230 | 36,792 | 80,341 | 55,185 | ||||||||||||
Change in net unrealized appreciation/depreciation | 39,546 | 65,852 | 73,289 | 57,573 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 94,250 | 100,610 | 155,428 | 116,566 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net realized gains | (7,308 | ) | (2,519 | ) | — | — | ||||||||||
Class B | ||||||||||||||||
From net realized gains | (72 | ) | (39 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net realized gains | (5,669 | ) | (2,102 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (3,196 | ) | (4,488 | ) | ||||||||||
From net realized gains | (30,984 | ) | (9,120 | ) | (30,439 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (44,033 | ) | (13,780 | ) | (33,635 | ) | (4,488 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (9,967 | ) | 96,943 | 59,219 | 3,627 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 40,250 | 183,773 | 181,012 | 115,705 | ||||||||||||
Beginning of period | 519,774 | 336,001 | 522,295 | 406,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 560,024 | $ | 519,774 | $ | 703,307 | $ | 522,295 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (2,468 | ) | $ | (1,915 | ) | $ | (28 | ) | $ | 1,795 | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 16,224 | $ | 26,075 | $ | (6,681 | ) | $ | (2,177 | ) | ||||||
Net realized gain (loss) | 337,200 | 165,490 | 107,813 | 86,555 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 1 | — | — | — | ||||||||||||
Change in net unrealized appreciation/depreciation | 297,373 | 335,447 | 79,679 | 124,133 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 650,798 | 527,012 | 180,811 | 208,511 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,154 | ) | (6,332 | ) | — | — | ||||||||||
From net realized gains | (39,200 | ) | (54,507 | ) | (27,816 | ) | (18,796 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | — | (65 | ) | — | — | |||||||||||
From net realized gains | (468 | ) | (953 | ) | (372 | ) | (333 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | — | (285 | ) | — | — | |||||||||||
From net realized gains | (2,540 | ) | (3,639 | ) | (3,356 | ) | (2,309 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | (40 | ) | — | — | |||||||||||
From net realized gains | (285 | ) | (478 | ) | (3,175 | ) | (1,927 | ) | ||||||||
Class R5 | ||||||||||||||||
From net investment income | (5,697 | ) | (8,958 | ) | — | — | ||||||||||
From net realized gains | (48,030 | ) | (52,088 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net realized gains | — | — | (27,222 | ) | (13,119 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net realized gains | — | — | (26,893 | ) | (17,399 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (4,998 | ) | (12,603 | ) | — | — | ||||||||||
From net realized gains | (64,468 | ) | (88,266 | ) | (13,777 | ) | (10,618 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (166,840 | ) | (228,214 | ) | (102,611 | ) | (64,501 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 228,662 | (44,004 | ) | 147,196 | (33,612 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 712,620 | 254,794 | 225,396 | 110,398 | ||||||||||||
Beginning of period | 2,696,825 | 2,442,031 | 931,918 | 821,520 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,409,445 | $ | 2,696,825 | $ | 1,157,314 | $ | 931,918 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 7,594 | $ | 4,114 | $ | (4,080 | ) | $ | (2,896 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 8,145 | $ | 8,029 | $ | 543 | $ | 631 | ||||||||
Net realized gain (loss) | 93,483 | 47,226 | 16,977 | 6,491 | ||||||||||||
Change in net unrealized appreciation/depreciation | 129,626 | 125,744 | 56,837 | 18,032 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 231,254 | 180,999 | 74,357 | 25,154 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,828 | ) | (2,867 | ) | (72 | ) | (99 | ) | ||||||||
From net realized gains | (10,944 | ) | — | (1,746 | ) | — | ||||||||||
Class B | ||||||||||||||||
From net investment income | (8 | ) | (26 | ) | — | — | ||||||||||
From net realized gains | (101 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (123 | ) | (269 | ) | — | (11 | ) | |||||||||
From net realized gains | (1,424 | ) | — | (246 | ) | — | ||||||||||
Class R2 | ||||||||||||||||
From net investment income | (82 | ) | (97 | ) | (6 | ) | — | (a) | ||||||||
From net realized gains | (741 | ) | — | (98 | ) | — | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | (467 | ) | (323 | ) | — | — | ||||||||||
From net realized gains | (1,547 | ) | — | — | — | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | (2,662 | ) | (2,410 | ) | (146 | ) | (137 | ) | ||||||||
From net realized gains | (8,043 | ) | — | (738 | ) | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (275 | ) | (90 | ) | ||||||||||
From net realized gains | — | — | (1,543 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (2,226 | ) | (2,935 | ) | (207 | ) | (295 | ) | ||||||||
From net realized gains | (8,523 | ) | — | (2,006 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (38,719 | ) | (8,927 | ) | (7,083 | ) | (632 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 468,137 | 109,344 | 341,780 | 78,228 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 660,672 | 281,416 | 409,054 | 102,750 | ||||||||||||
Beginning of period | 898,482 | 617,066 | 172,709 | 69,959 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,559,154 | $ | 898,482 | $ | 581,763 | $ | 172,709 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 282 | $ | (1,062 | ) | $ | 254 | $ | 255 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Dynamic Small Cap Growth Fund | Small Cap Core Fund | |||||||||||||||
Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 23,934 | $ | 19,767 | $ | — | $ | — | ||||||||
Distributions reinvested | 5,262 | 1,796 | — | — | ||||||||||||
Cost of shares redeemed | (26,472 | ) | (23,718 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 2,724 | $ | (2,155 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 23 | $ | 8 | $ | — | $ | — | ||||||||
Distributions reinvested | 66 | 35 | — | — | ||||||||||||
Cost of shares redeemed | (427 | ) | (479 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (338 | ) | $ | (436 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 19,447 | $ | 13,062 | $ | — | $ | — | ||||||||
Distributions reinvested | 655 | 231 | — | — | ||||||||||||
Cost of shares redeemed | (22,674 | ) | (19,369 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (2,572 | ) | $ | (6,076 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 149,852 | $ | 174,453 | $ | 99,370 | $ | 44,658 | ||||||||
Distributions reinvested | 30,591 | 8,987 | 31,856 | 4,252 | ||||||||||||
Cost of shares redeemed | (190,224 | ) | (77,830 | ) | (72,007 | ) | (45,283 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (9,781 | ) | $ | 105,610 | $ | 59,219 | $ | 3,627 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (9,967 | ) | $ | 96,943 | $ | 59,219 | $ | 3,627 | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 944 | 959 | — | — | ||||||||||||
Reinvested | 218 | 96 | — | — | ||||||||||||
Redeemed | (1,048 | ) | (1,155 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 114 | (100 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 1 | 1 | — | — | ||||||||||||
Reinvested | 3 | 2 | — | — | ||||||||||||
Redeemed | (19 | ) | (27 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (15 | ) | (24 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 893 | 734 | — | — | ||||||||||||
Reinvested | 32 | 14 | — | — | ||||||||||||
Redeemed | (1,034 | ) | (1,079 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (109 | ) | (331 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 5,539 | 7,839 | 1,841 | 995 | ||||||||||||
Reinvested | 1,176 | 447 | 602 | 104 | ||||||||||||
Redeemed | (6,999 | ) | (3,580 | ) | (1,319 | ) | (1,072 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (284 | ) | 4,706 | 1,124 | 27 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 143,105 | $ | 161,823 | $ | 86,559 | $ | 46,904 | ||||||||
Distributions reinvested | 36,174 | 53,154 | 26,847 | 18,018 | ||||||||||||
Cost of shares redeemed | (247,996 | ) | (205,174 | ) | (100,660 | ) | (73,629 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (68,717 | ) | $ | 9,803 | $ | 12,746 | $ | (8,707 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 109 | $ | 53 | $ | 108 | $ | 143 | ||||||||
Distributions reinvested | 440 | 947 | 299 | 276 | ||||||||||||
Cost of shares redeemed | (4,393 | ) | (3,625 | ) | (1,534 | ) | (1,529 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (3,844 | ) | $ | (2,625 | ) | $ | (1,127 | ) | $ | (1,110 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 1,754 | $ | 2,901 | $ | 3,615 | $ | 2,220 | ||||||||
Distributions reinvested | 2,078 | 3,051 | 2,792 | 1,897 | ||||||||||||
Cost of shares redeemed | (6,514 | ) | (7,195 | ) | (5,082 | ) | (5,854 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (2,682 | ) | $ | (1,243 | ) | $ | 1,325 | $ | (1,737 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 1,876 | $ | 2,486 | $ | 9,894 | $ | 5,964 | ||||||||
Distributions reinvested | 169 | 238 | 3,015 | 1,827 | ||||||||||||
Cost of shares redeemed | (3,854 | ) | (4,016 | ) | (10,303 | ) | (7,599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (1,809 | ) | $ | (1,292 | ) | $ | 2,606 | $ | 192 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 341,675 | $ | 242,098 | $ | — | $ | — | ||||||||
Distributions reinvested | 50,412 | 58,492 | — | — | ||||||||||||
Cost of shares redeemed | (187,973 | ) | (270,542 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 204,114 | $ | 30,048 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 107,896 | $ | 66,621 | ||||||||
Distributions reinvested | — | — | 27,222 | 13,119 | ||||||||||||
Cost of shares redeemed | — | — | (52,030 | ) | (68,638 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 83,088 | $ | 11,102 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 127,596 | $ | 59,220 | ||||||||
Distributions reinvested | — | — | 24,325 | 15,569 | ||||||||||||
Cost of shares redeemed | — | — | (97,844 | ) | (109,142 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 54,077 | $ | (34,353 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 436,244 | $ | 381,057 | $ | 51,702 | $ | 36,031 | ||||||||
Distributions reinvested | 63,813 | 89,504 | 12,567 | 8,954 | ||||||||||||
Cost of shares redeemed | (398,457 | ) | (549,256 | ) | (69,788 | ) | (43,984 | ) | ||||||||
|
| �� |
|
|
|
|
|
| ||||||||
Change in net assets resulting from Select Class capital transactions | $ | 101,600 | $ | (78,695 | ) | $ | (5,519 | ) | $ | 1,001 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 228,662 | $ | (44,004 | ) | $ | 147,196 | $ | (33,612 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Small Cap Equity Fund | Small Cap Growth Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 3,257 | 4,277 | 6,045 | 3,976 | ||||||||||||
Reinvested | 848 | 1,546 | 2,002 | 1,704 | ||||||||||||
Redeemed | (5,680 | ) | (5,554 | ) | (7,045 | ) | (6,214 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (1,575 | ) | 269 | 1,002 | (534 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 3 | 2 | 11 | 14 | ||||||||||||
Reinvested | 13 | 33 | 29 | 33 | ||||||||||||
Redeemed | (121 | ) | (115 | ) | (139 | ) | (163 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (105 | ) | (80 | ) | (99 | ) | (116 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 49 | 94 | 311 | 228 | ||||||||||||
Reinvested | 60 | 107 | 255 | 214 | ||||||||||||
Redeemed | (180 | ) | (230 | ) | (437 | ) | (595 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (71 | ) | (29 | ) | 129 | (153 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 44 | 66 | 698 | 518 | ||||||||||||
Reinvested | 4 | 7 | 229 | 175 | ||||||||||||
Redeemed | (88 | ) | (106 | ) | (729 | ) | (665 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (40 | ) | (33 | ) | 198 | 28 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 7,041 | 5,779 | — | — | ||||||||||||
Reinvested | 1,058 | 1,535 | — | — | ||||||||||||
Redeemed | (3,834 | ) | (6,521 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 4,265 | 793 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 7,124 | 5,288 | ||||||||||||
Reinvested | — | — | 1,867 | 1,156 | ||||||||||||
Redeemed | — | — | (3,418 | ) | (5,654 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 5,573 | 790 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 8,158 | 4,672 | ||||||||||||
Reinvested | — | — | 1,674 | 1,374 | ||||||||||||
Redeemed | — | — | (6,418 | ) | (8,706 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 3,414 | (2,660 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 9,006 | 9,223 | 3,395 | 2,935 | ||||||||||||
Reinvested | 1,344 | 2,355 | 879 | 801 | ||||||||||||
Redeemed | (8,177 | ) | (13,183 | ) | (4,528 | ) | (3,567 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 2,173 | (1,605 | ) | (254 | ) | 169 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 249,050 | $ | 151,702 | $ | 95,000 | $ | 44,054 | ||||||||
Distributions reinvested | 12,217 | 2,758 | 1,637 | 84 | ||||||||||||
Cost of shares redeemed | (142,413 | ) | (66,421 | ) | (35,876 | ) | (7,813 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 118,854 | $ | 88,039 | $ | 60,761 | $ | 36,325 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 11 | $ | 65 | $ | — | $ | — | ||||||||
Distributions reinvested | 106 | 25 | — | — | ||||||||||||
Cost of shares redeemed | (1,364 | ) | (1,168 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (1,247 | ) | $ | (1,078 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 13,317 | $ | 11,253 | $ | 15,087 | $ | 5,881 | ||||||||
Distributions reinvested | 1,374 | 232 | 203 | 9 | ||||||||||||
Cost of shares redeemed | (10,049 | ) | (7,039 | ) | (2,232 | ) | (975 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 4,642 | $ | 4,446 | $ | 13,058 | $ | 4,915 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 35,618 | $ | 9,668 | $ | 7,974 | $ | 1,677 | ||||||||
Distributions reinvested | 734 | 88 | 104 | — | (a) | |||||||||||
Cost of shares redeemed | (8,241 | ) | (3,260 | ) | (979 | ) | (93 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 28,111 | $ | 6,496 | $ | 7,099 | $ | 1,584 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 75,057 | $ | 23,814 | $ | — | $ | — | ||||||||
Distributions reinvested | 987 | 38 | — | — | ||||||||||||
Cost of shares redeemed | (38,175 | ) | (12,450 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 37,869 | $ | 11,402 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 220,005 | $ | 38,682 | $ | 30,227 | $ | 1,911 | ||||||||
Distributions reinvested | 10,705 | 2,410 | 884 | 137 | ||||||||||||
Cost of shares redeemed | (35,099 | ) | (54,454 | ) | (9,167 | ) | (1,549 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 195,611 | $ | (13,362 | ) | $ | 21,944 | $ | 499 | |||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 200,414 | $ | 31,733 | ||||||||
Distributions reinvested | — | — | 1,623 | 89 | ||||||||||||
Cost of shares redeemed | — | — | (34,113 | ) | (13,968 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 167,924 | $ | 17,854 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 180,916 | $ | 101,704 | $ | 99,637 | $ | 24,841 | ||||||||
Distributions reinvested | 9,746 | 1,569 | 1,883 | 236 | ||||||||||||
Cost of shares redeemed | (106,365 | ) | (89,872 | ) | (30,526 | ) | (8,026 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 84,297 | $ | 13,401 | $ | 70,994 | $ | 17,051 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 468,137 | $ | 109,344 | $ | 341,780 | $ | 78,228 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Small Cap Value Fund | U.S. Small Company Fund | |||||||||||||||
Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 9,457 | 7,097 | 6,312 | 3,627 | ||||||||||||
Reinvested | 470 | 124 | 111 | 7 | ||||||||||||
Redeemed | (5,425 | ) | (3,110 | ) | (2,385 | ) | (682 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,502 | 4,111 | 4,038 | 2,952 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 1 | 5 | — | — | ||||||||||||
Reinvested | 5 | 1 | — | — | ||||||||||||
Redeemed | (60 | ) | (63 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (54 | ) | (57 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 584 | 594 | 1,017 | 496 | ||||||||||||
Reinvested | 61 | 12 | 14 | 1 | ||||||||||||
Redeemed | (441 | ) | (381 | ) | (150 | ) | (80 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 204 | 225 | 881 | 417 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 1,353 | 437 | 532 | 135 | ||||||||||||
Reinvested | 28 | 4 | 7 | — | (a) | |||||||||||
Redeemed | (312 | ) | (149 | ) | (65 | ) | (7 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 1,069 | 292 | 474 | 128 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 2,744 | 1,043 | — | — | ||||||||||||
Reinvested | 36 | 2 | — | — | ||||||||||||
Redeemed | (1,358 | ) | (545 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 1,422 | 500 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 8,000 | 1,686 | 2,006 | 161 | ||||||||||||
Reinvested | 390 | 104 | 58 | 12 | ||||||||||||
Redeemed | (1,270 | ) | (2,672 | ) | (594 | ) | (125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 7,120 | (882 | ) | 1,470 | 48 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 12,964 | 2,505 | ||||||||||||
Reinvested | — | — | 107 | 8 | ||||||||||||
Redeemed | — | — | (2,213 | ) | (1,144 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 10,858 | 1,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 6,600 | 4,528 | 6,536 | 2,020 | ||||||||||||
Reinvested | 356 | 67 | 125 | 21 | ||||||||||||
Redeemed | (3,845 | ) | (3,905 | ) | (1,971 | ) | (666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 3,111 | 690 | 4,690 | 1,375 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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, 2014 | $ | 23.10 | $ | (0.24 | )(d) | $ | 4.44 | $ | 4.20 | $ | (2.19 | ) | ||||||||
Year Ended June 30, 2013 | 18.83 | (0.14 | )(d)(e) | 5.17 | 5.03 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.20 | (0.13 | )(d)(f) | (1.24 | ) | (1.37 | ) | — | ||||||||||||
Year Ended June 30, 2011 | 13.80 | (0.16 | )(d) | 6.56 | 6.40 | — | ||||||||||||||
Year Ended June 30, 2010 | 11.89 | (0.13 | )(d) | 2.04 | 1.91 | — | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 20.29 | (0.32 | )(d) | 3.89 | 3.57 | (2.19 | ) | |||||||||||||
Year Ended June 30, 2013 | 16.71 | (0.22 | )(d)(e) | 4.56 | 4.34 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 18.01 | (0.20 | )(d)(f) | (1.10 | ) | (1.30 | ) | — | ||||||||||||
Year Ended June 30, 2011 | 12.37 | (0.23 | )(d) | 5.87 | 5.64 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.73 | (0.19 | )(d) | 1.83 | 1.64 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 20.25 | (0.32 | )(d) | 3.87 | 3.55 | (2.19 | ) | |||||||||||||
Year Ended June 30, 2013 | 16.68 | (0.22 | )(d)(e) | 4.55 | 4.33 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 17.98 | (0.20 | )(d)(f) | (1.10 | ) | (1.30 | ) | — | ||||||||||||
Year Ended June 30, 2011 | 12.35 | (0.23 | )(d) | 5.86 | 5.63 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.71 | (0.19 | )(d) | 1.83 | 1.64 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 24.70 | (0.19 | )(d) | 4.76 | 4.57 | (2.19 | ) | |||||||||||||
Year Ended June 30, 2013 | 20.02 | (0.07 | )(d)(e) | 5.51 | 5.44 | (0.76 | ) | |||||||||||||
Year Ended June 30, 2012 | 21.39 | (0.06 | )(d)(f) | (1.31 | ) | (1.37 | ) | — | ||||||||||||
Year Ended June 30, 2011 | 14.56 | (0.11 | )(d) | 6.94 | 6.83 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.50 | (0.08 | )(d) | 2.14 | 2.06 | — | ||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.20), $(0.27), $(0.27) and $(0.14) for Class A, Class B, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.00)%, (1.53)%, (1.51)% and (0.64)% for Class A, Class B, Class C and Select Class Shares, respectively. |
| (f) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, 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, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 25.11 | 18.56 | % | $ | 86,997 | 1.33 | % | (0.95 | )% | 1.38 | % | 65 | % | |||||||||||||
| 23.10 | 27.61 | 77,408 | 1.44 | (0.70 | )(e) | 1.44 | 65 | |||||||||||||||||||
| 18.83 | (6.78 | ) | 64,997 | 1.47 | (0.72 | )(f) | 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 | |||||||||||||||||||
| 21.67 | 18.00 | 521 | 1.84 | (1.46 | ) | 1.88 | 65 | |||||||||||||||||||
| 20.29 | 26.97 | 793 | 1.94 | (1.22 | )(e) | 1.95 | 65 | |||||||||||||||||||
| 16.71 | (7.22 | ) | 1,055 | 1.97 | (1.21 | )(f) | 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 | |||||||||||||||||||
| 21.61 | 17.93 | 55,458 | 1.83 | (1.45 | ) | 1.88 | 65 | |||||||||||||||||||
| 20.25 | 26.96 | 54,171 | 1.94 | (1.20 | )(e) | 1.94 | 65 | |||||||||||||||||||
| 16.68 | (7.23 | ) | 50,144 | 1.97 | (1.21 | )(f) | 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 | |||||||||||||||||||
| 27.08 | 18.87 | 417,048 | 1.06 | (0.69 | ) | 1.13 | 65 | |||||||||||||||||||
| 24.70 | 28.02 | 387,402 | 1.09 | (0.33 | )(e) | 1.19 | 65 | |||||||||||||||||||
| 20.02 | (6.40 | ) | 219,805 | 1.10 | (032 | )(f) | 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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, 2014 | $ | 48.11 | $ | 0.15 | (d) | $ | 13.44 | $ | 13.59 | $ | (0.27 | ) | $ | (2.73 | ) | $ | (3.00 | ) | ||||||||||
Year Ended June 30, 2013 | 37.54 | 0.37 | (e) | 10.63 | 11.00 | (0.43 | ) | — | (0.43 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 39.44 | 0.27 | (f) | (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 | ) | |||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.09 and the net investment income (loss) ratio would have been 0.17% for Select Class Shares. |
| (e) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.19 and the net investment income (loss) ratio would have been 0.44% for Select Class Shares. |
| (f) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, 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, 2014 | ||||
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 | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 58.70 | 28.95 | % | $ | 703,307 | 0.79 | % | 0.28 | %(d) | 1.12 | % | 51 | % | |||||||||||||
| 48.11 | 29.50 | 522,295 | 0.79 | 0.84 | (e) | 1.19 | 55 | |||||||||||||||||||
| 37.54 | (4.29 | ) | 406,590 | 0.80 | 0.64 | (f) | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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, 2014 | $ | 39.94 | $ | 0.10 | (d)(e) | $ | 8.97 | $ | 9.07 | $ | (0.07 | ) | $ | (2.38 | ) | �� | $ | (2.45 | ) | |||||||||
Year Ended June 30, 2013 | 36.02 | 0.29 | (d)(f) | 7.39 | 7.68 | (0.36 | ) | (3.40 | ) | (3.76 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 36.72 | 0.07 | (d) | 1.09 | 1.16 | (0.10 | ) | (1.76 | ) | (1.86 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 27.54 | 0.14 | (d) | 10.15 | 10.29 | (0.06 | ) | (1.05 | ) | (1.11 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 23.59 | 0.05 | (d) | 3.94 | 3.99 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 33.16 | (0.09 | )(d)(e) | 7.39 | 7.30 | — | (2.38 | ) | (2.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.51 | 0.09 | (d)(f) | 6.17 | 6.26 | (0.21 | ) | (3.40 | ) | (3.61 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.46 | (0.09 | )(d) | 0.90 | 0.81 | — | (1.76 | ) | (1.76 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.79 | (0.01 | )(d) | 8.73 | 8.72 | — | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.46 | (0.08 | )(d) | 3.41 | 3.33 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 33.06 | (0.10 | )(d)(e) | 7.38 | 7.28 | — | (2.38 | ) | (2.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.46 | 0.09 | (d)(f) | 6.15 | 6.24 | (0.24 | ) | (3.40 | ) | (3.64 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.41 | (0.08 | )(d) | 0.89 | 0.81 | — | (1.76 | ) | (1.76 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.75 | (0.02 | )(d) | 8.73 | 8.71 | — | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.42 | (0.08 | )(d) | 3.41 | 3.33 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 39.52 | (0.01 | )(d)(e) | 8.86 | 8.85 | — | (2.38 | ) | (2.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 35.67 | 0.20 | (d)(f) | 7.31 | 7.51 | (0.26 | ) | (3.40 | ) | (3.66 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 36.41 | (0.01 | )(d) | 1.07 | 1.06 | (0.04 | ) | (1.76 | ) | (1.80 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 27.33 | 0.07 | (d) | 10.06 | 10.13 | — | (1.05 | ) | (1.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 23.48 | (0.04 | )(d) | 3.92 | 3.88 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 44.21 | 0.36 | (d)(e) | 9.96 | 10.32 | (0.27 | ) | (2.38 | ) | (2.65 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 39.47 | 0.52 | (d)(f) | 8.16 | 8.68 | (0.54 | ) | (3.40 | ) | (3.94 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 40.04 | 0.28 | (d) | 1.19 | 1.47 | (0.28 | ) | (1.76 | ) | (2.04 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 29.92 | 0.31 | (d) | 11.06 | 11.37 | (0.20 | ) | (1.05 | ) | (1.25 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 25.60 | 0.19 | (d) | 4.27 | 4.46 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 44.14 | 0.26 | (d)(e) | 9.94 | 10.20 | (0.18 | ) | (2.38 | ) | (2.56 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 39.41 | 0.44 | (d)(f) | 8.15 | 8.59 | (0.46 | ) | (3.40 | ) | (3.86 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 39.98 | 0.19 | (d) | 1.20 | 1.39 | (0.20 | ) | (1.76 | ) | (1.96 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 29.88 | 0.27 | (d) | 11.02 | 11.29 | (0.14 | ) | (1.05 | ) | (1.19 | ) | |||||||||||||||||
Year Ended June 30, 2010 | 25.58 | 0.13 | (d) | 4.27 | 4.40 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.04), $(0.21), $(0.21), $(0.15), $0.20 and $0.10 for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.09)%, (0.58)%, (0.59)%, (0.34)%, 0.41% and 0.21% for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively. |
| (f) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.05, $(0.11), $(0.11), $(0.04), $0.26 and $0.18 for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.14%, (0.35)%, (0.36)%, (0.10)%, 0.62% and 0.44% for Class A, Class B, Class C, Class R2, Class R5 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 46.56 | 23.27 | % | $ | 738,967 | 1.29 | % | 0.23 | %(e) | 1.37 | % | 30 | % | |||||||||||||
| 39.94 | 23.11 | 696,784 | 1.29 | 0.78 | (f) | 1.39 | 25 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 38.08 | 22.67 | 5,469 | 1.78 | (0.26 | )(e) | 1.87 | 30 | |||||||||||||||||||
| 33.16 | 22.51 | 8,264 | 1.79 | 0.28 | (f) | 1.88 | 25 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 37.96 | 22.67 | 39,824 | 1.79 | (0.26 | )(e) | 1.87 | 30 | |||||||||||||||||||
| 33.06 | 22.50 | 37,039 | 1.79 | 0.28 | (f) | 1.88 | 25 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 45.99 | 22.95 | 3,883 | 1.54 | (0.02 | )(e) | 1.62 | 30 | |||||||||||||||||||
| 39.52 | 22.80 | 4,909 | 1.54 | 0.53 | (f) | 1.64 | 25 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 51.88 | 23.90 | 1,177,534 | 0.79 | 0.73 | (e) | 0.92 | 30 | |||||||||||||||||||
| 44.21 | 23.71 | 814,942 | 0.79 | 1.25 | (f) | 0.94 | 25 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 51.78 | 23.65 | 1,443,768 | 0.99 | 0.53 | (e) | 1.12 | 30 | |||||||||||||||||||
| 44.14 | 23.48 | 1,134,887 | 0.99 | 1.07 | (f) | 1.14 | 25 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 (losses) on | Total from investment operations | Net realized gain | ||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 13.00 | $ | (0.12 | )(f) | $ | 2.52 | $ | 2.40 | $ | (1.44 | ) | ||||||||
Year Ended June 30, 2013 | 11.13 | (0.06 | )(f)(g) | 2.94 | 2.88 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.17 | (0.05 | )(f)(h) | (0.77 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.28 | (0.08 | )(f) | 3.97 | 3.89 | — | ||||||||||||||
Year Ended June 30, 2010 | 6.80 | (0.06 | )(f) | 1.54 | 1.48 | — | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 10.35 | (0.15 | )(f) | 1.99 | 1.84 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 9.10 | (0.10 | )(f)(g) | 2.36 | 2.26 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 10.04 | (0.09 | )(f)(h) | (0.63 | ) | (0.72 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 6.87 | (0.11 | )(f) | 3.28 | 3.17 | — | ||||||||||||||
Year Ended June 30, 2010 | 5.67 | (0.09 | )(f) | 1.29 | 1.20 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 10.87 | (0.16 | )(f) | 2.09 | 1.93 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 9.51 | (0.10 | )(f)(g) | 2.47 | 2.37 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 10.48 | (0.09 | )(f)(h) | (0.66 | ) | (0.75 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 7.17 | (0.12 | )(f) | 3.43 | 3.31 | — | ||||||||||||||
Year Ended June 30, 2010 | 5.92 | (0.09 | )(f) | 1.34 | 1.25 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2014 | 12.84 | (0.16 | )(f) | 2.49 | 2.33 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.03 | (0.09 | )(f)(g) | 2.91 | 2.82 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.09 | (0.08 | )(f)(h) | (0.76 | ) | (0.84 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.25 | (0.11 | )(f) | 3.95 | 3.84 | — | ||||||||||||||
Year Ended June 30, 2010 | 6.79 | (0.08 | )(f) | 1.54 | 1.46 | — | ||||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2014 | 14.00 | (0.06 | )(f) | 2.73 | 2.67 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.85 | — | (f)(g)(j) | 3.16 | 3.16 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.88 | — | (f)(h)(j) | (0.81 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
November 30, 2010 (i) through June 30, 2011 | 11.02 | (0.02 | )(f) | 1.88 | 1.86 | — | ||||||||||||||
Institutional Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 13.96 | (0.07 | )(f) | 2.72 | 2.65 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.84 | (0.01 | )(f)(g) | 3.14 | 3.13 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.87 | (0.01 | )(f)(h) | (0.80 | ) | (0.81 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.73 | (0.04 | )(f) | 4.18 | 4.14 | — | ||||||||||||||
Year Ended June 30, 2010 | 7.13 | (0.03 | )(f) | 1.63 | 1.60 | — | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 13.77 | (0.09 | )(f) | 2.67 | 2.58 | (1.44 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.70 | (0.03 | )(f)(g) | 3.11 | 3.08 | (1.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 12.74 | (0.02 | )(f)(h) | (0.80 | ) | (0.82 | ) | (0.22 | ) | |||||||||||
Year Ended June 30, 2011 | 8.65 | (0.05 | )(f) | 4.14 | 4.09 | — | ||||||||||||||
Year Ended June 30, 2010 | 7.08 | (0.04 | )(f) | 1.61 | 1.57 | — | ||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net income | Expenses without waivers, | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 13.96 | 18.94 | % | $ | 282,408 | 1.25 | % | (0.86 | )% | 1.37 | % | 58 | % | |||||||||||||
| 13.00 | 27.94 | 249,986 | 1.24 | (0.50 | )(g) | 1.42 | 60 | |||||||||||||||||||
| 11.13 | (6.59 | ) | 219,946 | 1.25 | (0.46 | )(h) | 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 | |||||||||||||||||||
| 10.75 | 18.34 | 2,048 | 1.75 | (1.37 | ) | 1.87 | 58 | |||||||||||||||||||
| 10.35 | 27.32 | 3,005 | 1.74 | (1.01 | )(g) | 1.92 | 60 | |||||||||||||||||||
| 9.10 | (7.00 | ) | 3,690 | 1.75 | (0.97 | )(h) | 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 | |||||||||||||||||||
| 11.36 | 18.29 | 28,035 | 1.75 | (1.36 | ) | 1.87 | 58 | |||||||||||||||||||
| 10.87 | 27.30 | 25,415 | 1.74 | (1.00 | )(g) | 1.92 | 60 | |||||||||||||||||||
| 9.51 | (6.99 | ) | 23,689 | 1.75 | (0.97 | )(h) | 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 | |||||||||||||||||||
| 13.73 | 18.62 | 31,119 | 1.50 | (1.11 | ) | 1.62 | 58 | |||||||||||||||||||
| 12.84 | 27.64 | 26,561 | 1.49 | (0.75 | )(g) | 1.67 | 60 | |||||||||||||||||||
| 11.03 | (6.80 | ) | 22,514 | 1.50 | (0.71 | )(h) | 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 | |||||||||||||||||||
| 15.23 | 19.55 | 355,032 | 0.75 | (0.36 | ) | 0.87 | 58 | |||||||||||||||||||
| 14.00 | 28.63 | 248,415 | 0.75 | — | (g)(k) | 0.92 | 60 | |||||||||||||||||||
| 11.85 | (6.14 | ) | 200,960 | 0.75 | 0.02 | (h) | 0.94 | 58 | ||||||||||||||||||
| 12.88 | 16.88 | 83,457 | 0.74 | (0.24 | ) | 0.88 | 79 | |||||||||||||||||||
| 15.17 | 19.46 | 302,087 | 0.85 | (0.46 | ) | 0.97 | 58 | |||||||||||||||||||
| 13.96 | 28.39 | 230,458 | 0.85 | (0.11 | )(g) | 1.02 | 60 | |||||||||||||||||||
| 11.84 | (6.15 | ) | 226,834 | 0.85 | (0.06 | )(h) | 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 | |||||||||||||||||||
| 14.91 | 19.20 | 156,585 | 1.00 | (0.62 | ) | 1.12 | 58 | |||||||||||||||||||
| 13.77 | 28.30 | 148,078 | 1.00 | (0.25 | )(g) | 1.17 | 60 | |||||||||||||||||||
| 11.70 | (6.29 | ) | 123,887 | 1.00 | (0.21 | )(h) | 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 | |||||||||||||||||||
| (g) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.09), $(0.12), $(0.13), $(0.12), $(0.04), $(0.05) and $(0.07) 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 (0.80)%, (1.30)%, (1.30)%, (1.04)%, (0.29)%, (0.40)% and (0.54)% for Class A, Class B, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively. |
| (h) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.07), $(0.11), $(0.11), $(0.10), $(0.02),(0.27)% and (0.40)% for Class A, Class B, Class C, Class R2, Class R6 Shares, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.68)%, (1.18)%, (1.18)%, (0.92)%, (0.19)%,$(0.03) and $(0.05) for Class A, Class B, Class C, Class R2, Class R6 Shares, Institutional Class and Select Class Shares, respectively. |
| (i) | Commencement of offering of class of shares. |
| (j) | Amount rounds to less than $0.01. |
| (k) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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, 2014 | $ | 23.77 | $ | 0.12 | (d)(e) | $ | 4.87 | $ | 4.99 | $ | (0.11 | ) | $ | (0.67 | ) | $ | (0.78 | ) | ||||||||||
Year Ended June 30, 2013 | 18.75 | 0.21 | (d)(f) | 5.04 | 5.25 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 18.99 | 0.14 | (d) | (0.22 | ) | (0.08 | ) | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 14.53 | 0.12 | (d) | 4.46 | 4.58 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.46 | 0.09 | (d) | 3.06 | 3.15 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 20.92 | (0.04 | )(d)(e) | 4.27 | 4.23 | (0.05 | ) | (0.67 | ) | (0.72 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 16.55 | 0.06 | (d)(f) | 4.44 | 4.50 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.78 | 0.02 | (d) | (0.18 | ) | (0.16 | ) | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 12.88 | 0.01 | (d) | 3.95 | 3.96 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 10.17 | — | (d)(g) | 2.72 | 2.72 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 20.73 | (0.03 | )(d)(e) | 4.22 | 4.19 | (0.06 | ) | (0.67 | ) | (0.73 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 16.40 | 0.06 | (d)(f) | 4.41 | 4.47 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.64 | 0.03 | (d) | (0.19 | ) | (0.16 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 12.78 | 0.01 | (d) | 3.92 | 3.93 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 10.10 | — | (d)(g) | 2.70 | 2.70 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 23.67 | 0.07 | (d)(e) | 4.83 | 4.90 | (0.07 | ) | (0.67 | ) | (0.74 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 18.68 | 0.15 | (d)(f) | 5.03 | 5.18 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 18.93 | 0.10 | (d) | (0.23 | ) | (0.13 | ) | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 14.51 | 0.08 | (d) | 4.45 | 4.53 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.45 | 0.06 | (d) | 3.06 | 3.12 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 24.85 | 0.23 | (d)(e) | 5.09 | 5.32 | (0.19 | ) | (0.67 | ) | (0.86 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.58 | 0.29 | (d)(f) | 5.27 | 5.56 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 19.82 | 0.20 | (d) | (0.22 | ) | (0.02 | ) | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 15.15 | 0.18 | (d) | 4.66 | 4.84 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.94 | 0.15 | (d) | 3.19 | 3.34 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.11, $(0.05), $(0.05), $0.05, $0.22, $0.23 and $0.18 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 0.41%, (0.21)%, (0.20)%, 0.20%, 0.79%, 0.82% and 0.66% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (f) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.12, $(0.01), $(0.01), $0.06, $0.19, $0.20 and $0.17 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 0.57%, (0.08)%, (0.08)%, 0.27%, 0.86%, 0.89% and 0.77% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 27.98 | 21.24 | % | $ | 516,950 | 1.24 | % | 0.46 | %(e) | 1.40 | % | 40 | % | |||||||||||||
| 23.77 | 28.08 | 332,177 | 1.24 | 0.98 | (f) | 1.39 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 24.43 | 20.50 | 3,071 | 1.83 | (0.15 | )(e) | 1.89 | 40 | |||||||||||||||||||
| 20.92 | 27.27 | 3,762 | 1.85 | 0.34 | (f) | 1.89 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 24.19 | 20.45 | 52,909 | 1.84 | (0.15 | )(e) | 1.89 | 40 | |||||||||||||||||||
| 20.73 | 27.35 | 41,108 | 1.85 | 0.34 | (f) | 1.89 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 27.83 | 20.95 | 47,939 | 1.49 | 0.25 | (e) | 1.66 | 40 | |||||||||||||||||||
| 23.67 | 27.79 | 15,500 | 1.49 | 0.69 | (f) | 1.64 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 29.31 | 21.67 | 79,792 | 0.90 | 0.85 | (e) | 0.95 | 40 | |||||||||||||||||||
| 24.85 | 28.53 | 32,304 | 0.90 | 1.28 | (f) | 0.94 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 | ||||||||||||||||||||||
Small Cap Value Fund (continued) | ||||||||||||||||||||||||||||
Class R6 (d) | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 24.87 | $ | 0.24 | (e)(f) | $ | 5.09 | $ | 5.33 | $ | (0.20 | ) | $ | (0.67 | ) | $ | (0.87 | ) | ||||||||||
Year Ended June 30, 2013 | 19.59 | 0.29 | (e)(g) | 5.29 | 5.58 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 24.86 | 0.20 | (e)(f) | 5.09 | 5.29 | (0.17 | ) | (0.67 | ) | (0.84 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.58 | 0.26 | (e)(g) | 5.29 | 5.55 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
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 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Effective November 30, 2010 Ultra Shares were renamed Class R6 Shares. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.11, $(0.05), $(0.05), $0.05, $0.22, $0.23 and $0.18 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 0.41%, (0.21)%, (0.20)%, 0.20%, 0.79%, 0.82% and 0.66% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (g) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.12, $(0.01), $(0.01), $0.06, $0.19, $0.20 and $0.17 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 0.57%, (0.08)%, (0.08)%, 0.27%, 0.86%, 0.89% and 0.77% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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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 (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 29.33 | 21.71 | % | $ | 453,645 | 0.85 | % | 0.87 | %(f) | 0.90 | % | 40 | % | |||||||||||||
| 24.87 | 28.62 | 207,613 | 0.85 | 1.32 | (g) | 0.89 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 29.31 | 21.52 | 404,848 | 0.99 | 0.71 | (f) | 1.15 | 40 | |||||||||||||||||||
| 24.86 | 28.47 | 266,018 | 0.99 | 1.19 | (g) | 1.14 | 38 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL 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. Small Company Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 13.17 | $ | (0.01 | )(f)(g) | $ | 3.39 | $ | 3.38 | $ | (0.01 | ) | $ | (0.29 | ) | $ | (0.30 | ) | ||||||||||
Year Ended June 30, 2013 | 10.31 | 0.04 | (f)(h) | 2.89 | 2.93 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.62 | 0.02 | (f) | (0.33 | )(i) | (0.31 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2011 | 7.79 | — | (f)(j) | 2.86 | 2.86 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.17 | 0.01 | (f) | 1.68 | 1.69 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.91 | (0.08 | )(f)(g) | 3.32 | 3.24 | — | (0.29 | ) | (0.29 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 10.14 | (0.02 | )(f)(h) | 2.83 | 2.81 | (0.04 | ) | — | �� | (0.04 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.50 | (0.02 | )(f) | (0.34 | )(i) | (0.36 | ) | — | — | — | ||||||||||||||||||
Year Ended June 30, 2011 | 7.71 | (0.05 | )(f) | 2.84 | 2.79 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 6.14 | (0.03 | )(f) | 1.68 | 1.65 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.09 | (0.05 | )(f)(g) | 3.38 | 3.33 | (0.01 | ) | (0.29 | ) | (0.30 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.25 | (0.02 | )(f)(h) | 2.90 | 2.88 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
November 1, 2011 (k) through June 30, 2012 | 9.02 | — | (f)(j) | 1.27 | (i) | 1.27 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.35 | 0.06 | (f)(g) | 3.46 | 3.52 | (0.06 | ) | (0.29 | ) | (0.35 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.43 | 0.11 | (f)(h) | 2.91 | 3.02 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
November 1, 2011 (k) through June 30, 2012 | 9.13 | 0.05 | (f) | 1.29 | (i) | 1.34 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.35 | 0.06 | (f)(g) | 3.44 | 3.50 | (0.05 | ) | (0.29 | ) | (0.34 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.43 | 0.10 | (f)(h) | 2.92 | 3.02 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.75 | 0.06 | (f) | (0.34 | )(i) | (0.28 | ) | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 7.84 | 0.04 | (f) | 2.90 | 2.94 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.20 | 0.04 | (f) | 1.68 | 1.72 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.37 | 0.03 | (f)(g) | 3.45 | 3.48 | (0.03 | ) | (0.29 | ) | (0.32 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.45 | 0.08 | (f)(h) | 2.92 | 3.00 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 10.76 | 0.05 | (f) | (0.33 | )(i) | (0.28 | ) | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 7.86 | 0.03 | (f) | 2.89 | 2.92 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.22 | 0.02 | (f) | 1.70 | 1.72 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.02), $(0.09), $(0.05), $0.06, $0.05 and $0.02 for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.12)%, (0.61)%, (0.36)%, 0.38%, 0.34% and 0.13% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively. |
| (h) | Reflects special dividends paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.01), $(0.07), $(0.07), $0.07, $0.05 and $0.03 for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.08)%, (0.57)%, (0.58)%, 0.56%, 0.41% and 0.25% for Class A, Class C, Class R2, Class R6, Institutional Class and Select Class Shares, respectively. |
| (i) | 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. |
| (j) | Amount rounds to less than $0.01. |
| (k) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 16.25 | 25.86 | % | $ | 126,858 | 1.25 | % | (0.08 | )%(g) | 1.34 | % | 51 | % | |||||||||||||
| 13.17 | 28.54 | 49,607 | 1.25 | 0.31 | (h) | 1.43 | 54 | |||||||||||||||||||
| 10.31 | (2.92 | )(i) | 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 | ||||||||||||||||||||
| 15.86 | 25.27 | 22,539 | 1.75 | (0.57 | )(g) | 1.84 | 51 | |||||||||||||||||||
| 12.91 | 27.83 | 6,972 | 1.75 | (0.18 | )(h) | 1.93 | 54 | |||||||||||||||||||
| 10.14 | (3.43 | )(i) | 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 | |||||||||||||||||||
| 16.12 | 25.66 | 9,785 | 1.50 | (0.32 | )(g) | 1.59 | 51 | |||||||||||||||||||
| 13.09 | 28.19 | 1,744 | 1.50 | (0.20 | )(h) | 1.65 | 54 | |||||||||||||||||||
| 10.25 | 14.17 | (i) | 57 | 1.51 | 0.02 | 1.91 | 74 | |||||||||||||||||||
| 16.52 | 26.54 | 45,604 | 0.75 | 0.42 | (g) | 0.84 | 51 | |||||||||||||||||||
| 13.35 | 29.17 | 17,232 | 0.75 | 0.95 | (h) | 0.97 | 54 | |||||||||||||||||||
| 10.43 | 14.77 | (i) | 12,959 | 0.75 | 0.70 | 1.08 | 74 | |||||||||||||||||||
| 16.51 | 26.42 | 216,698 | 0.82 | 0.39 | (g) | 0.94 | 51 | |||||||||||||||||||
| 13.35 | 29.08 | 30,226 | 0.82 | 0.79 | (h) | 1.05 | 54 | |||||||||||||||||||
| 10.43 | (2.59 | )(i) | 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 | ||||||||||||||||||||
| 16.53 | 26.21 | 160,279 | 1.00 | 0.17 | (g) | 1.09 | 51 | |||||||||||||||||||
| 13.37 | 28.81 | 66,928 | 1.00 | 0.64 | (h) | 1.21 | 54 | |||||||||||||||||||
| 10.45 | (2.60 | )(i) | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 73 | ||||||
Table of Contents
AS OF JUNE 30, 2014
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 |
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, Dynamic Small Cap Growth Fund and Small Cap Growth Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in the Classes’ 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 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 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 Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — 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. Securities listed on the NASDAQ Stock Market LLC are generally valued at 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 pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers 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 pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair 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 fair value. Investments in open-end investment companies are valued at each investment company’s net asset value per share (“NAV”) as of the report date.
| 74 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.
Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups and the Funds’ Chief Compliance Officer. 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 employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The 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 for discussing and assessing 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 is 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 the 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 observable inputs | Level 3 unobservable inputs | Total | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 557,202 | $ | — | $ | — | $ | 557,202 | ||||||||
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| |||||||||
Small Cap Core Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 699,258 | $ | 1,416 | $ | — | $ | 700,674 | ||||||||
|
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|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 183 | $ | — | $ | — | $ | 183 | ||||||||
|
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|
|
|
|
| |||||||||
Small Cap Equity Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 3,430,610 | $ | — | $ | — | $ | 3,430,610 | ||||||||
|
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|
|
|
| |||||||||
Small Cap Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 1,151,984 | $ | — | $ | — | $ | 1,151,984 | ||||||||
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| |||||||||
Small Cap Value Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 1,555,886 | $ | 5,168 | $ | — | $ | 1,561,054 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 1,414 | $ | — | $ | — | $ | 1,414 | ||||||||
|
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| |||||||||
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 75 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
U.S. Small Company Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 76,564 | $ | — | $ | — | $ | 76,564 | ||||||||
Consumer Staples | 20,591 | — | — | 20,591 | ||||||||||||
Energy | 37,649 | — | — | 37,649 | ||||||||||||
Financials | 117,980 | — | — | 117,980 | ||||||||||||
Health Care | 73,930 | — | — | (c) | 73,930 | |||||||||||
Industrials | 81,125 | — | — | 81,125 | ||||||||||||
Information Technology | 97,671 | — | — | 97,671 | ||||||||||||
Materials | 20,118 | — | — | 20,118 | ||||||||||||
Telecommunication Services | 6,092 | — | — | 6,092 | ||||||||||||
Utilities | 17,344 | — | — | 17,344 | ||||||||||||
|
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|
| |||||||||
Total Common Stocks | 549,064 | — | — | (c) | 549,064 | |||||||||||
|
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|
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|
|
| |||||||||
U.S. Treasury Obligations | $ | — | $ | 2,107 | $ | — | $ | 2,107 | ||||||||
Investment Company | 20,060 | — | — | 20,060 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 569,124 | $ | 2,107 | $ | — | (c) | $ | 571,231 | |||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 512 | $ | — | $ | — | $ | 512 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All portfolio holdings designated as Level 1 are disclosed individually on 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 on 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. |
| (c) | Value is zero. |
There were no transfers between Levels 1 and 2 during the year ended June 30, 2014.
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 (the “Securities Act”). Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are 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. As of June 30, 2014, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
The following are the values and percentages of net assets of illiquid securities as of June 30, 2014:
| Value | Percentage | |||||
U.S. Small Company Fund | — | (a) | —% | |||
| (a) | Value is zero. |
C. Futures Contracts — 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 are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/ depreciation 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 in the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded in the Statements of Assets and Liabilities.
| 76 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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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 positions.
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2014 (amounts in thousands):
| Small Cap Core Fund | Small Cap Value Fund | U.S. Small Company Fund | ||||||||||
Futures Contracts: | ||||||||||||
Average Notional Balance Long | $ | 15,107 | $ | 40,388 | $ | 12,102 | ||||||
Ending Notional Balance Long | 10,356 | 58,682 | 25,710 | |||||||||
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty, and net amounts owed or due across transactions).
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Income and Expenses — 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. In calculating the NAV 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.
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 capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders — Distributions 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. Distributions 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 distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated Undistributed/ (Distributions in excess of) Net Investment Income | Accumulated Net Realized Gains (Losses) | ||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | 3,973 | $ | (3,973 | ) | |||||
Small Cap Core Fund | — | (425 | ) | 425 | ||||||||
Small Cap Equity Fund | (5 | ) | (895 | ) | 900 | |||||||
Small Cap Growth Fund | — | 5,497 | (5,497 | ) | ||||||||
Small Cap Value Fund | (68 | ) | 595 | (527 | ) | |||||||
U.S. Small Company Fund | — | 162 | (162 | ) | ||||||||
The reclassifications for the Funds relate primarily to non-taxable dividends, net operating losses and investments in passive foreign investment companies.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 77 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
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 Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, 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 accrued daily and paid monthly at an 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 covered by the Administration Agreement (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, 2014, the annual effective rate was 0.08% 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, 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, 2014, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Dynamic Small Cap Growth Fund | $ | 4 | $ | — | (a) | |||
Small Cap Equity Fund | 7 | — | (a) | |||||
Small Cap Growth Fund | 14 | 1 | ||||||
Small Cap Value Fund | 41 | — | (a) | |||||
U.S. Small Company Fund | 19 | — | (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 accrued 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 | |||||||||||||||||||||
| 78 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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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. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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. Payments to the custodian 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 expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, 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 | |||||||||||||||||||||||||
Dynamic Small Cap Growth Fund | 1.25 | %* | 1.75 | %* | 1.75 | %* | n/a | n/a | n/a | n/a | 1.00 | %* | ||||||||||||||||||||
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 March 1, 2014, the contractual expense limitations for Dynamic Small Cap Growth Fund were 1.50%, 2.10%, 2.10% and 1.10% for Class A, Class B, Class C and Select Class, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2014. The contractual expense limitation percentages in the table above are in place until at least October 31, 2014, except for Dynamic Small Cap Growth Fund, which is in place until at least March 1, 2015. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2014. 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, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect 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 | $ | — | $ | — | $ | 338 | $ | 338 | ||||||||
Small Cap Core Fund | 68 | 408 | 1,580 | 2,056 | ||||||||||||
Small Cap Equity Fund | 374 | 1,799 | 1,184 | 3,357 | ||||||||||||
Small Cap Growth Fund | 517 | 774 | — | (a) | 1,291 | |||||||||||
Small Cap Value Fund | 323 | 212 | 904 | 1,439 | ||||||||||||
U.S. Small Company Fund | 88 | 214 | 29 | 331 | ||||||||||||
| Voluntary Waivers | ||||||||||||
Investment Advisory | Shareholder Servicing | Total | ||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | 6 | $ | 6 | ||||||
Small Cap Equity Fund | — | 9 | 9 | |||||||||
Small Cap Value Fund | — | (a) | 3 | 3 | ||||||||
| (a) | Amount rounds to less than $1,000. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, 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.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 79 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
The amount of waivers resulting from investments in these money market funds for the year ended June 30, 2014 was as follows (amounts in thousands):
Dynamic Small Cap Growth Fund | $ | 22 | ||
Small Cap Core Fund | 33 | |||
Small Cap Equity Fund | 228 | |||
Small Cap Growth Fund | 37 | |||
Small Cap Value Fund | 77 | |||
U.S. Small Company Fund | 28 |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, 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, 2014, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Funds may use related party brokers-dealers. For the year ended June 30, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2014, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases (excluding | Sales (excluding U.S. Government) | Purchases of U.S. Government | Sales of U.S. Government | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 353,363 | $ | 407,840 | $ | — | $ | — | ||||||||
Small Cap Core Fund | 350,167 | 311,549 | 916 | 345 | ||||||||||||
Small Cap Equity Fund | 972,023 | 922,311 | — | — | ||||||||||||
Small Cap Growth Fund | 662,460 | 628,993 | — | — | ||||||||||||
Small Cap Value Fund | 909,485 | 495,500 | 1,672 | 1,605 | ||||||||||||
U.S. Small Company Fund | 486,081 | 175,941 | 611 | 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, 2014 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Dynamic Small Cap Growth Fund | $ | 414,221 | $ | 165,545 | $ | 22,564 | $ | 142,981 | ||||||||
Small Cap Core Fund | 487,687 | 226,111 | 13,124 | 212,987 | ||||||||||||
Small Cap Equity Fund | 2,243,093 | 1,254,560 | 67,043 | 1,187,517 | ||||||||||||
Small Cap Growth Fund | 864,151 | 346,066 | 58,233 | 287,833 | ||||||||||||
Small Cap Value Fund | 1,236,430 | 359,653 | 35,029 | 324,624 | ||||||||||||
U.S. Small Company Fund | 488,448 | 91,979 | 9,196 | 82,783 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to non-taxable dividends and wash sale loss deferrals.
| 80 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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The tax character of distributions paid during the fiscal year ended June 30, 2014 was as follows (amounts in thousands):
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Dynamic Small Cap Growth Fund | $ | 13,443 | $ | 30,590 | $ | 44,033 | ||||||
Small Cap Core Fund | 7,885 | 25,750 | 33,635 | |||||||||
Small Cap Equity Fund | 44,213 | 122,627 | 166,840 | |||||||||
Small Cap Growth Fund | 9,192 | 93,419 | 102,611 | |||||||||
Small Cap Value Fund | 14,967 | 23,752 | 38,719 | |||||||||
U.S. Small Company Fund | 4,145 | 2,938 | 7,083 | |||||||||
The tax character of distributions paid during the fiscal year ended June 30, 2013 was as follows (amounts in thousands):
| Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Dynamic Small Cap Growth Fund | $ | — | $ | 13,780 | $ | 13,780 | ||||||
Small Cap Core Fund | 4,488 | — | 4,488 | |||||||||
Small Cap Equity Fund | 57,029 | 171,185 | 228,214 | |||||||||
Small Cap Growth Fund | — | 64,501 | 64,501 | |||||||||
Small Cap Value Fund | 8,927 | — | 8,927 | |||||||||
U.S. Small Company Fund | 632 | — | 632 | |||||||||
As of June 30, 2014, 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) | ||||||||||
Dynamic Small Cap Growth Fund | $ | 8,351 | $ | 23,423 | $ | 142,981 | ||||||
Small Cap Core Fund | 11,672 | 43,900 | 212,987 | |||||||||
Small Cap Equity Fund | 23,671 | 232,953 | 1,187,517 | |||||||||
Small Cap Growth Fund | 3,927 | 53,394 | 287,833 | |||||||||
Small Cap Value Fund | 8,612 | 49,599 | 324,624 | |||||||||
U.S. Small Company Fund | 3,829 | 6,591 | 82,783 | |||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, mark to market of futures contracts, non-taxable dividends and late year ordinary loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011 are 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.
During the year ended June 30, 2014, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Small Cap Value Fund | $ | 3,667 |
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, 2014, the Funds deferred to July 1, 2014 post-October capital losses and late year ordinary losses of (amounts in thousands):
| Late Year Ordinary Loss Deferral | Post-October Capital Loss Character | |||||||||||
| Short-Term | �� | Long-Term | ||||||||||
Dynamic Small Cap Growth Fund | $ | 2,185 | $ | — | $ | — | ||||||
Small Cap Growth Fund | 3,515 | — | — | |||||||||
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 81 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
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 the Funds and the series of JPM II are all 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 10, 2014.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2014 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. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
Dynamic Small Cap Growth Fund and U.S. Small Company 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.
One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for Small Cap Core Fund and Small 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 certain Funds as follows:
| JPMorgan SmartRetirement Funds | ||||
Small Cap Growth Fund | 16.5 | % | ||
Small Cap Value Fund | 12.8 | |||
Significant shareholder transactions by these shareholders, if any, may impact the Funds’ performance.
| 82 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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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, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 22, 2014
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 83 | ||||||
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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 | ||||||
| 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). | 166 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 166 | Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present); Trustee, Museum of Jewish Heritage (2011-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). | 166 | 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). | 166 | None | |||
| Mary E. Martinez (1960); Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 166 | None | |||
| 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). | 166 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 166 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 166 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the 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). | 166 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 84 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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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) | ||||||
| Marian U. Pardo** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 166 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, 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). | 166 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony 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). | 166 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
| Frankie D. Hughes*** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 166 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Mr. Morton should continue to serve until December 31, 2014. In order to fill the vacancies created by the retirement of Fergus Reid, III, William J. Armstrong, and Leonard J. Spalding Jr., effective December 31, 2012, the Board appointed Ms. Martinez and Mr. Merin to serve as Trustees effective January 1, 2013 and Ms. Pardo to serve as Trustee effective February 1, 2013. |
| (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 adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (166 funds), including JPMorgan Mutual Fund Group which liquidated effective November 29, 2012 and is in the process of winding up its affairs. |
| * | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
| ** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
| *** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 85 | ||||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), | Chief Operating Officer and Director, J.P. Morgan Investment Management. Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
| 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. | |
Annik Pastore (1966), AML Compliance Officer (2014)* | Executive Director and Global Financial Crime Compliance Officer for JPMorgan Global Investment Management for the U.S. and EMEA since 2012, AML officer for various JPMAM lines of business from 2007-2012. | |
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) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly 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. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 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. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). | |
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 60 Victoria Embankment, Floor 06, London, EC4Y 0JP, United Kingdom. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| *** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004-2413. |
| 86 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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SCHEDULE OF SHAREHOLDER EXPENSES
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, 2014, and continued to hold your shares at the end of the reporting period, June 30, 2014.
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, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Dynamic Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 965.80 | $ | 6.29 | 1.29 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 963.50 | 8.76 | 1.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.87 | 9.00 | 1.80 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 963.40 | 8.76 | 1.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.87 | 9.00 | 1.80 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 967.10 | 5.02 | 1.03 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.69 | 5.16 | 1.03 | ||||||||||||
Small Cap Core Fund | ||||||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,060.50 | 4.04 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,043.20 | 6.54 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,040.70 | 9.06 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,040.90 | 9.06 | 1.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.92 | 8.95 | 1.79 | ||||||||||||
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Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Small Cap Equity Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,041.90 | $ | 7.80 | 1.54 | % | ||||||||
Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,046.00 | 4.01 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,044.80 | 5.02 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 967.40 | 6.10 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 965.00 | 8.53 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 964.30 | 8.52 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 966.20 | 7.31 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 969.40 | 3.66 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 969.30 | 4.15 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 968.20 | 4.88 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,034.90 | 6.26 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,031.70 | 9.32 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.62 | 9.25 | 1.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,031.60 | 9.32 | 1.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.62 | 9.25 | 1.85 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,033.80 | 7.51 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,036.70 | 4.54 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,037.00 | 4.29 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,036.30 | 5.00 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
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Table of Contents
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.70 | $ | 6.34 | 1.25 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,043.40 | 8.87 | 1.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,044.70 | 7.60 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,048.90 | 3.81 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,048.30 | 4.16 | 0.82 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.73 | 4.11 | 0.82 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,046.90 | 5.08 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPM Trust I
JPM I held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the JPM I, including Dynamic Small Cap Growth Fund, Small Cap Core Fund, Small Cap Equity Fund and U.S. Small Company Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 172,130,223 | |||
Withheld | 1,157,495 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 172,109,164 | |||
Withheld | 1,178,553 | |||
| Robert J. Higgins | ||||
In Favor | 158,338,954 | |||
Withheld | 14,948,763 | |||
| Frankie D. Hughes | ||||
In Favor | 172,148,985 | |||
Withheld | 1,138,733 | |||
| Peter C. Marshall | ||||
In Favor | 172,124,473 | |||
Withheld | 1,163,244 | |||
| Mary E. Martinez | ||||
In Favor | 172,132,763 | |||
Withheld | 1,154,954 | |||
| Marilyn McCoy | ||||
In Favor | 172,123,615 | |||
Withheld | 1,164,102 | |||
| Mitchell M. Merin | ||||
In Favor | 172,132,812 | |||
Withheld | 1,154,905 | |||
| William G. Morton, Jr. | ||||
In Favor | 172,111,749 | |||
Withheld | 1,175,968 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 172,098,600 | |||
Withheld | 1,189,117 | |||
| Marian U. Pardo | ||||
In Favor | 172,162,159 | |||
Withheld | 1,125,559 | |||
| Frederick W. Ruebeck | ||||
In Favor | 172,051,301 | |||
Withheld | 1,236,416 | |||
| James J. Schonbachler | ||||
In Favor | 172,078,691 | |||
Withheld | 1,209,026 | |||
JPM Trust II
JPM II held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the Trust, including Small Cap Growth fund and Small Cap Value Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 132,674,822 | |||
Withheld | 508,692 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 132,670,672 | |||
Withheld | 512,842 | |||
| Robert J. Higgins | ||||
In Favor | 124,038,998 | |||
Withheld | 9,144,516 | |||
| Frankie D. Hughes | ||||
In Favor | 132,681,734 | |||
Withheld | 501,780 | |||
| Peter C. Marshall | ||||
In Favor | 132,663,579 | |||
Withheld | 519,935 | |||
| Mary E. Martinez | ||||
In Favor | 132,682,318 | |||
Withheld | 501,196 | |||
| Marilyn McCoy | ||||
In Favor | 132,681,993 | |||
Withheld | 501,520 | |||
| Mitchell M. Merin | ||||
In Favor | 132,664,715 | |||
Withheld | 518,799 | |||
| William G. Morton, Jr. | ||||
In Favor | 132,650,698 | |||
Withheld | 532,816 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 132,664,727 | |||
Withheld | 518,788 | |||
| Marian U. Pardo | ||||
In Favor | 132,690,792 | |||
Withheld | 492,722 | |||
| Frederick W. Ruebeck | ||||
In Favor | 132,644,244 | |||
Withheld | 539,269 | |||
| James J. Schonbachler | ||||
In Favor | 132,671,281 | |||
Withheld | 512,233 | |||
| 90 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2014 | ||||
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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, 2014. 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, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.
Dividends Received Deductions (DRD)
Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2014:
| Dividends Received Deduction | ||||
Dynamic Small Cap Growth Fund | 12.56 | % | ||
Small Cap Core Fund | 42.12 | |||
Small Cap Equity Fund | 98.76 | |||
Small Cap Growth Fund | 17.54 | |||
Small Cap Value Fund | 100.00 | |||
U.S. Small Company Fund | 60.15 | |||
Long Term Capital Gain
Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Dynamic Small Cap Growth Fund | $ | 30,590 | ||
Small Cap Core Fund | 25,750 | |||
Small Cap Equity Fund | 122,627 | |||
Small Cap Growth Fund | 93,419 | |||
Small Cap Value Fund | 23,752 | |||
U.S. Small Company Fund | 2,938 | |||
Qualified Dividend Income (QDI)
Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Qualified Dividend Income | ||||
Dynamic Small Cap Growth Fund | $ | 2,272 | ||
Small Cap Core Fund | 7,833 | |||
Small Cap Equity Fund | 44,213 | |||
Small Cap Growth Fund | 4,601 | |||
Small Cap Value Fund | 14,967 | |||
U.S. Small Company Fund | 4,145 | |||
| JUNE 30, 2014 | J.P. MORGAN SMALL CAP FUNDS | 91 | ||||||
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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 on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. 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., 2014. All rights reserved. June 2014. | AN-SC-614 |
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Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2014
JPMorgan Growth Advantage 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
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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 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.
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JULY 31, 2014 (Unaudited)
Dear Shareholder:
The economic recovery strengthened over the past year and financial markets in the U.S. withstood periodic volatility to end the period with robust returns. Throughout the 12 months ended June 30, 2014, major central banks continued to provide economic stimulus through closely aligned policies of historically low interest rates. During this period, the U.S. unemployment rate fell to 6.09% from 7.54%. While there were discrete sell-offs in U.S. Treasury bonds, emerging market equities and U.S. small cap stocks, by the end of the period each of these market segments had largely recovered along with broader bond and equity markets.
 |
“The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their investments.” |
Financial markets were firmly focused on the U.S. Federal Reserve Bank (the “Fed”) and its policy decisions and pronouncements. At the start of the period, the Fed was purchasing $85 billion a month of Treasury bonds and mortgage backed securities under its Quantitative Easing (QE) program. However, the Fed’s then-chairman, Ben Bernanke, had signaled the central bank might reduce its monthly purchases if the U.S. economy continued to improve. Bernanke’s remarks were followed by a sell-off in U.S. equities and bonds during the summer of 2013. Equity prices then rebounded and headed higher as a range of U.S. economic data showed steady improvement through the final three months of 2013. The Fed’s announcement in December that it would cut its monthly asset purchases by $10 billion to $75 billion was followed by a sharp sell-off in emerging market assets that drove currency volatility in those markets. While reassuring investors that it would hold down interest rates into 2015, the Fed continued to taper off its QE purchases in $10 billion increments and by the end of the period monthly purchases were down to $45 billion.
The month of December also ushered in a winter of severe weather across much of the U.S. Snowstorms grounded airlines — affecting passengers and parcels alike — and shuttered businesses and schools throughout the country. Consumer spending and construction slowed to a greater extent than was understood at the time. In fact, U.S. gross domestic product shrank by 2.13% during the first three months of 2014. Economists attributed nearly half of that contraction to severe weather.
Signs of slower growth in China raised concerns that the nation’s economy might be in for a “hard landing” that would reverberate through emerging market nations, as well as developed economies. While the Chinese government’s efforts to restrain growth in real estate prices did impact property companies on the mainland as well as in Hong Kong, where the real estate sector makes up a significant portion of the local economy, China’s economy continued to grow at better than 7%.
Following volatility in the initial months of the reporting period, U.S. equity markets rose to record highs in December and, after a brief pause early in 2014, marched steadily higher in the following months, notching 22 record-high closings by the end of June. Volatility virtually disappeared in the final months of the reporting period and the Standard & Poor’s 500 Index (the “S&P 500”) did not move higher or lower by more than 1 percent for 51 consecutive days ended June 30, 2014. The last time the index moved so little was in 1995, when it went 95 days without moving a full percentage point. The Chicago Board Options Exchange Volatility Index ended the period near its lowest level since February 2007. At June 30, 2014, the S&P 500 produced a
12-month return of 24.61% and extended its longest stretch of consecutive quarterly gains in 16 years.
The U.S. bond market had a less stellar year than equities as the Fed’s maintenance of low interest rates held down prices for much of 2013. Bond prices rebounded in 2014, as slower-than-expected domestic growth and instability in emerging markets lifted demand for fixed income securities. The Barclays U.S. Aggregate Index returned 3.93% for the first six months of 2014 and 4.37% for the 12 months ended June 30, 2014.
In Europe, the sovereign debt crisis receded further and by the end of 2013, Ireland became the first nation to exit the European Union (EU) bailout program. Healthy corporate earnings and robust mergers and acquisitions activity bolstered equity markets. While the crisis in Ukraine appeared to have little impact on the EU economy, the European Central Bank (ECB) began to confront the threat of price deflation. In an unprecedented move on June 5, 2014, the ECB President Mario Draghi cut the deposit rate to negative 0.10% from 0.00%, effectively charging European banks for parking excess cash with the ECB. In Japan, Prime Minister Shinzo Abe’s economic policies appeared to be successful in pushing the economy out of a decade of stagnation and price deflation. Japanese equities ended 2013 at their highest levels since 1988. However, as 2014 began, investors grew less confident in “Abenomics” and an April increase in Japan’s consumption tax raised concerns that consumer spending would slow, removing a key support of the nation’s economic growth. The MSCI Europe, Australasia and Far East Index returned 23.57% for the 12 months ended June 30, 2014.
From Turbulence to Turnaround
At the start of the period, emerging markets generally benefited from investors’ global search for yield amid the low interest rate environment engineered by central banks in developed markets. However, a sell-off in emerging markets followed the Fed’s December decision to reduce its monthly asset purchases. Emerging market investors also faced political unrest in Ukraine, Thailand and Turkey, a potential bond default in Argentina, and uncertainty surrounding pending elections in India and Indonesia, two of the world’s largest democracies. Despite the headwinds and perhaps due to the “low for long” message on interest rates from both the Fed and the ECB, emerging markets rebounded and ended at June 30, 2014 with the strongest quarterly performance since 2012. The MSCI Emerging Markets Index returned 14.31% for the year ended June 30, 2014.
The past 12 months witnessed periodic sell-offs in equities and bonds in both developed and emerging markets. Market volatility was driven by comments as well as actions from the Fed and the ECB, along with external events around the globe. As the reporting period unfolded, investors who believed 2013 provided a bumpy ride soon found that 2014 provided its own surprises. However, equity markets — and also fixed income markets to some extent — proved resilient in the face of a variety of shocks and headwinds. The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their 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. If you should 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
| JUNE 30, 2014 | 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, 2014 (Unaudited)
The U.S. equity market performed strongly during the twelve months ended June 30, 2014. While financial market volatility spiked early in the reporting period amid investor uncertainty about the U.S. Federal Reserve Board’s (“Fed”) intent to taper off its monthly asset purchases, equity prices recovered and headed toward record highs at the end of 2013. Corporate profits remained healthy into 2014 and mergers and acquisitions activity increased as companies amassed large cash holdings and/or had access to inexpensive financing in the low-interest rate environment. Further bolstering equities were improving conditions in employment, housing and consumer sentiment. The Standard & Poor’s 500 Index (“S&P 500 Index”) notched seven record high closings in December.
In early 2014, investors began to question the strength of the global economy as bond yields, which move in the opposite direction of bond prices, continued to fall across the developed world. Adding to investor anxiety were the ongoing tensions between Russia and Ukraine as well as a growing insurgency in Iraq. Equity markets regained their footing in mid-May as economic releases pointed to a stronger U.S. economy than suggested by the decline in first-quarter gross domestic product.
Mid cap stocks mostly performed in line with large cap and small cap issues. Within the mid cap asset class, the health care and telecommunication services sectors were among the strongest performers, while the consumer discretionary and financials sectors were among the weakest performers. The S&P 500 Index returned 24.61% and the Russell 1000 Index returned 25.35% for the twelve month period. The Russell Midcap Index returned 26.85%, while the Russell Midcap Value Index returned 27.76% and the Russell Midcap Growth Index returned 26.04% for the twelve month period.
| 2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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JPMorgan Growth Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 31.04% | |||
| Russell 3000 Growth Index | 26.75% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 3,565,207 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Class A Shares, without a sales charge) outperformed the Russell 3000 Growth Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the technology and financial service sectors was the leading contribution to performance relative to the Benchmark, while the Fund’s security selection in the energy sector and its overweight position in the consumer discretionary sector detracted from relative performance, though in the latter case the impact was not as significant.
Leading individual contributors to relative performance included the Fund’s positions in Illumina Inc., Acuity Brands Inc. and its underweight position in IBM Corp. Shares of Illumina, a medical technology company, rose on better than expected sales and its dominant position in a large clinical diagnostics market. Shares of Acuity Brands, a provider of lighting products for commercial and retail markets, traded higher amid an improving environment for non-residential renovation and construction, as well as the company’s growth in energy efficient and digitized lighting. Shares of IBM, an information technology company, remained weak on continued deterioration in its hardware business and declining free cash flow generation, and the Fund’s lack of a position in the stock helped its relative performance.
Individual detractors from relative performance included Lululemon Athletica Inc., Aegerion Pharmaceuticals Inc. and its underweight position in Schlumberger Ltd. Shares of Lululemon, a maker of athletic apparel not held in the Benchmark, fell on the company’s reduced earnings forecast, and its continued struggle to regain lost sales momentum due to product missteps. Shares of Aegerion, a drug maker focused on treatments of lipid (cholesterol) disorders, traded lower after the company lowered its revenue forecast amid broad weakness in the biotechnology sector in 2014. Shares of Schlumberger, an oilfield services company, traded higher on the company’s better-than-expected forecast for long-term profit.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, 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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Google, Inc., Class C | 3.7 | % | |||||
| 2. | Gilead Sciences, Inc. | 3.2 | ||||||
| 3. | Apple, Inc. | 2.2 | ||||||
| 4. | Facebook, Inc., Class A | 2.1 | ||||||
| 5. | MasterCard, Inc., Class A | 2.0 | ||||||
| 6. | Acuity Brands, Inc. | 1.9 | ||||||
| 7. | Amazon.com, Inc. | 1.9 | ||||||
| 8. | Illumina, Inc. | 1.7 | ||||||
| 9. | Priceline Group, Inc. (The) | 1.7 | ||||||
| 10. | Affiliated Managers Group, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 27.1 | % | ||
| Consumer Discretionary | 19.8 | |||
| Health Care | 17.4 | |||
| Industrials | 16.2 | |||
| Financials | 9.2 | |||
| Energy | 4.9 | |||
| Materials | 3.3 | |||
| Short-Term Investment | 2.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 | ||||||
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JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | October 29, 1999 | |||||||||||||
Without Sales Charge | 31.04 | % | 20.60 | % | 10.88 | % | ||||||||
With Sales Charge* | 24.17 | 19.29 | 10.28 | |||||||||||
CLASS B SHARES | October 29, 1999 | |||||||||||||
Without CDSC | 30.40 | 20.01 | 10.35 | |||||||||||
With CDSC** | 25.40 | 19.81 | 10.35 | |||||||||||
CLASS C SHARES | May 1, 2006 | |||||||||||||
Without CDSC | 30.37 | 19.98 | 10.26 | |||||||||||
With CDSC*** | 29.37 | 19.98 | 10.26 | |||||||||||
CLASS R5 SHARES | January 8, 2009 | 31.58 | 21.11 | 11.21 | ||||||||||
CLASS R6 SHARES | December 23, 2013 | 31.67 | 21.13 | 11.22 | ||||||||||
SELECT CLASS SHARES | May 1, 2006 | 31.25 | 20.85 | 11.09 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 than those shown 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. Returns for Class R6
Shares prior to its inception date are based on the performance of Class R5 Shares from January 9, 2009 to December 23, 2013, 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 R6 Shares would have been different than those shown because Class R6 Shares have different expenses than the other classes.
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, 2004 to June 30, 2014. 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, if applicable. 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 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.
| 4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
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 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, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 | ||||||
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 28.55% | |||
| Russell Midcap Index | 26.85% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 2,773,170 | ||
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 12 months ended June 30, 2014. The Fund’s security selection in the financials and health care sectors was the leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the materials and energy sectors was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s positions in Illumina Inc., Acuity Brands Inc. and Electronic Arts Inc. Shares of Illumina, a medical technology company, rose on better than expected sales of its gene sequencing products. Shares of Acuity Brands, a provider of lighting products for commercial and retail markets, traded higher amid an improving environment for non-residential renovation and construction as well as the company’s growth in energy efficient and digitized lighting. Shares of Electronic Arts, a maker of video games, gained from better-than-expected sales.
Leading individual detractors from relative performance included Lululemon Athletica Inc. and the Fund’s underweight positions in Forest Laboratories Inc. and Micron Technology Inc. Shares of Lululemon, a maker of athletic apparel not held in the Benchmark, traded lower as the company reduced its earnings forecast and continued to struggle to recover lost sales momentum from product missteps. Shares of Micron Technology, a maker of semiconductor devices, gained from a jump in quarterly sales and strong profit growth. Shares of Forest Laboratories, a specialty pharmaceuticals company, rose on the company’s acquisition by Activis PLC.
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, in their view, 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. | Amphenol Corp., Class A | 1.5 | % | |||||
| 2. | Carlisle Cos., Inc. | 1.2 | ||||||
| 3. | Illumina, Inc. | 1.2 | ||||||
| 4. | Humana, Inc. | 1.2 | ||||||
| 5. | Mohawk Industries, Inc. | 1.1 | ||||||
| 6. | Sherwin-Williams Co. (The) | 1.1 | ||||||
| 7. | MSC Industrial Direct Co., Inc., Class A | 1.0 | ||||||
| 8. | Fortune Brands Home & Security, Inc. | 1.0 | ||||||
| 9. | Affiliated Managers Group, Inc. | 1.0 | ||||||
| 10. | Alliance Data Systems Corp. | 1.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 19.5 | % | ||
| Consumer Discretionary | 19.4 | |||
| Information Technology | 15.4 | |||
| Industrials | 15.0 | |||
| Health Care | 9.1 | |||
| Energy | 5.5 | |||
| Materials | 4.8 | |||
| Utilities | 4.5 | |||
| Consumer Staples | 2.8 | |||
| Short-Term Investment | 4.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| 6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 2, 2009 | |||||||||||||
Without Sales Charge | 28.13 | % | 21.22 | % | 10.10 | % | ||||||||
With Sales Charge* | 21.40 | 19.92 | 9.50 | |||||||||||
CLASS C SHARES | November 2, 2009 | |||||||||||||
Without CDSC | 27.51 | 20.66 | 9.84 | |||||||||||
With CDSC** | 26.51 | 20.66 | 9.84 | |||||||||||
CLASS R2 SHARES | March 14, 2014 | 28.04 | 21.20 | 10.09 | ||||||||||
CLASS R5 SHARES | March 14, 2014 | 28.61 | 21.62 | 10.28 | ||||||||||
CLASS R6 SHARES | March 14, 2014 | 28.63 | 21.62 | 10.28 | ||||||||||
SELECT CLASS SHARES | January 1, 1997 | 28.55 | 21.61 | 10.27 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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. Returns for Class R2, Class R5 and Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Select Class Shares. The actual returns of Class R5 and Class R6 Shares would have been different 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 the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index and the Lipper Mid-Cap Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 34.18% | |||
| Russell Midcap Growth Index | 26.04% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 2,181,804 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital and secondarily, current income by investing primarily in equity securities. Effective July 23, 2014, when shareholders of the Fund approved a change in the Fund’s investment objective, the Fund seeks growth of capital.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell Midcap Growth Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the health care and financial services sectors was the leading contributor to performance relative to the Benchmark, while security selection in the energy sector and its underweight position in the utilities sector were the leading detractors from relative performance.
Leading individual contributors to relative performance included Illumina Inc., Delta Air Lines Inc. and Acuity Brands Inc. Shares of Illumina, a medical technology company, rose on better than expected sales of its gene sequencing products. Shares of Delta Air Lines benefitted from improvement in the overall outlook for the airline industry, as well as strong capacity discipline and utilization. Shares of Acuity Brands, a provider of lighting products for commercial and retail markets, traded higher amid an improving environment for non-residential renovation and construction as well as the company’s growth in energy efficient and digitized lighting.
Leading individual detractors from relative performance included Lululemon Athletica Inc., Urban Outfitters Inc. and CommVault Systems Inc. Shares of Lululemon, an athletic apparel maker not held in the Benchmark, traded lower as the company reduced its earnings forecast and continued to struggle to recover lost sales momentum from product missteps. Shares of Urban Outfitters, an apparel retailer, struggled amid a challenging environment for apparel retailers. Shares of CommVault, a software company not held in the Benchmark, fell on weak quarterly earnings and a tepid sales outlook.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, 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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Illumina, Inc. | 2.4 | % | |||||
| 2. | Affiliated Managers Group, Inc. | 2.0 | ||||||
| 3. | Alliance Data Systems Corp. | 1.9 | ||||||
| 4. | Acuity Brands, Inc. | 1.9 | ||||||
| 5. | Michael Kors Holdings Ltd., (Hong Kong) | 1.8 | ||||||
| 6. | Electronic Arts, Inc. | 1.8 | ||||||
| 7. | Applied Materials, Inc. | 1.7 | ||||||
| 8. | CBRE Group, Inc., Class A | 1.7 | ||||||
| 9. | Pall Corp. | 1.6 | ||||||
| 10. | Concho Resources, Inc. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Consumer Discretionary | 22.9 | % | ||
| Information Technology | 21.5 | |||
| Industrials | 20.6 | |||
| Health Care | 12.7 | |||
| Financials | 11.4 | |||
| Energy | 6.4 | |||
| Materials | 2.0 | |||
| Consumer Staples | 0.5 | |||
Short-Term Investment | 2.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| 8 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 33.79 | % | 21.32 | % | 9.88 | % | ||||||||
With Sales Charge* | 26.77 | 20.01 | 9.29 | |||||||||||
CLASS B SHARES | January 14, 1994 | |||||||||||||
Without CDSC | 33.13 | 20.69 | 9.36 | |||||||||||
With CDSC** | 28.13 | 20.50 | 9.36 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 33.18 | 20.70 | 9.25 | |||||||||||
With CDSC*** | 32.18 | 20.70 | 9.25 | |||||||||||
CLASS R2 SHARES | June 19, 2009 | 33.57 | 21.12 | 9.71 | ||||||||||
CLASS R5 SHARES | November 1, 2011 | 34.38 | 21.79 | 10.24 | ||||||||||
CLASS R6 SHARES | November 1, 2011 | 34.43 | 21.82 | 10.25 | ||||||||||
SELECT CLASS SHARES | March 2, 1989 | 34.18 | 21.69 | 10.19 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable. 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.
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, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 23.88% | |||
| Russell Midcap Value Index | 27.76% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 15,645,585 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the Russell Midcap Value Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the information technology and consumer discretionary sectors was the leading detractor from performance relative to the Benchmark, while security selection and an underweight position in the financials sector, and security selection in the consumer staples sector, were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in Micron Technologies Inc. and Forest Laboratories Inc. and its position in Bed Bath & Beyond Inc. Shares of Micron Technologies, a semiconductor maker, rose on a 72% increase in quarterly sales. Shares of Forest Labs, a specialty pharmaceuticals company, gained from the company’s acquisition by Actavis PLC. The Fund’s lack of a position in both Micron Technologies and Forest Labs detracted from relative performance. Shares of Bed Bath & Beyond, an operator of retail chain stores, fell after the company issued a quarterly earnings forecast that was below analysts’ expectations.
Leading individual contributors to relative performance included the Fund’s positions in Ball Corp., Energen Corp. and Ameriprise Financial Inc. Shares of Ball Corp., a packaging supplier, rose after the company reaffirmed its outlook for earnings. Shares of Energen, a producer of oil and natural gas, gained from the continued strength of the domestic energy sector. Shares of Ameriprise, a diversified financial services company, rose after the company posted a 19% increase in quarterly profit and initiated a $2.5 billion share repurchase program.
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, in their view, sustainable
levels of free cash flow. The Fund continued to have a large overweight position in consumer discretionary stocks. The Fund’s largest underweight position remained the financial sector due to the portfolio’s underweighting of real estate investment trusts (REITs), based on their valuations. However, the Fund’s portfolio managers have been slowly and selectively adding positions in certain REITs that they believe have niche business models.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Marsh & McLennan Cos., Inc. | 1.8 | % | |||||
| 2. | Loews Corp. | 1.6 | ||||||
| 3. | Gap, Inc. (The) | 1.6 | ||||||
| 4. | Ameriprise Financial, Inc. | 1.6 | ||||||
| 5. | Kohl’s Corp. | 1.5 | ||||||
| 6. | Fifth Third Bancorp | 1.5 | ||||||
| 7. | Expedia, Inc. | 1.5 | ||||||
| 8. | Ball Corp. | 1.5 | ||||||
| 9. | Cigna Corp. | 1.4 | ||||||
| 10. | Amphenol Corp., Class A | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 28.3 | % | ||
| Consumer Discretionary | 16.4 | |||
| Industrials | 9.6 | |||
| Information Technology | 9.6 | |||
| Utilities | 9.1 | |||
| Materials | 7.7 | |||
| Health Care | 5.6 | |||
| Consumer Staples | 5.1 | |||
Energy | 4.7 | |||
Short-Term Investment | 3.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| 10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | April 30, 2001 | |||||||||||||
Without Sales Charge | 23.25 | % | 21.50 | % | 10.06 | % | ||||||||
With Sales Charge* | 16.76 | 20.20 | 9.46 | |||||||||||
CLASS B SHARES | April 30, 2001 | |||||||||||||
Without CDSC | 22.67 | 20.90 | 9.60 | |||||||||||
With CDSC** | 17.67 | 20.71 | 9.60 | |||||||||||
CLASS C SHARES | April 30, 2001 | |||||||||||||
Without CDSC | 22.63 | 20.88 | 9.49 | |||||||||||
With CDSC*** | 21.63 | 20.88 | 9.49 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 22.94 | 21.18 | 9.90 | ||||||||||
INSTITUTIONAL CLASS SHARES | November 13, 1997 | 23.88 | 22.11 | 10.60 | ||||||||||
SELECT CLASS SHARES | October 31, 2001 | 23.59 | 21.81 | 10.33 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. The performance of the Lipper Mid-Cap Value Funds Index and 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 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 Core Funds Index are indices based on total returns of certain mutual funds within the mid cap and multi cap fund categories, respectively, as determined by Lipper, Inc. Investors cannot invest directly in an index.
Institutional Class Shares have a $3,000,000 minimum initial investment.
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, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 1.51% | |||
| BofA Merrill Lynch 3-Month U.S. Treasury Bill Index | 0.05% | |||
| Net Assets as of 6/30/14 (In Thousands) | $ | 451,002 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Multi-Cap Market Neutral Fund (the “Fund”) seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index for the 12 months ended June 30, 2014. The Fund’s security selection process produced positive returns in the information technology and industrials sectors and negative returns in the energy and consumer discretionary sectors.
Individual contributors to Fund returns included long positions in Pitney Bowes Inc., Pilgrim’s Pride Corp. and ITT Corp. Shares of Pitney Bowes, a maker of mail processing equipment, software and services, rose on the company’s good cash flow and expanding profit margins. Shares of Pilgrim’s Pride, a poultry processor, gained due to rising profits from increased chicken demand and lower input costs. Shares of ITT Corp., a diversified maker of industrial components and technology, strengthened after the company raised its estimates for revenue and earnings.
Individual detractors from Fund returns included short positions in SunEdison Inc., Concho Resources Inc. and Golar LNG Ltd. Shares of SunEdison, a maker of silicon wafers and solar energy products, gained from the continued expansion of its solar energy business. Shares of Concho Resources, an independent oil and natural gas producer, rose after the company lifted its production estimates. Shares of Golar LNG, an operator of liquefied natural gas carriers and storage units, gained from overall strength in the energy infrastructure segment.
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, in their view, sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share. Companies that ranked lowest in the above factors were selected by the Fund’s portfolio managers for possible short sales.
| TOP TEN LONG POSITIONS OF THE PORTFOLIO*** | ||||||||
| 1. | Hewlett-Packard Co. | 1.1 | % | |||||
| 2. | Kroger Co. (The) | 1.1 | ||||||
| 3. | WellPoint, Inc. | 1.0 | ||||||
| 4. | RLJ Lodging Trust | 1.0 | ||||||
| 5. | Lexmark International, Inc., Class A | 1.0 | ||||||
| 6. | Lam Research Corp. | 1.0 | ||||||
| 7. | Medtronic, Inc. | 1.0 | ||||||
| 8. | UGI Corp. | 1.0 | ||||||
| 9. | Pfizer, Inc. | 1.0 | ||||||
| 10. | AES Corp. | 1.0 | ||||||
| TOP TEN SHORT POSITIONS OF THE PORTFOLIO**** | ||||||||
| 1. | Integrys Energy Group, Inc. | 1.3 | % | |||||
| 2. | Praxair, Inc. | 1.2 | ||||||
| 3. | Cepheid, Inc. | 1.2 | ||||||
| 4. | Avago Technologies Ltd. | 1.2 | ||||||
| 5. | Madison Square Garden Co. (The), Class A | 1.2 | ||||||
| 6. | Copart, Inc. | 1.1 | ||||||
| 7. | NetSuite, Inc. | 1.1 | ||||||
| 8. | National Instruments Corp. | 1.1 | ||||||
| 9. | NCR Corp. | 1.1 | ||||||
| 10. | McDermott International, Inc. | 1.1 | ||||||
| 12 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR*** | ||||||
| Information Technology | 20.0 | % | ||||
| Consumer Discretionary | 15.6 | |||||
| Industrials | 14.0 | |||||
| Health Care | 10.6 | |||||
| Consumer Staples | 7.3 | |||||
| Financials | 5.2 | |||||
| Energy | 5.1 | |||||
| Materials | 5.0 | |||||
| Utilities | 3.4 | |||||
| Telecommunication Services | 1.5 | |||||
| Short-Term Investment | 12.3 | |||||
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR**** | ||||||
| Information Technology | 21.9 | % | ||||
| Industrials | 17.7 | |||||
| Consumer Discretionary | 17.0 | |||||
| Health Care | 11.2 | |||||
| Energy | 8.7 | |||||
| Consumer Staples | 8.7 | |||||
| Materials | 5.3 | |||||
| Financials | 5.2 | |||||
| Utilities | 3.9 | |||||
| Telecommunication Services | 0.4 | |||||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total long investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| **** | Percentages indicated are based on total short investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | May 23, 2003 | |||||||||||||||
Without Sales Charge | 1.23 | % | (0.59 | )% | 0.71 | % | ||||||||||
With Sales Charge* | (4.07 | ) | (1.67 | ) | 0.16 | |||||||||||
CLASS B SHARES | May 23, 2003 | |||||||||||||||
Without CDSC | 0.86 | (1.27 | ) | 0.09 | ||||||||||||
With CDSC** | (4.14 | ) | (1.70 | ) | 0.09 | |||||||||||
CLASS C SHARES | May 23, 2003 | |||||||||||||||
Without CDSC | 0.75 | (1.27 | ) | (0.01 | ) | |||||||||||
With CDSC*** | (0.25 | ) | (1.27 | ) | (0.01 | ) | ||||||||||
SELECT CLASS SHARES | May 23, 2003 | 1.51 | (0.35 | ) | 0.95 | |||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Equity Market Neutral Funds Average from June 30, 2004 to June 30, 2014. 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, if applicable. The performance of the Lipper Alternative 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. Investors cannot invest directly in an index. The Lipper Alternative 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.
Select Class Shares have a $1,000,000 minimum initial investment.
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.
| 14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 22.77% | |||
| Russell 3000 Value Index | 23.71% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 7,693,444 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Institutional Class Shares) underperformed the Russell 3000 Value Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the information technology and materials sectors was the leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the financials and energy sectors was the leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Bed Bath & Beyond Inc. and PetSmart Inc. and its underweight position in Apple Inc. Shares of Bed Bath & Beyond, an operator of retail chain stores, weakened after the company issued an earnings forecast that was below analysts’ expectations. Shares of PetSmart, a provider of pet foods and services, sank after the company’s forecast for earnings and sales was below analysts’ estimates. Shares of Apple, a maker of mobile devices and computers, performed strongly on better-than-expected earnings and revenue, driven by sales of its iPhone products.
Leading individual contributors to relative performance included Hanesbrands Inc., Legg Mason Inc. and Walgreen Co. Shares of Hanesbrands, a maker of branded apparel, gained after the company reaffirmed its earnings and revenue forecasts. Shares of Legg Mason, a global asset management company, rose on earnings guidance above analysts’ estimates. Shares of Walgreen, a retail drug store chain, strengthened on the company’s forecast for revenue above analysts’ expectations.
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, in the portfolio managers’ view, significant levels of free cash flow. The Fund’s largest overweight continued to be the consumer discretionary sector,
where the Fund’s portfolio managers found what they believed to be compelling investment opportunities. The Fund’s largest underweight was the energy sector. In addition, the Fund’s relative performance was hindered by above-average cash holdings. The cash position accrued because the Fund’s portfolio managers believed valuations were stretched and did not want to invest in overvalued securities.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Exxon Mobil Corp. | 3.8 | % | |||||
| 2. | Wells Fargo & Co. | 3.5 | ||||||
| 3. | Johnson & Johnson | 2.3 | ||||||
| 4. | Pfizer, Inc. | 2.1 | ||||||
| 5. | Loews Corp. | 2.1 | ||||||
| 6. | Capital One Financial Corp. | 1.8 | ||||||
| 7. | Merck & Co., Inc. | 1.8 | ||||||
| 8. | Bank of America Corp. | 1.5 | ||||||
| 9. | Kohl’s Corp. | 1.5 | ||||||
| 10. | American International Group, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 31.6 | % | ||
| Consumer Discretionary | 15.8 | |||
| Energy | 9.3 | |||
| Health Care | 8.8 | |||
| Industrials | 6.6 | |||
| Information Technology | 6.4 | |||
| Utilities | 5.7 | |||
| Consumer Staples | 4.4 | |||
| Materials | 3.1 | |||
| Telecommunication Services | 1.2 | |||
| Short-Term Investment | 7.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||||
CLASS A SHARES | February 28, 2005 | |||||||||||||||
Without Sales Charge | 22.19 | % | 21.29 | % | 9.76 | % | ||||||||||
With Sales Charge* | 15.75 | 19.98 | 9.13 | |||||||||||||
CLASS C SHARES | February 28, 2005 | |||||||||||||||
Without CDSC | 21.58 | 20.69 | 9.22 | |||||||||||||
With CDSC** | 20.58 | 20.69 | 9.22 | |||||||||||||
INSTITUTIONAL CLASS SHARES | February 28, 2005 | 22.77 | 21.90 | 10.25 | ||||||||||||
SELECT CLASS SHARES | February 28, 2005 | 22.49 | 21.59 | 10.04 | ||||||||||||
| * | 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 6/30/14)
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, 2014. 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, if applicable. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.9% | |||||||
Consumer Discretionary — 19.9% | ||||||||
Auto Components — 1.1% | ||||||||
| 588 | BorgWarner, Inc. | 38,325 | ||||||
|
| |||||||
Automobiles — 3.6% |
| |||||||
| 1,079 | General Motors Co. | 39,150 | ||||||
| 725 | Harley-Davidson, Inc. | 50,627 | ||||||
| 153 | Tesla Motors, Inc. (a) | 36,729 | ||||||
|
| |||||||
| 126,506 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.0% |
| |||||||
| 1,505 | Hilton Worldwide Holdings, Inc. (a) | 35,057 | ||||||
| 437 | Las Vegas Sands Corp. | 33,339 | ||||||
| 505 | Starbucks Corp. | 39,092 | ||||||
|
| |||||||
| 107,488 | ||||||||
|
| |||||||
Household Durables — 1.9% |
| |||||||
| 278 | Mohawk Industries, Inc. (a) | 38,445 | ||||||
| 815 | Toll Brothers, Inc. (a) | 30,084 | ||||||
|
| |||||||
| 68,529 | ||||||||
|
| |||||||
Internet & Catalog Retail — 4.5% |
| |||||||
| 210 | Amazon.com, Inc. (a) | 68,171 | ||||||
| 75 | Netflix, Inc. (a) | 32,825 | ||||||
| 51 | Priceline Group, Inc. (The) (a) | 61,113 | ||||||
|
| |||||||
| 162,109 | ||||||||
|
| |||||||
Specialty Retail — 3.2% |
| |||||||
| 217 | Advance Auto Parts, Inc. | 29,318 | ||||||
| 575 | Home Depot, Inc. (The) | 46,576 | ||||||
| 534 | Williams-Sonoma, Inc. | 38,331 | ||||||
|
| |||||||
| 114,225 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.6% |
| |||||||
| 623 | Lululemon Athletica, Inc., (Canada) (a) | 25,211 | ||||||
| 591 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 52,365 | ||||||
| 764 | Vera Bradley, Inc. (a) | 16,698 | ||||||
|
| |||||||
| 94,274 | ||||||||
|
| |||||||
Total Consumer Discretionary | 711,456 | |||||||
|
| |||||||
Energy — 5.0% |
| |||||||
Energy Equipment & Services — 2.2% |
| |||||||
| 227 | Dril-Quip, Inc. (a) | 24,743 | ||||||
| 457 | Schlumberger Ltd. | 53,856 | ||||||
|
| |||||||
| 78,599 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
| 424 | Antero Resources Corp. (a) | 27,807 | ||||||
| 242 | Concho Resources, Inc. (a) | 34,955 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 443 | Phillips 66 | 35,606 | ||||||
|
| |||||||
| 98,368 | ||||||||
|
| |||||||
Total Energy | 176,967 | |||||||
|
| |||||||
Financials — 9.3% |
| |||||||
Banks — 1.9% |
| |||||||
| 872 | East West Bancorp, Inc. | 30,515 | ||||||
| 304 | Signature Bank (a) | 38,333 | ||||||
|
| |||||||
| 68,848 | ||||||||
|
| |||||||
Capital Markets — 4.3% |
| |||||||
| 292 | Affiliated Managers Group, Inc. (a) | 59,956 | ||||||
| 607 | Apollo Global Management LLC, Class A | 16,839 | ||||||
| 858 | Lazard Ltd., (Bermuda), Class A | 44,233 | ||||||
| 1,024 | TD Ameritrade Holding Corp. | 32,109 | ||||||
|
| |||||||
| 153,137 | ||||||||
|
| |||||||
Diversified Financial Services — 1.1% |
| |||||||
| 446 | Moody’s Corp. | 39,079 | ||||||
|
| |||||||
Insurance — 0.5% |
| |||||||
| 446 | AmTrust Financial Services, Inc. | 18,661 | ||||||
|
| |||||||
Real Estate Management & Development — 1.5% |
| |||||||
| 1,595 | CBRE Group, Inc., Class A (a) | 51,114 | ||||||
|
| |||||||
Total Financials | 330,839 | |||||||
|
| |||||||
Health Care — 17.6% |
| |||||||
Biotechnology — 8.9% |
| |||||||
| 457 | Aegerion Pharmaceuticals, Inc. (a) | 14,655 | ||||||
| 206 | Alexion Pharmaceuticals, Inc. (a) | 32,172 | ||||||
| 169 | Biogen Idec, Inc. (a) | 53,319 | ||||||
| 590 | Celgene Corp. (a) | 50,669 | ||||||
| 1,377 | Gilead Sciences, Inc. (a) | 114,134 | ||||||
| 131 | Regeneron Pharmaceuticals, Inc. (a) | 36,947 | ||||||
| 178 | Vertex Pharmaceuticals, Inc. (a) | 16,891 | ||||||
|
| |||||||
| 318,787 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.6% |
| |||||||
| 1,286 | Novadaq Technologies, Inc., (Canada) (a) | 21,192 | ||||||
|
| |||||||
Health Care Providers & Services — 2.5% |
| |||||||
| 702 | Acadia Healthcare Co., Inc. (a) | 31,950 | ||||||
| 451 | Premier, Inc., Class A (a) | 13,082 | ||||||
| 533 | UnitedHealth Group, Inc. | 43,606 | ||||||
|
| |||||||
| 88,638 | ||||||||
|
| |||||||
Health Care Technology — 0.6% |
| |||||||
| 805 | Veeva Systems, Inc., Class A (a) | 20,495 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Life Sciences Tools & Services — 3.5% |
| |||||||
| 746 | Agilent Technologies, Inc. | 42,839 | ||||||
| 660 | Fluidigm Corp. (a) | 19,401 | ||||||
| 344 | Illumina, Inc. (a) | 61,328 | ||||||
|
| |||||||
| 123,568 | ||||||||
|
| |||||||
Pharmaceuticals — 1.5% |
| |||||||
| 1,349 | Nektar Therapeutics (a) | 17,297 | ||||||
| 298 | Valeant Pharmaceuticals International, Inc. (a) | 37,609 | ||||||
|
| |||||||
| 54,906 | ||||||||
|
| |||||||
Total Health Care | 627,586 | |||||||
|
| |||||||
Industrials — 16.4% |
| |||||||
Aerospace & Defense — 1.1% |
| |||||||
| 157 | Precision Castparts Corp. | 39,576 | ||||||
|
| |||||||
Airlines — 1.2% |
| |||||||
| 1,080 | Delta Air Lines, Inc. | 41,833 | ||||||
|
| |||||||
Building Products — 1.5% |
| |||||||
| 1,011 | Fortune Brands Home & Security, Inc. | 40,381 | ||||||
| 533 | Trex Co., Inc. (a) | 15,361 | ||||||
|
| |||||||
| 55,742 | ||||||||
|
| |||||||
Electrical Equipment — 2.0% |
| |||||||
| 507 | Acuity Brands, Inc. | 70,038 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 479 | Carlisle Cos., Inc. | 41,508 | ||||||
|
| |||||||
Machinery — 3.1% |
| |||||||
| 520 | Flowserve Corp. | 38,633 | ||||||
| 571 | Pall Corp. | 48,766 | ||||||
| 230 | WABCO Holdings, Inc. (a) | 24,547 | ||||||
|
| |||||||
| 111,946 | ||||||||
|
| |||||||
Marine — 1.1% |
| |||||||
| 337 | Kirby Corp. (a) | 39,429 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
| 259 | Canadian Pacific Railway Ltd., (Canada) | 46,825 | ||||||
| 593 | Old Dominion Freight Line, Inc. (a) | 37,791 | ||||||
|
| |||||||
| 84,616 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.8% |
| |||||||
| 1,508 | HD Supply Holdings, Inc. (a) | 42,812 | ||||||
| 556 | Rush Enterprises, Inc., Class A (a) | 19,280 | ||||||
| 359 | Watsco, Inc. | 36,860 | ||||||
|
| |||||||
| 98,952 | ||||||||
|
| |||||||
Total Industrials | 583,640 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 27.4% |
| |||||||
Communications Equipment — 1.6% |
| |||||||
| 1,318 | Ciena Corp. (a) | 28,546 | ||||||
| 351 | Palo Alto Networks, Inc. (a) | 29,406 | ||||||
|
| |||||||
| 57,952 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.0% |
| |||||||
| 367 | Amphenol Corp., Class A | 35,386 | ||||||
|
| |||||||
Internet Software & Services — 8.3% |
| |||||||
| 559 | Dealertrack Technologies, Inc. (a) | 25,336 | ||||||
| 1,123 | Facebook, Inc., Class A (a) | 75,580 | ||||||
| 234 | Google, Inc., Class C (a) | 134,615 | ||||||
| 310 | OpenTable, Inc. (a) | 32,137 | ||||||
| 580 | Trulia, Inc. (a) | 27,476 | ||||||
|
| |||||||
| 295,144 | ||||||||
|
| |||||||
IT Services — 4.5% |
| |||||||
| 170 | Alliance Data Systems Corp. (a) | 47,869 | ||||||
| 844 | Cognizant Technology Solutions Corp., Class A (a) | 41,280 | ||||||
| 959 | MasterCard, Inc., Class A | 70,443 | ||||||
|
| |||||||
| 159,592 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.7% |
| |||||||
| 1,830 | Applied Materials, Inc. | 41,266 | ||||||
| 553 | Avago Technologies Ltd., (Singapore) | 39,840 | ||||||
| 786 | Lam Research Corp. | 53,098 | ||||||
|
| |||||||
| 134,204 | ||||||||
|
| |||||||
Software — 6.0% |
| |||||||
| 571 | Adobe Systems, Inc. (a) | 41,346 | ||||||
| 417 | CommVault Systems, Inc. (a) | 20,479 | ||||||
| 1,559 | Electronic Arts, Inc. (a) | 55,936 | ||||||
| 510 | FireEye, Inc. (a) | 20,676 | ||||||
| 420 | ServiceNow, Inc. (a) | 26,042 | ||||||
| 404 | Splunk, Inc. (a) | 22,326 | ||||||
| 301 | Workday, Inc., Class A (a) | 27,057 | ||||||
|
| |||||||
| 213,862 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.3% |
| |||||||
| 873 | Apple, Inc. | 81,114 | ||||||
|
| |||||||
Total Information Technology | 977,254 | |||||||
|
| |||||||
Materials — 3.3% |
| |||||||
Chemicals — 3.3% |
| |||||||
| 325 | Ecolab, Inc. | 36,197 | ||||||
| 228 | PPG Industries, Inc. | 47,956 | ||||||
| 167 | Sherwin-Williams Co. (The) | 34,492 | ||||||
|
| |||||||
Total Materials | 118,645 | |||||||
|
| |||||||
Total Common Stocks | 3,526,387 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.1% |
| ||||||
Investment Company — 2.1% |
| |||||||
| 75,074 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 75,074 | ||||||
|
| |||||||
Total Investments — 101.0% | 3,601,461 | |||||||
Liabilities in Excess of | (36,254 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,565,207 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.0% |
| ||||||
Consumer Discretionary — 19.4% |
| |||||||
Auto Components — 0.7% |
| |||||||
| 300 | BorgWarner, Inc. | 19,551 | ||||||
|
| |||||||
Automobiles — 1.4% |
| |||||||
| 283 | Harley-Davidson, Inc. | 19,742 | ||||||
| 83 | Tesla Motors, Inc. (a) | 19,805 | ||||||
|
| |||||||
| 39,547 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.8% |
| |||||||
| 28 | Chipotle Mexican Grill, Inc. (a) | 16,709 | ||||||
| 577 | Hilton Worldwide Holdings, Inc. (a) | 13,435 | ||||||
| 167 | Marriott International, Inc., Class A | 10,726 | ||||||
| 338 | Norwegian Cruise Line Holdings Ltd. (a) | 10,730 | ||||||
| 63 | Panera Bread Co., Class A (a) | 9,379 | ||||||
| 64 | Starwood Hotels & Resorts Worldwide, Inc. | 5,210 | ||||||
| 50 | Wynn Resorts Ltd. | 10,316 | ||||||
|
| |||||||
| 76,505 | ||||||||
|
| |||||||
Household Durables — 2.0% |
| |||||||
| 233 | Jarden Corp. (a) | 13,832 | ||||||
| 220 | Mohawk Industries, Inc. (a) | 30,386 | ||||||
| 320 | Toll Brothers, Inc. (a) | 11,819 | ||||||
|
| |||||||
| 56,037 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.9% |
| |||||||
| 255 | Expedia, Inc. | 20,071 | ||||||
| 43 | Netflix, Inc. (a) | 18,946 | ||||||
| 111 | TripAdvisor, Inc. (a) | 12,061 | ||||||
|
| |||||||
| 51,078 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
| 73 | CBS Corp. (Non-Voting), Class B | 4,527 | ||||||
| 330 | Clear Channel Outdoor Holdings, Inc., Class A | 2,700 | ||||||
| 220 | DISH Network Corp., Class A (a) | 14,331 | ||||||
| 396 | Gannett Co., Inc. | 12,391 | ||||||
| 238 | Time, Inc. (a) | 5,765 | ||||||
|
| |||||||
| 39,714 | ||||||||
|
| |||||||
Multiline Retail — 1.6% |
| |||||||
| 242 | Big Lots, Inc. (a) | 11,050 | ||||||
| 82 | Family Dollar Stores, Inc. | 5,454 | ||||||
| 397 | Kohl’s Corp. | 20,905 | ||||||
| 106 | Nordstrom, Inc. | 7,199 | ||||||
|
| |||||||
| 44,608 | ||||||||
|
| |||||||
Specialty Retail — 5.1% |
| |||||||
| 114 | Advance Auto Parts, Inc. | 15,381 | ||||||
| 24 | AutoZone, Inc. (a) | 12,935 | ||||||
| 168 | Bed Bath & Beyond, Inc. (a) | 9,647 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
| 276 | Best Buy Co., Inc. | 8,574 | ||||||
| 509 | Gap, Inc. (The) | 21,161 | ||||||
| 94 | PetSmart, Inc. | 5,640 | ||||||
| 142 | Signet Jewelers Ltd., (Bermuda) | 15,715 | ||||||
| 109 | Tiffany & Co. | 10,936 | ||||||
| 67 | TJX Cos., Inc. (The) | 3,537 | ||||||
| 124 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 11,344 | ||||||
| 319 | Urban Outfitters, Inc. (a) | 10,788 | ||||||
| 234 | Williams-Sonoma, Inc. | 16,766 | ||||||
|
| |||||||
| 142,424 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.5% |
| |||||||
| 241 | Lululemon Athletica, Inc., (Canada) (a) | 9,750 | ||||||
| 277 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 24,574 | ||||||
| 72 | PVH Corp. | 8,416 | ||||||
| 134 | Ralph Lauren Corp. | 21,492 | ||||||
| 80 | V.F. Corp. | 5,049 | ||||||
|
| |||||||
| 69,281 | ||||||||
|
| |||||||
Total Consumer Discretionary | 538,745 | |||||||
|
| |||||||
Consumer Staples — 2.8% |
| |||||||
Beverages — 0.8% |
| |||||||
| 11 | Brown-Forman Corp., Class B | 1,035 | ||||||
| 55 | Constellation Brands, Inc., Class A (a) | 4,876 | ||||||
| 275 | Dr. Pepper Snapple Group, Inc. | 16,092 | ||||||
|
| |||||||
| 22,003 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
| 354 | Kroger Co. (The) | 17,509 | ||||||
| 1,228 | Rite Aid Corp. (a) | 8,808 | ||||||
| 211 | Sprouts Farmers Market, Inc. (a) | 6,891 | ||||||
|
| |||||||
| 33,208 | ||||||||
|
| |||||||
Food Products — 0.4% |
| |||||||
| 103 | Hershey Co. (The) | 10,078 | ||||||
|
| |||||||
Household Products — 0.4% |
| |||||||
| 96 | Energizer Holdings, Inc. | 11,730 | ||||||
|
| |||||||
Total Consumer Staples | 77,019 | |||||||
|
| |||||||
Energy — 5.5% |
| |||||||
Energy Equipment & Services — 0.5% |
| |||||||
| 47 | Dril-Quip, Inc. (a) | 5,084 | ||||||
| 355 | Frank’s International N.V., (Netherlands) | 8,726 | ||||||
|
| |||||||
| 13,810 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
| 161 | Antero Resources Corp. (a) | 10,560 | ||||||
| 329 | Cabot Oil & Gas Corp. | 11,242 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 150 | Concho Resources, Inc. (a) | 21,617 | ||||||
| 168 | Energen Corp. | 14,893 | ||||||
| 113 | EQT Corp. | 12,119 | ||||||
| 483 | Laredo Petroleum Holdings, Inc. (a) | 14,948 | ||||||
| 266 | PBF Energy, Inc., Class A | 7,089 | ||||||
| 273 | Plains All American Pipeline LP | 16,412 | ||||||
| 324 | QEP Resources, Inc. | 11,195 | ||||||
| 267 | Southwestern Energy Co. (a) | 12,149 | ||||||
| 121 | Williams Cos., Inc. (The) | 7,057 | ||||||
|
| |||||||
| 139,281 | ||||||||
|
| |||||||
Total Energy | 153,091 | |||||||
|
| |||||||
Financials — 19.5% |
| |||||||
Banks — 3.9% |
| |||||||
| 119 | City National Corp. | 8,987 | ||||||
| 349 | East West Bancorp, Inc. | 12,208 | ||||||
| 950 | Fifth Third Bancorp | 20,292 | ||||||
| 146 | First Republic Bank | 8,029 | ||||||
| 612 | Huntington Bancshares, Inc. | 5,839 | ||||||
| 136 | M&T Bank Corp. | 16,905 | ||||||
| 125 | Signature Bank (a) | 15,709 | ||||||
| 392 | SunTrust Banks, Inc. | 15,691 | ||||||
| 193 | Zions Bancorporation | 5,701 | ||||||
|
| |||||||
| 109,361 | ||||||||
|
| |||||||
Capital Markets — 5.0% |
| |||||||
| 131 | Affiliated Managers Group, Inc. (a) | 26,887 | ||||||
| 171 | Ameriprise Financial, Inc. | 20,474 | ||||||
| 326 | Blackstone Group LP (The) | 10,905 | ||||||
| 350 | Invesco Ltd. | 13,200 | ||||||
| 384 | Lazard Ltd., (Bermuda), Class A | 19,783 | ||||||
| 130 | Legg Mason, Inc. | 6,645 | ||||||
| 197 | Northern Trust Corp. | 12,649 | ||||||
| 173 | T. Rowe Price Group, Inc. | 14,567 | ||||||
| 400 | TD Ameritrade Holding Corp. | 12,534 | ||||||
|
| |||||||
| 137,644 | ||||||||
|
| |||||||
Consumer Finance — 0.4% |
| |||||||
| 444 | Ally Financial, Inc. (a) | 10,617 | ||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 239 | Moody’s Corp. | 20,933 | ||||||
|
| |||||||
Insurance — 4.9% |
| |||||||
| 20 | Alleghany Corp. (a) | 8,827 | ||||||
| 152 | Aon plc, (United Kingdom) | 13,649 | ||||||
| 125 | Chubb Corp. (The) | 11,479 | ||||||
| 359 | Hartford Financial Services Group, Inc. (The) | 12,867 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — continued |
| |||||||
| 505 | Loews Corp. | 22,232 | ||||||
| 485 | Marsh & McLennan Cos., Inc. | 25,124 | ||||||
| 396 | Old Republic International Corp. | 6,555 | ||||||
| 333 | Unum Group | 11,582 | ||||||
| 248 | W.R. Berkley Corp. | 11,497 | ||||||
| 387 | XL Group plc, (Ireland) | 12,662 | ||||||
|
| |||||||
| 136,474 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.4% |
| |||||||
| 208 | American Campus Communities, Inc. | 7,940 | ||||||
| 92 | AvalonBay Communities, Inc. | 13,150 | ||||||
| 269 | Brixmor Property Group, Inc. | 6,178 | ||||||
| 429 | General Growth Properties, Inc. | 10,098 | ||||||
| 586 | Kimco Realty Corp. | 13,473 | ||||||
| 238 | Rayonier, Inc. | 8,451 | ||||||
| 158 | Regency Centers Corp. | 8,785 | ||||||
| 145 | Vornado Realty Trust | 15,458 | ||||||
| 322 | Weyerhaeuser Co. | 10,671 | ||||||
|
| |||||||
| 94,204 | ||||||||
|
| |||||||
Real Estate Management & Development — 1.0% |
| |||||||
| 270 | Brookfield Property Partners LP | 5,627 | ||||||
| 707 | CBRE Group, Inc., Class A (a) | 22,649 | ||||||
|
| |||||||
| 28,276 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
| 418 | Hudson City Bancorp, Inc. | 4,111 | ||||||
|
| |||||||
Total Financials | 541,620 | |||||||
|
| |||||||
Health Care — 9.1% |
| |||||||
Biotechnology — 0.9% |
| |||||||
| 56 | Alexion Pharmaceuticals, Inc. (a) | 8,781 | ||||||
| 162 | Vertex Pharmaceuticals, Inc. (a) | 15,291 | ||||||
|
| |||||||
| 24,072 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
| 271 | CareFusion Corp. (a) | 12,028 | ||||||
| 182 | Sirona Dental Systems, Inc. (a) | 14,966 | ||||||
|
| |||||||
| 26,994 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.3% |
| |||||||
| 185 | AmerisourceBergen Corp. | 13,417 | ||||||
| 641 | Brookdale Senior Living, Inc. (a) | 21,387 | ||||||
| 211 | Cigna Corp. | 19,435 | ||||||
| 408 | Envision Healthcare Holdings, Inc. (a) | 14,666 | ||||||
| 70 | Henry Schein, Inc. (a) | 8,363 | ||||||
| 258 | Humana, Inc. | 32,984 | ||||||
| 291 | Premier, Inc., Class A (a) | 8,445 | ||||||
|
| |||||||
| 118,697 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Life Sciences Tools & Services — 2.1% |
| |||||||
| 293 | Agilent Technologies, Inc. | 16,825 | ||||||
| 410 | Bruker Corp. (a) | 9,939 | ||||||
| 186 | Illumina, Inc. (a) | 33,276 | ||||||
|
| |||||||
| 60,040 | ||||||||
|
| |||||||
Pharmaceuticals — 0.8% |
| |||||||
| 68 | Jazz Pharmaceuticals plc (a) | 9,938 | ||||||
| 96 | Valeant Pharmaceuticals International, Inc. (a) | 12,145 | ||||||
|
| |||||||
| 22,083 | ||||||||
|
| |||||||
Total Health Care | 251,886 | |||||||
|
| |||||||
Industrials — 15.0% |
| |||||||
Airlines — 0.7% |
| |||||||
| 528 | Delta Air Lines, Inc. | 20,452 | ||||||
|
| |||||||
Building Products — 1.0% |
| |||||||
| 678 | Fortune Brands Home & Security, Inc. | 27,077 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.5% |
| |||||||
| 129 | Stericycle, Inc. (a) | 15,224 | ||||||
|
| |||||||
Construction & Engineering — 0.3% |
| |||||||
| 121 | Fluor Corp. | 9,282 | ||||||
|
| |||||||
Electrical Equipment — 2.7% |
| |||||||
| 193 | Acuity Brands, Inc. | 26,627 | ||||||
| 245 | AMETEK, Inc. | 12,812 | ||||||
| 191 | Generac Holdings, Inc. (a) | 9,304 | ||||||
| 93 | Hubbell, Inc., Class B | 11,504 | ||||||
| 178 | Regal-Beloit Corp. | 13,959 | ||||||
|
| |||||||
| 74,206 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 384 | Carlisle Cos., Inc. | 33,279 | ||||||
|
| |||||||
Machinery — 4.0% |
| |||||||
| 133 | Colfax Corp. (a) | 9,884 | ||||||
| 233 | Flowserve Corp. | 17,309 | ||||||
| 201 | IDEX Corp. | 16,232 | ||||||
| 133 | Middleby Corp. (The) (a) | 10,960 | ||||||
| 257 | Pall Corp. | 21,912 | ||||||
| 238 | Rexnord Corp. (a) | 6,701 | ||||||
| 132 | Snap-on, Inc. | 15,661 | ||||||
| 127 | WABCO Holdings, Inc. (a) | 13,523 | ||||||
|
| |||||||
| 112,182 | ||||||||
|
| |||||||
Marine — 0.7% |
| |||||||
| 155 | Kirby Corp. (a) | 18,145 | ||||||
|
| |||||||
Professional Services — 0.6% |
| |||||||
| 218 | Equifax, Inc. | 15,805 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 1.2% |
| |||||||
| 102 | Canadian Pacific Railway Ltd., (Canada) | 18,404 | ||||||
| 514 | Hertz Global Holdings, Inc. (a) | 14,407 | ||||||
|
| |||||||
| 32,811 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.1% |
| |||||||
| 601 | HD Supply Holdings, Inc. (a) | 17,071 | ||||||
| 303 | MSC Industrial Direct Co., Inc., Class A | 29,027 | ||||||
| 107 | Watsco, Inc. | 11,021 | ||||||
|
| |||||||
| 57,119 | ||||||||
|
| |||||||
Total Industrials | 415,582 | |||||||
|
| |||||||
Information Technology — 15.4% |
| |||||||
Communications Equipment — 1.4% |
| |||||||
| 320 | Aruba Networks, Inc. (a) | 5,612 | ||||||
| 525 | Ciena Corp. (a) | 11,361 | ||||||
| 378 | CommScope Holding Co., Inc. (a) | 8,748 | ||||||
| 148 | Palo Alto Networks, Inc. (a) | 12,376 | ||||||
|
| |||||||
| 38,097 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
| 426 | Amphenol Corp., Class A | 41,011 | ||||||
| 313 | Arrow Electronics, Inc. (a) | 18,889 | ||||||
|
| |||||||
| 59,900 | ||||||||
|
| |||||||
Internet Software & Services — 0.8% |
| |||||||
| 81 | CoStar Group, Inc. (a) | 12,828 | ||||||
| 333 | Pandora Media, Inc. (a) | 9,832 | ||||||
|
| |||||||
| 22,660 | ||||||||
|
| |||||||
IT Services — 2.1% |
| |||||||
| 95 | Alliance Data Systems Corp. (a) | 26,719 | ||||||
| 316 | Jack Henry & Associates, Inc. | 18,772 | ||||||
| 143 | Sabre Corp. (a) | 2,857 | ||||||
| 304 | VeriFone Systems, Inc. (a) | 11,161 | ||||||
|
| |||||||
| 59,509 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
| 320 | Analog Devices, Inc. | 17,295 | ||||||
| 1,055 | Applied Materials, Inc. | 23,792 | ||||||
| 287 | Avago Technologies Ltd., (Singapore) | 20,706 | ||||||
| 177 | KLA-Tencor Corp. | 12,892 | ||||||
| 215 | Lam Research Corp. | 14,523 | ||||||
| 217 | NXP Semiconductor N.V., (Netherlands) (a) | 14,381 | ||||||
| 366 | Xilinx, Inc. | 17,333 | ||||||
|
| |||||||
| 120,922 | ||||||||
|
| |||||||
Software — 4.2% |
| |||||||
| 290 | Autodesk, Inc. (a) | 16,362 | ||||||
| 165 | CommVault Systems, Inc. (a) | 8,093 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — continued |
| |||||||
| 668 | Electronic Arts, Inc. (a) | 23,950 | ||||||
| 198 | FireEye, Inc. (a) | 8,021 | ||||||
| 197 | Guidewire Software, Inc. (a) | 7,998 | ||||||
| 185 | ServiceNow, Inc. (a) | 11,475 | ||||||
| 143 | Splunk, Inc. (a) | 7,890 | ||||||
| 371 | Synopsys, Inc. (a) | 14,387 | ||||||
| 91 | Tableau Software, Inc., Class A (a) | 6,484 | ||||||
| 120 | Workday, Inc., Class A (a) | 10,783 | ||||||
|
| |||||||
| 115,443 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.4% |
| |||||||
| 108 | SanDisk Corp. | 11,268 | ||||||
|
| |||||||
Total Information Technology | 427,799 | |||||||
|
| |||||||
Materials — 4.8% |
| |||||||
Chemicals — 3.0% |
| |||||||
| 161 | Airgas, Inc. | 17,585 | ||||||
| 236 | Albemarle Corp. | 16,893 | ||||||
| 79 | Rayonier Advanced Materials, Inc. (a) | 3,071 | ||||||
| 145 | Sherwin-Williams Co. (The) | 29,948 | ||||||
| 140 | Sigma-Aldrich Corp. | 14,251 | ||||||
|
| |||||||
| 81,748 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
| 73 | Eagle Materials, Inc. | 6,835 | ||||||
|
| |||||||
Containers & Packaging — 1.6% |
| |||||||
| 319 | Ball Corp. | 19,993 | ||||||
| 118 | Rock-Tenn Co., Class A | 12,426 | ||||||
| 242 | Silgan Holdings, Inc. | 12,293 | ||||||
|
| |||||||
| 44,712 | ||||||||
|
| |||||||
Total Materials | 133,295 | |||||||
|
| |||||||
Utilities — 4.5% |
| |||||||
Electric Utilities — 1.4% |
| |||||||
| 201 | Edison International | 11,668 | ||||||
| 374 | Westar Energy, Inc. | 14,290 | ||||||
| 379 | Xcel Energy, Inc. | 12,219 | ||||||
|
| |||||||
| 38,177 | ||||||||
|
| |||||||
Gas Utilities — 0.8% |
| |||||||
| 119 | National Fuel Gas Co. | 9,342 | ||||||
| 532 | Questar Corp. | 13,183 | ||||||
|
| |||||||
| 22,525 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 2.3% |
| |||||||
| 496 | CenterPoint Energy, Inc. | 12,673 | ||||||
| 420 | CMS Energy Corp. | 13,075 | ||||||
| 287 | NiSource, Inc. | 11,282 | ||||||
| 168 | Sempra Energy | 17,542 | ||||||
| 194 | Wisconsin Energy Corp. | 9,091 | ||||||
|
| |||||||
| 63,663 | ||||||||
|
| |||||||
Total Utilities | 124,365 | |||||||
|
| |||||||
Total Common Stocks | 2,663,402 | |||||||
|
| |||||||
| Short-Term Investment — 4.0% | |||||||
Investment Company — 4.0% |
| |||||||
| 110,730 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 110,730 | ||||||
|
| |||||||
Total Investments — 100.0% | 2,774,132 | |||||||
Liabilities in Excess of | (962 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,773,170 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.4% | |||||||
Consumer Discretionary — 22.5% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 468 | BorgWarner, Inc. | 30,476 | ||||||
|
| |||||||
Automobiles — 2.8% |
| |||||||
| 441 | Harley-Davidson, Inc. | 30,776 | ||||||
| 129 | Tesla Motors, Inc. (a) | 30,872 | ||||||
|
| |||||||
| 61,648 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.3% |
| |||||||
| 44 | Chipotle Mexican Grill, Inc. (a) | 26,070 | ||||||
| 898 | Hilton Worldwide Holdings, Inc. (a) | 20,930 | ||||||
| 518 | Norwegian Cruise Line Holdings Ltd. (a) | 16,421 | ||||||
| 97 | Panera Bread Co., Class A (a) | 14,593 | ||||||
| 77 | Wynn Resorts Ltd. | 15,941 | ||||||
|
| |||||||
| 93,955 | ||||||||
|
| |||||||
Household Durables — 2.0% |
| |||||||
| 175 | Mohawk Industries, Inc. (a) | 24,140 | ||||||
| 499 | Toll Brothers, Inc. (a) | 18,410 | ||||||
|
| |||||||
| 42,550 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.2% |
| |||||||
| 67 | Netflix, Inc. (a) | 29,564 | ||||||
| 173 | TripAdvisor, Inc. (a) | 18,787 | ||||||
|
| |||||||
| 48,351 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 377 | Big Lots, Inc. (a) | 17,211 | ||||||
|
| |||||||
Specialty Retail — 5.0% |
| |||||||
| 178 | Advance Auto Parts, Inc. | 23,975 | ||||||
| 221 | Signet Jewelers Ltd., (Bermuda) | 24,485 | ||||||
| 193 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 17,670 | ||||||
| 496 | Urban Outfitters, Inc. (a) | 16,801 | ||||||
| 364 | Williams-Sonoma, Inc. | 26,128 | ||||||
|
| |||||||
| 109,059 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 4.0% |
| |||||||
| 375 | Lululemon Athletica, Inc., (Canada) (a) | 15,176 | ||||||
| 432 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 38,314 | ||||||
| 208 | Ralph Lauren Corp. | 33,496 | ||||||
|
| |||||||
| 86,986 | ||||||||
|
| |||||||
Total Consumer Discretionary | 490,236 | |||||||
|
| |||||||
Consumer Staples — 0.5% |
| |||||||
Food & Staples Retailing — 0.5% |
| |||||||
| 328 | Sprouts Farmers Market, Inc. (a) | 10,716 | ||||||
|
| |||||||
Energy — 6.3% |
| |||||||
Energy Equipment & Services — 1.0% |
| |||||||
| 73 | Dril-Quip, Inc. (a) | 7,953 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy Equipment & Services — continued |
| |||||||
| 552 | Frank’s International N.V., (Netherlands) | 13,579 | ||||||
|
| |||||||
| 21,532 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.3% |
| |||||||
| 251 | Antero Resources Corp. (a) | 16,447 | ||||||
| 513 | Cabot Oil & Gas Corp. | 17,510 | ||||||
| 233 | Concho Resources, Inc. (a) | 33,712 | ||||||
| 752 | Laredo Petroleum Holdings, Inc. (a) | 23,291 | ||||||
| 426 | Plains All American Pipeline LP | 25,575 | ||||||
|
| |||||||
| 116,535 | ||||||||
|
| |||||||
Total Energy | 138,067 | |||||||
|
| |||||||
Financials — 11.1% |
| |||||||
Banks — 2.1% |
| |||||||
| 584 | East West Bancorp, Inc. | 20,423 | ||||||
| 199 | Signature Bank (a) | 25,148 | ||||||
|
| |||||||
| 45,571 | ||||||||
|
| |||||||
Capital Markets — 5.0% |
| |||||||
| 204 | Affiliated Managers Group, Inc. (a) | 41,922 | ||||||
| 494 | Blackstone Group LP (The) | 16,530 | ||||||
| 598 | Lazard Ltd., (Bermuda), Class A | 30,838 | ||||||
| 623 | TD Ameritrade Holding Corp. | 19,525 | ||||||
|
| |||||||
| 108,815 | ||||||||
|
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
| 372 | Moody’s Corp. | 32,627 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
| 236 | Aon plc, (United Kingdom) | 21,261 | ||||||
|
| |||||||
Real Estate Management & Development — 1.6% |
| |||||||
| 1,102 | CBRE Group, Inc., Class A (a) | 35,311 | ||||||
|
| |||||||
Total Financials | 243,585 | |||||||
|
| |||||||
Health Care — 12.5% |
| |||||||
Biotechnology — 1.7% |
| |||||||
| 88 | Alexion Pharmaceuticals, Inc. (a) | 13,734 | ||||||
| 252 | Vertex Pharmaceuticals, Inc. (a) | 23,831 | ||||||
|
| |||||||
| 37,565 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.1% |
| |||||||
| 283 | Sirona Dental Systems, Inc. (a) | 23,320 | ||||||
|
| |||||||
Health Care Providers & Services — 3.8% |
| |||||||
| 626 | Brookdale Senior Living, Inc. (a) | 20,874 | ||||||
| 636 | Envision Healthcare Holdings, Inc. (a) | 22,853 | ||||||
| 210 | Humana, Inc. | 26,875 | ||||||
| 463 | Premier, Inc., Class A (a) | 13,421 | ||||||
|
| |||||||
| 84,023 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Life Sciences Tools & Services — 4.3% |
| |||||||
| 457 | Agilent Technologies, Inc. | 26,224 | ||||||
| 638 | Bruker Corp. (a) | 15,472 | ||||||
| 291 | Illumina, Inc. (a) | 51,902 | ||||||
|
| |||||||
| 93,598 | ||||||||
|
| |||||||
Pharmaceuticals — 1.6% |
| |||||||
| 105 | Jazz Pharmaceuticals plc (a) | 15,480 | ||||||
| 150 | Valeant Pharmaceuticals International, Inc. (a) | 18,918 | ||||||
|
| |||||||
| 34,398 | ||||||||
|
| |||||||
Total Health Care | 272,904 | |||||||
|
| |||||||
Industrials — 20.3% |
| |||||||
Airlines — 1.5% |
| |||||||
| 826 | Delta Air Lines, Inc. | 31,990 | ||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
| 705 | Fortune Brands Home & Security, Inc. | 28,143 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.1% |
| |||||||
| 200 | Stericycle, Inc. (a) | 23,716 | ||||||
|
| |||||||
Construction & Engineering — 0.7% |
| |||||||
| 188 | Fluor Corp. | 14,450 | ||||||
|
| |||||||
Electrical Equipment — 2.6% |
| |||||||
| 300 | Acuity Brands, Inc. | 41,530 | ||||||
| 297 | Generac Holdings, Inc. (a) | 14,481 | ||||||
|
| |||||||
| 56,011 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.1% |
| |||||||
| 283 | Carlisle Cos., Inc. | 24,513 | ||||||
|
| |||||||
Machinery — 5.2% |
| |||||||
| 207 | Colfax Corp. (a) | 15,460 | ||||||
| 363 | Flowserve Corp. | 26,974 | ||||||
| 206 | Middleby Corp. (The) (a) | 17,073 | ||||||
| 400 | Pall Corp. | 34,164 | ||||||
| 197 | WABCO Holdings, Inc. (a) | 21,076 | ||||||
|
| |||||||
| 114,747 | ||||||||
|
| |||||||
Marine — 1.3% |
| |||||||
| 241 | Kirby Corp. (a) | 28,278 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
| 158 | Canadian Pacific Railway Ltd., (Canada) | 28,692 | ||||||
| 863 | Hertz Global Holdings, Inc. (a) | 24,190 | ||||||
|
| |||||||
| 52,882 | ||||||||
|
| |||||||
Trading Companies & Distributors — 3.1% |
| |||||||
| 937 | HD Supply Holdings, Inc. (a) | 26,604 | ||||||
| 252 | MSC Industrial Direct Co., Inc., Class A | 24,054 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — continued |
| |||||||
| 167 | Watsco, Inc. | 17,161 | ||||||
|
| |||||||
| 67,819 | ||||||||
|
| |||||||
Total Industrials | 442,549 | |||||||
|
| |||||||
Information Technology — 21.2% |
| |||||||
Communications Equipment — 2.1% |
| |||||||
| 498 | Aruba Networks, Inc. (a) | 8,722 | ||||||
| 817 | Ciena Corp. (a) | 17,692 | ||||||
| 230 | Palo Alto Networks, Inc. (a) | 19,277 | ||||||
|
| |||||||
| 45,691 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.5% |
| |||||||
| 341 | Amphenol Corp., Class A | 32,813 | ||||||
|
| |||||||
Internet Software & Services — 1.6% |
| |||||||
| 126 | CoStar Group, Inc. (a) | 19,961 | ||||||
| 519 | Pandora Media, Inc. (a) | 15,308 | ||||||
|
| |||||||
| 35,269 | ||||||||
|
| |||||||
IT Services — 2.7% |
| |||||||
| 148 | Alliance Data Systems Corp. (a) | 41,653 | ||||||
| 473 | VeriFone Systems, Inc. (a) | 17,383 | ||||||
|
| |||||||
| 59,036 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.3% |
| |||||||
| 1,645 | Applied Materials, Inc. | 37,095 | ||||||
| 448 | Avago Technologies Ltd., (Singapore) | 32,280 | ||||||
| 335 | Lam Research Corp. | 22,626 | ||||||
| 339 | NXP Semiconductor N.V., (Netherlands) (a) | 22,408 | ||||||
|
| |||||||
| 114,409 | ||||||||
|
| |||||||
Software — 7.2% |
| |||||||
| 452 | Autodesk, Inc. (a) | 25,495 | ||||||
| 256 | CommVault Systems, Inc. (a) | 12,592 | ||||||
| 1,044 | Electronic Arts, Inc. (a) | 37,463 | ||||||
| 308 | FireEye, Inc. (a) | 12,477 | ||||||
| 306 | Guidewire Software, Inc. (a) | 12,446 | ||||||
| 289 | ServiceNow, Inc. (a) | 17,875 | ||||||
| 222 | Splunk, Inc. (a) | 12,278 | ||||||
| 141 | Tableau Software, Inc., Class A (a) | 10,079 | ||||||
| 187 | Workday, Inc., Class A (a) | 16,786 | ||||||
|
| |||||||
| 157,491 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
| 168 | SanDisk Corp. | 17,555 | ||||||
|
| |||||||
Total Information Technology | 462,264 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Materials — 2.0% |
| |||||||
Chemicals — 1.5% |
| |||||||
| 157 | Sherwin-Williams Co. (The) | 32,464 | ||||||
|
| |||||||
Construction Materials — 0.5% |
| |||||||
| 113 | Eagle Materials, Inc. | 10,626 | ||||||
|
| |||||||
Total Materials | 43,090 | |||||||
|
| |||||||
Total Common Stocks | 2,103,411 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.9% | |||||||
Investment Company — 1.9% |
| |||||||
| 41,925 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 41,925 | ||||||
|
| |||||||
Total Investments — 98.3% | 2,145,336 | |||||||
Other Assets in Excess | 36,468 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,181,804 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.5% |
| ||||||
Consumer Discretionary — 16.5% | ||||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
| 1,877 | Marriott International, Inc., Class A | 120,345 | ||||||
| 737 | Starwood Hotels & Resorts Worldwide, Inc. | 59,524 | ||||||
|
| |||||||
| 179,869 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
| 2,727 | Jarden Corp. (a) | 161,831 | ||||||
| 1,224 | Mohawk Industries, Inc. (a) | 169,273 | ||||||
|
| |||||||
| 331,104 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.5% |
| |||||||
| 2,933 | Expedia, Inc. | 231,021 | ||||||
|
| |||||||
Media — 2.9% |
| |||||||
| 798 | CBS Corp. (Non-Voting), Class B | 49,561 | ||||||
| 3,624 | Clear Channel Outdoor Holdings, Inc., Class A | 29,643 | ||||||
| 2,515 | DISH Network Corp., Class A (a) | 163,655 | ||||||
| 4,841 | Gannett Co., Inc. | 151,582 | ||||||
| 2,725 | Time, Inc. (a) | 66,001 | ||||||
|
| |||||||
| 460,442 | ||||||||
|
| |||||||
Multiline Retail — 2.4% |
| |||||||
| 938 | Family Dollar Stores, Inc. | 62,039 | ||||||
| 4,513 | Kohl’s Corp. | 237,764 | ||||||
| 1,208 | Nordstrom, Inc. | 82,032 | ||||||
|
| |||||||
| 381,835 | ||||||||
|
| |||||||
Specialty Retail — 5.4% |
| |||||||
| 279 | AutoZone, Inc. (a) | 149,723 | ||||||
| 1,948 | Bed Bath & Beyond, Inc. (a) | 111,777 | ||||||
| 3,188 | Best Buy Co., Inc. | 98,874 | ||||||
| 5,961 | Gap, Inc. (The) | 247,816 | ||||||
| 1,072 | PetSmart, Inc. | 64,076 | ||||||
| 1,269 | Tiffany & Co. | 127,255 | ||||||
| 776 | TJX Cos., Inc. (The) | 41,254 | ||||||
|
| |||||||
| 840,775 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 832 | PVH Corp. | 97,018 | ||||||
| 945 | V.F. Corp. | 59,526 | ||||||
|
| |||||||
| 156,544 | ||||||||
|
| |||||||
Total Consumer Discretionary | 2,581,590 | |||||||
|
| |||||||
Consumer Staples — 5.1% | ||||||||
Beverages — 1.6% |
| |||||||
| 108 | Brown-Forman Corp., Class B | 10,192 | ||||||
| 640 | Constellation Brands, Inc., Class A (a) | 56,402 | ||||||
| 3,105 | Dr. Pepper Snapple Group, Inc. | 181,862 | ||||||
|
| |||||||
| 248,456 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 1.9% |
| |||||||
| 3,999 | Kroger Co. (The) | 197,674 | ||||||
| 14,287 | Rite Aid Corp. (a) | 102,441 | ||||||
|
| |||||||
| 300,115 | ||||||||
|
| |||||||
Food Products — 0.7% |
| |||||||
| 1,188 | Hershey Co. (The) | 115,677 | ||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
| 1,083 | Energizer Holdings, Inc. | 132,168 | ||||||
|
| |||||||
Total Consumer Staples | 796,416 | |||||||
|
| |||||||
Energy — 4.7% | ||||||||
Oil, Gas & Consumable Fuels — 4.7% |
| |||||||
| 1,921 | Energen Corp. | 170,766 | ||||||
| 1,300 | EQT Corp. | 138,968 | ||||||
| 3,131 | PBF Energy, Inc., Class A | 83,429 | ||||||
| 3,733 | QEP Resources, Inc. | 128,773 | ||||||
| 3,057 | Southwestern Energy Co. (a) | 139,079 | ||||||
| 1,370 | Williams Cos., Inc. (The) | 79,767 | ||||||
|
| |||||||
Total Energy | 740,782 | |||||||
|
| |||||||
Financials — 28.4% | ||||||||
Banks — 6.0% |
| |||||||
| 1,389 | City National Corp. | 105,220 | ||||||
| 10,893 | Fifth Third Bancorp | 232,566 | ||||||
| 1,621 | First Republic Bank | 89,160 | ||||||
| 6,723 | Huntington Bancshares, Inc. | 64,133 | ||||||
| 1,674 | M&T Bank Corp. | 207,655 | ||||||
| 4,424 | SunTrust Banks, Inc. | 177,224 | ||||||
| 2,346 | Zions Bancorporation | 69,135 | ||||||
|
| |||||||
| 945,093 | ||||||||
|
| |||||||
Capital Markets — 5.0% |
| |||||||
| 2,042 | Ameriprise Financial, Inc. | 244,980 | ||||||
| 3,935 | Invesco Ltd. | 148,558 | ||||||
| 1,505 | Legg Mason, Inc. | 77,205 | ||||||
| 2,255 | Northern Trust Corp. | 144,822 | ||||||
| 1,973 | T. Rowe Price Group, Inc. | 166,529 | ||||||
|
| |||||||
| 782,094 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
| 5,058 | Ally Financial, Inc. (a) | 120,946 | ||||||
|
| |||||||
Insurance — 9.0% |
| |||||||
| 231 | Alleghany Corp. (a) | 101,006 | ||||||
| 1,409 | Chubb Corp. (The) | 129,859 | ||||||
| 4,126 | Hartford Financial Services Group, Inc. (The) | 147,742 | ||||||
| 5,814 | Loews Corp. | 255,881 | ||||||
| 5,511 | Marsh & McLennan Cos., Inc. | 285,557 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — Continued |
| |||||||
| 4,527 | Old Republic International Corp. | 74,870 | ||||||
| 3,743 | Unum Group | 130,095 | ||||||
| 2,778 | W.R. Berkley Corp. | 128,636 | ||||||
| 4,448 | XL Group plc, (Ireland) | 145,582 | ||||||
|
| |||||||
| 1,399,228 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 6.8% |
| |||||||
| 2,308 | American Campus Communities, Inc. | 88,255 | ||||||
| 1,054 | AvalonBay Communities, Inc. | 149,858 | ||||||
| 3,003 | Brixmor Property Group, Inc. | 68,917 | ||||||
| 4,968 | General Growth Properties, Inc. | 117,053 | ||||||
| 6,696 | Kimco Realty Corp. | 153,865 | ||||||
| 2,696 | Rayonier, Inc. | 95,855 | ||||||
| 1,757 | Regency Centers Corp. | 97,857 | ||||||
| 1,636 | Vornado Realty Trust | 174,579 | ||||||
| 3,712 | Weyerhaeuser Co. | 122,845 | ||||||
|
| |||||||
| 1,069,084 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
| 3,759 | Brookfield Property Partners LP | 78,449 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.3% |
| |||||||
| 4,827 | Hudson City Bancorp, Inc. | 47,445 | ||||||
|
| |||||||
Total Financials | 4,442,339 | |||||||
|
| |||||||
Health Care — 5.7% | ||||||||
Health Care Equipment & Supplies — 0.9% |
| |||||||
| 3,133 | CareFusion Corp. (a) | 138,948 | ||||||
|
| |||||||
Health Care Providers & Services — 4.8% |
| |||||||
| 2,159 | AmerisourceBergen Corp. | 156,885 | ||||||
| 2,722 | Brookdale Senior Living, Inc. (a) | 90,747 | ||||||
| 2,448 | Cigna Corp. | 225,120 | ||||||
| 785 | Henry Schein, Inc. (a) | 93,116 | ||||||
| 1,399 | Humana, Inc. | 178,682 | ||||||
|
| |||||||
| 744,550 | ||||||||
|
| |||||||
Total Health Care | 883,498 | |||||||
|
| |||||||
Industrials — 9.7% | ||||||||
Building Products — 0.7% |
| |||||||
| 2,571 | Fortune Brands Home & Security, Inc. | 102,649 | ||||||
|
| |||||||
Electrical Equipment — 2.8% |
| |||||||
| 2,818 | AMETEK, Inc. | 147,310 | ||||||
| 1,076 | Hubbell, Inc., Class B | 132,530 | ||||||
| 2,008 | Regal-Beloit Corp. | 157,779 | ||||||
|
| |||||||
| 437,619 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.3% |
| |||||||
| 2,292 | Carlisle Cos., Inc. | 198,558 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 2.8% |
| |||||||
| 2,297 | IDEX Corp. | 185,495 | ||||||
| 2,770 | Rexnord Corp. (a) | 77,980 | ||||||
| 1,487 | Snap-on, Inc. | 176,197 | ||||||
|
| |||||||
| 439,672 | ||||||||
|
| |||||||
Professional Services — 1.1% |
| |||||||
| 2,462 | Equifax, Inc. | 178,623 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
| 1,630 | MSC Industrial Direct Co., Inc., Class A | 155,865 | ||||||
|
| |||||||
Total Industrials | 1,512,986 | |||||||
|
| |||||||
Information Technology — 9.6% | ||||||||
Communications Equipment — 0.6% |
| |||||||
| 4,376 | CommScope Holding Co., Inc. (a) | 101,225 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.8% |
| |||||||
| 2,337 | Amphenol Corp., Class A | 225,110 | ||||||
| 3,633 | Arrow Electronics, Inc. (a) | 219,445 | ||||||
|
| |||||||
| 444,555 | ||||||||
|
| |||||||
IT Services — 1.6% |
| |||||||
| 3,574 | Jack Henry & Associates, Inc. | 212,429 | ||||||
| 1,647 | Sabre Corp. (a) | 33,018 | ||||||
|
| |||||||
| 245,447 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.5% |
| |||||||
| 3,665 | Analog Devices, Inc. | 198,153 | ||||||
| 2,081 | KLA-Tencor Corp. | 151,179 | ||||||
| 4,198 | Xilinx, Inc. | 198,595 | ||||||
|
| |||||||
| 547,927 | ||||||||
|
| |||||||
Software — 1.1% |
| |||||||
| 4,249 | Synopsys, Inc. (a) | 164,964 | ||||||
|
| |||||||
Total Information Technology | 1,504,118 | |||||||
|
| |||||||
Materials — 7.7% | ||||||||
Chemicals — 4.4% |
| |||||||
| 1,871 | Airgas, Inc. | 203,800 | ||||||
| 2,671 | Albemarle Corp. | 190,996 | ||||||
| 899 | Rayonier Advanced Materials, Inc. (a) | 34,827 | ||||||
| 505 | Sherwin-Williams Co. (The) | 104,428 | ||||||
| 1,583 | Sigma-Aldrich Corp. | 160,634 | ||||||
|
| |||||||
| 694,685 | ||||||||
|
| |||||||
Containers & Packaging — 3.3% |
| |||||||
| 3,657 | Ball Corp. | 229,246 | ||||||
| 1,349 | Rock-Tenn Co., Class A | 142,488 | ||||||
| 2,719 | Silgan Holdings, Inc. | 138,195 | ||||||
|
| |||||||
| 509,929 | ||||||||
|
| |||||||
Total Materials | 1,204,614 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Utilities — 9.1% |
| |||||||
Electric Utilities — 2.8% |
| |||||||
| 2,314 | Edison International | 134,482 | ||||||
| 4,287 | Westar Energy, Inc. | 163,737 | ||||||
| 4,382 | Xcel Energy, Inc. | 141,225 | ||||||
|
| |||||||
| 439,444 | ||||||||
|
| |||||||
Gas Utilities — 1.6% |
| |||||||
| 1,339 | National Fuel Gas Co. | 104,864 | ||||||
| 6,095 | Questar Corp. | 151,153 | ||||||
|
| |||||||
| 256,017 | ||||||||
|
| |||||||
Multi-Utilities — 4.7% |
| |||||||
| 5,720 | CenterPoint Energy, Inc. | 146,078 | ||||||
| 4,842 | CMS Energy Corp. | 150,832 | ||||||
| 3,224 | NiSource, Inc. | 126,847 | ||||||
| 1,885 | Sempra Energy | 197,380 | ||||||
| 2,227 | Wisconsin Energy Corp. | 104,488 | ||||||
|
| |||||||
| 725,625 | ||||||||
|
| |||||||
Total Utilities | 1,421,086 | |||||||
|
| |||||||
Total Common Stocks | 15,087,429 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 3.9% |
| ||||||
Investment Company — 3.9% |
| |||||||
| 617,032 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 617,032 | ||||||
|
| |||||||
Total Investments — 100.4% | 15,704,461 | |||||||
Liabilities in Excess of | (58,876 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 15,645,585 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — 99.5% (j) |
| ||||||
| Common Stocks — 87.3% |
| ||||||
Consumer Discretionary — 15.5% |
| |||||||
Diversified Consumer Services — 3.0% |
| |||||||
| 78 | Apollo Education Group, Inc. (a) | 2,428 | ||||||
| 78 | DeVry Education Group, Inc. | 3,321 | ||||||
| 6 | Graham Holdings Co., Class B | 4,219 | ||||||
| 103 | H&R Block, Inc. | 3,445 | ||||||
|
| |||||||
| 13,413 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 32 | Las Vegas Sands Corp. | 2,409 | ||||||
| 72 | MGM Resorts International (a) | 1,913 | ||||||
| 47 | Royal Caribbean Cruises Ltd. | 2,591 | ||||||
| 116 | Wendy’s Co. (The) | 988 | ||||||
|
| |||||||
| 7,901 | ||||||||
|
| |||||||
Household Durables — 1.7% |
| |||||||
| 55 | Jarden Corp. (a) | 3,242 | ||||||
| 156 | PulteGroup, Inc. | 3,140 | ||||||
| 10 | Whirlpool Corp. | 1,456 | ||||||
|
| |||||||
| 7,838 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.3% |
| |||||||
| 18 | Expedia, Inc. | 1,414 | ||||||
|
| |||||||
Media — 2.7% |
| |||||||
| 31 | Gannett Co., Inc. | 959 | ||||||
| 95 | Live Nation Entertainment, Inc. (a) | 2,344 | ||||||
| 42 | Markit Ltd., (United Kingdom) (a) | 1,141 | ||||||
| 24 | Omnicom Group, Inc. | 1,688 | ||||||
| 8 | Regal Entertainment Group, Class A | 158 | ||||||
| 51 | Starz, Series A (a) | 1,529 | ||||||
| 48 | Viacom, Inc., Class B | 4,159 | ||||||
|
| |||||||
| 11,978 | ||||||||
|
| |||||||
Multiline Retail — 1.4% |
| |||||||
| 22 | Dillard’s, Inc., Class A | 2,573 | ||||||
| 67 | Macy’s, Inc. | 3,877 | ||||||
|
| |||||||
| 6,450 | ||||||||
|
| |||||||
Specialty Retail — 3.4% |
| |||||||
| 110 | Best Buy Co., Inc. | 3,410 | ||||||
| 75 | GameStop Corp., Class A | 3,043 | ||||||
| 151 | Guess?, Inc. | 4,074 | ||||||
| 52 | Lowe’s Cos., Inc. | 2,515 | ||||||
| 231 | Staples, Inc. | 2,502 | ||||||
|
| |||||||
| 15,544 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
| 26 | Deckers Outdoor Corp. (a) | 2,281 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — continued |
| |||||||
| 30 | Hanesbrands, Inc. | 2,971 | ||||||
|
| |||||||
| 5,252 | ||||||||
|
| |||||||
Total Consumer Discretionary | 69,790 | |||||||
|
| |||||||
Consumer Staples — 7.3% | ||||||||
Beverages — 0.9% |
| |||||||
| 53 | Molson Coors Brewing Co., Class B | 3,939 | ||||||
|
| |||||||
Food & Staples Retailing — 2.0% |
| |||||||
| 95 | Kroger Co. (The) | 4,696 | ||||||
| 257 | Rite Aid Corp. (a) | 1,842 | ||||||
| 73 | Safeway, Inc. | 2,519 | ||||||
|
| |||||||
| 9,057 | ||||||||
|
| |||||||
Food Products — 2.2% |
| |||||||
| 90 | Archer-Daniels-Midland Co. | 3,972 | ||||||
| 149 | Pilgrim’s Pride Corp. (a) | 4,086 | ||||||
| 56 | Tyson Foods, Inc., Class A | 2,093 | ||||||
|
| |||||||
| 10,151 | ||||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
| 33 | Energizer Holdings, Inc. | 3,966 | ||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
| 57 | Herbalife Ltd. | 3,658 | ||||||
|
| |||||||
Tobacco — 0.5% |
| |||||||
| 33 | Altria Group, Inc. | 1,394 | ||||||
| 12 | Lorillard, Inc. | 747 | ||||||
|
| |||||||
| 2,141 | ||||||||
|
| |||||||
Total Consumer Staples | 32,912 | |||||||
|
| |||||||
Energy — 5.0% | ||||||||
Energy Equipment & Services — 1.6% |
| |||||||
| 21 | Baker Hughes, Inc. | 1,535 | ||||||
| 124 | Patterson-UTI Energy, Inc. | 4,346 | ||||||
| 43 | Superior Energy Services, Inc. | 1,568 | ||||||
|
| |||||||
| 7,449 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.4% |
| |||||||
| 22 | ConocoPhillips | 1,922 | ||||||
| 94 | Kosmos Energy Ltd., (Bermuda) (a) | 1,053 | ||||||
| 9 | Marathon Petroleum Corp. | 693 | ||||||
| 34 | Newfield Exploration Co. (a) | 1,493 | ||||||
| 26 | Phillips 66 | 2,117 | ||||||
| 48 | Tesoro Corp. | 2,820 | ||||||
| 50 | Valero Energy Corp. | 2,514 | ||||||
| 17 | Whiting Petroleum Corp. (a) | 1,386 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
| 25 | World Fuel Services Corp. | 1,250 | ||||||
|
| |||||||
| 15,248 | ||||||||
|
| |||||||
Total Energy | 22,697 | |||||||
|
| |||||||
Financials — 5.2% | ||||||||
Banks — 1.0% |
| |||||||
| 37 | East West Bancorp, Inc. | 1,281 | ||||||
| 33 | Fifth Third Bancorp | 709 | ||||||
| 91 | KeyCorp | 1,300 | ||||||
| 123 | Regions Financial Corp. | 1,303 | ||||||
|
| |||||||
| 4,593 | ||||||||
|
| |||||||
Capital Markets — 1.4% |
| |||||||
| 6 | Ameriprise Financial, Inc. | 763 | ||||||
| 91 | E*TRADE Financial Corp. (a) | 1,944 | ||||||
| 65 | Lazard Ltd., (Bermuda), Class A | 3,359 | ||||||
|
| |||||||
| 6,066 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
| 25 | Discover Financial Services | 1,523 | ||||||
|
| |||||||
Insurance — 0.9% |
| |||||||
| 16 | Aspen Insurance Holdings Ltd., (Bermuda) | 717 | ||||||
| 10 | Everest Re Group Ltd., (Bermuda) | 1,542 | ||||||
| 19 | Prudential Financial, Inc. | 1,660 | ||||||
|
| |||||||
| 3,919 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
| 43 | Brandywine Realty Trust | 673 | ||||||
| 14 | Highwoods Properties, Inc. | 570 | ||||||
| 40 | NorthStar Realty Finance Corp. | 691 | ||||||
| 160 | RLJ Lodging Trust | 4,629 | ||||||
| 6 | SL Green Realty Corp. | 688 | ||||||
|
| |||||||
| 7,251 | ||||||||
|
| |||||||
Total Financials | 23,352 | |||||||
|
| |||||||
Health Care — 10.6% | ||||||||
Biotechnology — 2.2% |
| |||||||
| 21 | Amgen, Inc. | 2,469 | ||||||
| 14 | Gilead Sciences, Inc. (a) | 1,133 | ||||||
| 40 | United Therapeutics Corp. (a) | 3,516 | ||||||
| 29 | Vertex Pharmaceuticals, Inc. (a) | 2,711 | ||||||
|
| |||||||
| 9,829 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.6% |
| |||||||
| 22 | Align Technology, Inc. (a) | 1,238 | ||||||
| 13 | Becton, Dickinson and Co. | 1,549 | ||||||
| 35 | Boston Scientific Corp. (a) | 444 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Equipment & Supplies — continued |
| |||||||
| 70 | Medtronic, Inc. | 4,458 | ||||||
| 52 | Stryker Corp. | 4,344 | ||||||
|
| |||||||
| 12,033 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.7% |
| |||||||
| 57 | Cardinal Health, Inc. | 3,875 | ||||||
| 32 | Cigna Corp. | 2,919 | ||||||
| 32 | Health Net, Inc. (a) | 1,309 | ||||||
| 23 | McKesson Corp. | 4,213 | ||||||
| 62 | Omnicare, Inc. | 4,111 | ||||||
| 43 | WellPoint, Inc. | 4,670 | ||||||
|
| |||||||
| 21,097 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% |
| |||||||
| 148 | Pfizer, Inc. | 4,405 | ||||||
| 3 | Salix Pharmaceuticals Ltd. (a) | 416 | ||||||
|
| |||||||
| 4,821 | ||||||||
|
| |||||||
Total Health Care | 47,780 | |||||||
|
| |||||||
Industrials — 13.9% | ||||||||
Aerospace & Defense — 2.0% |
| |||||||
| 23 | Boeing Co. (The) | 2,911 | ||||||
| 36 | Northrop Grumman Corp. | 4,346 | ||||||
| 20 | Raytheon Co. | 1,829 | ||||||
|
| |||||||
| 9,086 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% |
| |||||||
| 3 | United Parcel Service, Inc., Class B | 283 | ||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
| 10 | Alaska Air Group, Inc. | 928 | ||||||
| 16 | Delta Air Lines, Inc. | 601 | ||||||
| 74 | Southwest Airlines Co. | 1,992 | ||||||
|
| |||||||
| 3,521 | ||||||||
|
| |||||||
Building Products — 0.1% |
| |||||||
| 11 | Allegion plc, (Ireland) | 640 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.9% |
| |||||||
| 149 | Pitney Bowes, Inc. | 4,116 | ||||||
| 251 | R.R. Donnelley & Sons Co. | 4,260 | ||||||
|
| |||||||
| 8,376 | ||||||||
|
| |||||||
Construction & Engineering — 1.5% |
| |||||||
| 126 | AECOM Technology Corp. (a) | 4,062 | ||||||
| 19 | Fluor Corp. | 1,426 | ||||||
| 28 | URS Corp. | 1,277 | ||||||
|
| |||||||
| 6,765 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Electrical Equipment — 0.9% |
| |||||||
| 54 | Regal-Beloit Corp. | 4,268 | ||||||
|
| |||||||
Machinery — 4.3% |
| |||||||
| 88 | Allison Transmission Holdings, Inc. | 2,744 | ||||||
| 53 | IDEX Corp. | 4,279 | ||||||
| 35 | ITT Corp. | 1,683 | ||||||
| 49 | Oshkosh Corp. | 2,713 | ||||||
| 33 | Parker Hannifin Corp. | 4,196 | ||||||
| 37 | SPX Corp. | 3,955 | ||||||
|
| |||||||
| 19,570 | ||||||||
|
| |||||||
Professional Services — 1.9% |
| |||||||
| 39 | Dun & Bradstreet Corp. (The) | 4,295 | ||||||
| 49 | Manpowergroup, Inc. | 4,134 | ||||||
|
| |||||||
| 8,429 | ||||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
| 30 | Landstar System, Inc. | 1,915 | ||||||
|
| |||||||
Total Industrials | 62,853 | |||||||
|
| |||||||
Information Technology — 19.9% | ||||||||
Communications Equipment — 2.2% |
| |||||||
| 436 | Brocade Communications Systems, Inc. | 4,011 | ||||||
| 54 | Harris Corp. | 4,073 | ||||||
| 127 | Polycom, Inc. (a) | 1,589 | ||||||
|
| |||||||
| 9,673 | ||||||||
|
| |||||||
Internet Software & Services — 0.8% |
| |||||||
| 51 | IAC/InterActiveCorp | 3,544 | ||||||
|
| |||||||
IT Services — 2.9% |
| |||||||
| 8 | Amdocs Ltd. | 362 | ||||||
| 41 | Computer Sciences Corp. | 2,560 | ||||||
| 43 | DST Systems, Inc. | 3,947 | ||||||
| 29 | Global Payments, Inc. | 2,113 | ||||||
| 39 | Leidos Holdings, Inc. | 1,491 | ||||||
| 19 | Syntel, Inc. (a) | 1,653 | ||||||
| 24 | VeriFone Systems, Inc. (a) | 893 | ||||||
|
| |||||||
| 13,019 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
| 46 | Broadcom Corp., Class A | 1,714 | ||||||
| 16 | KLA-Tencor Corp. | 1,182 | ||||||
| 66 | Lam Research Corp. | 4,493 | ||||||
| 95 | NVIDIA Corp. | 1,765 | ||||||
|
| |||||||
| 9,154 | ||||||||
|
| |||||||
Software — 7.5% |
| |||||||
| 112 | Activision Blizzard, Inc. | 2,498 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Software — continued |
| |||||||
| 85 | Aspen Technology, Inc. (a) | 3,951 | ||||||
| 92 | CA, Inc. | 2,637 | ||||||
| 116 | Electronic Arts, Inc. (a) | 4,146 | ||||||
| 51 | Intuit, Inc. | 4,091 | ||||||
| 100 | Microsoft Corp. | 4,162 | ||||||
| 56 | Oracle Corp. | 2,274 | ||||||
| 106 | PTC, Inc. (a) | 4,122 | ||||||
| 158 | Rovi Corp. (a) | 3,781 | ||||||
| 93 | Symantec Corp. | 2,132 | ||||||
|
| |||||||
| 33,794 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.5% |
| |||||||
| 34 | Apple, Inc. | 3,188 | ||||||
| 140 | Hewlett-Packard Co. | 4,717 | ||||||
| 94 | Lexmark International, Inc., Class A | 4,510 | ||||||
| 108 | NetApp, Inc. | 3,953 | ||||||
| 45 | Western Digital Corp. | 4,125 | ||||||
|
| |||||||
| 20,493 | ||||||||
|
| |||||||
Total Information Technology | 89,677 | |||||||
|
| |||||||
Materials — 5.0% | ||||||||
Chemicals — 0.7% |
| |||||||
| 56 | Huntsman Corp. | 1,567 | ||||||
| 24 | Scotts Miracle-Gro Co. (The), Class A | 1,363 | ||||||
|
| |||||||
| 2,930 | ||||||||
|
| |||||||
Containers & Packaging — 2.1% |
| |||||||
| 23 | Ball Corp. | 1,461 | ||||||
| 38 | Owens-Illinois, Inc. (a) | 1,301 | ||||||
| 9 | Packaging Corp. of America | 662 | ||||||
| 116 | Sealed Air Corp. | 3,979 | ||||||
| 43 | Silgan Holdings, Inc. | 2,169 | ||||||
|
| |||||||
| 9,572 | ||||||||
|
| |||||||
Metals & Mining — 1.4% |
| |||||||
| 18 | Reliance Steel & Aluminum Co. | 1,341 | ||||||
| 41 | Steel Dynamics, Inc. | 741 | ||||||
| 91 | United States Steel Corp. | 2,364 | ||||||
| 48 | Worthington Industries, Inc. | 2,066 | ||||||
|
| |||||||
| 6,512 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% |
| |||||||
| 79 | Domtar Corp., (Canada) | 3,404 | ||||||
|
| |||||||
Total Materials | 22,418 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Long Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Telecommunication Services — 1.5% | ||||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
| 120 | AT&T, Inc. | 4,226 | ||||||
| 256 | Frontier Communications Corp. | 1,495 | ||||||
|
| |||||||
| 5,721 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
| 31 | T-Mobile US, Inc. (a) | 1,035 | ||||||
|
| |||||||
Total Telecommunication Services | 6,756 | |||||||
|
| |||||||
Utilities — 3.4% | ||||||||
Gas Utilities — 1.1% |
| |||||||
| 14 | AGL Resources, Inc. | 763 | ||||||
| 87 | UGI Corp. | 4,415 | ||||||
|
| |||||||
| 5,178 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 2.3% |
| |||||||
| 282 | AES Corp. | 4,391 | ||||||
| 82 | Calpine Corp. (a) | 1,952 | ||||||
| 113 | Dynegy, Inc. (a) | 3,927 | ||||||
|
| |||||||
| 10,270 | ||||||||
|
| |||||||
Total Utilities | 15,448 | |||||||
|
| |||||||
Total Common Stocks | 393,683 | |||||||
|
| |||||||
| Short-Term Investment — 12.2% |
| ||||||
Investment Company— 12.2% |
| |||||||
| 55,130 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (b) (l) | 55,130 | ||||||
|
| |||||||
Total Investments — 99.5% | 448,813 | |||||||
Other Assets in Excess of | 2,189 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 451,002 | ||||||
|
| |||||||
| Short Positions — 86.3% |
| ||||||
| Common Stocks — 86.3% |
| ||||||
Consumer Discretionary — 14.7% | ||||||||
Hotels, Restaurants & Leisure — 4.4% |
| |||||||
| 99 | Carnival Corp. | 3,731 | ||||||
| 80 | Darden Restaurants, Inc. | 3,701 | ||||||
| 42 | Marriott International, Inc., Class A | 2,707 | ||||||
| 6 | McDonald’s Corp. | 639 | ||||||
| 117 | Norwegian Cruise Line Holdings Ltd. (a) | 3,720 | ||||||
| 10 | Panera Bread Co., Class A (a) | 1,528 | ||||||
| 32 | SeaWorld Entertainment, Inc. | 901 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Hotels, Restaurants & Leisure — continued |
| |||||||
| 38 | Yum! Brands, Inc. | 3,050 | ||||||
|
| |||||||
| 19,977 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
| 27 | Tempur Sealy International, Inc. (a) | 1,590 | ||||||
|
| |||||||
Internet & Catalog Retail — 0.2% |
| |||||||
| 134 | Groupon, Inc. (a) | 888 | ||||||
|
| |||||||
Leisure Products — 0.2% |
| |||||||
| 20 | Mattel, Inc. | 787 | ||||||
|
| |||||||
Media — 3.4% |
| |||||||
| 56 | AMC Networks, Inc., Class A (a) | �� | 3,456 | |||||
| 27 | Charter Communications, Inc., Class A (a) | 4,292 | ||||||
| 16 | Lamar Advertising Co., Class A | 839 | ||||||
| 73 | Madison Square Garden Co. (The), Class A (a) | 4,562 | ||||||
| 598 | Sirius XM Holdings, Inc. (a) | 2,071 | ||||||
|
| |||||||
| 15,220 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 57 | Family Dollar Stores, Inc. | 3,798 | ||||||
|
| |||||||
Specialty Retail — 3.6% |
| |||||||
| 347 | American Eagle Outfitters, Inc. | 3,888 | ||||||
| 51 | Cabela’s, Inc. (a) | 3,153 | ||||||
| 35 | Signet Jewelers Ltd., (Bermuda) | 3,914 | ||||||
| 54 | Tractor Supply Co. | 3,246 | ||||||
| 23 | Ulta Salon Cosmetics & Fragrance, Inc. (a) | 2,106 | ||||||
|
| |||||||
| 16,307 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
| 107 | Kate Spade & Co. (a) | 4,093 | ||||||
| 14 | Lululemon Athletica, Inc., (Canada) (a) | 555 | ||||||
| 25 | PVH Corp. | 2,912 | ||||||
|
| |||||||
| 7,560 | ||||||||
|
| |||||||
Total Consumer Discretionary | 66,127 | |||||||
|
| |||||||
Consumer Staples — 7.5% | ||||||||
Beverages — 0.9% |
| |||||||
| 44 | Brown-Forman Corp., Class B | 4,156 | ||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
| 116 | Fresh Market, Inc. (The) (a) | 3,867 | ||||||
| 64 | United Natural Foods, Inc. (a) | 4,173 | ||||||
|
| |||||||
| 8,040 | ||||||||
|
| |||||||
Food Products — 2.9% |
| |||||||
| 105 | Darling Ingredients, Inc. (a) | 2,204 | ||||||
| 191 | Flowers Foods, Inc. | 4,018 | ||||||
| 39 | Hain Celestial Group, Inc. (The) (a) | 3,472 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Multi-Cap Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Food Products — continued |
| |||||||
| 48 | McCormick & Co., Inc. (Non-Voting) | 3,428 | ||||||
|
| |||||||
| 13,122 | ||||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
| 33 | Clorox Co. (The) | 3,007 | ||||||
| 13 | Procter & Gamble Co. (The) | 1,011 | ||||||
|
| |||||||
| 4,018 | ||||||||
|
| |||||||
Personal Products — 1.0% |
| |||||||
| 58 | Estee Lauder Cos., Inc. (The), Class A | 4,343 | ||||||
|
| |||||||
Total Consumer Staples | 33,679 | |||||||
|
| |||||||
Energy — 7.5% | ||||||||
Energy Equipment & Services — 2.3% |
| |||||||
| 29 | Dresser-Rand Group, Inc. (a) | 1,824 | ||||||
| 539 | McDermott International, Inc. (a) | 4,361 | ||||||
| 53 | Seadrill Ltd., (Bermuda) | 2,134 | ||||||
| 40 | Transocean Ltd., (Switzerland) | 1,782 | ||||||
|
| |||||||
| 10,101 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.2% |
| |||||||
| 29 | Cabot Oil & Gas Corp. | 987 | ||||||
| 28 | Concho Resources, Inc. (a) | 3,981 | ||||||
| 85 | CONSOL Energy, Inc. | 3,932 | ||||||
| 44 | Diamondback Energy, Inc. (a) | 3,929 | ||||||
| 26 | Energen Corp. | 2,298 | ||||||
| 70 | Golar LNG Ltd., (Bermuda) | 4,224 | ||||||
| 28 | Gulfport Energy Corp. (a) | 1,736 | ||||||
| 51 | Kodiak Oil & Gas Corp. (a) | 740 | ||||||
| 18 | ONEOK, Inc. | 1,193 | ||||||
| 14 | Spectra Energy Corp. | 590 | ||||||
|
| |||||||
| 23,610 | ||||||||
|
| |||||||
Total Energy | 33,711 | |||||||
|
| |||||||
Financials — 4.5% | ||||||||
Banks — 0.9% |
| |||||||
| 10 | M&T Bank Corp. | 1,238 | ||||||
| 293 | Valley National Bancorp | 2,901 | ||||||
|
| |||||||
| 4,139 | ||||||||
|
| |||||||
Capital Markets — 0.4% |
| |||||||
| 21 | T. Rowe Price Group, Inc. | 1,740 | ||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
| 260 | SLM Corp. | 2,156 | ||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
| 22 | CME Group, Inc. | 1,530 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 1.3% |
| |||||||
| 34 | Cincinnati Financial Corp. | 1,630 | ||||||
| 4 | Markel Corp. (a) | 2,639 | ||||||
| 141 | MBIA, Inc. (a) | 1,558 | ||||||
|
| |||||||
| 5,827 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
| 79 | Annaly Capital Management, Inc. | 909 | ||||||
| 22 | Crown Castle International Corp. | 1,625 | ||||||
|
| |||||||
| 2,534 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 16 | Realogy Holdings Corp. (a) | 610 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 125 | People’s United Financial, Inc. | 1,893 | ||||||
|
| |||||||
Total Financials | 20,429 | |||||||
|
| |||||||
Health Care — 9.7% | ||||||||
Biotechnology — 1.6% |
| |||||||
| 8 | Biogen Idec, Inc. (a) | 2,546 | ||||||
| 96 | Cepheid, Inc. (a) | 4,605 | ||||||
|
| |||||||
| 7,151 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
| 30 | Cooper Cos., Inc. (The) | 4,072 | ||||||
| 19 | DENTSPLY International, Inc. | 903 | ||||||
| 15 | Sirona Dental Systems, Inc. (a) | 1,206 | ||||||
|
| |||||||
| 6,181 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.4% |
| |||||||
| 58 | Brookdale Senior Living, Inc. (a) | 1,918 | ||||||
| 73 | Catamaran Corp. (a) | 3,219 | ||||||
| 20 | Patterson Cos., Inc. | 798 | ||||||
| 79 | Team Health Holdings, Inc. (a) | 3,934 | ||||||
| 85 | Tenet Healthcare Corp. (a) | 3,972 | ||||||
| 17 | Universal Health Services, Inc., Class B | 1,671 | ||||||
|
| |||||||
| 15,512 | ||||||||
|
| |||||||
Health Care Technology — 1.1% |
| |||||||
| 149 | Allscripts Healthcare Solutions, Inc. (a) | 2,395 | ||||||
| 20 | athenahealth, Inc. (a) | 2,478 | ||||||
|
| |||||||
| 4,873 | ||||||||
|
| |||||||
Pharmaceuticals — 2.2% |
| |||||||
| 29 | Eli Lilly & Co. | 1,812 | ||||||
| 19 | Hospira, Inc. (a) | 995 | ||||||
| 19 | Perrigo Co. plc, (Ireland) | 2,809 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Pharmaceuticals — continued |
| |||||||
| 131 | Zoetis, Inc. | 4,230 | ||||||
|
| |||||||
| 9,846 | ||||||||
|
| |||||||
Total Health Care | 43,563 | |||||||
|
| |||||||
Industrials — 15.3% | ||||||||
Aerospace & Defense — 2.3% |
| |||||||
| 18 | B/E Aerospace, Inc. (a) | 1,691 | ||||||
| 36 | Hexcel Corp. (a) | 1,458 | ||||||
| 12 | Precision Castparts Corp. | 3,032 | ||||||
| 60 | Triumph Group, Inc. | 4,189 | ||||||
|
| |||||||
| 10,370 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
| 26 | Spirit Airlines, Inc. (a) | 1,613 | ||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
| 31 | Armstrong World Industries, Inc. (a) | 1,768 | ||||||
| 48 | Fortune Brands Home & Security, Inc. | 1,932 | ||||||
| 56 | Owens Corning | 2,183 | ||||||
|
| |||||||
| 5,883 | ||||||||
|
| |||||||
Commercial Services & Supplies — 3.2% |
| |||||||
| 123 | Copart, Inc. (a) | 4,428 | ||||||
| 78 | Iron Mountain, Inc. | 2,756 | ||||||
| 54 | Republic Services, Inc. | 2,066 | ||||||
| 9 | Rollins, Inc. | 258 | ||||||
| 18 | Stericycle, Inc. (a) | 2,093 | ||||||
| 59 | Waste Connections, Inc. | 2,854 | ||||||
|
| |||||||
| 14,455 | ||||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
| 122 | Quanta Services, Inc. (a) | 4,226 | ||||||
|
| |||||||
Electrical Equipment — 0.5% |
| |||||||
| 33 | SolarCity Corp. (a) | 2,339 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
| 133 | Harsco Corp. | 3,532 | ||||||
| 25 | PACCAR, Inc. | 1,585 | ||||||
| 30 | Timken Co. | 2,059 | ||||||
|
| |||||||
| 7,176 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
| 70 | Verisk Analytics, Inc., Class A (a) | 4,225 | ||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
| 31 | Genesee & Wyoming, Inc., Class A (a) | 3,258 | ||||||
| 13 | Kansas City Southern | 1,398 | ||||||
| 21 | Ryder System, Inc. | 1,880 | ||||||
|
| |||||||
| 6,536 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Trading Companies & Distributors — 2.7% |
| |||||||
| 83 | Fastenal Co. | 4,092 | ||||||
| 45 | MSC Industrial Direct Co., Inc., Class A | �� | 4,297 | |||||
| 15 | W.W. Grainger, Inc. | 3,820 | ||||||
|
| |||||||
| 12,209 | ||||||||
|
| |||||||
Total Industrials | 69,032 | |||||||
|
| |||||||
Information Technology — 18.9% | ||||||||
Communications Equipment — 1.5% |
| |||||||
| 15 | F5 Networks, Inc. (a) | 1,640 | ||||||
| 81 | JDS Uniphase Corp. (a) | 1,006 | ||||||
| 70 | ViaSat, Inc. (a) | 4,070 | ||||||
|
| |||||||
| 6,716 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% |
| |||||||
| 26 | Arrow Electronics, Inc. (a) | 1,597 | ||||||
| 27 | IPG Photonics Corp. (a) | 1,844 | ||||||
| 136 | National Instruments Corp. | 4,417 | ||||||
| 107 | Trimble Navigation Ltd. (a) | 3,954 | ||||||
|
| |||||||
| 11,812 | ||||||||
|
| |||||||
Internet Software & Services — 2.8% |
| |||||||
| 16 | Equinix, Inc. (a) | 3,377 | ||||||
| 23 | LinkedIn Corp., Class A (a) | 3,952 | ||||||
| 111 | Rackspace Hosting, Inc. (a) | 3,739 | ||||||
| 11 | Zillow, Inc., Class A (a) | 1,630 | ||||||
|
| |||||||
| 12,698 | ||||||||
|
| |||||||
IT Services — 3.6% |
| |||||||
| 52 | Accenture plc, (Ireland), Class A | 4,236 | ||||||
| 52 | Automatic Data Processing, Inc. | 4,147 | ||||||
| 43 | CoreLogic, Inc. (a) | 1,318 | ||||||
| 13 | International Business Machines Corp. | 2,366 | ||||||
| 105 | Paychex, Inc. | 4,356 | ||||||
|
| |||||||
| 16,423 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
| 63 | Avago Technologies Ltd., (Singapore) | 4,562 | ||||||
| 173 | SunEdison, Inc. (a) | 3,913 | ||||||
|
| |||||||
| 8,475 | ||||||||
|
| |||||||
Software — 4.8% |
| |||||||
| 65 | CommVault Systems, Inc. (a) | 3,203 | ||||||
| 18 | Concur Technologies, Inc. (a) | 1,675 | ||||||
| 77 | Fortinet, Inc. (a) | 1,936 | ||||||
| 51 | NetSuite, Inc. (a) | 4,417 | ||||||
| 46 | salesforce.com, Inc. (a) | 2,643 | ||||||
| 43 | SolarWinds, Inc. (a) | 1,648 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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, 2014 (continued)
(Amounts in thousands, except number of future contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short Positions — continued |
| ||||||
| Common Stocks — continued |
| ||||||
Software — continued |
| |||||||
| 31 | Ultimate Software Group, Inc. (The) (a) | 4,232 | ||||||
| 590 | Zynga, Inc., Class A (a) | 1,893 | ||||||
|
| |||||||
| 21,647 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
| 126 | NCR Corp. (a) | 4,413 | ||||||
| 27 | Stratasys Ltd. (a) | 3,078 | ||||||
|
| |||||||
| 7,491 | ||||||||
|
| |||||||
Total Information Technology | 85,262 | |||||||
|
| |||||||
Materials — 4.6% | ||||||||
Chemicals — 2.5% |
| |||||||
| 19 | Air Products & Chemicals, Inc. | 2,471 | ||||||
| 56 | FMC Corp. | 3,958 | ||||||
| 36 | Praxair, Inc. | 4,755 | ||||||
|
| |||||||
| 11,184 | ||||||||
|
| |||||||
Construction Materials — 0.4% |
| |||||||
| 17 | Eagle Materials, Inc. | 1,605 | ||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
| 50 | MeadWestvaco Corp. | 2,203 | ||||||
|
| |||||||
Metals & Mining — 1.2% |
| |||||||
| 6 | Allegheny Technologies, Inc. | 253 | ||||||
| 47 | Carpenter Technology Corp. | 3,002 | ||||||
| 44 | Newmont Mining Corp. | 1,124 | ||||||
| 4 | Nucor Corp. | 197 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — continued |
| |||||||
| 34 | Southern Copper Corp. | 1,030 | ||||||
|
| |||||||
| 5,606 | ||||||||
|
| |||||||
Total Materials | 20,598 | |||||||
|
| |||||||
Telecommunication Services — 0.3% | ||||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
| 180 | Sprint Corp. (a) | 1,532 | ||||||
|
| |||||||
Utilities — 3.3% | ||||||||
Electric Utilities — 0.7% |
| |||||||
| 46 | Southern Co. (The) | 2,091 | ||||||
| 32 | Xcel Energy, Inc. | 1,042 | ||||||
|
| |||||||
| 3,133 | ||||||||
|
| |||||||
Gas Utilities — 0.1% |
| |||||||
| 13 | ONE Gas, Inc. | 508 | ||||||
|
| |||||||
Multi-Utilities — 2.5% | ||||||||
| 49 | Dominion Resources, Inc. | 3,537 | ||||||
| 71 | Integrys Energy Group, Inc. | 5,016 | ||||||
| 74 | NiSource, Inc. | 2,905 | ||||||
|
| |||||||
| 11,458 | ||||||||
|
| |||||||
Total Utilities | 15,099 | |||||||
|
| |||||||
Total Securities Sold Short | $ | 389,032 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Short Futures Outstanding | ||||||||||||||||
| (19 | ) | E-mini S&P 500 | 09/19/14 | $ | (1,855 | ) | $ | (4 | ) | |||||||
| (26 | ) | S&P Mid Cap 400 | 09/19/14 | (3,716 | ) | (17 | ) | |||||||||
|
| |||||||||||||||
| $ | (21 | ) | ||||||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 92.9% |
| ||||||
Consumer Discretionary — 15.8% |
| |||||||
Distributors — 0.3% |
| |||||||
| 302 | Genuine Parts Co. | 26,498 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
| 1,314 | ClubCorp Holdings, Inc. | 24,370 | ||||||
| 2,027 | La Quinta Holdings, Inc. (a) | 38,797 | ||||||
| 416 | Marriott International, Inc., Class A | 26,665 | ||||||
|
| |||||||
| 89,832 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
| 1,794 | Brookfield Residential Properties, Inc., (Canada) (a) | 37,230 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.3% |
| |||||||
| 1,246 | Expedia, Inc. | 98,127 | ||||||
|
| |||||||
Media — 4.7% |
| |||||||
| 676 | CBS Corp. (Non-Voting), Class B | 41,982 | ||||||
| 429 | DIRECTV (a) | 36,435 | ||||||
| 1,583 | DISH Network Corp., Class A (a) | 103,009 | ||||||
| 1,107 | Entercom Communications Corp., Class A (a) | 11,876 | ||||||
| 1,293 | Gannett Co., Inc. | 40,487 | ||||||
| 873 | Omnicom Group, Inc. | 62,175 | ||||||
| 1,110 | Time, Inc. (a) | 26,874 | ||||||
| 1,126 | Twenty-First Century Fox, Inc., Class B | 38,526 | ||||||
|
| |||||||
| 361,364 | ||||||||
|
| |||||||
Multiline Retail — 1.5% |
| |||||||
| 2,162 | Kohl’s Corp. | 113,873 | ||||||
|
| |||||||
Specialty Retail — 5.3% |
| |||||||
| 126 | AutoZone, Inc. (a) | 67,630 | ||||||
| 1,487 | Bed Bath & Beyond, Inc. (a) | 85,301 | ||||||
| 2,642 | Best Buy Co., Inc. | 81,935 | ||||||
| 1,867 | Gap, Inc. (The) | 77,628 | ||||||
| 891 | Home Depot, Inc. (The) | 72,104 | ||||||
| 443 | PetSmart, Inc. | 26,482 | ||||||
|
| |||||||
| 411,080 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
| 547 | Coach, Inc. | 18,712 | ||||||
| 581 | Hanesbrands, Inc. | 57,204 | ||||||
|
| |||||||
| 75,916 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,213,920 | |||||||
|
| |||||||
Consumer Staples — 4.4% |
| |||||||
Beverages — 0.9% |
| |||||||
| 1,144 | Dr. Pepper Snapple Group, Inc. | 66,996 | ||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
| 504 | CVS Caremark Corp. | 37,949 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — continued |
| |||||||
| 952 | Kroger Co. (The) | 47,052 | ||||||
|
| |||||||
| 85,001 | ||||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 838 | Post Holdings, Inc. (a) | 42,663 | ||||||
| 506 | TreeHouse Foods, Inc. (a) | 40,554 | ||||||
|
| |||||||
| 83,217 | ||||||||
|
| |||||||
Household Products — 1.3% |
| |||||||
| 1,298 | Procter & Gamble Co. (The) | 101,986 | ||||||
|
| |||||||
Total Consumer Staples | 337,200 | |||||||
|
| |||||||
Energy — 9.3% |
| |||||||
Oil, Gas & Consumable Fuels — 9.3% |
| |||||||
| 1,165 | CONSOL Energy, Inc. | 53,676 | ||||||
| 1,264 | Devon Energy Corp. | 100,362 | ||||||
| 2,929 | Exxon Mobil Corp. | 294,841 | ||||||
| 2,261 | Kinder Morgan, Inc. | 81,995 | ||||||
| 1,283 | PBF Energy, Inc., Class A | 34,198 | ||||||
| 917 | Phillips 66 | 73,786 | ||||||
| 1,191 | Southwestern Energy Co. (a) | 54,165 | ||||||
| 316 | Teekay Corp., (Bermuda) | 19,665 | ||||||
|
| |||||||
Total Energy | 712,688 | |||||||
|
| |||||||
Financials — 31.6% |
| |||||||
Banks — 11.5% |
| |||||||
| 7,713 | Bank of America Corp. | 118,555 | ||||||
| 2,037 | Citigroup, Inc. | 95,926 | ||||||
| 2,270 | Fifth Third Bancorp | 48,463 | ||||||
| 593 | First Republic Bank | 32,608 | ||||||
| 429 | M&T Bank Corp. | 53,199 | ||||||
| 1,154 | National Bank Holdings Corp., Class A | 23,006 | ||||||
| 828 | PNC Financial Services Group, Inc. (The) | 73,742 | ||||||
| 1,903 | SunTrust Banks, Inc. | 76,226 | ||||||
| 2,179 | U.S. Bancorp | 94,407 | ||||||
| 5,082 | Wells Fargo & Co. | 267,120 | ||||||
|
| |||||||
| 883,252 | ||||||||
|
| |||||||
Capital Markets — 3.5% |
| |||||||
| 413 | Ameriprise Financial, Inc. | 49,500 | ||||||
| 1,729 | Legg Mason, Inc. | 88,700 | ||||||
| 786 | Northern Trust Corp. | 50,451 | ||||||
| 979 | T. Rowe Price Group, Inc. | 82,657 | ||||||
|
| |||||||
| 271,308 | ||||||||
|
| |||||||
Consumer Finance — 2.8% |
| |||||||
| 3,087 | Ally Financial, Inc. (a) | 73,820 | ||||||
| 1,699 | Capital One Financial Corp. | 140,321 | ||||||
|
| |||||||
| 214,141 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — 9.4% |
| |||||||
| 79 | Alleghany Corp. (a) | 34,718 | ||||||
| 617 | Allied World Assurance Co. Holdings AG, (Switzerland) | 23,451 | ||||||
| 2,063 | American International Group, Inc. | 112,609 | ||||||
| 2,018 | Hartford Financial Services Group, Inc. (The) | 72,275 | ||||||
| 3,602 | Loews Corp. | 158,513 | ||||||
| 1,033 | Marsh & McLennan Cos., Inc. | 53,514 | ||||||
| 1,253 | Old Republic International Corp. | 20,731 | ||||||
| 1,035 | Prudential Financial, Inc. | 91,904 | ||||||
| 780 | Travelers Cos., Inc. (The) | 73,328 | ||||||
| 1,471 | Unum Group | 51,132 | ||||||
| 588 | W.R. Berkley Corp. | 27,240 | ||||||
|
| |||||||
| 719,415 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 3.5% |
| |||||||
| 1,303 | American Homes 4 Rent, Class A | 23,134 | ||||||
| 1,237 | American Residential Properties, Inc. (a) | 23,185 | ||||||
| 1,517 | Brixmor Property Group, Inc. | 34,820 | ||||||
| 350 | EastGroup Properties, Inc. | 22,506 | ||||||
| 1,632 | Excel Trust, Inc. | 21,757 | ||||||
| 1,701 | Kimco Realty Corp. | 39,080 | ||||||
| 1,219 | Rayonier, Inc. | 43,343 | ||||||
| 1,882 | Weyerhaeuser Co. | 62,262 | ||||||
|
| |||||||
| 270,087 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
| 957 | Brookfield Asset Management, Inc., (Canada), Class A | 42,105 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
| 3,146 | Hudson City Bancorp, Inc. | 30,923 | ||||||
|
| |||||||
Total Financials | 2,431,231 | |||||||
|
| |||||||
Health Care — 8.8% |
| |||||||
Health Care Providers & Services — 2.2% |
| |||||||
| 753 | Aetna, Inc. | 61,012 | ||||||
| 465 | National Healthcare Corp. | 26,190 | ||||||
| 959 | UnitedHealth Group, Inc. | 78,382 | ||||||
|
| |||||||
| 165,584 | ||||||||
|
| |||||||
Pharmaceuticals — 6.6% |
| |||||||
| 1,725 | Johnson & Johnson | 180,470 | ||||||
| 2,393 | Merck & Co., Inc. | 138,406 | ||||||
| 5,373 | Pfizer, Inc. | 159,462 | ||||||
| 265 | Valeant Pharmaceuticals International, Inc. (a) | 33,371 | ||||||
|
| |||||||
| 511,709 | ||||||||
|
| |||||||
Total Health Care | 677,293 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 6.6% |
| |||||||
Aerospace & Defense — 1.5% |
| |||||||
| 589 | Honeywell International, Inc. | 54,766 | ||||||
| 513 | United Technologies Corp. | 59,180 | ||||||
|
| |||||||
| 113,946 | ||||||||
|
| |||||||
Airlines — 1.0% |
| |||||||
| 1,971 | Delta Air Lines, Inc. | 76,309 | ||||||
|
| |||||||
Industrial Conglomerates — 0.9% |
| |||||||
| 821 | Carlisle Cos., Inc. | 71,118 | ||||||
|
| |||||||
Machinery — 1.8% |
| |||||||
| 869 | Dover Corp. | 79,063 | ||||||
| 681 | Illinois Tool Works, Inc. | 59,663 | ||||||
|
| |||||||
| 138,726 | ||||||||
|
| |||||||
Professional Services — 1.0% |
| |||||||
| 1,011 | Equifax, Inc. | 73,316 | ||||||
|
| |||||||
Road & Rail — 0.4% |
| |||||||
| 331 | Union Pacific Corp. | 32,977 | ||||||
|
| |||||||
Total Industrials | 506,392 | |||||||
|
| |||||||
Information Technology — 6.4% |
| |||||||
Communications Equipment — 1.9% |
| |||||||
| 3,684 | Cisco Systems, Inc. | 91,555 | ||||||
| 730 | QUALCOMM, Inc. | 57,804 | ||||||
|
| |||||||
| 149,359 | ||||||||
|
| |||||||
IT Services — 1.1% |
| |||||||
| 209 | International Business Machines Corp. | 37,958 | ||||||
| 2,531 | Western Union Co. (The) | 43,879 | ||||||
|
| |||||||
| 81,837 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
| 808 | Analog Devices, Inc. | 43,688 | ||||||
| 770 | KLA-Tencor Corp. | 55,955 | ||||||
| 933 | Texas Instruments, Inc. | 44,569 | ||||||
|
| |||||||
| 144,212 | ||||||||
|
| |||||||
Software — 0.7% |
| |||||||
| 1,273 | Microsoft Corp. | 53,096 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
| 1,860 | Hewlett-Packard Co. | 62,635 | ||||||
|
| |||||||
Total Information Technology | 491,139 | |||||||
|
| |||||||
Materials — 3.1% |
| |||||||
Chemicals — 0.8% |
| |||||||
| 586 | Albemarle Corp. | 41,928 | ||||||
| 406 | Rayonier Advanced Materials, Inc. (a) | 15,748 | ||||||
|
| |||||||
| 57,676 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Construction Materials — 0.7% |
| |||||||
| 432 | Martin Marietta Materials, Inc. | 57,106 | ||||||
|
| |||||||
Containers & Packaging — 1.5% |
| |||||||
| 928 | Ball Corp. | 58,192 | ||||||
| 536 | Rock-Tenn Co., Class A | 56,554 | ||||||
|
| |||||||
| 114,746 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
| 333 | KapStone Paper & Packaging Corp. (a) | 11,019 | ||||||
|
| |||||||
Total Materials | 240,547 | |||||||
|
| |||||||
Telecommunication Services — 1.2% |
| |||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
| 1,919 | Verizon Communications, Inc. | 93,888 | ||||||
|
| |||||||
Utilities — 5.7% |
| |||||||
Electric Utilities — 4.4% |
| |||||||
| 1,002 | American Electric Power Co., Inc. | 55,859 | ||||||
| 862 | Duke Energy Corp. | 63,944 | ||||||
| 871 | Edison International | 50,628 | ||||||
| 733 | NextEra Energy, Inc. | 75,118 | ||||||
| 800 | Northeast Utilities | 37,816 | ||||||
| 1,797 | Xcel Energy, Inc. | 57,907 | ||||||
|
| |||||||
| 341,272 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 1.3% |
| |||||||
| 511 | NiSource, Inc. | 20,095 | ||||||
| 731 | Sempra Energy | 76,564 | ||||||
|
| |||||||
| 96,659 | ||||||||
|
| |||||||
Total Utilities | 437,931 | |||||||
|
| |||||||
Total Common Stocks | 7,142,229 | |||||||
|
| |||||||
| Short-Term Investment — 7.0% |
| ||||||
Investment Company — 7.0% |
| |||||||
| 542,174 | JPMorgan Prime Money Market Fund, | 542,174 | ||||||
|
| |||||||
Total Investments — 99.9% | 7,684,403 | |||||||
Other Assets in Excess of | 9,041 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 7,693,444 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 | ||||||
Table of Contents
J.P. Morgan Mid Cap/Multi-Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
| (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. | |||||
| (g) | — Amount rounds to less than 0.1%. | |||||
| (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, 2014 | |||||
| (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.
| 40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014
(Amounts in thousands, except per share amounts)
Growth | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments in non-affiliates, at value | $ | 3,526,387 | $ | 2,663,402 | $ | 2,103,411 | ||||||
Investments in affiliates, at value | 75,074 | 110,730 | 41,925 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 3,601,461 | 2,774,132 | 2,145,336 | |||||||||
Cash | 7 | — | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 18,720 | 39,844 | 62,083 | |||||||||
Fund shares sold | 8,063 | 5,093 | 3,122 | |||||||||
Dividends from non-affiliates | 649 | 1,780 | 505 | |||||||||
Dividends from affiliates | — | (a) | 1 | 1 | ||||||||
Other assets | 90 | 230 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 3,628,990 | 2,821,080 | 2,211,047 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Distributions | — | 299 | — | |||||||||
Investment securities purchased | 59,188 | 43,520 | 25,725 | |||||||||
Fund shares redeemed | 1,564 | 1,830 | 1,145 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 1,857 | 1,264 | 1,001 | |||||||||
Administration fees | 239 | 185 | 146 | |||||||||
Shareholder servicing fees | 375 | 250 | 355 | |||||||||
Distribution fees | 229 | 43 | 183 | |||||||||
Custodian and accounting fees | 57 | 55 | 43 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 2 | — | (a) | |||||||
Other | 274 | 462 | 645 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 63,783 | 47,910 | 29,243 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 3,565,207 | $ | 2,773,170 | $ | 2,181,804 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Growth | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 2,474,212 | $ | 1,992,251 | $ | 1,371,401 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (7,786 | ) | (535 | ) | (5,808 | ) | ||||||
Accumulated net realized gains (losses) | 129,213 | 83,834 | 178,508 | |||||||||
Net unrealized appreciation (depreciation) | 969,568 | 697,620 | 637,703 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 3,565,207 | $ | 2,773,170 | $ | 2,181,804 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 717,564 | $ | 156,016 | $ | 765,310 | ||||||
Class B | 2,417 | — | 5,243 | |||||||||
Class C | 144,229 | 20,018 | 41,047 | |||||||||
Class R2 | — | 688 | 1,852 | |||||||||
Class R5 | 1,453,864 | 91 | 27,454 | |||||||||
Class R6 | 271,958 | 823,036 | 86,150 | |||||||||
Select Class | 975,175 | 1,773,321 | 1,254,748 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 3,565,207 | $ | 2,773,170 | $ | 2,181,804 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
Class A | 50,379 | 3,474 | 27,838 | |||||||||
Class B | 186 | — | 270 | |||||||||
Class C | 11,111 | 453 | 1,758 | |||||||||
Class R2 | — | 16 | 63 | |||||||||
Class R5 | 99,363 | 2 | 900 | |||||||||
Class R6 | 18,581 | 18,229 | 2,818 | |||||||||
Select Class | 67,263 | 39,279 | 41,293 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 14.24 | $ | 44.91 | $ | 27.49 | ||||||
Class B — Offering price per share (b) | 12.97 | — | 19.40 | |||||||||
Class C — Offering price per share (b) | 12.98 | 44.21 | 23.35 | |||||||||
Class R2 — Offering and redemption price per share | — | 44.87 | 29.54 | |||||||||
Class R5 — Offering and redemption price per share | 14.63 | 45.15 | 30.52 | |||||||||
Class R6 — Offering and redemption price per share | 14.64 | 45.15 | 30.57 | |||||||||
Select Class — Offering and redemption price per share | 14.50 | 45.15 | 30.39 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 15.03 | $ | 47.40 | $ | 29.01 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 2,556,819 | $ | 1,965,782 | $ | 1,465,708 | ||||||
Cost of investments in affiliates | 75,074 | 110,730 | 41,925 | |||||||||
| (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, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
As OF JUNE 30, 2014 (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 | $ | 15,087,429 | $ | 393,683 | $ | 7,142,229 | ||||||
Investments in affiliates, at value | 617,032 | 55,130 | 542,174 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 15,704,461 | 448,813 | 7,684,403 | |||||||||
Cash | — | 166 | — | |||||||||
Deposits at broker for futures contracts | — | 110 | — | |||||||||
Deposits at broker for securities sold short | — | 392,326 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 18,764 | 29,979 | 6,240 | |||||||||
Fund shares sold | 13,595 | 8 | 25,478 | |||||||||
Dividends from non-affiliates | 16,725 | 464 | 7,462 | |||||||||
Dividends from affiliates | 5 | 1 | 5 | |||||||||
Other assets | — | — | 256 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 15,753,550 | 871,867 | 7,723,844 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Securities sold short, at value | — | 389,032 | — | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 358 | — | |||||||||
Investment securities purchased | 71,250 | 30,854 | 18,027 | |||||||||
Interest expense to non-affiliates on securities sold short | — | 48 | — | |||||||||
Fund shares redeemed | 22,457 | 28 | 5,877 | |||||||||
Variation margin on futures contracts | — | — | (a) | — | ||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 6,405 | 406 | 3,411 | |||||||||
Administration fees | 1,055 | 31 | 513 | |||||||||
Shareholder servicing fees | 1,386 | — | 937 | |||||||||
Distribution fees | 1,103 | 8 | 582 | |||||||||
Custodian and accounting fees | 277 | 27 | 99 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 1 | — | (a) | 3 | ||||||||
Other | 4,031 | 73 | 951 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 107,965 | 420,865 | 30,400 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 15,645,585 | $ | 451,002 | $ | 7,693,444 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 9,579,754 | $ | 475,837 | $ | 6,143,113 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 48,215 | (2,110 | ) | 57,743 | ||||||||
Accumulated net realized gains (losses) | 701,017 | (61,096 | ) | 163,475 | ||||||||
Net unrealized appreciation (depreciation) | 5,316,599 | 38,371 | 1,329,113 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 15,645,585 | $ | 451,002 | $ | 7,693,444 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 3,404,974 | $ | 10,301 | $ | 1,701,250 | ||||||
Class B | 10,619 | 209 | — | |||||||||
Class C | 608,283 | 8,602 | 402,880 | |||||||||
Class R2 | 71,958 | — | — | |||||||||
Institutional Class | 8,581,992 | — | 3,042,506 | |||||||||
Select Class | 2,967,759 | 431,890 | 2,546,808 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 15,645,585 | $ | 451,002 | $ | 7,693,444 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
Class A | 91,398 | 1,040 | 58,370 | |||||||||
Class B | 291 | 22 | — | |||||||||
Class C | 16,807 | 915 | 13,854 | |||||||||
Class R2 | 1,991 | — | — | |||||||||
Institutional Class | 225,918 | — | 103,787 | |||||||||
Select Class | 78,913 | 42,791 | 87,020 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 37.25 | $ | 9.91 | $ | 29.15 | ||||||
Class B — Offering price per share (b) | 36.46 | 9.39 | — | |||||||||
Class C — Offering price per share (b) | 36.19 | 9.40 | 29.08 | |||||||||
Class R2 — Offering and redemption price per share | 36.14 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 37.99 | — | 29.31 | |||||||||
Select Class — Offering and redemption price per share | 37.61 | 10.09 | 29.27 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 39.31 | $ | 10.46 | $ | 30.77 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 9,770,830 | $ | 320,559 | $ | 5,813,116 | ||||||
Cost of investments in affiliates | 617,032 | 55,130 | 542,174 | |||||||||
Proceeds from securities sold short | — | 354,300 | — | |||||||||
| (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, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2014
(Amounts in thousands)
Growth | Mid Cap Equity Fund | Mid Cap Growth Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 21,453 | $ | 18,296 | $ | 13,753 | ||||||
Dividend income from affiliates | 12 | 9 | 12 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 21,465 | 18,305 | 13,765 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 18,780 | 10,335 | 12,321 | |||||||||
Administration fees | 2,412 | 1,326 | 1,583 | |||||||||
Distribution fees: | ||||||||||||
Class A | 1,230 | 189 | 1,708 | |||||||||
Class B | 18 | — | 48 | |||||||||
Class C | 690 | 104 | 230 | |||||||||
Class R2 | — | 1 | 5 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 1,230 | 189 | 1,708 | |||||||||
Class B | 6 | — | 16 | |||||||||
Class C | 230 | 35 | 77 | |||||||||
Class R2 | — | — | (a) | 2 | ||||||||
Class R5 | 617 | — | (a) | 12 | ||||||||
Select Class | 2,569 | 3,213 | 2,717 | |||||||||
Custodian and accounting fees | 98 | 57 | 74 | |||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | |||||||
Professional fees | 77 | 62 | 59 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 26 | 13 | 18 | |||||||||
Printing and mailing costs | 186 | 245 | 193 | |||||||||
Registration and filing fees | 323 | 190 | 125 | |||||||||
Transfer agent fees | 1,314 | 2,435 | 2,006 | |||||||||
Other | 139 | 46 | 38 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 29,945 | 18,440 | 22,940 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (516 | ) | (4,171 | ) | (3,121 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 29,429 | 14,269 | 19,819 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (7,964 | ) | 4,036 | (6,054 | ) | |||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from investments in non-affiliates | 223,546 | 135,142 | 314,124 | |||||||||
|
|
|
|
|
| |||||||
Distributions of realized capital gains received from investment company affiliates | 3 | 1 | — | (a) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of investments in non-affiliates | 492,238 | 222,527 | 225,799 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 715,787 | 357,670 | 539,923 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 707,823 | $ | 361,706 | $ | 533,869 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Mid Cap Value Fund | Multi-Cap Market Neutral Fund | Value Advantage Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 240,432 | $ | 5,734 | $ | 137,761 | ||||||
Dividend income from affiliates | 80 | 11 | 66 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 240,512 | 5,745 | 137,827 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 94,246 | 4,969 | 35,774 | |||||||||
Administration fees | 12,118 | 332 | 4,593 | |||||||||
Distribution fees: | ||||||||||||
Class A | 8,194 | 31 | 3,032 | |||||||||
Class B | 92 | 2 | — | |||||||||
Class C | 4,322 | 73 | 2,208 | |||||||||
Class R2 | 328 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 8,194 | 31 | 3,032 | |||||||||
Class B | 31 | 1 | — | |||||||||
Class C | 1,441 | 24 | 736 | |||||||||
Class R2 | 164 | — | — | |||||||||
Institutional Class | 7,690 | — | 2,183 | |||||||||
Select Class | 7,193 | 938 | 4,534 | |||||||||
Custodian and accounting fees | 485 | 56 | 170 | |||||||||
Professional fees | 202 | 69 | 88 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 137 | 4 | 49 | |||||||||
Printing and mailing costs | 1,072 | 3 | 374 | |||||||||
Registration and filing fees | 521 | 54 | 264 | |||||||||
Transfer agent fees | 17,284 | 66 | 4,339 | |||||||||
Other | 360 | 19 | 88 | |||||||||
Dividend expense to non-affiliates on securities sold short | — | 4,379 | — | |||||||||
Interest expense to non-affiliates on securities sold short | — | 735 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 164,074 | 11,786 | 61,464 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (26,840 | ) | (1,668 | ) | (7,418 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 137,234 | 10,118 | 54,046 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 103,278 | (4,373 | ) | 83,781 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 1,068,473 | 73,670 | 278,242 | |||||||||
Futures | — | (1,177 | ) | — | ||||||||
Securities sold short | — | (62,756 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 1,068,473 | 9,737 | 278,242 | |||||||||
|
|
|
|
|
| |||||||
Distributions of realized capital gains received from investment company affiliates | 6 | — | (a) | 5 | ||||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 1,889,585 | 13,088 | 747,106 | |||||||||
Futures | — | (28 | ) | — | ||||||||
Securities sold short | — | (13,196 | ) | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 1,889,585 | (136 | ) | 747,106 | ||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 2,958,064 | 9,601 | 1,025,353 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 3,061,342 | $ | 5,228 | $ | 1,109,134 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Equity Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (7,964 | ) | $ | 6,260 | $ | 4,036 | $ | 5,474 | |||||||
Net realized gain (loss) | 223,546 | 56,467 | 135,142 | 64,936 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 3 | — | 1 | — | ||||||||||||
Change in net unrealized appreciation/depreciation | 492,238 | 252,716 | 222,527 | 143,890 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 707,823 | 315,443 | 361,706 | 214,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | (188 | ) | (29 | ) | (31 | ) | |||||||||
From net realized gains | (21,773 | ) | (670 | ) | (4,217 | ) | (75 | ) | ||||||||
Class B | ||||||||||||||||
From net realized gains | (123 | ) | (8 | ) | — | — | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | — | (1 | ) | |||||||||||
From net realized gains | (4,242 | ) | (106 | ) | (1,100 | ) | (15 | ) | ||||||||
Class R2 (a) | ||||||||||||||||
From net investment income | — | — | — | (c) | — | |||||||||||
Class R5 (a) | ||||||||||||||||
From net investment income | — | (2,904 | ) | — | (c) | — | ||||||||||
From net realized gains | (54,106 | ) | (1,960 | ) | — | — | ||||||||||
Class R6 (a) (b) | ||||||||||||||||
From net investment income | — | — | (913 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | — | (1,645 | ) | (3,282 | ) | (4,620 | ) | |||||||||
From net realized gains | (49,152 | ) | (2,119 | ) | (90,616 | ) | (6,960 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (129,396 | ) | (9,600 | ) | (100,157 | ) | (11,702 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 987,358 | 338,022 | 1,551,394 | (63,705 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,565,785 | 643,865 | 1,812,943 | 138,893 | ||||||||||||
Beginning of period | 1,999,422 | 1,355,557 | 960,227 | 821,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 3,565,207 | $ | 1,999,422 | $ | 2,773,170 | $ | 960,227 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (7,786 | ) | $ | (353 | ) | $ | (535 | ) | $ | (214 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Commencement of offering of class of shares effective March 14, 2014 for Mid Cap Equity Fund. |
| (b) | Commencement of offering of class of shares effective December 23, 2013 for Growth Advantage Fund. |
| (c) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (6,054 | ) | $ | 155 | $ | 103,278 | $ | 98,124 | |||||||
Net realized gain (loss) | 314,124 | 146,094 | 1,068,473 | 465,647 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | (a) | — | 6 | — | |||||||||||
Change in net unrealized appreciation/depreciation | 225,799 | 169,741 | 1,889,585 | 1,779,184 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 533,869 | 315,990 | 3,061,342 | 2,342,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (14,338 | ) | (25,622 | ) | ||||||||||
From net realized gains | (69,231 | ) | (25,563 | ) | (135,361 | ) | (19,155 | ) | ||||||||
Class B | ||||||||||||||||
From net realized gains | (943 | ) | (531 | ) | (524 | ) | (292 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (38 | ) | (2,608 | ) | ||||||||||
From net realized gains | (3,392 | ) | (1,148 | ) | (24,588 | ) | (3,426 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (201 | ) | (363 | ) | ||||||||||
From net realized gains | (58 | ) | (11 | ) | (2,784 | ) | (258 | ) | ||||||||
Class R5 | ||||||||||||||||
From net realized gains | (2,276 | ) | (664 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net realized gains | (5,408 | ) | (826 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (69,637 | ) | (64,280 | ) | ||||||||||
From net realized gains | — | — | (318,626 | ) | (34,137 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (17,743 | ) | (27,916 | ) | ||||||||||
From net realized gains | (99,863 | ) | (36,115 | ) | (112,976 | ) | (17,242 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (181,171 | ) | (64,858 | ) | (696,816 | ) | (195,299 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 251,309 | (100,151 | ) | 18,077 | 3,305,779 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 604,007 | 150,981 | 2,382,603 | 5,453,435 | ||||||||||||
Beginning of period | 1,577,797 | 1,426,816 | 13,262,982 | 7,809,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 2,181,804 | $ | 1,577,797 | $ | 15,645,585 | $ | 13,262,982 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (5,808 | ) | $ | (1,822 | ) | $ | 48,215 | $ | 48,644 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (4,373 | ) | $ | (4,302 | ) | $ | 83,781 | $ | 27,476 | ||||||
Net realized gain (loss) | 9,737 | 21,526 | 278,242 | 52,298 | ||||||||||||
Distributions of capital gains received from investment company affiliates | — | (a) | — | 5 | — | |||||||||||
Change in net unrealized appreciation/depreciation | (136 | ) | (12,985 | ) | 747,106 | 438,061 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 5,228 | 4,239 | 1,109,134 | 517,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (6,931 | ) | (4,504 | ) | ||||||||||
From net realized gains | — | — | (30,061 | ) | (1,946 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (562 | ) | (368 | ) | ||||||||||
From net realized gains | — | — | (7,282 | ) | (536 | ) | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | — | — | (19,755 | ) | (8,338 | ) | ||||||||||
From net realized gains | — | — | (54,303 | ) | (2,763 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | — | (12,951 | ) | (7,570 | ) | ||||||||||
From net realized gains | — | — | (42,336 | ) | (2,914 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | — | (174,181 | ) | (28,939 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 101,988 | (174,093 | ) | 3,061,568 | 2,075,888 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 107,216 | (169,854 | ) | 3,996,521 | 2,564,784 | |||||||||||
Beginning of period | 343,786 | 513,640 | 3,696,923 | 1,132,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 451,002 | $ | 343,786 | $ | 7,693,444 | $ | 3,696,923 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (2,110 | ) | $ | (2,483 | ) | $ | 57,743 | $ | 14,270 | ||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Growth Advantage Fund | Mid Cap Equity Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 463,212 | $ | 118,895 | $ | 92,281 | $ | 17,130 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 42,694 | — | ||||||||||||
Distributions reinvested | 21,355 | 834 | 4,242 | 106 | ||||||||||||
Cost of shares redeemed | (135,058 | ) | (80,737 | ) | (16,208 | ) | (5,274 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 349,509 | $ | 38,992 | $ | 123,009 | $ | 11,962 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 342 | $ | 106 | $ | — | $ | — | ||||||||
Distributions reinvested | 118 | 7 | — | — | ||||||||||||
Cost of shares redeemed | (599 | ) | (752 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (139 | ) | $ | (639 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 101,473 | $ | 15,313 | $ | 11,105 | $ | 4,723 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 1,648 | — | ||||||||||||
Distributions reinvested | 3,500 | 83 | 1,100 | 16 | ||||||||||||
Cost of shares redeemed | (18,573 | ) | (6,338 | ) | (1,925 | ) | (349 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 86,400 | $ | 9,058 | $ | 11,928 | $ | 4,390 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (b) | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 51 | $ | — | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 632 | — | ||||||||||||
Distributions reinvested | — | — | — | (a) | — | |||||||||||
Cost of shares redeemed | — | — | (28 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 655 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Proceeds from shares issued | $ | 540,555 | $ | 327,999 | $ | 1 | $ | — | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 87 | — | ||||||||||||
Distributions reinvested | 54,106 | 4,864 | — | (a) | — | |||||||||||
Cost of shares redeemed | (225,926 | ) | (97,306 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 368,735 | $ | 235,557 | $ | 88 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) (c) | ||||||||||||||||
Proceeds from shares issued | $ | 276,436 | $ | — | $ | 108,850 | $ | — | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 676,262 | — | ||||||||||||
Distributions reinvested | — | — | 906 | — | ||||||||||||
Cost of shares redeemed | (11,268 | ) | — | (751 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 265,168 | $ | — | $ | 785,267 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 429,743 | $ | 347,648 | $ | 490,477 | $ | 425,901 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 390,167 | — | ||||||||||||
Distributions reinvested | 20,345 | 264 | 82,318 | 10,102 | ||||||||||||
Cost of shares redeemed | (532,403 | ) | (292,858 | ) | (332,515 | ) | (516,060 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (82,315 | ) | $ | 55,054 | $ | 630,447 | $ | (80,057 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 987,358 | $ | 338,022 | $ | 1,551,394 | $ | (63,705 | ) | |||||||
|
|
|
|
|
| �� |
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Growth Advantage Fund | Mid Cap Equity Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 34,641 | 11,374 | 2,197 | 475 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 995 | — | ||||||||||||
Reinvested | 1,645 | 85 | 107 | 3 | ||||||||||||
Redeemed | (10,120 | ) | (7,790 | ) | (381 | ) | (147 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 26,166 | 3,669 | 2,918 | 331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 28 | 10 | — | — | ||||||||||||
Reinvested | 10 | 1 | — | — | ||||||||||||
Redeemed | (50 | ) | (79 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (12 | ) | (68 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 8,282 | 1,585 | 269 | 132 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 39 | — | ||||||||||||
Reinvested | 295 | 9 | 28 | 1 | ||||||||||||
Redeemed | (1,524 | ) | (669 | ) | (46 | ) | (10 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 7,053 | 925 | 290 | 123 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 (b) | ||||||||||||||||
Issued | — | — | 2 | — | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 15 | — | ||||||||||||
Reinvested | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | (1 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 16 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 (b) | ||||||||||||||||
Issued | 39,731 | 32,409 | — | (a) | — | |||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 2 | — | ||||||||||||
Reinvested | 4,065 | 481 | — | (a) | — | |||||||||||
Redeemed | (15,945 | ) | (9,664 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 27,851 | 23,226 | 2 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) (c) | ||||||||||||||||
Issued | 19,372 | — | 2,551 | — | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 15,676 | — | ||||||||||||
Reinvested | — | — | 20 | — | ||||||||||||
Redeemed | (791 | ) | — | (18 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 18,581 | — | 18,229 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 31,913 | 31,902 | 11,736 | 12,148 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 9,044 | — | ||||||||||||
Reinvested | 1,541 | 26 | 2,060 | 297 | ||||||||||||
Redeemed | (38,838 | ) | (28,131 | ) | (7,967 | ) | (14,229 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (5,384 | ) | 3,797 | 14,873 | (1,784 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
| (b) | Commencement of offering of class of shares effective March 14, 2014 for Mid Cap Equity Fund. |
| (c) | Commencement of offering of class of shares effective December 23, 2013 for Growth Advantage Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 117,470 | $ | 48,342 | $ | 455,863 | $ | 1,210,890 | ||||||||
Distributions reinvested | 65,053 | 23,844 | 139,350 | 42,247 | ||||||||||||
Cost of shares redeemed | (127,370 | ) | (115,922 | ) | (880,766 | ) | (610,574 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 55,153 | $ | (43,736 | ) | $ | (285,553 | ) | $ | 642,563 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 60 | $ | 163 | $ | 98 | $ | 334 | ||||||||
Distributions reinvested | 905 | 512 | 502 | 267 | ||||||||||||
Cost of shares redeemed | (3,553 | ) | (4,906 | ) | (7,405 | ) | (49,930 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (2,588 | ) | $ | (4,231 | ) | $ | (6,805 | ) | $ | (49,329 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 14,903 | $ | 2,471 | $ | 27,504 | $ | 133,195 | ||||||||
Distributions reinvested | 2,860 | 948 | 19,472 | 4,745 | ||||||||||||
Cost of shares redeemed | (5,376 | ) | (5,306 | ) | (66,037 | ) | (66,664 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 12,387 | $ | (1,887 | ) | $ | (19,061 | ) | $ | 71,276 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 1,589 | $ | 122 | $ | 21,879 | $ | 45,141 | ||||||||
Distributions reinvested | 58 | 11 | 2,790 | 576 | ||||||||||||
Cost of shares redeemed | (276 | ) | (90 | ) | (20,179 | ) | (10,908 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | 1,371 | $ | 43 | $ | 4,490 | $ | 34,809 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 11,177 | $ | 4,842 | $ | — | $ | — | ||||||||
Distributions reinvested | 2,276 | 664 | — | — | ||||||||||||
Cost of shares redeemed | (8,354 | ) | (5,382 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | 5,099 | $ | 124 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 33,802 | $ | 32,440 | $ | — | $ | — | ||||||||
Distributions reinvested | 4,757 | 826 | — | — | ||||||||||||
Cost of shares redeemed | (12,254 | ) | (4,753 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 26,305 | $ | 28,513 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,953,853 | $ | 2,982,640 | ||||||||
Distributions reinvested | — | — | 315,542 | 79,639 | ||||||||||||
Cost of shares redeemed | — | — | (1,555,034 | ) | (1,002,437 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 714,361 | $ | 2,059,842 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 235,397 | $ | 131,018 | $ | 551,560 | $ | 1,124,563 | ||||||||
Distributions reinvested | 84,914 | 30,576 | 120,569 | 34,904 | ||||||||||||
Cost of shares redeemed | (166,729 | ) | (240,571 | ) | (1,061,484 | ) | (612,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 153,582 | $ | (78,977 | ) | $ | (389,355 | ) | $ | 546,618 | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 251,309 | $ | (100,151 | ) | $ | 18,077 | $ | 3,305,779 | |||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Mid Cap Growth Fund | Mid Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,546 | 2,246 | 13,275 | 42,201 | ||||||||||||
Reinvested | 2,708 | 1,214 | 4,172 | 1,526 | ||||||||||||
Redeemed | (4,940 | ) | (5,508 | ) | (25,729 | ) | (21,054 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,314 | (2,048 | ) | (8,282 | ) | 22,673 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 3 | 11 | 4 | 12 | ||||||||||||
Reinvested | 53 | 35 | 15 | 10 | ||||||||||||
Redeemed | (193 | ) | (313 | ) | (223 | ) | (1,796 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (137 | ) | (267 | ) | (204 | ) | (1,774 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 673 | 134 | 830 | 4,806 | ||||||||||||
Reinvested | 140 | 55 | 602 | 176 | ||||||||||||
Redeemed | (244 | ) | (292 | ) | (1,968 | ) | (2,386 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 569 | (103 | ) | (536 | ) | 2,596 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 58 | 5 | 654 | 1,617 | ||||||||||||
Reinvested | 2 | 1 | 86 | 22 | ||||||||||||
Redeemed | (10 | ) | (4 | ) | (599 | ) | (378 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 50 | 2 | 141 | 1,261 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 397 | 207 | — | — | �� | |||||||||||
Reinvested | 86 | 31 | — | — | ||||||||||||
Redeemed | (293 | ) | (229 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 190 | 9 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 1,187 | 1,389 | — | — | ||||||||||||
Reinvested | 179 | 39 | — | — | ||||||||||||
Redeemed | (432 | ) | (204 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 934 | 1,224 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 55,438 | 101,790 | ||||||||||||
Reinvested | — | — | 9,240 | 2,827 | ||||||||||||
Redeemed | — | — | (44,220 | ) | (34,195 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 20,458 | 70,422 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 8,322 | 5,687 | 15,917 | 38,813 | ||||||||||||
Reinvested | 3,204 | 1,429 | 3,571 | 1,250 | ||||||||||||
Redeemed | (5,903 | ) | (10,555 | ) | (30,426 | ) | (20,799 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 5,623 | (3,439 | ) | (10,938 | ) | 19,264 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 2,563 | $ | 5,478 | $ | 931,606 | $ | 586,395 | ||||||||
Distributions reinvested | — | — | 34,685 | 6,154 | ||||||||||||
Cost of shares redeemed | (6,487 | ) | (11,203 | ) | (255,314 | ) | (121,764 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (3,924 | ) | $ | (5,725 | ) | $ | 710,977 | $ | 470,785 | ||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 3 | $ | 3 | $ | — | $ | — | ||||||||
Cost of shares redeemed | (325 | ) | (870 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (322 | ) | $ | (867 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 505 | $ | 751 | $ | 164,051 | $ | 82,479 | ||||||||
Distributions reinvested | — | — | 6,053 | 752 | ||||||||||||
Cost of shares redeemed | (3,141 | ) | (5,233 | ) | (28,716 | ) | (20,667 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | (2,636 | ) | $ | (4,482 | ) | $ | 141,388 | $ | 62,564 | ||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,480,427 | $ | 953,269 | ||||||||
Distributions reinvested | — | — | 69,075 | 10,007 | ||||||||||||
Cost of shares redeemed | — | — | (330,856 | ) | (69,891 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | — | $ | — | $ | 1,218,646 | $ | 893,385 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 114,928 | $ | 29,513 | $ | 1,276,857 | $ | 759,414 | ||||||||
Distributions reinvested | — | — | 49,543 | 7,729 | ||||||||||||
Cost of shares redeemed | (6,058 | ) | (192,532 | ) | (335,843 | ) | (117,989 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 108,870 | $ | (163,019 | ) | $ | 990,557 | $ | 649,154 | |||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 101,988 | $ | (174,093 | ) | $ | 3,061,568 | $ | 2,075,888 | |||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Multi-Cap Market Neutral Fund | Value Advantage Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 262 | 567 | 34,698 | 26,590 | ||||||||||||
Reinvested | — | — | 1,320 | 287 | ||||||||||||
Redeemed | (663 | ) | (1,165 | ) | (9,483 | ) | (5,402 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (401 | ) | (598 | ) | 26,535 | 21,475 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 1 | — | (a) | — | — | |||||||||||
Redeemed | (36 | ) | (94 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (35 | ) | (94 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 54 | 81 | 6,062 | 3,602 | ||||||||||||
Reinvested | — | — | 232 | 35 | ||||||||||||
Redeemed | (338 | ) | (568 | ) | (1,062 | ) | (938 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (284 | ) | (487 | ) | 5,232 | 2,699 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | — | — | 54,588 | 42,258 | ||||||||||||
Reinvested | — | — | 2,610 | 466 | ||||||||||||
Redeemed | — | — | (12,230 | ) | (3,137 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | — | — | 44,968 | 39,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 11,408 | 3,039 | 47,271 | 34,123 | ||||||||||||
Reinvested | — | — | 1,877 | 360 | ||||||||||||
Redeemed | (607 | ) | (19,620 | ) | (12,507 | ) | (5,249 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 10,801 | (16,581 | ) | 36,641 | 29,234 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 (shares or dollars). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 57 | ||||||
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 | ||||||||||||||||||||||
Growth Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 11.43 | $ | (0.07 | )(f) | $ | 3.52 | $ | 3.45 | $ | — | $ | (0.64 | ) | $ | (0.64 | ) | |||||||||||
Year Ended June 30, 2013 | 9.49 | 0.01 | (f)(g) | 1.97 | 1.98 | (0.01 | ) | (0.03 | ) | (0.04 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.28 | (0.03 | )(f)(h) | 0.24 | 0.21 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 6.76 | (0.04 | )(f) | 2.56 | 2.52 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 5.88 | (0.03 | )(f) | 0.91 | 0.88 | — | — | — | ||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 10.50 | (0.12 | )(f) | 3.23 | 3.11 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 8.76 | (0.04 | )(f)(g) | 1.81 | 1.77 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(f)(h) | 0.22 | 0.15 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 6.31 | (0.07 | )(f) | 2.37 | 2.30 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 5.51 | (0.06 | )(f) | 0.86 | 0.80 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 10.51 | (0.12 | )(f) | 3.23 | 3.11 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 8.77 | (0.04 | )(f)(g) | 1.81 | 1.77 | — | (0.03 | ) | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 8.61 | (0.07 | )(f)(h) | 0.23 | 0.16 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 6.31 | (0.08 | )(f) | 2.38 | 2.30 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 5.52 | (0.06 | )(f) | 0.85 | 0.79 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.68 | (0.02 | )(f) | 3.61 | 3.59 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 9.69 | 0.06 | (f)(g) | 2.01 | 2.07 | (0.05 | ) | (0.03 | ) | (0.08 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.44 | 0.01 | (f)(h) | 0.24 | 0.25 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 6.86 | — | (f)(i) | 2.58 | 2.58 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 5.93 | — | (f)(i) | 0.93 | 0.93 | — | — | — | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
December 23, 2013(j) through June 30, 2014 | 13.86 | (0.01 | )(f) | 0.79 | 0.78 | — | — | — | ||||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.60 | (0.04 | )(f) | 3.58 | 3.54 | — | (0.64 | ) | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 9.63 | 0.04 | (f)(g) | 1.98 | 2.02 | (0.02 | ) | (0.03 | ) | (0.05 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.39 | (0.02 | )(f)(h) | 0.26 | 0.24 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 6.83 | (0.02 | )(f) | 2.58 | 2.56 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2010 | 5.93 | (0.01 | )(f) | 0.91 | 0.90 | — | — | — | ||||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.02), $(0.06), $(0.06), $0.03 and $0.01 for Class A, Class B, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.17)%, (0.66)%, (0.66)%, 0.27% and 0.09% for Class A, Class B, Class C, Class R5 and Select Class Shares, respectively. |
| (h) | 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. |
| (i) | Amount rounds to less than $0.01. |
| (j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 14.24 | 30.69 | % | $ | 717,564 | 1.24 | % | (0.51 | )% | 1.31 | % | 62 | % | |||||||||||||
| 11.43 | 20.95 | 276,670 | 1.24 | 0.11 | (g) | 1.28 | 76 | |||||||||||||||||||
| 9.49 | 2.26 | 194,911 | 1.25 | (0.37 | )(h) | 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 | |||||||||||||||||||
| 12.97 | 30.15 | 2,417 | 1.74 | (0.99 | ) | 1.81 | 62 | |||||||||||||||||||
| 10.50 | 20.29 | 2,081 | 1.74 | (0.38 | )(g) | 1.78 | 76 | |||||||||||||||||||
| 8.76 | 1.74 | 2,327 | 1.75 | (0.89 | )(h) | 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 | |||||||||||||||||||
| 12.98 | 30.12 | 144,229 | 1.74 | (1.01 | ) | 1.81 | 62 | |||||||||||||||||||
| 10.51 | 20.27 | 42,655 | 1.74 | (0.38 | )(g) | 1.78 | 76 | |||||||||||||||||||
| 8.77 | 1.86 | 27,469 | 1.75 | (0.84 | )(h) | 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 | |||||||||||||||||||
| 14.63 | 31.25 | 1,453,864 | 0.85 | (0.11 | ) | 0.86 | 62 | |||||||||||||||||||
| 11.68 | 21.49 | 835,233 | 0.83 | 0.55 | (g) | 0.84 | 76 | |||||||||||||||||||
| 9.69 | 2.65 | 468,064 | 0.85 | 0.07 | (h) | 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 | ||||||||||||||||||||
| 14.64 | 5.63 | 271,958 | 0.80 | (0.15 | ) | 0.82 | 62 | |||||||||||||||||||
| 14.50 | 31.03 | 975,175 | 1.05 | (0.30 | ) | 1.06 | 62 | |||||||||||||||||||
| 11.60 | 21.14 | 842,783 | 1.03 | 0.37 | (g) | 1.03 | 76 | |||||||||||||||||||
| 9.63 | 2.56 | 662,786 | 1.05 | (0.18 | )(h) | 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 59 | ||||||
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, 2014 | $ | 38.10 | $ | (0.04 | )(f) | $ | 10.25 | $ | 10.21 | $ | (0.02 | ) | $ | (3.38 | ) | $ | (3.40 | ) | ||||||||||
Year Ended June 30, 2013 | 30.97 | 0.10 | (f)(g) | 7.36 | 7.46 | (0.07 | ) | (0.26 | ) | (0.33 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.29 | 0.10 | (f)(h) | (0.34 | ) | (0.24 | ) | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.95 | 0.04 | (f) | 8.36 | 8.40 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
November 2, 2009(i) through June 30, 2010 | 21.55 | 0.05 | 1.41 | 1.46 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 37.71 | (0.24 | )(f) | 10.12 | 9.88 | — | (3.38 | ) | (3.38 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 30.75 | (0.07 | )(f)(g) | 7.29 | 7.22 | — | (j) | (0.26 | ) | (0.26 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.16 | (0.05 | )(f)(h) | (0.35 | ) | (0.40 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.93 | (0.12 | )(f) | 8.37 | 8.25 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
November 2, 2009(i) through June 30, 2010 | 21.55 | (0.03 | ) | 1.41 | 1.38 | — | (j) | — | — | (j) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
March 14, 2014(i) through June 30, 2014 | 42.92 | (0.05 | )(f) | 2.01 | 1.96 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
March 14, 2014(i) through June 30, 2014 | 43.14 | 0.04 | (f) | 2.02 | 2.06 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
March 14, 2014(i) through June 30, 2014 | 43.14 | 0.04 | (f) | 2.02 | 2.06 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 38.22 | 0.11 | (f) | 10.30 | 10.41 | (0.10 | ) | (3.38 | ) | (3.48 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 31.05 | 0.20 | (f)(g) | 7.40 | 7.60 | (0.17 | ) | (0.26 | ) | (0.43 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 31.36 | 0.19 | (f)(h) | (0.33 | ) | (0.14 | ) | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 22.97 | 0.14 | (f) | 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 | ) | |||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.03, $(0.14) and $0.14 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.09%, (0.39)% and 0.39% for Class A, Class C and Select Class Shares, respectively. |
| (h) | 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. |
| (i) | Commencement of offering of class of shares. |
| (j) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 44.91 | 27.96 | % | $ | 156,016 | 1.24 | % | (0.08 | )% | 1.41 | % | 47 | % | |||||||||||||
| 38.10 | 24.23 | 21,171 | 1.24 | 0.27 | (g) | 1.49 | 67 | |||||||||||||||||||
| 30.97 | (0.76 | ) | 6,965 | 1.24 | 0.34 | (h) | 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 | ||||||||||||||||||||
| 44.21 | 27.34 | 20,018 | 1.74 | (0.57 | ) | 1.93 | 47 | |||||||||||||||||||
| 37.71 | 23.60 | 6,136 | 1.74 | (0.21 | )(g) | 2.00 | 67 | |||||||||||||||||||
| 30.75 | (1.29 | ) | 1,244 | 1.75 | (0.18 | )(h) | 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 | |||||||||||||||||||
| 44.87 | 4.56 | 688 | 1.47 | (0.41 | ) | 1.60 | 47 | |||||||||||||||||||
| 45.15 | 4.77 | 91 | 0.78 | 0.27 | 0.91 | 47 | ||||||||||||||||||||
| 45.15 | 4.78 | 823,036 | 0.73 | 0.34 | 0.86 | 47 | ||||||||||||||||||||
| 45.15 | 28.45 | 1,773,321 | 0.89 | 0.27 | 1.18 | 47 | ||||||||||||||||||||
| 38.22 | 24.64 | 932,920 | 0.89 | 0.57 | (g) | 1.23 | 67 | |||||||||||||||||||
| 31.05 | (0.42 | ) | 813,125 | 0.89 | 0.64 | (h) | 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-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 realized gain | ||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 22.99 | $ | (0.13 | )(f)(g) | $ | 7.42 | $ | 7.29 | $ | (2.79 | ) | ||||||||
Year Ended June 30, 2013 | 19.52 | (0.04 | )(f)(h) | 4.50 | 4.46 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 23.30 | (0.05 | )(f)(i) | (1.72 | ) | (1.77 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 16.35 | (0.09 | )(f) | 7.04 | 6.95 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.68 | (0.09 | )(f) | 2.76 | 2.67 | — | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 17.00 | (0.18 | )(f)(g) | 5.37 | 5.19 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 14.76 | (0.11 | )(f)(h) | 3.34 | 3.23 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 18.29 | (0.12 | )(f)(i) | (1.40 | ) | (1.52 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 12.90 | (0.16 | )(f) | 5.55 | 5.39 | — | ||||||||||||||
Year Ended June 30, 2010 | 10.85 | (0.14 | )(f) | 2.19 | 2.05 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 19.97 | (0.22 | )(f)(g) | 6.39 | 6.17 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 17.17 | (0.12 | )(f)(h) | 3.91 | 3.79 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.88 | (0.13 | )(f)(i) | (1.57 | ) | (1.70 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 14.73 | (0.18 | )(f) | 6.33 | 6.15 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.39 | (0.16 | )(f) | 2.50 | 2.34 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2014 | 24.56 | (0.20 | )(f)(g) | 7.97 | 7.77 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 20.83 | (0.07 | )(f)(h) | 4.79 | 4.72 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.73 | (0.07 | )(f)(i) | (1.82 | ) | (1.89 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 17.38 | (0.13 | )(f) | 7.48 | 7.35 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.56 | (0.12 | )(f) | 2.94 | 2.82 | — | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2014 | 25.15 | (0.02 | )(f)(g) | 8.18 | 8.16 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.18 | 0.06 | (f)(h) | 4.90 | 4.96 | (0.99 | ) | |||||||||||||
November 1, 2011(j) through June 30, 2012 | 21.75 | 0.04 | (f)(i) | 1.40 | 1.44 | (2.01 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2014 | 25.17 | — | (f)(g)(k) | 8.19 | 8.19 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.19 | 0.08 | (f)(h) | 4.89 | 4.97 | (0.99 | ) | |||||||||||||
November 1, 2011(j) through June 30, 2012 | 21.75 | 0.08 | (f)(i) | 1.37 | 1.45 | (2.01 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 25.08 | (0.06 | )(f)(g) | 8.16 | 8.10 | (2.79 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.15 | 0.03 | (f)(h) | 4.89 | 4.92 | (0.99 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.02 | (f)(i) | (1.83 | ) | (1.81 | ) | (2.01 | ) | |||||||||||
Year Ended June 30, 2011 | 17.47 | (0.03 | )(f) | 7.53 | 7.50 | — | ||||||||||||||
Year Ended June 30, 2010 | 14.57 | (0.04 | )(f) | 2.94 | 2.90 | — | ||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $(0.14), $(0.19), $(0.23), $(0.20), $(0.02), $(0.01) and $(0.06) 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 (0.53)%, (1.00)%, (1.03)%, (0.73)%, (0.08)%, (0.03)% and (0.22)% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (h) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.09), $(0.15), $(0.17), $(0.13), $0.01, $0.02 and $(0.02) 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 (0.42)%, (0.94)%, (0.92)%, (0.57)%, 0.04%, 0.09% and (0.10)% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
| (i) | 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. |
| (j) | Commencement of offering of class of shares. |
| (k) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 27.49 | 33.44 | % | $ | 765,310 | 1.24 | % | (0.51 | )%(g) | 1.37 | % | 69 | % | |||||||||||||
| 22.99 | 23.70 | 586,787 | 1.23 | (0.17 | )(h) | 1.45 | 70 | |||||||||||||||||||
| 19.52 | (6.61 | ) | 538,323 | 1.24 | (0.23 | )(i) | 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 | |||||||||||||||||||
| 19.40 | 32.81 | 5,243 | 1.72 | (0.98 | )(g) | 1.87 | 69 | |||||||||||||||||||
| 17.00 | 22.99 | 6,923 | 1.73 | (0.69 | )(h) | 1.94 | 70 | |||||||||||||||||||
| 14.76 | (7.08 | ) | 9,948 | 1.75 | (0.77 | )(i) | 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 | |||||||||||||||||||
| 23.35 | 32.85 | 41,047 | 1.73 | (1.01 | )(g) | 1.86 | 69 | |||||||||||||||||||
| 19.97 | 23.03 | 23,745 | 1.73 | (0.67 | )(h) | 1.95 | 70 | |||||||||||||||||||
| 17.17 | (7.06 | ) | 22,190 | 1.75 | (0.75 | )(i) | 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 | |||||||||||||||||||
| 29.54 | 33.25 | 1,852 | 1.40 | (0.71 | )(g) | 1.59 | 69 | |||||||||||||||||||
| 24.56 | 23.46 | 320 | 1.39 | (0.32 | )(h) | 1.71 | 70 | |||||||||||||||||||
| 20.83 | (6.72 | ) | 230 | 1.40 | (0.35 | )(i) | 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 | |||||||||||||||||||
| 30.52 | 34.06 | 27,454 | 0.79 | (0.06 | )(g) | 0.92 | 69 | |||||||||||||||||||
| 25.15 | 24.22 | 17,848 | 0.79 | 0.28 | (h) | 1.00 | 70 | |||||||||||||||||||
| 21.18 | 7.71 | 14,837 | 0.78 | 0.31 | (i) | 0.92 | 70 | |||||||||||||||||||
| 30.57 | 34.16 | 86,150 | 0.74 | (0.01 | )(g) | 0.86 | 69 | |||||||||||||||||||
| 25.17 | 24.26 | 47,434 | 0.74 | 0.34 | (h) | 0.98 | 70 | |||||||||||||||||||
| 21.19 | 7.76 | 13,982 | 0.73 | 0.58 | (i) | 0.87 | 70 | |||||||||||||||||||
| 30.39 | 33.91 | 1,254,748 | 0.93 | (0.20 | )(g) | 1.12 | 69 | |||||||||||||||||||
| 25.08 | 24.06 | 894,740 | 0.93 | 0.14 | (h) | 1.20 | 70 | |||||||||||||||||||
| 21.15 | (6.31 | ) | 827,306 | 0.93 | 0.09 | (i) | 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-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 | ||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 31.68 | $ | 0.15 | (d)(e) | $ | 7.02 | $ | 7.17 | $ | (0.15 | ) | $ | (1.45 | ) | $ | (1.60 | ) | ||||||||||
Year Ended June 30, 2013 | 25.80 | 0.19 | (d)(f) | 6.20 | 6.39 | (0.29 | ) | (0.22 | ) | (0.51 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.76 | 0.20 | (d) | 1.00 | 1.20 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.91 | 0.18 | (d) | 5.85 | 6.03 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.24 | 0.19 | (d) | 3.48 | 3.67 | — | — | — | ||||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 31.05 | (0.03 | )(d)(e) | 6.89 | 6.86 | — | (1.45 | ) | (1.45 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 25.16 | 0.03 | (d)(f) | 6.08 | 6.11 | — | (0.22 | ) | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 24.10 | 0.07 | (d) | 0.99 | 1.06 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2011 | 18.38 | 0.07 | (d) | 5.69 | 5.76 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 14.89 | 0.10 | (d) | 3.39 | 3.49 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 30.84 | (0.03 | )(d)(e) | 6.83 | 6.80 | — | (g) | (1.45 | ) | (1.45 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 25.14 | 0.05 | (d)(f) | 6.03 | 6.08 | (0.16 | ) | (0.22 | ) | (0.38 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | (d) | 0.98 | 1.05 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.44 | 0.07 | (d) | 5.69 | 5.76 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 14.94 | 0.10 | (d) | 3.40 | 3.50 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 30.81 | 0.06 | (d)(e) | 6.82 | 6.88 | (0.10 | ) | (1.45 | ) | (1.55 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 25.18 | 0.12 | (d)(f) | 6.03 | 6.15 | (0.30 | ) | (0.22 | ) | (0.52 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.27 | 0.14 | (d) | 0.97 | 1.11 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 18.63 | 0.12 | (d) | 5.76 | 5.88 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.06 | 0.15 | (d) | 3.42 | 3.57 | — | — | — | ||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 32.26 | 0.32 | (d)(e) | 7.17 | 7.49 | (0.31 | ) | (1.45 | ) | (1.76 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 26.24 | 0.34 | (d)(f) | 6.31 | 6.65 | (0.41 | ) | (0.22 | ) | (0.63 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 25.19 | 0.32 | (d) | 1.01 | 1.33 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 19.22 | 0.30 | (d) | 5.95 | 6.25 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.43 | 0.29 | (d) | 3.52 | 3.81 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 31.95 | 0.23 | (d)(e) | 7.10 | 7.33 | (0.22 | ) | (1.45 | ) | (1.67 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 26.01 | 0.27 | (d)(f) | 6.24 | 6.51 | (0.35 | ) | (0.22 | ) | (0.57 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 24.97 | 0.26 | (d) | 1.01 | 1.27 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 19.07 | 0.24 | (d) | 5.90 | 6.14 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 15.34 | 0.24 | (d) | 3.49 | 3.73 | — | (g) | — | — | (g) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.14, $(0.03), $(0.03), $0.05, $0.32 and $0.23 for Class A, Class B, Class C, Class R2, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.41%, (0.10)%, (0.10)%, 0.16%, 0.90% and 0.66% for Class A, Class B, Class C, Class R2, Institutional Class and Select Class Shares, respectively. |
| (f) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.16, $0.00, $0.01, $0.09, $0.31 and $0.23 for Class A, Class B, Class C, Class R2, Institutional Class and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.55%, 0.00%, 0.04%, 0.31%, 1.04% and 0.80% for Class A, Class B, Class C, Class R2, Institutional Class and Select Class Shares, respectively. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 37.25 | 23.25 | % | $ | 3,404,974 | 1.23 | % | 0.42 | %(e) | 1.37 | % | 25 | % | |||||||||||||
| 31.68 | 25.06 | 3,157,503 | 1.23 | 0.67 | (f) | 1.38 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.46 | 22.67 | 10,619 | 1.72 | (0.08 | )(e) | 1.87 | 25 | |||||||||||||||||||
| 31.05 | 24.42 | 15,382 | 1.74 | 0.13 | (f) | 1.88 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.19 | 22.63 | 608,283 | 1.74 | (0.09 | )(e) | 1.87 | 25 | |||||||||||||||||||
| 30.84 | 24.43 | 534,813 | 1.74 | 0.16 | (f) | 1.88 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.14 | 22.94 | 71,958 | 1.49 | 0.17 | (e) | 1.62 | 25 | |||||||||||||||||||
| 30.81 | 24.71 | 57,003 | 1.49 | 0.43 | (f) | 1.63 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.99 | 23.88 | 8,581,992 | 0.74 | 0.92 | (e) | 0.97 | 25 | |||||||||||||||||||
| 32.26 | 25.68 | 6,627,529 | 0.74 | 1.16 | (f) | 0.98 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.61 | 23.59 | 2,967,759 | 0.98 | 0.67 | (e) | 1.12 | 25 | |||||||||||||||||||
| 31.95 | 25.35 | 2,870,752 | 0.98 | 0.92 | (f) | 1.13 | 23 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| 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 | |||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Year Ended June 30, 2014 | $ | 9.79 | $ | (0.13 | )(e) | $ | 0.25 | $ | 0.12 | |||||||
Year Ended June 30, 2013 | 9.69 | (0.11 | )(e)(f) | 0.21 | 0.10 | |||||||||||
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 | ) | |||||||||
Class B | ||||||||||||||||
Year Ended June 30, 2014 | 9.31 | (0.17 | )(e) | 0.25 | 0.08 | |||||||||||
Year Ended June 30, 2013 | 9.29 | (0.17 | )(e)(f) | 0.19 | 0.02 | |||||||||||
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 | ) | |||||||||
Class C | ||||||||||||||||
Year Ended June 30, 2014 | 9.33 | (0.17 | )(e) | 0.24 | 0.07 | |||||||||||
Year Ended June 30, 2013 | 9.30 | (0.17 | )(e)(f) | 0.20 | 0.03 | |||||||||||
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 | ) | |||||||||
Select Class | ||||||||||||||||
Year Ended June 30, 2014 | 9.94 | (0.11 | )(e) | 0.26 | 0.15 | |||||||||||
Year Ended June 30, 2013 | 9.82 | (0.09 | )(e)(f) | 0.21 | 0.12 | |||||||||||
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 | ) | |||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.49% and 1.91% for the year ended June 30, 2014, 1.48% and 1.88% for the year ended June 30, 2013, 1.48% and 1.94% for 2012, 1.49% and 1.95% for 2011 and 1.49% and 1.94% for 2010; for Class B are 1.99% and 2.41 for the year ended June 30, 2014, 2.16% and 2.38% for the year ended June 30, 2013, 2.23% and 2.45% for 2012, 2.24% and 2.45% for 2011 and 2.24% and 2.44% for 2010; for Class C are 1.99% and 2.40 for the year ended June 30, 2014, 2.15% and 2.38% for the year ended June 30, 2013, 2.23% and 2.44% for 2012, 2.24% and 2.45% for 2011 and 2.24% and 2.44% for 2010; for Select Class are 1.23% and 1.65% for the year ended June 30, 2014, 1.23% and 1.63% for the year ended June 30, 2013, 1.23% and 1.69% for 2012, 1.24% and 1.70% for 2011 and 1.24% and 1.69% for 2010, respectively. |
| (d) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.13), $(0.19), $(0.19) and $(0.11) for Class A, Class B, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.38)%, (2.07)%, (2.06)% and (1.16)% for Class A, Class B, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (b)(c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) | Portfolio turnover rate (excluding securities sold short) (d) | Portfolio turnover rate (including securities sold short) (d) | |||||||||||||||||||||||
| $ | 9.91 | 1.23 | % | $ | 10,301 | 2.78 | % | (1.36 | )% | 3.20 | % | 106 | % | 227 | % | |||||||||||||||
| 9.79 | 1.03 | 14,101 | 3.04 | (1.13 | )(f) | 3.44 | 94 | 251 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||
| 9.39 | 0.86 | 209 | 3.28 | (1.88 | ) | 3.70 | 106 | 227 | ||||||||||||||||||||||
| 9.31 | 0.22 | 530 | 3.70 | (1.82 | )(f) | 3.92 | 94 | 251 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||
| 9.40 | 0.75 | 8,602 | 3.28 | (1.85 | ) | 3.70 | 106 | 227 | ||||||||||||||||||||||
| 9.33 | 0.32 | 11,181 | 3.69 | (1.81 | )(f) | 3.92 | 94 | 251 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||
| 10.09 | 1.51 | 431,890 | 2.52 | (1.07 | ) | 2.94 | 106 | 227 | ||||||||||||||||||||||
| 9.94 | 1.22 | 317,974 | 2.78 | (0.90 | )(f) | 3.18 | 94 | 251 | ||||||||||||||||||||||
| 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 | |||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-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 | ||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 24.64 | $ | 0.34 | (d) | $ | 5.03 | $ | 5.37 | $ | (0.16 | ) | $ | (0.70 | ) | $ | (0.86 | ) | ||||||||||
Year Ended June 30, 2013 | 19.96 | 0.22 | (d) | 4.75 | 4.97 | (0.20 | ) | (0.09 | ) | (0.29 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 19.07 | 0.25 | (d) | 0.84 | 1.09 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.22 | 0.23 | (d) | 3.79 | 4.02 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.23 | (d) | 3.17 | 3.40 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 24.61 | 0.20 | (d) | 5.02 | 5.22 | (0.05 | ) | (0.70 | ) | (0.75 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.91 | 0.11 | (d) | 4.74 | 4.85 | (0.06 | ) | (0.09 | ) | (0.15 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 19.01 | 0.16 | (d) | 0.84 | 1.00 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.17 | 0.14 | (d) | 3.77 | 3.91 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.97 | 0.15 | (d) | 3.17 | 3.32 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 24.74 | 0.48 | (d) | 5.04 | 5.52 | (0.25 | ) | (0.70 | ) | (0.95 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 19.99 | 0.34 | (d) | 4.75 | 5.09 | (0.25 | ) | (0.09 | ) | (0.34 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 19.11 | 0.35 | (d) | 0.83 | 1.18 | (0.30 | ) | — | (0.30 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.24 | 0.32 | (d) | 3.79 | 4.11 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.01 | 0.31 | (d) | 3.18 | 3.49 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 24.72 | 0.42 | (d) | 5.03 | 5.45 | (0.20 | ) | (0.70 | ) | (0.90 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 20.00 | 0.28 | (d) | 4.75 | 5.03 | (0.22 | ) | (0.09 | ) | (0.31 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 19.12 | 0.30 | (d) | 0.83 | 1.13 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 15.27 | 0.28 | (d) | 3.79 | 4.07 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 12.04 | 0.27 | (d) | 3.19 | 3.46 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
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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 (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 29.15 | 22.19 | % | $ | 1,701,250 | 1.24 | % | 1.26 | % | 1.33 | % | 36 | % | |||||||||||||
| 24.64 | 25.09 | 784,359 | 1.24 | 0.98 | 1.33 | 22 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 29.08 | 21.58 | 402,880 | 1.74 | 0.74 | 1.83 | 36 | ||||||||||||||||||||
| 24.61 | 24.45 | 212,198 | 1.74 | 0.49 | 1.83 | 22 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 29.31 | 22.77 | 3,042,506 | 0.74 | 1.77 | 0.93 | 36 | ||||||||||||||||||||
| 24.74 | 25.73 | 1,455,125 | 0.74 | 1.50 | 0.93 | 22 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 29.27 | 22.49 | 2,546,808 | 0.99 | 1.53 | 1.08 | 36 | ||||||||||||||||||||
| 24.72 | 25.38 | 1,245,241 | 0.99 | 1.23 | 1.08 | 22 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
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AS OF JUNE 30, 2014
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of 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”, with JPM I, JPM II and JPMMFIT (the “Trusts”)), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.
The following are 6 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, Class R6* and Select Class | JPMMFIT | Diversified | |||
| Mid Cap Equity Fund | Class A, Class C, Class R2**, Class R5**, Class R6** 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 |
| * | Class R6 Shares of Growth Advantage Fund commenced operations on December 23, 2013. |
| ** | Class R2, Class R5 and Class R6 Shares of Mid Cap Equity Fund commenced operations on March 14, 2014 to accommodate the business combination (See Note 8.). |
The investment objective of Growth Advantage Fund and Mid Cap Equity Fund is to seek to provide 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. Effective July 23, 2014, the Fund’s investment objective changed to seeks growth of capital.
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 as of the close of business on January 3, 2014, all share classes of the Mid Cap Equity Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Classes’ prospectuses.
Effective as of the close of business on February 22, 2013, all share classes of the Mid Cap Value Fund are publicly offered only on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Classes’ prospectuses.
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 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.
Mid Cap Equity Fund acquired all of the assets and liabilities of JPMorgan Mid Cap Core Fund in a reorganization on March 14, 2014. Please refer to footnote 8 discussing the merger.
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 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 Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
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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. Securities listed on the NASDAQ Stock Market LLC are generally valued at the NASDAQ Official Closing Price. Generally, short-term investments of sufficient credit quality maturing in less than 61 days are valued at amortized cost, which approximates fair value. Investments in open-end investment companies are valued at each investment company’s net asset value per share (“NAV”) as of the report date.
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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.
Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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”), has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups and the Funds’ Chief Compliance Officer. 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 employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The 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 for discussing and assessing 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 is 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 the 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):
Growth Advantage Fund
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 3,601,461 | $ | — | $ | — | $ | 3,601,461 | ||||||||
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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) | $ | 2,774,132 | $ | — | $ | — | $ | 2,774,132 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
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) | $ | 2,145,336 | $ | — | $ | — | $ | 2,145,336 | ||||||||
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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 (a) | $ | 15,704,461 | $ | — | $ | — | $ | 15,704,461 | ||||||||
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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 (a) | $ | 448,813 | $ | — | $ | — | $ | 448,813 | ||||||||
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Total Liabilities for Securities Sold Short (a) | $ | (389,032 | ) | $ | — | $ | — | $ | (389,032 | ) | ||||||
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Depreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | (21 | ) | $ | — | $ | — | $ | (21 | ) | ||||||
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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) | $ | 7,684,403 | $ | — | $ | — | $ | 7,684,403 | ||||||||
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| (a) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended June 30, 2014.
B. Short Sales — 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 anticipation of a decline in the market value of those securities. 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.
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 SOIs. 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 between the market value of the short position and cash collateral deposited with the broker. The net income or fee is reported 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 the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as dividend expense on securities sold short.
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 change in net unrealized appreciation (depreciation) in 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 borrowed 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 borrowed security declines between those dates.
As of June 30, 2014, the Fund had outstanding short sales as listed on its SOI.
C. Futures Contracts — Multi-Cap Market Neutral 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 sell futures in
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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 are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the 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 change in net unrealized appreciation/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 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 positions.
The table below discloses the volume of the Fund’s futures contracts activity during the year ended June 30, 2014 (amounts in thousands):
| Multi-Cap Market Neutral Fund | ||||
Futures Contracts: | ||||
Average Notional Balance Long | $ | 9,251 | (a) | |
Ending Notional Balance Long | — | |||
Average Notional Balance Short | 5,329 | |||
Ending Notional Balance Short | 5,571 | |||
| (a) | For the period August 1, 2013 through August 31, 2013. |
The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty, and net amounts owed or due across transactions).
D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, less dividend expense on securities sold short, are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
E. Allocation of Income and Expenses — 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. In calculating the NAV 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.
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 capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. Distributions to Shareholders — Distributions 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, for which distributions are generally declared and paid at least quarterly. Distributions are declared separately for each class of each Fund. 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 distributions
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Growth Advantage Fund | $ | — | (a) | $ | 531 | $ | (531 | ) | ||||
Mid Cap Equity Fund | 693 | (133 | ) | (560 | ) | |||||||
Mid Cap Growth Fund | (3 | ) | 2,068 | (2,065 | ) | |||||||
Mid Cap Value Fund | — | (1,750 | ) | 1,750 | ||||||||
Multi-Cap Market Neutral Fund | (4,798 | ) | 4,746 | 52 | ||||||||
Value Advantage Fund | — | (a) | (109 | ) | 109 | |||||||
| (a) | Amounts rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to net operating losses, investments in real estate investment trusts, investments in partnerships and non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Growth Advantage 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 Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, 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 accrued daily and paid monthly at an 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 covered by the Administration Agreement (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, 2014, the effective rate was 0.08% 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, 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 | |||||||||||||
Growth Advantage Fund | 0.25 | % | 0.75 | % | 0.75 | % | n/a | |||||||||
Mid Cap Equity Fund | 0.25 | n/a | 0.75 | 0.50 | % | |||||||||||
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 | ||||||||||||
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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, 2014, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 590 | $ | — | (a) | |||
Mid Cap Equity Fund | 178 | 2 | ||||||
Mid Cap Growth Fund | 74 | 1 | ||||||
Mid Cap Value Fund | 44 | 6 | ||||||
Multi-Cap Market Neutral Fund | 1 | — | (a) | |||||
Value Advantage Fund | 462 | 4 | ||||||
| (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 accrued 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 Equity Fund | 0.25 | n/a | 0.25 | 0.25 | % | 0.05 | 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. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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. Payments to the custodian 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 expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, 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 | |||||||||||||||||||||||||
Growth Advantage Fund | 1.25 | % | 1.75 | % | 1.75 | % | n/a | 0.90 | % | 0.80 | % | n/a | 1.10 | % | ||||||||||||||||||
Mid Cap Equity Fund | 1.25 | n/a | 1.75 | 1.50 | % | 0.80 | 0.75 | 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 | 1.50 | 2.00 | 2.00 | n/a | n/a | n/a | n/a | 1.25 | ||||||||||||||||||||||||
Value Advantage Fund | 1.25 | n/a | 1.75 | n/a | n/a | n/a | 0.75 | 1.00 | ||||||||||||||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2014. The contractual expense limitation percentages in the table above are in place until at least October 31, 2014, except Growth Advantage Fund Class R6 which is in place until at least December 31, 2014 and Mid Cap Equity Fund which is in place until at least October 31, 2016. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2014. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
For the year ended June 30, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect 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 | $ | 6 | $ | — | $ | 351 | $ | 357 | ||||||||
Mid Cap Equity Fund | 950 | 572 | 2,546 | 4,068 | ||||||||||||
Mid Cap Growth Fund | 1,126 | 1,262 | 653 | 3,041 | ||||||||||||
Mid Cap Value Fund | 7,675 | 10,005 | 8,306 | 25,986 | ||||||||||||
Multi-Cap Market Neutral Fund | 332 | 271 | 994 | 1,597 | ||||||||||||
Value Advantage Fund | 1,147 | 3,315 | 2,183 | 6,645 | ||||||||||||
| Voluntary Waivers | ||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Growth Advantage Fund | $ | — | $ | — | $ | 17 | $ | 17 | ||||||||
Mid Cap Growth Fund | 3 | — | 3 | 6 | ||||||||||||
Mid Cap Value Fund | 1 | — | 15 | 16 | ||||||||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, 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, 2014 was as follows (amounts in thousands):
Growth Advantage Fund | $ | 142 | ||
Mid Cap Equity Fund | 103 | |||
Mid Cap Growth Fund | 74 | |||
Mid Cap Value Fund | 838 | |||
Multi-Cap Market Neutral Fund | 71 | |||
Value Advantage Fund | 773 |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, 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, 2014, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Funds may use related party broker-dealers. For the year ended June 30, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
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4. Investment Transactions
During the year ended June 30, 2014, purchases and sales of investments (excluding short-term investments) were as follows (amounts in thousands):
Purchases U.S. Government) | Sales (excluding U.S. Government) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Growth Advantage Fund | $ | 2,609,784 | $ | 1,746,940 | $ | — | $ | — | ||||||||
Mid Cap Equity Fund | 1,024,762 | 731,652 | — | — | ||||||||||||
Mid Cap Growth Fund | 1,302,822 | 1,282,372 | — | — | ||||||||||||
Mid Cap Value Fund | 3,518,573 | 4,310,752 | — | — | ||||||||||||
Multi-Cap Market Neutral Fund | 382,073 | 387,381 | 440,170 | 433,377 | ||||||||||||
Value Advantage Fund | 4,498,620 | 1,856,063 | — | — | ||||||||||||
During the year ended June 30, 2014, 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, 2014 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 2,639,880 | $ | 1,015,816 | $ | 54,235 | $ | 961,581 | ||||||||
Mid Cap Equity Fund | 2,084,042 | 712,580 | 22,490 | 690,090 | ||||||||||||
Mid Cap Growth Fund | 1,510,459 | 667,233 | 32,356 | 634,877 | ||||||||||||
Mid Cap Value Fund | 10,410,147 | 5,306,583 | 12,269 | 5,294,314 | ||||||||||||
Multi-Cap Market Neutral Fund | 377,909 | 74,422 | 3,518 | 70,904 | ||||||||||||
Value Advantage Fund | 6,368,767 | 1,354,153 | 38,517 | 1,315,636 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in partnerships and wash sale loss deferrals.
The tax character of distributions paid during the year ended June 30, 2014 was as follows (amounts in thousands):
| Ordinary Income | Net | Total Distribution Paid | ||||||||||
Growth Advantage Fund | $ | 41,088 | $ | 88,308 | $ | 129,396 | ||||||
Mid Cap Equity Fund | 33,507 | 66,650 | 100,157 | |||||||||
Mid Cap Growth Fund | 1,961 | 179,210 | 181,171 | |||||||||
Mid Cap Value Fund | 235,213 | 461,603 | 696,816 | |||||||||
Value Advantage Fund | 93,947 | 80,234 | 174,181 | |||||||||
The tax character of distributions paid during the year ended June 30, 2013 was as follows (amounts in thousands):
Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Growth Advantage Fund | $ | 3,788 | $ | 5,812 | $ | 9,600 | ||||||
Mid Cap Equity Fund | 5,458 | 6,244 | 11,702 | |||||||||
Mid Cap Growth Fund | — | 64,858 | 64,858 | |||||||||
Mid Cap Value Fund | 120,789 | 74,510 | 195,299 | |||||||||
Value Advantage Fund | 20,780 | 8,159 | 28,939 | |||||||||
As of June 30, 2014, 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 | Tax Basis Capital Loss Carryover | Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 34,819 | $ | 102,382 | $ | — | $ | 961,581 | ||||||||
Mid Cap Equity Fund | 24,678 | 66,846 | — | 690,090 | ||||||||||||
Mid Cap Growth Fund | 33,076 | 161,934 | (13,557 | ) | 634,877 | |||||||||||
Mid Cap Value Fund | 159,009 | 647,503 | (34,731 | ) | 5,294,314 | |||||||||||
Multi-Cap Market Neutral Fund | — | — | (29,615 | ) | 24,646 | |||||||||||
Value Advantage Fund | 115,342 | 119,378 | — | 1,315,636 | ||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
For the Funds the cumulative timing differences primarily consist of wash sale loss deferrals, investments in partnerships, loss deferrals on unsettled short sales, late year ordinary loss deferrals and post-October capital loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (“the “Act”), net capital losses recognized by the Funds after June 30, 2011 are 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, 2014, the Funds did not have post-enactment capital loss carryforwards.
As of June 30, 2014, the following Funds had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):
| 2016 | 2017 | 2018 | Total | |||||||||||||
Mid Cap Growth Fund | $ | — | $ | — | $ | 13,557 | * | $ | 13,557 | * | ||||||
Mid Cap Value Fund | — | — | 34,731 | * | 34,731 | * | ||||||||||
Multi-Cap Market Neutral Fund | 29,615 | — | — | 29,615 | ||||||||||||
| * | Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384. |
During the year ended June 30, 2014 the following Funds utilized capital loss carryforwards as follows (amounts in thousands):
| Pre-Enactment Capital Loss Carryforward Utilized | ||||
Mid Cap Growth Fund | $ | 25,463 | ||
Mid Cap Value Fund | 6,654 | |||
Multi-Cap Market Neutral Fund | 9,584 | |||
Late year ordinary losses and net capital 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, 2014 the following Funds deferred to July 1, 2014 late year ordinary losses and post-October capital losses of (amounts in thousands):
Late Year Ordinary Loss Deferral | Post-October Capital Loss Character | |||||||||||
Short-Term | Long-Term | |||||||||||
Growth Advantage Fund | $ | 7,762 | $ | — | $ | — | ||||||
Multi-Cap Market Neutral Fund | 2,074 | 17,757 | — | |||||||||
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “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 the Funds and the series of JPM II are all 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 10, 2014.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2014. Average borrowings from the Facility for the year ended June 30, 2014, were as follows (amounts in thousands):
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Growth Advantage Fund | $ | 29,339 | 0.19 | % | 2 | $ | — | (a) | ||||||||
Mid Cap Equity Fund | 11,650 | 0.20 | 3 | — | (a) | |||||||||||
| (a) | Amount rounds to less than $1,000. |
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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. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for each of the Growth Advantage Fund, Mid Cap Equity Fund and Mid Cap Growth Fund.
In addition, as of June 30, 2014, 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 following Funds as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Growth Advantage Fund | — | 39.6 | % | |||||
Mid Cap Equity Fund | — | 28.1 | ||||||
Multi-Cap Market Neutral Fund | 91.8 | % | — | |||||
Value Advantage Fund | — | 16.9 | ||||||
Additionally, Mid Cap Equity Fund, Mid Cap Value Fund and Value Advantage 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 may impact the Funds’ performance.
As of June 30, 2014, the Multi-Cap Market Neutral Fund pledged substantially all of its assets for securities sold short to Credit Suisse Group, who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.
8. Business Combinations
In November 2013, the Board of Trustees of JPM I approved management’s proposal to merge JPMorgan Mid Cap Core Fund (the “Target Fund”) into JPMorgan Mid Cap Equity Fund (the “Acquiring Fund”). The Agreement and Plan of Reorganization with respect to the Target Fund was approved by the Target Fund’s Board of Trustees on November 19-21, 2013. The purpose of the transaction was to combine two portfolios with comparable investment objectives and strategies. The reorganization was effective after the close of business on March 14, 2014. The Acquiring Fund acquired all of the assets and liabilities of the Target Fund as shown in the table below. The transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, shareholders of the Target Fund received a number of shares of the corresponding class in the Acquiring Fund, with a value equal to their holdings in the Target Fund as of the close of business on the date of the reorganization. The investment portfolio of the Target Fund, with a fair value of approximately $1,111,228,000 and identified cost of approximately $904,208,000 as of the date of the reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes.
The following is a summary of Shares Outstanding, Net Assets, NAV and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganization (amounts in thousands, except per share amounts):
| Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Target Fund | ||||||||||||||||
Mid Cap Core Fund | $ | 207,020 | ||||||||||||||
Class A | 1,967 | $ | 42,694 | $ | 21.70 | |||||||||||
Class C | 77 | 1,648 | 21.48 | |||||||||||||
Class R2 | 29 | 632 | 21.60 | |||||||||||||
Class R5 | 4 | 87 | 21.87 | |||||||||||||
Class R6 | 30,932 | 676,262 | 21.86 | |||||||||||||
Select Class | 17,884 | 390,167 | 21.82 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Mid Cap Equity Fund | 407,160 | |||||||||||||||
Class A | 1,999 | 85,802 | 42.92 | |||||||||||||
Class C | 386 | 16,354 | 42.32 | |||||||||||||
Select Class | 29,489 | 1,272,165 | 43.14 | |||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
| Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Post Reorganization | ||||||||||||||||
Mid Cap Equity Fund | $ | 614,180 | ||||||||||||||
Class A | 2,994 | $ | 128,496 | $ | 42.92 | |||||||||||
Class C | 425 | 18,002 | 42.32 | |||||||||||||
Class R2 | 15 | 632 | 42.92 | |||||||||||||
Class R5 | 2 | 87 | 43.14 | |||||||||||||
Class R6 | 15,676 | 676,262 | 43.14 | |||||||||||||
Select Class | 38,533 | 1,662,333 | 43.14 | |||||||||||||
Expenses related to reorganization were incurred by the Acquiring Fund. The Adviser, the Administrator and the Distributor waived their fees and/or reimbursed the Fund in an amount sufficient to offset costs incurred by the Fund relating to the reorganization, excluding brokerage fees and brokerage expenses related to the disposition and acquisition of Fund assets associated with the reorganization.
Assuming the reorganization had been completed on July 1, 2013, the beginning of the annual reporting period, the pro forma results of operations for the year ended June 30, 2014, are as follows (amounts in thousands):
Net investment income (loss) | $ | 7,170 | ||
Net realized/unrealized gains (losses) | 555,924 | |||
|
| |||
Change in net assets resulting from operations | $ | 563,094 | ||
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Fund that have been included in the Statements of Operations since March 14, 2014.
| 80 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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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 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 and JPMorgan Value Advantage Fund (each a separate fund of JPMorgan Trust I), JPMorgan Mid Cap Growth Fund and 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.) (hereafter collectively referred to as the “Funds”) at June 30, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2014
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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 | ||||||
| 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). | 166 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 166 | Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present); Trustee, Museum of Jewish Heritage (2011-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). | 166 | 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). | 166 | None | |||
| Mary E. Martinez (1960); Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 166 | None | |||
| 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). | 166 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 166 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 166 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the 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). | 166 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 82 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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) | ||||||
| Marian U. Pardo** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 166 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, 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). | 166 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony 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). | 166 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
| Frankie D. Hughes*** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 166 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Mr. Morton should continue to serve until December 31, 2014. In order to fill the vacancies created by the retirement of Fergus Reid, III, William J. Armstrong, and Leonard J. Spalding Jr., effective December 31, 2012, the Board appointed Ms. Martinez and Mr. Merin to serve as Trustees effective January 1, 2013 and Ms. Pardo to serve as Trustee effective February 1, 2013. |
| (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 adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (166 funds), including JPMorgan Mutual Fund Group which liquidated effective November 29, 2012 and is in the process of winding up its affairs. |
| * | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
| ** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
| *** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 83 | ||||||
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), | Chief Operating Officer and Director, J.P. Morgan Investment Management. Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
| 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. | |
Annik Pastore (1966), | Executive Director and Global Financal Crime Compliance Officer for JPMorgan Global Investment Management for the U.S. and EMEA since 2012, AML officer for various JPMAM lines of business from 2007-2012. | |
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) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly 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. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 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. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). | |
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 60 Victoria Embankment, Floor 06, London, EC4Y 0JP, United Kingdom. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| *** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004-2413. |
| 84 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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 (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, 2014, and continued to hold your shares at the end of the reporting period, June 30, 2014.
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.
Expense Example
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,046.30 | $ | 6.34 | 1.25 | % | ||||||||
Hypothetical* | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,043.40 | 8.87 | 1.75 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.12 | 8.75 | 1.75 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,043.40 | 8.82 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,048.00 | 4.37 | 0.86 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.53 | 4.31 | 0.86 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,048.70 | 4.06 | 0.80 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,046.90 | 5.38 | 1.06 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.54 | 5.31 | 1.06 | ||||||||||||
Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,081.10 | 6.40 | 1.24 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,078.60 | 8.97 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 85 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Mid Cap Equity Fund (continued) | ||||||||||||||||
Class R2 | ||||||||||||||||
Actual** | $ | 1,000.00 | $ | 1,045.60 | $ | 4.45 | 1.47 | % | ||||||||
Hypothetical* | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R5 | ||||||||||||||||
Actual** | 1,000.00 | 1,047.70 | 2.36 | 0.78 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.93 | 3.91 | 0.78 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,047.80 | 2.21 | 0.73 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,082.80 | 4.60 | 0.89 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,085.30 | 6.41 | 1.24 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,082.60 | 8.98 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,082.50 | 8.98 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,084.40 | 7.24 | 1.40 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.85 | 7.00 | 1.40 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,087.70 | 4.09 | 0.79 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,087.90 | 3.83 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,086.90 | 4.81 | 0.93 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.18 | 4.66 | 0.93 | ||||||||||||
Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,079.10 | 6.34 | 1.23 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class B | ||||||||||||||||
Actual* | 1,000.00 | 1,076.50 | 8.96 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,076.40 | 8.96 | 1.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,077.80 | 7.68 | 1.49 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,081.70 | 3.82 | 0.74 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,080.40 | 5.06 | 0.98 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||
| 86 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
Multi-Cap Market Neutral Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 998.00 | $ | 13.87 | 2.80 | % | ||||||||
Hypothetical* | 1,000.00 | 1,010.91 | 13.96 | 2.80 | ||||||||||||
Class B | �� | |||||||||||||||
Actual* | 1,000.00 | 995.80 | 16.63 | 3.36 | ||||||||||||
Hypothetical* | 1,000.00 | 1,008.13 | 16.73 | 3.36 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 995.80 | 16.33 | 3.30 | ||||||||||||
Hypothetical* | 1,000.00 | 1,008.43 | 16.43 | 3.30 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 999.00 | 12.54 | 2.53 | ||||||||||||
Hypothetical* | 1,000.00 | 1,012.25 | 12.62 | 2.53 | ||||||||||||
Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,077.20 | 6.33 | 1.23 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,074.30 | 8.90 | 1.73 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual* | 1,000.00 | 1,079.60 | 3.76 | 0.73 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Select Class | ||||||||||||||||
Actual* | 1,000.00 | 1,078.50 | 5.05 | 0.98 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| ** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 108/365 (to reflect the one-half year period). |
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 87 | ||||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPM Trust I
JPM I held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of JPM I, including Mid Cap Equity Fund and Value Advantage Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 172,130,223 | |||
Withheld | 1,157,495 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 172,109,164 | |||
Withheld | 1,178,553 | |||
| Robert J. Higgins | ||||
In Favor | 158,338,954 | |||
Withheld | 14,948,763 | |||
| Frankie D. Hughes | ||||
In Favor | 172,148,985 | |||
Withheld | 1,138,733 | |||
| Peter C. Marshall | ||||
In Favor | 172,124,473 | |||
Withheld | 1,163,244 | |||
| Mary E. Martinez | ||||
In Favor | 172,132,763 | |||
Withheld | 1,154,954 | |||
| Marilyn McCoy | ||||
In Favor | 172,123,615 | |||
Withheld | 1,164,102 | |||
| Votes Received (Amounts in thousands) | ||||
| Mitchell M. Merin | ||||
In Favor | 172,132,812 | |||
Withheld | 1,154,905 | |||
| William G. Morton, Jr. | ||||
In Favor | 172,111,749 | |||
Withheld | 1,175,968 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 172,098,600 | |||
Withheld | 1,189,117 | |||
| Marian U. Pardo | ||||
In Favor | 172,162,159 | |||
Withheld | 1,125,559 | |||
| Frederick W. Ruebeck | ||||
In Favor | 172,051,301 | |||
Withheld | 1,236,416 | |||
| James J. Schonbachler | ||||
In Favor | 172,078,691 | |||
Withheld | 1,209,026 | |||
| 88 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
J.P. Morgan Fleming Mutual Fund Group, Inc.
JPMFMFG held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of JPMFMFG, including Mid Cap Value Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 248,045 | |||
Withheld | 2,166 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 247,867 | |||
Withheld | 2,343 | |||
| Robert J. Higgins | ||||
In Favor | 193,893 | |||
Withheld | 56,317 | |||
| Frankie D. Hughes | ||||
In Favor | 247,973 | |||
Withheld | 2,237 | |||
| Peter C. Marshall | ||||
In Favor | 247,787 | |||
Withheld | 2,423 | |||
| Mary E. Martinez | ||||
In Favor | 247,969 | |||
Withheld | 2,241 | |||
| Marilyn McCoy | ||||
In Favor | 248,057 | |||
Withheld | 2,153 | |||
| Votes Received (Amounts in thousands) | ||||
| Mitchell M. Merin | ||||
In Favor | 248,056 | |||
Withheld | 2,154 | |||
| William G. Morton, Jr. | ||||
In Favor | 247,904 | |||
Withheld | 2,306 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 247,855 | |||
Withheld | 2,355 | |||
| Marian U. Pardo | ||||
In Favor | 248,110 | |||
Withheld | 2,101 | |||
| Frederick W. Ruebeck | ||||
In Favor | 247,773 | |||
Withheld | 2,437 | |||
| James J. Schonbachler | ||||
In Favor | 247,959 | |||
Withheld | 2,251 | |||
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 89 | ||||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited) (continued)
J.P. Morgan Mutual Fund Investment Trust
JPMMFIT held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of JPMMFIT, including Growth Advantage Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 215,054 | |||
Withheld | 617 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 215,008 | |||
Withheld | 662 | |||
| Robert J. Higgins | ||||
In Favor | 208,280 | |||
Withheld | 7,391 | |||
| Frankie D. Hughes | ||||
In Favor | 215,086 | |||
Withheld | 584 | |||
| Peter C. Marshall | ||||
In Favor | 215,045 | |||
Withheld | 625 | |||
| Mary E. Martinez | ||||
In Favor | 215,037 | |||
Withheld | 633 | |||
| Marilyn McCoy | ||||
In Favor | 215,057 | |||
Withheld | 614 | |||
| Votes Received (Amounts in thousands) | ||||
| Mitchell M. Merin | ||||
In Favor | 215,054 | |||
Withheld | 616 | |||
| William G. Morton, Jr. | ||||
In Favor | 215,030 | |||
Withheld | 640 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 215,047 | |||
Withheld | 623 | |||
| Marian U. Pardo | ||||
In Favor | 215,021 | |||
Withheld | 649 | |||
| Frederick W. Ruebeck | ||||
In Favor | 215,049 | |||
Withheld | 621 | |||
| James J. Schonbachler | ||||
In Favor | 215,049 | |||
Withheld | 622 | |||
| 90 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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JPM Trust II
JPM II held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the following proposals.
Proposal 1: Election of Trustees
Trustees were elected by the shareholders of all of the series of the JPM II, including Mid Cap Growth Fund and Multi-Cap Market Neutral Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 132,674,822 | |||
Withheld | 508,692 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 132,670,672 | |||
Withheld | 512,842 | |||
| Robert J. Higgins | ||||
In Favor | 124,038,998 | |||
Withheld | 9,144,516 | |||
| Frankie D. Hughes | ||||
In Favor | 132,681,734 | |||
Withheld | 501,780 | |||
| Peter C. Marshall | ||||
In Favor | 132,663,579 | |||
Withheld | 519,935 | |||
| Mary E. Martinez | ||||
In Favor | 132,682,318 | |||
Withheld | 501,196 | |||
| Marilyn McCoy | ||||
In Favor | 132,681,993 | |||
Withheld | 501,520 | |||
| Votes Received (Amounts in thousands) | ||||
| Mitchell M. Merin | ||||
In Favor | 132,664,715 | |||
Withheld | 518,799 | |||
| William G. Morton, Jr. | ||||
In Favor | 132,650,698 | |||
Withheld | 532,816 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 132,664,727 | |||
Withheld | 518,788 | |||
| Marian U. Pardo | ||||
In Favor | 132,690,792 | |||
Withheld | 492,722 | |||
| Frederick W. Ruebeck | ||||
In Favor | 132,644,244 | |||
Withheld | 539,269 | |||
| James J. Schonbachler | ||||
In Favor | 132,671,281 | |||
Withheld | 512,233 | |||
Proposal 2: To approve the replacement of the fundamental investment objective for the Mid Cap Growth Fund with a new fundamental investment objective. The special meeting was adjourned because the proposal did not receive enough shareholder votes to pass.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 13,083 | |||
Against | 326 | |||
Abstain | 229 | |||
Broker Non Votes | 15,311 | |||
The new fundamental investment objective was approved by shareholders of the Fund when the special meeting reconvened on July 23, 2014.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 39,826 | |||
Against | 593 | |||
Abstain | 529 | |||
Broker Non Votes | 12,639 | |||
| JUNE 30, 2014 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 91 | ||||||
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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, 2014. 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, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.
Dividends Received Deductions (DRD)
Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2014:
Dividends Received Deduction | ||||
Growth Advantage Fund | 25.37 | % | ||
Mid Cap Equity Fund | 42.27 | |||
Mid Cap Growth Fund | 33.89 | |||
Mid Cap Value Fund | 81.33 | |||
Value Advantage Fund | 58.86 | |||
Long Term Capital Gain
Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
Long-Term Capital Gain Distribution | ||||
Growth Advantage Fund | $ | 88,308 | ||
Mid Cap Equity Fund | 66,650 | |||
Mid Cap Growth Fund | 179,210 | |||
Mid Cap Value Fund | 461,603 | |||
Value Advantage Fund | 80,234 | |||
Qualified Dividend Income (QDI)
Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
Qualified Dividend Income | ||||
Growth Advantage Fund | $ | 21,512 | ||
Mid Cap Equity Fund | 18,956 | |||
Mid Cap Growth Fund | 1,961 | |||
Mid Cap Value Fund | 235,213 | |||
Value Advantage Fund | 93,947 | |||
| 92 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2014 | ||||
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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 on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. 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., 2014. All rights reserved. June 2014. | AN-MC-614 |
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Annual Report
J.P. Morgan Large Cap Funds
June 30, 2014
JPMorgan Disciplined Equity Fund
JPMorgan Dynamic Growth Fund
JPMorgan Equity Focus Fund
JPMorgan Equity Income Fund
JPMorgan Growth and Income Fund
JPMorgan Hedged Equity Fund
JPMorgan Large Cap Growth Fund
JPMorgan Large Cap Value Fund
JPMorgan U.S. Equity Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Market Overview | 2 | |||
| 3 | ||||
| 5 | ||||
| 7 | ||||
| 9 | ||||
| 11 | ||||
| 13 | ||||
| 15 | ||||
| 17 | ||||
| 19 | ||||
| Schedules of Portfolio Investments | 21 | |||
| Financial Statements | 50 | |||
| Financial Highlights | 74 | |||
| Notes to Financial Statements | 96 | |||
| Report of Independent Registered Public Accounting Firm | 109 | |||
| Trustees | 110 | |||
| Officers | 112 | |||
| Schedule of Shareholder Expenses | 113 | |||
| Special Shareholder Meeting Results | 117 | |||
| Tax Letter | 119 | |||
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 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 31, 2014 (Unaudited)
Dear Shareholder:
The economic recovery strengthened over the past year and financial markets in the U.S. withstood periodic volatility to end the period with robust returns. Throughout the 12 months ended June 30, 2014, major central banks continued to provide economic stimulus through closely aligned policies of historically low interest rates. During this period, the U.S. unemployment rate fell to 6.09% from 7.54%. While there were discrete sell-offs in U.S. Treasury bonds, emerging market equities and U.S. small cap stocks, by the end of the period each of these market segments had largely recovered along with broader bond and equity markets.
 |
“The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their investments.” |
Financial markets were firmly focused on the U.S. Federal Reserve Bank (the “Fed”) and its policy decisions and pronouncements. At the start of the period, the Fed was purchasing $85 billion a month of Treasury bonds and mortgage backed securities under its Quantitative Easing (QE) program. However, the Fed’s then-chairman, Ben Bernanke, had signaled the central bank might reduce its monthly purchases if the U.S. economy continued to improve. Bernanke’s remarks were followed by a sell-off in U.S. equities and bonds during the summer of 2013. Equity prices then rebounded and headed higher as a range of U.S. economic data showed steady improvement through the final three months of 2013. The Fed’s announcement in December that it would cut its monthly asset purchases by $10 billion to $75 billion was followed by a sharp sell-off in emerging market assets that drove currency volatility in those markets. While reassuring investors that it would hold down interest rates into 2015, the Fed continued to taper off its QE purchases in $10 billion increments and by the end of the period monthly purchases were down to $45 billion.
The month of December also ushered in a winter of severe weather across much of the U.S. Snowstorms grounded airlines — affecting passengers and parcels alike — and shuttered businesses and schools throughout the country. Consumer spending and construction slowed to a greater extent than was understood at the time. In fact, U.S. gross domestic product shrank by 2.13% during the first three months of 2014. Economists attributed nearly half of that contraction to severe weather.
Signs of slower growth in China raised concerns that the nation’s economy might be in for a “hard landing” that would reverberate through emerging market nations, as well as developed economies. While the Chinese government’s efforts to restrain growth in real estate prices did impact property companies on the mainland as well as in Hong Kong, where the real estate sector makes up a significant portion of the local economy, China’s economy continued to grow at better than 7%.
Following volatility in the initial months of the reporting period, U.S. equity markets rose to record highs in December and, after a brief pause early in 2014, marched steadily higher in the following months, notching 22 record-high closings by the end of June. Volatility virtually disappeared in the final months of the reporting period and the Standard & Poor’s 500 Index (the “S&P 500”) did not move higher or lower by more than 1 percent for 51 consecutive days ended June 30, 2014. The last time the index moved so little was in 1995, when it went 95 days without moving a full percentage point. The Chicago Board Options Exchange Volatility Index ended the period near its lowest level since February 2007. At June 30, 2014, the S&P 500 produced a 12-month return of 24.61% and extended its longest stretch of consecutive quarterly gains in 16 years.
The U.S. bond market had a less stellar year than equities as the Fed’s maintenance of low interest rates held down prices for much of 2013. Bond prices rebounded in 2014, as slower-than-expected domestic growth and instability in emerging markets lifted demand for fixed income securities. The Barclays U.S. Aggregate Index returned 3.93% for the first six months of 2014 and 4.37% for the 12 months ended June 30, 2014.
In Europe, the sovereign debt crisis receded further and by the end of 2013, Ireland became the first nation to exit the European Union (EU) bailout program. Healthy corporate earnings and robust mergers and acquisitions activity bolstered equity markets. While the crisis in Ukraine appeared to have little impact on the EU economy, the European Central Bank (ECB) began to confront the threat of price deflation. In an unprecedented move on June 5, 2014, the ECB President Mario Draghi cut the deposit rate to negative 0.10% from 0.00%, effectively charging European banks for parking excess cash with the ECB. In Japan, Prime Minister Shinzo Abe’s economic policies appeared to be successful in pushing the economy out of a decade of stagnation and price deflation. Japanese equities ended 2013 at their highest levels since 1988. However, as 2014 began, investors grew less confident in “Abenomics” and an April increase in Japan’s consumption tax raised concerns that consumer spending would slow, removing a key support of the nation’s economic growth. The MSCI Europe, Australasia and Far East Index returned 23.57% for the 12 months ended June 30, 2014.
From Turbulence to Turnaround
At the start of the period, emerging markets generally benefited from investors’ global search for yield amid the low interest rate environment engineered by central banks in developed markets. However, a sell-off in emerging markets followed the Fed’s December decision to reduce its monthly asset purchases. Emerging market investors also faced political unrest in Ukraine, Thailand and Turkey, a potential bond default in Argentina, and uncertainty surrounding pending elections in India and Indonesia, two of the world’s largest democracies. Despite the headwinds and perhaps due to the “low for long” message on interest rates from both the Fed and the ECB, emerging markets rebounded and ended at June 30, 2014 with the strongest quarterly performance since 2012. The MSCI Emerging Markets Index returned 14.31% for the year ended June 30, 2014.
The past 12 months witnessed periodic sell-offs in equities and bonds in both developed and emerging markets. Market volatility was driven by comments as well as actions from the Fed and the ECB, along with external events around the globe. As the reporting period unfolded, investors who believed 2013 provided a bumpy ride soon found that 2014 provided its own surprises. However, equity markets — and also fixed income markets to some extent — proved resilient in the face of a variety of shocks and headwinds. The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their 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. If you should 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
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 1 | ||||||
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J.P. Morgan Large Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2014
The U.S. equity market performed strongly during the twelve months ended June 30, 2014. While financial market volatility spiked early in the reporting period amid investor uncertainty about the U.S. Federal Reserve Board’s (“Fed”) intent to taper off its monthly asset purchases, equity prices recovered and headed toward record highs at the end of 2013. Corporate profits remained healthy into 2014 and mergers and acquisitions activity increased as companies amassed large cash holdings and/or had access to inexpensive financing in the low-interest rate environment. Further bolstering equities were improving conditions in employment, housing and consumer sentiment. The Standard & Poor’s 500 Index (the “S&P 500 Index”) notched seven record high closings in December.
In early 2014, investors began to question the strength of the global economy as bond yields, which move in the opposite direction of bond prices, continued to fall across the developed world. Adding to investor anxiety were the ongoing tensions between Russia and Ukraine as well as a growing insurgency in Iraq. Equity markets regained their footing in mid-May as economic releases pointed to a stronger U.S. economy than suggested by the decline in first-quarter gross domestic product.
Large cap stocks mostly performed in line with mid cap and small cap issues during the reporting period. Within the large cap asset class, the energy and utilities sectors were among the strongest performers, while the telecommunication services and consumer staples sectors were among the weakest performers. The S&P 500 Index returned 24.61% and the Russell 1000 Index returned 25.35% for the twelve month period, while the Russell 1000 Growth Index returned 26.92% and the Russell 1000 Value Index returned 23.81% for the 12 month period.
| 2 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 26.33% | |||
| S&P 500 Index | 24.61% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 4,277,986 | ||
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 (the “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 12 months ended June 30, 2014. The Fund’s security selection in the software & services sector and the pharmaceutical/medical technology sector was the leading contributor to performance relative to the Benchmark, while security selection in the media sector and the systems & network hardware sector was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Alcoa Inc. and Schlumberger Ltd. and its underweight position in Pfizer Inc. Shares of Alcoa, a producer of aluminum and other alloy products, gained from the company’s improving profit margins and its efforts to shed low-margin operations and cut operating capacity. Shares of Schlumberger, an oilfield services company, rose as the company continued to generate solid margins, driven by technology sales, improving reliability and better asset utilization. Shares of Pfizer, a maker of drugs and consumer health products, slumped following the company’s failed takeover bid for AstraZeneca PLC.
Leading individual detractors from relative performance included the Fund’s overweight positions in Cisco Systems Inc., Hewlett-Packard Co. and General Motors Corp. Shares of Cisco, a provider of networking products and services, fell on weakness in demand from emerging markets. Shares of Hewlett-Packard, a provider of computer hardware and software, weakened on a disappointing earnings forecast and uncertainty about the company’s restructuring program. Shares of automaker General Motors sank amid the company’s troubled, massive recall of autos with faulty ignition systems.
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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Johnson & Johnson | 3.1 | % | |||||
| 2. | Apple, Inc. | 3.1 | ||||||
| 3. | Microsoft Corp. | 2.8 | ||||||
| 4. | Wells Fargo & Co. | 2.6 | ||||||
| 5. | Comcast Corp., Class A | 2.5 | ||||||
| 6. | Exxon Mobil Corp. | 2.3 | ||||||
| 7. | Lowe’s Cos., Inc. | 2.0 | ||||||
| 8. | ACE Ltd., (Switzerland) | 2.0 | ||||||
| 9. | Morgan Stanley | 1.8 | ||||||
| 10. | Honeywell International, Inc. | 1.7 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 19.1 | % | ||
| Consumer Discretionary | 16.4 | |||
| Financials | 15.1 | |||
| Health Care | 13.6 | |||
| Energy | 11.2 | |||
| Industrials | 8.9 | |||
| Consumer Staples | 7.1 | |||
| Materials | 3.9 | |||
| Utilities | 2.4 | |||
| Telecommunication Services | 1.7 | |||
| Short-Term Investments | 0.6 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 3 | ||||||
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JPMorgan Disciplined Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||
Without Sales Charge | 25.86 | % | 19.23 | % | 8.00 | % | ||||||||
With Sales Charge* | 19.26 | 17.94 | 7.42 | |||||||||||
CLASS R6 SHARES | March 24, 2003 | 26.44 | 19.84 | 8.55 | ||||||||||
INSTITUTIONAL CLASS SHARES | January 3, 1997 | 26.33 | 19.73 | 8.44 | ||||||||||
SELECT CLASS SHARES | September 10, 2001 | 26.12 | 19.54 | 8.28 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (6/30/04 TO 6/30/14)
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 $3,000,000 invested in Institutional Class Shares of the JPMorgan Disciplined Equity Fund, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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.
| 4 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 26.77% | |||
| Russell 1000 Growth Index | 26.92% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 282,765 | ||
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 12 months ended June 30, 2014. The Fund’s security selection in the energy and producer durables sectors was the leading detractor from performance relative to the Benchmark, while security selection in the consumer discretionary and health care sectors was the leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Cabot Oil & Gas Corp. and Kansas City Southern Co. Shares of Apple, a maker of mobile devices and computers, performed strongly on better-than-expected earnings and revenue, driven by sales of its iPhone products. Shares of Cabot Oil, an independent energy exploration and extraction company, fell amid concerns about a lack of pipeline capacity for the transport of natural gas production. Shares of Kansas City Southern, a freight rail operator, weakened on lower-than-expected carload volumes.
Leading individual contributors to relative performance included the Fund’s overweight positions in Gilead Sciences Inc., Alliance Data Systems Corp. and Priceline Group Inc. Shares of Gilead, a biopharmaceuticals company, rose on the prospects for Sovaldi, the company’s drug for the treatment of Hepatitis C. Shares of Alliance Data, a provider of marketing services, rose on better-than-expected earnings. Shares of Priceline, an online travel service, benefitted from strong bookings growth.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, 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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Google, Inc., Class A | 6.2 | % | |||||
| 2. | Gilead Sciences, Inc. | 5.1 | ||||||
| 3. | MasterCard, Inc., Class A | 4.9 | ||||||
| 4. | Priceline Group, Inc. (The) | 4.7 | ||||||
| 5. | Facebook, Inc., Class A | 4.4 | ||||||
| 6. | Kansas City Southern | 4.3 | ||||||
| 7. | Alliance Data Systems Corp. | 4.1 | ||||||
| 8. | Biogen Idec, Inc. | 4.1 | ||||||
| 9. | Las Vegas Sands Corp. | 4.0 | ||||||
| 10. | Schlumberger Ltd. | 4.0 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 26.6 | % | ||
Consumer Discretionary | 21.3 | |||
Health Care | 15.3 | |||
Industrials | 12.8 | |||
Financials | 8.4 | |||
Energy | 6.8 | |||
Materials | 2.7 | |||
Consumer Staples | 2.4 | |||
Short-Term Investment | 3.7 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 5 | ||||||
Table of Contents
JPMorgan Dynamic Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | November 30, 2007 | |||||||||||||
Without Sales Charge | 26.45 | % | 19.30 | % | 7.37 | % | ||||||||
With Sales Charge* | 19.81 | 18.02 | 6.50 | |||||||||||
CLASS C SHARES | November 30, 2007 | |||||||||||||
Without CDSC | 25.77 | 18.69 | 6.83 | |||||||||||
With CDSC** | 24.77 | 18.69 | 6.83 | |||||||||||
CLASS R5 SHARES | November 30, 2007 | 26.93 | 19.82 | 7.85 | ||||||||||
SELECT CLASS SHARES | November 30, 2007 | 26.77 | 19.59 | 7.64 | ||||||||||
| * | 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 6/30/14)
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 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, 2014. 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, if applicable. 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.
Subsequent to the inception date of the Fund 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.
| 6 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 25.75% | |||
| S&P 500 Index | 24.61% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $72,620 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Focus 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 S&P 500 Index (the “Benchmark”) for the 12 month period ended June 30, 2014. The Fund’s security selection in the consumer discretionary and health care sectors was a leading contributor to performance relative to the Benchmark, while security selection in the industrials and energy sectors detracted from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Priceline Group Inc., Gilead Sciences Inc. and Dish Network Corp. Shares of Priceline, an online travel service, benefited from strong bookings growth. Shares of Gilead, a biopharmaceuticals company, rose on prospects for Sovaldi, the company’s drug for the treatment of Hepatitis C. Shares of Dish Network, a provide of satellite TV services not held in the Benchmark, traded higher on merger talks with AT&T Corp., an agreement to provide Walt Disney Co. content to Dish subscribers and speculation that Verizon may seek to acquire Dish’s high-frequency spectrum.
Leading detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Teradata Corp. and Loews Corp. Shares of Apple, a maker of personal computers and mobile devices, performed strongly on better-than-expected earnings and revenue, driven by sales of iPhone products. Shares of Teradata Corp., a provider of data warehousing, analytics software and services, traded lower as the company experienced some execution issues, missed quarterly expectations and reduced its earnings forecast. Shares of Loews, a diversified holding company, fell on earnings weakness, largely attributable to challenges in its Diamond Offshore Drilling Inc. subsidiary.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection. As a result of this approach
to stock selection, the Fund’s largest overweights versus the Benchmark were in the consumer discretionary and financial services sectors. The Fund’s largest underweights versus the Benchmark were in the consumer staples and utilities sectors.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Google, Inc., Class C | 7.5 | % | |||||
| 2. | Gilead Sciences, Inc. | 6.0 | ||||||
| 3. | Kansas City Southern | 4.4 | ||||||
| 4. | Wells Fargo & Co. | 4.2 | ||||||
| 5. | Loews Corp. | 4.1 | ||||||
| 6. | Priceline Group, Inc. (The) | 3.8 | ||||||
| 7. | Kohl’s Corp. | 3.7 | ||||||
| 8. | American International Group, Inc. | 3.5 | ||||||
| 9. | Amazon.com, Inc. | 3.4 | ||||||
| 10. | Johnson & Johnson | 3.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 20.6 | % | ||
Consumer Discretionary | 20.3 | |||
Information Technology | 18.4 | |||
Health Care | 14.8 | |||
Energy | 9.5 | |||
Industrials | 6.6 | |||
Consumer Staples | 3.6 | |||
Utilities | 2.0 | |||
Materials | 1.8 | |||
Short-Term Investment | 2.4 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||
CLASS A SHARES | July 29, 2011 | |||||||||
Without Sales Charge | 25.43 | % | 17.58 | % | ||||||
With Sales Charge* | 18.86 | 15.43 | ||||||||
CLASS C SHARES | July 29, 2011 | |||||||||
Without CDSC | 24.86 | 17.00 | ||||||||
With CDSC** | 23.86 | 17.00 | ||||||||
SELECT CLASS SHARES | July 29, 2011 | 25.75 | 17.87 | |||||||
| * | 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 (7/29/11 TO 6/30/14)
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 July 29, 2011.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Equity Focus Fund, the S&P 500 Index and the Lipper Large-Cap Growth Funds Index from July 29, 2011 to June 30, 2014. 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 securities included in the benchmark, if applicable. 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 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 Growth Funds Index represents 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.
Subsequent to the inception date of the Fund and through July 30, 2013, 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.
| 8 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 21.94% | |||
| Russell 1000 Value Index | 23.81% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 7,525,529 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Equity Income Fund (the “Fund”) seeks current income through regular payment of dividends as well as to achieve capital appreciation by investing primarily in equity securities. Effective July 23, 2014, when shareholders of the Fund approved a change in the Fund’s investment objective, the Fund seeks capital appreciation and current income.
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 12 months ended June 30, 2014. The Fund’s security selection in the health care and consumer staples sectors was the leading detractor from performance relative to the Benchmark, while security selection in the financials and utilities sectors was the leading contributor to relative performance.
Leading individual detractors from the Fund’s relative performance included its positions in Philip Morris International Inc., Home Depot Inc. and CME Group Inc. Shares of Philip Morris, a holding company that makes and sells tobacco outside the U.S., fell on declining volume of cigarette shipments and weak revenues. Shares of Home Depot, a retailer of home-improvement products not held in the Benchmark, declined on weak quarterly sales. Shares of CME Group, a financial services company that operates the Chicago Mercantile Exchange, fell on overall weakness in the commodities sector.
Individual contributors to the Fund’s relative performance included its underweight position in Cisco Systems Inc., and Citicorp Inc. and its overweight position in ConocoPhillips. Shares of Cisco, a provider of networking products and services that was not held by the Fund, fell on weakness in orders from emerging markets. Shares of Citigroup, a financial services company, slumped amid unresolved regulatory issues that involved large potential penalties. Shares of ConocoPhillips, an energy exploration and production company, rose on better-than-expected earnings and revenue and an increase in production.
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 have the greatest potential to outperform in the long term. As the Fund aimed to purchase stocks with above average dividend yields, the research process was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 4.6 | % | |||||
| 2. | Johnson & Johnson | 4.0 | ||||||
| 3. | ConocoPhillips | 2.8 | ||||||
| 4. | Pfizer, Inc. | 2.5 | ||||||
| 5. | Chevron Corp. | 2.4 | ||||||
| 6. | Exxon Mobil Corp. | 2.2 | ||||||
| 7. | Apple, Inc. | 2.2 | ||||||
| 8. | PNC Financial Services Group, Inc. (The) | 2.1 | ||||||
| 9. | Occidental Petroleum Corp. | 2.1 | ||||||
| 10. | Merck & Co., Inc. | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 24.1 | % | ||
| Health Care | 12.6 | |||
| Consumer Discretionary | 11.9 | |||
| Energy | 11.3 | |||
| Information Technology | 10.6 | |||
| Industrials | 10.3 | |||
| Consumer Staples | 7.7 | |||
| Utilities | 6.8 | |||
| Materials | 2.1 | |||
| Telecommunication Services | 1.5 | |||
| Short-Term Investment | 1.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 21.60 | % | 19.62 | % | 8.73 | % | ||||||||
With Sales Charge* | 15.26 | 18.34 | 8.15 | |||||||||||
CLASS B SHARES | January 14, 1994 | |||||||||||||
Without CDSC | 20.99 | 19.08 | 8.27 | |||||||||||
With CDSC** | 15.99 | 18.88 | 8.27 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 20.95 | 19.02 | 8.15 | |||||||||||
With CDSC*** | 19.95 | 19.02 | 8.15 | |||||||||||
CLASS R2 SHARES | February 28, 2011 | 21.27 | 19.38 | 8.57 | ||||||||||
CLASS R5 SHARES | February 28, 2011 | 22.06 | 20.10 | 9.11 | ||||||||||
CLASS R6 SHARES | January 31, 2012 | 22.14 | 20.11 | 9.11 | ||||||||||
SELECT CLASS SHARES | July 2, 1987 | 21.94 | 19.95 | 9.04 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 and Class R5 Shares prior to their inception dates 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 for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to February 28, 2011, Select Class Shares. The actual returns for Class R6 Shares would have been different than those 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 Equity Income Fund, the Russell 1000 Value Index and the Lipper Equity Income Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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, 2014 | ||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 23.74% | |||
| S&P 500/Citigroup Value Index | 21.98% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 463,868 | ||
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 12 months ended June 30, 2014. The Fund’s security selection in the consumer discretionary and energy sectors contributed to performance relative to the Benchmark, while security selection in the industrials and materials sectors detracted from relative performance.
Individual contributors to relative performance included the Fund’s positions in Marriott International Inc., Apple Inc. and Dish Network Corp. Shares of Marriott, a hotel and hospitality chain, gained from strength in occupancy rates and overall strength in the lodging sector. Shares of Apple, a maker of mobile devices and computers, performed strongly on better-than-expected earnings and revenue, driven by sales of its iPhone products. Shares of Dish Network, a provide of satellite TV services not held in the Benchmark, traded higher on merger talks with AT&T Corp., an agreement to provide Walt Disney Co. content to Dish subscribers and speculation that Verizon may seek to acquire Dish’s high-frequency spectrum.
Leading individual detractors from the Fund’s relative performance included an overweight position in Coach Inc. and underweight positions in Walgreen Co. and Intel Corp. Shares of Coach, a designer and retailer of handbags and other luxury accessories, traded lower on declines in sales, gross profit and per-share earnings. Shares of both Walgreen, a retail drugstore chain, and Intel, a semiconductor maker, rose during the reporting period and the Fund’s underweight position in both stocks detracted from relative performance.
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. During the reporting period, the Fund was
overweight in the consumer discretionary sector, a sector in which the Fund’s portfolio managers believed they had 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. | Exxon Mobil Corp. | 3.4 | % | |||||
| 2. | Johnson & Johnson | 3.1 | ||||||
| 3. | Wells Fargo & Co. | 3.0 | ||||||
| 4. | Chevron Corp. | 3.0 | ||||||
| 5. | Occidental Petroleum Corp. | 2.2 | ||||||
| 6. | Microsoft Corp. | 2.1 | ||||||
| 7. | ConocoPhillips | 2.1 | ||||||
| 8. | Apple, Inc. | 2.0 | ||||||
| 9. | Goldman Sachs Group, Inc. (The) | 1.9 | ||||||
| 10. | Hartford Financial Services Group, Inc. (The) | 1.9 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 30.8 | % | ||
| Energy | 15.3 | |||
| Consumer Discretionary | 11.3 | |||
| Health Care | 11.1 | |||
| Information Technology | 9.9 | |||
| Industrials | 7.6 | |||
| Consumer Staples | 6.1 | |||
| Utilities | 4.1 | |||
| Telecommunication Services | 1.6 | |||
| Materials | 1.1 | |||
| Short-Term Investment | 1.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 11 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 23, 1987 | |||||||||||||
Without Sales Charge | 23.74 | % | 19.53 | % | 7.54 | % | ||||||||
With Sales Charge* | 17.26 | 18.25 | 6.96 | |||||||||||
CLASS B SHARES | November 4, 1993 | |||||||||||||
Without CDSC | 23.14 | 18.94 | 7.11 | |||||||||||
With CDSC** | 18.14 | 18.74 | 7.11 | |||||||||||
CLASS C SHARES | January 2, 1998 | |||||||||||||
Without CDSC | 23.12 | 18.94 | 7.00 | |||||||||||
With CDSC*** | 22.12 | 18.94 | 7.00 | |||||||||||
SELECT CLASS SHARES | January 25, 1996 | 24.05 | 19.88 | 7.87 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, the S&P 500/Citigroup Value Index, the Lipper Large-Cap Core Funds Index and the Lipper Large-Cap Value Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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, 2014 | ||||
Table of Contents
FUND COMMENTARY
For the period December 13, 2013 (Fund Inception Date) through June 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 6.28% | |||
| S&P 500 Index | 11.53% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $5,035 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) returned 6.28% for the period from its inception on December 13, 2013 to June 30, 2014, capturing approximately 54% of the S&P 500 Index (the “Benchmark”) return with approximately 67% of the Benchmark’s volatility. The Fund’s security selection in the consumer cyclical, telecommunications and media sectors detracted from performance relative to the Benchmark, while the Fund’s security selection in the industrial cyclical, retail and software & services sectors made a positive contribution to relative performance. Additionally, record low volatility during the second quarter of 2014, and the cost of downside protection through the use of index options capped the Fund’s participation in the gains of the Benchmark. A low volatility environment decreases the probability that any given option security will be valuable enough to exercise.
Leading individual detractors from relative performance included the Fund’s overweight positions in Bristol-Myers Squibb Co., General Motors Corp. and Intercontinental Exchange Inc. Shares of drug maker Bristol-Myers came under pressure following disappointing clinical trial data for its lung cancer drug candidate. Shares of automaker General Motors fell amid ongoing problems with its troubled, massive recall of cars with faulty ignition systems. Shares of Intercontinental Exchange, an operator of exchanges and clearing houses for financial and commodities markets, traded lower amid concerns that European Union antitrust regulations may challenge the company’s vertically integrated business model.
Leading individual contributors to relative performance included the Fund’s overweight positions in Wells Fargo & Co. and Union Pacific Co. and its underweight position in Pfizer Inc. Shares of Wells Fargo, a banking company, strengthened relative to its peers on expectations for higher levels of capital return. Shares of Union Pacific, a freight railroad, rose amid the company’s better-than-expected volume, particularly in grain and coal, and improvement in yield growth and margins. Shares of Pfizer, a maker of drugs and consumer health products, fell after the company’s failed takeover bid for AstraZeneca PLC.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded
index put options and selling exchange-traded index call options. The option overlay is known as a “Put/Spread Collar” strategy. The combination of the diversified portfolio of equity securities, downside protection from index put options and income from index call options was intended to provide the Fund with a portion of the returns associated with equity market investments, while exposing investors to less risk than traditional long-only equity strategies. During the period, the Fund was overweight in the semiconductors sector and underweight in the systems & network hardware sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 3.2 | % | |||||
| 2. | Johnson & Johnson | 2.6 | ||||||
| 3. | Wells Fargo & Co. | 2.4 | ||||||
| 4. | Microsoft Corp. | 2.2 | ||||||
| 5. | Exxon Mobil Corp. | 2.1 | ||||||
| 6. | Chevron Corp. | 1.7 | ||||||
| 7. | Schlumberger Ltd. | 1.5 | ||||||
| 8. | Verizon Communications, Inc. | 1.5 | ||||||
| 9. | Procter & Gamble Co. (The) | 1.5 | ||||||
| 10. | Bank of America Corp. | 1.4 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 18.5 | % | ||
Financials | 15.2 | |||
Health Care | 13.0 | |||
Consumer Discretionary | 12.6 | |||
Industrials | 11.0 | |||
Energy | 10.1 | |||
Consumer Staples | 9.4 | |||
Utilities | 3.7 | |||
Materials | 2.8 | |||
Telecommunication Services | 1.6 | |||
Exchange Traded Fund | 1.0 | |||
| Options Purchased | 1.0 | |||
| Short-Term Investment | 0.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 13 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
FUND COMMENTARY
For the period December 13, 2013 (Fund Inception Date) through June 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||
| INCEPTION DATE OF CLASS | SINCE INCEPTION* | |||||
CLASS A SHARES | December 13, 2013 | |||||
Without Sales Charge | 6.18 | % | ||||
With Sales Charge** | 0.61 | |||||
CLASS C SHARES | December 13, 2013 | |||||
Without CDSC | 5.87 | |||||
With CDSC*** | 4.87 | |||||
CLASS R5 SHARES | December 13, 2013 | 6.43 | ||||
CLASS R6 SHARES | December 13, 2013 | 6.46 | ||||
SELECT CLASS SHARES | December 13, 2013 | 6.28 | ||||
| * | Not annualized |
| ** | 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 (12/13/13 TO 6/30/14)
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 December 13, 2013.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Hedged Equity Fund, the S&P 500 Index and the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index from December 13, 2013 to June 30, 2014. 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 and 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 approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. 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. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through May 29, 2014, 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.
| 14 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 25.37% | |||
| Russell 1000 Growth Index | 26.92% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 14,945,732 | ||
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. Effective July 23, 2014, when shareholders of the Fund approved a change in the investment objective, the Fund seeks long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Russell 1000 Growth Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the energy and producer durables sectors was the leading detractor from performance relative to the Benchmark, while security selection in the health care sector and an underweight position in the consumer staples sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in LinkedIn Corp. and Cabot Oil & Gas Corp. Shares of Apple, a maker of mobile devices and computers, performed strongly on better-than-expected earnings and revenue, driven by sales of its iPhone products. Shares of LinkedIn, an online social network for professionals, fell after the company offered a weaker-than-expected outlook for earnings and revenue. Shares of Cabot Oil, an independent energy exploration and extraction company, fell amid concerns about a lack of pipeline capacity for the transport of natural gas production.
Leading individual contributors to relative performance included the Fund’s overweight positions in Facebook Inc. and Gilead Sciences Inc. and its underweight position in IBM Corp. Shares of Facebook, a social media company, gained in response to the company’s effective monetization efforts. Shares of Gilead, a biopharmaceuticals company, rose on prospects for Sovaldi, the company’s drug for the treatment of Hepatitis C. Shares of IBM, an information technology infrastructure and services company, fell after the company reported weaker-than expected 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 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.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Facebook, Inc., Class A | 3.8 | % | |||||
| 2. | Gilead Sciences, Inc. | 3.8 | ||||||
| 3. | MasterCard, Inc., Class A | 3.3 | ||||||
| 4. | Priceline Group, Inc. (The) | 3.1 | ||||||
| 5. | Home Depot, Inc. (The) | 3.1 | ||||||
| 6. | Google, Inc., Class C | 2.9 | ||||||
| 7. | Celgene Corp. | 2.7 | ||||||
| 8. | Google, Inc., Class A | 2.6 | ||||||
| 9. | Comcast Corp., Class A | 2.4 | ||||||
| 10. | Visa, Inc., Class A | 2.3 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Information Technology | 27.9 | % | ||
Consumer Discretionary | 24.2 | |||
Health Care | 18.9 | |||
Industrials | 10.0 | |||
Materials | 6.8 | |||
Energy | 4.4 | |||
Financials | 3.9 | |||
Consumer Staples | 3.5 | |||
Short-Term Investment | 0.4 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 15 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 22, 1994 | |||||||||||||
Without Sales Charge | 25.15 | % | 19.51 | % | 8.24 | % | ||||||||
With Sales Charge* | 18.58 | 18.23 | 7.66 | |||||||||||
CLASS B SHARES | January 14, 1994 | |||||||||||||
Without CDSC | 24.51 | 18.76 | 7.76 | |||||||||||
With CDSC** | 19.51 | 18.56 | 7.76 | |||||||||||
CLASS C SHARES | January 4, 1997 | |||||||||||||
Without CDSC | 24.53 | 18.74 | 7.66 | |||||||||||
With CDSC*** | 23.53 | 18.74 | 7.66 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 24.83 | 19.21 | 7.96 | ||||||||||
CLASS R5 SHARES | April 14, 2009 | 25.62 | 19.98 | 8.59 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 25.67 | 20.03 | 8.61 | ||||||||||
SELECT CLASS SHARES | February 28, 1992 | 25.37 | 19.73 | 8.48 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 and Class R5 Shares prior to their inception dates 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 for Class R5 Shares would have been different than those 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 April 14, 2009, Select Class Shares. The actual returns for Class R6 Shares would have been different than those 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 Growth Fund, the Russell 1000 Growth Index and the Lipper Large-Cap Growth Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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.
| 16 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 24.62% | |||
| Russell 1000 Value Index | 23.81% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 824,447 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Value Fund (the “Fund”) seeks capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Value Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the consumer staples and health care sectors was the leading contributor to performance relative to the Benchmark, while security selection in the energy and information technology sectors was the leading detractor from relative performance.
Individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Alcoa Inc. and Royal Caribbean Cruises Ltd. and its underweight position in Pfizer Inc. Shares of Alcoa, a producer of aluminum and other alloy products, gained from the company’s improving profit margins and its efforts to shed low-margin operations and cut operating capacity. Shares of Royal Caribbean, a cruise ship operator, rose after the company increased its earnings forecast. The Fund’s underweight position in Pfizer, a maker of drugs and consumer health products, contributed to relative performance as the stock came under pressure following the company’s failed takeover bid for AstraZeneca PLC.
Individual detractors from relative performance included the Fund’s overweight positions in Citigroup Inc., General Motors Corp. and Cisco Systems Inc. Shares of Citigroup, a financial services company, slumped amid unresolved regulatory issues that involved large potential penalties. Shares of automaker General Motors weakened on the company’s troubled, massive recall of cars with faulty ignition systems. Shares of Cisco, a provider of networking products and services, fell on weakness in orders from emerging markets.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers combined a bottom-up fundamental approach to security 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. | Johnson & Johnson | 4.5 | % | |||||
| 2. | Chevron Corp. | 4.3 | ||||||
| 3. | Bank of America Corp. | 4.2 | ||||||
| 4. | Wells Fargo & Co. | 3.8 | ||||||
| 5. | General Motors Co. | 3.3 | ||||||
| 6. | MetLife, Inc. | 3.2 | ||||||
| 7. | Citigroup, Inc. | 3.1 | ||||||
| 8. | Exxon Mobil Corp. | 2.7 | ||||||
| 9. | UnitedHealth Group, Inc. | 2.7 | ||||||
| 10. | Fluor Corp. | 2.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
Financials | 27.4 | % | ||
Health Care | 15.3 | |||
Energy | 14.6 | |||
Industrials | 12.3 | |||
Consumer Discretionary | 12.0 | |||
Information Technology | 8.4 | |||
Materials | 4.1 | |||
Consumer Staples | 2.6 | |||
Utilities | 2.1 | |||
Telecommunication Services | 1.0 | |||
Short-Term Investment | 0.2 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 17 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 24.46 | % | 17.47 | % | 7.12 | % | ||||||||
With Sales Charge* | 17.89 | 16.21 | 6.55 | |||||||||||
CLASS B SHARES | January 14, 1994 | |||||||||||||
Without CDSC | 23.81 | 16.87 | 6.66 | |||||||||||
With CDSC** | 18.81 | 16.66 | 6.66 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 23.78 | 16.87 | 6.55 | |||||||||||
With CDSC*** | 22.78 | 16.87 | 6.55 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 23.98 | 17.17 | 6.82 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 24.81 | 17.91 | 7.52 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 24.89 | 17.95 | 7.54 | ||||||||||
SELECT CLASS SHARES | March 1, 1991 | 24.62 | 17.67 | 7.34 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 and Class R5 Shares prior to their inception dates 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 for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to May 15, 2006, Select Class Shares. The actual returns for Class R6 Shares would have been different than those 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, the Russell 1000 Value Index and the Lipper Large-Cap Value Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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.
| 18 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Institutional Class Shares)* | 26.51% | |||
| S&P 500 Index | 24.61% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 10,779,644 | ||
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) outperformed the S&P 500 Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection and overweight position in the semiconductors sector and security selection in the energy sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection and underweight position in the systems & network hardware sector and security selection in the financial services sector detracted from relative performance.
Individual contributors to relative performance included the Fund’s overweight positions in Avago Technologies Ltd. and Schlumberger Ltd., and its underweight position in IBM Corp. Shares of Avago, a provider of analog semiconductor devices, rose amid better-than-expected earnings and revenue, particularly in the wireless and wired infrastructure segments, as well as robust overall gross margins. Shares of Schlumberger, an oilfield services company, rose as the company continued to generate solid margins, driven by technology sales, improving reliability and better asset utilization. Shares of IBM, a diversified information technology (IT) company, slumped on weaker than expected hardware revenue and service booking.
Individual detractors from relative performance included the Fund’s overweight positions in General Motors Corp., Cisco Systems Inc. and Broadcom Corp. Shares of automaker General Motors sank amid the company’s troubled, massive recall of autos with faulty ignition systems. Shares of Cisco, a provider of networking products and services, fell on weakness in orders from emerging markets. Shares of Broadcom, a maker of communications semiconductors, declined on weakness in orders for its mobile products.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine what they believed to be their underlying value and
potential for future earnings growth. As a result of this approach to stock selection, the Fund was overweight, relative to the Benchmark, in the semiconductors sector and the media sector. The Fund was underweight, compared with the Benchmark, in the consumer stable sector and the industrial cyclical sector.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Johnson & Johnson | 3.6 | % | |||||
| 2. | Apple, Inc. | 3.0 | ||||||
| 3. | Wells Fargo & Co. | 2.6 | ||||||
| 4. | Schlumberger Ltd. | 2.3 | ||||||
| 5. | Time Warner, Inc. | 2.3 | ||||||
| 6. | Exxon Mobil Corp. | 2.1 | ||||||
| 7. | Microsoft Corp. | 1.9 | ||||||
| 8. | Google, Inc., Class C | 1.9 | ||||||
| 9. | Comcast Corp., Class A | 1.9 | ||||||
| 10. | UnitedHealth Group, Inc. | 1.8 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 19.5 | % | ||
| Financials | 15.2 | |||
| Consumer Discretionary | 15.0 | |||
| Health Care | 14.5 | |||
| Industrials | 10.6 | |||
| Energy | 10.3 | |||
| Consumer Staples | 6.2 | |||
| Materials | 3.8 | |||
| Utilities | 2.1 | |||
| Telecommunication Services | 1.5 | |||
| Short-Term Investment | 1.3 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 19 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 10, 2001 | |||||||||||||
Without Sales Charge | 26.10 | % | 18.47 | % | 8.66 | % | ||||||||
With Sales Charge* | 19.46 | 17.19 | 8.08 | |||||||||||
CLASS B SHARES | September 10, 2001 | |||||||||||||
Without CDSC | 25.45 | 17.87 | 8.21 | |||||||||||
With CDSC** | 20.45 | 17.66 | 8.21 | |||||||||||
CLASS C SHARES | September 10, 2001 | |||||||||||||
Without CDSC | 25.40 | 17.86 | 8.10 | |||||||||||
With CDSC*** | 24.40 | 17.86 | 8.10 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 25.80 | 18.17 | 8.51 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 26.55 | 18.91 | 9.13 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 26.67 | 18.98 | 9.16 | ||||||||||
INSTITUTIONAL CLASS SHARES | September 17, 1993 | 26.51 | 18.90 | 9.09 | ||||||||||
SELECT CLASS SHARES | September 10, 2001 | 26.31 | 18.69 | 8.92 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to their inception date are based on the performance of 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. Returns for Class R5 Shares prior to its inception date are based on the performance of Institutional Class Shares. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Institutional Class Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to May 15, 2006, Institutional Class Shares. The actual returns for Class R6 Shares would have been different than those 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, the S&P 500 Index and the Lipper Large-Cap Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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 $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after eight years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 20 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.3% | |||||||
Consumer Discretionary — 16.4% | ||||||||
Auto Components — 1.2% | ||||||||
| 73 | Lear Corp. | 6,547 | ||||||
| 505 | TRW Automotive Holdings Corp. (a) | 45,172 | ||||||
|
| |||||||
| 51,719 | ||||||||
|
| |||||||
Automobiles — 1.3% | ||||||||
| 625 | Ford Motor Co. | 10,768 | ||||||
| 1,297 | General Motors Co. | 47,089 | ||||||
|
| |||||||
| 57,857 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% | ||||||||
| 979 | Royal Caribbean Cruises Ltd. | 54,410 | ||||||
|
| |||||||
Household Durables — 0.7% | ||||||||
| 62 | Harman International Industries, Inc. | 6,682 | ||||||
| 14 | NVR, Inc. (a) | 16,454 | ||||||
| 445 | PulteGroup, Inc. | 8,965 | ||||||
|
| |||||||
| 32,101 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.5% | ||||||||
| 72 | Amazon.com, Inc. (a) | 23,222 | ||||||
|
| |||||||
Media — 6.5% | ||||||||
| 801 | CBS Corp. (Non-Voting), Class B | 49,780 | ||||||
| 1,981 | Comcast Corp., Class A | 106,340 | ||||||
| 101 | Time Warner Cable, Inc. | 14,936 | ||||||
| 888 | Time Warner, Inc. | 62,360 | ||||||
| 111 | Time, Inc. (a) | 2,688 | ||||||
| 489 | Walt Disney Co. (The) | 41,935 | ||||||
|
| |||||||
| 278,039 | ||||||||
|
| |||||||
Multiline Retail — 0.5% | ||||||||
| 352 | Macy’s, Inc. | 20,446 | ||||||
|
| |||||||
Specialty Retail — 3.9% | ||||||||
| 836 | Home Depot, Inc. (The) | 67,658 | ||||||
| 1,798 | Lowe’s Cos., Inc. | 86,301 | ||||||
| 215 | TJX Cos., Inc. (The) | 11,411 | ||||||
|
| |||||||
| 165,370 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% | ||||||||
| 317 | V.F. Corp. | 19,980 | ||||||
|
| |||||||
Total Consumer Discretionary | 703,144 | |||||||
|
| |||||||
Consumer Staples — 7.1% | ||||||||
Beverages — 2.7% | ||||||||
| 724 | Coca-Cola Enterprises, Inc. | 34,607 | ||||||
| 325 | Constellation Brands, Inc., Class A (a) | 28,607 | ||||||
| 820 | Dr. Pepper Snapple Group, Inc. | 48,053 | ||||||
| 68 | PepsiCo, Inc. | 6,084 | ||||||
|
| |||||||
| 117,351 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — 0.5% | ||||||||
| 280 | CVS Caremark Corp. | 21,081 | ||||||
|
| |||||||
Food Products — 2.3% | ||||||||
| 1,040 | Archer-Daniels-Midland Co. | 45,857 | ||||||
| 44 | Kellogg Co. | 2,884 | ||||||
| 1,299 | Mondelez International, Inc., Class A | 48,856 | ||||||
|
| |||||||
| 97,597 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
| 540 | Procter & Gamble Co. (The) | 42,468 | ||||||
|
| |||||||
Tobacco — 0.6% | ||||||||
| 298 | Philip Morris International, Inc. | 25,163 | ||||||
|
| |||||||
Total Consumer Staples | 303,660 | |||||||
|
| |||||||
Energy — 11.2% | ||||||||
Energy Equipment & Services — 2.8% | ||||||||
| 254 | Cameron International Corp. (a) | 17,199 | ||||||
| 369 | Ensco plc, (United Kingdom), Class A | 20,505 | ||||||
| 127 | Halliburton Co. | 8,997 | ||||||
| 54 | National Oilwell Varco, Inc. | 4,455 | ||||||
| 158 | Rowan Cos. plc, Class A | 5,029 | ||||||
| 550 | Schlumberger Ltd. | 64,825 | ||||||
|
| |||||||
| 121,010 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.4% | ||||||||
| 141 | Anadarko Petroleum Corp. | 15,457 | ||||||
| 517 | Chevron Corp. | 67,497 | ||||||
| 353 | ConocoPhillips | 30,263 | ||||||
| 82 | EOG Resources, Inc. | 9,524 | ||||||
| 236 | EQT Corp. | 25,196 | ||||||
| 972 | Exxon Mobil Corp. | 97,890 | ||||||
| 139 | Hess Corp. | 13,716 | ||||||
| 1,789 | Marathon Oil Corp. | 71,405 | ||||||
| 44 | Marathon Petroleum Corp. | 3,412 | ||||||
| 52 | Occidental Petroleum Corp. | 5,378 | ||||||
| 99 | Phillips 66 | 7,979 | ||||||
| 255 | QEP Resources, Inc. | 8,797 | ||||||
|
| |||||||
| 356,514 | ||||||||
|
| |||||||
Total Energy | 477,524 | |||||||
|
| |||||||
Financials — 15.1% | ||||||||
Banks — 6.1% | ||||||||
| 3,920 | Bank of America Corp. | 60,253 | ||||||
| 1,073 | Citigroup, Inc. | 50,546 | ||||||
| 159 | East West Bancorp, Inc. | 5,563 | ||||||
| 348 | PNC Financial Services Group, Inc. (The) | 30,972 | ||||||
| 2,149 | Wells Fargo & Co. | 112,954 | ||||||
|
| |||||||
| 260,288 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 21 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Capital Markets — 3.3% | ||||||||
| 1,365 | Charles Schwab Corp. (The) | 36,770 | ||||||
| 72 | Goldman Sachs Group, Inc. (The) | 12,022 | ||||||
| 419 | Invesco Ltd. | 15,808 | ||||||
| 2,415 | Morgan Stanley | 78,090 | ||||||
|
| |||||||
| 142,690 | ||||||||
|
| |||||||
Consumer Finance — 0.2% | ||||||||
| 109 | Capital One Financial Corp. | 8,962 | ||||||
|
| |||||||
Diversified Financial Services — 0.5% | ||||||||
| 170 | Berkshire Hathaway, Inc., Class B (a) | 21,541 | ||||||
|
| |||||||
Insurance — 4.4% | ||||||||
| 813 | ACE Ltd., (Switzerland) | 84,320 | ||||||
| 82 | Axis Capital Holdings Ltd., (Bermuda) | 3,649 | ||||||
| 1,171 | MetLife, Inc. | 65,082 | ||||||
| 345 | Prudential Financial, Inc. | 30,662 | ||||||
| 105 | XL Group plc, (Ireland) | 3,424 | ||||||
|
| |||||||
| 187,137 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.6% | ||||||||
| 50 | AvalonBay Communities, Inc. | 7,095 | ||||||
| 101 | Simon Property Group, Inc. | 16,778 | ||||||
|
| |||||||
| 23,873 | ||||||||
|
| |||||||
Total Financials | 644,491 | |||||||
|
| |||||||
Health Care — 13.6% | ||||||||
Biotechnology — 3.6% | ||||||||
| 145 | Alexion Pharmaceuticals, Inc. (a) | 22,703 | ||||||
| 211 | Biogen Idec, Inc. (a) | 66,562 | ||||||
| 699 | Celgene Corp. (a) | 60,008 | ||||||
| 43 | Vertex Pharmaceuticals, Inc. (a) | 4,100 | ||||||
|
| |||||||
| 153,373 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.4% | ||||||||
| 1,162 | Abbott Laboratories | 47,538 | ||||||
| 439 | Baxter International, Inc. | 31,761 | ||||||
| 4,103 | Boston Scientific Corp. (a) | 52,390 | ||||||
| 154 | Stryker Corp. | 12,969 | ||||||
|
| |||||||
| 144,658 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% | ||||||||
| 332 | Aetna, Inc. | 26,878 | ||||||
| 51 | Cigna Corp. | 4,709 | ||||||
| 341 | Humana, Inc. | 43,542 | ||||||
| 466 | UnitedHealth Group, Inc. | 38,135 | ||||||
|
| |||||||
| 113,264 | ||||||||
|
| |||||||
Pharmaceuticals — 4.0% | ||||||||
| 660 | Bristol-Myers Squibb Co. | 32,012 | ||||||
| 1,282 | Johnson & Johnson | 134,070 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — continued | ||||||||
| 73 | Merck & Co., Inc. | 4,249 | ||||||
|
| |||||||
| 170,331 | ||||||||
|
| |||||||
Total Health Care | 581,626 | |||||||
|
| |||||||
Industrials — 8.9% | ||||||||
Aerospace & Defense — 4.4% | ||||||||
| 42 | General Dynamics Corp. | 4,907 | ||||||
| 804 | Honeywell International, Inc. | 74,704 | ||||||
| 335 | L-3 Communications Holdings, Inc. | 40,427 | ||||||
| 597 | United Technologies Corp. | 68,971 | ||||||
|
| |||||||
| 189,009 | ||||||||
|
| |||||||
Airlines — 1.0% | ||||||||
| 448 | Delta Air Lines, Inc. | 17,343 | ||||||
| 565 | United Continental Holdings, Inc. (a) | 23,188 | ||||||
|
| |||||||
| 40,531 | ||||||||
|
| |||||||
Construction & Engineering — 1.5% | ||||||||
| 860 | Fluor Corp. | 66,153 | ||||||
|
| |||||||
Electrical Equipment — 0.3% | ||||||||
| 167 | Eaton Corp. plc | 12,912 | ||||||
| 14 | Emerson Electric Co. | 920 | ||||||
|
| |||||||
| 13,832 | ||||||||
|
| |||||||
Machinery — 1.1% | ||||||||
| 158 | Deere & Co. | 14,316 | ||||||
| 501 | PACCAR, Inc. | 31,500 | ||||||
|
| |||||||
| 45,816 | ||||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
| 362 | CSX Corp. | 11,151 | ||||||
| 62 | Norfolk Southern Corp. | 6,398 | ||||||
| 63 | Union Pacific Corp. | 6,244 | ||||||
|
| |||||||
| 23,793 | ||||||||
|
| |||||||
Total Industrials | 379,134 | |||||||
|
| |||||||
Information Technology — 19.0% | ||||||||
Communications Equipment — 2.4% | ||||||||
| 1,204 | Cisco Systems, Inc. | 29,909 | ||||||
| 775 | Juniper Networks, Inc. (a) | 19,006 | ||||||
| 708 | QUALCOMM, Inc. | 56,066 | ||||||
|
| |||||||
| 104,981 | ||||||||
|
| |||||||
Internet Software & Services — 2.7% | ||||||||
| 188 | eBay, Inc. (a) | 9,386 | ||||||
| 95 | Google, Inc., Class A (a) | 55,479 | ||||||
| 87 | Google, Inc., Class C (a) | 50,274 | ||||||
|
| |||||||
| 115,139 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
IT Services — 3.4% | ||||||||
| 738 | Accenture plc, (Ireland), Class A | 59,668 | ||||||
| 428 | Cognizant Technology Solutions Corp., | |||||||
Class A (a) | 20,948 | |||||||
| 302 | Visa, Inc., Class A | 63,529 | ||||||
|
| |||||||
| 144,145 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
| 208 | Avago Technologies Ltd., (Singapore) | 15,005 | ||||||
| 566 | Freescale Semiconductor Ltd. (a) | 13,310 | ||||||
| 503 | KLA-Tencor Corp. | 36,553 | ||||||
| 694 | Lam Research Corp. | 46,899 | ||||||
| 3,192 | ON Semiconductor Corp. (a) | 29,174 | ||||||
|
| |||||||
| 140,941 | ||||||||
|
| |||||||
Software — 4.1% | ||||||||
| 481 | Adobe Systems, Inc. (a) | 34,812 | ||||||
| 329 | Citrix Systems, Inc. (a) | 20,604 | ||||||
| 2,858 | Microsoft Corp. | 119,180 | ||||||
| 77 | Oracle Corp. | 3,102 | ||||||
|
| |||||||
| 177,698 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.1% |
| |||||||
| 1,416 | Apple, Inc. | 131,623 | ||||||
|
| |||||||
Total Information Technology | 814,527 | |||||||
|
| |||||||
Materials — 3.9% | ||||||||
Chemicals — 0.7% | ||||||||
| 296 | Dow Chemical Co. (The) | 15,232 | ||||||
| 44 | Monsanto Co. | 5,476 | ||||||
| 216 | Mosaic Co. (The) | 10,667 | ||||||
|
| |||||||
| 31,375 | ||||||||
|
| |||||||
Containers & Packaging — 0.9% |
| |||||||
| 420 | Ball Corp. | 26,344 | ||||||
| 180 | Packaging Corp. of America | 12,890 | ||||||
|
| |||||||
| 39,234 | ||||||||
|
| |||||||
Metals & Mining — 2.3% |
| |||||||
| 2,649 | Alcoa, Inc. | 39,447 | ||||||
| 758 | Freeport-McMoRan Copper & Gold, Inc. | 27,671 | ||||||
| 1,153 | United States Steel Corp. | 30,034 | ||||||
|
| |||||||
| 97,152 | ||||||||
|
| |||||||
Total Materials | 167,761 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Telecommunication Services — 1.7% | ||||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
| 1,454 | Verizon Communications, Inc. | 71,130 | ||||||
|
| |||||||
Utilities — 2.4% | ||||||||
Electric Utilities — 1.4% | ||||||||
| 313 | Edison International | 18,200 | ||||||
| 239 | Exelon Corp. | 8,730 | ||||||
| 327 | NextEra Energy, Inc. | 33,555 | ||||||
|
| |||||||
| 60,485 | ||||||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
| 688 | CMS Energy Corp. | 21,425 | ||||||
| 221 | NiSource, Inc. | 8,702 | ||||||
| 322 | Public Service Enterprise Group, Inc. | 13,122 | ||||||
|
| |||||||
| 43,249 | ||||||||
|
| |||||||
Total Utilities | 103,734 | |||||||
|
| |||||||
Total Common Stocks | 4,246,731 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| Short-Term Investments — 0.6% | |||||||
U.S. Treasury Obligation — 0.0% (g) | ||||||||
| 2,315 | U.S. Treasury Bill, 0.080%, 05/28/15 (k) (n) | 2,313 | ||||||
|
| |||||||
| SHARES | ||||||||
Investment Company — 0.6% | ||||||||
| 23,917 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 23,917 | ||||||
|
| |||||||
Total Short-Term Investments | 26,230 | |||||||
|
| |||||||
Total Investments — 99.9% | 4,272,961 | |||||||
Other Assets in Excess of | 5,025 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,277,986 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 23 | ||||||
Table of Contents
JPMorgan Disciplined Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 261 | E-mini S&P 500 | 09/19/14 | $ | 25,479 | $ | 353 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Dynamic Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.2% | |||||||
Consumer Discretionary — 21.3% | ||||||||
Hotels, Restaurants & Leisure — 7.8% | ||||||||
| 149 | Las Vegas Sands Corp. | 11,378 | ||||||
| 137 | Starbucks Corp. | 10,564 | ||||||
|
| |||||||
| 21,942 | ||||||||
|
| |||||||
Internet & Catalog Retail — 7.7% | ||||||||
| 26 | Amazon.com, Inc. (a) | 8,514 | ||||||
| 11 | Priceline Group, Inc. (The) (a) | 13,371 | ||||||
|
| |||||||
| 21,885 | ||||||||
|
| |||||||
Specialty Retail — 3.5% | ||||||||
| 121 | Home Depot, Inc. (The) | 9,790 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.3% | ||||||||
| 75 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 6,616 | ||||||
|
| |||||||
Total Consumer Discretionary | 60,233 | |||||||
|
| |||||||
Consumer Staples — 2.4% | ||||||||
Food & Staples Retailing — 2.4% | ||||||||
| 89 | CVS Caremark Corp. | 6,700 | ||||||
|
| |||||||
Energy — 6.8% | ||||||||
Energy Equipment & Services — 4.0% | ||||||||
| 96 | Schlumberger Ltd. | 11,341 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% | ||||||||
| 231 | Cabot Oil & Gas Corp. | 7,884 | ||||||
|
| |||||||
Total Energy | 19,225 | |||||||
|
| |||||||
Financials — 8.4% | ||||||||
Capital Markets — 6.2% | ||||||||
| 38 | Goldman Sachs Group, Inc. (The) | 6,392 | ||||||
| 358 | TD Ameritrade Holding Corp. | 11,224 | ||||||
|
| |||||||
| 17,616 | ||||||||
|
| |||||||
Diversified Financial Services — 2.2% | ||||||||
| 32 | Intercontinental Exchange, Inc. | 6,106 | ||||||
|
| |||||||
Total Financials | 23,722 | |||||||
|
| |||||||
Health Care — 15.3% | ||||||||
Biotechnology — 15.3% | ||||||||
| 32 | Alexion Pharmaceuticals, Inc. (a) | 4,981 | ||||||
| 37 | Biogen Idec, Inc. (a) | 11,627 | ||||||
| 76 | Celgene Corp. (a) | 6,561 | ||||||
| 172 | Gilead Sciences, Inc. (a) | 14,298 | ||||||
| 61 | Vertex Pharmaceuticals, Inc. (a) | 5,813 | ||||||
|
| |||||||
Total Health Care | 43,280 | |||||||
|
| |||||||
Industrials — 12.8% | ||||||||
Aerospace & Defense — 2.5% | ||||||||
| 42 | TransDigm Group, Inc. | 7,081 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 2.5% | ||||||||
| 55 | Rockwell Automation, Inc. | 6,865 | ||||||
|
| |||||||
Machinery — 3.5% | ||||||||
| 134 | Flowserve Corp. | 9,944 | ||||||
|
| |||||||
Road & Rail — 4.3% | ||||||||
| 113 | Kansas City Southern | 12,152 | ||||||
|
| |||||||
Total Industrials | 36,042 | |||||||
|
| |||||||
Information Technology — 26.5% | ||||||||
Internet Software & Services — 10.5% | ||||||||
| 185 | Facebook, Inc., Class A (a) | 12,443 | ||||||
| 30 | Google, Inc., Class A (a) | 17,400 | ||||||
|
| |||||||
| 29,843 | ||||||||
|
| |||||||
IT Services — 9.0% | ||||||||
| 42 | Alliance Data Systems Corp. (a) | 11,672 | ||||||
| 187 | MasterCard, Inc., Class A | 13,742 | ||||||
|
| |||||||
| 25,414 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.4% |
| |||||||
| 152 | ARM Holdings plc, (United Kingdom), ADR | 6,890 | ||||||
|
| |||||||
Software — 4.6% | ||||||||
| 121 | salesforce.com, Inc. (a) | 7,026 | ||||||
| 61 | VMware, Inc., Class A (a) | 5,884 | ||||||
|
| |||||||
| 12,910 | ||||||||
|
| |||||||
Total Information Technology | 75,057 | |||||||
|
| |||||||
Materials — 2.7% | ||||||||
Chemicals — 2.7% | ||||||||
| 61 | Monsanto Co. | 7,609 | ||||||
|
| |||||||
Total Common Stocks | 271,868 | |||||||
|
| |||||||
| Short-Term Investment — 3.7% | |||||||
Investment Company — 3.7% | ||||||||
| 10,584 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 10,584 | ||||||
|
| |||||||
Total Investments — 99.9% | 282,452 | |||||||
Other Assets in Excess of | 313 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 282,765 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 25 | ||||||
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.5% |
| ||||||
Consumer Discretionary — 20.3% | ||||||||
Hotels, Restaurants & Leisure — 5.2% | ||||||||
| 26 | Las Vegas Sands Corp. | 2,015 | ||||||
| 22 | Starbucks Corp. | 1,722 | ||||||
|
| |||||||
| 3,737 | ||||||||
|
| |||||||
Internet & Catalog Retail — 7.2% | ||||||||
| 8 | Amazon.com, Inc. (a) | 2,465 | ||||||
| 2 | Priceline Group, Inc. (The) (a) | 2,761 | ||||||
|
| |||||||
| 5,226 | ||||||||
|
| |||||||
Media — 2.7% | ||||||||
| 30 | DISH Network Corp., Class A (a) | 1,980 | ||||||
|
| |||||||
Multiline Retail — 3.7% | ||||||||
| 51 | Kohl’s Corp. | 2,709 | ||||||
|
| |||||||
Specialty Retail — 1.5% | ||||||||
| 34 | Best Buy Co., Inc. | 1,062 | ||||||
|
| |||||||
Total Consumer Discretionary | 14,714 | |||||||
|
| |||||||
Consumer Staples — 3.6% | ||||||||
Beverages — 1.8% | ||||||||
| 22 | Dr. Pepper Snapple Group, Inc. | 1,277 | ||||||
|
| |||||||
Household Products — 1.8% | ||||||||
| 17 | Procter & Gamble Co. (The) | 1,336 | ||||||
|
| |||||||
Total Consumer Staples | 2,613 | |||||||
|
| |||||||
Energy — 9.5% | ||||||||
Oil, Gas & Consumable Fuels — 9.5% | ||||||||
| 55 | Cabot Oil & Gas Corp. | 1,868 | ||||||
| 19 | Devon Energy Corp. | 1,519 | ||||||
| 23 | Exxon Mobil Corp. | 2,316 | ||||||
| 33 | Kinder Morgan, Inc. | 1,197 | ||||||
|
| |||||||
Total Energy | 6,900 | |||||||
|
| |||||||
Financials — 20.6% | ||||||||
Banks — 5.3% | ||||||||
| 6 | M&T Bank Corp. | 794 | ||||||
| 58 | Wells Fargo & Co. | 3,027 | ||||||
|
| |||||||
| 3,821 | ||||||||
|
| |||||||
Capital Markets — 1.5% | ||||||||
| 13 | T. Rowe Price Group, Inc. | 1,090 | ||||||
|
| |||||||
Consumer Finance — 3.0% | ||||||||
| 26 | Capital One Financial Corp. | 2,186 | ||||||
|
| |||||||
Diversified Financial Services — 1.5% | ||||||||
| 8 | Berkshire Hathaway, Inc., Class B (a) | 1,075 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Insurance — 7.7% | ||||||||
| 47 | American International Group, Inc. | 2,580 | ||||||
| 68 | Loews Corp. | 3,010 | ||||||
|
| |||||||
| 5,590 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.6% | ||||||||
| 33 | Rayonier, Inc. | 1,178 | ||||||
|
| |||||||
Total Financials | 14,940 | |||||||
|
| |||||||
Health Care — 14.8% | ||||||||
Biotechnology — 11.4% | ||||||||
| 10 | Alexion Pharmaceuticals, Inc. (a) | 1,570 | ||||||
| 8 | Biogen Idec, Inc. (a) | 2,399 | ||||||
| 52 | Gilead Sciences, Inc. (a) | 4,344 | ||||||
|
| |||||||
| 8,313 | ||||||||
|
| |||||||
Pharmaceuticals — 3.4% | ||||||||
| 23 | Johnson & Johnson | 2,443 | ||||||
|
| |||||||
Total Health Care | 10,756 | |||||||
|
| |||||||
Industrials — 6.6% | ||||||||
Aerospace & Defense — 2.3% | ||||||||
| 14 | United Technologies Corp. | 1,654 | ||||||
|
| |||||||
Road & Rail — 4.3% | ||||||||
| 29 | Kansas City Southern | 3,160 | ||||||
|
| |||||||
Total Industrials | 4,814 | |||||||
|
| |||||||
Information Technology — 18.3% | ||||||||
Internet Software & Services — 10.1% | ||||||||
| 28 | Facebook, Inc., Class A (a) | 1,894 | ||||||
| 9 | Google, Inc., Class C (a) | 5,460 | ||||||
|
| |||||||
| 7,354 | ||||||||
|
| |||||||
IT Services — 3.3% | ||||||||
| 33 | MasterCard, Inc., Class A | 2,413 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.7% |
| |||||||
| 43 | ARM Holdings plc, (United Kingdom), ADR | 1,941 | ||||||
|
| |||||||
Software — 2.2% | ||||||||
| 27 | salesforce.com, Inc. (a) | 1,597 | ||||||
|
| |||||||
Total Information Technology | 13,305 | |||||||
|
| |||||||
Materials — 1.8% | ||||||||
Chemicals — 0.6% | ||||||||
| 11 | Rayonier Advanced Materials, Inc. (a) | 428 | ||||||
|
| |||||||
Containers & Packaging — 1.2% | ||||||||
| 8 | Rock-Tenn Co., Class A | 861 | ||||||
|
| |||||||
Total Materials | 1,289 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Utilities — 2.0% |
| |||||||
Electric Utilities — 2.0% |
| |||||||
| 25 | Edison International | 1,473 | ||||||
|
| |||||||
Total Common Stocks | 70,804 | |||||||
|
| |||||||
| Short-Term Investment — 2.4% |
| ||||||
Investment Company — 2.4% | ||||||||
| 1,753 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 1,753 | ||||||
|
| |||||||
Total Investments — 99.9% | 72,557 | |||||||
Other Assets in Excess of | 63 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 72,620 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 27 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.4% |
| ||||||
Consumer Discretionary — 11.8% |
| |||||||
Distributors — 0.7% |
| |||||||
| 591 | Genuine Parts Co. | 51,869 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
| 609 | Brinker International, Inc. | 29,649 | ||||||
| 1,013 | Dunkin’ Brands Group, Inc. | 46,418 | ||||||
| 745 | Wyndham Worldwide Corp. | 56,438 | ||||||
|
| |||||||
| 132,505 | ||||||||
|
| |||||||
Media — 4.0% |
| |||||||
| 1,362 | Cinemark Holdings, Inc. | 48,148 | ||||||
| 457 | Comcast Corp., Class A | 24,390 | ||||||
| 1,022 | Omnicom Group, Inc. | 72,769 | ||||||
| 214 | Time Warner Cable, Inc. | 31,595 | ||||||
| 1,381 | Time Warner, Inc. | 97,000 | ||||||
| 972 | Time, Inc. (a) | 23,544 | ||||||
|
| |||||||
| 297,446 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
| 714 | Macy’s, Inc. | 41,453 | ||||||
|
| |||||||
Specialty Retail — 4.4% |
| |||||||
| 1,750 | Gap, Inc. (The) | 72,750 | ||||||
| 790 | Home Depot, Inc. (The) | 63,994 | ||||||
| 1,429 | L Brands, Inc. | 83,821 | ||||||
| 573 | Tiffany & Co. | 57,413 | ||||||
| 790 | Williams-Sonoma, Inc. | 56,737 | ||||||
|
| |||||||
| 334,715 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| 492 | V.F. Corp. | 31,018 | ||||||
|
| |||||||
Total Consumer Discretionary | 889,006 | |||||||
|
| |||||||
Consumer Staples — 7.7% |
| |||||||
Beverages — 0.9% |
| |||||||
| 1,542 | Coca-Cola Co. (The) | 65,322 | ||||||
|
| |||||||
Food Products — 2.4% |
| |||||||
| 660 | Hershey Co. (The) | 64,256 | ||||||
| 402 | JM Smucker Co. (The) | 42,888 | ||||||
| 1,961 | Mondelez International, Inc., Class A | 73,759 | ||||||
|
| |||||||
| 180,903 | ||||||||
|
| |||||||
Household Products — 1.3% |
| |||||||
| 1,246 | Procter & Gamble Co. (The) | 97,956 | ||||||
|
| |||||||
Tobacco — 3.1% |
| |||||||
| 1,241 | Altria Group, Inc. | 52,064 | ||||||
| 1,163 | Lorillard, Inc. | 70,937 | ||||||
| 1,326 | Philip Morris International, Inc. | 111,823 | ||||||
|
| |||||||
| 234,824 | ||||||||
|
| |||||||
Total Consumer Staples | 579,005 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 11.3% |
| |||||||
Oil, Gas & Consumable Fuels — 11.3% |
| |||||||
| 1,401 | Chevron Corp. | 182,873 | ||||||
| 2,475 | ConocoPhillips | 212,175 | ||||||
| 1,670 | Exxon Mobil Corp. | 168,159 | ||||||
| 923 | Kinder Morgan, Inc. | 33,485 | ||||||
| 553 | Marathon Petroleum Corp. | 43,209 | ||||||
| 1,508 | Occidental Petroleum Corp. | 154,795 | ||||||
| 947 | Williams Cos., Inc. (The) | 55,111 | ||||||
|
| |||||||
Total Energy | 849,807 | |||||||
|
| |||||||
Financials — 23.9% |
| |||||||
Banks — 10.1% |
| |||||||
| 2,089 | BB&T Corp. | 82,350 | ||||||
| 577 | Cullen/Frost Bankers, Inc. | 45,851 | ||||||
| 431 | M&T Bank Corp. | 53,502 | ||||||
| 1,786 | PNC Financial Services Group, Inc. (The) | 159,038 | ||||||
| 1,707 | U.S. Bancorp | 73,958 | ||||||
| 6,521 | Wells Fargo & Co. | 342,730 | ||||||
|
| |||||||
| 757,429 | ||||||||
|
| |||||||
Capital Markets — 4.2% |
| |||||||
| 437 | Ameriprise Financial, Inc. | 52,411 | ||||||
| 298 | BlackRock, Inc. | 95,136 | ||||||
| 1,264 | Northern Trust Corp. | 81,189 | ||||||
| 1,008 | T. Rowe Price Group, Inc. | 85,079 | ||||||
|
| |||||||
| 313,815 | ||||||||
|
| |||||||
Diversified Financial Services — 1.8% |
| |||||||
| 1,297 | CME Group, Inc. | 92,029 | ||||||
| 520 | McGraw Hill Financial, Inc. | 43,169 | ||||||
|
| |||||||
| 135,198 | ||||||||
|
| |||||||
Insurance — 6.2% |
| |||||||
| 898 | Arthur J. Gallagher & Co. | 41,869 | ||||||
| 683 | Cincinnati Financial Corp. | 32,822 | ||||||
| 1,757 | Hartford Financial Services Group, Inc. (The) | 62,910 | ||||||
| 1,454 | MetLife, Inc. | 80,809 | ||||||
| 1,083 | Prudential Financial, Inc. | 96,144 | ||||||
| 1,352 | Travelers Cos., Inc. (The) | 127,147 | ||||||
| 777 | Validus Holdings Ltd., (Bermuda) | 29,731 | ||||||
|
| |||||||
| 471,432 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
| 281 | Alexandria Real Estate Equities, Inc. | 21,786 | ||||||
| 280 | AvalonBay Communities, Inc. | 39,744 | ||||||
| 367 | Simon Property Group, Inc. | 61,072 | ||||||
| 135 | Washington Prime Group, Inc. (a) | 2,522 | ||||||
|
| |||||||
| 125,124 | ||||||||
|
| |||||||
Total Financials | 1,802,998 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Health Care — 12.5% |
| |||||||
Health Care Equipment & Supplies — 2.0% |
| |||||||
| 915 | Baxter International, Inc. | 66,189 | ||||||
| 718 | Becton, Dickinson and Co. | 84,882 | ||||||
|
| |||||||
| 151,071 | ||||||||
|
| |||||||
Pharmaceuticals — 10.5% |
| |||||||
| 959 | AbbVie, Inc. | 54,117 | ||||||
| 2,066 | Bristol-Myers Squibb Co. | 100,212 | ||||||
| 2,842 | Johnson & Johnson | 297,314 | ||||||
| 2,675 | Merck & Co., Inc. | 154,724 | ||||||
| 6,314 | Pfizer, Inc. | 187,396 | ||||||
|
| |||||||
| 793,763 | ||||||||
|
| |||||||
Total Health Care | 944,834 | |||||||
|
| |||||||
Industrials — 10.3% |
| |||||||
Aerospace & Defense — 2.6% |
| |||||||
| 1,081 | Honeywell International, Inc. | 100,438 | ||||||
| 828 | United Technologies Corp. | 95,585 | ||||||
|
| |||||||
| 196,023 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.1% |
| |||||||
| 793 | United Parcel Service, Inc., Class B | 81,366 | ||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
| 688 | Emerson Electric Co. | 45,687 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
| 606 | 3M Co. | 86,770 | ||||||
|
| |||||||
Machinery — 2.9% |
| |||||||
| 1,087 | Illinois Tool Works, Inc. | 95,214 | ||||||
| 1,472 | PACCAR, Inc. | 92,513 | ||||||
| 274 | Snap-on, Inc. | 32,428 | ||||||
|
| |||||||
| 220,155 | ||||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
| 722 | Norfolk Southern Corp. | 74,415 | ||||||
| 379 | Union Pacific Corp. | 37,790 | ||||||
|
| |||||||
| 112,205 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
| 621 | Fastenal Co. | 30,741 | ||||||
|
| |||||||
Total Industrials | 772,947 | |||||||
|
| |||||||
Information Technology — 10.5% |
| |||||||
Communications Equipment — 0.7% |
| |||||||
| 705 | QUALCOMM, Inc. | 55,836 | ||||||
|
| |||||||
IT Services — 2.7% |
| |||||||
| 807 | Accenture plc, (Ireland), Class A | 65,246 | ||||||
| 870 | Automatic Data Processing, Inc. | 68,992 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
IT Services — continued | ||||||||
| 1,230 | Fidelity National Information Services, Inc. | 67,341 | ||||||
|
| |||||||
| 201,579 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.8% |
| |||||||
| 1,433 | Analog Devices, Inc. | 77,469 | ||||||
| 1,260 | KLA-Tencor Corp. | 91,530 | ||||||
| 1,364 | Texas Instruments, Inc. | 65,188 | ||||||
| 1,149 | Xilinx, Inc. | 54,353 | ||||||
|
| |||||||
| 288,540 | ||||||||
|
| |||||||
Software — 1.1% |
| |||||||
| 1,903 | Microsoft Corp. | 79,371 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.2% |
| |||||||
| 1,774 | Apple, Inc. | 164,833 | ||||||
|
| |||||||
Total Information Technology | 790,159 | |||||||
|
| |||||||
Materials — 2.1% |
| |||||||
Chemicals — 2.1% |
| |||||||
| 182 | Air Products & Chemicals, Inc. | 23,401 | ||||||
| 341 | Airgas, Inc. | 37,131 | ||||||
| 832 | E.I. du Pont de Nemours & Co. | 54,454 | ||||||
| 194 | PPG Industries, Inc. | 40,747 | ||||||
|
| |||||||
Total Materials | 155,733 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 2,334 | Verizon Communications, Inc. | 114,210 | ||||||
|
| |||||||
Utilities — 6.8% |
| |||||||
Electric Utilities — 2.9% |
| |||||||
| 1,440 | Edison International | 83,662 | ||||||
| 875 | NextEra Energy, Inc. | 89,677 | ||||||
| 1,436 | Xcel Energy, Inc. | 46,283 | ||||||
|
| |||||||
| 219,622 | ||||||||
|
| |||||||
Multi-Utilities — 3.9% |
| |||||||
| 1,495 | CMS Energy Corp. | 46,569 | ||||||
| 512 | Dominion Resources, Inc. | 36,584 | ||||||
| 459 | DTE Energy Co. | 35,732 | ||||||
| 2,101 | NiSource, Inc. | 82,658 | ||||||
| 839 | Sempra Energy | 87,806 | ||||||
|
| |||||||
| 289,349 | ||||||||
|
| |||||||
Total Utilities | 508,971 | |||||||
|
| |||||||
Total Common Stocks | 7,407,670 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 29 | ||||||
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% | ||||||||
| 82,188 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 82,188 | ||||||
|
| |||||||
Total Investments — 99.5% | 7,489,858 | |||||||
Other Assets in Excess of | 35,671 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 7,525,529 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% |
| ||||||
Consumer Discretionary — 11.3% |
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
| 78 | Marriott International, Inc., Class A | 4,981 | ||||||
|
| |||||||
Media — 6.1% |
| |||||||
| 106 | Comcast Corp., Class A | 5,712 | ||||||
| 101 | DISH Network Corp., Class A (a) | 6,540 | ||||||
| 84 | Gannett Co., Inc. | 2,639 | ||||||
| 75 | Time Warner, Inc. | 5,248 | ||||||
| 94 | Twenty-First Century Fox, Inc., Class B | 3,211 | ||||||
| 55 | Walt Disney Co. (The) | 4,750 | ||||||
|
| |||||||
| 28,100 | ||||||||
|
| |||||||
Specialty Retail — 3.6% |
| |||||||
| 8 | AutoZone, Inc. (a) | 4,188 | ||||||
| 160 | Best Buy Co., Inc. | 4,971 | ||||||
| 56 | Home Depot, Inc. (The) | 4,501 | ||||||
| 32 | Tiffany & Co. | 3,248 | ||||||
|
| |||||||
| 16,908 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
| 74 | Coach, Inc. | 2,516 | ||||||
|
| |||||||
Total Consumer Discretionary | 52,505 | |||||||
|
| |||||||
Consumer Staples — 6.1% |
| |||||||
Beverages — 1.4% | ||||||||
| 55 | Dr. Pepper Snapple Group, Inc. | 3,228 | ||||||
| 45 | Molson Coors Brewing Co., Class B | 3,307 | ||||||
|
| |||||||
| 6,535 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
| 76 | CVS Caremark Corp. | 5,698 | ||||||
|
| |||||||
Food Products — 1.6% |
| |||||||
| 53 | Campbell Soup Co. | 2,423 | ||||||
| 81 | Kraft Foods Group, Inc. | 4,850 | ||||||
|
| |||||||
| 7,273 | ||||||||
|
| |||||||
Household Products — 1.2% |
| |||||||
| 69 | Procter & Gamble Co. (The) | 5,435 | ||||||
|
| |||||||
Tobacco — 0.7% |
| |||||||
| 82 | Altria Group, Inc. | 3,456 | ||||||
|
| |||||||
Total Consumer Staples | 28,397 | |||||||
|
| |||||||
Energy — 15.3% | ||||||||
Energy Equipment & Services — 1.1% |
| |||||||
| 44 | Ensco plc, (United Kingdom), Class A | 2,428 | ||||||
| 32 | National Oilwell Varco, Inc. | 2,644 | ||||||
|
| |||||||
| 5,072 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 14.2% |
| |||||||
| 107 | Chevron Corp. | 13,963 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
| 113 | ConocoPhillips | 9,677 | ||||||
| 71 | Devon Energy Corp. | 5,629 | ||||||
| 33 | Energen Corp. | 2,906 | ||||||
| 157 | Exxon Mobil Corp. | 15,796 | ||||||
| 135 | Kinder Morgan, Inc. | 4,902 | ||||||
| 99 | Occidental Petroleum Corp. | 10,119 | ||||||
| 37 | Phillips 66 | 2,947 | ||||||
|
| |||||||
| 65,939 | ||||||||
|
| |||||||
Total Energy | 71,011 | |||||||
|
| |||||||
Financials — 30.7% |
| |||||||
Banks — 9.7% |
| |||||||
| 338 | Bank of America Corp. | 5,189 | ||||||
| 81 | BB&T Corp. | 3,186 | ||||||
| 140 | Citigroup, Inc. | 6,592 | ||||||
| 34 | M&T Bank Corp. | 4,230 | ||||||
| 46 | PNC Financial Services Group, Inc. (The) | 4,061 | ||||||
| 128 | SunTrust Banks, Inc. | 5,140 | ||||||
| 65 | U.S. Bancorp | 2,798 | ||||||
| 268 | Wells Fargo & Co. | 14,086 | ||||||
|
| |||||||
| 45,282 | ||||||||
|
| |||||||
Capital Markets — 8.2% |
| |||||||
| 56 | Ameriprise Financial, Inc. | 6,720 | ||||||
| 14 | BlackRock, Inc. | 4,538 | ||||||
| 53 | Goldman Sachs Group, Inc. (The) | 8,941 | ||||||
| 233 | Invesco Ltd. | 8,788 | ||||||
| 49 | Northern Trust Corp. | 3,121 | ||||||
| 69 | T. Rowe Price Group, Inc. | 5,808 | ||||||
|
| |||||||
| 37,916 | ||||||||
|
| |||||||
Consumer Finance — 2.1% |
| |||||||
| 125 | Ally Financial, Inc. (a) | 2,998 | ||||||
| 84 | Capital One Financial Corp. | 6,914 | ||||||
|
| |||||||
| 9,912 | ||||||||
|
| |||||||
Diversified Financial Services — 2.8% |
| |||||||
| 65 | Berkshire Hathaway, Inc., Class B (a) | 8,176 | ||||||
| 56 | McGraw Hill Financial, Inc. | 4,641 | ||||||
|
| |||||||
| 12,817 | ||||||||
|
| |||||||
Insurance — 5.3% |
| |||||||
| 38 | Chubb Corp. (The) | 3,530 | ||||||
| 247 | Hartford Financial Services Group, Inc. (The) | 8,834 | ||||||
| 90 | Loews Corp. | 3,939 | ||||||
| 92 | Prudential Financial, Inc. | 8,149 | ||||||
|
| |||||||
| 24,452 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 31 | ||||||
Table of Contents
JPMorgan Growth and Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
| 53 | HCP, Inc. | 2,193 | ||||||
| 66 | Ventas, Inc. | 4,205 | ||||||
| 53 | Vornado Realty Trust | 5,614 | ||||||
|
| |||||||
| 12,012 | ||||||||
|
| |||||||
Total Financials | 142,391 | |||||||
|
| |||||||
Health Care — 11.1% |
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
| 42 | Baxter International, Inc. | 3,022 | ||||||
| 31 | Becton, Dickinson and Co. | 3,608 | ||||||
|
| |||||||
| 6,630 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.0% |
| |||||||
| 58 | Humana, Inc. | 7,383 | ||||||
| 79 | UnitedHealth Group, Inc. | 6,450 | ||||||
|
| |||||||
| 13,833 | ||||||||
|
| |||||||
Pharmaceuticals — 6.7% |
| |||||||
| 116 | Bristol-Myers Squibb Co. | 5,632 | ||||||
| 137 | Johnson & Johnson | 14,355 | ||||||
| 100 | Merck & Co., Inc. | 5,778 | ||||||
| 176 | Pfizer, Inc. | 5,232 | ||||||
|
| |||||||
| 30,997 | ||||||||
|
| |||||||
Total Health Care | 51,460 | |||||||
|
| |||||||
Industrials — 7.6% |
| |||||||
Aerospace & Defense — 2.5% |
| |||||||
| 75 | Honeywell International, Inc. | 6,943 | ||||||
| 40 | United Technologies Corp. | 4,618 | ||||||
|
| |||||||
| 11,561 | ||||||||
|
| |||||||
Construction & Engineering — 0.6% |
| |||||||
| 34 | Fluor Corp. | 2,645 | ||||||
|
| |||||||
Electrical Equipment — 0.9% |
| |||||||
| 65 | Emerson Electric Co. | 4,300 | ||||||
|
| |||||||
Industrial Conglomerates — 2.5% |
| |||||||
| 27 | 3M Co. | 3,882 | ||||||
| 287 | General Electric Co. | 7,532 | ||||||
|
| |||||||
| 11,414 | ||||||||
|
| |||||||
Machinery — 1.0% |
| |||||||
| 78 | PACCAR, Inc. | 4,913 | ||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
| 8 | NOW, Inc. (a) | 291 | ||||||
|
| |||||||
Total Industrials | 35,124 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Information Technology — 9.8% |
| |||||||
Communications Equipment — 2.3% |
| |||||||
| 214 | Cisco Systems, Inc. | 5,316 | ||||||
| 72 | QUALCOMM, Inc. | 5,710 | ||||||
|
| |||||||
| 11,026 | ||||||||
|
| |||||||
IT Services — 1.5% |
| |||||||
| 34 | Accenture plc, (Ireland), Class A | 2,708 | ||||||
| 23 | International Business Machines Corp. | 4,187 | ||||||
|
| |||||||
| 6,895 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.9% |
| |||||||
| 231 | Applied Materials, Inc. | 5,216 | ||||||
| 49 | KLA-Tencor Corp. | 3,537 | ||||||
|
| |||||||
| 8,753 | ||||||||
|
| |||||||
Software — 2.1% |
| |||||||
| 232 | Microsoft Corp. | 9,679 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 2.0% |
| |||||||
| 101 | Apple, Inc. | 9,367 | ||||||
|
| |||||||
Total Information Technology | 45,720 | |||||||
|
| |||||||
Materials — 1.1% |
| |||||||
Chemicals — 1.1% |
| |||||||
| 79 | E.I. du Pont de Nemours & Co. | 5,137 | ||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
Diversified Telecommunication Services — 1.6% |
| |||||||
| 153 | Verizon Communications, Inc. | 7,502 | ||||||
|
| |||||||
Utilities — 4.1% |
| |||||||
Electric Utilities — 1.8% |
| |||||||
| 46 | Edison International | 2,650 | ||||||
| 53 | NextEra Energy, Inc. | 5,431 | ||||||
|
| |||||||
| 8,081 | ||||||||
|
| |||||||
Multi-Utilities — 2.3% |
| |||||||
| 170 | CMS Energy Corp. | 5,293 | ||||||
| 53 | Sempra Energy | 5,518 | ||||||
|
| |||||||
| 10,811 | ||||||||
|
| |||||||
Total Utilities | 18,892 | |||||||
|
| |||||||
Total Common Stocks | 458,139 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 1.1% |
| ||||||
Investment Company — 1.1% |
| |||||||
| 4,891 | JPMorgan Prime Money Market Fund, Institutional Class Shares, | 4,891 | ||||||
|
| |||||||
Total Investments — 99.8% | 463,030 | |||||||
Other Assets in Excess of | 838 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 463,868 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 33 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.3% | |||||||
Consumer Discretionary — 12.5% | ||||||||
Auto Components — 0.3% | ||||||||
| — | (h) | TRW Automotive Holdings Corp. (a) | 16 | |||||
|
| |||||||
Automobiles — 0.7% | ||||||||
| 1 | General Motors Co. | 33 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% | ||||||||
| — | (h) | McDonald’s Corp. (m) | 3 | |||||
| — | (h) | Royal Caribbean Cruises Ltd. | 19 | |||||
| — | (h) | Starbucks Corp. | 25 | |||||
| — | (h) | Yum! Brands, Inc. | 16 | |||||
|
| |||||||
| 63 | ||||||||
|
| |||||||
Household Durables — 0.6% | ||||||||
| — | (h) | Harman International Industries, Inc. | 11 | |||||
| — | (h) | NVR, Inc. (a) | 1 | |||||
| 1 | PulteGroup, Inc. | 13 | ||||||
| — | (h) | Whirlpool Corp. | 2 | |||||
|
| |||||||
| 27 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.1% | ||||||||
| — | (h) | Amazon.com, Inc. (a) | 39 | |||||
| — | (h) | Priceline Group, Inc. (The) (a) | 18 | |||||
|
| |||||||
| 57 | ||||||||
|
| |||||||
Media — 4.3% | ||||||||
| — | (h) | CBS Corp. (Non-Voting), Class B (m) | 4 | |||||
| 1 | Comcast Corp., Class A | 68 | ||||||
| — | (h) | DIRECTV (a) | 2 | |||||
| — | (h) | DISH Network Corp., Class A (a) | 10 | |||||
| — | (h) | Time Warner Cable, Inc. | 22 | |||||
| 1 | Time Warner, Inc. | 61 | ||||||
| — | (h) | Time, Inc. (a) | 3 | |||||
| 1 | Twenty-First Century Fox, Inc., Class A | 18 | ||||||
| — | (h) | Walt Disney Co. (The) (m) | 30 | |||||
|
| |||||||
| 218 | ||||||||
|
| |||||||
Multiline Retail — 0.4% | ||||||||
| — | (h) | Dollar General Corp. (a) | 5 | |||||
| — | (h) | Dollar Tree, Inc. (a) | 3 | |||||
| — | (h) | Macy’s, Inc. | 13 | |||||
|
| |||||||
| 21 | ||||||||
|
| |||||||
Specialty Retail — 3.1% | ||||||||
| — | (h) | AutoZone, Inc. (a) | 24 | |||||
| — | (h) | Gap, Inc. (The) | 2 | |||||
| 1 | Home Depot, Inc. (The) | 57 | ||||||
| 1 | Lowe’s Cos., Inc. | 40 | ||||||
| — | (h) | Ross Stores, Inc. | 8 | |||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — continued |
| |||||||
| 1 | TJX Cos., Inc. (The) | 27 | ||||||
|
| |||||||
| 158 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% | ||||||||
| — | (h) | Lululemon Athletica, Inc., (Canada) (a) | 2 | |||||
| 1 | V.F. Corp. | 33 | ||||||
|
| |||||||
| 35 | ||||||||
|
| |||||||
Total Consumer Discretionary | 628 | |||||||
|
| |||||||
Consumer Staples — 9.4% | ||||||||
Beverages — 2.4% | ||||||||
| 1 | Coca-Cola Co. (The) (m) | 54 | ||||||
| — | (h) | Constellation Brands, Inc., Class A (a) | 20 | |||||
| — | (h) | Dr. Pepper Snapple Group, Inc. | 17 | |||||
| — | (h) | Molson Coors Brewing Co., Class B | 7 | |||||
| — | (h) | PepsiCo, Inc. | 25 | |||||
|
| |||||||
| 123 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% | ||||||||
| — | (h) | Costco Wholesale Corp. | 23 | |||||
| 1 | CVS Caremark Corp. (m) | 51 | ||||||
| — | (h) | Kroger Co. (The) (m) | 5 | |||||
| — | (h) | Wal-Mart Stores, Inc. | 11 | |||||
|
| |||||||
| 90 | ||||||||
|
| |||||||
Food Products — 2.0% | ||||||||
| 1 | Archer-Daniels-Midland Co. (m) | 29 | ||||||
| — | (h) | General Mills, Inc. (m) | 21 | |||||
| — | (h) | Kellogg Co. (m) | 7 | |||||
| 1 | Mondelez International, Inc., Class A | 43 | ||||||
|
| |||||||
| 100 | ||||||||
|
| |||||||
Household Products — 1.7% | ||||||||
| — | (h) | Kimberly-Clark Corp. | 13 | |||||
| 1 | Procter & Gamble Co. (The) | 74 | ||||||
|
| |||||||
| 87 | ||||||||
|
| |||||||
Personal Products — 0.2% | ||||||||
| — | (h) | Estee Lauder Cos., Inc. (The), Class A | 8 | |||||
|
| |||||||
Tobacco — 1.3% | ||||||||
| 1 | Philip Morris International, Inc. | 63 | ||||||
|
| |||||||
Total Consumer Staples | 471 | |||||||
|
| |||||||
Energy — 10.0% | ||||||||
Energy Equipment & Services — 2.6% | ||||||||
| — | (h) | Ensco plc, (United Kingdom), Class A | 22 | |||||
| — | (h) | FMC Technologies, Inc. (a) | 4 | |||||
| — | (h) | Halliburton Co. (m) | 25 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Energy Equipment & Services — continued | ||||||||
| — | (h) | Noble Corp. plc, (United Kingdom) | 7 | |||||
| 1 | Schlumberger Ltd. | 76 | ||||||
|
| |||||||
| 134 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.4% | ||||||||
| — | (h) | Anadarko Petroleum Corp. | 21 | |||||
| — | (h) | Cheniere Energy, Inc. (a) | 9 | |||||
| 1 | Chevron Corp. | 84 | ||||||
| — | (h) | EOG Resources, Inc. | 26 | |||||
| — | (h) | EQT Corp. | 11 | |||||
| 1 | Exxon Mobil Corp. (m) | 107 | ||||||
| — | (h) | Hess Corp. (m) | 18 | |||||
| 1 | Marathon Oil Corp. | 33 | ||||||
| — | (h) | Marathon Petroleum Corp. | 10 | |||||
| — | (h) | Occidental Petroleum Corp. | 30 | |||||
| — | (h) | Phillips 66 | 2 | |||||
| — | (h) | Pioneer Natural Resources Co. | 3 | |||||
| — | (h) | QEP Resources, Inc. | 6 | |||||
| — | (h) | Valero Energy Corp. | 12 | |||||
|
| |||||||
| 372 | ||||||||
|
| |||||||
Total Energy | 506 | |||||||
|
| |||||||
Financials — 15.1% | ||||||||
Banks — 5.9% | ||||||||
| 5 | Bank of America Corp. | 71 | ||||||
| — | (h) | BB&T Corp. | 6 | |||||
| 1 | Citigroup, Inc. | 60 | ||||||
| — | (h) | Cullen/Frost Bankers, Inc. | 3 | |||||
| — | (h) | PNC Financial Services Group, Inc. (The) | 25 | |||||
| — | (h) | SunTrust Banks, Inc. | 5 | |||||
| — | (h) | SVB Financial Group (a) | 5 | |||||
| — | (h) | U.S. Bancorp | 3 | |||||
| 2 | Wells Fargo & Co. | 120 | ||||||
|
| |||||||
| 298 | ||||||||
|
| |||||||
Capital Markets — 2.4% | ||||||||
| 1 | Charles Schwab Corp. (The) | 23 | ||||||
| — | (h) | Goldman Sachs Group, Inc. (The) | 14 | |||||
| 1 | Invesco Ltd. | 27 | ||||||
| 1 | Morgan Stanley | 37 | ||||||
| — | (h) | State Street Corp. | 19 | |||||
|
| |||||||
| 120 | ||||||||
|
| |||||||
Consumer Finance — 0.4% | ||||||||
| — | (h) | American Express Co. (m) | 4 | |||||
| — | (h) | Capital One Financial Corp. | 17 | |||||
| — | (h) | Navient Corp. | 1 | |||||
|
| |||||||
| 22 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Diversified Financial Services — 1.4% | ||||||||
| — | (h) | Berkshire Hathaway, Inc., Class B (a) | 49 | |||||
| — | (h) | CME Group, Inc. | 6 | |||||
| — | (h) | Intercontinental Exchange, Inc. | 18 | |||||
|
| |||||||
| 73 | ||||||||
|
| |||||||
Insurance — 2.9% | ||||||||
| 1 | ACE Ltd., (Switzerland) | 53 | ||||||
| — | (h) | Axis Capital Holdings Ltd., (Bermuda) | 7 | |||||
| — | (h) | Marsh & McLennan Cos., Inc. (m) | 20 | |||||
| 1 | MetLife, Inc. | 46 | ||||||
— (h) Prudential Financial, Inc. | 12 | |||||||
— (h) XL Group plc, (Ireland) | 7 | |||||||
|
| |||||||
| 145 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.1% | ||||||||
| — | (h) | American Tower Corp. (m) | 3 | |||||
| — | (h) | AvalonBay Communities, Inc. (m) | 15 | |||||
| — | (h) | Boston Properties, Inc. (m) | 4 | |||||
| 1 | DiamondRock Hospitality Co. (m) | 10 | ||||||
| — | (h) | Extra Space Storage, Inc. (m) | 2 | |||||
| — | (h) | General Growth Properties, Inc. (m) | 3 | |||||
| — | (h) | Highwoods Properties, Inc. (m) | 6 | |||||
| — | (h) | Host Hotels & Resorts, Inc. (m) | 1 | |||||
| — | (h) | Kilroy Realty Corp. (m) | 4 | |||||
| — | (h) | Liberty Property Trust (m) | 8 | |||||
| — | (h) | Mid-America Apartment Communities, Inc. (m) | 8 | |||||
| — | (h) | Prologis, Inc. (m) | 9 | |||||
| — | (h) | Public Storage (m) | 3 | |||||
| — | (h) | Simon Property Group, Inc. (m) | 20 | |||||
| — | (h) | Ventas, Inc. (m) | 7 | |||||
|
| |||||||
| 103 | ||||||||
|
| |||||||
Total Financials | 761 | |||||||
|
| |||||||
Health Care — 12.9% | ||||||||
Biotechnology — 2.9% | ||||||||
| — | (h) | Alexion Pharmaceuticals, Inc. (a) | �� | 13 | ||||
| — | (h) | Biogen Idec, Inc. (a) | 51 | |||||
| 1 | Celgene Corp. (a) | 56 | ||||||
| — | (h) | Gilead Sciences, Inc. (a) | 14 | |||||
| — | (h) | Vertex Pharmaceuticals, Inc. (a) | 13 | |||||
|
| |||||||
| 147 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% | ||||||||
| 1 | Abbott Laboratories (m) | 35 | ||||||
| — | (h) | Baxter International, Inc. | 11 | |||||
| 2 | Boston Scientific Corp. (a) | 24 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 35 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Health Care Equipment & Supplies — continued |
| |||||||
| — | (h) | Covidien plc, (Ireland) | 13 | |||||
| — | (h) | Stryker Corp. | 31 | |||||
|
| |||||||
| 114 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.9% |
| |||||||
| — | (h) | Aetna, Inc. | 18 | |||||
| — | (h) | Humana, Inc. (m) | 33 | |||||
| — | (h) | McKesson Corp. | 17 | |||||
| — | (h) | UnitedHealth Group, Inc. | 26 | |||||
|
| |||||||
| 94 | ||||||||
|
| |||||||
Health Care Technology — 0.2% |
| |||||||
| — | (h) | athenahealth, Inc. (a) | 2 | |||||
| — | (h) | Cerner Corp. (a) | 7 | |||||
|
| |||||||
| 9 | ||||||||
|
| |||||||
Pharmaceuticals — 5.7% |
| |||||||
| — | (h) | Actavis plc (a) | 7 | |||||
| — | (h) | Allergan, Inc. | 15 | |||||
| 1 | Bristol-Myers Squibb Co. | 54 | ||||||
| 1 | Johnson & Johnson (m) | 131 | ||||||
| 1 | Merck & Co., Inc. | 58 | ||||||
| — | (h) | Perrigo Co. plc, (Ireland) | 13 | |||||
| — | (h) | Pfizer, Inc. | 10 | |||||
|
| |||||||
| 288 | ||||||||
|
| |||||||
Total Health Care | 652 | |||||||
|
| |||||||
Industrials — 10.9% |
| |||||||
Aerospace & Defense — 2.8% |
| |||||||
| 1 | Honeywell International, Inc. (m) | 54 | ||||||
| — | (h) | L-3 Communications Holdings, Inc. | 17 | |||||
| 1 | United Technologies Corp. | 69 | ||||||
|
| |||||||
| 140 | ||||||||
|
| |||||||
Airlines — 0.5% | ||||||||
| — | (h) | Delta Air Lines, Inc. | 12 | |||||
| — | (h) | United Continental Holdings, Inc. (a) | 16 | |||||
|
| |||||||
| 28 | ||||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
| 1 | Masco Corp. (m) | 18 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
| — | (h) | Tyco International Ltd., (Switzerland) | 5 | |||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
| 1 | Fluor Corp. (m) | 45 | ||||||
| — | (h) | Quanta Services, Inc. (a) | 2 | |||||
|
| |||||||
| 47 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electrical Equipment — 1.5% |
| |||||||
| — | (h) | Eaton Corp. plc | 38 | |||||
| 1 | Emerson Electric Co. | 36 | ||||||
|
| |||||||
| 74 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.8% |
| |||||||
| 1 | General Electric Co. (m) | 38 | ||||||
|
| |||||||
Machinery — 1.2% |
| |||||||
| — | (h) | Caterpillar, Inc. (m) | 1 | |||||
| — | (h) | Deere & Co. (m) | 11 | |||||
| 1 | PACCAR, Inc. | 40 | ||||||
| — | (h) | Snap-on, Inc. | 2 | |||||
| — | (h) | SPX Corp. | 6 | |||||
|
| |||||||
| 60 | ||||||||
|
| |||||||
Road & Rail — 2.3% |
| |||||||
| 1 | CSX Corp. (m) | 44 | ||||||
| — | (h) | Norfolk Southern Corp. | 2 | |||||
| 1 | Union Pacific Corp. | 71 | ||||||
|
| |||||||
| 117 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.4% |
| |||||||
| — | (h) | W.W. Grainger, Inc. | 20 | |||||
|
| |||||||
Total Industrials | 547 | |||||||
|
| |||||||
Information Technology — 18.4% |
| |||||||
Communications Equipment — 2.3% |
| |||||||
| 2 | Cisco Systems, Inc. | 61 | ||||||
| 1 | QUALCOMM, Inc. | 52 | ||||||
|
| |||||||
| 113 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.3% |
| |||||||
| — | (h) | Corning, Inc. | 8 | |||||
| — | (h) | TE Connectivity Ltd., (Switzerland) | 9 | |||||
|
| |||||||
| 17 | ||||||||
|
| |||||||
Internet Software & Services — 3.1% |
| |||||||
| — | (h) | eBay, Inc. (a) | 21 | |||||
| — | (h) | Facebook, Inc., Class A (a) | 21 | |||||
| — | (h) | Google, Inc., Class A (a) | 58 | |||||
| — | (h) | Google, Inc., Class C (a) | 58 | |||||
|
| |||||||
| 158 | ||||||||
|
| |||||||
IT Services — 2.9% |
| |||||||
| — | (h) | Accenture plc, (Ireland), Class A | 35 | |||||
| — | (h) | Alliance Data Systems Corp. (a) | 9 | |||||
| — | (h) | Cognizant Technology Solutions Corp., | ||||||
Class A (a) | 24 | |||||||
| — | (h) | International Business Machines Corp. (m) | 21 | |||||
| — | (h) | Visa, Inc., Class A | 54 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
IT Services — continued | ||||||||
| — | (h) | Xerox Corp. | 2 | |||||
|
| |||||||
| 145 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.2% |
| |||||||
| 1 | Applied Materials, Inc. | 13 | ||||||
| — | (h) | Avago Technologies Ltd., (Singapore) | 19 | |||||
| — | (h) | Broadcom Corp., Class A | 4 | |||||
| — | (h) | Freescale Semiconductor Ltd. (a) | 8 | |||||
| — | (h) | KLA-Tencor Corp. | 17 | |||||
| — | (h) | Lam Research Corp. | 29 | |||||
| 1 | ON Semiconductor Corp. (a) | 5 | ||||||
| — | (h) | Xilinx, Inc. | 16 | |||||
|
| |||||||
| 111 | ||||||||
|
| |||||||
Software — 3.9% | ||||||||
| — | (h) | Adobe Systems, Inc. (a) | 29 | |||||
| — | (h) | CA, Inc. (m) | 3 | |||||
| — | (h) | Citrix Systems, Inc. (a) | 17 | |||||
| 3 | Microsoft Corp. | 112 | ||||||
| 1 | Oracle Corp. | 27 | ||||||
| — | (h) | VMware, Inc., Class A (a) | 7 | |||||
|
| |||||||
| 195 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.7% |
| |||||||
| 2 | Apple, Inc. (m) | 160 | ||||||
| — | (h) | EMC Corp. | 11 | |||||
| — | (h) | Hewlett-Packard Co. (m) | 14 | |||||
|
| |||||||
| 185 | ||||||||
|
| |||||||
Total Information Technology | 924 | |||||||
|
| |||||||
Materials — 2.8% |
| |||||||
Chemicals — 1.3% |
| |||||||
| — | (h) | Axiall Corp. | 8 | |||||
| — | (h) | Dow Chemical Co. (The) (m) | 19 | |||||
| — | (h) | Monsanto Co. | 28 | |||||
| — | (h) | Mosaic Co. (The) | 11 | |||||
|
| |||||||
| 66 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
| — | (h) | Martin Marietta Materials, Inc. (m) | 8 | |||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
| — | (h) | Ball Corp. | 2 | |||||
| — | (h) | Crown Holdings, Inc. (a) | 10 | |||||
| — | (h) | Sealed Air Corp. | 2 | |||||
|
| |||||||
| 14 | ||||||||
|
| |||||||
Metals & Mining — 1.0% |
| |||||||
| 2 | Alcoa, Inc. (m) | 25 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — continued | ||||||||
| — | (h) | Freeport-McMoRan Copper & Gold, Inc. | 10 | |||||
| 1 | United States Steel Corp. | 13 | ||||||
|
| |||||||
| 48 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
| — | (h) | International Paper Co. (m) | 6 | |||||
|
| |||||||
Total Materials | 142 | |||||||
|
| |||||||
Telecommunication Services — 1.6% |
| |||||||
Diversified Telecommunication Services — 1.6% |
| |||||||
| — | (h) | AT&T, Inc. | 6 | |||||
| 2 | Verizon Communications, Inc. (m) | 75 | ||||||
|
| |||||||
Total Telecommunication Services | 81 | |||||||
|
| |||||||
Utilities — 3.7% |
| |||||||
Electric Utilities — 2.2% |
| |||||||
| — | (h) | American Electric Power Co., Inc. | 19 | |||||
| — | (h) | Edison International | 16 | |||||
| — | (h) | Entergy Corp. | 20 | |||||
| 1 | Exelon Corp. | 21 | ||||||
| — | (h) | NextEra Energy, Inc. | 34 | |||||
|
| |||||||
| 110 | ||||||||
|
| |||||||
Gas Utilities — 0.2% |
| |||||||
Questar Corp. | 8 | |||||||
|
| |||||||
Multi-Utilities — 1.3% |
| |||||||
| — | (h) | CenterPoint Energy, Inc. | 10 | |||||
| — | (h) | CMS Energy Corp. (m) | 14 | |||||
| — | (h) | Dominion Resources, Inc. | 17 | |||||
| — | (h) | NiSource, Inc. | 16 | |||||
| — | (h) | Public Service Enterprise Group, Inc. | 1 | |||||
| — | (h) | Sempra Energy | 8 | |||||
|
| |||||||
| 66 | ||||||||
|
| |||||||
Total Utilities | 184 | |||||||
|
| |||||||
Total Common Stocks | 4,896 | |||||||
|
| |||||||
| Exchange Traded Fund — 1.0% | |||||||
U.S. Equity — 1.0% |
| |||||||
| — | (h) | SPDR S&P 500 ETF Trust | 52 | |||||
|
| |||||||
| NUMBER OF CONTRACTS | ||||||||
| Options Purchased — 1.0% |
| ||||||
Put Options Purchased: — 1.0% |
| |||||||
| — | (h) | S&P 500 Index, Expiring 09/30/14 at $1,850.000, European Style | 23 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 37 | ||||||
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Options contracts)
| NUMBER OF CONTRACTS | SECURITY DESCRIPTION | VALUE($) | ||||||
| Options Purchased — continued |
| ||||||
Put Options Purchased: — continued |
| |||||||
| — | (h) | S&P 500 Index, Expiring 09/30/14 at $1,875.000, European Style | 26 | |||||
|
| |||||||
Total Put Options Purchased | 49 | |||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 0.1% | |||||||
Investment Company — 0.1% |
| |||||||
| 5 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 5 | ||||||
|
| |||||||
Total Investments — 99.4% | 5,002 | |||||||
Other Assets in Excess of | 33 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,035 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
OPTIONS WRITTEN
| Call Options Written | ||||||||||||||||
| DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | NUMBER OF CONTRACTS | VALUE | ||||||||||||
S&P 500 Index, European Style (Premiums received of $19.) | $ | 2,025.000 | 9/30/14 | 18 | $ | (19 | ) | |||||||||
S&P 500 Index, European Style (Premiums received of $13.) | 2,000.000 | 9/30/14 | 7 | (13 | ) | |||||||||||
|
| |||||||||||||||
| $ | (32 | ) | ||||||||||||||
|
| |||||||||||||||
| Put Options Written | ||||||||||||||||
| DESCRIPTION | EXERCISE PRICE | EXPIRATION DATE | NUMBER OF CONTRACTS | VALUE | ||||||||||||
S&P 500 Index, European Style (Premiums received of $5.) | $ | 1,575.000 | 9/30/14 | 25 | $ | (5 | ) | |||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.8% | |||||||
Consumer Discretionary — 24.3% | ||||||||
Auto Components — 1.1% | ||||||||
| 2,383 | Delphi Automotive plc, (United Kingdom) | 163,807 | ||||||
|
| |||||||
Automobiles — 1.5% | ||||||||
| 916 | Tesla Motors, Inc. (a) | 219,823 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.2% | ||||||||
| 219 | Chipotle Mexican Grill, Inc. (a) | 129,878 | ||||||
| 2,971 | Las Vegas Sands Corp. | 226,465 | ||||||
| 3,496 | Starbucks Corp. | 270,493 | ||||||
|
| |||||||
| 626,836 | ||||||||
|
| |||||||
Internet & Catalog Retail — 6.1% | ||||||||
| 913 | Amazon.com, Inc. (a) | 296,635 | ||||||
| 353 | Netflix, Inc. (a) | 155,311 | ||||||
| 387 | Priceline Group, Inc. (The) (a) | 465,080 | ||||||
|
| |||||||
| 917,026 | ||||||||
|
| |||||||
Media — 5.8% | ||||||||
| 6,745 | Comcast Corp., Class A | 362,045 | ||||||
| 3,586 | Liberty Global plc, (United Kingdom), Series C (a) | 151,728 | ||||||
| 1,718 | Time Warner, Inc. | 120,689 | ||||||
| 2,764 | Walt Disney Co. (The) | 237,003 | ||||||
|
| |||||||
| 871,465 | ||||||||
|
| |||||||
Specialty Retail — 3.5% | ||||||||
| 1,432 | Gap, Inc. (The) | 59,516 | ||||||
| 5,673 | Home Depot, Inc. (The) | 459,310 | ||||||
|
| |||||||
| 518,826 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.1% | ||||||||
| 3,465 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 307,174 | ||||||
|
| |||||||
Total Consumer Discretionary | 3,624,957 | |||||||
|
| |||||||
Consumer Staples — 3.5% | ||||||||
Food & Staples Retailing — 2.1% | ||||||||
| 1,646 | Costco Wholesale Corp. | 189,565 | ||||||
| 1,698 | CVS Caremark Corp. | 127,971 | ||||||
|
| |||||||
| 317,536 | ||||||||
|
| |||||||
Food Products — 0.7% | ||||||||
| 838 | Keurig Green Mountain, Inc. | 104,361 | ||||||
|
| |||||||
Household Products — 0.7% | ||||||||
| 1,597 | Colgate-Palmolive Co. | 108,904 | ||||||
|
| |||||||
Total Consumer Staples | 530,801 | |||||||
|
| |||||||
Energy — 4.4% | ||||||||
Energy Equipment & Services — 0.5% | ||||||||
| 1,305 | FMC Technologies, Inc. (a) | 79,696 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 3.9% | ||||||||
| 6,486 | Cabot Oil & Gas Corp. | 221,446 | ||||||
| 1,866 | Marathon Petroleum Corp. | 145,710 | ||||||
| 904 | Pioneer Natural Resources Co. | 207,725 | ||||||
|
| |||||||
| 574,881 | ||||||||
|
| |||||||
Total Energy | 654,577 | |||||||
|
| |||||||
Financials — 4.0% | ||||||||
Capital Markets — 2.6% | ||||||||
| 541 | Affiliated Managers Group, Inc. (a) | 111,163 | ||||||
| 370 | BlackRock, Inc. | 118,284 | ||||||
| 4,864 | TD Ameritrade Holding Corp. | 152,486 | ||||||
|
| |||||||
| 381,933 | ||||||||
|
| |||||||
Diversified Financial Services — 1.4% | ||||||||
| 2,388 | Moody’s Corp. | 209,332 | ||||||
|
| |||||||
Total Financials | 591,265 | |||||||
|
| |||||||
Health Care — 18.9% | ||||||||
Biotechnology — 13.2% | ||||||||
| 2,040 | Alexion Pharmaceuticals, Inc. (a) | 318,781 | ||||||
| 1,041 | Biogen Idec, Inc. (a) | 328,364 | ||||||
| 4,653 | Celgene Corp. (a) | 399,634 | ||||||
| 6,841 | Gilead Sciences, Inc. (a) | 567,188 | ||||||
| 776 | Regeneron Pharmaceuticals, Inc. (a) | 219,253 | ||||||
| 1,392 | Vertex Pharmaceuticals, Inc. (a) | 131,823 | ||||||
|
| |||||||
| 1,965,043 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% | ||||||||
| 2,047 | AmerisourceBergen Corp. | 148,713 | ||||||
| 1,144 | McKesson Corp. | 212,987 | ||||||
|
| |||||||
| 361,700 | ||||||||
|
| |||||||
Health Care Technology — 0.2% | ||||||||
| 713 | Cerner Corp. (a) | 36,802 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.9% | ||||||||
| 763 | Illumina, Inc. (a) | 136,297 | ||||||
|
| |||||||
Pharmaceuticals — 2.2% | ||||||||
| 2,589 | Valeant Pharmaceuticals International, Inc. (a) | 326,512 | ||||||
|
| |||||||
Total Health Care | 2,826,354 | |||||||
|
| |||||||
Industrials — 10.0% | ||||||||
Aerospace & Defense — 2.9% | ||||||||
| 2,666 | Honeywell International, Inc. | 247,795 | ||||||
| 734 | Precision Castparts Corp. | 185,363 | ||||||
|
| |||||||
| 433,158 | ||||||||
|
| |||||||
Airlines — 1.7% | ||||||||
| 6,397 | Delta Air Lines, Inc. | 247,672 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 39 | ||||||
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Building Products — 0.4% |
| |||||||
| 1,562 | Fortune Brands Home & Security, Inc. | 62,359 | ||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
| 418 | Roper Industries, Inc. | 61,018 | ||||||
|
| |||||||
Machinery — 1.0% |
| |||||||
| 2,016 | Flowserve Corp. | 149,867 | ||||||
|
| |||||||
Road & Rail — 3.6% |
| |||||||
| 1,277 | J.B. Hunt Transport Services, Inc. | 94,180 | ||||||
| 1,503 | Kansas City Southern | 161,555 | ||||||
| 2,877 | Union Pacific Corp. | 286,941 | ||||||
|
| |||||||
| 542,676 | ||||||||
|
| |||||||
Total Industrials | 1,496,750 | |||||||
|
| |||||||
Information Technology — 27.9% |
| |||||||
Communications Equipment — 0.4% |
| |||||||
| 741 | QUALCOMM, Inc. | 58,648 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.9% |
| |||||||
| 1,404 | Amphenol Corp., Class A | 135,261 | ||||||
|
| |||||||
Internet Software & Services — 10.6% |
| |||||||
| 475 | Baidu, Inc., (China), ADR (a) | 88,679 | ||||||
| 8,489 | Facebook, Inc., Class A (a) | 571,238 | ||||||
| 670 | Google, Inc., Class A (a) | 391,890 | ||||||
| 765 | Google, Inc., Class C (a) | 439,960 | ||||||
| 530 | LinkedIn Corp., Class A (a) | 90,913 | ||||||
|
| |||||||
| 1,582,680 | ||||||||
|
| |||||||
IT Services — 6.6% |
| |||||||
| 155 | Alliance Data Systems Corp. (a) | 43,650 | ||||||
| 2,326 | Cognizant Technology Solutions Corp., | |||||||
Class A (a) | 113,770 | |||||||
| 6,669 | MasterCard, Inc., Class A | 489,971 | ||||||
| 1,642 | Visa, Inc., Class A | 346,028 | ||||||
|
| |||||||
| 993,419 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
| 4,553 | ARM Holdings plc, (United Kingdom), ADR | 205,969 | ||||||
| 3,137 | ASML Holding N.V., (Netherlands) | 292,576 | ||||||
| 2,077 | Avago Technologies Ltd., (Singapore) | 149,675 | ||||||
|
| |||||||
| 648,220 | ||||||||
|
| |||||||
Software — 2.8% |
| |||||||
| 2,097 | Adobe Systems, Inc. (a) | 151,754 | ||||||
| 3,923 | salesforce.com, Inc. (a) | 227,842 | ||||||
| 573 | Splunk, Inc. (a) | 31,726 | ||||||
|
| |||||||
| 411,322 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Technology Hardware, Storage & Peripherals — 2.3% |
| |||||||
| 1,243 | 3D Systems Corp. (a) | 74,349 | ||||||
| 2,942 | Apple, Inc. | 273,390 | ||||||
|
| |||||||
| 347,739 | ||||||||
|
| |||||||
Total Information Technology | 4,177,289 | |||||||
|
| |||||||
Materials — 6.8% |
| |||||||
Chemicals — 6.8% |
| |||||||
| 1,312 | Ecolab, Inc. | 146,045 | ||||||
| 2,524 | LyondellBasell Industries N.V., Class A | 246,468 | ||||||
| 1,238 | Monsanto Co. | 154,416 | ||||||
| 857 | PPG Industries, Inc. | 180,014 | ||||||
| 1,371 | Sherwin-Williams Co. (The) | 283,736 | ||||||
|
| |||||||
Total Materials | 1,010,679 | |||||||
|
| |||||||
Total Common Stocks | 14,912,672 | |||||||
|
| |||||||
| Short-Term Investment — 0.4% |
| ||||||
Investment Company — 0.4% |
| |||||||
| 62,826 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 62,826 | ||||||
|
| |||||||
Total Investments — 100.2% | 14,975,498 | |||||||
Liabilities in Excess of | (29,766 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 14,945,732 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.2% |
| ||||||
Consumer Discretionary — 11.9% |
| |||||||
Auto Components — 1.4% |
| |||||||
| 129 | TRW Automotive Holdings Corp. (a) | 11,514 | ||||||
|
| |||||||
Automobiles — 3.8% |
| |||||||
| 228 | Ford Motor Co. | 3,929 | ||||||
| 755 | General Motors Co. | 27,393 | ||||||
|
| |||||||
| 31,322 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.4% |
| |||||||
| 65 | Royal Caribbean Cruises Ltd. | 3,631 | ||||||
|
| |||||||
Household Durables — 1.7% |
| |||||||
| 108 | D.R. Horton, Inc. | 2,647 | ||||||
| 145 | KB Home | 2,699 | ||||||
| 41 | Mohawk Industries, Inc. (a) | 5,714 | ||||||
| 43 | Ryland Group, Inc. (The) | 1,712 | ||||||
| 75 | Taylor Morrison Home Corp., Class A (a) | 1,670 | ||||||
|
| |||||||
| 14,442 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
| 90 | Comcast Corp., Class A | 4,821 | ||||||
| 138 | Time Warner, Inc. | 9,698 | ||||||
| 202 | Time, Inc. (a) | 4,901 | ||||||
|
| |||||||
| 19,420 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
| 67 | Macy’s, Inc. | 3,910 | ||||||
| 46 | Target Corp. | 2,637 | ||||||
|
| |||||||
| 6,547 | ||||||||
|
| |||||||
Specialty Retail — 1.4% |
| |||||||
| 152 | Best Buy Co., Inc. | 4,701 | ||||||
| 141 | Lowe’s Cos., Inc. | 6,781 | ||||||
|
| |||||||
| 11,482 | ||||||||
|
| |||||||
Total Consumer Discretionary | 98,358 | |||||||
|
| |||||||
Consumer Staples — 2.6% |
| |||||||
Beverages — 0.7% |
| |||||||
| 78 | Molson Coors Brewing Co., Class B | 5,747 | ||||||
|
| |||||||
Food & Staples Retailing — 1.9% |
| |||||||
| 121 | CVS Caremark Corp. | 9,150 | ||||||
| 132 | Kroger Co. (The) | 6,520 | ||||||
|
| |||||||
| 15,670 | ||||||||
|
| |||||||
Total Consumer Staples | 21,417 | |||||||
|
| |||||||
Energy — 14.5% |
| |||||||
Energy Equipment & Services — 1.1% |
| |||||||
| 81 | Ensco plc, (United Kingdom), Class A | 4,516 | ||||||
| 60 | Halliburton Co. | 4,246 | ||||||
|
| |||||||
| 8,762 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Oil, Gas & Consumable Fuels — 13.4% |
| |||||||
| 48 | Anadarko Petroleum Corp. | 5,287 | ||||||
| 71 | Apache Corp. | 7,124 | ||||||
| 268 | Chevron Corp. | 35,003 | ||||||
| 93 | ConocoPhillips | 7,973 | ||||||
| 221 | Exxon Mobil Corp. | 22,208 | ||||||
| 238 | Marathon Oil Corp. | 9,497 | ||||||
| 125 | Occidental Petroleum Corp. | 12,870 | ||||||
| 79 | Phillips 66 | 6,354 | ||||||
| 13 | TransCanada Corp., (Canada) | 625 | ||||||
| 72 | Valero Energy Corp. | 3,607 | ||||||
|
| |||||||
| 110,548 | ||||||||
|
| |||||||
Total Energy | 119,310 | |||||||
|
| |||||||
Financials — 27.2% |
| |||||||
Banks — 14.4% |
| |||||||
| 2,221 | Bank of America Corp. | 34,134 | ||||||
| 137 | BB&T Corp. | 5,382 | ||||||
| 536 | Citigroup, Inc. | 25,261 | ||||||
| 117 | Commerce Bancshares, Inc. | 5,427 | ||||||
| 70 | East West Bancorp, Inc. | 2,460 | ||||||
| 271 | First Horizon National Corp. | 3,209 | ||||||
| 355 | First Niagara Financial Group, Inc. | 3,104 | ||||||
| 124 | FirstMerit Corp. | 2,447 | ||||||
| 267 | Regions Financial Corp. | 2,838 | ||||||
| 28 | SVB Financial Group (a) | 3,289 | ||||||
| 26 | Webster Financial Corp. | 817 | ||||||
| 586 | Wells Fargo & Co. | 30,804 | ||||||
|
| |||||||
| 119,172 | ||||||||
|
| |||||||
Capital Markets — 4.4% |
| |||||||
| 147 | Charles Schwab Corp. (The) | 3,970 | ||||||
| 102 | Invesco Ltd. | 3,860 | ||||||
| 514 | Morgan Stanley | 16,614 | ||||||
| 172 | State Street Corp. | 11,578 | ||||||
|
| |||||||
| 36,022 | ||||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
| 109 | Ally Financial, Inc. (a) | 2,599 | ||||||
|
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
| 9 | Intercontinental Exchange, Inc. | 1,606 | ||||||
|
| |||||||
Insurance — 7.9% |
| |||||||
| 128 | ACE Ltd., (Switzerland) | 13,310 | ||||||
| 250 | Hartford Financial Services Group, Inc. (The) | 8,938 | ||||||
| 476 | MetLife, Inc. | 26,459 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 41 | ||||||
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Insurance — continued | ||||||||
| 182 | Prudential Financial, Inc. | 16,162 | ||||||
|
| |||||||
| 64,869 | ||||||||
|
| |||||||
Total Financials | 224,268 | |||||||
|
| |||||||
Health Care — 15.2% | ||||||||
Health Care Equipment & Supplies — 3.0% | ||||||||
| 140 | Abbott Laboratories (m) | 5,714 | ||||||
| 873 | Boston Scientific Corp. (a) | 11,143 | ||||||
| 93 | CareFusion Corp. (a) | 4,111 | ||||||
| 30 | Stryker Corp. | 2,487 | ||||||
| 13 | Zimmer Holdings, Inc. | 1,309 | ||||||
|
| |||||||
| 24,764 | ||||||||
|
| |||||||
Health Care Providers & Services — 6.4% | ||||||||
| 171 | Aetna, Inc. | 13,889 | ||||||
| 82 | Cigna Corp. | 7,533 | ||||||
| 75 | Humana, Inc. | 9,519 | ||||||
| 270 | UnitedHealth Group, Inc. | 22,087 | ||||||
|
| |||||||
| 53,028 | ||||||||
|
| |||||||
Pharmaceuticals — 5.8% | ||||||||
| 55 | Bristol-Myers Squibb Co. | 2,645 | ||||||
| 352 | Johnson & Johnson | 36,814 | ||||||
| 146 | Merck & Co., Inc. | 8,448 | ||||||
|
| |||||||
| 47,907 | ||||||||
|
| |||||||
Total Health Care | 125,699 | |||||||
|
| |||||||
Industrials — 12.2% | ||||||||
Aerospace & Defense — 1.4% | ||||||||
| 51 | Honeywell International, Inc. | 4,750 | ||||||
| 58 | United Technologies Corp. | 6,673 | ||||||
|
| |||||||
| 11,423 | ||||||||
|
| |||||||
Airlines — 1.1% | ||||||||
| 83 | Delta Air Lines, Inc. | 3,198 | ||||||
| 148 | United Continental Holdings, Inc. (a) | 6,091 | ||||||
|
| |||||||
| 9,289 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
| 33 | Fortune Brands Home & Security, Inc. | 1,302 | ||||||
| 102 | Masco Corp. | 2,262 | ||||||
|
| |||||||
| 3,564 | ||||||||
|
| |||||||
Construction & Engineering — 2.2% | ||||||||
| 233 | Fluor Corp. | 17,901 | ||||||
|
| |||||||
Electrical Equipment — 2.8% | ||||||||
| 203 | Eaton Corp. plc | 15,660 | ||||||
| 118 | Emerson Electric Co. | 7,824 | ||||||
|
| |||||||
| 23,484 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Machinery — 1.4% | ||||||||
| 183 | PACCAR, Inc. | 11,492 | ||||||
|
| |||||||
Road & Rail — 2.9% | ||||||||
| 564 | CSX Corp. | 17,380 | ||||||
| 19 | Kansas City Southern | 2,064 | ||||||
| 41 | Norfolk Southern Corp. | 4,183 | ||||||
|
| |||||||
| 23,627 | ||||||||
|
| |||||||
Total Industrials | 100,780 | |||||||
|
| |||||||
Information Technology — 8.4% | ||||||||
Communications Equipment — 1.5% | ||||||||
| 484 | Cisco Systems, Inc. | 12,030 | ||||||
|
| |||||||
IT Services — 0.8% | ||||||||
| 51 | Fidelity National Information Services, Inc. | 2,792 | ||||||
| 19 | International Business Machines Corp. | 3,480 | ||||||
|
| |||||||
| 6,272 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.2% |
| |||||||
| 57 | Broadcom Corp., Class A | 2,101 | ||||||
| 196 | Freescale Semiconductor Ltd. (a) | 4,597 | ||||||
| 104 | KLA-Tencor Corp. | 7,556 | ||||||
| 111 | Lam Research Corp. | 7,522 | ||||||
| 214 | ON Semiconductor Corp. (a) | 1,958 | ||||||
| 126 | Teradyne, Inc. | 2,477 | ||||||
|
| |||||||
| 26,211 | ||||||||
|
| |||||||
Software — 1.0% |
| |||||||
| 40 | Citrix Systems, Inc. (a) | 2,527 | ||||||
| 147 | Microsoft Corp. | 6,109 | ||||||
|
| |||||||
| 8,636 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.9% |
| |||||||
| 85 | Apple, Inc. | 7,908 | ||||||
| 238 | Hewlett-Packard Co. | 8,019 | ||||||
|
| |||||||
| 15,927 | ||||||||
|
| |||||||
Total Information Technology | 69,076 | |||||||
|
| |||||||
Materials — 4.1% |
| |||||||
Chemicals — 1.4% | ||||||||
| 215 | Axiall Corp. | 10,178 | ||||||
| 27 | Methanex Corp., (Canada) | 1,656 | ||||||
|
| |||||||
| 11,834 | ||||||||
|
| |||||||
Metals & Mining — 2.7% |
| |||||||
| 754 | Alcoa, Inc. | 11,230 | ||||||
| 130 | Alumina Ltd., (Australia), ADR (a) | 658 | ||||||
| 122 | Century Aluminum Co. (a) | 1,909 | ||||||
| 155 | Freeport-McMoRan Copper & Gold, Inc. | 5,661 | ||||||
| 33 | Newmont Mining Corp. | 845 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Metals & Mining — continued | ||||||||
| 71 | United States Steel Corp. | 1,849 | ||||||
|
| |||||||
| 22,152 | ||||||||
|
| |||||||
Total Materials | 33,986 | |||||||
|
| |||||||
Telecommunication Services — 1.0% |
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
| 166 | Verizon Communications, Inc. | 8,113 | ||||||
|
| |||||||
Utilities — 2.1% | ||||||||
Electric Utilities — 1.6% | ||||||||
| 85 | Edison International | 4,928 | ||||||
| 26 | Entergy Corp. | 2,101 | ||||||
| 167 | Exelon Corp. | 6,092 | ||||||
|
| |||||||
| 13,121 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — 0.5% | ||||||||
| 164 | CenterPoint Energy, Inc. | 4,191 | ||||||
|
| |||||||
Total Utilities | 17,312 | |||||||
|
| |||||||
Total Common Stocks | 818,319 | |||||||
|
| |||||||
| Short-Term Investment — 0.2% |
| ||||||
Investment Company — 0.2% | ||||||||
| 1,458 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 1,458 | ||||||
|
| |||||||
Total Investments — 99.4% | 819,777 | |||||||
Other Assets in Excess of | 4,670 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 824,447 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 43 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.8% |
| ||||||
Consumer Discretionary — 15.0% |
| |||||||
Auto Components — 0.8% |
| |||||||
| 108 | Delphi Automotive plc, (United Kingdom) | 7,402 | ||||||
| 20 | Johnson Controls, Inc. | 991 | ||||||
| 105 | Lear Corp. | 9,370 | ||||||
| 105 | Magna International, Inc., (Canada) | 11,324 | ||||||
| 701 | TRW Automotive Holdings Corp. (a) | 62,753 | ||||||
|
| |||||||
| 91,840 | ||||||||
|
| |||||||
Automobiles — 1.7% |
| |||||||
| 4,634 | General Motors Co. | 168,211 | ||||||
| 41 | Tesla Motors, Inc. (a) | 9,943 | ||||||
|
| |||||||
| 178,154 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.2% |
| |||||||
| 10 | Chipotle Mexican Grill, Inc. (a) | 5,862 | ||||||
| 134 | Las Vegas Sands Corp. | 10,245 | ||||||
| 555 | Royal Caribbean Cruises Ltd. | 30,859 | ||||||
| 771 | Starbucks Corp. | 59,623 | ||||||
| 347 | Yum! Brands, Inc. | 28,166 | ||||||
|
| |||||||
| 134,755 | ||||||||
|
| |||||||
Household Durables — 0.7% |
| |||||||
| 273 | Harman International Industries, Inc. | 29,314 | ||||||
| 4 | NVR, Inc. (a) | 4,027 | ||||||
| 1,357 | PulteGroup, Inc. | 27,352 | ||||||
| 289 | Toll Brothers, Inc. (a) | 10,672 | ||||||
|
| |||||||
| 71,365 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% |
| |||||||
| 258 | Amazon.com, Inc. (a) | 83,668 | ||||||
| 16 | Netflix, Inc. (a) | 7,016 | ||||||
| 66 | Priceline Group, Inc. (The) (a) | 78,874 | ||||||
|
| |||||||
| 169,558 | ||||||||
|
| |||||||
Media — 5.9% |
| |||||||
| 371 | CBS Corp. (Non-Voting), Class B | 23,023 | ||||||
| 3,722 | Comcast Corp., Class A | 199,805 | ||||||
| 463 | DISH Network Corp., Class A (a) | 30,162 | ||||||
| 165 | Liberty Global plc, (United Kingdom), Series C (a) | 6,992 | ||||||
| 175 | Time Warner Cable, Inc. | 25,817 | ||||||
| 3,505 | Time Warner, Inc. | 246,235 | ||||||
| 181 | Time, Inc. (a) | 4,391 | ||||||
| 1,772 | Twenty-First Century Fox, Inc., Class A | 62,293 | ||||||
| 499 | Walt Disney Co. (The) | 42,806 | ||||||
|
| |||||||
| 641,524 | ||||||||
|
| |||||||
Multiline Retail — 0.1% | ||||||||
| 195 | Dollar Tree, Inc. (a) | 10,620 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Specialty Retail — 2.4% |
| |||||||
| 64 | Gap, Inc. (The) | 2,668 | ||||||
| 1,512 | Home Depot, Inc. (The) | 122,404 | ||||||
| 1,602 | Lowe’s Cos., Inc. | 76,869 | ||||||
| 1,002 | TJX Cos., Inc. (The) | 53,268 | ||||||
|
| |||||||
| 255,209 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% |
| |||||||
| 198 | Lululemon Athletica, Inc., (Canada) (a) | 7,995 | ||||||
| 157 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 13,910 | ||||||
| 86 | Ralph Lauren Corp. | 13,754 | ||||||
| 396 | V.F. Corp. | 24,958 | ||||||
|
| |||||||
| 60,617 | ||||||||
|
| |||||||
Total Consumer Discretionary | 1,613,642 | |||||||
|
| |||||||
Consumer Staples — 6.2% |
| |||||||
Beverages — 1.7% |
| |||||||
| 2,927 | Coca-Cola Co. (The) | 123,969 | ||||||
| 82 | Coca-Cola Enterprises, Inc. | 3,937 | ||||||
| 316 | Constellation Brands, Inc., Class A (a) | 27,849 | ||||||
| 369 | Dr. Pepper Snapple Group, Inc. | 21,587 | ||||||
| 60 | Molson Coors Brewing Co., Class B | 4,435 | ||||||
|
| |||||||
| 181,777 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.2% |
| |||||||
| 377 | Costco Wholesale Corp. | 43,384 | ||||||
| 1,214 | CVS Caremark Corp. | 91,464 | ||||||
|
| |||||||
| 134,848 | ||||||||
|
| |||||||
Food Products — 1.1% |
| |||||||
| 369 | Archer-Daniels-Midland Co. | 16,271 | ||||||
| 605 | General Mills, Inc. | 31,762 | ||||||
| 38 | Keurig Green Mountain, Inc. | 4,703 | ||||||
| 1,710 | Mondelez International, Inc., Class A | 64,331 | ||||||
|
| |||||||
| 117,067 | ||||||||
|
| |||||||
Household Products — 1.3% |
| |||||||
| 234 | Colgate-Palmolive Co. | 15,968 | ||||||
| 1,606 | Procter & Gamble Co. (The) | 126,223 | ||||||
|
| |||||||
| 142,191 | ||||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
| 123 | Estee Lauder Cos., Inc. (The), Class A | 9,163 | ||||||
|
| |||||||
Tobacco — 0.8% |
| |||||||
| 1,033 | Philip Morris International, Inc. | 87,057 | ||||||
|
| |||||||
Total Consumer Staples | 672,103 | |||||||
|
| |||||||
Energy — 10.3% |
| |||||||
Energy Equipment & Services — 2.8% |
| |||||||
| 420 | Ensco plc, (United Kingdom), Class A | 23,360 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Energy Equipment & Services — continued |
| |||||||
| 59 | FMC Technologies, Inc. (a) | 3,583 | ||||||
| 317 | Halliburton Co. | 22,532 | ||||||
| 2,134 | Schlumberger Ltd. | 251,670 | ||||||
|
| |||||||
| 301,145 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 7.5% |
| |||||||
| 366 | Anadarko Petroleum Corp. | 40,047 | ||||||
| 293 | Cabot Oil & Gas Corp. | 10,019 | ||||||
| 126 | Cheniere Energy, Inc. (a) | 9,067 | ||||||
| 1,479 | Chevron Corp. | 193,030 | ||||||
| 211 | ConocoPhillips | 18,106 | ||||||
| 418 | EOG Resources, Inc. | 48,887 | ||||||
| 261 | EQT Corp. | 27,902 | ||||||
| 2,248 | Exxon Mobil Corp. | 226,309 | ||||||
| 250 | Hess Corp. | 24,729 | ||||||
| 1,697 | Marathon Oil Corp. | 67,754 | ||||||
| 172 | Marathon Petroleum Corp. | 13,426 | ||||||
| 786 | Occidental Petroleum Corp. | 80,668 | ||||||
| 73 | Phillips 66 | 5,905 | ||||||
| 41 | Pioneer Natural Resources Co. | 9,395 | ||||||
| 110 | Southwestern Energy Co. (a) | 5,013 | ||||||
| 665 | Valero Energy Corp. | 33,333 | ||||||
|
| |||||||
| 813,590 | ||||||||
|
| |||||||
Total Energy | 1,114,735 | |||||||
|
| |||||||
Financials — 15.2% |
| |||||||
Banks — 6.0% |
| |||||||
| 12,115 | Bank of America Corp. | 186,209 | ||||||
| 79 | BB&T Corp. | 3,111 | ||||||
| 3,140 | Citigroup, Inc. | 147,877 | ||||||
| 340 | East West Bancorp, Inc. | 11,885 | ||||||
| 807 | Huntington Bancshares, Inc. | 7,702 | ||||||
| 63 | PNC Financial Services Group, Inc. (The) | 5,584 | ||||||
| 115 | SVB Financial Group (a) | 13,467 | ||||||
| 5,295 | Wells Fargo & Co. | 278,305 | ||||||
|
| |||||||
| 654,140 | ||||||||
|
| |||||||
Capital Markets — 3.6% |
| |||||||
| 24 | Affiliated Managers Group, Inc. (a) | 5,012 | ||||||
| 251 | Ameriprise Financial, Inc. | 30,120 | ||||||
| 17 | BlackRock, Inc. | 5,335 | ||||||
| 1,715 | Charles Schwab Corp. (The) | 46,182 | ||||||
| 155 | Goldman Sachs Group, Inc. (The) | 25,987 | ||||||
| 1,833 | Invesco Ltd. | 69,206 | ||||||
| 4,357 | Morgan Stanley | 140,860 | ||||||
| 765 | State Street Corp. | 51,458 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Capital Markets — continued |
| |||||||
| 382 | TD Ameritrade Holding Corp. | 11,966 | ||||||
|
| |||||||
| 386,126 | ||||||||
|
| |||||||
Consumer Finance — 0.4% |
| |||||||
| 115 | American Express Co. | 10,901 | ||||||
| 440 | Capital One Financial Corp. | 36,370 | ||||||
|
| |||||||
| 47,271 | ||||||||
|
| |||||||
Diversified Financial Services — 0.8% |
| |||||||
| 212 | CME Group, Inc. | 15,046 | ||||||
| 326 | Intercontinental Exchange Inc. | 61,552 | ||||||
| 108 | Moody’s Corp. | 9,468 | ||||||
|
| |||||||
| 86,066 | ||||||||
|
| |||||||
Insurance — 3.9% |
| |||||||
| 1,569 | ACE Ltd., (Switzerland) | 162,712 | ||||||
| 104 | Axis Capital Holdings Ltd., (Bermuda) | 4,587 | ||||||
| 24 | Everest Re Group Ltd., (Bermuda) | 3,913 | ||||||
| 687 | Hartford Financial Services Group, Inc. (The) | 24,600 | ||||||
| 139 | Lincoln National Corp. | 7,130 | ||||||
| 1,894 | Marsh & McLennan Cos., Inc. | 98,170 | ||||||
| 1,372 | MetLife, Inc. | 76,206 | ||||||
| 463 | Prudential Financial, Inc. | 41,085 | ||||||
|
| |||||||
| 418,403 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 0.5% |
| |||||||
| 176 | Boston Properties, Inc. | 20,828 | ||||||
| 186 | Simon Property Group, Inc. | 30,963 | ||||||
|
| |||||||
| 51,791 | ||||||||
|
| |||||||
Total Financials | 1,643,797 | |||||||
|
| |||||||
Health Care — 14.5% |
| |||||||
Biotechnology — 3.9% |
| |||||||
| 347 | Alexion Pharmaceuticals, Inc. (a) | 54,146 | ||||||
| 469 | Biogen Idec, Inc. (a) | 147,893 | ||||||
| 1,396 | Celgene Corp. (a) | 119,849 | ||||||
| 310 | Gilead Sciences, Inc. (a) | 25,710 | ||||||
| 35 | Regeneron Pharmaceuticals, Inc. (a) | 9,922 | ||||||
| 681 | Vertex Pharmaceuticals, Inc. (a) | 64,476 | ||||||
|
| |||||||
| 421,996 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.6% |
| |||||||
| 1,215 | Abbott Laboratories | 49,683 | ||||||
| 125 | Baxter International, Inc. | 9,045 | ||||||
| 5,998 | Boston Scientific Corp. (a) | 76,592 | ||||||
| 8 | CareFusion Corp. (a) | 350 | ||||||
| 437 | Stryker Corp. | 36,861 | ||||||
|
| |||||||
| 172,531 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 45 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Health Care Providers & Services — 3.4% |
| |||||||
| 354 | Aetna, Inc. | 28,703 | ||||||
| 92 | AmerisourceBergen Corp. | 6,717 | ||||||
| 661 | Humana, Inc. | 84,470 | ||||||
| 278 | McKesson Corp. | 51,781 | ||||||
| 2,370 | UnitedHealth Group, Inc. | 193,739 | ||||||
|
| |||||||
| 365,410 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 47 | athenahealth, Inc. (a) | 5,846 | ||||||
| 198 | Cerner Corp. (a) | 10,218 | ||||||
|
| |||||||
| 16,064 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.1% |
| |||||||
| 34 | Illumina, Inc. (a) | 6,152 | ||||||
|
| |||||||
Pharmaceuticals — 5.4% |
| |||||||
| 60 | Allergan, Inc. | 10,234 | ||||||
| 2,658 | Bristol-Myers Squibb Co. | 128,950 | ||||||
| 3,664 | Johnson & Johnson | 383,303 | ||||||
| 640 | Merck & Co., Inc. | 37,011 | ||||||
| 65 | Perrigo Co. plc, (Ireland) | 9,483 | ||||||
| 117 | Valeant Pharmaceuticals International, Inc. (a) | 14,785 | ||||||
|
| |||||||
| 583,766 | ||||||||
|
| |||||||
Total Health Care | 1,565,919 | |||||||
|
| |||||||
Industrials — 10.6% |
| |||||||
Aerospace & Defense — 3.6% |
| |||||||
| 1,852 | Honeywell International, Inc. | 172,173 | ||||||
| 226 | L-3 Communications Holdings, Inc. | 27,327 | ||||||
| 34 | Precision Castparts Corp. | 8,650 | ||||||
| 1,534 | United Technologies Corp. | 177,151 | ||||||
|
| |||||||
| 385,301 | ||||||||
|
| |||||||
Airlines — 1.1% |
| |||||||
| 1,192 | Delta Air Lines, Inc. | 46,135 | ||||||
| 1,660 | United Continental Holdings, Inc. (a) | 68,161 | ||||||
|
| |||||||
| 114,296 | ||||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
| 461 | Fortune Brands Home & Security, Inc. | 18,399 | ||||||
| 1,341 | Masco Corp. | 29,772 | ||||||
|
| |||||||
| 48,171 | ||||||||
|
| |||||||
Construction & Engineering — 1.0% |
| |||||||
| 1,448 | Fluor Corp. | 111,315 | ||||||
|
| |||||||
Electrical Equipment — 1.4% |
| |||||||
| 972 | Eaton Corp. plc | 75,057 | ||||||
| 1,070 | Emerson Electric Co. | 70,988 | ||||||
|
| |||||||
| 146,045 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrial Conglomerates — 0.0% (g) |
| |||||||
| 19 | Roper Industries, Inc. | 2,817 | ||||||
|
| |||||||
Machinery — 1.6% |
| |||||||
| 311 | Flowserve Corp. | 23,149 | ||||||
| 335 | Ingersoll-Rand plc | 20,951 | ||||||
| 1,625 | PACCAR, Inc. | 102,097 | ||||||
| 164 | SPX Corp. | 17,771 | ||||||
| 45 | WABCO Holdings, Inc. (a) | 4,807 | ||||||
|
| |||||||
| 168,775 | ||||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
| 89 | Canadian Pacific Railway Ltd., (Canada) | 16,134 | ||||||
| 2,078 | CSX Corp. | 64,033 | ||||||
| 59 | J.B. Hunt Transport Services, Inc. | 4,329 | ||||||
| 68 | Kansas City Southern | 7,299 | ||||||
| 616 | Union Pacific Corp. | 61,459 | ||||||
|
| |||||||
| 153,254 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.1% |
| |||||||
| 38 | W.W. Grainger, Inc. | 9,756 | ||||||
|
| |||||||
Total Industrials | 1,139,730 | |||||||
|
| |||||||
Information Technology — 19.6% |
| |||||||
Communications Equipment — 2.1% |
| |||||||
| 2,877 | Cisco Systems, Inc. | 71,495 | ||||||
| 215 | Juniper Networks, Inc. (a) | 5,271 | ||||||
| 1,851 | QUALCOMM, Inc. | 146,627 | ||||||
|
| |||||||
| 223,393 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% (g) |
| |||||||
| 63 | Amphenol Corp., Class A | 6,107 | ||||||
|
| |||||||
Internet Software & Services — 3.7% |
| |||||||
| 21 | Baidu, Inc., (China), ADR (a) | 3,990 | ||||||
| 69 | eBay, Inc. (a) | 3,430 | ||||||
| 385 | Facebook, Inc., Class A (a) | 25,894 | ||||||
| 260 | Google, Inc., Class A (a) | 152,111 | ||||||
| 357 | Google, Inc., Class C (a) | 205,459 | ||||||
| 24 | LinkedIn Corp., Class A (a) | 4,170 | ||||||
|
| |||||||
| 395,054 | ||||||||
|
| |||||||
IT Services — 3.0% |
| |||||||
| 1,011 | Accenture plc, (Ireland), Class A | 81,699 | ||||||
| 122 | Alliance Data Systems Corp. (a) | 34,306 | ||||||
| 854 | Cognizant Technology Solutions Corp., Class A (a) | 41,785 | ||||||
| 277 | Fidelity National Information Services, Inc. | 15,135 | ||||||
| 324 | MasterCard, Inc., Class A | 23,772 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
IT Services — continued |
| |||||||
| 586 | Visa, Inc., Class A | 123,442 | ||||||
|
| |||||||
| 320,139 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.2% |
| |||||||
| 211 | ARM Holdings plc, (United Kingdom), ADR | 9,549 | ||||||
| 146 | ASML Holding N.V., (Netherlands) | 13,598 | ||||||
| 1,663 | Avago Technologies Ltd., (Singapore) | 119,879 | ||||||
| 1,274 | Broadcom Corp., Class A | 47,282 | ||||||
| 1,257 | Freescale Semiconductor Ltd. (a) | 29,549 | ||||||
| 1,614 | KLA-Tencor Corp. | 117,213 | ||||||
| 1,302 | Lam Research Corp. | 88,017 | ||||||
| 988 | ON Semiconductor Corp. (a) | 9,027 | ||||||
| 944 | Teradyne, Inc. | 18,508 | ||||||
| 19 | Xilinx, Inc. | 913 | ||||||
|
| |||||||
| 453,535 | ||||||||
|
| |||||||
Software — 3.5% |
| |||||||
| 982 | Adobe Systems, Inc. (a) | 71,067 | ||||||
| 548 | Citrix Systems, Inc. (a) | 34,251 | ||||||
| 5,001 | Microsoft Corp. | 208,541 | ||||||
| 917 | Oracle Corp. | 37,166 | ||||||
| 177 | salesforce.com, Inc. (a) | 10,307 | ||||||
| 26 | Splunk, Inc. (a) | 1,415 | ||||||
| 170 | VMware, Inc., Class A (a) | 16,436 | ||||||
|
| |||||||
| 379,183 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 3.1% |
| |||||||
| 56 | 3D Systems Corp. (a) | 3,337 | ||||||
| 3,529 | Apple, Inc. | 327,994 | ||||||
|
| |||||||
| 331,331 | ||||||||
|
| |||||||
Total Information Technology | 2,108,742 | |||||||
|
| |||||||
Materials — 3.8% |
| |||||||
Chemicals — 1.9% |
| |||||||
| 410 | Axiall Corp. | 19,365 | ||||||
| 443 | Dow Chemical Co. (The) | 22,788 | ||||||
| 59 | Ecolab, Inc. | 6,595 | ||||||
| 118 | LyondellBasell Industries N.V., Class A | 11,506 | ||||||
| 173 | Methanex Corp., (Canada) | 10,676 | ||||||
| 593 | Monsanto Co. | 74,022 | ||||||
| 656 | Mosaic Co. (The) | 32,439 | ||||||
| 39 | PPG Industries, Inc. | 8,137 | ||||||
| 103 | Sherwin-Williams Co. (The) | 21,395 | ||||||
|
| |||||||
| 206,923 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
| 317 | Crown Holdings, Inc. (a) | 15,791 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — continued |
| |||||||
| 90 | Packaging Corp. of America | 6,420 | ||||||
|
| |||||||
| 22,211 | ||||||||
|
| |||||||
Metals & Mining — 1.7% |
| |||||||
| 4,768 | Alcoa, Inc. | 70,992 | ||||||
| 1,543 | Freeport-McMoRan Copper & Gold, Inc. | 56,308 | ||||||
| 2,224 | United States Steel Corp. | 57,909 | ||||||
|
| |||||||
| 185,209 | ||||||||
|
| |||||||
Total Materials | 414,343 | |||||||
|
| |||||||
Telecommunication Services — 1.5% |
| |||||||
Diversified Telecommunication Services — 1.5% |
| |||||||
| 3,215 | Verizon Communications, Inc. | 157,301 | ||||||
|
| |||||||
Utilities — 2.1% |
| |||||||
Electric Utilities — 1.3% |
| |||||||
| 151 | Edison International | 8,798 | ||||||
| 313 | Entergy Corp. | 25,727 | ||||||
| 949 | Exelon Corp. | 34,614 | ||||||
| 713 | NextEra Energy, Inc. | 73,037 | ||||||
|
| |||||||
| 142,176 | ||||||||
|
| |||||||
Multi-Utilities — 0.8% |
| |||||||
| 628 | CenterPoint Energy, Inc. | 16,027 | ||||||
| 294 | CMS Energy Corp. | 9,158 | ||||||
| 470 | Dominion Resources, Inc. | 33,629 | ||||||
| 357 | NiSource, Inc. | 14,042 | ||||||
| 188 | Public Service Enterprise Group, Inc. | 7,672 | ||||||
|
| |||||||
| 80,528 | ||||||||
|
| |||||||
Total Utilities | 222,704 | |||||||
|
| |||||||
Total Common Stocks | 10,653,016 | |||||||
|
| |||||||
| Short-Term Investment — 1.3% |
| ||||||
Investment Company — 1.3% |
| |||||||
| 142,784 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 142,784 | ||||||
|
| |||||||
Total Investments — 100.1% | 10,795,800 | |||||||
Liabilities in Excess of | (16,156 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 10,779,644 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 47 | ||||||
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 774 | E-mini S&P 500 | 09/19/14 | $ | 75,558 | $ | 490 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
J.P. Morgan Large Cap Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
| ADR | — American Depositary Receipt | |
| ETF | — Exchange Traded Fund | |
| SPDR | — Standard & Poor’s Depositary Receipts | |
| (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. | |
| (g) | — Amount rounds to less than 0.1%. | |
| (h) | — Amount rounds to less than one thousand shares or contracts. | |
| (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, 2014. | |
| (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.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 49 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014
(Amounts in thousands, except per share amounts)
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 4,249,044 | $ | 271,868 | $ | 70,804 | ||||||
Investments in affiliates, at value | 23,917 | 10,584 | 1,753 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 4,272,961 | 282,452 | 72,557 | |||||||||
Cash | — | (a) | — | — | ||||||||
Receivables: | ||||||||||||
Investment securities sold | 8,408 | — | — | |||||||||
Fund shares sold | 6,231 | 488 | 141 | |||||||||
Dividends from non-affiliates | 3,093 | 92 | 32 | |||||||||
Dividends from affiliates | — | (a) | — | (a) | — | (a) | ||||||
Variation margin on futures contracts | 5 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 4,290,698 | 283,032 | 72,730 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Distributions | 198 | — | — | |||||||||
Investment securities purchased | 8,541 | — | — | |||||||||
Fund shares redeemed | 2,539 | 4 | — | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 885 | 137 | 38 | |||||||||
Administration fees | 294 | 19 | 5 | |||||||||
Shareholder servicing fees | 90 | �� | 57 | 8 | ||||||||
Distribution fees | 42 | 6 | — | (a) | ||||||||
Custodian and accounting fees | 67 | 14 | 16 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | — | (a) | — | (a) | |||||||
Registration Fee | — | — | 15 | |||||||||
Audit Fees | 27 | 28 | 22 | |||||||||
Other | 27 | 2 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 12,712 | 267 | 110 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 4,277,986 | $ | 282,765 | $ | 72,620 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 3,438,347 | $ | 234,167 | $ | 67,566 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 831 | (429 | ) | 62 | ||||||||
Accumulated net realized gains (losses) | 156,126 | 3,615 | (159 | ) | ||||||||
Net unrealized appreciation (depreciation) | 682,682 | 45,412 | 5,151 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 4,277,986 | $ | 282,765 | $ | 72,620 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 206,635 | $ | 16,996 | $ | 423 | ||||||
Class C | — | 4,416 | 133 | |||||||||
Class R5 | — | 45 | — | |||||||||
Class R6 | 3,598,945 | — | — | |||||||||
Institutional Class | 389,507 | — | — | |||||||||
Select Class | 82,899 | 261,308 | 72,064 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 4,277,986 | $ | 282,765 | $ | 72,620 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
Class A | 8,710 | 710 | 18 | |||||||||
Class C | — | 190 | 6 | |||||||||
Class R5 | — | 2 | — | |||||||||
Class R6 | 150,868 | — | — | |||||||||
Institutional Class | 16,330 | — | — | |||||||||
Select Class | 3,471 | 10,737 | 3,044 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 23.73 | $ | 23.95 | $ | 23.56 | ||||||
Class C — Offering price per share (b) | — | 23.19 | 23.24 | |||||||||
Class R5 — Offering and redemption price per share | — | 24.65 | — | |||||||||
Class R6 — Offering and redemption price per share | 23.85 | — | — | |||||||||
Institutional Class — Offering and redemption price per share | 23.85 | — | — | |||||||||
Select Class — Offering and redemption price per share | 23.88 | 24.34 | 23.67 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 25.04 | $ | 25.28 | $ | 24.87 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 3,566,715 | $ | 226,456 | $ | 65,653 | ||||||
Cost of investments in affiliates | 23,917 | 10,584 | 1,753 | |||||||||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 51 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except per share amounts)
Equity Income | Growth and Income Fund | Hedged Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 7,407,670 | $ | 458,139 | $ | 4,997 | ||||||
Investments in affiliates, at value | 82,188 | 4,891 | 5 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 7,489,858 | 463,030 | 5,002 | |||||||||
Cash | — | — | — | (a) | ||||||||
Receivables: | ||||||||||||
Investment securities sold | 11,985 | 918 | 161 | |||||||||
Fund shares sold | 39,361 | 360 | 36 | |||||||||
Interest and dividends from non-affiliates | 11,063 | 505 | 5 | |||||||||
Dividends from affiliates | 2 | — | (a) | — | (a) | |||||||
Due from Adviser | — | — | 71 | |||||||||
Deferred offering costs | — | — | 48 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 7,552,269 | 464,813 | 5,323 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | 1 | — | — | |||||||||
Distributions | 4,476 | 67 | 5 | |||||||||
Investment securities purchased | 8,804 | — | 158 | |||||||||
Fund shares redeemed | 7,411 | 329 | — | |||||||||
Outstanding options written, at fair value | — | — | 37 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 2,052 | 151 | — | |||||||||
Administration fees | 506 | 31 | — | |||||||||
Shareholder servicing fees | 1,362 | 95 | 1 | |||||||||
Distribution fees | 978 | 96 | — | (a) | ||||||||
Custodian and accounting fees | 109 | 18 | 25 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | (a) | — | (a) | |||||||
Transfer agent fees | 709 | 111 | 2 | |||||||||
Audit Fees | 18 | 22 | 58 | |||||||||
Other | 314 | 25 | 2 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 26,740 | 945 | 288 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 7,525,529 | $ | 463,868 | $ | 5,035 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Equity Income | Growth and Income Fund | Hedged Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 5,822,657 | $ | 301,470 | $ | 4,861 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 1,539 | (17 | ) | (3 | ) | |||||||
Accumulated net realized gains (losses) | 83,163 | (4,352 | ) | (122 | ) | |||||||
Net unrealized appreciation (depreciation) | 1,618,170 | 166,767 | 299 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 7,525,529 | $ | 463,868 | $ | 5,035 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 2,360,750 | $ | 419,465 | $ | 569 | ||||||
Class B | 3,932 | 2,660 | — | |||||||||
Class C | 805,494 | 14,619 | 53 | |||||||||
Class R2 | 28,733 | — | — | |||||||||
Class R5 | 307,700 | — | 53 | |||||||||
Class R6 | 551,378 | — | 53 | |||||||||
Select Class | 3,467,542 | 27,124 | 4,307 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 7,525,529 | $ | 463,868 | $ | 5,035 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
Class A | 172,831 | 9,385 | 36 | |||||||||
Class B | 290 | 61 | — | |||||||||
Class C | 59,700 | 354 | 3 | |||||||||
Class R2 | 2,107 | — | — | |||||||||
Class R5 | 22,214 | — | 3 | |||||||||
Class R6 | 39,830 | — | 3 | |||||||||
Select Class | 250,395 | 582 | 273 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 13.66 | $ | 44.70 | $ | 15.74 | ||||||
Class B — Offering price per share (b) | 13.56 | 43.65 | — | |||||||||
Class C — Offering price per share (b) | 13.49 | 41.31 | 15.76 | |||||||||
Class R2 — Offering and redemption price per share | 13.64 | — | — | |||||||||
Class R5 — Offering and redemption price per share | 13.85 | — | 15.76 | |||||||||
Class R6 — Offering and redemption price per share | 13.84 | — | 15.76 | |||||||||
Select Class — Offering and redemption price per share | 13.85 | 46.58 | 15.76 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 14.42 | $ | 47.18 | $ | 16.61 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 5,789,500 | $ | 291,372 | $ | 4,698 | ||||||
Cost of investments in affiliates | 82,188 | 4,891 | 5 | |||||||||
Premiums received from options written | — | — | 37 | |||||||||
| (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, 2014 | J.P. MORGAN LARGE CAP FUNDS | 53 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except per share amounts)
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 14,912,672 | $ | 818,319 | $ | 10,653,016 | ||||||
Investments in affiliates, at value | 62,826 | 1,458 | 142,784 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 14,975,498 | 819,777 | 10,795,800 | |||||||||
Cash | — | — | 4 | |||||||||
Deposits at broker for futures contracts | — | — | 3,364 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 21,369 | 11,277 | 32,913 | |||||||||
Fund shares sold | 18,083 | 281 | 20,193 | |||||||||
Dividends from non-affiliates | 4,486 | 552 | 7,170 | |||||||||
Dividends from affiliates | 2 | — | (a) | 1 | ||||||||
Variation margin on futures contracts | — | — | 15 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 15,019,438 | 831,887 | 10,859,460 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Due to custodian | 4 | — | (a) | — | ||||||||
Distributions | — | 30 | 2,630 | |||||||||
Investment securities purchased | — | 6,582 | 54,748 | |||||||||
Fund shares redeemed | 59,958 | 161 | 15,603 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 5,571 | 268 | 3,457 | |||||||||
Administration fees | 1,023 | 56 | 726 | |||||||||
Shareholder servicing fees | 1,815 | 149 | 1,041 | |||||||||
Distribution fees | 1,448 | 27 | 397 | |||||||||
Custodian and accounting fees | 276 | 30 | 210 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 8 | 11 | 6 | |||||||||
Other | 3,603 | 126 | 998 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 73,706 | 7,440 | 79,816 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 14,945,732 | $ | 824,447 | $ | 10,779,644 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 10,644,772 | $ | 582,659 | $ | 7,202,004 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | (17,137 | ) | (56 | ) | 572 | |||||||
Accumulated net realized gains (losses) | 55,774 | 81,974 | 272,646 | |||||||||
Net unrealized appreciation (depreciation) | 4,262,323 | 159,870 | 3,304,422 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 14,945,732 | $ | 824,447 | $ | 10,779,644 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 5,044,428 | $ | 92,161 | $ | 1,172,752 | ||||||
Class B | 7,472 | 1,893 | 4,250 | |||||||||
Class C | 523,972 | 11,646 | 175,265 | |||||||||
Class R2 | 222,421 | 455 | 126,549 | |||||||||
Class R5 | 1,400,112 | 4,433 | 441,628 | |||||||||
Class R6 | 2,709,590 | 50,923 | 2,392,416 | |||||||||
Institutional Class | — | — | 4,178,050 | |||||||||
Select Class | 5,037,737 | 662,936 | 2,288,734 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 14,945,732 | $ | 824,447 | $ | 10,779,644 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
Class A | 155,272 | 5,542 | 78,582 | |||||||||
Class B | 261 | 116 | 289 | |||||||||
Class C | 18,498 | 717 | 11,994 | |||||||||
Class R2 | 6,936 | 27 | 8,527 | |||||||||
Class R5 | 42,758 | 268 | 29,517 | |||||||||
Class R6 | 82,622 | 3,090 | 159,758 | |||||||||
Institutional Class | — | — | 279,370 | |||||||||
Select Class | 154,911 | 40,384 | 153,216 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 32.49 | $ | 16.63 | $ | 14.92 | ||||||
Class B — Offering price per share (b) | 28.60 | 16.39 | 14.70 | |||||||||
Class C — Offering price per share (b) | 28.33 | 16.25 | 14.61 | |||||||||
Class R2 — Offering and redemption price per share | 32.07 | 16.58 | 14.84 | |||||||||
Class R5 — Offering and redemption price per share | 32.75 | 16.54 | 14.96 | |||||||||
Class R6 — Offering and redemption price per share | 32.80 | 16.48 | 14.98 | |||||||||
Institutional Class — Offering and redemption price per share | — | — | 14.96 | |||||||||
Select Class — Offering and redemption price per share | 32.52 | 16.42 | 14.94 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 34.29 | $ | 17.55 | $ | 15.75 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 10,650,349 | $ | 658,449 | $ | 7,349,084 | ||||||
Cost of investments in affiliates | 62,826 | 1,458 | 142,784 | |||||||||
| (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, 2014 | J.P. MORGAN LARGE CAP FUNDS | 55 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2014
(Amounts in thousands)
Disciplined | Dynamic Growth Fund | Equity Focus Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Interest income from non-affiliates | $ | 3 | $ | — | $ | — | ||||||
Dividend income from non-affiliates | 58,588 | 1,315 | 384 | |||||||||
Dividend income from affiliates | 12 | 1 | — | (a) | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 58,603 | 1,316 | �� | 384 | ||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 7,846 | 1,207 | 211 | |||||||||
Administration fees | 2,618 | 168 | 27 | |||||||||
Distribution fees: | ||||||||||||
Class A | 394 | 11 | — | (a) | ||||||||
Class C | — | 11 | 1 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 394 | 11 | 1 | |||||||||
Class C | — | 4 | — | (a) | ||||||||
Class R5 | — | — | (a) | — | ||||||||
Institutional Class | 291 | — | — | |||||||||
Select Class | 157 | 488 | 80 | |||||||||
Custodian and accounting fees | 114 | 26 | 27 | |||||||||
Professional fees | 76 | 48 | 41 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 30 | 2 | — | (a) | ||||||||
Printing and mailing costs | 58 | 10 | 10 | |||||||||
Registration and filing fees | 101 | 84 | 80 | |||||||||
Transfer agent fees | 484 | 24 | 7 | |||||||||
Other | 54 | 11 | 7 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 12,617 | 2,105 | 492 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (535 | ) | (81 | ) | (97 | ) | ||||||
Less expense reimbursements | — | — | (73 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 12,082 | 2,024 | 322 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 46,521 | (708 | ) | 62 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 230,990 | 7,600 | (77 | ) | ||||||||
Futures | 9,359 | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 240,349 | 7,600 | (77 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 432,864 | 30,946 | 4,489 | |||||||||
Futures | 305 | — | — | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 433,169 | 30,946 | 4,489 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 673,518 | 38,546 | 4,412 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 720,039 | $ | 37,838 | $ | 4,474 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Equity Income | Growth and Income Fund | Hedged Equity Fund(a) | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 163,270 | $ | 9,808 | $ | 33 | ||||||
Dividend income from affiliates | 35 | 1 | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 163,305 | 9,809 | 33 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 24,062 | 1,714 | 4 | |||||||||
Administration fees | 5,024 | 358 | 1 | |||||||||
Distribution fees: | ||||||||||||
Class A | 4,535 | 969 | — | (b) | ||||||||
Class B | 32 | 21 | — | |||||||||
Class C | 4,680 | 84 | — | (b) | ||||||||
Class R2 | 104 | — | — | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 4,535 | 969 | — | (b) | ||||||||
Class B | 11 | 7 | — | |||||||||
Class C | 1,560 | 28 | — | (b) | ||||||||
Class R2 | 52 | — | — | |||||||||
Class R5 | 124 | — | — | (b) | ||||||||
Select Class | 7,200 | 68 | 4 | |||||||||
Custodian and accounting fees | 198 | 33 | 25 | |||||||||
Interest expense to affiliates | — | — | (b) | — | ||||||||
Professional fees | 88 | 44 | 79 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 55 | 5 | — | (b) | ||||||||
Printing and mailing costs | 390 | 44 | 1 | |||||||||
Registration and filing fees | 635 | 131 | 2 | |||||||||
Transfer agent fees | 3,341 | 461 | 4 | |||||||||
Offering costs | — | — | 57 | |||||||||
Other | 101 | 12 | 6 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 56,727 | 4,948 | 183 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (1,658 | ) | (88 | ) | (6 | ) | ||||||
Less expense reimbursements | — | — | (168 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 55,069 | 4,860 | 9 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 108,236 | 4,949 | 24 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 125,411 | 51,392 | (62 | ) | ||||||||
Options written | — | — | (60 | ) | ||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 125,411 | 51,392 | (122 | ) | ||||||||
|
|
|
|
|
| |||||||
Distributions of capital gains received from investment company affiliates | 1 | — | (b) | — | ||||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 934,953 | 34,471 | 299 | |||||||||
Options Written | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 934,953 | 34,471 | 299 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 1,060,365 | 85,863 | 177 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,168,601 | $ | 90,812 | $ | 201 | ||||||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 57 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2014 (continued)
(Amounts in thousands)
Large Cap | Large Cap Value Fund | U.S. Equity Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 109,290 | $ | 15,703 | $ | 164,723 | ||||||
Dividend income from affiliates | 99 | 4 | 21 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 109,389 | 15,707 | 164,744 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 73,090 | 3,103 | 37,819 | |||||||||
Administration fees | 12,215 | 648 | 7,899 | |||||||||
Distribution fees: | ||||||||||||
Class A | 11,505 | 177 | 2,556 | |||||||||
Class B | 66 | 13 | 33 | |||||||||
Class C | 3,633 | 67 | 1,074 | |||||||||
Class R2 | 1,092 | 2 | 507 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 11,505 | 177 | 2,556 | |||||||||
Class B | 22 | 5 | 11 | |||||||||
Class C | 1,211 | 22 | 358 | |||||||||
Class R2 | 546 | 1 | 254 | |||||||||
Class R5 | 664 | 5 | 219 | |||||||||
Institutional Class | — | — | 2,820 | |||||||||
Select Class | 13,400 | 1,589 | 7,487 | |||||||||
Custodian and accounting fees | 472 | 45 | 360 | |||||||||
Interest expense to affiliates | — | — | (a) | — | (a) | |||||||
Professional fees | 196 | 40 | 147 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 138 | 29 | 97 | |||||||||
Printing and mailing costs | 1,010 | 23 | 577 | |||||||||
Registration and filing fees | 704 | 92 | 356 | |||||||||
Transfer agent fees | 12,374 | 226 | 4,747 | |||||||||
Other | 248 | 97 | 213 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 144,091 | 6,361 | 70,090 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (5,869 | ) | (222 | ) | (2,290 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 138,222 | 6,139 | 67,800 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (28,833 | ) | 9,568 | 96,944 | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 571,342 | 122,050 | 724,520 | |||||||||
Futures | 1,482 | 1,885 | 12,307 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 572,824 | 123,935 | 736,827 | |||||||||
|
|
|
|
|
| |||||||
Distributions of capital gains received from investment company affiliates | 1 | 4 | 2 | |||||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 2,563,782 | 35,976 | 1,331,528 | |||||||||
Futures | — | — | 938 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 2,563,782 | 35,976 | 1,332,466 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 3,136,607 | 159,915 | 2,069,295 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 3,107,774 | $ | 169,483 | $ | 2,166,239 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 46,521 | $ | 23,459 | $ | (708 | ) | $ | (90 | ) | ||||||
Net realized gain (loss) | 240,349 | 139,123 | 7,600 | (26 | ) | |||||||||||
Change in net unrealized appreciation/depreciation | 433,169 | 122,739 | 30,946 | 9,369 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 720,039 | 285,321 | 37,838 | 9,253 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (1,624 | ) | (897 | ) | — | — | ||||||||||
From net realized gains | (9,242 | ) | (1,388 | ) | — | — | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | (39,209 | ) | (19,141 | ) | — | — | ||||||||||
From net realized gains | (139,746 | ) | (36,007 | ) | — | — | ||||||||||
Institutional Class | ||||||||||||||||
From net investment income | (4,083 | ) | (2,982 | ) | — | — | ||||||||||
From net realized gains | (16,849 | ) | (6,783 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (775 | ) | (417 | ) | — | — | ||||||||||
From net realized gains | (3,550 | ) | (904 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (215,078 | ) | (68,519 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,946,173 | 377,140 | 142,647 | 53,837 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 2,451,134 | 593,942 | 180,485 | 63,090 | ||||||||||||
Beginning of period | 1,826,852 | 1,232,910 | 102,280 | 39,190 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,277,986 | $ | 1,826,852 | $ | 282,765 | $ | 102,280 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 831 | $ | 294 | $ | (429 | ) | $ | (159 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 59 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 62 | $ | 4 | $ | 108,236 | $ | 74,912 | ||||||||
Net realized gain (loss) | (77 | ) | 251 | 125,411 | 69,841 | |||||||||||
Distributions of capital gains received from investment company affiliates | — | — | 1 | — | ||||||||||||
Change in net unrealized appreciation/depreciation | 4,489 | 434 | 934,953 | 479,810 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 4,474 | 689 | 1,168,601 | 624,563 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | — | (31,236 | ) | (19,317 | ) | ||||||||||
From net realized gains | (5 | ) | — | (30,026 | ) | (5,498 | ) | |||||||||
Class B | ||||||||||||||||
From net investment income | — | — | (50 | ) | (70 | ) | ||||||||||
From net realized gains | — | — | (74 | ) | (29 | ) | ||||||||||
Class C | ||||||||||||||||
From net investment income | — | — | (7,992 | ) | (4,350 | ) | ||||||||||
From net realized gains | (2 | ) | — | (10,640 | ) | (1,406 | ) | |||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (317 | ) | (121 | ) | ||||||||||
From net realized gains | — | — | (336 | ) | (24 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (5,124 | ) | (3,934 | ) | ||||||||||
From net realized gains | — | — | (3,803 | ) | (977 | ) | ||||||||||
Class R6 | ||||||||||||||||
From net investment income | — | — | (9,298 | ) | (3,107 | ) | ||||||||||
From net realized gains | — | — | (7,928 | ) | (431 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | — | (a) | (5 | ) | (54,801 | ) | (42,429 | ) | ||||||||
From net realized gains | (259 | ) | — | (46,326 | ) | (11,551 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (266 | ) | (5 | ) | (207,951 | ) | (93,244 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 64,555 | 5 | 2,056,118 | 1,764,743 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 68,763 | 689 | 3,016,768 | 2,296,062 | ||||||||||||
Beginning of period | 3,857 | 3,168 | 4,508,761 | 2,212,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 72,620 | $ | 3,857 | $ | 7,525,529 | $ | 4,508,761 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 62 | $ | — | (a) | $ | 1,539 | $ | 2,120 | |||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Growth and Income Fund | Hedged Equity Fund | |||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Period Ended June 30, 2014(a) | ||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||
Net investment income (loss) | $ | 4,949 | $ | 4,234 | $ | 24 | ||||||
Net realized gain (loss) | 51,392 | 29,391 | (122 | ) | ||||||||
Distributions of capital gains received from investment company affiliates | — | (b) | — | — | ||||||||
Change in net unrealized appreciation/depreciation | 34,471 | 45,073 | 299 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | 90,812 | 78,698 | 201 | |||||||||
|
|
|
|
|
| |||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||
Class A | ||||||||||||
From net investment income | (4,431 | ) | (4,024 | ) | (4 | ) | ||||||
Return of capital | (1 | ) | ||||||||||
Class B | ||||||||||||
From net investment income | (18 | ) | (25 | ) | — | |||||||
Class C | ||||||||||||
From net investment income | (99 | ) | (55 | ) | — | (b) | ||||||
Return of capital | — | (b) | ||||||||||
Class R5 | ||||||||||||
From net investment income | — | — | — | (b) | ||||||||
Return of capital | — | (b) | ||||||||||
Class R6 | ||||||||||||
From net investment income | — | — | — | (b) | ||||||||
Return of capital | (1 | ) | ||||||||||
Select Class | ||||||||||||
From net investment income | (332 | ) | (234 | ) | (23 | ) | ||||||
Return of capital | (20 | ) | ||||||||||
|
|
|
|
|
| |||||||
Total distributions to shareholders | (4,880 | ) | (4,338 | ) | (49 | ) | ||||||
|
|
|
|
|
| |||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Change in net assets resulting from capital transactions | (17,280 | ) | 12,439 | 4,883 | ||||||||
|
|
|
|
|
| |||||||
NET ASSETS: | ||||||||||||
Change in net assets | 68,652 | 86,799 | 5,035 | |||||||||
Beginning of period | 395,216 | 308,417 | — | |||||||||
|
|
|
|
|
| |||||||
End of period | $ | 463,868 | $ | 395,216 | $ | 5,035 | ||||||
|
|
|
|
|
| |||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (17 | ) | $ | (79 | ) | $ | (3 | ) | |||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 61 | ||||||
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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (28,833 | ) | $ | 46,607 | $ | 9,568 | $ | 8,082 | |||||||
Net realized gain (loss) | 572,824 | (326,384 | ) | 123,935 | 99,795 | |||||||||||
Distributions of capital gains received from investment company affiliates | 1 | — | 4 | — | ||||||||||||
Change in net unrealized appreciation/depreciation | 2,563,782 | 1,289,666 | 35,976 | 52,178 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 3,107,774 | 1,009,889 | 169,483 | 160,055 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | — | (8,070 | ) | (861 | ) | (343 | ) | |||||||||
From net realized gains | — | — | (1,655 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | (3 | ) | (12 | ) | (9 | ) | |||||||||
From net realized gains | — | — | (50 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | — | (501 | ) | (68 | ) | (28 | ) | |||||||||
From net realized gains | — | — | (233 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | — | (401 | ) | (3 | ) | (3 | ) | |||||||||
From net realized gains | — | — | (14 | ) | — | |||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | (6,158 | ) | (116 | ) | (293 | ) | |||||||||
From net realized gains | — | — | (599 | ) | — | |||||||||||
Class R6 | ||||||||||||||||
From net investment income | — | (12,750 | ) | (724 | ) | (389 | ) | |||||||||
From net realized gains | — | — | (1,655 | ) | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | — | (20,306 | ) | (8,031 | ) | (7,078 | ) | |||||||||
From net realized gains | — | — | (21,436 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | — | (48,189 | ) | (35,457 | ) | (8,143 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 275,053 | 3,684,331 | (6,000 | ) | (90,864 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 3,382,827 | 4,646,031 | 128,026 | 61,048 | ||||||||||||
Beginning of period | 11,562,905 | 6,916,874 | 696,421 | 635,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 14,945,732 | $ | 11,562,905 | $ | 824,447 | $ | 696,421 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (17,137 | ) | $ | (4,932 | ) | $ | (56 | ) | $ | 205 | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 96,944 | $ | 92,748 | ||||
Net realized gain (loss) | 736,827 | 480,203 | ||||||
Distributions of capital gains received from investment company affiliates | 2 | — | ||||||
Change in net unrealized appreciation/depreciation | 1,332,466 | 947,694 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 2,166,239 | 1,520,645 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (8,068 | ) | (8,381 | ) | ||||
From net realized gains | (67,000 | ) | (15,212 | ) | ||||
Class B | ||||||||
From net investment income | (13 | ) | (28 | ) | ||||
From net realized gains | (307 | ) | (97 | ) | ||||
Class C | ||||||||
From net investment income | (512 | ) | (586 | ) | ||||
From net realized gains | (9,496 | ) | (1,789 | ) | ||||
Class R2 | ||||||||
From net investment income | (595 | ) | (467 | ) | ||||
From net realized gains | (6,636 | ) | (981 | ) | ||||
Class R5 | ||||||||
From net investment income | (4,728 | ) | (5,910 | ) | ||||
From net realized gains | (27,833 | ) | (8,373 | ) | ||||
Class R6 | ||||||||
From net investment income | (23,536 | ) | (17,082 | ) | ||||
From net realized gains | (124,852 | ) | (21,719 | ) | ||||
Institutional Class | ||||||||
From net investment income | (34,846 | ) | (12,288 | ) | ||||
From net realized gains | (245,150 | ) | (14,514 | ) | ||||
Select Class | ||||||||
From net investment income | (24,079 | ) | (48,777 | ) | ||||
From net realized gains | (143,301 | ) | (80,114 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (720,952 | ) | (236,318 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 1,347,074 | 249,947 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 2,792,361 | 1,534,274 | ||||||
Beginning of period | 7,987,283 | 6,453,009 | ||||||
|
|
|
| |||||
End of period | $ | 10,779,644 | $ | 7,987,283 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 572 | $ | 931 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 63 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 110,205 | $ | 96,937 | $ | 18,137 | $ | — | ||||||||
Distributions reinvested | 10,845 | 2,272 | — | — | ||||||||||||
Cost of shares redeemed | (42,738 | ) | (28,925 | ) | (1,412 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 78,312 | $ | 70,284 | $ | 16,725 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 4,982 | $ | — | ||||||||
Cost of shares redeemed | — | — | (705 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | — | $ | — | $ | 4,277 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 4 | $ | — | ||||||||
Cost of shares redeemed | — | — | — | (a) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 4 | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 1,799,308 | $ | 438,811 | $ | — | $ | — | ||||||||
Distributions reinvested | 178,948 | 55,148 | — | — | ||||||||||||
Cost of shares redeemed | (264,127 | ) | (227,923 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | 1,714,129 | $ | 266,036 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Proceeds from shares issued | $ | 148,282 | $ | 86,438 | $ | — | $ | — | ||||||||
Distributions reinvested | 18,575 | 9,649 | — | — | ||||||||||||
Cost of shares redeemed | (45,570 | ) | (75,564 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Institutional Class capital transactions | $ | 121,287 | $ | 20,523 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 43,804 | $ | 26,750 | $ | 133,469 | $ | 69,660 | ||||||||
Distributions reinvested | 3,427 | 943 | — | — | ||||||||||||
Cost of shares redeemed | (14,786 | ) | �� | (7,396 | ) | (11,828 | ) | (15,823 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 32,445 | $ | 20,297 | $ | 121,641 | $ | 53,837 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,946,173 | $ | 377,140 | $ | 142,647 | $ | 53,837 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Disciplined Equity Fund | Dynamic Growth Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 5,011 | 5,299 | 763 | — | ||||||||||||
Reinvested | 507 | 125 | — | — | ||||||||||||
Redeemed | (1,927 | ) | (1,500 | ) | (60 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 3,591 | 3,924 | 703 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | — | — | 214 | — | ||||||||||||
Redeemed | — | — | (31 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | — | — | 183 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | — | (a) | — | |||||||||||
Redeemed | — | — | — | (a) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | — | (a) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 82,159 | 22,846 | — | — | ||||||||||||
Reinvested | 8,286 | 3,035 | — | — | ||||||||||||
Redeemed | (11,337 | ) | (12,719 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 79,108 | 13,162 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Institutional Class | ||||||||||||||||
Issued | 6,620 | 4,518 | — | — | ||||||||||||
Reinvested | 862 | 534 | — | — | ||||||||||||
Redeemed | (2,038 | ) | (3,999 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Institutional Class Shares | 5,444 | 1,053 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 1,997 | 1,414 | 5,952 | 3,788 | ||||||||||||
Reinvested | 159 | 52 | — | — | ||||||||||||
Redeemed | (673 | ) | (391 | ) | (526 | ) | (900 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 1,483 | 1,075 | 5,426 | 2,888 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 65 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 490 | $ | — | $ | 1,182,529 | $ | 737,962 | ||||||||
Distributions reinvested | 5 | — | 59,065 | 23,473 | ||||||||||||
Cost of shares redeemed | (167 | ) | — | (454,907 | ) | (202,721 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 328 | $ | — | $ | 786,687 | $ | 558,714 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 1,047 | $ | 666 | ||||||||
Distributions reinvested | — | — | 112 | 87 | ||||||||||||
Cost of shares redeemed | — | — | (1,961 | ) | (1,725 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (802 | ) | $ | (972 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 62 | $ | — | $ | 374,473 | $ | 268,094 | ||||||||
Distributions reinvested | 2 | — | 15,425 | 4,630 | ||||||||||||
Cost of shares redeemed | (12 | ) | — | (89,920 | ) | (34,460 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 52 | $ | — | $ | 299,978 | $ | 238,264 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 19,772 | $ | 12,892 | ||||||||
Distributions reinvested | — | — | 652 | 145 | ||||||||||||
Cost of shares redeemed | — | — | (8,361 | ) | (2,395 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 12,063 | $ | 10,642 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 133,602 | $ | 118,180 | ||||||||
Distributions reinvested | — | — | 8,807 | 4,911 | ||||||||||||
Cost of shares redeemed | — | — | (103,835 | ) | (32,438 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 38,574 | $ | 90,653 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 392,844 | $ | 213,112 | ||||||||
Distributions reinvested | — | — | 14,091 | 2,662 | ||||||||||||
Cost of shares redeemed | — | — | (150,821 | ) | (74,123 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 256,114 | $ | 141,651 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 74,941 | $ | — | $ | 1,343,746 | $ | 1,117,631 | ||||||||
Distributions reinvested | 100 | 5 | 51,006 | 23,225 | ||||||||||||
Cost of shares redeemed | (10,866 | ) | — | (731,248 | ) | (415,065 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 64,175 | $ | 5 | $ | 663,504 | $ | 725,791 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 64,555 | $ | 5 | $ | 2,056,118 | $ | 1,764,743 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Equity Focus Fund | Equity Income Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 22 | — | 93,449 | 68,181 | ||||||||||||
Reinvested | — | (a) | — | 4,669 | 2,207 | |||||||||||
Redeemed | (7 | ) | — | (35,883 | ) | (18,810 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 15 | — | 62,235 | 51,578 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 85 | 62 | ||||||||||||
Reinvested | — | — | 9 | 8 | ||||||||||||
Redeemed | — | — | (156 | ) | (163 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (62 | ) | (93 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 4 | — | 30,145 | 24,888 | ||||||||||||
Reinvested | — | (a) | — | 1,238 | 440 | |||||||||||
Redeemed | (1 | ) | — | (7,181 | ) | (3,212 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 3 | — | 24,202 | 22,116 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 1,554 | 1,186 | ||||||||||||
Reinvested | — | — | 52 | 13 | ||||||||||||
Redeemed | — | — | (649 | ) | (220 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 957 | 979 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 10,246 | 10,685 | ||||||||||||
Reinvested | — | — | 687 | 456 | ||||||||||||
Redeemed | — | — | (8,034 | ) | (3,032 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 2,899 | 8,109 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | — | — | 30,669 | 19,542 | ||||||||||||
Reinvested | — | — | 1,095 | 241 | ||||||||||||
Redeemed | — | — | (11,733 | ) | (7,073 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | — | — | 20,031 | 12,710 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 3,320 | — | 104,808 | 102,846 | ||||||||||||
Reinvested | 5 | — | (a) | 3,973 | 2,161 | |||||||||||
Redeemed | (475 | ) | — | (56,929 | ) | (38,275 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 2,850 | — | 51,852 | 66,732 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 67 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Growth and Income Fund | Hedged Equity Fund | |||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Period Ended June 30, 2014(a) | ||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||
Class A | ||||||||||||
Proceeds from shares issued | $ | 31,727 | $ | 35,245 | $ | 1,573 | ||||||
Distributions reinvested | 4,239 | 3,805 | 4 | |||||||||
Cost of shares redeemed | (50,548 | ) | (46,195 | ) | (1,009 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from Class A capital transactions | $ | (14,582 | ) | $ | (7,145 | ) | $ | 568 | ||||
|
|
|
|
|
| |||||||
Class B | ||||||||||||
Proceeds from shares issued | $ | 86 | $ | 46 | $ | — | ||||||
Distributions reinvested | 18 | 24 | — | |||||||||
Cost of shares redeemed | (996 | ) | (1,068 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from Class B capital transactions | $ | (892 | ) | $ | (998 | ) | $ | — | ||||
|
|
|
|
|
| |||||||
Class C | ||||||||||||
Proceeds from shares issued | $ | 6,964 | $ | 3,658 | $ | 50 | ||||||
Distributions reinvested | 89 | 50 | — | (b) | ||||||||
Cost of shares redeemed | (2,395 | ) | (1,194 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from Class C capital transactions | $ | 4,658 | $ | 2,514 | $ | 50 | ||||||
|
|
|
|
|
| |||||||
Class R5 | ||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 50 | ||||||
Distributions reinvested | — | — | 1 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 51 | ||||||
|
|
|
|
|
| |||||||
Class R6 | ||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 50 | ||||||
Distributions reinvested | — | — | 1 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from Class R6 capital transactions | $ | — | $ | — | $ | 51 | ||||||
|
|
|
|
|
| |||||||
Select Class | ||||||||||||
Proceeds from shares issued | $ | 19,582 | $ | 29,596 | $ | 4,125 | ||||||
Distributions reinvested | 296 | 181 | 38 | |||||||||
Cost of shares redeemed | (26,342 | ) | (11,709 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from Select Class capital transactions | $ | (6,464 | ) | $ | 18,068 | $ | 4,163 | |||||
|
|
|
|
|
| |||||||
Total change in net assets resulting from capital transactions | $ | (17,280 | ) | $ | 12,439 | $ | 4,883 | |||||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Growth and Income Fund | Hedged Equity Fund | |||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Period Ended June 30, 2014(a) | ||||||||||
SHARE TRANSACTIONS: | ||||||||||||
Class A | ||||||||||||
Issued | 791 | 1,056 | 100 | |||||||||
Reinvested | 102 | 113 | — | (b) | ||||||||
Redeemed | (1,258 | ) | (1,393 | ) | (64 | ) | ||||||
|
|
|
|
|
| |||||||
Change in Class A Shares | (365 | ) | (224 | ) | 36 | |||||||
|
|
|
|
|
| |||||||
Class B | ||||||||||||
Issued | 2 | 2 | — | |||||||||
Reinvested | — | (b) | 1 | — | ||||||||
Redeemed | (25 | ) | (33 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in Class B Shares | (23 | ) | (30 | ) | — | |||||||
|
|
|
|
|
| |||||||
Class C | ||||||||||||
Issued | 187 | 115 | 3 | |||||||||
Reinvested | 2 | 2 | — | (b) | ||||||||
Redeemed | (65 | ) | (39 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in Class C Shares | 124 | 78 | 3 | |||||||||
|
|
|
|
|
| |||||||
Class R5 | ||||||||||||
Issued | — | — | 3 | |||||||||
Reinvested | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in Class R5 Shares | — | — | 3 | |||||||||
|
|
|
|
|
| |||||||
Class R6 | ||||||||||||
Issued | — | — | 3 | |||||||||
Reinvested | — | — | — | (b) | ||||||||
|
|
|
|
|
| |||||||
Change in Class R6 Shares | — | — | 3 | |||||||||
|
|
|
|
|
| |||||||
Select Class | ||||||||||||
Issued | 473 | 860 | 270 | |||||||||
Reinvested | 7 | 5 | 3 | |||||||||
Redeemed | (643 | ) | (364 | ) | — | |||||||
|
|
|
|
|
| |||||||
Change in Select Class Shares | (163 | ) | 501 | 273 | ||||||||
|
|
|
|
|
| |||||||
| (a) | Commencement of operations was December 13, 2013. |
| (b) | Amount rounds to less than 1,000 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 69 | ||||||
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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 2,726,496 | $ | 1,681,868 | $ | 15,561 | $ | 9,793 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 42,595 | — | ||||||||||||
Distributions reinvested | — | 7,269 | 2,439 | 334 | ||||||||||||
Cost of shares redeemed | (1,431,629 | ) | (758,726 | ) | (15,944 | ) | (7,966 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 1,294,867 | $ | 930,411 | $ | 44,651 | $ | 2,161 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 146 | $ | 566 | $ | 33 | $ | 80 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 1,079 | — | ||||||||||||
Distributions reinvested | — | 3 | 57 | 8 | ||||||||||||
Cost of shares redeemed | (3,925 | ) | (4,476 | ) | (769 | ) | (663 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (3,779 | ) | $ | (3,907 | ) | $ | 400 | $ | (575 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 118,910 | $ | 216,349 | $ | 3,724 | $ | 2,372 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 3,188 | — | ||||||||||||
Distributions reinvested | — | 328 | 268 | 26 | ||||||||||||
Cost of shares redeemed | (90,812 | ) | (55,203 | ) | (1,946 | ) | (1,593 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 28,098 | $ | 161,474 | $ | 5,234 | $ | 805 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 62,282 | $ | 136,252 | $ | 194 | $ | 282 | ||||||||
Distributions reinvested | — | 328 | 10 | 1 | ||||||||||||
Cost of shares redeemed | (78,278 | ) | (45,030 | ) | (196 | ) | (125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (15,996 | ) | $ | 91,550 | $ | 8 | $ | 158 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 365,422 | $ | 726,113 | $ | 514 | $ | 20,693 | ||||||||
Net assets acquired in Fund reorganization (See Note 8) | — | — | 2,180 | — | ||||||||||||
Distributions reinvested | — | 5,802 | 690 | 293 | ||||||||||||
Cost of shares redeemed | (413,385 | ) | (248,553 | ) | (19,905 | ) | (30,349 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (47,963 | ) | $ | 483,362 | $ | (16,521 | ) | $ | (9,363 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | $ | 665,288 | $ | 1,276,837 | $ | 4,941 | $ | 30,498 | ||||||||
Distributions reinvested | — | 11,769 | 2,379 | 389 | ||||||||||||
Cost of shares redeemed | (692,012 | ) | (323,090 | ) | (8,427 | ) | (4,653 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | $ | (26,724 | ) | $ | 965,516 | $ | (1,107 | ) | $ | 26,234 | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,132,582 | $ | 2,425,990 | $ | 29,098 | $ | 15,803 | ||||||||
Distributions reinvested | — | 9,684 | 27,502 | 47 | ||||||||||||
Cost of shares redeemed | (2,086,032 | ) | (1,379,749 | ) | (95,265 | ) | (126,134 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (953,450 | ) | $ | 1,055,925 | $ | (38,665 | ) | $ | (110,284 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 275,053 | $ | 3,684,331 | $ | (6,000 | ) | $ | (90,864 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Large Cap Growth Fund | Large Cap Value Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 94,359 | 68,413 | 1,021 | 764 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 2,898 | — | ||||||||||||
Reinvested | — | 299 | 162 | 26 | ||||||||||||
Redeemed | (47,665 | ) | (30,354 | ) | (1,042 | ) | (627 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 46,694 | 38,358 | 3,039 | 163 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 6 | 26 | 3 | 6 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 74 | — | ||||||||||||
Reinvested | — | — | (a) | 4 | 1 | |||||||||||
Redeemed | (148 | ) | (204 | ) | (51 | ) | (54 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (142 | ) | (178 | ) | 30 | (47 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 4,514 | 10,019 | 251 | 191 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 222 | — | ||||||||||||
Reinvested | — | 15 | 18 | 2 | ||||||||||||
Redeemed | (3,428 | ) | (2,519 | ) | (131 | ) | (134 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,086 | 7,515 | 360 | 59 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 2,078 | 5,599 | 12 | 24 | ||||||||||||
Reinvested | — | 14 | 1 | — | (a) | |||||||||||
Redeemed | (2,597 | ) | (1,823 | ) | (13 | ) | (10 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (519 | ) | 3,790 | — | (a) | 14 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 12,035 | 29,385 | 34 | 1,466 | ||||||||||||
Shares issued in connection with Fund reorganization (See Note 8) | — | — | 149 | — | ||||||||||||
Reinvested | — | 236 | 48 | 24 | ||||||||||||
Redeemed | (13,642 | ) | (9,897 | ) | (1,358 | ) | (2,472 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (1,607 | ) | 19,724 | (1,127 | ) | (982 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 22,243 | 51,377 | 329 | 2,468 | ||||||||||||
Reinvested | — | 478 | 161 | 29 | ||||||||||||
Redeemed | (22,612 | ) | (12,934 | ) | (557 | ) | (372 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (369 | ) | 38,921 | (67 | ) | 2,125 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 37,768 | 99,374 | 1,976 | 1,244 | ||||||||||||
Reinvested | — | 399 | 1,868 | 4 | ||||||||||||
Redeemed | (67,981 | ) | (55,281 | ) | (6,280 | ) | (10,585 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (30,213 | ) | 44,492 | (2,436 | ) | (9,337 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000 shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 71 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 383,521 | $ | 317,607 | ||||
Distributions reinvested | 67,082 | 21,062 | ||||||
Cost of shares redeemed | (308,374 | ) | (265,352 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 142,229 | $ | 73,317 | ||||
|
|
|
| |||||
Class B | ||||||||
Proceeds from shares issued | $ | 178 | $ | 82 | ||||
Distributions reinvested | 305 | 121 | ||||||
Cost of shares redeemed | (1,374 | ) | (1,552 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class B capital transactions | $ | (891 | ) | $ | (1,349 | ) | ||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 59,625 | $ | 35,948 | ||||
Distributions reinvested | 9,127 | 2,151 | ||||||
Cost of shares redeemed | (25,641 | ) | (19,119 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 43,111 | $ | 18,980 | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 54,604 | $ | 44,824 | ||||
Distributions reinvested | 6,417 | 1,212 | ||||||
Cost of shares redeemed | (22,308 | ) | (13,937 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 38,713 | $ | 32,099 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 141,144 | $ | 134,146 | ||||
Distributions reinvested | 28,688 | 13,036 | ||||||
Cost of shares redeemed | (250,658 | ) | (97,891 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | (80,826 | ) | $ | 49,291 | |||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 764,394 | $ | 357,529 | ||||
Distributions reinvested | 140,851 | 36,658 | ||||||
Cost of shares redeemed | (184,568 | ) | (332,840 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 720,677 | $ | 61,347 | ||||
|
|
|
| |||||
Institutional Class | ||||||||
Proceeds from shares issued | $ | 3,312,906 | $ | 646,883 | ||||
Distributions reinvested | 242,236 | 20,902 | ||||||
Cost of shares redeemed | (874,872 | ) | (208,805 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Institutional Class capital transactions | $ | 2,680,270 | $ | 458,980 | ||||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 703,654 | $ | 1,142,555 | ||||
Distributions reinvested | 155,534 | 95,824 | ||||||
Cost of shares redeemed | (3,055,397 | ) | (1,681,097 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Select Class capital transactions | $ | (2,196,209 | ) | $ | (442,718 | ) | ||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 1,347,074 | $ | 249,947 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| U.S. Equity Fund | ||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 27,421 | 26,919 | ||||||
Reinvested | 4,947 | 1,851 | ||||||
Redeemed | (22,134 | ) | (22,129 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 10,234 | 6,641 | ||||||
|
|
|
| |||||
Class B | ||||||||
Issued | 13 | 7 | ||||||
Reinvested | 23 | 11 | ||||||
Redeemed | (101 | ) | (134 | ) | ||||
|
|
|
| |||||
Change in Class B Shares | (65 | ) | (116 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 4,349 | 3,084 | ||||||
Reinvested | 690 | 195 | ||||||
Redeemed | (1,871 | ) | (1,655 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 3,168 | 1,624 | ||||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 3,941 | 3,820 | ||||||
Reinvested | 476 | 107 | ||||||
Redeemed | (1,596 | ) | (1,185 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 2,821 | 2,742 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 9,994 | 11,490 | ||||||
Reinvested | 2,106 | 1,138 | ||||||
Redeemed | (18,145 | ) | (8,247 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | (6,045 | ) | 4,381 | |||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 54,986 | 30,187 | ||||||
Reinvested | 10,318 | 3,185 | ||||||
Redeemed | (13,029 | ) | (29,466 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 52,275 | 3,906 | ||||||
|
|
|
| |||||
Institutional Class | ||||||||
Issued | 229,320 | 53,674 | ||||||
Reinvested | 17,794 | 1,809 | ||||||
Redeemed | (62,503 | ) | (17,530 | ) | ||||
|
|
|
| |||||
Change in Institutional Class Shares | 184,611 | 37,953 | ||||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 51,196 | 96,628 | ||||||
Reinvested | 11,454 | 8,441 | ||||||
Redeemed | (212,173 | ) | (139,323 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | (149,523 | ) | (34,254 | ) | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 73 | ||||||
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 | ||||||||||||||||||||||
Disciplined Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 20.27 | $ | 0.23 | (d) | $ | 4.79 | $ | 5.02 | $ | (0.21 | ) | $ | (1.35 | ) | $ | (1.56 | ) | ||||||||||
Year Ended June 30, 2013 | 17.42 | 0.20 | (d) | 3.56 | 3.76 | (0.23 | ) | (0.68 | ) | (0.91 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 16.80 | 0.21 | (d) | 0.61 | 0.82 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 13.07 | 0.17 | (d) | 3.72 | 3.89 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.52 | 0.18 | (d) | 1.54 | 1.72 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 20.36 | 0.34 | (d) | 4.81 | 5.15 | (0.31 | ) | (1.35 | ) | (1.66 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 17.48 | 0.32 | (d) | 3.55 | 3.87 | (0.31 | ) | (0.68 | ) | (0.99 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 16.83 | 0.29 | (d) | 0.63 | 0.92 | (0.27 | ) | — | (0.27 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 13.08 | 0.25 | (d) | 3.73 | 3.98 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.52 | 0.24 | (d) | 1.56 | 1.80 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 20.36 | 0.32 | (d) | 4.81 | 5.13 | (0.29 | ) | (1.35 | ) | (1.64 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 17.48 | 0.30 | (d) | 3.55 | 3.85 | (0.29 | ) | (0.68 | ) | (0.97 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 16.83 | 0.27 | (d) | 0.63 | 0.90 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 13.09 | 0.24 | (d) | 3.72 | 3.96 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.52 | 0.23 | (d) | 1.57 | 1.80 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 20.39 | 0.28 | (d) | 4.82 | 5.10 | (0.26 | ) | (1.35 | ) | (1.61 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 17.51 | 0.27 | (d) | 3.56 | 3.83 | (0.27 | ) | (0.68 | ) | (0.95 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 16.86 | 0.25 | (d) | 0.63 | 0.88 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 13.11 | 0.21 | (d) | 3.73 | 3.94 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 11.54 | 0.21 | (d) | 1.56 | 1.77 | (0.20 | ) | — | (0.20 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 23.73 | 25.73 | % | $ | 206,635 | 0.85 | % | 1.02 | % | 0.86 | % | 113 | % | |||||||||||||
| 20.27 | 22.33 | 103,755 | 0.85 | 1.04 | 0.87 | 178 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 23.85 | 26.31 | 3,598,945 | 0.35 | 1.52 | 0.36 | 113 | ||||||||||||||||||||
| 20.36 | 22.90 | 1,460,937 | 0.35 | 1.67 | 0.37 | 178 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 23.85 | 26.20 | 389,507 | 0.45 | 1.42 | 0.46 | 113 | ||||||||||||||||||||
| 20.36 | 22.79 | 221,638 | 0.45 | 1.57 | 0.47 | 178 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 23.88 | 26.00 | 82,899 | 0.59 | 1.28 | 0.61 | 113 | ||||||||||||||||||||
| 20.39 | 22.61 | 40,522 | 0.60 | 1.40 | 0.62 | 178 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 75 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| 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 | Net asset value, end of period | ||||||||||||||||
Dynamic Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 18.94 | $ | (0.07 | )(e)(f) | $ | 5.08 | $ | 5.01 | $ | 23.95 | |||||||||
Year Ended June 30, 2013 | 15.89 | (0.05 | )(e)(g) | 3.10 | 3.05 | 18.94 | ||||||||||||||
Year Ended June 30, 2012 | 15.47 | (0.12 | ) | 0.54 | 0.42 | 15.89 | ||||||||||||||
Year Ended June 30, 2011 | 11.44 | (0.10 | )(e) | 4.13 | 4.03 | 15.47 | ||||||||||||||
Year Ended June 30, 2010 | 9.91 | (0.07 | ) | 1.60 | 1.53 | 11.44 | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 18.43 | (0.20 | )(e)(f) | 4.96 | 4.76 | 23.19 | ||||||||||||||
Year Ended June 30, 2013 | 15.54 | (0.14 | )(e)(g) | 3.03 | 2.89 | 18.43 | ||||||||||||||
Year Ended June 30, 2012 | 15.21 | (0.19 | ) | 0.52 | 0.33 | 15.54 | ||||||||||||||
Year Ended June 30, 2011 | 11.29 | (0.17 | )(e) | 4.09 | 3.92 | 15.21 | ||||||||||||||
Year Ended June 30, 2010 | 9.84 | (0.13 | ) | 1.58 | 1.45 | 11.29 | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2014 | 19.42 | (0.04 | )(e)(f) | 5.27 | 5.23 | 24.65 | ||||||||||||||
Year Ended June 30, 2013 | 16.22 | 0.03 | (e)(g) | 3.17 | 3.20 | 19.42 | ||||||||||||||
Year Ended June 30, 2012 | 15.72 | (0.06 | ) | 0.56 | 0.50 | 16.22 | ||||||||||||||
Year Ended June 30, 2011 | 11.57 | (0.04 | )(e) | 4.19 | 4.15 | 15.72 | ||||||||||||||
Year Ended June 30, 2010 | 9.98 | (0.02 | ) | 1.61 | 1.59 | 11.57 | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 19.20 | (0.08 | )(e)(f) | 5.22 | 5.14 | 24.34 | ||||||||||||||
Year Ended June 30, 2013 | 16.07 | (0.03 | )(e)(g) | 3.16 | 3.13 | 19.20 | ||||||||||||||
Year Ended June 30, 2012 | 15.61 | (0.09 | ) | 0.55 | 0.46 | 16.07 | ||||||||||||||
Year Ended June 30, 2011 | 11.51 | (0.06 | )(e) | 4.16 | 4.10 | 15.61 | ||||||||||||||
Year Ended June 30, 2010 | 9.95 | (0.04 | ) | 1.60 | 1.56 | 11.51 | ||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Ratios are disproportionate among classes due to the size of net assets and fixed expenses. |
| (d) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (e) | Calculated based upon average shares outstanding. |
| (f) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.13, $(0.01), $0.09 and $0.06 for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.57%, (0.05)%, 0.40% and 0.25% for Class A, Class C, Class R5 and Select Class Shares, respectively. |
| (g) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.10), $(0.19), $(0.03) and $(0.08) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.60)%, (1.10)%, (0.15)% and (0.45)% for Class A, Class C, Class R5 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||
| Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (d) | |||||||||||||||||
| 26.45 | % | $ | 16,996 | 1.24 | % | (0.30 | )%(f) | 1.25 | % | 55 | % | |||||||||||
| 19.19 | 126 | 1.25 | (0.30 | )(g) | 1.42 | 82 | ||||||||||||||||
| 2.71 | 106 | 1.24 | (0.81 | ) | 1.44 | 99 | ||||||||||||||||
| 35.23 | 103 | 1.23 | (0.71 | ) | 3.18 | 97 | ||||||||||||||||
| 15.44 | 76 | 1.25 | (0.61 | ) | 5.82 | 39 | ||||||||||||||||
| 25.83 | 4,416 | 1.74 | (0.86 | )(f) | 1.75 | 55 | ||||||||||||||||
| 18.60 | 123 | 1.74 | (0.80 | )(g) | 1.92 | 82 | ||||||||||||||||
| 2.17 | 104 | 1.74 | (1.31 | ) | 1.94 | 99 | ||||||||||||||||
| 34.72 | 102 | 1.73 | (1.21 | ) | 3.68 | 97 | ||||||||||||||||
| 14.74 | 75 | 1.75 | (1.11 | ) | 6.32 | 39 | ||||||||||||||||
| 26.93 | 45 | 0.80 | (0.17 | )(f) | 0.84 | 55 | ||||||||||||||||
| 19.73 | 32 | 0.80 | 0.15 | (g) | 0.97 | 82 | ||||||||||||||||
| 3.18 | 27 | 0.79 | (0.36 | ) | 0.99 | 99 | ||||||||||||||||
| 35.87 | 26 | 0.78 | (0.26 | ) | 2.73 | 97 | ||||||||||||||||
| 15.93 | 19 | 0.80 | (0.17 | ) | 5.37 | 39 | ||||||||||||||||
| 26.77 | 261,308 | 1.00 | (0.35 | )(f) | 1.04 | 55 | ||||||||||||||||
| 19.48 | 101,999 | 1.00 | (0.16 | )(g) | 1.14 | 82 | ||||||||||||||||
| 2.95 | 38,953 | 0.99 | (0.56 | ) | 1.19 | 99 | ||||||||||||||||
| 35.62 | 43,617 | 0.97 | (0.41 | ) | 1.59 | 97 | ||||||||||||||||
| 15.68 | 2,130 | 1.00 | (0.36 | ) | 5.57 | 39 | ||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE 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 | ||||||||||||||||||||||
Equity Focus Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 19.18 | $ | (0.02 | )(g) | $ | 4.86 | $ | 4.84 | $ | — | $ | (0.46 | ) | $ | (0.46 | ) | |||||||||||
Year Ended June 30, 2013 | 15.79 | (0.02 | ) | 3.41 | 3.39 | — | — | — | ||||||||||||||||||||
July 29, 2011 (h) through June 30, 2012 | 15.00 | 0.01 | 0.79 | 0.80 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 19.01 | (0.15 | )(g) | 4.84 | 4.69 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 15.73 | (0.11 | ) | 3.39 | 3.28 | — | — | — | ||||||||||||||||||||
July 29, 2011 (h) through June 30, 2012 | 15.00 | (0.06 | ) | 0.79 | 0.73 | — | (i) | — | — | |||||||||||||||||||
Select | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 19.22 | 0.04 | (g) | 4.87 | 4.91 | — | (i) | (0.46 | ) | (0.46 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 15.81 | 0.02 | 3.42 | 3.44 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
July 29, 2011 (h) through June 30, 2012 | 15.00 | 0.04 | 0.80 | 0.84 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Certain non-recurring expenses incurred by the Fund were not annualized for the year ended June 30, 2013 and for the period ended June 30, 2012. |
| (f) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (g) | Calculated based upon average shares outstanding. |
| (h) | Commencement of operations. |
| (i) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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)(e) | Net investment income (loss) (e) | Expenses without waivers, reimbursements and earnings credits (e) | Portfolio turnover rate (b)(f) | ||||||||||||||||||||
| $ | 23.56 | 25.43 | % | $ | 423 | 1.24 | % | (0.10 | )% | 2.11 | % | 76 | % | |||||||||||||
| 19.18 | 21.47 | 64 | 1.25 | (0.13 | ) | 3.75 | 61 | |||||||||||||||||||
| 15.79 | 5.37 | 53 | 1.25 | 0.04 | 5.09 | 71 | ||||||||||||||||||||
| 23.24 | 24.86 | 133 | 1.74 | (0.67 | ) | 2.82 | 76 | |||||||||||||||||||
| 19.01 | 20.85 | 63 | 1.75 | (0.63 | ) | 4.25 | 61 | |||||||||||||||||||
| 15.73 | 4.87 | 52 | 1.75 | (0.46 | ) | 5.58 | 71 | |||||||||||||||||||
| 23.67 | 25.75 | 72,064 | 0.99 | 0.19 | 1.51 | 76 | ||||||||||||||||||||
| 19.22 | 21.77 | 3,730 | 1.00 | 0.12 | 3.51 | 61 | ||||||||||||||||||||
| 15.81 | 5.61 | 3,063 | 1.00 | 0.29 | 4.84 | 71 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE 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 | Net realized gain | Total distributions | ||||||||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 11.62 | $ | 0.21 | (f) | $ | 2.26 | $ | 2.47 | $ | (0.21 | ) | $ | (0.22 | ) | $ | (0.43 | ) | ||||||||||
Year Ended June 30, 2013 | 9.84 | 0.24 | (f)(h) | 1.84 | 2.08 | (0.23 | ) | (0.07 | ) | (0.30 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.38 | 0.21 | (f) | 0.46 | 0.67 | (0.17 | ) | (0.04 | ) | (0.21 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 7.26 | 0.19 | (f) | 2.12 | 2.31 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.35 | 0.17 | (f) | 0.91 | 1.08 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.54 | 0.15 | (f) | 2.24 | 2.39 | (0.15 | ) | (0.22 | ) | (0.37 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.78 | 0.18 | (f)(h) | 1.83 | 2.01 | (0.18 | ) | (0.07 | ) | (0.25 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.33 | 0.15 | (f) | 0.47 | 0.62 | (0.13 | ) | (0.04 | ) | (0.17 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 7.22 | 0.14 | (f) | 2.12 | 2.26 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.30 | 0.13 | (f) | 0.92 | 1.05 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.49 | 0.15 | (f) | 2.23 | 2.38 | (0.16 | ) | (0.22 | ) | (0.38 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.74 | 0.18 | (f)(h) | 1.83 | 2.01 | (0.19 | ) | (0.07 | ) | (0.26 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.30 | 0.16 | (f) | 0.45 | 0.61 | (0.13 | ) | (0.04 | ) | (0.17 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 7.20 | 0.15 | (f) | 2.11 | 2.26 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.30 | 0.13 | (f) | 0.90 | 1.03 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.61 | 0.18 | (f) | 2.25 | 2.43 | (0.18 | ) | (0.22 | ) | (0.40 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.84 | 0.21 | (f)(h) | 1.84 | 2.05 | (0.21 | ) | (0.07 | ) | (0.28 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.38 | 0.19 | (f) | 0.46 | 0.65 | (0.15 | ) | (0.04 | ) | (0.19 | ) | |||||||||||||||||
February 28, 2011 (g) through June 30, 2011 | 9.20 | 0.06 | (f) | 0.17 | 0.23 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.78 | 0.27 | (f) | 2.29 | 2.56 | (0.27 | ) | (0.22 | ) | (0.49 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.96 | 0.29 | (f)(h) | 1.87 | 2.16 | (0.27 | ) | (0.07 | ) | (0.34 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.49 | 0.26 | (f) | 0.46 | 0.72 | (0.21 | ) | (0.04 | ) | (0.25 | ) | |||||||||||||||||
February 28, 2011 (g) through June 30, 2011 | 9.31 | 0.10 | (f) | 0.16 | 0.26 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.77 | 0.28 | (f) | 2.28 | 2.56 | (0.27 | ) | (0.22 | ) | (0.49 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.96 | 0.29 | (f)(h) | 1.87 | 2.16 | (0.28 | ) | (0.07 | ) | (0.35 | ) | |||||||||||||||||
January 31, 2012 (g) through June 30, 2012 | 9.64 | 0.13 | (f) | 0.30 | 0.43 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.77 | 0.25 | (f) | 2.29 | 2.54 | (0.24 | ) | (0.22 | ) | (0.46 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.96 | 0.27 | (f)(h) | 1.86 | 2.13 | (0.25 | ) | (0.07 | ) | (0.32 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 9.50 | 0.24 | (f) | 0.45 | 0.69 | (0.19 | ) | (0.04 | ) | (0.23 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 7.35 | 0.22 | (f) | 2.14 | 2.36 | (0.21 | ) | — | (0.21 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.42 | 0.20 | (f) | 0.92 | 1.12 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
| (a) | Annualized for periods less than one year. |
| (b) | Not annualized for periods less than one year. |
| (c) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset 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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
| (h) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.21, $0.16, $0.16, $0.18, $0.27, $0.26 and $0.24 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 1.97%, 1.49%, 1.46%, 1.67%, 2.44%, 2.38% and 2.23% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 13.66 | 21.60 | % | $ | 2,360,750 | 1.04 | % | 1.68 | % | 1.06 | % | 20 | % | |||||||||||||
| 11.62 | 21.53 | 1,285,400 | 1.03 | 2.22 | (h) | 1.08 | 34 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.56 | 20.99 | 3,932 | 1.52 | 1.17 | 1.56 | 20 | ||||||||||||||||||||
| 11.54 | 20.90 | 4,062 | 1.52 | 1.75 | (h) | 1.58 | 34 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.49 | 20.95 | 805,494 | 1.54 | 1.19 | 1.56 | 20 | ||||||||||||||||||||
| 11.49 | 20.94 | 407,911 | 1.53 | 1.71 | (h) | 1.58 | 34 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.64 | 21.27 | 28,733 | 1.29 | 1.44 | 1.31 | 20 | ||||||||||||||||||||
| 11.61 | 21.21 | 13,347 | 1.28 | 1.92 | (h) | 1.34 | 34 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.85 | 22.06 | 307,700 | 0.59 | 2.11 | 0.61 | 20 | ||||||||||||||||||||
| 11.78 | 22.17 | 227,442 | 0.58 | 2.69 | (h) | 0.63 | 34 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.84 | 22.14 | 551,378 | 0.54 | 2.20 | 0.56 | 20 | ||||||||||||||||||||
| 11.77 | 22.12 | 233,034 | 0.53 | 2.63 | (h) | 0.59 | 34 | |||||||||||||||||||
| 9.96 | 4.47 | 70,589 | 0.53 | 3.28 | 0.58 | 44 | ||||||||||||||||||||
| 13.85 | 21.94 | 3,467,542 | 0.79 | 1.92 | 0.81 | 20 | ||||||||||||||||||||
| 11.77 | 21.84 | 2,337,565 | 0.78 | 2.48 | (h) | 0.83 | 34 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 81 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized (losses) on | Total from investment operations | Net investment income | ||||||||||||||||
Growth and Income Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 36.53 | $ | 0.47 | (d) | $ | 8.17 | $ | 8.64 | $ | (0.47 | ) | ||||||||
Year Ended June 30, 2013 | 29.43 | 0.40 | (d) | 7.11 | 7.51 | (0.41 | ) | |||||||||||||
Year Ended June 30, 2012 | 28.26 | 0.35 | (d) | 1.16 | 1.51 | (0.34 | ) | |||||||||||||
Year Ended June 30, 2011 | 22.30 | 0.28 | (d) | 5.96 | 6.24 | (0.28 | ) | |||||||||||||
Year Ended June 30, 2010 | 19.46 | 0.35 | (d) | 2.83 | 3.18 | (0.34 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 35.68 | 0.25 | (d) | 7.99 | 8.24 | (0.27 | ) | |||||||||||||
Year Ended June 30, 2013 | 28.76 | 0.23 | (d) | 6.94 | 7.17 | (0.25 | ) | |||||||||||||
Year Ended June 30, 2012 | 27.62 | 0.21 | (d) | 1.14 | 1.35 | (0.21 | ) | |||||||||||||
Year Ended June 30, 2011 | 21.80 | 0.15 | (d) | 5.82 | 5.97 | (0.15 | ) | |||||||||||||
Year Ended June 30, 2010 | 19.03 | 0.23 | (d) | 2.76 | 2.99 | (0.22 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 33.83 | 0.25 | (d) | 7.55 | 7.80 | (0.32 | ) | |||||||||||||
Year Ended June 30, 2013 | 27.32 | 0.22 | (d) | 6.59 | 6.81 | (0.30 | ) | |||||||||||||
Year Ended June 30, 2012 | 26.27 | 0.20 | (d) | 1.08 | 1.28 | (0.23 | ) | |||||||||||||
Year Ended June 30, 2011 | 20.77 | 0.14 | (d) | 5.53 | 5.67 | (0.17 | ) | |||||||||||||
Year Ended June 30, 2010 | 18.15 | 0.21 | (d) | 2.66 | 2.87 | (0.25 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 38.03 | 0.58 | (d) | 8.52 | 9.10 | (0.55 | ) | |||||||||||||
Year Ended June 30, 2013 | 30.63 | 0.51 | (d) | 7.40 | 7.91 | (0.51 | ) | |||||||||||||
Year Ended June 30, 2012 | 29.39 | 0.45 | (d) | 1.21 | 1.66 | (0.42 | ) | |||||||||||||
Year Ended June 30, 2011 | 23.18 | 0.37 | (d) | 6.20 | 6.57 | (0.36 | ) | |||||||||||||
Year Ended June 30, 2010 | 20.21 | 0.43 | (d) | 2.95 | 3.38 | (0.41 | ) | |||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 44.70 | 23.74 | % | $ | 419,465 | 1.13 | % | 1.16 | % | 1.15 | % | 42 | % | |||||||||||||
| 36.53 | 25.65 | 356,127 | 1.15 | 1.23 | 1.16 | 35 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 43.65 | 23.14 | 2,660 | 1.63 | 0.64 | 1.65 | 42 | ||||||||||||||||||||
| 35.68 | 25.01 | 2,981 | 1.66 | 0.73 | 1.66 | 35 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 41.31 | 23.12 | 14,619 | 1.64 | 0.66 | 1.65 | 42 | ||||||||||||||||||||
| 33.83 | 25.02 | 7,769 | 1.65 | 0.72 | 1.65 | 35 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 46.58 | 24.05 | 27,124 | 0.89 | 1.39 | 0.90 | 42 | ||||||||||||||||||||
| 38.03 | 25.97 | 28,339 | 0.88 | 1.45 | 0.90 | 35 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 83 | ||||||
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 Distribution | ||||||||||||||||||||||
Hedged Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
December 13, 2013 (g) through June 30, 2014 | $ | 15.00 | $ | 0.07 | $ | 0.84 | $ | 0.91 | $ | (0.07 | ) | $ | (0.10 | ) | $ | (0.17 | ) | |||||||||||
Class C | ||||||||||||||||||||||||||||
December 13, 2013 (g) through June 30, 2014 | 15.00 | 0.05 | 0.83 | 0.88 | (0.02 | ) | (0.10 | ) | (0.12 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
December 13, 2013 (g) through June 30, 2014 | 15.00 | 0.13 | 0.82 | 0.95 | (0.09 | ) | (0.10 | ) | (0.19 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
December 13, 2013 (g) through June 30, 2014 | 15.00 | 0.13 | 0.83 | 0.96 | (0.10 | ) | (0.10 | ) | (0.20 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
December 13, 2013 (g) through June 30, 2014 | 15.00 | 0.10 | 0.84 | 0.94 | (0.08 | ) | (0.10 | ) | (0.18 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Certain non-recurring expenses incurred by the Fund were not annualized for the period ended June 30, 2014. |
| (f) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (g) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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)(e) | Net investment income (loss) (e) | Expenses | Portfolio turnover rate (b)(f) | ||||||||||||||||||||
| $ | 15.74 | 6.11 | % | $ | 569 | 0.85 | % | 0.96 | % | 16.65 | % | 36 | % | |||||||||||||
| 15.76 | 5.87 | 53 | 1.35 | 0.56 | 10.04 | 36 | ||||||||||||||||||||
| 15.76 | 6.37 | 53 | 0.40 | 1.51 | 9.10 | 36 | ||||||||||||||||||||
| 15.76 | 6.39 | 53 | 0.35 | 1.56 | 9.05 | 36 | ||||||||||||||||||||
| 15.76 | 6.28 | 4,307 | 0.60 | 1.30 | 9.91 | 36 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 85 | ||||||
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, 2014 | $ | 26.01 | $ | (0.10 | )(f) | $ | 6.58 | $ | 6.48 | $ | — | |||||||||
Year Ended June 30, 2013 | 23.64 | 0.08 | (f)(i) | 2.37 | 2.45 | (0.08 | ) | |||||||||||||
Year Ended June 30, 2012 | 22.38 | (0.06 | )(f) | 1.32 | 1.26 | — | ||||||||||||||
Year Ended June 30, 2011 | 15.86 | (0.04 | )(f) | 6.56 | 6.52 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.38 | (0.04 | )(f) | 2.52 | 2.48 | — | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 23.01 | (0.22 | )(f) | 5.81 | 5.59 | — | ||||||||||||||
Year Ended June 30, 2013 | 20.96 | (0.04 | )(f)(i) | 2.10 | 2.06 | (0.01 | ) | |||||||||||||
Year Ended June 30, 2012 | 19.93 | (0.15 | )(f) | 1.18 | 1.03 | — | ||||||||||||||
Year Ended June 30, 2011 | 14.20 | (0.13 | )(f) | 5.86 | 5.73 | — | ||||||||||||||
Year Ended June 30, 2010 | 12.05 | (0.12 | )(f) | 2.27 | 2.15 | — | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 22.79 | (0.22 | )(f) | 5.76 | 5.54 | — | ||||||||||||||
Year Ended June 30, 2013 | 20.79 | (0.04 | )(f)(i) | 2.07 | 2.03 | (0.03 | ) | |||||||||||||
Year Ended June 30, 2012 | 19.77 | (0.15 | )(f) | 1.17 | 1.02 | — | ||||||||||||||
Year Ended June 30, 2011 | 14.09 | (0.13 | )(f) | 5.81 | 5.68 | — | ||||||||||||||
Year Ended June 30, 2010 | 11.95 | (0.12 | )(f) | 2.26 | 2.14 | — | ||||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2014 | 25.74 | (0.18 | )(f) | 6.51 | 6.33 | — | ||||||||||||||
Year Ended June 30, 2013 | 23.44 | 0.01 | (f)(i) | 2.36 | 2.37 | (0.07 | ) | |||||||||||||
Year Ended June 30, 2012 | 22.24 | (0.12 | )(f) | 1.32 | 1.20 | — | (h) | |||||||||||||
Year Ended June 30, 2011 | 15.81 | (0.11 | )(f) | 6.54 | 6.43 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.37 | (0.08 | )(f) | 2.52 | 2.44 | — | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2014 | 26.12 | 0.01 | (f) | 6.62 | 6.63 | — | ||||||||||||||
Year Ended June 30, 2013 | 23.74 | 0.17 | (f)(i) | 2.38 | 2.55 | (0.17 | ) | |||||||||||||
Year Ended June 30, 2012 | 22.39 | 0.04 | (f) | 1.32 | 1.36 | (0.01 | ) | |||||||||||||
Year Ended June 30, 2011 | 15.81 | 0.04 | (f) | 6.54 | 6.58 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.28 | 0.03 | (f) | 2.50 | 2.53 | — | ||||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2014 | 26.15 | 0.02 | (f) | 6.63 | 6.65 | — | ||||||||||||||
Year Ended June 30, 2013 | 23.76 | 0.18 | (f)(i) | 2.39 | 2.57 | (0.18 | ) | |||||||||||||
Year Ended June 30, 2012 | 22.40 | 0.05 | (f) | 1.33 | 1.38 | (0.02 | ) | |||||||||||||
November 30, 2010 (g) through June 30, 2011 | 19.94 | 0.03 | (f) | 2.43 | 2.46 | — | ||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.01. |
| (i) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.02, $(0.09), $(0.09), $(0.04), $0.12, $0.13 and $0.07 for Class A, Clas B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.08%, (0.41)%, (0.42)%, (0.17)%, 0.47%, 0.50% and 0.28% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 32.49 | 24.91 | % | $ | 5,044,428 | 1.10 | % | (0.34 | )% | 1.19 | % | 39 | % | |||||||||||||
| 26.01 | 10.40 | 2,824,115 | 1.09 | 0.30 | (i) | 1.19 | 47 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 28.60 | 24.29 | 7,472 | 1.58 | (0.84 | ) | 1.68 | 39 | |||||||||||||||||||
| 23.01 | 9.81 | 9,278 | 1.59 | (0.19 | )(i) | 1.68 | 47 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 28.33 | 24.31 | 523,972 | 1.59 | (0.85 | ) | 1.69 | 39 | |||||||||||||||||||
| 22.79 | 9.80 | 396,862 | 1.59 | (0.20 | )(i) | 1.69 | 47 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 32.07 | 24.59 | 222,421 | 1.35 | (0.60 | ) | 1.44 | 39 | |||||||||||||||||||
| 25.74 | 10.12 | 191,876 | 1.34 | 0.05 | (i) | 1.45 | 47 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 32.75 | 25.38 | 1,400,112 | 0.73 | 0.02 | 0.74 | 39 | ||||||||||||||||||||
| 26.12 | 10.78 | 1,158,856 | 0.71 | 0.69 | (i) | 0.75 | 47 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 32.80 | 25.43 | 2,709,590 | 0.68 | 0.07 | 0.69 | 39 | ||||||||||||||||||||
| 26.15 | 10.87 | 2,170,011 | 0.67 | 0.72 | (i) | 0.70 | 47 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 87 | ||||||
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 (continued) | ||||||||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 25.99 | $ | (0.05 | )(f) | $ | 6.58 | $ | 6.53 | $ | — | |||||||||
Year Ended June 30, 2013 | 23.61 | 0.12 | (f)(i) | 2.37 | 2.49 | (0.11 | ) | |||||||||||||
Year Ended June 30, 2012 | 22.31 | (0.01 | )(f) | 1.31 | 1.30 | — | (h) | |||||||||||||
Year Ended June 30, 2011 | 15.79 | — | (f)(h) | 6.52 | 6.52 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.28 | — | (f)(h) | 2.51 | 2.51 | — | ||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
| (h) | Amount rounds to less than $0.01. |
| (i) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.02, $(0.09), $(0.09), $(0.04), $0.12, $0.13 and $0.07 for Class A, Clas B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.08%, (0.41)%, (0.42)%, (0.17)%, 0.47%, 0.50% and 0.28% for Class A, Class B, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b)(c) | Net assets, end of period (000’s) | Net expenses (d) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 32.52 | 25.13 | % | $ | 5,037,737 | 0.93 | % | (0.18 | )% | 0.94 | % | 39 | % | |||||||||||||
| 25.99 | 10.58 | 4,811,907 | 0.91 | 0.50 | (i) | 0.94 | 47 | |||||||||||||||||||
| 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 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 89 | ||||||
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, 2014 | $ | 13.99 | $ | 0.17 | (f) | $ | 3.16 | $ | 3.33 | $ | (0.18 | ) | $ | (0.51 | ) | $ | (0.69 | ) | ||||||||||
Year Ended June 30, 2013 | 11.02 | 0.14 | (f) | 2.97 | 3.11 | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.45 | 0.11 | (f) | (0.43 | ) | (0.32 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 9.15 | 0.12 | (f) | 2.29 | 2.41 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.09 | 0.09 | (f) | 1.04 | 1.13 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.80 | 0.09 | (f) | 3.11 | 3.20 | (0.10 | ) | (0.51 | ) | (0.61 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.86 | 0.07 | (f) | 2.95 | 3.02 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.28 | 0.05 | (f) | (0.42 | ) | (0.37 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 9.02 | 0.06 | (f) | 2.26 | 2.32 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.99 | 0.04 | (f) | 1.02 | 1.06 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.70 | 0.09 | (f) | 3.08 | 3.17 | (0.11 | ) | (0.51 | ) | (0.62 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.80 | 0.08 | (f) | 2.91 | 2.99 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.22 | 0.05 | (f) | (0.41 | ) | (0.36 | ) | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 8.97 | 0.06 | (f) | 2.25 | 2.31 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.95 | 0.04 | (f) | 1.01 | 1.05 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.95 | 0.13 | (f) | 3.14 | 3.27 | (0.13 | ) | (0.51 | ) | (0.64 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.99 | 0.11 | (f) | 2.96 | 3.07 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.42 | 0.08 | (f) | (0.42 | ) | (0.34 | ) | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 9.13 | 0.09 | (f) | 2.29 | 2.38 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.08 | 0.07 | (f) | 1.03 | 1.10 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.92 | 0.19 | (f) | 3.16 | 3.35 | (0.22 | ) | (0.51 | ) | (0.73 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.92 | 0.17 | (f) | 2.98 | 3.15 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.34 | 0.14 | (f) | (0.41 | ) | (0.27 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 9.07 | 0.16 | (f) | 2.26 | 2.42 | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.01 | 0.14 | (f) | 1.02 | 1.16 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.87 | 0.22 | (f) | 3.13 | 3.35 | (0.23 | ) | (0.51 | ) | (0.74 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.92 | 0.20 | (f) | 2.94 | 3.14 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.34 | 0.15 | (f) | (0.42 | ) | (0.27 | ) | (0.15 | ) | — | (0.15 | ) | ||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 10.19 | 0.10 | (f) | 1.17 | 1.27 | (0.12 | ) | — | (0.12 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.82 | 0.19 | (f) | 3.11 | 3.30 | (0.19 | ) | (0.51 | ) | (0.70 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.88 | 0.16 | (f) | 2.94 | 3.10 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 11.30 | 0.12 | (f) | (0.41 | ) | (0.29 | ) | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 9.04 | 0.13 | (f) | 2.26 | 2.39 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.99 | 0.12 | (f) | 1.01 | 1.13 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 90 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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 earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 16.63 | 24.46 | % | $ | 92,161 | 0.93 | % | 1.11 | % | 1.06 | % | 168 | % | |||||||||||||
| 13.99 | 28.38 | 35,030 | 0.94 | 1.11 | 1.04 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.39 | 23.81 | 1,893 | 1.44 | 0.60 | 1.55 | 168 | ||||||||||||||||||||
| 13.80 | 27.88 | 1,183 | 1.43 | 0.60 | 1.55 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.25 | 23.78 | 11,646 | 1.44 | 0.59 | 1.56 | 168 | ||||||||||||||||||||
| 13.70 | 27.77 | 4,890 | 1.44 | 0.62 | 1.54 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.58 | 24.07 | 455 | 1.20 | 0.83 | 1.30 | 168 | ||||||||||||||||||||
| 13.95 | 28.10 | 378 | 1.20 | 0.87 | 1.29 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.54 | 24.81 | 4,433 | 0.57 | 1.30 | 0.59 | 168 | ||||||||||||||||||||
| 13.92 | 28.96 | 19,410 | 0.59 | 1.48 | 0.60 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.48 | 24.89 | 50,923 | 0.54 | 1.48 | 0.55 | 168 | ||||||||||||||||||||
| 13.87 | 28.94 | 43,781 | 0.53 | 1.52 | 0.54 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.42 | 24.62 | 662,936 | 0.79 | 1.24 | 0.80 | 168 | ||||||||||||||||||||
| 13.82 | 28.65 | 591,749 | 0.78 | 1.27 | 0.79 | 119 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 91 | ||||||
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, 2014 | $ | 12.80 | $ | 0.11 | (f) | $ | 3.09 | $ | 3.20 | $ | (0.11 | ) | $ | (0.97 | ) | $ | (1.08 | ) | ||||||||||
Year Ended June 30, 2013 | 10.73 | 0.13 | (f) | 2.31 | 2.44 | (0.13 | ) | (0.24 | ) | (0.37 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.65 | 0.10 | (f) | 0.13 | 0.23 | (0.09 | ) | (0.06 | ) | (0.15 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.30 | 0.08 | (f) | 2.35 | 2.43 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.07 | (f) | 0.95 | 1.02 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.62 | 0.04 | (f) | 3.05 | 3.09 | (0.04 | ) | (0.97 | ) | (1.01 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.59 | 0.07 | (f) | 2.27 | 2.34 | (0.07 | ) | (0.24 | ) | (0.31 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.51 | 0.04 | (f) | 0.14 | 0.18 | (0.04 | ) | (0.06 | ) | (0.10 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.20 | 0.03 | (f) | 2.32 | 2.35 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.26 | 0.03 | (f) | 0.93 | 0.96 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.56 | 0.04 | (f) | 3.03 | 3.07 | (0.05 | ) | (0.97 | ) | (1.02 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.55 | 0.06 | (f) | 2.26 | 2.32 | (0.07 | ) | (0.24 | ) | (0.31 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.47 | 0.04 | (f) | 0.15 | 0.19 | (0.05 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.18 | 0.03 | (f) | 2.31 | 2.34 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.25 | 0.03 | (f) | 0.93 | 0.96 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.74 | 0.07 | (f) | 3.08 | 3.15 | (0.08 | ) | (0.97 | ) | (1.05 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.69 | 0.10 | (f) | 2.29 | 2.39 | (0.10 | ) | (0.24 | ) | (0.34 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.62 | 0.07 | (f) | 0.13 | 0.20 | (0.07 | ) | (0.06 | ) | (0.13 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.29 | 0.05 | (f) | 2.35 | 2.40 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.05 | (f) | 0.95 | 1.00 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.82 | 0.16 | (f) | 3.11 | 3.27 | (0.16 | ) | (0.97 | ) | (1.13 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.75 | 0.17 | (f) | 2.31 | 2.48 | (0.17 | ) | (0.24 | ) | (0.41 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.66 | 0.14 | (f) | 0.14 | 0.28 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.31 | 0.12 | (f) | 2.34 | 2.46 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.36 | 0.12 | (f) | 0.94 | 1.06 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.83 | 0.17 | (f) | 3.11 | 3.28 | (0.16 | ) | (0.97 | ) | (1.13 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.76 | 0.17 | (f) | 2.31 | 2.48 | (0.17 | ) | (0.24 | ) | (0.41 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.67 | 0.14 | (f) | 0.14 | 0.28 | (0.13 | ) | (0.06 | ) | (0.19 | ) | |||||||||||||||||
November 30, 2010 (g) through June 30, 2011 | 9.59 | 0.07 | (f) | 1.10 | 1.17 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 92 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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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 earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 14.92 | 25.90 | % | $ | 1,172,752 | 0.97 | % | 0.77 | % | 1.05 | % | 73 | % | |||||||||||||
| 12.80 | 23.14 | 874,571 | 0.97 | 1.06 | 1.06 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.70 | 25.35 | 4,250 | 1.45 | 0.28 | 1.55 | 73 | ||||||||||||||||||||
| 12.62 | 22.45 | 4,466 | 1.46 | 0.57 | 1.56 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.61 | 25.30 | 175,265 | 1.47 | 0.28 | 1.55 | 73 | ||||||||||||||||||||
| 12.56 | 22.43 | 110,837 | 1.46 | 0.56 | 1.56 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.84 | 25.61 | 126,549 | 1.22 | 0.53 | 1.30 | 73 | ||||||||||||||||||||
| 12.74 | 22.81 | 72,664 | 1.22 | 0.81 | 1.31 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.96 | 26.45 | 441,628 | 0.59 | 1.16 | 0.60 | 73 | ||||||||||||||||||||
| 12.82 | 23.52 | 455,939 | 0.59 | 1.45 | 0.61 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.98 | 26.57 | 2,392,416 | 0.54 | 1.21 | 0.55 | 73 | ||||||||||||||||||||
| 12.83 | 23.56 | 1,379,173 | 0.54 | 1.47 | 0.56 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 93 | ||||||
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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 | ||||||||||||||||||||||
U.S. Equity Fund (continued) | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 12.82 | $ | 0.16 | (f) | $ | 3.10 | $ | 3.26 | $ | (0.15 | ) | $ | (0.97 | ) | $ | (1.12 | ) | ||||||||||
Year Ended June 30, 2013 | 10.75 | 0.16 | (f) | 2.31 | 2.47 | (0.16 | ) | (0.24 | ) | (0.40 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.66 | 0.13 | (f) | 0.14 | 0.27 | (0.12 | ) | (0.06 | ) | (0.18 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.31 | 0.11 | (f) | 2.35 | 2.46 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.11 | (f) | 0.95 | 1.06 | (0.10 | ) | — | (0.10 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.80 | 0.13 | (f) | 3.10 | 3.23 | (0.12 | ) | (0.97 | ) | (1.09 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.74 | 0.15 | (f) | 2.30 | 2.45 | (0.15 | ) | (0.24 | ) | (0.39 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.65 | 0.12 | (f) | 0.14 | 0.26 | (0.11 | ) | (0.06 | ) | (0.17 | ) | |||||||||||||||||
Year Ended June 30, 2011 | 8.30 | 0.10 | (f) | 2.34 | 2.44 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 7.35 | 0.10 | (f) | 0.94 | 1.04 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 94 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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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 earnings credits | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 14.96 | 26.41 | % | $ | 4,178,050 | 0.64 | % | 1.12 | % | 0.65 | % | 73 | % | |||||||||||||
| 12.82 | 23.48 | 1,214,707 | 0.64 | 1.36 | 0.67 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 14.94 | 26.21 | 2,288,734 | 0.79 | 0.94 | 0.80 | 73 | ||||||||||||||||||||
| 12.80 | 23.22 | 3,874,926 | 0.79 | 1.24 | 0.81 | 88 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 95 | ||||||
Table of Contents
AS OF JUNE 30, 2014
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 9 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 Focus Fund | Class A, Class C 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 | |||
| Hedged Equity Fund | Class A, Class C, Class R5, Class R6 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 |
Prior to July 17, 2013, Class A, Class C and Class R5 Shares and prior to August 6, 2010, Select Class Shares of the Dynamic Growth Fund were not publicly offered for investment.
Prior to July 31, 2013, the Equity Focus Fund was not publicly offered for investment.
Hedged Equity Fund commenced operations on December 13, 2013. Prior to May 30, 2014, the Fund was not publicly offered for investment.
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 Focus Fund is to seek long-term capital appreciation.
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. Effective July 23, 2014, the Fund’s investment objective changed to seek capital appreciation and current income.
The investment objective of the Growth and Income Fund is to seek to provide capital growth over the long-term and to earn income from dividends.
The investment objective of the Hedged Equity Fund is to seek to provide capital appreciation.
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. Effective July 23, 2014, the Fund’s investment objective changed to seek long term capital appreciation.
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 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.
Large Cap Value Fund acquired all of the assets and liabilities of the JPMorgan Value Opportunities Fund, Inc. in a reorganization on October 18, 2013. Please refer to footnote 8 discussing the merger.
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 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.
| 96 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — 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. Securities listed on the NASDAQ Stock Market LLC are generally valued at 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 pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers 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 pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair 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, various forms of credit enhancements, such as bond insurance, 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 fair value. Investments in open-end investment companies are valued at each investment company’s net asset value per share (“NAV”) as of the report date.
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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.
Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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”) has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups and the Funds’ Chief Compliance Officer. 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 employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The 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 for discussing and assessing 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 is 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 the 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, 2014 | J.P. MORGAN LARGE CAP FUNDS | 97 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
The following tables represent each valuation input 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) | $ | 4,270,648 | $ | 2,313 | $ | — | $ | 4,272,961 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 353 | $ | — | $ | — | $ | 353 | ||||||||
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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) | $ | 282,452 | $ | — | $ | — | $ | 282,452 | ||||||||
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| Equity Focus Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 72,557 | $ | — | $ | — | $ | 72,557 | ||||||||
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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 (b) | $ | 7,489,858 | $ | — | $ | — | $ | 7,489,858 | ||||||||
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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 (b) | $ | 463,030 | $ | — | $ | — | $ | 463,030 | ||||||||
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| Hedged Equity Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 5,002 | $ | — | $ | — | $ | 5,002 | ||||||||
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Liabilities (b) | ||||||||||||||||
Options Written | ||||||||||||||||
Call Options Written | $ | (32 | ) | $ | — | $ | — | $ | (32 | ) | ||||||
Put Options Written | (5 | ) | — | — | (5 | ) | ||||||||||
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Total Liabilities | $ | (37 | ) | $ | — | $ | — | $ | (37 | ) | ||||||
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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) | $ | 14,975,498 | $ | — | $ | — | $ | 14,975,498 | ||||||||
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| 98 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Large Cap Value Fund | ||||||||||||||||
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (b) | $ | 819,777 | $ | — | $ | — | $ | 819,777 | ||||||||
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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) | $ | 10,795,800 | $ | — | $ | — | $ | 10,795,800 | ||||||||
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Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 490 | $ | — | $ | — | $ | 490 | ||||||||
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| (a) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOI. Level 2 consists of a U.S. Treasury Bill that is held for futures collateral. Please refer to the SOI for industry specifics of portfolio holdings. |
| (b) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended June 30, 2014.
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 (the “Securities Act”). Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are 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. As of June 30, 2014, the Funds had no investments in restricted or illiquid securities.
C. Futures Contracts — Disciplined Equity Fund, Large Cap Growth Fund, Large Cap Value 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 are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/ depreciation 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 positions.
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2014 (amounts in thousands):
| Disciplined Equity Fund | Large Cap Growth Fund | Large Cap Value Fund | U.S. Equity Fund | |||||||||||||
Futures Contracts: | ||||||||||||||||
Average Notional Balance Long | $ | 50,331 | $ | 31,496 | $ | 9,767 | $ | 54,902 | ||||||||
Ending Notional Balance Long | 25,479 | — | — | 75,558 | ||||||||||||
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty, and net amounts owed or due across transactions).
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 99 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
D. Options — Hedged Equity Fund purchases and sells (“writes”) put and call options on indices to manage and hedge interest rate risks within its portfolio and also to gain long or short exposure to the underlying index. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — Premiums paid by the Fund for options purchased are included in the Statement of Assets and Liabilities as an investment. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation of Investments in non-affiliates on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the security.
Options Written — Premiums received by the Fund for options written are included in the Statement of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as change in net unrealized appreciation/depreciation. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Fund’s exchange traded options contracts are not subject to master netting arrangements.
Transactions in options written during the period ended June 30, 2014 were as follows (amounts in thousands except for number of contracts):
| Options | ||||||||
| Number of Contracts | Premiums Received | |||||||
Options outstanding at December 13, 2013* | — | $ | — | |||||
Options written | 163 | 159 | ||||||
Options expired | — | — | ||||||
Options closed | (113 | ) | (122 | ) | ||||
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Options outstanding at June 30, 2014 | 50 | $ | 37 | |||||
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| * | Commencement of operations. |
The table below discloses the volume of the Fund’s options contracts activity during the period ended June 30, 2014:
Exchange-Traded Options: | ||||
Average Number of Contracts Purchased | 17 | |||
Average Number of Contracts Written | 35 | |||
Ending Number of Contracts Purchased | 25 | |||
Ending Number of Contracts Written | 50 |
E. Offering and Organization Costs — Total offering costs of $105,370 incurred in connection with the offering of shares of Hedged Equity Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Fund, if any, were recorded as an expense at the time it commenced operations.
F. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
| 100 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
G. Allocation of Income and Expenses — 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. In calculating the NAV 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.
H. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
G. 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.
H. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly, except for the Dynamic Growth Fund and Equity Focus Fund, for which distributions are generally declared and paid annually, and the Equity Income Fund, for which distributions are generally declared and paid monthly. Distributions 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 distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated Undistributed (Distributions in Excess of) Net Investment Income | Accumulated Net realized Gains (losses) | ||||||||||
Disciplined Equity Fund | $ | — | (a) | $ | (293 | ) | $ | 293 | ||||
Dynamic Growth Fund | (455 | ) | 438 | 17 | ||||||||
Equity Focus Fund | — | — | (a) | — | (a) | |||||||
Equity Income Fund | — | 1 | (1 | ) | ||||||||
Growth and Income Fund | — | (a) | (7 | ) | 7 | |||||||
Hedged Equity Fund | — | (a) | — | (a) | — | (a) | ||||||
Large Cap Growth Fund | (16,982 | ) | 16,628 | 354 | ||||||||
Large Cap Value Fund | 6,132 | (14 | ) | (6,118 | ) | |||||||
U.S. Equity Fund | — | (a) | (926 | ) | 926 | |||||||
The reclassifications for the Funds relate primarily to tax attributes acquired as the result of a merger, net operating losses, non-taxable dividends, investments in real estate investment trusts and investments in regulated investment companies.
| (a) | Amount rounds to less than $1,000. |
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s average daily net assets. The annual rate for each Fund is as follows:
Disciplined Equity Fund | 0.25 | % | ||
Dynamic Growth Fund | 0.60 | |||
Equity Focus Fund | 0.65 | |||
Equity Income Fund | 0.40 | |||
Growth and Income Fund | 0.40 | |||
Hedged Equity Fund | 0.25 | |||
Large Cap Growth Fund | 0.50 | |||
Large Cap Value Fund | 0.40 | |||
U.S. Equity Fund | 0.40 |
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 101 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
B. Administration Fee — Pursuant to an Administration Agreements, 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 accrued daily and paid monthly at an 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 covered by the Administration Agreements (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, 2014, the effective rate was 0.08% 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, 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 Focus 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 | ||||||||||||
Hedged Equity Fund | 0.25 | n/a | 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, 2014, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Disciplined Equity Fund | $ | 19 | $ | — | ||||
Dynamic Growth Fund | 39 | — | (a) | |||||
Equity Focus Fund | — | (a) | — | |||||
Equity Income Fund | 1,036 | 7 | ||||||
Growth and Income Fund | 62 | — | (a) | |||||
Large Cap Growth Fund | 310 | 5 | ||||||
Large Cap Value Fund | 12 | — | (a) | |||||
U.S. Equity Fund | 183 | 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 accrued 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 Focus Fund | 0.25 | n/a | 0.25 | n/a | n/a | 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 | |||||||||||||||||||||
Hedged Equity Fund | 0.25 | n/a | 0.25 | n/a | 0.05 | 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 | |||||||||||||||||||||
| 102 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
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. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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. Payments to the custodian 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 expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, 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 Focus Fund | 1.25 | n/a | 1.75 | n/a | n/a | 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 | ||||||||||||||||||||||||
Hedged Equity Fund | 0.85 | n/a | 1.35 | n/a | 0.40 | 0.35 | n/a | 0.60 | ||||||||||||||||||||||||
Large Cap Growth Fund | 1.10 | 1.60 | 1.60 | 1.35 | 0.75 | 0.70 | n/a | 0.95 | ||||||||||||||||||||||||
Large Cap Value Fund | 0.93 | * | 1.45 | 1.45 | 1.20 | 0.60 | 0.55 | n/a | 0.80 | |||||||||||||||||||||||
U.S. Equity Fund | 0.97 | 1.47 | 1.47 | 1.22 | 0.59 | 0.54 | 0.64 | 0.79 | ||||||||||||||||||||||||
| * | Prior to October 18, 2013, the expense limitation for Large Cap Value Fund Class A Shares was 0.95%. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2014. The contractual expense limitation percentages in the table above are in place until at least October 31, 2014. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2014. 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, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | Contractual Reimbursements | ||||||||||||||||
Disciplined Equity Fund | $ | 98 | $ | 298 | $ | — | $ | 396 | $ | — | ||||||||||
Dynamic Growth Fund | — | 33 | 48 | 81 | — | |||||||||||||||
Equity Focus Fund | 37 | 7 | 51 | 95 | 73 | |||||||||||||||
Equity Income Fund | 612 | 797 | — | 1,409 | — | |||||||||||||||
Growth and Income Fund | — | — | 3 | 3 | — | |||||||||||||||
Hedged Equity Fund | 4 | 2 | — | 6 | 168 | |||||||||||||||
Large Cap Growth Fund | 632 | 183 | 4,353 | 5,168 | — | |||||||||||||||
Large Cap Value Fund | 67 | 14 | 90 | 171 | — | |||||||||||||||
U.S. Equity Fund | 174 | 998 | 888 | 2,060 | — | |||||||||||||||
| Voluntary Waivers | ||||||||||||
Investment Advisory | Shareholder Servicing | Total | ||||||||||
Disciplined Equity Fund | $ | — | $ | 2 | $ | 2 | ||||||
Equity Income Fund | 2 | 15 | 17 | |||||||||
Growth and Income Fund | 8 | 66 | 74 | |||||||||
Large Cap Growth Fund | 6 | 34 | 40 | |||||||||
Large Cap Value Fund | — | (a) | 24 | 24 | ||||||||
U.S. Equity Fund | — | 1 | 1 | |||||||||
| (a) | Amount rounds to less than $1,000. |
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 103 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and Distributor, as shareholder servicing agent, waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2014 were as follows (amounts in thousands):
Disciplined Equity Fund | $ | 137 | ||
Equity Focus | 2 | |||
Equity Income Fund | 232 | |||
Growth and Income Fund | 11 | |||
Large Cap Growth Fund | 661 | |||
Large Cap Value Fund | 27 | |||
U.S. Equity Fund | 229 |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, 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, 2014, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Funds may use related party broker-dealers. For the year ended June 30, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2014, 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) | |||||||
Disciplined Equity Fund | $ | 5,236,446 | $ | 3,468,686 | ||||
Dynamic Growth Fund | 241,059 | 108,191 | ||||||
Equity Focus Fund | 86,987 | 24,272 | ||||||
Equity Income Fund | 3,083,868 | 1,201,564 | ||||||
Growth and Income Fund | 179,247 | 190,459 | ||||||
Hedged Equity Fund | 5,766 | 1,164 | ||||||
Large Cap Growth Fund | 5,931,067 | 5,496,728 | ||||||
Large Cap Value Fund | 1,281,772 | 1,366,195 | ||||||
U.S. Equity Fund | 7,486,159 | 6,767,862 | ||||||
During the year ended June 30, 2014, 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, 2014 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Disciplined Equity Fund | $ | 3,623,597 | $ | 656,349 | $ | 6,985 | $ | 649,364 | ||||||||
Dynamic Growth Fund | 238,210 | 44,983 | 741 | 44,242 | ||||||||||||
Equity Focus Fund | 67,688 | 5,193 | 324 | 4,869 | ||||||||||||
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| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Income Fund | $ | 5,883,242 | $ | 1,607,739 | $ | 1,123 | $ | 1,606,616 | ||||||||
Growth and Income Fund | 298,718 | 165,008 | 696 | 164,312 | ||||||||||||
Hedged Equity Fund | 4,706 | 326 | 30 | 296 | ||||||||||||
Large Cap Growth Fund | 10,731,904 | 4,280,075 | 36,481 | 4,243,594 | ||||||||||||
Large Cap Value Fund | 666,865 | 154,664 | 1,752 | 152,912 | ||||||||||||
U.S. Equity Fund | 7,700,514 | 3,112,281 | 16,995 | 3,095,286 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investment in partnerships, non-taxable dividends and wash sale loss deferrals.
The tax character of distributions paid during the year ended June 30, 2014 was as follows (amounts in thousands):
| Ordinary Income | Net Long-Term Capital Gains | Return of Capital | Total Distributions Paid | |||||||||||||
Disciplined Equity Fund | $ | 157,171 | $ | 57,907 | $ | — | $ | 215,078 | ||||||||
Equity Focus Fund | 70 | 196 | — | 266 | ||||||||||||
Equity Income Fund | 131,296 | 76,655 | — | 207,951 | ||||||||||||
Growth and Income Fund | 4,880 | — | — | 4,880 | ||||||||||||
Hedged Equity Fund | 27 | — | 22 | 49 | ||||||||||||
Large Cap Value Fund | 14,998 | 20,459 | — | 35,457 | ||||||||||||
U.S. Equity Fund | 374,644 | 346,308 | — | 720,952 | ||||||||||||
The tax character of distributions paid during the year ended June 30, 2013 was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Disciplined Equity Fund | $ | 46,178 | $ | 22,341 | $ | 68,519 | ||||||
Equity Focus Fund | 5 | — | 5 | |||||||||
Equity Income Fund | 77,626 | 15,618 | 93,244 | |||||||||
Growth and Income Fund | 4,338 | — | 4,338 | |||||||||
Large Cap Growth Fund | 48,189 | — | 48,189 | |||||||||
Large Cap Value Fund | 8,143 | — | 8,143 | |||||||||
U.S. Equity Fund | 129,252 | 107,066 | 236,318 | |||||||||
As of June 30, 2014, 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 | Tax Basis Capital Loss Carryover | Unrealized Appreciation (Depreciation) | |||||||||||||
Disciplined Equity Fund | $ | 133,420 | $ | 57,080 | — | $ | 649,364 | |||||||||
Dynamic Growth Fund | — | 4,785 | — | 44,242 | ||||||||||||
Equity Focus Fund | 62 | 223 | — | 4,869 | ||||||||||||
Equity Income Fund | 19,147 | 81,619 | — | 1,606,616 | ||||||||||||
Growth and Income Fund | 84 | (1,897 | ) | — | 164,312 | |||||||||||
Hedged Equity Fund | — | — | — | 296 | ||||||||||||
Large Cap Growth Fund | — | 103,722 | — | 4,243,594 | ||||||||||||
Large Cap Value Fund | 44,292 | 49,550 | (4,912 | ) | 152,912 | |||||||||||
U.S. Equity Fund | 178,617 | 306,474 | — | 3,095,286 | ||||||||||||
For the Funds the cumulative timing differences primarily consist of distributions payable, investment in partnerships, late year ordinary loss deferrals, non-taxable dividends, post-October capital loss deferrals and wash sale loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011 are 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
As of June 30, 2014, the Funds had pre-enactment net capital loss carryforwards of (amounts in thousands):
| 2017 | 2018 | Total | ||||||||||
Growth and Income Fund | $ | — | $ | 1,897 | $ | 1,897 | ||||||
Large Cap Value Fund | 4,912 | — | 4,912 | * | ||||||||
| * | This amount does not include $1,637 of capital loss carryforwards not available due to Internal Revenue Code merger limitations. |
During the year ended June 30, 2014, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
| Post-Enactment Capital Loss Carryforwards Utilized | ||||||||||||
| Pre-Enactment Capital Loss Carryforwards Utilized | Short-Term | Total Capital Loss Carryforwards Utilized | ||||||||||
Dynamic Growth Fund | $ | 909 | $ | 1,907 | $ | 2,816 | ||||||
Growth and Income Fund | 50,931 | — | 50,931 | |||||||||
Large Cap Growth Fund | 49,171 | 224,612 | 273,783 | |||||||||
Large Cap Value Fund | 3,453 | — | 3,453 | |||||||||
Late year ordinary losses and net capital 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, 2014 the following Funds deferred to July 1, 2014 post-October capital losses and late year ordinary losses of (amounts in thousands):
| Late Year Ordinary Loss Deferral | Post-October Capital Loss Character | |||||||||||
| Short-Term | Long-Term | |||||||||||
Dynamic Growth Fund | $ | 429 | $ | — | $ | — | ||||||
Equity Focus Fund | — | 100 | — | |||||||||
Hedged Equity Fund | — | 17 | 101 | |||||||||
Large Cap Growth Fund | 17,041 | 29,215 | — | |||||||||
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “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 the Funds and the series of JPM II are all 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 10, 2014.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2014. Borrowings from the Facility for the year ended June 30, 2014, were as follows (amounts in thousands):
| Average Borrowings | Average Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
U.S. Equity Fund | $ | 25,928 | 0.20 | % | 3 | $ | — | (a) | ||||||||
| (a) | Amount rounds to less than $1,000. |
Interest expense paid, if any, as a result of borrowings from another fund or from the unsecured, uncommitted credit facility is included in Interest expense to affiliates in the Statements of Operations.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for each of the Equity Focus Fund, Equity Income Fund, Growth and Income Fund, Hedged Equity Fund and U.S. Equity Fund.
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In addition, as of June 30, 2014 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 certain Funds as follows:
| J.P. Morgan Investor Funds | JPMorgan SmartRetirement Funds | |||||||
Disciplined Equity Fund | n/a | 77.2 | % | |||||
Dynamic Growth Fund | 73.4 | % | n/a | |||||
Large Cap Value Fund | 79.0 | n/a | ||||||
Additionally, Large Cap Growth 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 may impact the Funds’ performance.
8. Business Combinations
In March 2013, the Board of Directors of JPMorgan Value Opportunities Fund, Inc. and the Board of Trustees of JPM II approved management’s proposal to merge JPMorgan Value Opportunities Fund, Inc. (the “Target Fund”) into JPMorgan Large Cap Value Fund (the “Acquiring Fund”). The Agreement and Plan of Reorganization with respect to the Target Fund was approved by the Target Fund’s shareholders at a special meeting of shareholders held on October 10, 2013. The purpose of the transaction was to combine two portfolios with comparable investment objectives and strategies. The reorganization was effective after the close of business on October 18, 2013. The Acquiring Fund acquired all of the assets and liabilities of the Target Fund as shown in the table below. The transaction was structured to qualify as a tax-free reorganization under the Code. Pursuant to the Agreement and Plan of Reorganization, Class A, Class B and Class C shareholders of the Target Fund received a number of shares of the corresponding class in the Acquiring Fund, and Institutional Class shareholders of the Target Fund received shares of Class R5 in the Acquiring Fund, with a value equal to their holdings in the Target Fund as of the close of business on the date of the reorganization. The investment portfolio of the Target Fund, with a fair value of approximately $48,185,000 and identified cost of approximately $43,339,000 as of the date of the reorganization, was the principal asset acquired by the Acquiring Fund. For financial statement purposes, assets received and shares issued by the Acquiring Fund were recorded at fair value; however, the cost basis of the investments received from the Target Fund was carried forward to align ongoing reporting of the Acquiring Fund’s realized and unrealized gains and losses with amounts distributable to shareholders for tax purposes. As of October 18th, 2013 the Target Fund had pre-enactment net capital loss carryforwards of approximately $7,694,000.
The following is a summary of Shares Outstanding, Net Assets, Net Asset Value Per Share and Net Unrealized Appreciation (Depreciation) immediately before and after the reorganization (amounts in thousands, except per share amounts):
| Shares Outstanding | Net Assets | Net Asset Value Per Share | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Target Fund | ||||||||||||||||
Value Opportunities Fund | $ | 4,846 | ||||||||||||||
Class A | 2,219 | $ | 42,595 | $ | 19.19 | |||||||||||
Class B | 57 | 1,079 | 19.02 | |||||||||||||
Class C | 168 | 3,188 | 18.99 | |||||||||||||
Institutional Class | 114 | 2,180 | 19.16 | |||||||||||||
Acquiring Fund | ||||||||||||||||
Large Cap Value Fund | 149,358 | |||||||||||||||
Class A | 2,698 | 39,656 | 14.70 | |||||||||||||
Class B | 85 | 1,229 | 14.48 | |||||||||||||
Class C | 405 | 5,821 | 14.37 | |||||||||||||
Class R2 | 29 | 430 | 14.65 | |||||||||||||
Class R5 | 1,440 | 21,053 | 14.62 | |||||||||||||
Class R6 | 3,305 | 48,139 | 14.57 | |||||||||||||
Select Class | 42,660 | 619,072 | 14.51 | |||||||||||||
Post Reorganization | ||||||||||||||||
Large Cap Value Fund | 154,204 | |||||||||||||||
Class A | 5,596 | 82,251 | 14.70 | |||||||||||||
Class B | 159 | 2,308 | 14.48 | |||||||||||||
Class C | 627 | 9,009 | 14.37 | |||||||||||||
Class R2 | 29 | 430 | 14.65 | |||||||||||||
Class R5 | 1,589 | 23,233 | 14.62 | |||||||||||||
Class R6 | 3,305 | 48,139 | 14.57 | |||||||||||||
Select Class | 42,660 | 619,072 | 14.51 | |||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
Expenses related to reorganization were incurred by the Acquiring Fund. The Adviser, the Administrator and the Distributor waived their fees and/or reimbursed the Acquiring Fund in an amount sufficient to offset costs incurred by the Acquiring Fund relating to the reorganization, excluding brokerage fees and brokerage expenses related to the disposition and acquisition of Target Fund assets associated with the reorganization.
Assuming the reorganization had been completed on July 1, 2013, the beginning of the annual reporting period, the pro forma results of operations for the year ended June 30, 2014, are as follows (amounts in thousands):
Net investment income (loss) | $ | 9,707 | ||
Net realized/unrealized gains (losses) | 164,493 | |||
|
| |||
Change in net assets resulting from operations | $ | 174,200 | ||
|
|
Because the combined investment portfolios have been managed as a single integrated portfolio since the reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Target Fund that have been included in the Statements of Operations since October 18, 2013.
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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 Focus Fund, JPMorgan Equity Income Fund, JPMorgan Growth and Income Fund, JPMorgan Hedged Equity 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 Equity Focus 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) at June 30, 2014, 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 Hedged Equity Fund (a separate fund of JPMorgan Trust I) (hereafter collectively referred to as the “Funds”) at June 30, 2014, and the results of its operations, the changes in its net assets and the financial highlights for the period December 13, 2013 (commencement of operations) through June 30, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 22, 2014
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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 | ||||||
| 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). | 166 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 166 | Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present); Trustee, Museum of Jewish Heritage (2011-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). | 166 | 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). | 166 | None | |||
| Mary E. Martinez (1960); Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 166 | None | |||
| 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). | 166 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 166 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 166 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the 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). | 166 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). | |||
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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) | ||||||
| Marian U. Pardo** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 166 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, 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). | 166 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony 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). | 166 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
| Frankie D. Hughes*** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 166 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Mr. Morton should continue to serve until December 31, 2014. In order to fill the vacancies created by the retirement of Fergus Reid, III, William J. Armstrong, and Leonard J. Spalding Jr., effective December 31, 2012, the Board appointed Ms. Martinez and Mr. Merin to serve as Trustees effective January 1, 2013 and Ms. Pardo to serve as Trustee effective February 1, 2013. |
| (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 adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (166 funds), including JPMorgan Mutual Fund Group which liquidated effective November 29, 2012 and is in the process of winding up its affairs. |
| * | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
| ** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
| *** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
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 | |
Robert L. Young (1963), | Chief Operating Officer and Director, J.P. Morgan Investment Management. Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
| 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. | |
Annik Pastore (1966), | Executive Director and Global Financial Crime Compliance Officer for JPMorgan Global Investment Management for the U.S. and EMEA since 2012, AML officer for various JPMAM lines of business from 2007-2012. | |
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) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly 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. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 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. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). | |
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 60 Victoria Embankment, Floor 06, London, EC4Y 0JP, United Kingdom. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| *** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004-2413. |
| 112 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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, 2014 and continued to hold your shares at the end of the reporting period, June 30, 2014.
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, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Disciplined Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,081.10 | $ | 4.39 | 0.85 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,083.30 | 1.81 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,082.80 | 2.32 | 0.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,081.90 | 3.10 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Dynamic Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 990.10 | $ | 6.12 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 987.60 | 8.57 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 992.00 | 3.90 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 991.40 | 4.89 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 113 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Focus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,040.20 | $ | 6.22 | 1.23 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.16 | 1.23 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,038.00 | 8.74 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Select | ||||||||||||||||
Actual | 1,000.00 | 1,041.40 | 5.01 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,069.30 | $ | 5.34 | 1.04 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.64 | 5.21 | 1.04 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,066.20 | 7.89 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,066.00 | 7.89 | 1.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.16 | 7.70 | 1.54 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,068.20 | 6.62 | 1.29 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.40 | 6.46 | 1.29 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,071.30 | 3.03 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,071.60 | 2.77 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,070.30 | 4.06 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Growth and Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,074.60 | $ | 5.92 | 1.15 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,072.00 | 8.48 | 1.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,072.00 | 8.48 | 1.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,076.20 | 4.58 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
| 114 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Hedged Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,044.50 | $ | 4.31 | 0.85 | % | ||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,042.30 | 6.84 | 1.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 6.76 | 1.35 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,046.90 | 2.03 | 0.40 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.81 | 2.01 | 0.40 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,047.10 | 1.78 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,046.10 | 3.04 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,022.30 | $ | 5.52 | 1.10 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.34 | 5.51 | 1.10 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,020.00 | 8.01 | 1.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.86 | 8.00 | 1.60 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,020.20 | 8.01 | 1.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.86 | 8.00 | 1.60 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,021.30 | 6.77 | 1.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.10 | 6.76 | 1.35 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,024.40 | 3.71 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,024.70 | 3.46 | 0.69 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,023.30 | 4.72 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 115 | ||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,075.60 | $ | 4.79 | 0.93 | %�� | ||||||||
Hypothetical | 1,000.00 | 1,020.18 | 4.66 | 0.93 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,073.50 | 7.45 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,073.30 | 7.45 | 1.45 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,073.90 | 6.17 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,077.10 | 3.04 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,077.70 | 2.78 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,076.60 | 4.07 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,064.30 | $ | 4.96 | 0.97 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.98 | 4.86 | 0.97 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,061.60 | 7.51 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,061.70 | 7.51 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,063.40 | 6.24 | 1.22 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.74 | 6.11 | 1.22 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,066.90 | 3.02 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,067.00 | 2.77 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Institutional Class | ||||||||||||||||
Actual | 1,000.00 | 1,066.60 | 3.28 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,065.90 | 4.05 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 116 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPM Trust I
JPM I held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the JPM I, including Disciplined Equity Fund, Dynamic Growth Fund, Equity Focus Fund, Growth and Income Fund, Hedged Equity Fund and U.S. Equity Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 172,130,223 | |||
Withheld | 1,157,495 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 172,109,164 | |||
Withheld | 1,178,553 | |||
| Robert J. Higgins | ||||
In Favor | 158,338,954 | |||
Withheld | 14,948,763 | |||
| Frankie D. Hughes | ||||
In Favor | 172,148,985 | |||
Withheld | 1,138,733 | |||
| Peter C. Marshall | ||||
In Favor | 172,124,473 | |||
Withheld | 1,163,244 | |||
| Mary E. Martinez | ||||
In Favor | 172,132,763 | |||
Withheld | 1,154,954 | |||
| Marilyn McCoy | ||||
In Favor | 172,123,615 | |||
Withheld | 1,164,102 | |||
| Mitchell M. Merin | ||||
In Favor | 172,132,812 | |||
Withheld | 1,154,905 | |||
| William G. Morton, Jr. | ||||
In Favor | 172,111,749 | |||
Withheld | 1,175,968 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 172,098,600 | |||
Withheld | 1,189,117 | |||
| Marian U. Pardo | ||||
In Favor | 172,162,159 | |||
Withheld | 1,125,559 | |||
| Frederick W. Ruebeck | ||||
In Favor | 172,051,301 | |||
Withheld | 1,236,416 | |||
| James J. Schonbachler | ||||
In Favor | 172,078,691 | |||
Withheld | 1,209,026 | |||
JPM Trust II
JPM II held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the following proposals:
Proposal 1: Election of Trustees
Trustees were elected by the shareholders of all of the series of the JPM II, including Equity Income Fund, Large Cap Growth Fund and Large Cap Value Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 132,674,822 | |||
Withheld | 508,692 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 132,670,672 | |||
Withheld | 512,842 | |||
| Robert J. Higgins | ||||
In Favor | 124,038,998 | |||
Withheld | 9,144,516 | |||
| Frankie D. Hughes | ||||
In Favor | 132,681,734 | |||
Withheld | 501,780 | |||
| Peter C. Marshall | ||||
In Favor | 132,663,579 | |||
Withheld | 519,935 | |||
| Mary E. Martinez | ||||
In Favor | 132,682,318 | |||
Withheld | 501,196 | |||
| Marilyn McCoy | ||||
In Favor | 132,681,993 | |||
Withheld | 501,520 | |||
| Mitchell M. Merin | ||||
In Favor | 132,664,715 | |||
Withheld | 518,799 | |||
| William G. Morton, Jr. | ||||
In Favor | 132,650,698 | |||
Withheld | 532,816 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 132,664,727 | |||
Withheld | 518,788 | |||
| Marian U. Pardo | ||||
In Favor | 132,690,792 | |||
Withheld | 492,722 | |||
| Frederick W. Ruebeck | ||||
In Favor | 132,644,244 | |||
Withheld | 539,269 | |||
| James J. Schonbachler | ||||
In Favor | 132,671,281 | |||
Withheld | 512,233 | |||
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 117 | ||||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited) (continued)
Proposal 2: To approve the replacement of the fundamental investment objective for the Large Cap Growth Fund with a new fundamental investment objective. The special meeting was adjourned because the proposal did not receive enough shareholder votes to pass.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 125,187 | |||
Against | 1,481 | |||
Abstain | 939 | |||
Broker Non Votes | 144,718 | |||
The new fundamental investment objective was approved by shareholders of the Fund when the special meeting reconvened on July 23, 2014.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 183,396 | |||
Against | 3,938 | |||
Abstain | 2,575 | |||
Broker Non Votes | 71,772 | |||
Proposal 3: To approve the replacement of the fundamental investment objective for the Equity Income Fund with a new fundamental investment objective. The special meeting was adjourned because the proposal did not receive enough shareholder votes to pass.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 146,241 | |||
Against | 2,050 | |||
Abstain | 1,740 | |||
Broker Non Votes | 184,249 | |||
The new fundamental investment objective was approved by shareholders of the Fund when the special meeting reconvened on July 23, 2014.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 201,763 | |||
Against | 4,939 | |||
Abstain | 4,099 | |||
Broker Non Votes | 75,735 | |||
| 118 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2014 | ||||
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, 2014. 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, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.
Dividends Received Deductions (DRD)
Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2014:
| Dividends Received Deduction | ||||
Disciplined Equity Fund | 25.21 | % | ||
Dynamic Growth Fund | 100.00 | |||
Equity Focus Fund | 100.00 | |||
Equity Income Fund | 100.00 | |||
Growth and Income Fund | 100.00 | |||
Hedged Equity Fund | 100.00 | |||
Large Cap Value Fund | 24.34 | |||
U.S. Equity Fund | 38.95 | |||
Long Term Capital Gain
Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Disciplined Equity Fund | $ | 57,907 | ||
Equity Focus Fund | 196 | |||
Equity Income Fund | 76,655 | |||
Large Cap Value Fund | 20,459 | |||
U.S. Equity Fund | 346,308 | |||
Qualified Dividend Income (QDI)
Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Qualified Dividend Income | ||||
Disciplined Equity Fund | $ | 58,588 | ||
Equity Focus Fund | 70 | |||
Equity Income Fund | 131,295 | |||
Growth and Income Fund | 4,880 | |||
Hedged Equity Fund | 27 | |||
Large Cap Value Fund | 14,998 | |||
U.S. Equity Fund | 164,821 | |||
| JUNE 30, 2014 | J.P. MORGAN LARGE CAP FUNDS | 119 | ||||||
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| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡ Social Security number and account balances
¡ transaction history and account transactions
¡ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
Table of Contents
Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
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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
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| Definitions | ||
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¡ J.P. Morgan Funds does not share with our affiliates. | |
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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 on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. 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., 2014. All rights reserved. June 30, 2014 | AN-LCE-614 |
Table of Contents
Annual Report
J.P. Morgan Equity Funds
June 30, 2014
JPMorgan Equity Index Fund
JPMorgan Market Expansion Enhanced 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 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 31, 2014 (Unaudited)
Dear Shareholder:
The economic recovery strengthened over the past year and financial markets in the U.S. withstood periodic volatility to end the period with robust returns. Throughout the 12 months ended June 30, 2014, major central banks continued to provide economic stimulus through closely aligned policies of historically low interest rates. During this period, the U.S. unemployment rate fell to 6.09% from 7.54%. While there were discrete sell-offs in U.S. Treasury bonds, emerging market equities and U.S. small cap stocks, by the end of the period each of these market segments had largely recovered along with broader bond and equity markets.
 |
“The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their investments.” |
Financial markets were firmly focused on the U.S. Federal Reserve Bank (the “Fed”) and its policy decisions and pronouncements. At the start of the period, the Fed was purchasing $85 billion a month of Treasury bonds and mortgage backed securities under its Quantitative Easing (QE) program. However, the Fed’s then-chairman, Ben Bernanke, had signaled the central bank might reduce its monthly purchases if the U.S. economy continued to improve. Bernanke’s remarks were followed by a sell-off in U.S. equities and bonds during the summer of 2013. Equity prices then rebounded and headed higher as a range of U.S. economic data showed steady improvement through the final three months of 2013. The Fed’s announcement in December that it would cut its monthly asset purchases by $10 billion to $75 billion was followed by a sharp sell-off in emerging market assets that drove currency volatility in those markets. While reassuring investors that it would hold down interest rates into 2015, the Fed continued to taper off its QE purchases in $10 billion increments and by the end of the period monthly purchases were down to $45 billion.
The month of December also ushered in a winter of severe weather across much of the U.S. Snowstorms grounded airlines — affecting passengers and parcels alike — and shuttered businesses and schools throughout the country. Consumer spending and construction slowed to a greater extent than was understood at the time. In fact, U.S. gross domestic product shrank by 2.13% during the first three months of 2014. Economists attributed nearly half of that contraction to severe weather.
Signs of slower growth in China raised concerns that the nation’s economy might be in for a “hard landing” that would reverberate through emerging market nations, as well as developed economies. While the Chinese government’s efforts to restrain growth in real estate prices did impact property companies on the mainland as well as in Hong Kong, where the real estate sector makes up a significant portion of the local economy, China’s economy continued to grow at better than 7%.
Following volatility in the initial months of the reporting period, U.S. equity markets rose to record highs in December and, after a brief pause early in 2014, marched steadily higher in the following months, notching 22 record high closings by the end of June. Volatility virtually disappeared in the final months of the reporting period and the Standard & Poor’s 500 Index (the “S&P 500”) did not move higher or lower by more than 1 percent for 51 consecutive days ended June 30, 2014. The last time the index moved so little was in 1995, when it went 95 days without moving a full percentage point. The Chicago Board Options Exchange Volatility Index ended the period near its lowest level since February 2007. At June 30, 2014, the S&P 500 produced a
12-month return of 24.61% and extended its longest stretch of consecutive quarterly gains in 16 years.
The U.S. bond market had a less stellar year than equities as the Fed’s maintenance of low interest rates held down prices for much of 2013. Bond prices rebounded in 2014, as slower-than-expected domestic growth and instability in emerging markets lifted demand for fixed income securities. The Barclays U.S. Aggregate Index returned 3.93% for the first six months of 2014 and 4.37% for the 12 months ended June 30, 2014.
In Europe, the sovereign debt crisis receded further and by the end of 2013, Ireland became the first nation to exit the European Union (EU) bailout program. Healthy corporate earnings and robust mergers and acquisitions activity bolstered equity markets. While the crisis in Ukraine appeared to have little impact on the EU economy, the European Central Bank (ECB) began to confront the threat of price deflation. In an unprecedented move on June 5, 2014, the ECB President Mario Draghi cut the deposit rate to negative 0.10% from 0.00%, effectively charging European banks for parking excess cash with the ECB. In Japan, Prime Minister Shinzo Abe’s economic policies appeared to be successful in pushing the economy out of a decade of stagnation and price deflation. Japanese equities ended 2013 at their highest levels since 1988. However, as 2014 began, investors grew less confident in “Abenomics” and an April increase in Japan’s consumption tax raised concerns that consumer spending would slow, removing a key support of the nation’s economic growth. The MSCI Europe, Australasia and Far East Index returned 23.57% for the 12 months ended June 30, 2014.
From Turbulence to Turnaround
At the start of the period, emerging markets generally benefited from investors’ global search for yield amid the low interest rate environment engineered by central banks in developed markets. However, a sell-off in emerging markets followed the Fed’s December decision to reduce its monthly asset purchases. Emerging market investors also faced political unrest in Ukraine, Thailand and Turkey, a potential bond default in Argentina, and uncertainty surrounding pending elections in India and Indonesia, two of the world’s largest democracies. Despite the headwinds and perhaps due to the “low for long” message on interest rates from both the Fed and the ECB, emerging markets rebounded and ended at June 30, 2014 with the strongest quarterly performance since 2012. The MSCI Emerging Markets Index returned 14.31% for the year ended June 30, 2014.
The past 12 months witnessed periodic sell-offs in equities and bonds in both developed and emerging markets. Market volatility was driven by comments as well as actions from the Fed and the ECB, along with external events around the globe. As the reporting period unfolded, investors who believed 2013 provided a bumpy ride soon found that 2014 provided its own surprises. However, equity markets — and also fixed income markets to some extent — proved resilient in the face of a variety of shocks and headwinds. The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their 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. If you should 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
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 1 | ||||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 24.27% | |||
| S&P 500 Index | 24.61% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 1,902,738 | ||
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)*** (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) performed largely in line with the Benchmark for the 12 months ended June 30, 2014. 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.
Overall, the U.S. equity market performed strongly during the 12 months ended June 30, 2014. While financial market volatility spiked early in the reporting period amid investor uncertainty about the U.S. Federal Reserve Board’s (“Fed”) intent to taper off its monthly asset purchases, equity prices recovered and headed toward record highs at the end of 2013. Corporate profits remained healthy into 2014, and mergers and acquisitions activity increased as companies amassed large cash holdings and/or had access to inexpensive financing in the low-interest rate environment. Further bolstering equities were improving conditions in employment, housing and consumer sentiment. The Standard & Poor’s 500 Index notched seven record high closings in December 2013.
During 2014, investors began to question the strength of the global economy as bond yields across the developed world continued to fall. Adding to investor anxiety were the ongoing tensions between Russia and Ukraine as well as a growing insurgency in Iraq. Equity markets regained their footing in mid-May as economic data pointed to a stronger U.S. economy than was previously suggested.
All 10 sectors within the Benchmark generated positive absolute returns during the reporting period. The materials and information technology sectors were the leading contributors to performance, while the telecommunication services and consumer staples sectors were the bottom contributors to Fund performance.
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. | 3.2 | % | |||||
| 2. | Exxon Mobil Corp. | 2.5 | ||||||
| 3. | Microsoft Corp. | 1.8 | ||||||
| 4. | Johnson & Johnson | 1.7 | ||||||
| 5. | General Electric Co. | 1.5 | ||||||
| 6. | Wells Fargo & Co. | 1.4 | ||||||
| 7. | Chevron Corp. | 1.4 | ||||||
| 8. | Berkshire Hathaway, Inc., Class B | 1.3 | ||||||
| 9. | JPMorgan Chase & Co. | 1.2 | ||||||
| 10. | Procter & Gamble Co. (The) | 1.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Information Technology | 18.6 | % | ||
| Financials | 16.0 | |||
| Health Care | 13.2 | |||
| Consumer Discretionary | 11.7 | |||
| Energy | 10.8 | |||
| Industrials | 10.4 | |||
| Consumer Staples | 9.4 | |||
| Materials | 3.5 | |||
| Utilities | 3.1 | |||
| Telecommunication Services | 2.4 | |||
| Short-Term Investments | 0.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser 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 on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| 2 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
Without Sales Charge | 23.95 | % | 18.30 | % | 7.32 | % | ||||||||
With Sales Charge* | 17.44 | 17.03 | 6.75 | |||||||||||
CLASS B SHARES | January 14, 1994 | |||||||||||||
Without CDSC | 23.01 | 17.41 | 6.68 | |||||||||||
With CDSC** | 18.01 | 17.20 | 6.68 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
Without CDSC | 23.01 | 17.41 | 6.52 | |||||||||||
With CDSC*** | 22.01 | 17.41 | 6.52 | |||||||||||
SELECT CLASS SHARES | July 2, 1991 | 24.27 | 18.59 | 7.59 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable. 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, 2014 | J.P. MORGAN EQUITY FUNDS | 3 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Select Class Shares)* | 25.26% | |||
| S&P 1000 Index | 25.36% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 1,564,028 | ||
INVESTMENT OBJECTIVE**
Prior to June 10, 2014, the JPMorgan Market Expansion Enhanced Index Fund (the “Fund”) sought to provide a return which substantially duplicated 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 and the Standard & Poor’s MidCap 400 Index. ***
Effective June 10, 2014, when shareholders of the Fund approved a change in the Fund’s investment objective, the Fund seeks to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) underperformed the Standard & Poor’s 1000 Index (the “Benchmark”), which is a market-capitalization weighted combination of the S&P SmallCap 600 and the S&P MidCap 400 indexes, for the 12 months ended June 30, 2014. The Fund’s security selection in the basic materials and the energy sectors was a leading detractor from performance relative to the Benchmark, while security selection in the consumer stable and retail sectors was a leading positive contributor to relative performance.
Individual detractors from relative performance included the Fund’s underweight positions in SunEdison Inc. and Community Health Systems Inc. and its overweight position in General Cable Corp. Shares of SunEdison, a maker of silicon wafers and
solar energy products, gained from the continued expansion of its solar energy business. Shares of Community Health Systems, an operator of U.S. hospitals, traded higher after the company forecast cash flow above estimates. Shares of General Cable, a manufacturer of copper, aluminum and fiber-optic wire and cable, fell after the company forecast lower-than-expected operating income and earnings.
Individual contributors to relative performance included the Fund’s overweight positions in Hanesbrands Inc., Hillshire Brands Co. and Protective Life Corp. Shares of Hanesbrands, a maker of brand-name apparel, traded higher after the company forecast earnings above estimates. Shares of Hillshire Brands, a food product manufacturer, gained on expectations that it would be acquired at a high price. Shares of Protective Life, a financial services company, traded higher on the company’s forecast for revenue growth and an acquisition offer from Dai-Ichi Insurance Co. late in the reporting period.
HOW WAS THE FUND POSITIONED?
The Fund seeks to closely track the sector and industry weights within the Benchmark. Because the Fund uses an enhanced index strategy, not all of the stocks in the Benchmark are held by the Fund, and the Fund’s position in an individual stock may be overweight or underweight as compared to 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 bottom-up approach to stock selection. In addition, the Fund may modestly overweight or underweight the sectors and industries within the Benchmark.
| 4 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO**** | ||||||||
| 1. | Hanesbrands, Inc. | 0.9 | % | |||||
| 2. | Hillshire Brands Co. | 0.7 | ||||||
| 3. | Advance Auto Parts, Inc. | 0.7 | ||||||
| 4. | Everest Re Group Ltd., (Bermuda) | 0.6 | ||||||
| 5. | Foot Locker, Inc. | 0.6 | ||||||
| 6. | Fidelity National Financial, Inc., Class A | 0.6 | ||||||
| 7. | Skyworks Solutions, Inc. | 0.6 | ||||||
| 8. | Arrow Electronics, Inc. | 0.6 | ||||||
| 9. | Alaska Air Group, Inc. | 0.6 | ||||||
| 10. | Manpowergroup, Inc. | 0.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR**** | ||||
| Financials | 21.3 | % | ||
| Information Technology | 16.6 | |||
| Industrials | 16.5 | |||
| Consumer Discretionary | 12.2 | |||
| Health Care | 9.2 | |||
| Materials | 6.5 | |||
| Energy | 5.8 | |||
| Utilities | 4.6 | |||
| Consumer Staples | 3.7 | |||
| Others (each less than 1.0%) | 0.7 | |||
| Short-Term Investment | 2.9 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | “S&P MidCap 400 Index”, “S&P SmallCap 600 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 on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 5 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | July 31, 1998 | |||||||||||||
Without Sales Charge | 24.96 | % | 21.14 | % | 9.83 | % | ||||||||
With Sales Charge* | 18.44 | 19.84 | 9.24 | |||||||||||
CLASS B SHARES | July 31, 1998 | |||||||||||||
Without CDSC | 24.18 | 20.28 | 9.19 | |||||||||||
With CDSC** | 19.18 | 20.08 | 9.19 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 24.03 | 20.28 | 9.04 | |||||||||||
With CDSC*** | 23.03 | 20.28 | 9.04 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 24.60 | 20.74 | 9.45 | ||||||||||
SELECT CLASS SHARES | July 31, 1998 | 25.26 | 21.42 | 10.10 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 Enhanced Index Fund, the S&P 1000 Index, the Lipper Mid-Cap Core Funds Index and the Lipper Small-Cap Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. The performance of the Lipper Small-Cap Core Funds Index and 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 S&P 1000 Index is an unmanaged index generally
representative of the performance of the 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 Mid-Cap Core Funds Index and the Lipper Small-Cap Core Funds Index are indices based on total returns of certain mutual funds within the mid cap and small cap categories as determined by Lipper, Inc. Investors cannot invest directly in an index.
Select Class Shares have a $1,000,000 minimum initial investment and carry no sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 6 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 99.4% | |||||||
Consumer Discretionary — 11.8% | ||||||||
Auto Components — 0.4% | ||||||||
| 25 | BorgWarner, Inc. | 1,618 | ||||||
| 30 | Delphi Automotive plc, (United Kingdom) | 2,063 | ||||||
| 30 | Goodyear Tire & Rubber Co. (The) | 833 | ||||||
| 72 | Johnson Controls, Inc. | 3,601 | ||||||
|
| |||||||
| 8,115 | ||||||||
|
| |||||||
Automobiles — 0.7% | ||||||||
| 429 | Ford Motor Co. | 7,403 | ||||||
| 143 | General Motors Co. | 5,184 | ||||||
| 24 | Harley-Davidson, Inc. | 1,656 | ||||||
|
| |||||||
| 14,243 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
| 17 | Genuine Parts Co. | 1,464 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% | ||||||||
| – | (h) | Graham Holdings Co., Class B | 341 | |||||
| 30 | H&R Block, Inc. | 998 | ||||||
|
| |||||||
| 1,339 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.7% | ||||||||
| 48 | Carnival Corp. | 1,793 | ||||||
| 3 | Chipotle Mexican Grill, Inc. (a) | 2,000 | ||||||
| 14 | Darden Restaurants, Inc. | 663 | ||||||
| 24 | Marriott International, Inc., Class A | 1,528 | ||||||
| 107 | McDonald’s Corp. | 10,813 | ||||||
| 82 | Starbucks Corp. | 6,326 | ||||||
| 21 | Starwood Hotels & Resorts Worldwide, Inc. | 1,685 | ||||||
| 14 | Wyndham Worldwide Corp. | 1,047 | ||||||
| 9 | Wynn Resorts Ltd. | 1,826 | ||||||
| 48 | Yum! Brands, Inc. | 3,892 | ||||||
|
| |||||||
| 31,573 | ||||||||
|
| |||||||
Household Durables — 0.4% | ||||||||
| 31 | D.R. Horton, Inc. | 764 | ||||||
| 13 | Garmin Ltd., (Switzerland) | 812 | ||||||
| 7 | Harman International Industries, Inc. | 795 | ||||||
| 15 | Leggett & Platt, Inc. | 516 | ||||||
| 19 | Lennar Corp., Class A | 801 | ||||||
| 7 | Mohawk Industries, Inc. (a) | 919 | ||||||
| 30 | Newell Rubbermaid, Inc. | 931 | ||||||
| 37 | PulteGroup, Inc. | 746 | ||||||
| 8 | Whirlpool Corp. | 1,175 | ||||||
|
| |||||||
| 7,459 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.3% | ||||||||
| 40 | Amazon.com, Inc. (a) | 13,146 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Internet & Catalog Retail — continued | ||||||||
| 11 | Expedia, Inc. | 878 | ||||||
| 7 | Netflix, Inc. (a) | 2,868 | ||||||
| 6 | Priceline Group, Inc. (The) (a) | 6,850 | ||||||
| 12 | TripAdvisor, Inc. (a) | 1,313 | ||||||
|
| |||||||
| 25,055 | ||||||||
|
| |||||||
Leisure Products — 0.1% | ||||||||
| 13 | Hasbro, Inc. | 665 | ||||||
| 37 | Mattel, Inc. | 1,436 | ||||||
|
| |||||||
| 2,101 | ||||||||
|
| |||||||
Media — 3.6% | ||||||||
| 24 | Cablevision Systems Corp., Class A | 415 | ||||||
| 57 | CBS Corp. (Non-Voting), Class B | 3,566 | ||||||
| 282 | Comcast Corp., Class A | 15,155 | ||||||
| 51 | DIRECTV (a) | 4,326 | ||||||
| 24 | Discovery Communications, Inc., Class A (a) | 1,759 | ||||||
| 25 | Gannett Co., Inc. | 770 | ||||||
| 46 | Interpublic Group of Cos., Inc. (The) | 898 | ||||||
| 54 | News Corp., Class A (a) | 970 | ||||||
| 28 | Omnicom Group, Inc. | 1,999 | ||||||
| 12 | Scripps Networks Interactive, Inc., Class A | 944 | ||||||
| 30 | Time Warner Cable, Inc. | 4,457 | ||||||
| 96 | Time Warner, Inc. | 6,729 | ||||||
| 208 | Twenty-First Century Fox, Inc., Class A | 7,308 | ||||||
| 42 | Viacom, Inc., Class B | 3,684 | ||||||
| 175 | Walt Disney Co. (The) | 14,996 | ||||||
|
| |||||||
| 67,976 | ||||||||
|
| |||||||
Multiline Retail — 0.6% | ||||||||
| 33 | Dollar General Corp. (a) | 1,889 | ||||||
| 22 | Dollar Tree, Inc. (a) | 1,223 | ||||||
| 10 | Family Dollar Stores, Inc. | 687 | ||||||
| 21 | Kohl’s Corp. | 1,115 | ||||||
| 39 | Macy’s, Inc. | 2,271 | ||||||
| 15 | Nordstrom, Inc. | 1,037 | ||||||
| 69 | Target Corp. | 3,987 | ||||||
|
| |||||||
| 12,209 | ||||||||
|
| |||||||
Specialty Retail — 2.0% | ||||||||
| 7 | AutoNation, Inc. (a) | 410 | ||||||
| 4 | AutoZone, Inc. (a) | 1,935 | ||||||
| 22 | Bed Bath & Beyond, Inc. (a) | 1,271 | ||||||
| 30 | Best Buy Co., Inc. | 928 | ||||||
| 24 | CarMax, Inc. (a) | 1,245 | ||||||
| 12 | GameStop Corp., Class A | 504 | ||||||
| 28 | Gap, Inc. (The) | 1,174 | ||||||
| 149 | Home Depot, Inc. (The) | 12,028 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 7 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Specialty Retail — continued | ||||||||
| 27 | L Brands, Inc. | 1,562 | ||||||
| 108 | Lowe’s Cos., Inc. | 5,197 | ||||||
| 12 | O’Reilly Automotive, Inc. (a) | 1,735 | ||||||
| 11 | PetSmart, Inc. | 644 | ||||||
| 23 | Ross Stores, Inc. | 1,526 | ||||||
| 70 | Staples, Inc. | 761 | ||||||
| 12 | Tiffany & Co. | 1,208 | ||||||
| 76 | TJX Cos., Inc. (The) | 4,042 | ||||||
| 15 | Tractor Supply Co. | 908 | ||||||
| 11 | Urban Outfitters, Inc. (a) | 375 | ||||||
|
| |||||||
| 37,453 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
| 30 | Coach, Inc. | 1,018 | ||||||
| 5 | Fossil Group, Inc. (a) | 540 | ||||||
| 20 | Michael Kors Holdings Ltd., (Hong Kong) (a) | 1,731 | ||||||
| 80 | NIKE, Inc., Class B | 6,212 | ||||||
| 9 | PVH Corp. | 1,042 | ||||||
| 6 | Ralph Lauren Corp. | 1,022 | ||||||
| 18 | Under Armour, Inc., Class A (a) | 1,046 | ||||||
| 37 | V.F. Corp. | 2,355 | ||||||
|
| |||||||
| 14,966 | ||||||||
|
| |||||||
Total Consumer Discretionary | 223,953 | |||||||
|
| |||||||
Consumer Staples — 9.5% | ||||||||
Beverages — 2.1% | ||||||||
| 18 | Brown-Forman Corp., Class B | 1,658 | ||||||
| 410 | Coca-Cola Co. (The) | 17,388 | ||||||
| 25 | Coca-Cola Enterprises, Inc. | 1,213 | ||||||
| 18 | Constellation Brands, Inc., Class A (a) | 1,615 | ||||||
| 21 | Dr. Pepper Snapple Group, Inc. | 1,249 | ||||||
| 17 | Molson Coors Brewing Co., Class B | 1,280 | ||||||
| 15 | Monster Beverage Corp. (a) | 1,044 | ||||||
| 165 | PepsiCo, Inc. | 14,708 | ||||||
|
| |||||||
| 40,155 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.3% | ||||||||
| 48 | Costco Wholesale Corp. | 5,481 | ||||||
| 127 | CVS Caremark Corp. | 9,570 | ||||||
| 55 | Kroger Co. (The) | 2,735 | ||||||
| 25 | Safeway, Inc. | 859 | ||||||
| 63 | Sysco Corp. | 2,377 | ||||||
| 95 | Walgreen Co. | 7,068 | ||||||
| 175 | Wal-Mart Stores, Inc. | 13,140 | ||||||
| 40 | Whole Foods Market, Inc. | 1,542 | ||||||
|
| |||||||
| 42,772 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — 1.6% | ||||||||
| 71 | Archer-Daniels-Midland Co. | 3,135 | ||||||
| 19 | Campbell Soup Co. | 890 | ||||||
| 46 | ConAgra Foods, Inc. | 1,357 | ||||||
| 67 | General Mills, Inc. | 3,506 | ||||||
| 16 | Hershey Co. (The) | 1,578 | ||||||
| 15 | Hormel Foods Corp. | 721 | ||||||
| 11 | JM Smucker Co. (The) | 1,200 | ||||||
| 28 | Kellogg Co. | 1,819 | ||||||
| 14 | Keurig Green Mountain, Inc. | 1,718 | ||||||
| 65 | Kraft Foods Group, Inc. | 3,875 | ||||||
| 14 | McCormick & Co., Inc. (Non-Voting) | 1,015 | ||||||
| 22 | Mead Johnson Nutrition Co. | 2,045 | ||||||
| 184 | Mondelez International, Inc., Class A | 6,908 | ||||||
| 30 | Tyson Foods, Inc., Class A | 1,122 | ||||||
|
| |||||||
| 30,889 | ||||||||
|
| |||||||
Household Products — 1.9% | ||||||||
| 14 | Clorox Co. (The) | 1,276 | ||||||
| 94 | Colgate-Palmolive Co. | 6,438 | ||||||
| 41 | Kimberly-Clark Corp. | 4,551 | ||||||
| 294 | Procter & Gamble Co. (The) | 23,094 | ||||||
|
| |||||||
| 35,359 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
| 47 | Avon Products, Inc. | 689 | ||||||
| 27 | Estee Lauder Cos., Inc. (The), Class A | 2,038 | ||||||
|
| |||||||
| 2,727 | ||||||||
|
| |||||||
Tobacco — 1.5% | ||||||||
| 216 | Altria Group, Inc. | 9,047 | ||||||
| 39 | Lorillard, Inc. | 2,400 | ||||||
| 171 | Philip Morris International, Inc. | 14,401 | ||||||
| 34 | Reynolds American, Inc. | 2,039 | ||||||
|
| |||||||
| 27,887 | ||||||||
|
| |||||||
Total Consumer Staples | 179,789 | |||||||
|
| |||||||
Energy — 10.8% | ||||||||
Energy Equipment & Services — 2.1% | ||||||||
| 47 | Baker Hughes, Inc. | 3,525 | ||||||
| 22 | Cameron International Corp. (a) | 1,501 | ||||||
| 7 | Diamond Offshore Drilling, Inc. | 370 | ||||||
| 25 | Ensco plc, (United Kingdom), Class A | 1,410 | ||||||
| 26 | FMC Technologies, Inc. (a) | 1,560 | ||||||
| 92 | Halliburton Co. | 6,512 | ||||||
| 12 | Helmerich & Payne, Inc. | 1,364 | ||||||
| 28 | Nabors Industries Ltd., (Bermuda) | 835 | ||||||
| 47 | National Oilwell Varco, Inc. | 3,837 | ||||||
| 28 | Noble Corp. plc, (United Kingdom) | 926 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 8 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Energy Equipment & Services — continued | ||||||||
| 14 | Rowan Cos. plc, Class A | 431 | ||||||
| 141 | Schlumberger Ltd. | 16,679 | ||||||
| 37 | Transocean Ltd., (Switzerland) | 1,664 | ||||||
|
| |||||||
| 40,614 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 8.7% | ||||||||
| 55 | Anadarko Petroleum Corp. | 6,004 | ||||||
| 42 | Apache Corp. | 4,214 | ||||||
| 45 | Cabot Oil & Gas Corp. | 1,547 | ||||||
| 55 | Chesapeake Energy Corp. | 1,709 | ||||||
| 207 | Chevron Corp. | 26,988 | ||||||
| 9 | Cimarex Energy Co. | 1,356 | ||||||
| 133 | ConocoPhillips | 11,430 | ||||||
| 25 | CONSOL Energy, Inc. | 1,150 | ||||||
| 38 | Denbury Resources, Inc. | 705 | ||||||
| 42 | Devon Energy Corp. | 3,306 | ||||||
| 59 | EOG Resources, Inc. | 6,935 | ||||||
| 16 | EQT Corp. | 1,762 | ||||||
| 466 | Exxon Mobil Corp. | 46,951 | ||||||
| 29 | Hess Corp. | 2,834 | ||||||
| 73 | Kinder Morgan, Inc. | 2,631 | ||||||
| 73 | Marathon Oil Corp. | 2,931 | ||||||
| 31 | Marathon Petroleum Corp. | 2,447 | ||||||
| 18 | Murphy Oil Corp. | 1,218 | ||||||
| 15 | Newfield Exploration Co. (a) | 654 | ||||||
| 39 | Noble Energy, Inc. | 3,022 | ||||||
| 85 | Occidental Petroleum Corp. | 8,756 | ||||||
| 23 | ONEOK, Inc. | 1,537 | ||||||
| 29 | Peabody Energy Corp. | 482 | ||||||
| 61 | Phillips 66 | 4,942 | ||||||
| 16 | Pioneer Natural Resources Co. | 3,570 | ||||||
| 20 | QEP Resources, Inc. | 675 | ||||||
| 18 | Range Resources Corp. | 1,592 | ||||||
| 38 | Southwestern Energy Co. (a) | 1,744 | ||||||
| 73 | Spectra Energy Corp. | 3,094 | ||||||
| 14 | Tesoro Corp. | 824 | ||||||
| 58 | Valero Energy Corp. | 2,903 | ||||||
| 80 | Williams Cos., Inc. (The) | 4,668 | ||||||
|
| |||||||
| 164,581 | ||||||||
|
| |||||||
Total Energy | 205,195 | |||||||
|
| |||||||
Financials — 16.0% |
| |||||||
Banks — 5.9% |
| |||||||
| 1,142 | Bank of America Corp. | 17,551 | ||||||
| 78 | BB&T Corp. | 3,076 | ||||||
| 330 | Citigroup, Inc. | 15,537 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued |
| |||||||
| 20 | Comerica, Inc. | 990 | ||||||
| 92 | Fifth Third Bancorp | 1,972 | ||||||
| 90 | Huntington Bancshares, Inc. | 858 | ||||||
| 411 | JPMorgan Chase & Co. (q) | 23,682 | ||||||
| 96 | KeyCorp | 1,375 | ||||||
| 14 | M&T Bank Corp. | 1,748 | ||||||
| 58 | PNC Financial Services Group, Inc. (The) | 5,165 | ||||||
| 150 | Regions Financial Corp. | 1,590 | ||||||
| 58 | SunTrust Banks, Inc. | 2,318 | ||||||
| 197 | U.S. Bancorp | 8,539 | ||||||
| 520 | Wells Fargo & Co. | 27,357 | ||||||
| 20 | Zions Bancorporation | 589 | ||||||
|
| |||||||
| 112,347 | ||||||||
|
| |||||||
Capital Markets — 2.2% | ||||||||
| 6 | Affiliated Managers Group, Inc. (a) | 1,234 | ||||||
| 21 | Ameriprise Financial, Inc. | 2,474 | ||||||
| 124 | Bank of New York Mellon Corp. (The) | 4,641 | ||||||
| 14 | BlackRock, Inc. | 4,342 | ||||||
| 127 | Charles Schwab Corp. (The) | 3,425 | ||||||
| 31 | E*TRADE Financial Corp. (a) | 666 | ||||||
| 44 | Franklin Resources, Inc. | 2,523 | ||||||
| 45 | Goldman Sachs Group, Inc. (The) | 7,562 | ||||||
| 47 | Invesco Ltd. | 1,774 | ||||||
| 11 | Legg Mason, Inc. | 573 | ||||||
| 152 | Morgan Stanley | 4,914 | ||||||
| 24 | Northern Trust Corp. | 1,557 | ||||||
| 47 | State Street Corp. | 3,146 | ||||||
| 29 | T. Rowe Price Group, Inc. | 2,408 | ||||||
|
| |||||||
| 41,239 | ||||||||
|
| |||||||
Consumer Finance — 1.0% | ||||||||
| 99 | American Express Co. | 9,379 | ||||||
| 62 | Capital One Financial Corp. | 5,127 | ||||||
| 51 | Discover Financial Services | 3,139 | ||||||
| 46 | Navient Corp. | 813 | ||||||
|
| |||||||
| 18,458 | ||||||||
|
| |||||||
Diversified Financial Services — 1.8% | ||||||||
| 196 | Berkshire Hathaway, Inc., Class B (a) | 24,745 | ||||||
| 34 | CME Group, Inc. | 2,432 | ||||||
| 12 | Intercontinental Exchange, Inc. | 2,361 | ||||||
| 34 | Leucadia National Corp. | 903 | ||||||
| 30 | McGraw Hill Financial, Inc. | 2,454 | ||||||
| 20 | Moody’s Corp. | 1,790 | ||||||
| 13 | NASDAQ OMX Group, Inc. (The) | 494 | ||||||
|
| |||||||
| 35,179 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 9 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Insurance — 2.8% | ||||||||
| 37 | ACE Ltd., (Switzerland) | 3,803 | ||||||
| 49 | Aflac, Inc. | 3,070 | ||||||
| 47 | Allstate Corp. (The) | 2,767 | ||||||
| 157 | American International Group, Inc. | 8,574 | ||||||
| 32 | Aon plc, (United Kingdom) | 2,901 | ||||||
| 8 | Assurant, Inc. | 510 | ||||||
| 27 | Chubb Corp. (The) | 2,447 | ||||||
| 16 | Cincinnati Financial Corp. | 768 | ||||||
| 54 | Genworth Financial, Inc., Class A (a) | 938 | ||||||
| 49 | Hartford Financial Services Group, Inc. (The) | 1,749 | ||||||
| 29 | Lincoln National Corp. | 1,473 | ||||||
| 33 | Loews Corp. | 1,459 | ||||||
| 60 | Marsh & McLennan Cos., Inc. | 3,093 | ||||||
| 122 | MetLife, Inc. | 6,791 | ||||||
| 30 | Principal Financial Group, Inc. | 1,500 | ||||||
| 59 | Progressive Corp. (The) | 1,500 | ||||||
| 50 | Prudential Financial, Inc. | 4,454 | ||||||
| 10 | Torchmark Corp. | 781 | ||||||
| 38 | Travelers Cos., Inc. (The) | 3,549 | ||||||
| 28 | Unum Group | 972 | ||||||
| 29 | XL Group plc, (Ireland) | 965 | ||||||
|
| |||||||
| 54,064 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
| 43 | American Tower Corp. | 3,867 | ||||||
| 16 | Apartment Investment & Management Co., Class A | 512 | ||||||
| 13 | AvalonBay Communities, Inc. | 1,881 | ||||||
| 17 | Boston Properties, Inc. | 1,964 | ||||||
| 36 | Crown Castle International Corp. | 2,692 | ||||||
| 36 | Equity Residential | 2,298 | ||||||
| 7 | Essex Property Trust, Inc. | 1,255 | ||||||
| 57 | General Growth Properties, Inc. | 1,334 | ||||||
| 50 | HCP, Inc. | 2,059 | ||||||
| 33 | Health Care REIT, Inc. | 2,079 | ||||||
| 82 | Host Hotels & Resorts, Inc. | 1,809 | ||||||
| 45 | Kimco Realty Corp. | 1,025 | ||||||
| 15 | Macerich Co. (The) | 1,020 | ||||||
| 19 | Plum Creek Timber Co., Inc. | 867 | ||||||
| 54 | Prologis, Inc. | 2,230 | ||||||
| 16 | Public Storage | 2,697 | ||||||
| 34 | Simon Property Group, Inc. | 5,609 | ||||||
| 32 | Ventas, Inc. | 2,049 | ||||||
| 19 | Vornado Realty Trust | 2,020 | ||||||
| 64 | Weyerhaeuser Co. | 2,103 | ||||||
|
| |||||||
| 41,370 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
| 30 | CBRE Group, Inc., Class A (a) | 970 | ||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% |
| |||||||
| 52 | Hudson City Bancorp, Inc. | 508 | ||||||
| 34 | People’s United Financial, Inc. | 511 | ||||||
|
| |||||||
| 1,019 | ||||||||
|
| |||||||
Total Financials | 304,646 | |||||||
|
| |||||||
Health Care — 13.2% | ||||||||
Biotechnology — 2.5% | ||||||||
| 21 | Alexion Pharmaceuticals, Inc. (a) | 3,356 | ||||||
| 82 | Amgen, Inc. | 9,731 | ||||||
| 26 | Biogen Idec, Inc. (a) | 8,122 | ||||||
| 87 | Celgene Corp. (a) | 7,469 | ||||||
| 167 | Gilead Sciences, Inc. (a) | 13,826 | ||||||
| 9 | Regeneron Pharmaceuticals, Inc. (a) | 2,445 | ||||||
| 26 | Vertex Pharmaceuticals, Inc. (a) | 2,428 | ||||||
|
| |||||||
| 47,377 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.1% | ||||||||
| 163 | Abbott Laboratories | 6,671 | ||||||
| 59 | Baxter International, Inc. | 4,260 | ||||||
| 21 | Becton, Dickinson and Co. | 2,482 | ||||||
| 144 | Boston Scientific Corp. (a) | 1,834 | ||||||
| 8 | C.R. Bard, Inc. | 1,184 | ||||||
| 23 | CareFusion Corp. (a) | 999 | ||||||
| 49 | Covidien plc, (Ireland) | 4,415 | ||||||
| 15 | DENTSPLY International, Inc. | 729 | ||||||
| 11 | Edwards Lifesciences Corp. (a) | 983 | ||||||
| 4 | Intuitive Surgical, Inc. (a) | 1,717 | ||||||
| 108 | Medtronic, Inc. | 6,917 | ||||||
| 31 | St. Jude Medical, Inc. | 2,137 | ||||||
| 32 | Stryker Corp. | 2,708 | ||||||
| 11 | Varian Medical Systems, Inc. (a) | 939 | ||||||
| 18 | Zimmer Holdings, Inc. | 1,893 | ||||||
|
| |||||||
| 39,868 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.0% | ||||||||
| 39 | Aetna, Inc. | 3,147 | ||||||
| 25 | AmerisourceBergen Corp. | 1,782 | ||||||
| 37 | Cardinal Health, Inc. | 2,533 | ||||||
| 29 | Cigna Corp. | 2,683 | ||||||
| 19 | DaVita HealthCare Partners, Inc. (a) | 1,396 | ||||||
| 84 | Express Scripts Holding Co. (a) | 5,820 | ||||||
| 17 | Humana, Inc. | 2,147 | ||||||
| 9 | Laboratory Corp. of America Holdings (a) | 943 | ||||||
| 25 | McKesson Corp. | 4,663 | ||||||
| 9 | Patterson Cos., Inc. | 352 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Health Care Providers & Services — continued |
| |||||||
| 16 | Quest Diagnostics, Inc. | 921 | ||||||
| 11 | Tenet Healthcare Corp. (a) | 498 | ||||||
| 106 | UnitedHealth Group, Inc. | 8,699 | ||||||
| 30 | WellPoint, Inc. | 3,268 | ||||||
|
| |||||||
| 38,852 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
| 32 | Cerner Corp. (a) | 1,654 | ||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% |
| |||||||
| 36 | Agilent Technologies, Inc. | 2,079 | ||||||
| 12 | PerkinElmer, Inc. | 576 | ||||||
| 43 | Thermo Fisher Scientific, Inc. | 5,112 | ||||||
| 9 | Waters Corp. (a) | 961 | ||||||
|
| |||||||
| 8,728 | ||||||||
|
| |||||||
Pharmaceuticals — 6.1% |
| |||||||
| 173 | AbbVie, Inc. | 9,745 | ||||||
| 19 | Actavis plc (a) | 4,225 | ||||||
| 32 | Allergan, Inc. | 5,468 | ||||||
| 180 | Bristol-Myers Squibb Co. | 8,730 | ||||||
| 107 | Eli Lilly & Co. | 6,651 | ||||||
| 26 | Forest Laboratories, Inc. (a) | 2,579 | ||||||
| 18 | Hospira, Inc. (a) | 932 | ||||||
| 307 | Johnson & Johnson | 32,142 | ||||||
| 317 | Merck & Co., Inc. | 18,359 | ||||||
| 41 | Mylan, Inc. (a) | 2,093 | ||||||
| 15 | Perrigo Co. plc, (Ireland) | 2,118 | ||||||
| 693 | Pfizer, Inc. | 20,559 | ||||||
| 54 | Zoetis, Inc. | 1,756 | ||||||
|
| |||||||
| 115,357 | ||||||||
|
| |||||||
Total Health Care | 251,836 | |||||||
|
| |||||||
Industrials — 10.4% |
| |||||||
Aerospace & Defense — 2.6% |
| |||||||
| 73 | Boeing Co. (The) | 9,269 | ||||||
| 35 | General Dynamics Corp. | 4,122 | ||||||
| 85 | Honeywell International, Inc. | 7,904 | ||||||
| 9 | L-3 Communications Holdings, Inc. | 1,131 | ||||||
| 29 | Lockheed Martin Corp. | 4,653 | ||||||
| 23 | Northrop Grumman Corp. | 2,782 | ||||||
| 16 | Precision Castparts Corp. | 3,968 | ||||||
| 34 | Raytheon Co. | 3,134 | ||||||
| 15 | Rockwell Collins, Inc. | 1,150 | ||||||
| 30 | Textron, Inc. | 1,161 | ||||||
| 92 | United Technologies Corp. | 10,574 | ||||||
|
| |||||||
| 49,848 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Air Freight & Logistics — 0.7% |
| |||||||
| 16 | C.H. Robinson Worldwide, Inc. | 1,028 | ||||||
| 21 | Expeditors International of Washington, Inc. | 946 | ||||||
| 30 | FedEx Corp. | 4,567 | ||||||
| 77 | United Parcel Service, Inc., Class B | 7,858 | ||||||
|
| |||||||
| 14,399 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
| 92 | Delta Air Lines, Inc. | 3,565 | ||||||
| 75 | Southwest Airlines Co. | 2,018 | ||||||
|
| |||||||
| 5,583 | ||||||||
|
| |||||||
Building Products — 0.1% | ||||||||
| 10 | Allegion plc, (Ireland) | 553 | ||||||
| 39 | Masco Corp. | 859 | ||||||
|
| |||||||
| 1,412 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.5% | ||||||||
| 19 | ADT Corp. (The) | 661 | ||||||
| 11 | Cintas Corp. | 697 | ||||||
| 19 | Iron Mountain, Inc. | 658 | ||||||
| 22 | Pitney Bowes, Inc. | 608 | ||||||
| 29 | Republic Services, Inc. | 1,102 | ||||||
| 9 | Stericycle, Inc. (a) | 1,089 | ||||||
| 50 | Tyco International Ltd., (Switzerland) | 2,284 | ||||||
| 47 | Waste Management, Inc. | 2,101 | ||||||
|
| |||||||
| 9,200 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
| 17 | Fluor Corp. | 1,329 | ||||||
| 14 | Jacobs Engineering Group, Inc. (a) | 765 | ||||||
| 24 | Quanta Services, Inc. (a) | 818 | ||||||
|
| |||||||
| 2,912 | ||||||||
|
| |||||||
Electrical Equipment — 0.6% | ||||||||
| 27 | AMETEK, Inc. | 1,393 | ||||||
| 52 | Eaton Corp. plc | 3,995 | ||||||
| 76 | Emerson Electric Co. | 5,057 | ||||||
| 15 | Rockwell Automation, Inc. | 1,882 | ||||||
|
| |||||||
| 12,327 | ||||||||
|
| |||||||
Industrial Conglomerates — 2.4% | ||||||||
| 67 | 3M Co. | 9,668 | ||||||
| 65 | Danaher Corp. | 5,144 | ||||||
| 1,089 | General Electric Co. (k) | 28,618 | ||||||
| 11 | Roper Industries, Inc. | 1,582 | ||||||
|
| |||||||
| 45,012 | ||||||||
|
| |||||||
Machinery — 1.7% | ||||||||
| 68 | Caterpillar, Inc. | 7,367 | ||||||
| 19 | Cummins, Inc. | 2,865 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 11 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Machinery — continued | ||||||||
| 40 | Deere & Co. | 3,577 | ||||||
| 18 | Dover Corp. | 1,644 | ||||||
| 15 | Flowserve Corp. | 1,109 | ||||||
| 41 | Illinois Tool Works, Inc. | 3,609 | ||||||
| 27 | Ingersoll-Rand plc | 1,704 | ||||||
| 11 | Joy Global, Inc. | 668 | ||||||
| 39 | PACCAR, Inc. | 2,420 | ||||||
| 12 | Pall Corp. | 1,017 | ||||||
| 16 | Parker Hannifin Corp. | 2,034 | ||||||
| 21 | Pentair plc, (United Kingdom) | 1,525 | ||||||
| 6 | Snap-on, Inc. | 750 | ||||||
| 17 | Stanley Black & Decker, Inc. | 1,488 | ||||||
| 20 | Xylem, Inc. | 780 | ||||||
|
| |||||||
| 32,557 | ||||||||
|
| |||||||
Professional Services — 0.2% | ||||||||
| 4 | Dun & Bradstreet Corp. (The) | 443 | ||||||
| 13 | Equifax, Inc. | 961 | ||||||
| 33 | Nielsen N.V. | 1,594 | ||||||
| 15 | Robert Half International, Inc. | 713 | ||||||
|
| |||||||
| 3,711 | ||||||||
|
| |||||||
Road & Rail — 1.0% | ||||||||
| 109 | CSX Corp. | 3,360 | ||||||
| 12 | Kansas City Southern | 1,288 | ||||||
| 34 | Norfolk Southern Corp. | 3,465 | ||||||
| 6 | Ryder System, Inc. | 509 | ||||||
| 98 | Union Pacific Corp. | 9,812 | ||||||
|
| |||||||
| 18,434 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% | ||||||||
| 30 | Fastenal Co. | 1,467 | ||||||
| 7 | W.W. Grainger, Inc. | 1,682 | ||||||
|
| |||||||
| 3,149 | ||||||||
|
| |||||||
Total Industrials | 198,544 | |||||||
|
| |||||||
Information Technology — 18.7% | ||||||||
Communications Equipment — 1.7% | ||||||||
| 556 | Cisco Systems, Inc. | 13,824 | ||||||
| 8 | F5 Networks, Inc. (a) | 916 | ||||||
| 12 | Harris Corp. | 876 | ||||||
| 51 | Juniper Networks, Inc. (a) | 1,262 | ||||||
| 25 | Motorola Solutions, Inc. | 1,636 | ||||||
| 183 | QUALCOMM, Inc. | 14,517 | ||||||
|
| |||||||
| 33,031 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
| 17 | Amphenol Corp., Class A | 1,644 | ||||||
| 142 | Corning, Inc. | 3,119 | ||||||
| 15 | FLIR Systems, Inc. | 534 | ||||||
| 20 | Jabil Circuit, Inc. | 420 | ||||||
| 44 | TE Connectivity Ltd., (Switzerland) | 2,745 | ||||||
|
| |||||||
| 8,462 | ||||||||
|
| |||||||
Internet Software & Services — 3.2% | ||||||||
| 19 | Akamai Technologies, Inc. (a) | 1,180 | ||||||
| 124 | eBay, Inc. (a) | 6,201 | ||||||
| 187 | Facebook, Inc., Class A (a) | 12,565 | ||||||
| 31 | Google, Inc., Class A (a) | 17,986 | ||||||
| 31 | Google, Inc., Class C (a) | 17,697 | ||||||
| 13 | VeriSign, Inc. (a) | 655 | ||||||
| 102 | Yahoo!, Inc. (a) | 3,572 | ||||||
|
| |||||||
| 59,856 | ||||||||
|
| |||||||
IT Services — 3.3% | ||||||||
| 69 | Accenture plc, (Ireland), Class A | 5,557 | ||||||
| 6 | Alliance Data Systems Corp. (a) | 1,656 | ||||||
| 52 | Automatic Data Processing, Inc. | 4,150 | ||||||
| 66 | Cognizant Technology Solutions Corp., Class A (a) | 3,232 | ||||||
| 16 | Computer Sciences Corp. | 994 | ||||||
| 31 | Fidelity National Information Services, Inc. | 1,711 | ||||||
| 27 | Fiserv, Inc. (a) | 1,633 | ||||||
| 103 | International Business Machines Corp. | 18,729 | ||||||
| 109 | MasterCard, Inc., Class A | 8,017 | ||||||
| 35 | Paychex, Inc. | 1,461 | ||||||
| 17 | Teradata Corp. (a) | 688 | ||||||
| 18 | Total System Services, Inc. | 566 | ||||||
| 55 | Visa, Inc., Class A | 11,503 | ||||||
| 59 | Western Union Co. (The) | 1,015 | ||||||
| 119 | Xerox Corp. | 1,476 | ||||||
|
| |||||||
| 62,388 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
| 34 | Altera Corp. | 1,182 | ||||||
| 34 | Analog Devices, Inc. | 1,845 | ||||||
| 132 | Applied Materials, Inc. | 2,981 | ||||||
| 27 | Avago Technologies Ltd., (Singapore) | 1,970 | ||||||
| 60 | Broadcom Corp., Class A | 2,240 | ||||||
| 8 | First Solar, Inc. (a) | 549 | ||||||
| 541 | Intel Corp. | 16,704 | ||||||
| 18 | KLA-Tencor Corp. | 1,315 | ||||||
| 18 | Lam Research Corp. | 1,190 | ||||||
| 26 | Linear Technology Corp. | 1,209 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 22 | Microchip Technology, Inc. | 1,062 | ||||||
| 116 | Micron Technology, Inc. (a) | 3,830 | ||||||
| 61 | NVIDIA Corp. | 1,123 | ||||||
| 117 | Texas Instruments, Inc. | 5,601 | ||||||
| 29 | Xilinx, Inc. | 1,381 | ||||||
|
| |||||||
| 44,182 | ||||||||
|
| |||||||
Software — 3.5% | ||||||||
| 50 | Adobe Systems, Inc. (a) | 3,637 | ||||||
| 25 | Autodesk, Inc. (a) | 1,395 | ||||||
| 35 | CA, Inc. | 995 | ||||||
| 18 | Citrix Systems, Inc. (a) | 1,113 | ||||||
| 34 | Electronic Arts, Inc. (a) | 1,225 | ||||||
| 31 | Intuit, Inc. | 2,483 | ||||||
| 816 | Microsoft Corp. | 34,040 | ||||||
| 373 | Oracle Corp. | 15,111 | ||||||
| 21 | Red Hat, Inc. (a) | 1,137 | ||||||
| 61 | salesforce.com, Inc. (a) | 3,563 | ||||||
| 75 | Symantec Corp. | 1,720 | ||||||
|
| |||||||
| 66,419 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.3% |
| |||||||
| 655 | Apple, Inc. | 60,849 | ||||||
| 222 | EMC Corp. | 5,856 | ||||||
| 203 | Hewlett-Packard Co. | 6,844 | ||||||
| 36 | NetApp, Inc. | 1,314 | ||||||
| 25 | SanDisk Corp. | 2,565 | ||||||
| 35 | Seagate Technology plc, (Ireland) | 2,015 | ||||||
| 23 | Western Digital Corp. | 2,097 | ||||||
|
| |||||||
| 81,540 | ||||||||
|
| |||||||
Total Information Technology | 355,878 | |||||||
|
| |||||||
Materials — 3.5% | ||||||||
Chemicals — 2.6% | ||||||||
| 23 | Air Products & Chemicals, Inc. | 2,965 | ||||||
| 7 | Airgas, Inc. | 791 | ||||||
| 6 | CF Industries Holdings, Inc. | 1,360 | ||||||
| 131 | Dow Chemical Co. (The) | 6,729 | ||||||
| 100 | E.I. du Pont de Nemours & Co. | 6,526 | ||||||
| 16 | Eastman Chemical Co. | 1,425 | ||||||
| 29 | Ecolab, Inc. | 3,267 | ||||||
| 14 | FMC Corp. | 1,029 | ||||||
| 9 | International Flavors & Fragrances, Inc. | 921 | ||||||
| 45 | LyondellBasell Industries N.V., Class A | 4,417 | ||||||
| 57 | Monsanto Co. | 7,100 | ||||||
| 35 | Mosaic Co. (The) | 1,737 | ||||||
| 15 | PPG Industries, Inc. | 3,155 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Chemicals — continued | ||||||||
| 32 | Praxair, Inc. | 4,226 | ||||||
| 9 | Sherwin-Williams Co. (The) | 1,903 | ||||||
| 13 | Sigma-Aldrich Corp. | 1,310 | ||||||
|
| |||||||
| 48,861 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
| 14 | Vulcan Materials Co. | 906 | ||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
| 10 | Avery Dennison Corp. | 530 | ||||||
| 15 | Ball Corp. | 949 | ||||||
| 11 | Bemis Co., Inc. | 445 | ||||||
| 18 | MeadWestvaco Corp. | 807 | ||||||
| 18 | Owens-Illinois, Inc. (a) | 621 | ||||||
| 21 | Sealed Air Corp. | 721 | ||||||
|
| |||||||
| 4,073 | ||||||||
|
| |||||||
Metals & Mining — 0.5% |
| |||||||
| 127 | Alcoa, Inc. | 1,896 | ||||||
| 12 | Allegheny Technologies, Inc. | 532 | ||||||
| 113 | Freeport-McMoRan Copper & Gold, Inc. | 4,117 | ||||||
| 54 | Newmont Mining Corp. | 1,377 | ||||||
| 35 | Nucor Corp. | 1,703 | ||||||
| 16 | United States Steel Corp. | 409 | ||||||
|
| |||||||
| 10,034 | ||||||||
|
| |||||||
Paper & Forest Products — 0.1% |
| |||||||
| 47 | International Paper Co. | 2,374 | ||||||
|
| |||||||
Total Materials | 66,248 | |||||||
|
| |||||||
Telecommunication Services — 2.4% | ||||||||
Diversified Telecommunication Services — 2.4% |
| |||||||
| 564 | AT&T, Inc. | 19,929 | ||||||
| 62 | CenturyLink, Inc. | 2,251 | ||||||
| 109 | Frontier Communications Corp. | 636 | ||||||
| 450 | Verizon Communications, Inc. | 22,004 | ||||||
| 65 | Windstream Holdings, Inc. | 652 | ||||||
|
| |||||||
Total Telecommunication Services | 45,472 | |||||||
|
| |||||||
Utilities — 3.1% | ||||||||
Electric Utilities — 1.8% | ||||||||
| 53 | American Electric Power Co., Inc. | 2,956 | ||||||
| 77 | Duke Energy Corp. | 5,698 | ||||||
| 35 | Edison International | 2,056 | ||||||
| 19 | Entergy Corp. | 1,599 | ||||||
| 93 | Exelon Corp. | 3,402 | ||||||
| 46 | FirstEnergy Corp. | 1,583 | ||||||
| 47 | NextEra Energy, Inc. | 4,853 | ||||||
| 34 | Northeast Utilities | 1,622 | ||||||
| 27 | Pepco Holdings, Inc. | 749 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 13 | ||||||
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Electric Utilities — continued |
| |||||||
| 12 | Pinnacle West Capital Corp. | 693 | ||||||
| 69 | PPL Corp. | 2,438 | ||||||
| 97 | Southern Co. (The) | 4,390 | ||||||
| 55 | Xcel Energy, Inc. | 1,757 | ||||||
|
| |||||||
| 33,796 | ||||||||
|
| |||||||
Gas Utilities — 0.0% (g) |
| |||||||
| 13 | AGL Resources, Inc. | 713 | ||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 72 | AES Corp. | 1,115 | ||||||
| 37 | NRG Energy, Inc. | 1,362 | ||||||
|
| |||||||
| 2,477 | ||||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
| 26 | Ameren Corp. | 1,077 | ||||||
| 47 | CenterPoint Energy, Inc. | 1,192 | ||||||
| 29 | CMS Energy Corp. | 912 | ||||||
| 32 | Consolidated Edison, Inc. | 1,836 | ||||||
| 63 | Dominion Resources, Inc. | 4,517 | ||||||
| 19 | DTE Energy Co. | 1,497 | ||||||
| 9 | Integrys Energy Group, Inc. | 618 | ||||||
| 34 | NiSource, Inc. | 1,345 | ||||||
| 50 | PG&E Corp. | 2,424 | ||||||
| 55 | Public Service Enterprise Group, Inc. | 2,241 | ||||||
| 15 | SCANA Corp. | 827 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Multi-Utilities — continued |
| |||||||
| 25 | Sempra Energy | 2,592 | ||||||
| 22 | TECO Energy, Inc. | 411 | ||||||
| 24 | Wisconsin Energy Corp. | 1,149 | ||||||
|
| |||||||
| 22,638 | ||||||||
|
| |||||||
Total Utilities | 59,624 | |||||||
|
| |||||||
Total Common Stocks | 1,891,185 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| Short-Term Investments — 0.9% |
| ||||||
U.S. Treasury Obligation — 0.0% (g) |
| |||||||
| 255 | U.S. Treasury Bill, 0.028%, 07/10/14 (n) | 255 | ||||||
|
| |||||||
| SHARES | ||||||||
Investment Company — 0.9% | ||||||||
| 17,665 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 17,665 | ||||||
|
| |||||||
Total Short-Term Investments | 17,920 | |||||||
|
| |||||||
Total Investments — 100.3% | 1,909,105 | |||||||
Liabilities in Excess of | (6,367 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,902,738 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 121 | E-mini S&P 500 | 09/19/14 | $ | 11,812 | $ | 37 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.2% | |||||||
Consumer Discretionary — 12.2% | ||||||||
Auto Components — 0.3% |
| |||||||
| 14 | Drew Industries, Inc. | 705 | ||||||
| 115 | Gentex Corp. | 3,357 | ||||||
| 13 | Standard Motor Products, Inc. | 574 | ||||||
| 15 | Superior Industries International, Inc. | 319 | ||||||
|
| |||||||
| 4,955 | ||||||||
|
| |||||||
Automobiles — 0.1% | ||||||||
| 29 | Thor Industries, Inc. | 1,640 | ||||||
| 19 | Winnebago Industries, Inc. (a) | 474 | ||||||
|
| |||||||
| 2,114 | ||||||||
|
| |||||||
Distributors — 0.5% | ||||||||
| 186 | LKQ Corp. (a) | 4,970 | ||||||
| 32 | Pool Corp. | 1,823 | ||||||
| 11 | VOXX International Corp. (a) | 107 | ||||||
|
| |||||||
| 6,900 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.6% | ||||||||
| 13 | American Public Education, Inc. (a) | 451 | ||||||
| 71 | Apollo Education Group, Inc. (a) | 2,225 | ||||||
| 10 | Capella Education Co. | 553 | ||||||
| 46 | Hillenbrand, Inc. | 1,496 | ||||||
| 25 | ITT Educational Services, Inc. (a) | 419 | ||||||
| 19 | Matthews International Corp., Class A | 772 | ||||||
| 142 | Service Corp. International | 2,939 | ||||||
| 6 | Strayer Education, Inc. (a) | 336 | ||||||
|
| |||||||
| 9,191 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% | ||||||||
| 15 | Bally Technologies, Inc. (a) | 962 | ||||||
| 57 | Boyd Gaming Corp. (a) | 689 | ||||||
| 132 | Brinker International, Inc. | 6,411 | ||||||
| 19 | Cheesecake Factory, Inc. (The) | 896 | ||||||
| 52 | Cracker Barrel Old Country Store, Inc. | 5,190 | ||||||
| 1 | DineEquity, Inc. | 113 | ||||||
| 9 | Domino’s Pizza, Inc. | 680 | ||||||
| 120 | Jack in the Box, Inc. | 7,199 | ||||||
| 13 | Marcus Corp. (The) | 239 | ||||||
| 18 | Marriott Vacations Worldwide Corp. (a) | 1,080 | ||||||
| 17 | Panera Bread Co., Class A (a) | 2,495 | ||||||
| 23 | Ruth’s Hospitality Group, Inc. | 281 | ||||||
| 46 | Scientific Games Corp., Class A (a) | 511 | ||||||
| 39 | Sonic Corp. (a) | 853 | ||||||
| 40 | Texas Roadhouse, Inc. | 1,033 | ||||||
| 70 | Wendy’s Co. (The) | 596 | ||||||
|
| |||||||
| 29,228 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Durables — 1.7% | ||||||||
| 7 | Blyth, Inc. | 55 | ||||||
| 21 | Helen of Troy Ltd., (Bermuda) (a) | 1,260 | ||||||
| 17 | iRobot Corp. (a) | 706 | ||||||
| 139 | Jarden Corp. (a) | 8,240 | ||||||
| 56 | KB Home | 1,048 | ||||||
| 34 | La-Z-Boy, Inc. | 783 | ||||||
| 6 | NVR, Inc. (a) | 6,776 | ||||||
| 29 | Ryland Group, Inc. (The) | 1,149 | ||||||
| 29 | Tupperware Brands Corp. | 2,440 | ||||||
| 87 | Universal Electronics, Inc. (a) | 4,234 | ||||||
|
| |||||||
| 26,691 | ||||||||
|
| |||||||
Internet & Catalog Retail — 0.1% | ||||||||
| 9 | Blue Nile, Inc. (a) | 253 | ||||||
| 21 | HSN, Inc. | 1,214 | ||||||
| 14 | PetMed Express, Inc. | 194 | ||||||
|
| |||||||
| 1,661 | ||||||||
|
| |||||||
Leisure Products — 0.5% | ||||||||
| 8 | Arctic Cat, Inc. | 327 | ||||||
| 61 | Brunswick Corp. | 2,562 | ||||||
| 42 | Polaris Industries, Inc. | 5,415 | ||||||
|
| |||||||
| 8,304 | ||||||||
|
| |||||||
Media — 0.7% | ||||||||
| 175 | E.W. Scripps Co. (The), Class A (a) | 3,710 | ||||||
| 3 | John Wiley & Sons, Inc., Class A | 179 | ||||||
| 256 | Live Nation Entertainment, Inc. (a) | 6,325 | ||||||
| 8 | Meredith Corp. | 384 | ||||||
|
| |||||||
| 10,598 | ||||||||
|
| |||||||
Multiline Retail — 0.1% | ||||||||
| 38 | Big Lots, Inc. (a) | 1,742 | ||||||
| 25 | Fred’s, Inc., Class A | 379 | ||||||
|
| |||||||
| 2,121 | ||||||||
|
| |||||||
Specialty Retail — 4.1% | ||||||||
| 28 | Aaron’s, Inc. | 1,007 | ||||||
| 76 | Advance Auto Parts, Inc. | 10,305 | ||||||
| 8 | Aeropostale, Inc. (a) | 28 | ||||||
| 35 | ANN, Inc. (a) | 1,420 | ||||||
| 91 | Ascena Retail Group, Inc. (a) | 1,561 | ||||||
| 27 | Barnes & Noble, Inc. (a) | 607 | ||||||
| 28 | Brown Shoe Co., Inc. | 804 | ||||||
| 112 | Cato Corp. (The), Class A | 3,472 | ||||||
| 175 | Chico’s FAS, Inc. | 2,975 | ||||||
| 80 | Children’s Place, Inc. (The) | 3,992 | ||||||
| 103 | CST Brands, Inc. | 3,540 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 15 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Specialty Retail — continued | ||||||||
| 53 | Dick’s Sporting Goods, Inc. | 2,473 | ||||||
| 34 | Finish Line, Inc. (The), Class A | 1,008 | ||||||
| 192 | Foot Locker, Inc. | 9,721 | ||||||
| 16 | Genesco, Inc. (a) | 1,344 | ||||||
| 15 | Group 1 Automotive, Inc. | 1,286 | ||||||
| 59 | Guess?, Inc. | 1,596 | ||||||
| 11 | Haverty Furniture Cos., Inc. | 287 | ||||||
| 9 | Kirkland’s, Inc. (a) | 172 | ||||||
| 14 | Lithia Motors, Inc., Class A | 1,319 | ||||||
| 14 | MarineMax, Inc. (a) | 234 | ||||||
| 30 | Men’s Wearhouse, Inc. (The) | 1,684 | ||||||
| 29 | Murphy USA, Inc. (a) | 1,418 | ||||||
| 387 | Office Depot, Inc. (a) | 2,201 | ||||||
| 45 | Outerwall, Inc. (a) | 2,694 | ||||||
| 15 | Signet Jewelers Ltd., (Bermuda) | 1,626 | ||||||
| 11 | Vitamin Shoppe, Inc. (a) | 461 | ||||||
| 60 | Williams-Sonoma, Inc. | 4,278 | ||||||
|
| |||||||
| 63,513 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% | ||||||||
| 81 | Crocs, Inc. (a) | 1,220 | ||||||
| 24 | Deckers Outdoor Corp. (a) | 2,055 | ||||||
| 136 | Hanesbrands, Inc. | 13,404 | ||||||
| 16 | Iconix Brand Group, Inc. (a) | 693 | ||||||
| 11 | Movado Group, Inc. | 475 | ||||||
| 26 | Skechers U.S.A., Inc., Class A (a) | 1,166 | ||||||
| 52 | Steven Madden Ltd. (a) | 1,785 | ||||||
| 79 | Under Armour, Inc., Class A (a) | 4,702 | ||||||
|
| |||||||
| 25,500 | ||||||||
|
| |||||||
Total Consumer Discretionary | 190,776 | |||||||
|
| |||||||
Consumer Staples — 3.7% | ||||||||
Food & Staples Retailing — 0.5% | ||||||||
| 85 | Andersons, Inc. (The) | 4,396 | ||||||
| 26 | Casey’s General Stores, Inc. | 1,811 | ||||||
| 50 | SpartanNash Co. | 1,046 | ||||||
| 133 | SUPERVALU, Inc. (a) | 1,096 | ||||||
|
| |||||||
| 8,349 | ||||||||
|
| |||||||
Food Products — 2.4% | ||||||||
| 7 | B&G Foods, Inc. | 244 | ||||||
| 8 | Calavo Growers, Inc. | 255 | ||||||
| 9 | Cal-Maine Foods, Inc. | 694 | ||||||
| 77 | Darling Ingredients, Inc. (a) | 1,609 | ||||||
| 14 | Diamond Foods, Inc. (a) | 395 | ||||||
| 83 | Flowers Foods, Inc. | 1,739 | ||||||
| 23 | Hain Celestial Group, Inc. (The) (a) | 2,054 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food Products — continued | ||||||||
| 166 | Hillshire Brands Co. | 10,366 | ||||||
| 82 | Ingredion, Inc. | 6,158 | ||||||
| 9 | J&J Snack Foods Corp. | 875 | ||||||
| 59 | Sanderson Farms, Inc. | 5,727 | ||||||
| 21 | Seneca Foods Corp., Class A (a) | 632 | ||||||
| 16 | Snyders-Lance, Inc. | 412 | ||||||
| 207 | WhiteWave Foods Co. (The) (a) | 6,713 | ||||||
|
| |||||||
| 37,873 | ||||||||
|
| |||||||
Household Products — 0.7% | ||||||||
| 79 | Church & Dwight Co., Inc. | 5,560 | ||||||
| 41 | Energizer Holdings, Inc. | 5,044 | ||||||
| 11 | WD-40 Co. | 805 | ||||||
|
| |||||||
| 11,409 | ||||||||
|
| |||||||
Personal Products — 0.1% | ||||||||
| 10 | Inter Parfums, Inc. | 289 | ||||||
| 9 | Medifast, Inc. (a) | 275 | ||||||
|
| |||||||
| 564 | ||||||||
|
| |||||||
Total Consumer Staples | 58,195 | |||||||
|
| |||||||
Energy — 5.9% | ||||||||
Energy Equipment & Services — 3.2% |
| |||||||
| 27 | Atwood Oceanics, Inc. (a) | 1,420 | ||||||
| 20 | Basic Energy Services, Inc. (a) | 588 | ||||||
| 23 | Bristow Group, Inc. | 1,888 | ||||||
| 29 | C&J Energy Services, Inc. (a) | 989 | ||||||
| 14 | Dril-Quip, Inc. (a) | 1,541 | ||||||
| 14 | Era Group, Inc. (a) | 388 | ||||||
| 10 | Exterran Holdings, Inc. | 453 | ||||||
| 8 | Geospace Technologies Corp. (a) | 441 | ||||||
| 9 | Gulf Island Fabrication, Inc. | 191 | ||||||
| 99 | Helix Energy Solutions Group, Inc. (a) | 2,609 | ||||||
| 87 | ION Geophysical Corp. (a) | 366 | ||||||
| 121 | Matrix Service Co. (a) | 3,982 | ||||||
| 61 | Oceaneering International, Inc. | 4,756 | ||||||
| 77 | Oil States International, Inc. (a) | 4,907 | ||||||
| 200 | Patterson-UTI Energy, Inc. | 7,004 | ||||||
| 206 | Superior Energy Services, Inc. | 7,448 | ||||||
| 162 | Tesco Corp. | 3,446 | ||||||
| 49 | TETRA Technologies, Inc. (a) | 582 | ||||||
| 75 | Tidewater, Inc. | 4,206 | ||||||
| 28 | Unit Corp. (a) | 1,902 | ||||||
|
| |||||||
| 49,107 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.7% | ||||||||
| 29 | Bill Barrett Corp. (a) | 783 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
| 24 | Carrizo Oil & Gas, Inc. (a) | 1,643 | ||||||
| 59 | Cimarex Energy Co. | 8,429 | ||||||
| 42 | Cloud Peak Energy, Inc. (a) | 768 | ||||||
| 31 | Comstock Resources, Inc. | 907 | ||||||
| 9 | Contango Oil & Gas Co. (a) | 371 | ||||||
| 35 | Energen Corp. | 3,137 | ||||||
| 73 | Green Plains, Inc. | 2,383 | ||||||
| 12 | Gulfport Energy Corp. (a) | 779 | ||||||
| 211 | HollyFrontier Corp. | 9,226 | ||||||
| 37 | PetroQuest Energy, Inc. (a) | 275 | ||||||
| 42 | Rosetta Resources, Inc. (a) | 2,295 | ||||||
| 26 | SM Energy Co. | 2,221 | ||||||
| 82 | Stone Energy Corp. (a) | 3,850 | ||||||
| 49 | World Fuel Services Corp. | 2,431 | ||||||
| 133 | WPX Energy, Inc. (a) | 3,185 | ||||||
|
| |||||||
| 42,683 | ||||||||
|
| |||||||
Total Energy | 91,790 | |||||||
|
| |||||||
Financials — 21.3% | ||||||||
Banks — 5.3% |
| |||||||
| 219 | Associated Banc-Corp. | 3,968 | ||||||
| 72 | BancorpSouth, Inc. | 1,775 | ||||||
| 44 | Bank of Hawaii Corp. | 2,561 | ||||||
| 37 | Bank of the Ozarks, Inc. | 1,222 | ||||||
| 11 | Banner Corp. | 445 | ||||||
| 51 | BBCN Bancorp, Inc. | 812 | ||||||
| 51 | Boston Private Financial Holdings, Inc. | 691 | ||||||
| 53 | Cathay General Bancorp | 1,363 | ||||||
| 10 | City Holding Co. | 444 | ||||||
| 24 | City National Corp. | 1,845 | ||||||
| 26 | Columbia Banking System, Inc. | 680 | ||||||
| 3 | Commerce Bancshares, Inc. | 123 | ||||||
| 28 | Community Bank System, Inc. | 1,005 | ||||||
| 29 | Cullen/Frost Bankers, Inc. | 2,271 | ||||||
| 57 | CVB Financial Corp. | 913 | ||||||
| 224 | East West Bancorp, Inc. | 7,836 | ||||||
| 244 | First BanCorp, (Puerto Rico) (a) | 1,328 | ||||||
| 37 | First Financial Bancorp | 635 | ||||||
| 48 | First Midwest Bancorp, Inc. | 819 | ||||||
| 313 | First Niagara Financial Group, Inc. | 2,740 | ||||||
| 279 | FirstMerit Corp. | 5,513 | ||||||
| 39 | FNB Corp. | 505 | ||||||
| 295 | Fulton Financial Corp. | 3,649 | ||||||
| 46 | Glacier Bancorp, Inc. | 1,317 | ||||||
| 53 | Hancock Holding Co. | 1,869 | ||||||
| 20 | Hanmi Financial Corp. | 423 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Banks — continued | ||||||||
| 28 | Home BancShares, Inc. | 921 | ||||||
| 14 | Independent Bank Corp. | 521 | ||||||
| 36 | MB Financial, Inc. | 975 | ||||||
| 46 | National Penn Bancshares, Inc. | 490 | ||||||
| 23 | NBT Bancorp, Inc. | 560 | ||||||
| 13 | Old National Bancorp | 191 | ||||||
| 22 | PacWest Bancorp | 950 | ||||||
| 23 | Pinnacle Financial Partners, Inc. | 894 | ||||||
| 43 | PrivateBancorp, Inc. | 1,238 | ||||||
| 29 | Prosperity Bancshares, Inc. | 1,814 | ||||||
| 24 | Simmons First National Corp., Class A | 953 | ||||||
| 25 | Sterling Bancorp | 296 | ||||||
| 124 | Susquehanna Bancshares, Inc. | 1,309 | ||||||
| 49 | SVB Financial Group (a) | 5,749 | ||||||
| 85 | Synovus Financial Corp. | 2,065 | ||||||
| 108 | TCF Financial Corp. | 1,770 | ||||||
| 27 | Texas Capital Bancshares, Inc. (a) | 1,463 | ||||||
| 7 | Tompkins Financial Corp. | 344 | ||||||
| 53 | Trustmark Corp. | 1,299 | ||||||
| 75 | UMB Financial Corp. | 4,742 | ||||||
| 118 | Umpqua Holdings Corp. | 2,115 | ||||||
| 12 | United Community Banks, Inc. | 198 | ||||||
| 102 | Webster Financial Corp. | 3,222 | ||||||
| 40 | Wilshire Bancorp, Inc. | 407 | ||||||
| 30 | Wintrust Financial Corp. | 1,399 | ||||||
|
| |||||||
| 82,637 | ||||||||
|
| |||||||
Capital Markets — 2.4% | ||||||||
| 43 | Affiliated Managers Group, Inc. (a) | 8,810 | ||||||
| 34 | Eaton Vance Corp. | 1,277 | ||||||
| 27 | Evercore Partners, Inc., Class A | 1,562 | ||||||
| 20 | HFF, Inc., Class A | 732 | ||||||
| 27 | Investment Technology Group, Inc. (a) | 448 | ||||||
| 10 | Piper Jaffray Cos. (a) | 508 | ||||||
| 153 | Raymond James Financial, Inc. | 7,770 | ||||||
| 200 | SEI Investments Co. | 6,546 | ||||||
| 39 | Stifel Financial Corp. (a) | 1,834 | ||||||
| 126 | Waddell & Reed Financial, Inc., Class A | 7,856 | ||||||
|
| |||||||
| 37,343 | ||||||||
|
| |||||||
Consumer Finance — 0.2% | ||||||||
| 36 | Cash America International, Inc. | 1,593 | ||||||
| 14 | Encore Capital Group, Inc. (a) | 626 | ||||||
| 36 | Ezcorp, Inc., Class A (a) | 418 | ||||||
| 5 | First Cash Financial Services, Inc. (a) | 306 | ||||||
| 13 | Green Dot Corp., Class A (a) | 239 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 17 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Consumer Finance — continued | ||||||||
| 9 | World Acceptance Corp. (a) | 719 | ||||||
|
| |||||||
| 3,901 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% | ||||||||
| 53 | CBOE Holdings, Inc. | 2,621 | ||||||
| 26 | MarketAxess Holdings, Inc. | 1,416 | ||||||
| 81 | MSCI, Inc. (a) | 3,721 | ||||||
|
| |||||||
| 7,758 | ||||||||
|
| |||||||
Insurance — 4.1% | ||||||||
| 7 | Alleghany Corp. (a) | 2,963 | ||||||
| 57 | American Financial Group, Inc. | 3,393 | ||||||
| 12 | AMERISAFE, Inc. | 472 | ||||||
| 106 | Aspen Insurance Holdings Ltd., (Bermuda) | 4,812 | ||||||
| 59 | Brown & Brown, Inc. | 1,804 | ||||||
| 62 | Everest Re Group Ltd., (Bermuda) | 9,929 | ||||||
| 296 | Fidelity National Financial, Inc., Class A | 9,691 | ||||||
| 33 | Hanover Insurance Group, Inc. (The) | 2,067 | ||||||
| 113 | HCC Insurance Holdings, Inc. | 5,536 | ||||||
| 26 | Horace Mann Educators Corp. | 799 | ||||||
| 32 | Kemper Corp. | 1,193 | ||||||
| 24 | Mercury General Corp. | 1,138 | ||||||
| 8 | Navigators Group, Inc. (The) (a) | 539 | ||||||
| 228 | Old Republic International Corp. | 3,766 | ||||||
| 123 | Protective Life Corp. | 8,506 | ||||||
| 40 | Reinsurance Group of America, Inc. | 3,124 | ||||||
| 10 | Safety Insurance Group, Inc. | 503 | ||||||
| 36 | Selective Insurance Group, Inc. | 885 | ||||||
| 6 | StanCorp Financial Group, Inc. | 404 | ||||||
| 13 | Stewart Information Services Corp. | 389 | ||||||
| 28 | Tower Group International Ltd., (Bermuda) | 51 | ||||||
| 59 | W.R. Berkley Corp. | 2,740 | ||||||
|
| |||||||
| 64,704 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.8% |
| |||||||
| 29 | Acadia Realty Trust | 804 | ||||||
| 41 | Alexandria Real Estate Equities, Inc. | 3,148 | ||||||
| 67 | American Campus Communities, Inc. | 2,568 | ||||||
| 35 | Associated Estates Realty Corp. | 629 | ||||||
| 101 | BioMed Realty Trust, Inc. | 2,195 | ||||||
| 52 | Camden Property Trust | 3,725 | ||||||
| 10 | CareTrust REIT, Inc. (a) | 207 | ||||||
| 46 | Cedar Realty Trust, Inc. | 287 | ||||||
| 15 | CoreSite Realty Corp. | 496 | ||||||
| 48 | Corporate Office Properties Trust | 1,325 | ||||||
| 84 | Corrections Corp. of America | 2,760 | ||||||
| 175 | Cousins Properties, Inc. | 2,182 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 450 | DiamondRock Hospitality Co. | 5,773 | ||||||
| 205 | Duke Realty Corp. | 3,721 | ||||||
| 18 | EastGroup Properties, Inc. | 1,179 | ||||||
| 31 | EPR Properties | 1,710 | ||||||
| 40 | Equity One, Inc. | 934 | ||||||
| 68 | Extra Space Storage, Inc. | 3,609 | ||||||
| 42 | Federal Realty Investment Trust | 5,046 | ||||||
| 47 | Franklin Street Properties Corp. | 592 | ||||||
| 76 | Geo Group, Inc. (The) | 2,705 | ||||||
| 17 | Getty Realty Corp. | 324 | ||||||
| 25 | Government Properties Income Trust | 636 | ||||||
| 50 | Healthcare Realty Trust, Inc. | 1,276 | ||||||
| 85 | Highwoods Properties, Inc. | 3,566 | ||||||
| 32 | Home Properties, Inc. | 2,057 | ||||||
| 81 | Hospitality Properties Trust | 2,449 | ||||||
| 51 | Inland Real Estate Corp. | 538 | ||||||
| 48 | Kilroy Realty Corp. | 2,980 | ||||||
| 40 | Kite Realty Group Trust | 249 | ||||||
| 189 | LaSalle Hotel Properties | 6,656 | ||||||
| 76 | Liberty Property Trust | 2,890 | ||||||
| 20 | LTC Properties, Inc. | 776 | ||||||
| 57 | Mack-Cali Realty Corp. | 1,233 | ||||||
| 88 | Medical Properties Trust, Inc. | 1,170 | ||||||
| 52 | Mid-America Apartment Communities, Inc. | 3,786 | ||||||
| 69 | Omega Healthcare Investors, Inc. | 2,549 | ||||||
| 14 | Parkway Properties, Inc. | 289 | ||||||
| 35 | Post Properties, Inc. | 1,876 | ||||||
| 92 | Potlatch Corp. | 3,813 | ||||||
| 12 | PS Business Parks, Inc. | 998 | ||||||
| 79 | Rayonier, Inc. | 2,822 | ||||||
| 72 | Realty Income Corp. | 3,217 | ||||||
| 58 | Regency Centers Corp. | 3,254 | ||||||
| 8 | Saul Centers, Inc. | 373 | ||||||
| 121 | Senior Housing Properties Trust | 2,951 | ||||||
| 59 | SL Green Realty Corp. | 6,410 | ||||||
| 20 | Sovran Self Storage, Inc. | 1,528 | ||||||
| 61 | Tanger Factory Outlet Centers, Inc. | 2,116 | ||||||
| 87 | Taubman Centers, Inc. | 6,610 | ||||||
| 163 | UDR, Inc. | 4,680 | ||||||
| 8 | Universal Health Realty Income Trust | 346 | ||||||
| 15 | Urstadt Biddle Properties, Inc., Class A | 317 | ||||||
| 79 | Weingarten Realty Investors | 2,600 | ||||||
|
| |||||||
| 122,930 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Real Estate Management & Development — 0.7% |
| |||||||
| 60 | Alexander & Baldwin, Inc. | 2,505 | ||||||
| 22 | Forestar Group, Inc. (a) | 428 | ||||||
| 60 | Jones Lang LaSalle, Inc. | 7,613 | ||||||
|
| |||||||
| 10,546 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.3% | ||||||||
| 28 | Bank Mutual Corp. | 162 | ||||||
| 7 | BofI Holding, Inc. (a) | 544 | ||||||
| 18 | Dime Community Bancshares, Inc. | 284 | ||||||
| 55 | New York Community Bancorp, Inc. | 886 | ||||||
| 35 | Provident Financial Services, Inc. | 606 | ||||||
| 59 | TrustCo Bank Corp. | 393 | ||||||
| 61 | Washington Federal, Inc. | 1,358 | ||||||
|
| |||||||
| 4,233 | ||||||||
|
| |||||||
Total Financials | 334,052 | |||||||
|
| |||||||
Health Care — 9.2% | ||||||||
Biotechnology — 0.6% |
| |||||||
| 25 | Acorda Therapeutics, Inc. (a) | 836 | ||||||
| 258 | ArQule, Inc. (a) | 400 | ||||||
| 66 | Cubist Pharmaceuticals, Inc. (a) | 4,596 | ||||||
| 18 | Emergent Biosolutions, Inc. (a) | 397 | ||||||
| 31 | United Therapeutics Corp. (a) | 2,785 | ||||||
|
| |||||||
| 9,014 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% | ||||||||
| 94 | Align Technology, Inc. (a) | 5,262 | ||||||
| 18 | CONMED Corp. | 789 | ||||||
| 12 | Cooper Cos., Inc. (The) | 1,595 | ||||||
| 116 | CryoLife, Inc. | 1,038 | ||||||
| 17 | Cyberonics, Inc. (a) | 1,087 | ||||||
| 12 | Cynosure, Inc., Class A (a) | 247 | ||||||
| 15 | Greatbatch, Inc. (a) | 728 | ||||||
| 105 | Hill-Rom Holdings, Inc. | 4,346 | ||||||
| 349 | Hologic, Inc. (a) | 8,848 | ||||||
| 8 | ICU Medical, Inc. (a) | 491 | ||||||
| 37 | IDEXX Laboratories, Inc. (a) | 4,903 | ||||||
| 13 | Masimo Corp. (a) | 299 | ||||||
| 17 | Natus Medical, Inc. (a) | 424 | ||||||
| 112 | NuVasive, Inc. (a) | 3,999 | ||||||
| 80 | ResMed, Inc. | 4,057 | ||||||
| 8 | SurModics, Inc. (a) | 171 | ||||||
| 185 | Symmetry Medical, Inc. (a) | 1,642 | ||||||
| 40 | Thoratec Corp. (a) | 1,386 | ||||||
|
| |||||||
| 41,312 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Health Care Providers & Services — 3.7% | ||||||||
| 25 | Amedisys, Inc. (a) | 419 | ||||||
| 25 | AMN Healthcare Services, Inc. (a) | 312 | ||||||
| 21 | Amsurg Corp. (a) | 945 | ||||||
| 92 | Centene Corp. (a) | 6,940 | ||||||
| 8 | CorVel Corp. (a) | 382 | ||||||
| 278 | Cross Country Healthcare, Inc. (a) | 1,816 | ||||||
| 10 | Ensign Group, Inc. (The) | 326 | ||||||
| 339 | Gentiva Health Services, Inc. (a) | 5,100 | ||||||
| 77 | Health Net, Inc. (a) | 3,181 | ||||||
| 58 | Henry Schein, Inc. (a) | 6,857 | ||||||
| 34 | Kindred Healthcare, Inc. | 783 | ||||||
| 62 | Magellan Health, Inc. (a) | 3,869 | ||||||
| 50 | MEDNAX, Inc. (a) | 2,901 | ||||||
| 22 | Molina Healthcare, Inc. (a) | 977 | ||||||
| 8 | MWI Veterinary Supply, Inc. (a) | 1,175 | ||||||
| 69 | Omnicare, Inc. | 4,598 | ||||||
| 138 | Owens & Minor, Inc. | 4,695 | ||||||
| 17 | PharMerica Corp. (a) | 486 | ||||||
| 35 | Universal Health Services, Inc., Class B | 3,384 | ||||||
| 184 | VCA, Inc. (a) | 6,448 | ||||||
| 39 | WellCare Health Plans, Inc. (a) | 2,919 | ||||||
|
| |||||||
| 58,513 | ||||||||
|
| |||||||
Health Care Technology — 0.1% | ||||||||
| 28 | Medidata Solutions, Inc. (a) | 1,211 | ||||||
| 21 | Omnicell, Inc. (a) | 604 | ||||||
|
| |||||||
| 1,815 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% | ||||||||
| 46 | Affymetrix, Inc. (a) | 410 | ||||||
| 62 | Charles River Laboratories International, Inc. (a) | 3,334 | ||||||
| 23 | Covance, Inc. (a) | 1,962 | ||||||
| 12 | Mettler-Toledo International, Inc. (a) | 3,158 | ||||||
| 38 | PAREXEL International Corp. (a) | 1,983 | ||||||
|
| |||||||
| 10,847 | ||||||||
|
| |||||||
Pharmaceuticals — 1.4% | ||||||||
| 90 | Endo International plc, (Ireland) (a) | 6,273 | ||||||
| 130 | Impax Laboratories, Inc. (a) | 3,886 | ||||||
| 37 | Mallinckrodt plc (a) | 2,953 | ||||||
| 33 | Prestige Brands Holdings, Inc. (a) | 1,111 | ||||||
| 40 | Questcor Pharmaceuticals, Inc. | 3,685 | ||||||
| 35 | Salix Pharmaceuticals Ltd. (a) | 4,331 | ||||||
|
| |||||||
| 22,239 | ||||||||
|
| |||||||
Total Health Care | 143,740 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 19 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Industrials — 16.6% | ||||||||
Aerospace & Defense — 2.1% |
| |||||||
| 25 | AAR Corp. | 702 | ||||||
| 50 | Alliant Techsystems, Inc. | 6,731 | ||||||
| 21 | B/E Aerospace, Inc. (a) | 1,956 | ||||||
| 79 | Engility Holdings, Inc. (a) | 3,020 | ||||||
| 13 | Esterline Technologies Corp. (a) | 1,510 | ||||||
| 345 | Exelis, Inc. | 5,856 | ||||||
| 93 | Huntington Ingalls Industries, Inc. | 8,812 | ||||||
| 21 | Moog, Inc., Class A (a) | 1,515 | ||||||
| 21 | Orbital Sciences Corp. (a) | 615 | ||||||
| 24 | Triumph Group, Inc. | 1,654 | ||||||
|
| |||||||
| 32,371 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.1% | ||||||||
| 19 | Forward Air Corp. | 888 | ||||||
| 23 | Hub Group, Inc., Class A (a) | 1,142 | ||||||
|
| |||||||
| 2,030 | ||||||||
|
| |||||||
Airlines — 0.7% | ||||||||
| 99 | Alaska Air Group, Inc. | 9,369 | ||||||
| 10 | Allegiant Travel Co. | 1,193 | ||||||
| 33 | SkyWest, Inc. | 406 | ||||||
|
| |||||||
| 10,968 | ||||||||
|
| |||||||
Building Products — 1.0% | ||||||||
| 128 | A.O. Smith Corp. | 6,332 | ||||||
| 9 | American Woodmark Corp. (a) | 281 | ||||||
| 109 | Fortune Brands Home & Security, Inc. | 4,340 | ||||||
| 12 | Gibraltar Industries, Inc. (a) | 192 | ||||||
| 35 | Lennox International, Inc. | 3,131 | ||||||
| 12 | Universal Forest Products, Inc. | 598 | ||||||
|
| |||||||
| 14,874 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% | ||||||||
| 164 | ABM Industries, Inc. | 4,419 | ||||||
| 153 | Civeo Corp. (a) | 3,833 | ||||||
| 35 | Deluxe Corp. | 2,064 | ||||||
| 11 | Herman Miller, Inc. | 338 | ||||||
| 20 | HNI Corp. | 773 | ||||||
| 20 | MSA Safety, Inc. | 1,166 | ||||||
| 387 | R.R. Donnelley & Sons Co. | 6,567 | ||||||
| 52 | Tetra Tech, Inc. | 1,427 | ||||||
| 10 | UniFirst Corp. | 1,095 | ||||||
| 22 | United Stationers, Inc. | 911 | ||||||
| 13 | Viad Corp. | 301 | ||||||
|
| |||||||
| 22,894 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — 1.2% | ||||||||
| 188 | AECOM Technology Corp. (a) | 6,053 | ||||||
| 25 | Aegion Corp. (a) | 592 | ||||||
| 24 | Comfort Systems USA, Inc. | 373 | ||||||
| 92 | EMCOR Group, Inc. | 4,100 | ||||||
| 25 | Granite Construction, Inc. | 906 | ||||||
| 61 | KBR, Inc. | 1,453 | ||||||
| 123 | URS Corp. | 5,646 | ||||||
|
| |||||||
| 19,123 | ||||||||
|
| |||||||
Electrical Equipment — 1.1% | ||||||||
| 63 | EnerSys | 4,349 | ||||||
| 135 | General Cable Corp. | 3,461 | ||||||
| 28 | Hubbell, Inc., Class B | 3,508 | ||||||
| 5 | Powell Industries, Inc. | 354 | ||||||
| 78 | Regal-Beloit Corp. | 6,108 | ||||||
|
| |||||||
| 17,780 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.5% | ||||||||
| 94 | Carlisle Cos., Inc. | 8,119 | ||||||
|
| |||||||
Machinery — 4.4% | ||||||||
| 45 | Actuant Corp., Class A | 1,540 | ||||||
| 122 | AGCO Corp. | 6,843 | ||||||
| 18 | Albany International Corp., Class A | 676 | ||||||
| 26 | Barnes Group, Inc. | 1,006 | ||||||
| 33 | Briggs & Stratton Corp. | 666 | ||||||
| 11 | CIRCOR International, Inc. | 848 | ||||||
| 73 | Crane Co. | 5,422 | ||||||
| 40 | Federal Signal Corp. | 582 | ||||||
| 41 | IDEX Corp. | 3,334 | ||||||
| 136 | ITT Corp. | 6,542 | ||||||
| 18 | John Bean Technologies Corp. | 557 | ||||||
| 51 | Kennametal, Inc. | 2,346 | ||||||
| 10 | Lydall, Inc. (a) | 285 | ||||||
| 27 | Nordson Corp. | 2,136 | ||||||
| 68 | Oshkosh Corp. | 3,779 | ||||||
| 67 | SPX Corp. | 7,228 | ||||||
| 8 | Standex International Corp. | 611 | ||||||
| 12 | Tennant Co. | 935 | ||||||
| 163 | Terex Corp. | 6,694 | ||||||
| 52 | Timken Co. | 3,504 | ||||||
| 31 | Titan International, Inc. | 529 | ||||||
| 108 | Trinity Industries, Inc. | 4,739 | ||||||
| 18 | Valmont Industries, Inc. | 2,720 | ||||||
| 66 | Wabtec Corp. | 5,412 | ||||||
| 7 | Watts Water Technologies, Inc., Class A | 426 | ||||||
|
| |||||||
| 69,360 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Marine — 0.1% | ||||||||
| 68 | Matson, Inc. | 1,833 | ||||||
|
| |||||||
Professional Services — 1.7% | ||||||||
| 8 | CDI Corp. | 114 | ||||||
| 20 | Corporate Executive Board Co. (The) | 1,390 | ||||||
| 9 | Exponent, Inc. | 652 | ||||||
| 24 | FTI Consulting, Inc. (a) | 895 | ||||||
| 55 | Heidrick & Struggles International, Inc. | 1,017 | ||||||
| 19 | Kelly Services, Inc., Class A | 324 | ||||||
| 31 | Korn/Ferry International (a) | 917 | ||||||
| 109 | Manpowergroup, Inc. | 9,281 | ||||||
| 33 | Navigant Consulting, Inc. (a) | 570 | ||||||
| 27 | On Assignment, Inc. (a) | 964 | ||||||
| 124 | Resources Connection, Inc. | 1,622 | ||||||
| 75 | Towers Watson & Co., Class A | 7,767 | ||||||
| 26 | TrueBlue, Inc. (a) | 724 | ||||||
|
| |||||||
| 26,237 | ||||||||
|
| |||||||
Road & Rail — 1.5% | ||||||||
| 148 | ArcBest Corp. | 6,457 | ||||||
| 129 | Con-way, Inc. | 6,493 | ||||||
| 37 | Heartland Express, Inc. | 782 | ||||||
| 68 | J.B. Hunt Transport Services, Inc. | 5,029 | ||||||
| 29 | Landstar System, Inc. | 1,828 | ||||||
| 36 | Old Dominion Freight Line, Inc. (a) | 2,267 | ||||||
|
| |||||||
| 22,856 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% | ||||||||
| 27 | Applied Industrial Technologies, Inc. | 1,390 | ||||||
| 11 | GATX Corp. | 743 | ||||||
| 4 | MSC Industrial Direct Co., Inc., Class A | 374 | ||||||
| 49 | United Rentals, Inc. (a) | 5,177 | ||||||
| 32 | Watsco, Inc. | 3,319 | ||||||
|
| |||||||
| 11,003 | ||||||||
|
| |||||||
Total Industrials | 259,448 | |||||||
|
| |||||||
Information Technology — 16.6% | ||||||||
Communications Equipment — 0.8% |
| |||||||
| 132 | ARRIS Group, Inc. (a) | 4,287 | ||||||
| 35 | Bel Fuse, Inc., Class B | 891 | ||||||
| 30 | Ciena Corp. (a) | 644 | ||||||
| 37 | Ixia (a) | 422 | ||||||
| 154 | JDS Uniphase Corp. (a) | 1,915 | ||||||
| 4 | NETGEAR, Inc. (a) | 144 | ||||||
| 136 | PC-Tel, Inc. | 1,097 | ||||||
| 24 | Plantronics, Inc. | 1,138 | ||||||
| 91 | Polycom, Inc. (a) | 1,140 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Communications Equipment — continued |
| |||||||
| 58 | Riverbed Technology, Inc. (a) | 1,192 | ||||||
|
| |||||||
| 12,870 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.4% |
| |||||||
| 19 | Anixter International, Inc. | 1,901 | ||||||
| 155 | Arrow Electronics, Inc. (a) | 9,390 | ||||||
| 193 | Avnet, Inc. | 8,567 | ||||||
| 22 | Belden, Inc. | 1,682 | ||||||
| 213 | Benchmark Electronics, Inc. (a) | 5,425 | ||||||
| 12 | Cognex Corp. (a) | 448 | ||||||
| 15 | Coherent, Inc. (a) | 1,025 | ||||||
| 21 | CTS Corp. | 396 | ||||||
| 24 | Daktronics, Inc. | 287 | ||||||
| 16 | Electro Scientific Industries, Inc. | 111 | ||||||
| 29 | FEI Co. | 2,588 | ||||||
| 18 | Gerber Scientific, Inc. (a) (i) | – | ||||||
| 10 | II-VI, Inc. (a) | 139 | ||||||
| 195 | Ingram Micro, Inc., Class A (a) | 5,710 | ||||||
| 30 | Insight Enterprises, Inc. (a) | 922 | ||||||
| 57 | Knowles Corp. (a) | 1,749 | ||||||
| 14 | Littelfuse, Inc. | 1,321 | ||||||
| 10 | Measurement Specialties, Inc. (a) | 839 | ||||||
| 23 | Methode Electronics, Inc. | 892 | ||||||
| 82 | Newport Corp. (a) | 1,515 | ||||||
| 101 | Plexus Corp. (a) | 4,368 | ||||||
| 18 | Rofin-Sinar Technologies, Inc. (a) | 443 | ||||||
| 10 | Rogers Corp. (a) | 684 | ||||||
| 102 | Sanmina Corp. (a) | 2,317 | ||||||
| 19 | ScanSource, Inc. (a) | 720 | ||||||
| 92 | Tech Data Corp. (a) | 5,741 | ||||||
| 136 | Trimble Navigation Ltd. (a) | 5,027 | ||||||
| 92 | Vishay Intertechnology, Inc. | 1,420 | ||||||
| 32 | Zebra Technologies Corp., Class A (a) | 2,601 | ||||||
|
| |||||||
| 68,228 | ||||||||
|
| |||||||
Internet Software & Services — 1.2% | ||||||||
| 65 | AOL, Inc. (a) | 2,598 | ||||||
| 40 | Conversant, Inc. (a) | 1,011 | ||||||
| 28 | Dealertrack Technologies, Inc. (a) | 1,256 | ||||||
| 24 | Digital River, Inc. (a) | 365 | ||||||
| 44 | Equinix, Inc. (a) | 9,223 | ||||||
| 21 | j2 Global, Inc. | 1,050 | ||||||
| 17 | Liquidity Services, Inc. (a) | 271 | ||||||
| 14 | LogMeIn, Inc. (a) | 632 | ||||||
| 14 | OpenTable, Inc. (a) | 1,493 | ||||||
| 21 | Perficient, Inc. (a) | 401 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 21 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Internet Software & Services — continued | ||||||||
| 134 | QuinStreet, Inc. (a) | 740 | ||||||
| 12 | Rackspace Hosting, Inc. (a) | 400 | ||||||
|
| |||||||
| 19,440 | ||||||||
|
| |||||||
IT Services — 2.9% | ||||||||
| 36 | Acxiom Corp. (a) | 783 | ||||||
| 77 | Broadridge Financial Solutions, Inc. | 3,206 | ||||||
| 16 | CACI International, Inc., Class A (a) | 1,089 | ||||||
| 9 | Cardtronics, Inc. (a) | 309 | ||||||
| 213 | CIBER, Inc. (a) | 1,055 | ||||||
| 118 | Convergys Corp. | 2,523 | ||||||
| 22 | CSG Systems International, Inc. | 571 | ||||||
| 65 | DST Systems, Inc. | 6,035 | ||||||
| 18 | ExlService Holdings, Inc. (a) | 520 | ||||||
| 8 | Forrester Research, Inc. | 314 | ||||||
| 59 | Gartner, Inc. (a) | 4,192 | ||||||
| 103 | Global Payments, Inc. | 7,483 | ||||||
| 37 | Heartland Payment Systems, Inc. | 1,507 | ||||||
| 68 | iGATE Corp. (a) | 2,474 | ||||||
| 43 | Jack Henry & Associates, Inc. | 2,571 | ||||||
| 15 | ManTech International Corp., Class A | 449 | ||||||
| 11 | MAXIMUS, Inc. | 461 | ||||||
| 28 | Science Applications International Corp. | 1,250 | ||||||
| 124 | Sykes Enterprises, Inc. (a) | 2,685 | ||||||
| 19 | TeleTech Holdings, Inc. (a) | 555 | ||||||
| 148 | VeriFone Systems, Inc. (a) | 5,451 | ||||||
| 16 | Virtusa Corp. (a) | 555 | ||||||
|
| |||||||
| 46,038 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.8% |
| |||||||
| 28 | Advanced Energy Industries, Inc. (a) | 547 | ||||||
| 297 | Atmel Corp. (a) | 2,785 | ||||||
| 43 | Brooks Automation, Inc. | 462 | ||||||
| 15 | Cabot Microelectronics Corp. (a) | 676 | ||||||
| 41 | Cirrus Logic, Inc. (a) | 940 | ||||||
| 79 | Cree, Inc. (a) | 3,928 | ||||||
| 11 | Diodes, Inc. (a) | 328 | ||||||
| 120 | DSP Group, Inc. (a) | 1,019 | ||||||
| 70 | Entropic Communications, Inc. (a) | 231 | ||||||
| 79 | Fairchild Semiconductor International, Inc. (a) | 1,237 | ||||||
| 90 | Integrated Device Technology, Inc. (a) | 1,398 | ||||||
| 49 | International Rectifier Corp. (a) | 1,367 | ||||||
| 80 | Intersil Corp., Class A | 1,202 | ||||||
| 40 | Kopin Corp. (a) | 131 | ||||||
| 350 | Kulicke & Soffa Industries, Inc., (Singapore) (a) | 4,984 | ||||||
| 88 | Microsemi Corp. (a) | 2,363 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
| 40 | MKS Instruments, Inc. | 1,264 | ||||||
| 11 | Nanometrics, Inc. (a) | 199 | ||||||
| 130 | Pericom Semiconductor Corp. (a) | 1,175 | ||||||
| 4 | Power Integrations, Inc. | 256 | ||||||
| 322 | RF Micro Devices, Inc. (a) | 3,089 | ||||||
| 354 | Sigma Designs, Inc. (a) | 1,620 | ||||||
| 204 | Skyworks Solutions, Inc. | 9,578 | ||||||
| 21 | SunEdison, Inc. (a) | 463 | ||||||
| 131 | Teradyne, Inc. | 2,558 | ||||||
| 17 | Ultratech, Inc. (a) | 377 | ||||||
|
| |||||||
| 44,177 | ||||||||
|
| |||||||
Software — 3.8% | ||||||||
| 82 | ANSYS, Inc. (a) | 6,224 | ||||||
| 184 | Cadence Design Systems, Inc. (a) | 3,219 | ||||||
| 491 | Compuware Corp. | 4,905 | ||||||
| 23 | Fair Isaac Corp. | 1,451 | ||||||
| 87 | Fortinet, Inc. (a) | 2,174 | ||||||
| 56 | Informatica Corp. (a) | 2,003 | ||||||
| 9 | Interactive Intelligence Group, Inc. (a) | 506 | ||||||
| 51 | Manhattan Associates, Inc. (a) | 1,770 | ||||||
| 32 | Mentor Graphics Corp. | 688 | ||||||
| 5 | MicroStrategy, Inc., Class A (a) | 739 | ||||||
| 23 | Monotype Imaging Holdings, Inc. | 657 | ||||||
| 8 | Progress Software Corp. (a) | 199 | ||||||
| 181 | PTC, Inc. (a) | 7,031 | ||||||
| 233 | Rovi Corp. (a) | 5,571 | ||||||
| 42 | SolarWinds, Inc. (a) | 1,630 | ||||||
| 45 | Solera Holdings, Inc. | 3,002 | ||||||
| 194 | Synopsys, Inc. (a) | 7,548 | ||||||
| 212 | Take-Two Interactive Software, Inc. (a) | 4,709 | ||||||
| 250 | TIBCO Software, Inc. (a) | 5,034 | ||||||
|
| |||||||
| 59,060 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.7% |
| |||||||
| 35 | 3D Systems Corp. (a) | 2,078 | ||||||
| 282 | Avid Technology, Inc. (a) | 2,083 | ||||||
| 35 | Diebold, Inc. | 1,393 | ||||||
| 31 | Electronics For Imaging, Inc. (a) | 1,379 | ||||||
| 14 | Intevac, Inc. (a) | 116 | ||||||
| 57 | Lexmark International, Inc., Class A | 2,747 | ||||||
| 55 | QLogic Corp. (a) | 559 | ||||||
|
| |||||||
| 10,355 | ||||||||
|
| |||||||
Total Information Technology | 260,168 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Materials — 6.6% | ||||||||
Chemicals — 2.8% |
| |||||||
| 20 | A Schulman, Inc. | 793 | ||||||
| 48 | Albemarle Corp. | 3,454 | ||||||
| 50 | Ashland, Inc. | 5,391 | ||||||
| 43 | Cabot Corp. | 2,519 | ||||||
| 38 | Calgon Carbon Corp. (a) | 852 | ||||||
| 24 | Cytec Industries, Inc. | 2,518 | ||||||
| 13 | Koppers Holdings, Inc. | 514 | ||||||
| 21 | Kraton Performance Polymers, Inc. (a) | 459 | ||||||
| 17 | Minerals Technologies, Inc. | 1,104 | ||||||
| 178 | Olin Corp. | 4,796 | ||||||
| 18 | OM Group, Inc. | 590 | ||||||
| 8 | Quaker Chemical Corp. | 623 | ||||||
| 26 | Rayonier Advanced Materials, Inc. (a) | 1,025 | ||||||
| 146 | RPM International, Inc. | 6,760 | ||||||
| 88 | Scotts Miracle-Gro Co. (The), Class A | 5,004 | ||||||
| 34 | Sensient Technologies Corp. | 1,874 | ||||||
| 12 | Stepan Co. | 633 | ||||||
| 63 | Valspar Corp. (The) | 4,820 | ||||||
| 14 | Zep, Inc. | 239 | ||||||
|
| |||||||
| 43,968 | ||||||||
|
| |||||||
Construction Materials — 0.2% | ||||||||
| 34 | Eagle Materials, Inc. | 3,173 | ||||||
| 39 | Headwaters, Inc. (a) | 545 | ||||||
|
| |||||||
| 3,718 | ||||||||
|
| |||||||
Containers & Packaging — 1.2% | ||||||||
| 22 | Myers Industries, Inc. | 435 | ||||||
| 72 | Packaging Corp. of America | 5,137 | ||||||
| 81 | Rock-Tenn Co., Class A | 8,599 | ||||||
| 42 | Silgan Holdings, Inc. | 2,136 | ||||||
| 40 | Sonoco Products Co. | 1,779 | ||||||
|
| |||||||
| 18,086 | ||||||||
|
| |||||||
Metals & Mining — 1.6% | ||||||||
| 90 | AK Steel Holding Corp. (a) | 718 | ||||||
| 32 | Century Aluminum Co. (a) | 502 | ||||||
| 76 | Commercial Metals Co. | 1,324 | ||||||
| 42 | Compass Minerals International, Inc. | 4,002 | ||||||
| 44 | Globe Specialty Metals, Inc. | 914 | ||||||
| 17 | Kaiser Aluminum Corp. | 1,272 | ||||||
| 14 | Materion Corp. | 506 | ||||||
| 5 | Olympic Steel, Inc. | 135 | ||||||
| 100 | Reliance Steel & Aluminum Co. | 7,385 | ||||||
| 4 | Royal Gold, Inc. | 319 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Metals & Mining — continued |
| |||||||
| 114 | Steel Dynamics, Inc. | 2,045 | ||||||
| 139 | Worthington Industries, Inc. | 5,988 | ||||||
|
| |||||||
| 25,110 | ||||||||
|
| |||||||
Paper & Forest Products — 0.8% | ||||||||
| 127 | Domtar Corp., (Canada) | 5,432 | ||||||
| 51 | KapStone Paper & Packaging Corp. (a) | 1,684 | ||||||
| 59 | Louisiana-Pacific Corp. (a) | 888 | ||||||
| 12 | Neenah Paper, Inc. | 632 | ||||||
| 28 | PH Glatfelter Co. | 740 | ||||||
| 56 | Schweitzer-Mauduit International, Inc. | 2,425 | ||||||
|
| |||||||
| 11,801 | ||||||||
|
| |||||||
Total Materials | 102,683 | |||||||
|
| |||||||
Telecommunication Services — 0.5% | ||||||||
Diversified Telecommunication Services — 0.5% |
| |||||||
| 24 | Atlantic Tele-Network, Inc. | 1,399 | ||||||
| 197 | Cbeyond, Inc. (a) | 1,957 | ||||||
| 98 | tw telecom, inc. (a) | 3,957 | ||||||
|
| |||||||
| 7,313 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.0% (g) |
| |||||||
| 10 | NTELOS Holdings Corp. | 126 | ||||||
|
| |||||||
Total Telecommunication Services | 7,439 | |||||||
|
| |||||||
Utilities — 4.6% | ||||||||
Electric Utilities — 1.3% |
| |||||||
| 55 | El Paso Electric Co. | 2,207 | ||||||
| 196 | Great Plains Energy, Inc. | 5,266 | ||||||
| 129 | Hawaiian Electric Industries, Inc. | 3,256 | ||||||
| 58 | IDACORP, Inc. | 3,358 | ||||||
| 89 | OGE Energy Corp. | 3,491 | ||||||
| 90 | PNM Resources, Inc. | 2,654 | ||||||
| 2 | UNS Energy Corp. | 139 | ||||||
|
| |||||||
| 20,371 | ||||||||
|
| |||||||
Gas Utilities — 1.8% | ||||||||
| 135 | Atmos Energy Corp. | 7,196 | ||||||
| 15 | Laclede Group, Inc. (The) | 711 | ||||||
| 21 | National Fuel Gas Co. | 1,631 | ||||||
| 86 | New Jersey Resources Corp. | 4,914 | ||||||
| 6 | Northwest Natural Gas Co. | 279 | ||||||
| 143 | Questar Corp. | 3,554 | ||||||
| 40 | Southwest Gas Corp. | 2,094 | ||||||
| 164 | UGI Corp. | 8,283 | ||||||
| 6 | WGL Holdings, Inc. | 254 | ||||||
|
| |||||||
| 28,916 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 23 | ||||||
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Multi-Utilities — 1.4% | ||||||||
| 72 | Alliant Energy Corp. | 4,361 | ||||||
| 59 | Avista Corp. | 1,975 | ||||||
| 60 | Black Hills Corp. | 3,667 | ||||||
| 151 | MDU Resources Group, Inc. | 5,297 | ||||||
| 25 | NorthWestern Corp. | 1,312 | ||||||
| 124 | Vectren Corp. | 5,265 | ||||||
|
| |||||||
| 21,877 | ||||||||
|
| |||||||
Water Utilities — 0.1% | ||||||||
| 25 | American States Water Co. | 835 | ||||||
|
| |||||||
Total Utilities | 71,999 | |||||||
|
| |||||||
Total Common Stocks | 1,520,290 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | VALUE($) | |||||||
| U.S. Treasury Obligation — 0.2% |
| ||||||
| 3,550 | U.S. Treasury Note, 0.250%, 11/30/14 (k) | 3,552 | ||||||
|
| |||||||
| SHARES | ||||||||
| Short-Term Investment — 3.0% |
| ||||||
Investment Company — 3.0% |
| |||||||
| 46,170 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, | 46,170 | ||||||
|
| |||||||
Total Investments — 100.4% | 1,570,012 | |||||||
Liabilities in Excess of | (5,984 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,564,028 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 98 | E-mini Russell 2000 | 09/19/14 | $ | 11,665 | $ | 286 | ||||||||||
| 245 | S&P Mid Cap 400 | 09/19/14 | 35,018 | 655 | ||||||||||||
|
| |||||||||||||||
| $ | 941 | |||||||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
J.P. Morgan Equity Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
| (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. | |
| (g) | — Amount rounds to less than 0.1% | |
| (h) | — Amount rounds to less than one thousand (shares or dollars). | |
| (i) | — Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell. | |
| (k) | — All or a portion of this security is deposited with the broker as collateral for futures or with brokers as initial margin for futures contracts. |
| (l) | — The rate shown is the current yield as of June 30, 2014. | |
| (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 which is a security in the Fund’s index. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 25 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014
(Amounts in thousands, except per share amounts)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
ASSETS: |
| |||||||
Investments in non-affiliates, at value | $ | 1,867,758 | $ | 1,523,842 | ||||
Investments in affiliates, at value | 41,347 | 46,170 | ||||||
|
|
|
| |||||
Total investment securities, at value | 1,909,105 | 1,570,012 | ||||||
Receivables: | ||||||||
Fund shares sold | 2,126 | 436 | ||||||
Interest and dividends from non-affiliates | 2,014 | 1,221 | ||||||
Dividends from affiliates | — | (a) | 1 | |||||
Variation margin on futures contracts | 2 | 263 | ||||||
|
|
|
| |||||
Total Assets | 1,913,247 | 1,571,933 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Distributions | 863 | 1,938 | ||||||
Investment securities purchased | 1,571 | — | ||||||
Fund shares redeemed | 7,220 | 5,250 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 97 | 310 | ||||||
Administration fees | 129 | 106 | ||||||
Shareholder servicing fees | 18 | 96 | ||||||
Distribution fees | 195 | 42 | ||||||
Custodian and accounting fees | 47 | 41 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 2 | — | (a) | |||||
Other | 367 | 122 | ||||||
|
|
|
| |||||
Total Liabilities | 10,509 | 7,905 | ||||||
|
|
|
| |||||
Net Assets | $ | 1,902,738 | $ | 1,564,028 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
NET ASSETS: |
| |||||||
Paid-in-Capital | $ | 550,819 | $ | 943,721 | ||||
Accumulated undistributed (distributions in excess of) net investment income | 532 | (159 | ) | |||||
Accumulated net realized gains (losses) | 74,773 | 99,099 | ||||||
Net unrealized appreciation (depreciation) | 1,276,614 | 521,367 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 1,902,738 | $ | 1,564,028 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 694,974 | $ | 116,727 | ||||
Class B | 9,943 | 1,295 | ||||||
Class C | 77,644 | 23,248 | ||||||
Class R2 | — | 8,821 | ||||||
Select Class | 1,120,177 | 1,413,937 | ||||||
|
|
|
| |||||
Total | $ | 1,902,738 | $ | 1,564,028 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 16,570 | 8,431 | ||||||
Class B | 238 | 98 | ||||||
Class C | 1,861 | 1,848 | ||||||
Class R2 | — | 642 | ||||||
Select Class | 26,696 | 101,450 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 41.94 | $ | 13.85 | ||||
Class B — Offering price per share (b) | 41.81 | 13.25 | ||||||
Class C — Offering price per share (b) | 41.72 | 12.58 | ||||||
Class R2 — Offering and redemption price per share | — | 13.74 | ||||||
Select Class—Offering and redemption price per share | 41.96 | 13.94 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 44.26 | $ | 14.62 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 605,428 | $ | 1,003,416 | ||||
Cost of investments in affiliates | 27,100 | 46,170 | ||||||
| (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, 2014 | J.P. MORGAN EQUITY FUNDS | 27 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2014
(Amounts in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
INVESTMENT INCOME: |
| |||||||
Interest income from non-affiliates | $ | — | $ | 3 | ||||
Dividend income from non-affiliates | 38,685 | 20,603 | ||||||
Dividend income from affiliates | 681 | 11 | ||||||
|
|
|
| |||||
Total investment income | 39,366 | 20,617 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 4,725 | 3,789 | ||||||
Administration fees | 1,580 | 1,267 | ||||||
Distribution fees: | ||||||||
Class A | 1,624 | 258 | ||||||
Class B | 85 | 13 | ||||||
Class C | 514 | 163 | ||||||
Class R2 | — | 41 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 1,624 | 258 | ||||||
Class B | 28 | 4 | ||||||
Class C | 171 | 55 | ||||||
Class R2 | — | 21 | ||||||
Select Class | 2,901 | 3,451 | ||||||
Custodian and accounting fees | 82 | 81 | ||||||
Interest expense to affiliates | 2 | — | ||||||
Professional fees | 55 | 53 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 15 | 16 | ||||||
Printing and mailing costs | 103 | 37 | ||||||
Registration and filing fees | 98 | 85 | ||||||
Transfer agent fees | 1,080 | 297 | ||||||
Other | 40 | 33 | ||||||
|
|
|
| |||||
Total expenses | 14,727 | 9,922 | ||||||
|
|
|
| |||||
Less amounts waived | (8,553 | ) | (2,807 | ) | ||||
Net expenses | 6,174 | 7,115 | ||||||
|
|
|
| |||||
Net investment income (loss) | 33,192 | 13,502 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 149,503 | 147,929 | ||||||
Investments in affiliate | 1,349 | — | ||||||
Futures | 3,393 | 8,495 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 154,245 | 156,424 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation of: | ||||||||
Investments in non-affiliates | 217,588 | 167,796 | ||||||
Investments in affiliates | 879 | — | ||||||
Futures | 90 | 523 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 218,557 | 168,319 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 372,802 | 324,743 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 405,994 | $ | 338,245 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 33,192 | $ | 35,349 | $ | 13,502 | $ | 15,361 | ||||||||
Net realized gain (loss) | 154,245 | 161,062 | 156,424 | 105,347 | ||||||||||||
Change in net unrealized appreciation/depreciation | 218,557 | 130,385 | 168,319 | 181,344 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 405,994 | 326,796 | 338,245 | 302,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (10,480 | ) | (10,338 | ) | (655 | ) | (718 | ) | ||||||||
From net realized gains | (36,634 | ) | — | (8,467 | ) | (3,661 | ) | |||||||||
Class B | ||||||||||||||||
From net investment income | (93 | ) | (149 | ) | (1 | ) | (10 | ) | ||||||||
From net realized gains | (660 | ) | — | (157 | ) | (147 | ) | |||||||||
Class C | ||||||||||||||||
From net investment income | (632 | ) | (616 | ) | (36 | ) | (80 | ) | ||||||||
From net realized gains | (3,829 | ) | — | (2,140 | ) | (812 | ) | |||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (34 | ) | (46 | ) | ||||||||||
From net realized gains | — | — | (695 | ) | (297 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (20,849 | ) | (24,117 | ) | (11,470 | ) | (14,476 | ) | ||||||||
From net realized gains | (67,445 | ) | — | (116,316 | ) | (62,228 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (140,622 | ) | (35,220 | ) | (139,971 | ) | (82,475 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (107,430 | ) | (316,991 | ) | (40,847 | ) | 3,452 | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 157,942 | (25,415 | ) | 157,427 | 223,029 | |||||||||||
Beginning of period | 1,744,796 | 1,770,211 | 1,406,601 | 1,183,572 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,902,738 | $ | 1,744,796 | $ | 1,564,028 | $ | 1,406,601 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 532 | $ | 153 | $ | (159 | ) | $ | (1,259 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 29 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 157,276 | $ | 121,369 | $ | 38,319 | $ | 26,208 | ||||||||
Distributions reinvested | 46,773 | 10,250 | 7,941 | 3,719 | ||||||||||||
Cost of shares redeemed | (186,244 | ) | (154,592 | ) | (26,950 | ) | (20,528 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 17,805 | $ | (22,973 | ) | $ | 19,310 | $ | 9,399 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 167 | $ | 61 | $ | 49 | $ | 26 | ||||||||
Distributions reinvested | 727 | 144 | 147 | 145 | ||||||||||||
Cost of shares redeemed | (4,693 | ) | (5,651 | ) | (1,208 | ) | (2,146 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (3,799 | ) | $ | (5,446 | ) | $ | (1,012 | ) | $ | (1,975 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 17,522 | $ | 14,986 | $ | 9,602 | $ | 6,159 | ||||||||
Distributions reinvested | 3,292 | 442 | 1,832 | 731 | ||||||||||||
Cost of shares redeemed | (11,596 | ) | (10,856 | ) | (7,080 | ) | (4,916 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 9,218 | $ | 4,572 | $ | 4,354 | $ | 1,974 | ||||||||
|
|
|
| �� |
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 3,276 | $ | 2,754 | ||||||||
Distributions reinvested | — | — | 432 | 170 | ||||||||||||
Cost of shares redeemed | — | — | (2,914 | ) | (1,371 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | 794 | $ | 1,553 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 265,208 | $ | 222,766 | $ | 138,770 | $ | 221,548 | ||||||||
Distributions reinvested | 75,199 | 20,534 | 57,709 | 26,158 | ||||||||||||
Cost of shares redeemed | (471,061 | ) | (536,444 | ) | (260,772 | ) | (255,205 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (130,654 | ) | $ | (293,144 | ) | $ | (64,293 | ) | $ | (7,499 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (107,430 | ) | $ | (316,991 | ) | $ | (40,847 | ) | $ | 3,452 | |||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 3,983 | 3,581 | 2,921 | 2,300 | ||||||||||||
Reinvested | 1,215 | 300 | 633 | 354 | ||||||||||||
Redeemed | (4,712 | ) | (4,625 | ) | (2,049 | ) | (1,817 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 486 | (744 | ) | 1,505 | 837 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | 5 | 2 | 4 | 2 | ||||||||||||
Reinvested | 19 | 4 | 12 | 15 | ||||||||||||
Redeemed | (120 | ) | (171 | ) | (96 | ) | �� | (202 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (96 | ) | (165 | ) | (80 | ) | (185 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 448 | 443 | 793 | 590 | ||||||||||||
Reinvested | 86 | 13 | 161 | 76 | ||||||||||||
Redeemed | (295 | ) | (322 | ) | (594 | ) | (470 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 239 | 134 | 360 | 196 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 252 | 250 | ||||||||||||
Reinvested | — | — | 35 | 16 | ||||||||||||
Redeemed | — | — | (223 | ) | (124 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | 64 | 142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 6,769 | 6,634 | 10,623 | 19,837 | ||||||||||||
Reinvested | 1,953 | 603 | 4,568 | 2,495 | ||||||||||||
Redeemed | (11,881 | ) | (15,824 | ) | (19,655 | ) | (22,524 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (3,159 | ) | (8,587 | ) | (4,464 | ) | (192 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 31 | ||||||
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 | ||||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 36.43 | $ | 0.64 | (d) | $ | 7.78 | $ | 8.42 | $ | (0.63 | ) | $ | (2.28 | ) | $ | (2.91 | ) | ||||||||||
Year Ended June 30, 2013 | 30.92 | 0.63 | (d) | 5.52 | 6.15 | (0.64 | ) | — | (0.64 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 29.96 | 0.51 | (d) | 0.96 | 1.47 | (0.51 | ) | — | (0.51 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.40 | 0.45 | (d) | 6.56 | 7.01 | (0.45 | ) | — | (0.45 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.90 | 0.45 | (d) | 2.49 | 2.94 | (0.44 | ) | — | (0.44 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 36.33 | 0.35 | (d) | 7.74 | 8.09 | (0.33 | ) | (2.28 | ) | (2.61 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 30.83 | 0.37 | (d) | 5.51 | 5.88 | (0.38 | ) | — | (0.38 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 29.88 | 0.29 | (d) | 0.94 | 1.23 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.34 | 0.24 | (d) | 6.54 | 6.78 | (0.24 | ) | — | (0.24 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.84 | 0.26 | (d) | 2.49 | 2.75 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 36.28 | 0.35 | (d) | 7.73 | 8.08 | (0.36 | ) | (2.28 | ) | (2.64 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 30.81 | 0.37 | (d) | 5.50 | 5.87 | (0.40 | ) | — | (0.40 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 29.87 | 0.29 | (d) | 0.94 | 1.23 | (0.29 | ) | — | (0.29 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.34 | 0.24 | (d) | 6.54 | 6.78 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.84 | 0.26 | (d) | 2.49 | 2.75 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 36.44 | 0.74 | (d) | 7.79 | 8.53 | (0.73 | ) | (2.28 | ) | (3.01 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 30.92 | 0.71 | (d) | 5.53 | 6.24 | (0.72 | ) | — | (0.72 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 29.97 | 0.58 | (d) | 0.95 | 1.53 | (0.58 | ) | — | (0.58 | ) | ||||||||||||||||||
Year Ended June 30, 2011 | 23.40 | 0.52 | (d) | 6.57 | 7.09 | (0.52 | ) | — | (0.52 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 20.90 | 0.51 | (d) | 2.49 | 3.00 | (0.50 | ) | — | (0.50 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 41.94 | 23.95 | % | $ | 694,974 | 0.45 | % | 1.63 | % | 0.91 | % | 5 | % | |||||||||||||
| 36.43 | 20.04 | 585,946 | 0.45 | 1.86 | 0.94 | 4 | ||||||||||||||||||||
| 30.92 | 5.03 | 520,294 | 0.45 | 1.74 | 0.94 | 7 | ||||||||||||||||||||
| 29.96 | 30.09 | 540,743 | 0.45 | 1.63 | 0.94 | 7 | ||||||||||||||||||||
| 23.40 | 13.96 | 491,906 | 0.45 | 1.80 | 0.96 | 8 | ||||||||||||||||||||
| 41.81 | 23.01 | 9,943 | 1.20 | 0.88 | 1.41 | 5 | ||||||||||||||||||||
| 36.33 | 19.17 | 12,142 | 1.20 | 1.11 | 1.44 | 4 | ||||||||||||||||||||
| 30.83 | 4.20 | 15,380 | 1.20 | 0.99 | 1.44 | 7 | ||||||||||||||||||||
| 29.88 | 29.10 | 21,922 | 1.20 | 0.88 | 1.44 | 7 | ||||||||||||||||||||
| 23.34 | 13.12 | 27,677 | 1.20 | 1.07 | 1.46 | 8 | ||||||||||||||||||||
| 41.72 | 23.01 | 77,644 | 1.20 | 0.88 | 1.41 | 5 | ||||||||||||||||||||
| 36.28 | 19.16 | 58,831 | 1.20 | 1.10 | 1.45 | 4 | ||||||||||||||||||||
| 30.81 | 4.21 | 45,854 | 1.20 | 0.99 | 1.44 | 7 | ||||||||||||||||||||
| 29.87 | 29.11 | 49,126 | 1.20 | 0.88 | 1.44 | 7 | ||||||||||||||||||||
| 23.34 | 13.14 | 42,819 | 1.20 | 1.06 | 1.46 | 8 | ||||||||||||||||||||
| 41.96 | 24.27 | 1,120,177 | 0.20 | 1.89 | 0.66 | 5 | ||||||||||||||||||||
| 36.44 | 20.35 | 1,087,877 | 0.20 | 2.11 | 0.69 | 4 | ||||||||||||||||||||
| 30.92 | 5.26 | 1,188,683 | 0.20 | 1.99 | 0.69 | 7 | ||||||||||||||||||||
| 29.97 | 30.45 | 1,281,370 | 0.20 | 1.87 | 0.69 | 7 | ||||||||||||||||||||
| 23.40 | 14.24 | 1,001,783 | 0.20 | 2.05 | 0.71 | 8 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 33 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 12.17 | $ | 0.09 | (d)(e) | $ | 2.81 | $ | 2.90 | $ | (0.08 | ) | $ | (1.14 | ) | $ | (1.22 | ) | ||||||||||
Year Ended June 30, 2013 | 10.32 | 0.11 | (d)(f) | 2.45 | 2.56 | (0.11 | ) | (0.60 | ) | (0.71 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.52 | 0.07 | (d) | (0.42 | ) | (0.35 | ) | (0.07 | ) | (0.78 | ) | (0.85 | ) | |||||||||||||||
Year Ended June 30, 2011 | 8.42 | 0.05 | (d) | 3.11 | 3.16 | (0.06 | ) | — | (0.06 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.88 | 0.06 | (d) | 1.55 | 1.61 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.70 | — | (d)(e)(g) | 2.70 | 2.70 | (0.01 | ) | (1.14 | ) | (1.15 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.95 | 0.03 | (d)(f) | 2.36 | 2.39 | (0.04 | ) | (0.60 | ) | (0.64 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.16 | (0.01 | )(d) | (0.41 | ) | (0.42 | ) | (0.01 | ) | (0.78 | ) | (0.79 | ) | |||||||||||||||
Year Ended June 30, 2011 | 8.18 | (0.02 | )(d) | 3.02 | 3.00 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.70 | — | (d)(g) | 1.49 | 1.49 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 11.18 | — | (d)(e)(g) | 2.56 | 2.56 | (0.02 | ) | (1.14 | ) | (1.16 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 9.55 | 0.03 | (d)(f) | 2.25 | 2.28 | (0.05 | ) | (0.60 | ) | (0.65 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 10.74 | (0.01 | )(d) | (0.39 | ) | (0.40 | ) | (0.01 | ) | (0.78 | ) | (0.79 | ) | |||||||||||||||
Year Ended June 30, 2011 | 7.88 | (0.02 | )(d) | 2.90 | 2.88 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.45 | — | (d)(g) | 1.44 | 1.44 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.09 | 0.06 | (d)(e) | 2.78 | 2.84 | (0.05 | ) | (1.14 | ) | (1.19 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.25 | 0.08 | (d)(f) | 2.44 | 2.52 | (0.08 | ) | (0.60 | ) | (0.68 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.46 | 0.03 | (d) | (0.42 | ) | (0.39 | ) | (0.04 | ) | (0.78 | ) | (0.82 | ) | |||||||||||||||
Year Ended June 30, 2011 | 8.39 | 0.01 | (d) | 3.09 | 3.10 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.87 | 0.02 | (d) | 1.55 | 1.57 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 12.24 | 0.12 | (d)(e) | 2.83 | 2.95 | (0.11 | ) | (1.14 | ) | (1.25 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 10.37 | 0.14 | (d)(f) | 2.46 | 2.60 | (0.13 | ) | (0.60 | ) | (0.73 | ) | |||||||||||||||||
Year Ended June 30, 2012 | 11.57 | 0.09 | (d) | (0.42 | ) | (0.33 | ) | (0.09 | ) | (0.78 | ) | (0.87 | ) | |||||||||||||||
Year Ended June 30, 2011 | 8.45 | 0.08 | (d) | 3.11 | 3.19 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 6.91 | 0.09 | (d) | 1.54 | 1.63 | (0.09 | ) | — | (0.09 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share remained the same for Class A, Class B, Class C, Class R2 and Select Class Shares and the net investment income (loss) ratio would have been 0.65%, (0.03)%, (0.03)%, 0.42% and 0.90% for Class A, Class B, Class C, Class R2 and Select Class Shares, respectively. |
| (f) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.09, $0.02, $0.01, $0.06 and $0.12 for Class A, Class B, Class C, Class R2 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.82%, 0.15%, 0.13%, 0.58% and 1.07% for Class A, Class B, Class C, Class R2 and Select Class Shares, respectively. |
| (g) | Amount rounds to less than $0.01. |
| (h) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 13.85 | 24.96 | % | $ | 116,727 | 0.69 | % | 0.68 | %(e) | 0.87 | % | 25 | % | |||||||||||||
| 12.17 | 25.91 | 84,296 | 0.69 | 0.95 | 0.88 | (f) | 51 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.25 | 24.18 | 1,295 | 1.35 | — | (e)(h) | 1.37 | 25 | |||||||||||||||||||
| 11.70 | 25.11 | 2,082 | 1.36 | 0.28 | 1.38 | (f) | 51 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 12.58 | 24.03 | 23,248 | 1.37 | — | (e)(h) | 1.37 | 25 | |||||||||||||||||||
| 11.18 | 25.07 | 16,636 | 1.37 | 0.27 | 1.38 | (f) | 51 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.74 | 24.60 | 8,821 | 0.92 | 0.45 | (e) | 1.12 | 25 | |||||||||||||||||||
| 12.09 | 25.72 | 6,985 | 0.93 | 0.72 | 1.13 | (f) | 51 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.94 | 25.26 | 1,413,937 | 0.44 | 0.92 | (e) | 0.62 | 25 | |||||||||||||||||||
| 12.24 | 26.26 | 1,296,602 | 0.44 | 1.21 | 0.63 | (f) | 51 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 35 | ||||||
Table of Contents
AS OF JUNE 30, 2014
1. Organization
JPMorgan Trust II (“JPM II” or the “Trust”) was formed on November 12, 2004, as a Delaware statutory trust, pursuant to a Declaration of Trust dated November 5, 2004 and is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company.
The following are 2 separate funds of the Trust (collectively, the “Funds”) covered by this report:
| Classes Offered | Diversified/Non-Diversified | |||
| Equity Index Fund | Class A, Class B, Class C and Select Class | Diversified | ||
| Market Expansion Enhanced 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 (“S&P 500 Index”).
The investment objective of the Market Expansion Enhanced Index Fund is to seek to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets. Prior to June 10, 2014, the Fund’s investment objective was to seek to provide a return which substantially duplicated 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 and the Standard & Poor’s MidCap 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 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 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 Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — 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. Securities listed on the NASDAQ Stock Market LLC are generally valued at 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 pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers 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 pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair 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 fair value. Investments in open-end investment companies are valued at each investment company’s net asset value per share (“NAV”) as of the report date.
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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.
Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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
| 36 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
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”) has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups and the Funds’ Chief Compliance Officer. 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 employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The 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 for discussing and assessing 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 is 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 the 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) | $ | 1,908,850 | $ | 255 | $ | — | $ | 1,909,105 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 37 | $ | — | $ | — | $ | 37 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Market Expansion Enhanced 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 | $ | 190,776 | $ | — | $ | — | $ | 190,776 | ||||||||
Consumer Staples | 58,195 | — | — | 58,195 | ||||||||||||
Energy | 91,790 | — | — | 91,790 | ||||||||||||
Financials | 334,052 | — | — | 334,052 | ||||||||||||
Health Care | 143,740 | — | — | 143,740 | ||||||||||||
Industrials | 259,448 | — | — | 259,448 | ||||||||||||
Information Technology | 260,168 | — | — | (b) | 260,168 | |||||||||||
Materials | 102,683 | — | — | 102,683 | ||||||||||||
Telecommunication Services | 7,439 | — | — | 7,439 | ||||||||||||
Utilities | 71,999 | — | — | 71,999 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,520,290 | — | — | (b) | 1,520,290 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 37 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
| Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Debt Securities | ||||||||||||||||
U.S. Treasury Obligation | $ | — | $ | 3,552 | $ | — | $ | 3,552 | ||||||||
Short-Term Investment | ||||||||||||||||
Investment Company | 46,170 | — | — | 46,170 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,566,460 | $ | 3,552 | $ | — | (b) | $ | 1,570,012 | |||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 941 | $ | — | $ | — | $ | 941 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Level 2 consists of a U.S. Treasury Bill. Please refer to the SOIs for industry specifics of portfolio holdings. |
| (b) | Value is zero. |
There were no transfers among any levels during the year ended June 30, 2014.
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. Illiquid securities are securities which cannot be disposed of promptly (within seven days) and in the usual course of business at approximately their fair value and include, but are 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. As of June 30, 2014, the Funds had no investments in restricted securities.
The following is the value and percentage of net assets of illiquid securities as of June 30, 2014 (amounts in thousands):
| Value | Percentage | |||||||
Market Expansion Enhanced Index Fund | $ | — | (a) | — | % | |||
| (a) | Value is zero. |
C. Futures Contracts — The Funds use index futures contracts to gain or reduce exposure to their respective indices, 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 are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation 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 positions.
| 38 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2014 (amounts in thousands):
| Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
Futures Contracts: | ||||||||
Average Notional Balance Long | $ | 18,233 | $ | 41,382 | ||||
Ending Notional Balance Long | 11,812 | 46,683 | ||||||
The Funds’ futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty, and net amounts owed or due across transactions).
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 financial statements, the Funds assume the following to be affiliated issuers (amounts in thousands):
| For the year ended June 30, 2014 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2013 | Purchase Cost | Sales Proceeds | Realized Gain (Loss) | Dividend Income | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||||||
JPMorgan Chase & Co. (common stock)* | $ | 24,099 | $ | 570 | $ | 3,214 | $ | 1,349 | $ | 676 | 411 | $ | 23,682 | |||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 16,563 | 259,657 | 258,555 | — | 5 | 17,665 | 17,665 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 40,662 | $ | 1,349 | $ | 681 | $ | 41,347 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| For the year ended June 30, 2014 | ||||||||||||||||||||||||||||
| Affiliate | Value at June 30, 2013 | Purchase Cost | Sales Proceeds | Realized Gain(Loss) | Dividend Income | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | $ | 26,886 | $ | 230,974 | $ | 211,690 | $ | — | $ | 11 | 46,170 | $ | 46,170 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 26,886 | $ | — | $ | 11 | $ | 46,170 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
| * | Investment in affiliate which is a security in the Fund’s Index. |
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.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
F. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV 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.
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 capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
H. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly and 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
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 39 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Equity Index Fund | $ | — | $ | (759 | ) | $ | 759 | |||||
| Market Expansion Enhanced Index Fund | (3 | ) | (206 | ) | 209 | |||||||
The reclassifications for the Funds relate primarily to investments in real estate investment trusts and non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each 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 each Fund’s average daily net assets.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, 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 accrued daily and paid monthly at an 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 covered by the Administration Agreement (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, 2014, the effective rate was 0.08% 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, 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 Enhanced 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, 2014, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 41 | $ | 3 | ||||
Market Expansion Enhanced Index Fund | 21 | — | (a) | |||||
| (a) | Amount rounds to less than $1,000. |
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 accrued 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.
| 40 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
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E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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. Payments to the custodian 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 expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, 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 Enhanced Index Fund | 0.69 | 1.39 | 1.39 | 0.92 | % | 0.44 | ||||||||||||||
The expense limitation agreements were in effect for the year ended June 30, 2014. The contractual expense limitation percentages in the table above are in place until at least October 31, 2014. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2014. 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, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect 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 | $ | 2,678 | $ | 1,319 | $ | 4,525 | $ | 8,522 | ||||||||
Market Expansion Enhanced Index Fund | 12 | — | 2,726 | 2,738 | ||||||||||||
| Voluntary Waivers | ||||||||||||
| Investment Advisory | Shareholder Servicing | Total | ||||||||||
Market Expansion Enhanced Index Fund | $ | 1 | $ | 1 | $ | 2 | ||||||
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, 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, 2014 was as follows (amounts in thousands):
Equity Index Fund | $ | 31 | ||
Market Expansion Enhanced Index Fund | 67 | |||
G. Other — Certain officers of the Trust are affiliated with the Adviser, 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, 2014, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Funds may use related party broker-dealers. For the year ended June 30, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 41 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
4. Investment Transactions
During the year ended June 30, 2014, 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 | |||||||||||||
Equity Index Fund | $ | 94,436 | $ | 302,743 | $ | — | $ | — | ||||||||
Market Expansion Enhanced Index Fund | 362,319 | 536,998 | 3,554 | 2,165 | ||||||||||||
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, 2014 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Index Fund | $ | 685,283 | $ | 1,233,968 | $ | 10,146 | $ | 1,223,822 | ||||||||
Market Expansion Enhanced Index Fund | 1,056,791 | 527,976 | 14,755 | 513,221 | ||||||||||||
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 year ended June 30, 2014 was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 33,569 | $ | 107,053 | $ | 140,622 | ||||||
Market Expansion Enhanced Index Fund | 21,480 | 118,491 | 139,971 | |||||||||
The tax character of distributions paid during the year ended June 30, 2013 was as follows (amounts in thousands):
Ordinary Income | Net Long Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 35,220 | $ | — | $ | 35,220 | ||||||
Market Expansion Enhanced Index Fund | 15,330 | 67,145 | 82,475 | |||||||||
As of June 30, 2014, 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) | ||||||||||
Equity Index Fund | $ | 3,693 | $ | 125,324 | $ | 1,223,822 | ||||||
| Market Expansion Enhanced Index Fund | 5,866 | 103,183 | 513,221 | |||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals, distributions payable and mark to market of futures contracts.
As of June 30, 2014, the Funds did not have any net capital loss carryforwards.
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “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 the Funds and the series of JPMorgan Trust II are all 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
| 42 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
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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 10, 2014.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2014. Average borrowings from the Facility for the year ended June 30, 2014, were as follows (amounts in thousands):
| Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Equity Index Fund | $ | 41,064 | 0.19 | % | 7 | $ | 2 | |||||||||
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. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Fund’s assets for the Market Expansion Enhanced Index Fund.
In addition, as of June 30, 2014, the J.P. Morgan Investor Funds, which are affiliated funds of funds, own in the aggregate approximately 31.6% of the net assets of Market Expansion Enhanced Index Fund.
Significant shareholder transactions by these shareholders may impact the Fund’s performance.
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 43 | ||||||
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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 Enhanced 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 Enhanced Index Fund (each a separate fund of JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) at June 30, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 22, 2014
| 44 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
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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 | ||||||
| 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). | 166 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 166 | Trustee, Museum of Jewish Heritage (2011-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). | 166 | 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). | 166 | None | |||
| Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 166 | None | |||
| 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). | 166 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 166 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 166 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the 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). | 166 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). | |||
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 45 | ||||||
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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) | ||||||
| Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 166 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, 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). | 166 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony 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). | 166 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
| Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 166 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| (1) | The Trustees serve 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 Mr. Morton should continue to serve until December 31, 2014. In order to fill the vacancies created by the retirement of Fergus Reid, III, William J. Armstrong, and Leonard J. Spalding Jr., effective December 31, 2012, the Board appointed Ms. Martinez and Mr. Merin to serve as Trustees effective January 1, 2013 and Ms. Pardo to serve as Trustee effective February 1, 2013. |
| (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 adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (166 funds), including JPMorgan Mutual Fund Group which liquidated effective November 29, 2012 and is in the process of winding up its affairs. |
| * | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
| ** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
| *** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 46 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
| 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. | |
Annik Pastore (1966), | Executive Director and Global Financial Crime Compliance Officer for JPMorgan Global Investment Management for the U.S. and EMEA since 2012, AML officer for various JPMAM lines of business from 2007-2012. | |
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) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly 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. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 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. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). | |
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 60 Victoria Embankment, Floor 06, London, EC4Y 0JP, United Kingdom. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| *** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004-2413. |
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 47 | ||||||
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 (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, 2014, and continued to hold your shares at the end of the reporting period, June 30 2014.
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, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.40 | $ | 2.31 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,064.40 | 6.14 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,064.30 | 6.14 | 1.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.84 | 6.01 | 1.20 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,069.70 | 1.03 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,065.50 | 3.48 | 0.68 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.41 | 0.68 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,062.00 | 6.95 | 1.36 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.05 | 6.81 | 1.36 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,061.30 | 6.95 | 1.36 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.05 | 6.81 | 1.36 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,064.00 | 4.66 | 0.91 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.28 | 4.56 | 0.91 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,066.40 | 2.20 | 0.43 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.66 | 2.16 | 0.43 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 48 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
The Trust held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the following proposals.
Proposal 1: Election of Trustees
Trustees were elected by the shareholders of all of the series of the Trust, including the Funds. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 132,674,822 | |||
Withheld | 508,692 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 132,670,672 | |||
Withheld | 512,842 | |||
| Robert J. Higgins | ||||
In Favor | 124,038,998 | |||
Withheld | 9,144,516 | |||
| Frankie D. Hughes | ||||
In Favor | 132,681,734 | |||
Withheld | 501,780 | |||
| Peter C. Marshall | ||||
In Favor | 132,663,579 | |||
Withheld | 519,935 | |||
| Mary E. Martinez | ||||
In Favor | 132,682,318 | |||
Withheld | 501,196 | |||
| Marilyn McCoy | ||||
In Favor | 132,681,993 | |||
Withheld | 501,520 | |||
| Mitchell M. Merin | ||||
In Favor | 132,664,715 | |||
Withheld | 518,799 | |||
| William G. Morton, Jr. | ||||
In Favor | 132,650,698 | |||
Withheld | 532,816 | |||
| Votes Received (Amounts in thousands) | ||||
| Robert A. Oden, Jr. | ||||
In Favor | 132,664,727 | |||
Withheld | 518,788 | |||
| Marian U. Pardo | ||||
In Favor | 132,690,792 | |||
Withheld | 492,722 | |||
| Frederick W. Ruebeck | ||||
In Favor | 132,644,244 | |||
Withheld | 539,269 | |||
| James J. Schonbachler | ||||
In Favor | 132,671,281 | |||
Withheld | 512,233 | |||
Proposal 2: To approve the replacement of the fundamental investment objective for the Market Expansion Enhanced Index Fund with a new fundamental investment objective. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
For | 92,886 | |||
Against | 79 | |||
Abstain | 34 | |||
Broker Non Votes | 7,925 | |||
| JUNE 30, 2014 | J.P. MORGAN EQUITY FUNDS | 49 | ||||||
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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, 2014. 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, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.
Dividends Received Deductions (DRD)
Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2014:
| Dividends Received Deduction | ||||
Equity Index Fund | 100.00 | % | ||
Market Expansion Enhanced Index Fund | 90.92 | % | ||
Long Term Capital Gain
Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Equity Index Fund | $ | 107,053 | ||
Market Expansion Enhanced Index Fund | 118,491 | |||
Qualified Dividend Income (QDI)
Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Qualified Dividend Income | ||||
Equity Index Fund | $ | 33,569 | ||
Market Expansion Enhanced Index Fund | 21,480 | |||
| 50 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2014 | ||||
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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 on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. 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 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., 2014. All rights reserved. June 2014. | AN-INDEX-614 |
Table of Contents
Annual Report
J.P. Morgan Investor Funds
June 30, 2014
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
Table of Contents
| CEO’s Letter | 1 | |||
| Fund Facts | 2 | |||
| Funds Commentary | 3 | |||
| Schedules of Portfolio Investments | 9 | |||
| Financial Statements | 14 | |||
| Financial Highlights | 22 | |||
| Notes to Financial Statements | 30 | |||
| Report of Independent Registered Public Accounting Firm | 41 | |||
| Trustees | 42 | |||
| Officers | 44 | |||
| Schedule of Shareholder Expenses | 45 | |||
| Special Shareholder Meeting Results | 47 | |||
| Tax Letter | 48 | |||
Privacy Notice — Located at the back of this Annual Report | ||||
Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on 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 31, 2014 (Unaudited)
Dear Shareholder:
The economic recovery strengthened over the past year and financial markets in the U.S. withstood periodic volatility to end the period with robust returns. Throughout the 12 months ended June 30, 2014, major central banks continued to provide economic stimulus through closely aligned policies of historically low interest rates. During this period, the U.S. unemployment rate fell to 6.09% from 7.54%. While there were discrete sell-offs in U.S. Treasury bonds, emerging market equities and U.S. small cap stocks, by the end of the period each of these market segments had largely recovered along with broader bond and equity markets.
 |
“The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their investments.” |
Financial markets were firmly focused on the U.S. Federal Reserve Bank (the “Fed”) and its policy decisions and pronouncements. At the start of the period, the Fed was purchasing $85 billion a month of Treasury bonds and mortgage backed securities under its Quantitative Easing (QE) program. However, the Fed’s then-chairman, Ben Bernanke, had signaled the central bank might reduce its monthly purchases if the U.S. economy continued to improve. Bernanke’s remarks were followed by a sell-off in U.S. equities and bonds during the summer of 2013. Equity prices then rebounded and headed higher as a range of U.S. economic data showed steady improvement through the final three months of 2013. The Fed’s announcement in December that it would cut its monthly asset purchases by $10 billion to $75 billion was followed by a sharp sell-off in emerging market assets that drove currency volatility in those markets. While reassuring investors that it would hold down interest rates into 2015, the Fed continued to taper off its QE purchases in $10 billion increments and by the end of the period monthly purchases were down to $45 billion.
The month of December also ushered in a winter of severe weather across much of the U.S. Snowstorms grounded airlines — affecting passengers and parcels alike — and shuttered businesses and schools throughout the country. Consumer spending and construction slowed to a greater extent than was understood at the time. In fact, U.S. gross domestic product shrank by 2.13% during the first three months of 2014. Economists attributed nearly half of that contraction to severe weather.
Signs of slower growth in China raised concerns that the nation’s economy might be in for a “hard landing” that would reverberate through emerging market nations, as well as developed economies. While the Chinese government’s efforts to restrain growth in real estate prices did impact property companies on the mainland as well as in Hong Kong, where the real estate sector makes up a significant portion of the local economy, China’s economy continued to grow at better than 7%.
Following volatility in the initial months of the reporting period, U.S. equity markets rose to record highs in December and, after a brief pause early in 2014, marched steadily higher in the following months, notching 22 record-high closings by the end of June. Volatility virtually disappeared in the final months of the reporting period and the Standard & Poor’s 500 Index (the “S&P 500”) did not move higher or lower by more than 1 percent for 51 consecutive days ended June 30, 2014. The last time the index moved so little was in 1995, when it went 95 days without moving a full percentage point. The Chicago Board Options Exchange Volatility Index ended the period near its lowest level since February 2007. At June 30, 2014, the S&P 500 produced a 12-month return of 24.61% and extended its longest stretch of consecutive quarterly gains in 16 years.
The U.S. bond market had a less stellar year than equities as the Fed’s maintenance of low interest rates held down prices for much of 2013. Bond prices rebounded in 2014, as slower-than-expected domestic growth and instability in emerging markets lifted demand for fixed income securities. The Barclays U.S. Aggregate Index returned 3.93% for the first six months of 2014 and 4.37% for the 12 months ended June 30, 2014.
In Europe, the sovereign debt crisis receded further and by the end of 2013, Ireland became the first nation to exit the European Union (EU) bailout program. Healthy corporate earnings and robust mergers and acquisitions activity bolstered equity markets. While the crisis in Ukraine appeared to have little impact on the EU economy, the European Central Bank (ECB) began to confront the threat of price deflation. In an unprecedented move on June 5, 2014, the ECB President Mario Draghi cut the deposit rate to negative 0.10% from 0.00%, effectively charging European banks for parking excess cash with the ECB. In Japan, Prime Minister Shinzo Abe’s economic policies appeared to be successful in pushing the economy out of a decade of stagnation and price deflation. Japanese equities ended 2013 at their highest levels since 1988. However, as 2014 began, investors grew less confident in “Abenomics” and an April increase in Japan’s consumption tax raised concerns that consumer spending would slow, removing a key support of the nation’s economic growth. The MSCI Europe, Australasia and Far East Index returned 23.57% for the 12 months ended June 30, 2014.
From Turbulence to Turnaround
At the start of the period, emerging markets generally benefited from investors’ global search for yield amid the low interest rate environment engineered by central banks in developed markets. However, a sell-off in emerging markets followed the Fed’s December decision to reduce its monthly asset purchases. Emerging market investors also faced political unrest in Ukraine, Thailand and Turkey, a potential bond default in Argentina, and uncertainty surrounding pending elections in India and Indonesia, two of the world’s largest democracies. Despite the headwinds and perhaps due to the “low for long” message on interest rates from both the Fed and the ECB, emerging markets rebounded and ended at June 30, 2014 with the strongest quarterly performance since 2012. The MSCI Emerging Markets Index returned 14.31% for the year ended June 30, 2014.
The past 12 months witnessed periodic sell-offs in equities and bonds in both developed and emerging markets. Market volatility was driven by comments as well as actions from the Fed and the ECB, along with external events around the globe. As the reporting period unfolded, investors who believed 2013 provided a bumpy ride soon found that 2014 provided its own surprises. However, equity markets — and also fixed income markets to some extent — proved resilient in the face of a variety of shocks and headwinds. The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their 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. If you should 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
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 1 | ||||||
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
Fund | Fund Return* | Barclays 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 6/30/2014 (in thousands) | |||||||||||||||
| JPMorgan Investor Balanced Fund, Class A (No sales charge) | 14.12% | 3.48% | 25.22% | 14% | ** | $ | 5,165,069 | |||||||||||||
| JPMorgan Investor Conservative Growth Fund, Class A (No sales charge) | 10.05% | 3.48% | 25.22% | 9.71% | *** | 4,262,538 | ||||||||||||||
| JPMorgan Investor Growth Fund, Class A (No sales charge) | 21.95% | 3.48% | 25.22% | 22.92% | **** | 2,288,382 | ||||||||||||||
| JPMorgan Investor Growth & Income Fund, Class A (No sales charge) | 17.40% | 3.48% | 25.22% | 18.4% | ***** | 3,094,798 | ||||||||||||||
Portfolio Composition by Asset Class******
Investor Balanced Fund | ||||
| U.S. Equity | 40.3 | % | ||
| Fixed Income | 35.7 | |||
| International Equity | 12.2 | |||
| Alternative Assets | 6.0 | |||
| Money Market | 5.8 | |||
Investor Conservative Growth Fund | ||||
| Fixed Income | 55.2 | % | ||
| U.S. Equity | 25.9 | |||
| International Equity | 7.4 | |||
| Alternative Assets | 6.7 | |||
| Money Market | 4.8 | |||
Investor Growth Fund | ||||
| U.S. Equity | 73.1 | % | ||
| International Equity | 15.3 | |||
| Fixed Income | 7.3 | |||
| Alternative Assets | 2.4 | |||
| Money Market | 1.9 | |||
Investor Growth & Income Fund | ||||
| U.S. Equity | 52.4 | % | ||
| Fixed Income | 22.2 | |||
| International Equity | 16.1 | |||
| Alternative Assets | 5.5 | |||
| Money Market | 3.8 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values 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 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 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 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 U.S. Intermediate Aggregate Index (30%). |
| ****** | Percentages indicated are based on total investments as of June 30, 2014. The Funds’ portfolio composition is subject to change. |
| 2 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2014 (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?
The U.S. equity market performed strongly during the 12 months ended June 30, 2014. While financial market volatility spiked early in the reporting period amid investor uncertainty about the U.S. Federal Reserve Board’s (“Fed”) intent to taper off its monthly asset purchases, equity prices recovered and headed toward record highs at the end of 2013. Corporate profits remained healthy into 2014 and mergers and acquisitions activity increased as companies amassed large cash holdings and/or had access to inexpensive financing in the low-interest rate environment. Further bolstering equities were improving conditions in employment, housing and consumer sentiment. The Standard & Poor’s 500 Index notched seven record high closings in December.
During 2014, investors began to question the strength of the global economy as bond yields across the developed world continued to fall. Adding to investor anxiety were the ongoing tensions between Russia and Ukraine as well as a growing insurgency in Iraq. Equity markets regained their footing in mid-May as economic releases pointed to a lot stronger U.S. economy than the decline in first-quarter gross domestic product number suggested.
Global monetary policy was also supportive of markets, particularly in June as the Fed reinforced continued low levels of interest rates, while the European Central Bank launched a new facility designed to encourage bank lending. Given the backdrop of a dovish Fed, most Treasury yields declined during the quarter as strong demand for fixed income assets outpaced
supply; issuance in most sectors was down from the same period a year ago. The U.S. Treasury yield curve between two- and five-year maturities flattened by 12 basis points, and the yield on the 10-year Treasury note tumbled 19 basis points over the quarter to 2.53%. The yield curve shows the relationship between yields and maturity dates for a set of similar bonds. For the first-half of 2014, corporate bonds performed well, leading to record-low yields. As a result, corporations flocked to the bond market, taking advantage of rock-bottom yields to lower borrowing costs.
WHAT WERE THE MAIN DRIVERS OF THE FUNDS’ PERFORMANCE?
In accordance with their model allocations, each of the JPMorgan Investor Funds (the “Investor Funds”) allocated its assets among fixed income, equity and alternative investments. For the 12 months ended June 30, 2014, each of the Investor Funds outperformed the Barclays U.S. Intermediate Aggregate Index, their broad based fixed income benchmark. In contrast, each of the Investor Funds underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark. This was due to the Funds’ allocation to fixed income securities, which underperformed equity securities during the reporting period.
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 and equity benchmarks. These composite benchmarks correspond to each Investor Fund’s model allocation. The JPMorgan Investor Balanced Fund and the JPMorgan Investor Conservative Growth Fund outperformed their respective composite benchmarks during the reporting period. In contrast, the JPMorgan Investor Growth Fund and the JPMorgan Investor Growth & Income Fund underperformed their respective composite benchmarks.
HOW WERE THE FUNDS POSITIONED?
Each Investor Fund invested in underlying JPMorgan Funds (“underlying funds”). The underlying funds invest 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. Among equities, the underlying funds in which the Investor Funds invested were allocated 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
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 3 | ||||||
Table of Contents
maintained a level of volatility similar to that of each Investor Fund’s composite benchmark.
During the reporting period, the Investor Funds were overweight in risk assets (equities) and underweight in defensive assets (fixed income). Starting in January 2014, the Investor Funds reduced the overweight in risk assets and underweight in defensive assets. Within risk assets, the portfolio was tilted toward equities and, within the defensive assets, the portfolio was tilted away from interest-rate sensitive investments. Over the final nine months of the reporting period, the Investor Funds re-allocated their portfolios from underweight to neutral
in international equity as international equity valuations grew more compelling and the economic outlook improved. As part of their duration management, the Investor Funds were overweight in cash and absolute return strategies. Duration measures the price sensitivity of a bond or a portfolio of bonds to relative changes in interest rates. Generally, bonds with longer duration will experience a larger increase or decrease in price as interest rates go down or up, respectively, versus bonds with shorter duration.
| * | The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
| 4 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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JPMorgan Investor Balanced Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 14.12 | % | 10.84 | % | 6.50 | % | ||||||||
With Sales Charge* | 8.99 | 9.83 | 6.01 | |||||||||||
CLASS B SHARES | December 10, 1996 | |||||||||||||
Without CDSC | 13.54 | 10.27 | 6.02 | |||||||||||
With CDSC** | 8.54 | 9.99 | 6.02 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 13.50 | 10.25 | 5.90 | |||||||||||
With CDSC*** | 12.50 | 10.25 | 5.90 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 14.45 | 11.11 | 6.77 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 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, 2004 to June 30, 2014. 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, if applicable. 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 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 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 Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Barclays 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.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 5 | ||||||
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JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 10.05 | % | 8.37 | % | 5.54 | % | ||||||||
With Sales Charge* | 5.07 | 7.36 | 5.05 | |||||||||||
CLASS B SHARES | December 10, 1996 | |||||||||||||
Without CDSC | 9.43 | 7.80 | 5.06 | |||||||||||
With CDSC** | 4.43 | 7.50 | 5.06 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 9.42 | 7.81 | 4.95 | |||||||||||
With CDSC*** | 8.42 | 7.81 | 4.95 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 10.35 | 8.64 | 5.80 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 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, 2004 to June 30, 2014. 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, if applicable. 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 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 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 Composite Benchmark is comprised of unmanaged indices that correspond to the Fund’s model allocation and consists of the Barclays 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% 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, 2014 | ||||
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JPMorgan Investor Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 21.95 | % | 15.54 | % | 7.48 | % | ||||||||
With Sales Charge* | 16.43 | 14.47 | 6.99 | |||||||||||
CLASS B SHARES | December 10, 1996 | |||||||||||||
Without CDSC | 21.28 | 14.87 | 6.97 | |||||||||||
With CDSC** | 16.28 | 14.64 | 6.97 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 21.30 | 14.89 | 6.86 | |||||||||||
With CDSC*** | 20.30 | 14.89 | 6.86 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 22.25 | 15.81 | 7.74 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 U.S. Intermediate Aggregate Index, the Composite Benchmark and the Lipper Multi-Cap Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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 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 Barclays 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 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.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 7 | ||||||
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JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
Without Sales Charge | 17.40 | % | 13.24 | % | 6.97 | % | ||||||||
With Sales Charge* | 12.09 | 12.19 | 6.48 | |||||||||||
CLASS B SHARES | December 10, 1996 | |||||||||||||
Without CDSC | 16.74 | 12.62 | 6.47 | |||||||||||
With CDSC** | 11.74 | 12.37 | 6.47 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
Without CDSC | 16.72 | 12.61 | 6.35 | |||||||||||
With CDSC*** | 15.72 | 12.61 | 6.35 | |||||||||||
SELECT CLASS SHARES | December 10, 1996 | 17.71 | 13.52 | 7.24 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 U.S. Intermediate Aggregate Index, the Composite Benchmark and the Lipper Mixed-Asset Target Allocation Growth Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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 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 Barclays 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 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 $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Because Class B Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class B reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 6.0% | ||||||||
| 1,836 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 25,995 | ||||||
| 1,240 | JPMorgan Global Natural Resources Fund, Select Class Shares | 13,077 | ||||||
| 16,092 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 162,367 | ||||||
| 6,933 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 107,386 | ||||||
|
| |||||||
Total Alternative Assets | 308,825 | |||||||
|
| |||||||
Fixed Income — 35.7% | ||||||||
| 52,350 | JPMorgan Core Bond Fund, Select Class Shares | 613,016 | ||||||
| 55,838 | JPMorgan Core Plus Bond Fund, Select Class Shares | 467,919 | ||||||
| 2,900 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 25,141 | ||||||
| 4,367 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares (a) | 42,669 | ||||||
| 14,129 | JPMorgan Floating Rate Income Fund, Select Class Shares | 142,844 | ||||||
| 515 | JPMorgan Government Bond Fund, Select Class Shares | 5,692 | ||||||
| 13,342 | JPMorgan High Yield Fund, Select Class Shares | 109,005 | ||||||
| 13,456 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 143,032 | ||||||
| 13,559 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 135,456 | ||||||
| 2,234 | JPMorgan Multi-Sector Income Fund, Select Class Shares | 23,213 | ||||||
| 11,497 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 136,817 | ||||||
|
| |||||||
Total Fixed Income | 1,844,804 | |||||||
|
| |||||||
International Equity — 12.2% | ||||||||
| 5,755 | JPMorgan Emerging Economies Fund, Select Class Shares | 78,848 | ||||||
| 3,283 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 80,273 | ||||||
| 9,784 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 185,507 | ||||||
| 3,671 | JPMorgan International Equity Fund, Select Class Shares | 60,425 | ||||||
| 6,830 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 151,569 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — continued | ||||||||
| 1,675 | JPMorgan Intrepid European Fund, Select Class Shares | 45,925 | ||||||
| 1,467 | JPMorgan Latin America Fund, Select Class Shares | 27,512 | ||||||
|
| |||||||
Total International Equity | 630,059 | |||||||
|
| |||||||
Money Market — 5.8% | ||||||||
| 299,628 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (l) | 299,628 | ||||||
|
| |||||||
U.S. Equity — 40.3% | ||||||||
| 4,220 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 102,706 | ||||||
| 5,695 | JPMorgan Equity Income Fund, Select Class Shares | 78,879 | ||||||
| 9,419 | JPMorgan Intrepid America Fund, Select Class Shares | 354,247 | ||||||
| 4,508 | JPMorgan Intrepid Growth Fund, Select Class Shares | 167,830 | ||||||
| 4,477 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 111,796 | ||||||
| 1,450 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 47,170 | ||||||
| 11,159 | JPMorgan Large Cap Value Fund, Select Class Shares | 183,236 | ||||||
| 12,668 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 176,596 | ||||||
| 3,452 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 61,730 | ||||||
| 32,181 | JPMorgan U.S. Equity Fund, Select Class Shares | 480,791 | ||||||
| 7,863 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 233,848 | ||||||
| 2,759 | JPMorgan Value Advantage Fund, Select Class Shares | 80,759 | ||||||
|
| |||||||
Total U.S. Equity | 2,079,588 | |||||||
|
| |||||||
Total Investments — 100.0% | 5,162,904 | |||||||
Other Assets in Excess of Liabilities — 0.0% (g) | 2,165 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 5,165,069 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 9 | ||||||
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 6.7% | ||||||||
| 1,612 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 22,833 | ||||||
| 1,039 | JPMorgan Global Natural Resources Fund, Select Class Shares | 10,960 | ||||||
| 14,092 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 142,186 | ||||||
| 7,228 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 111,954 | ||||||
|
| |||||||
Total Alternative Assets | 287,933 | |||||||
|
| |||||||
Fixed Income — 55.2% | ||||||||
| 68,839 | JPMorgan Core Bond Fund, Select Class Shares | 806,107 | ||||||
| 65,183 | JPMorgan Core Plus Bond Fund, Select Class Shares | 546,237 | ||||||
| 2,022 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 17,533 | ||||||
| 6,075 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares (a) | 59,351 | ||||||
| 16,414 | JPMorgan Floating Rate Income Fund, Select Class Shares | 165,942 | ||||||
| 1,797 | JPMorgan Government Bond Fund, Select Class Shares | 19,861 | ||||||
| 9,293 | JPMorgan High Yield Fund, Select Class Shares | 75,923 | ||||||
| 17,192 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 182,755 | ||||||
| 29,924 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 298,940 | ||||||
| 1,845 | JPMorgan Multi-Sector Income Fund, Select Class Shares | 19,170 | ||||||
| 13,468 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 160,270 | ||||||
|
| |||||||
Total Fixed Income | 2,352,089 | |||||||
|
| |||||||
International Equity — 7.4% | ||||||||
| 3,146 | JPMorgan Emerging Economies Fund, Select Class Shares | 43,093 | ||||||
| 1,778 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 43,460 | ||||||
| 2,776 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 52,639 | ||||||
| 1,900 | JPMorgan International Equity Fund, Select Class Shares | 31,271 | ||||||
| 4,550 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 100,956 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
International Equity — continued | ||||||||
| 980 | JPMorgan Intrepid European Fund, Select Class Shares | 26,864 | ||||||
| 994 | JPMorgan Latin America Fund, Select Class Shares | 18,652 | ||||||
|
| |||||||
Total International Equity | 316,935 | |||||||
|
| |||||||
Money Market — 4.8% | ||||||||
| 202,784 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (l) | 202,784 | ||||||
|
| |||||||
U.S. Equity — 25.9% | ||||||||
| 1,528 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 37,180 | ||||||
| 5,403 | JPMorgan Equity Income Fund, Select Class Shares | 74,826 | ||||||
| 6,779 | JPMorgan Intrepid America Fund, Select Class Shares | 254,954 | ||||||
| 2,839 | JPMorgan Intrepid Growth Fund, Select Class Shares | 105,706 | ||||||
| 1,687 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 42,122 | ||||||
| 2,702 | JPMorgan Large Cap Value Fund, Select Class Shares | 44,364 | ||||||
| 4,123 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 57,479 | ||||||
| 797 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 24,224 | ||||||
| 2,388 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 42,702 | ||||||
| 15,540 | JPMorgan U.S. Equity Fund, Select Class Shares | 232,162 | ||||||
| 4,485 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 133,376 | ||||||
| 1,820 | JPMorgan Value Advantage Fund, Select Class Shares | 53,284 | ||||||
|
| |||||||
Total U.S. Equity | 1,102,379 | |||||||
|
| |||||||
Total Investments — 100.0% | 4,262,120 | |||||||
Other Assets in Excess of Liabilities — 0.0% (g) | 418 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 4,262,538 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 10 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 2.4% | ||||||||
| 907 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 12,839 | ||||||
| 671 | JPMorgan Global Natural Resources Fund, Select Class Shares | 7,078 | ||||||
| 2,220 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 22,396 | ||||||
| 867 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 13,436 | ||||||
|
| |||||||
Total Alternative Assets | 55,749 | |||||||
|
| |||||||
Fixed Income — 7.3% | ||||||||
| 2,127 | JPMorgan Core Bond Fund, Select Class Shares | �� | 24,905 | |||||
| 1,924 | JPMorgan Core Plus Bond Fund, Select Class Shares | 16,122 | ||||||
| 886 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 7,684 | ||||||
| 1,032 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares (a) | 10,084 | ||||||
| 2,071 | JPMorgan Floating Rate Income Fund, Select Class Shares | 20,942 | ||||||
| 1,666 | JPMorgan High Yield Fund, Select Class Shares | 13,614 | ||||||
| 3,714 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 39,475 | ||||||
| 426 | JPMorgan Limited Duration Bond Fund, Select Class Shares | 4,259 | ||||||
| 485 | JPMorgan Multi-Sector Income Fund, Select Class Shares | 5,042 | ||||||
| 1,985 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 23,621 | ||||||
|
| |||||||
Total Fixed Income | 165,748 | |||||||
|
| |||||||
International Equity — 15.3% | ||||||||
| 3,141 | JPMorgan Emerging Economies Fund, Select Class Shares | 43,035 | ||||||
| 1,812 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 44,305 | ||||||
| 3,531 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 66,944 | ||||||
| 4,713 | JPMorgan International Equity Fund, Select Class Shares | 77,578 | ||||||
| 3,685 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 81,772 | ||||||
| 986 | JPMorgan Intrepid European Fund, Select Class Shares | 27,037 | ||||||
| 550 | JPMorgan Latin America Fund, Select Class Shares | 10,321 | ||||||
|
| |||||||
Total International Equity | 350,992 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Money Market — 1.9% | ||||||||
| 43,096 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (l) | 43,096 | ||||||
|
| |||||||
U.S. Equity — 73.1% | ||||||||
| 935 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 22,753 | ||||||
| 2,320 | JPMorgan Equity Income Fund, Select Class Shares | 32,130 | ||||||
| 7,307 | JPMorgan Intrepid America Fund, Select Class Shares | 274,816 | ||||||
| 3,641 | JPMorgan Intrepid Growth Fund, Select Class Shares | 135,562 | ||||||
| 3,288 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 82,091 | ||||||
| 5,694 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 185,166 | ||||||
| 14,523 | JPMorgan Large Cap Value Fund, Select Class Shares | 238,463 | ||||||
| 9,437 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 131,552 | ||||||
| 492 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 14,958 | ||||||
| 1,959 | JPMorgan Small Cap Value Fund, Select Class Shares | 57,414 | ||||||
| 1,832 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 32,760 | ||||||
| 21,699 | JPMorgan U.S. Equity Fund, Select Class Shares | 324,189 | ||||||
| 3,585 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 106,632 | ||||||
| 1,195 | JPMorgan Value Advantage Fund, Select Class Shares | 34,980 | ||||||
|
| |||||||
Total U.S. Equity | 1,673,466 | |||||||
|
| |||||||
Total Investments — 100.0% | 2,289,051 | |||||||
Liabilities in Excess of Other Assets — 0.0% (g) | (669 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,288,382 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 11 | ||||||
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Investment Companies — 100.0% (b) | |||||||
Alternative Assets — 5.5% | ||||||||
| 1,161 | JPMorgan Commodities Strategy Fund, Select Class Shares (a) | 16,443 | ||||||
| 794 | JPMorgan Global Natural Resources Fund, Select Class Shares | 8,373 | ||||||
| 8,637 | JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares (a) | 87,152 | ||||||
| 3,723 | JPMorgan Research Market Neutral Fund, Select Class Shares (a) | 57,676 | ||||||
|
| |||||||
Total Alternative Assets | 169,644 | |||||||
|
| |||||||
Fixed Income — 22.2% | ||||||||
| 16,269 | JPMorgan Core Bond Fund, Select Class Shares | 190,510 | ||||||
| 20,379 | JPMorgan Core Plus Bond Fund, Select Class Shares | 170,777 | ||||||
| 1,062 | JPMorgan Emerging Markets Debt Fund, Select Class Shares | 9,205 | ||||||
| 2,010 | JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares (a) | 19,637 | ||||||
| 8,582 | JPMorgan Floating Rate Income Fund, Select Class Shares | 86,767 | ||||||
| 7,802 | JPMorgan High Yield Fund, Select Class Shares | 63,744 | ||||||
| 6,687 | JPMorgan Inflation Managed Bond Fund, Select Class Shares | 71,085 | ||||||
| 1,458 | JPMorgan Multi-Sector Income Fund, Select Class Shares | 15,147 | ||||||
| 5,012 | JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 59,639 | ||||||
|
| |||||||
Total Fixed Income | 686,511 | |||||||
|
| |||||||
International Equity — 16.1% | ||||||||
| 4,024 | JPMorgan Emerging Economies Fund, Select Class Shares | 55,129 | ||||||
| 2,364 | JPMorgan Emerging Markets Equity Fund, Select Class Shares | 57,802 | ||||||
| 6,357 | JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 120,521 | ||||||
| 5,876 | JPMorgan International Equity Fund, Select Class Shares | 96,715 | ||||||
| 4,531 | JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 100,540 | ||||||
| 1,986 | JPMorgan Intrepid European Fund, Select Class Shares | 54,454 | ||||||
| 737 | JPMorgan Latin America Fund, Select Class Shares | 13,825 | ||||||
|
| |||||||
Total International Equity | 498,986 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Money Market — 3.8% | ||||||||
| 117,899 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (l) | 117,899 | ||||||
|
| |||||||
U.S. Equity — 52.4% | ||||||||
| 1,837 | JPMorgan Dynamic Growth Fund, Select Class Shares (a) | 44,713 | ||||||
| 3,698 | JPMorgan Equity Income Fund, Select Class Shares | 51,217 | ||||||
| 8,491 | JPMorgan Intrepid America Fund, Select Class Shares | 319,333 | ||||||
| 2,771 | JPMorgan Intrepid Growth Fund, Select Class Shares | 103,175 | ||||||
| 1,611 | JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 40,222 | ||||||
| 4,432 | JPMorgan Large Cap Growth Fund, Select Class Shares (a) | 144,132 | ||||||
| 11,285 | JPMorgan Large Cap Value Fund, Select Class Shares | 185,292 | ||||||
| 9,338 | JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 130,172 | ||||||
| 618 | JPMorgan Mid Cap Growth Fund, Select Class Shares (a) | 18,793 | ||||||
| 1,278 | JPMorgan Small Cap Value Fund, Select Class Shares | 37,465 | ||||||
| 2,661 | JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 47,583 | ||||||
| 21,214 | JPMorgan U.S. Equity Fund, Select Class Shares | 316,936 | ||||||
| 4,609 | JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 137,072 | ||||||
| 1,563 | JPMorgan Value Advantage Fund, Select Class Shares | 45,741 | ||||||
|
| |||||||
Total U.S. Equity | 1,621,846 | |||||||
|
| |||||||
Total Investments — 100.0% | 3,094,886 | |||||||
Liabilities in Excess of Other Assets — 0.0% (g) | (88 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,094,798 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| (a) | — Non-income producing security. | |
| (b) | — Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. |
| (g) | — Amount rounds to less than 0.1%. | |
| (l) | — The rate shown is the current yield as of June 30, 2014. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund 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 each respective underlying fund’s website. Detailed information about J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 13 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014
(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 | $ | 5,162,904 | $ | 4,262,120 | $ | 2,289,051 | $ | 3,094,886 | ||||||||
Cash | — | — | — | 10 | ||||||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 9,768 | 7,337 | 2,635 | 4,512 | ||||||||||||
Dividends from affiliates | 8,144 | 7,056 | 3,855 | 5,373 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 5,180,816 | 4,276,513 | 2,295,541 | 3,104,781 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Distributions | 640 | 120 | 218 | 302 | ||||||||||||
Investment securities purchased | 8,138 | 7,053 | 3,854 | 5,371 | ||||||||||||
Fund shares redeemed | 4,494 | 4,438 | 1,919 | 2,852 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 93 | 127 | 20 | 42 | ||||||||||||
Administration fees | 239 | 202 | 125 | 156 | ||||||||||||
Shareholder servicing fees | 65 | 94 | 14 | 24 | ||||||||||||
Distribution fees | 1,424 | 1,507 | 556 | 773 | ||||||||||||
Custodian and accounting fees | 11 | 9 | 12 | 11 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 3 | 1 | 1 | |||||||||||
Other | 643 | 422 | 440 | 451 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 15,747 | 13,975 | 7,159 | 9,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 5,165,069 | $ | 4,262,538 | $ | 2,288,382 | $ | 3,094,798 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 4,204,003 | $ | 3,673,698 | $ | 1,590,489 | $ | 2,369,959 | ||||||||
Accumulated undistributed (distributions in excess of) net investment income | (408 | ) | (163 | ) | (175 | ) | (247 | ) | ||||||||
Accumulated net realized gains (losses) | 8,231 | 46,538 | (31,994 | ) | (31,713 | ) | ||||||||||
Net unrealized appreciation (depreciation) | 953,243 | 542,465 | 730,062 | 756,799 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 5,165,069 | $ | 4,262,538 | $ | 2,288,382 | $ | 3,094,798 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 3,749,519 | $ | 2,516,247 | $ | 1,791,194 | $ | 2,432,024 | ||||||||
Class B | 90,106 | 46,180 | 88,345 | 95,394 | ||||||||||||
Class C | 995,919 | 1,580,447 | 226,430 | 358,544 | ||||||||||||
Select Class | 329,525 | 119,664 | 182,413 | 208,836 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,165,069 | $ | 4,262,538 | $ | 2,288,382 | $ | 3,094,798 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 245,901 | 193,531 | 91,417 | 142,157 | ||||||||||||
Class B | 5,909 | 3,549 | 4,627 | 5,599 | ||||||||||||
Class C | 66,176 | 122,063 | 12,076 | 21,439 | ||||||||||||
Select Class | 21,581 | 9,163 | 9,160 | 12,364 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 15.25 | $ | 13.00 | $ | 19.59 | $ | 17.11 | ||||||||
Class B — Offering price per share (b) | 15.25 | 13.01 | 19.09 | 17.04 | ||||||||||||
Class C — Offering price per share (b) | 15.05 | 12.95 | 18.75 | 16.72 | ||||||||||||
Select Class — Offering and redemption price per share | 15.27 | 13.06 | 19.91 | 16.89 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | $ | 15.97 | $ | 13.61 | $ | 20.51 | $ | 17.92 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | 4,209,661 | 3,719,655 | 1,558,989 | 2,338,087 | ||||||||||||
| (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, 2014 | J.P. MORGAN INVESTOR FUNDS | 15 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2014
(Amounts in thousands)
| Investor Balanced Fund | Investor Conservative Growth Fund | Investor Growth Fund | Investor Growth & Income Fund | |||||||||||||
INVESTMENT INCOME: | ||||||||||||||||
Dividend income from affiliates | $ | 71,269 | $ | 71,642 | $ | 20,256 | $ | 37,467 | ||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,273 | 1,962 | 1,014 | 1,367 | ||||||||||||
Administration fees | 2,683 | 2,353 | 1,414 | 1,761 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 8,278 | 5,943 | 3,947 | 5,338 | ||||||||||||
Class B | 771 | 396 | 776 | 848 | ||||||||||||
Class C | 6,087 | 10,345 | 1,436 | 2,223 | ||||||||||||
Shareholder servicing fees: | ||||||||||||||||
Class A | 8,278 | 5,943 | 3,947 | 5,338 | ||||||||||||
Class B | 257 | 132 | 259 | 283 | ||||||||||||
Class C | 2,029 | 3,448 | 479 | 741 | ||||||||||||
Select Class | 798 | 289 | 386 | 473 | ||||||||||||
Custodian and accounting fees | 19 | 16 | 20 | 19 | ||||||||||||
Professional fees | 70 | 71 | 49 | 55 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 42 | 40 | 21 | 28 | ||||||||||||
Printing and mailing costs | 454 | 364 | 337 | 348 | ||||||||||||
Registration and filing fees | 471 | 398 | 129 | 197 | ||||||||||||
Transfer agent fees | 1,590 | 1,090 | 1,278 | 1,240 | ||||||||||||
Other | 75 | 66 | 41 | 50 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 34,175 | 32,856 | 15,533 | 20,309 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less amounts waived | (11,370 | ) | (9,137 | ) | (6,082 | ) | (7,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 22,805 | 23,719 | 9,451 | 12,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 48,464 | 47,923 | 10,805 | 24,590 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | 34,632 | 45,322 | 17,333 | 32,103 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 85,847 | 50,096 | 54,238 | 60,812 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | 418,642 | 223,346 | 312,477 | 311,079 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 539,121 | 318,764 | 384,048 | 403,994 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 587,585 | $ | 366,687 | $ | 394,853 | $ | 428,584 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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 June 30, 2014 | Year Ended | Year Ended | Year Ended | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 48,464 | $ | 48,599 | $ | 47,923 | $ | 46,232 | ||||||||
Net realized gain (loss) on investments in affiliates | 34,632 | 5,374 | 45,322 | 1,730 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 85,847 | 24,197 | 50,096 | 13,477 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | 418,642 | 247,278 | 223,346 | 129,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 587,585 | 325,448 | 366,687 | 191,087 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (51,978 | ) | (44,361 | ) | (39,648 | ) | (37,372 | ) | ||||||||
From net realized gains | (10,000 | ) | — | — | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | (993 | ) | (1,653 | ) | (581 | ) | (958 | ) | ||||||||
From net realized gains | (318 | ) | — | — | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (8,742 | ) | (5,932 | ) | (15,776 | ) | (12,795 | ) | ||||||||
From net realized gains | (2,481 | ) | — | — | — | |||||||||||
Select Class | ||||||||||||||||
From net investment income | (5,665 | ) | (5,309 | ) | (2,173 | ) | (2,217 | ) | ||||||||
From net realized gains | (937 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (81,114 | ) | (57,255 | ) | (58,178 | ) | (53,342 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 890,046 | 381,913 | 418,368 | 526,226 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,396,517 | 650,106 | 726,877 | 663,971 | ||||||||||||
Beginning of period | 3,768,552 | 3,118,446 | 3,535,661 | 2,871,690 | ||||||||||||
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| |||||||||
End of period | $ | 5,165,069 | $ | 3,768,552 | $ | 4,262,538 | $ | 3,535,661 | ||||||||
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|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (408 | ) | $ | (323 | ) | $ | (163 | ) | $ | (134 | ) | ||||
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| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 10,805 | $ | 12,976 | $ | 24,590 | $ | 25,936 | ||||||||
Net realized gain (loss) on investments affiliates | 17,333 | 9,147 | 32,103 | 16,481 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 54,238 | 14,763 | 60,812 | 17,423 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | 312,477 | 226,857 | 311,079 | 210,815 | ||||||||||||
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|
|
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|
|
| |||||||||
Change in net assets resulting from operations | 394,853 | 263,743 | 428,584 | 270,655 | ||||||||||||
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| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (18,801 | ) | (12,253 | ) | (30,868 | ) | (24,418 | ) | ||||||||
Class B | ||||||||||||||||
From net investment income | (972 | ) | (770 | ) | (989 | ) | (1,441 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (1,772 | ) | (844 | ) | (2,857 | ) | (1,975 | ) | ||||||||
Select Class | ||||||||||||||||
From net investment income | (2,198 | ) | (1,369 | ) | (3,225 | ) | (2,455 | ) | ||||||||
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| |||||||||
Total distributions to shareholders | (23,743 | ) | (15,236 | ) | (37,939 | ) | (30,289 | ) | ||||||||
|
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| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 179,299 | 7,991 | 385,158 | 101,741 | ||||||||||||
|
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| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 550,409 | 256,498 | 775,803 | 342,107 | ||||||||||||
Beginning of period | 1,737,973 | 1,481,475 | 2,318,995 | 1,976,888 | ||||||||||||
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| |||||||||
End of period | $ | 2,288,382 | $ | 1,737,973 | $ | 3,094,798 | $ | 2,318,995 | ||||||||
|
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|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (175 | ) | $ | (149 | ) | $ | (247 | ) | $ | (208 | ) | ||||
|
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|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Investor Balanced Fund | Investor Conservative Growth Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,172,802 | $ | 786,158 | $ | 663,475 | $ | 741,095 | ||||||||
Distributions reinvested | 61,815 | 44,125 | 39,567 | 37,219 | ||||||||||||
Cost of shares redeemed | (653,336 | ) | (519,840 | ) | (595,012 | ) | (494,825 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 581,281 | $ | 310,443 | $ | 108,030 | $ | 283,489 | ||||||||
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 4,133 | $ | 3,365 | $ | 2,287 | $ | 3,772 | ||||||||
Distributions reinvested | 1,307 | 1,644 | 579 | 954 | ||||||||||||
Cost of shares redeemed | (39,779 | ) | (71,230 | ) | (20,067 | ) | (36,953 | ) | ||||||||
|
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|
|
|
|
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| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (34,339 | ) | $ | (66,221 | ) | $ | (17,201 | ) | $ | (32,227 | ) | ||||
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 483,355 | $ | 219,514 | $ | 648,610 | $ | 466,732 | ||||||||
Distributions reinvested | 11,113 | 5,817 | 15,718 | 12,703 | ||||||||||||
Cost of shares redeemed | (151,120 | ) | (110,069 | ) | (334,441 | ) | (217,267 | ) | ||||||||
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|
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|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 343,348 | $ | 115,262 | $ | 329,887 | $ | 262,168 | ||||||||
|
|
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|
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|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 81,681 | $ | 79,748 | $ | 21,226 | $ | 40,066 | ||||||||
Distributions reinvested | 2,581 | 2,506 | 990 | 1,061 | ||||||||||||
Cost of shares redeemed | (84,506 | ) | (59,825 | ) | (24,564 | ) | (28,331 | ) | ||||||||
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|
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| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (244 | ) | $ | 22,429 | $ | (2,348 | ) | $ | 12,796 | ||||||
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|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 890,046 | $ | 381,913 | $ | 418,368 | $ | 526,226 | ||||||||
|
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|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 81,074 | 59,008 | 53,123 | 62,122 | ||||||||||||
Reinvested | 4,211 | 3,334 | 3,145 | 3,139 | ||||||||||||
Redeemed | (45,013 | ) | (39,241 | ) | (47,622 | ) | (41,556 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 40,272 | 23,101 | 8,646 | 23,705 | ||||||||||||
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| |||||||||
Class B | ||||||||||||||||
Issued | 287 | 254 | 183 | 317 | ||||||||||||
Reinvested | 90 | 125 | 46 | 81 | ||||||||||||
Redeemed | (2,752 | ) | (5,431 | ) | (1,605 | ) | (3,131 | ) | ||||||||
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|
|
|
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| |||||||||
Change in Class B Shares | (2,375 | ) | (5,052 | ) | (1,376 | ) | (2,733 | ) | ||||||||
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| |||||||||
Class C | ||||||||||||||||
Issued | 33,955 | 16,557 | 52,180 | 39,118 | ||||||||||||
Reinvested | 768 | 445 | 1,253 | 1,076 | ||||||||||||
Redeemed | (10,540 | ) | (8,418 | ) | (26,885 | ) | (18,337 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 24,183 | 8,584 | 26,548 | 21,857 | ||||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 5,619 | 5,986 | 1,687 | 3,357 | ||||||||||||
Reinvested | 176 | 189 | 78 | 89 | ||||||||||||
Redeemed | (5,778 | ) | (4,541 | ) | (1,958 | ) | (2,362 | ) | ||||||||
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|
|
| |||||||||
Change in Select Class Shares | 17 | 1,634 | (193 | ) | 1,084 | |||||||||||
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|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 364,251 | $ | 258,064 | $ | 611,629 | $ | 418,638 | ||||||||
Distributions reinvested | 18,699 | 12,176 | 30,757 | 24,284 | ||||||||||||
Cost of shares redeemed | (226,201 | ) | (215,007 | ) | (328,489 | ) | (300,252 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | 156,749 | $ | 55,233 | $ | 313,897 | $ | 142,670 | ||||||||
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| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | 1,237 | $ | 917 | $ | 1,832 | $ | 2,076 | ||||||||
Distributions reinvested | 967 | 764 | 986 | 1,434 | ||||||||||||
Cost of shares redeemed | (44,584 | ) | (57,935 | ) | (48,540 | ) | (82,327 | ) | ||||||||
|
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | (42,380 | ) | $ | (56,254 | ) | $ | (45,722 | ) | $ | (78,817 | ) | ||||
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|
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| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 67,519 | $ | 37,737 | $ | 140,280 | $ | 62,981 | ||||||||
Distributions reinvested | 1,683 | 788 | 2,713 | 1,823 | ||||||||||||
Cost of shares redeemed | (34,707 | ) | (27,701 | ) | (51,230 | ) | (40,695 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 34,495 | $ | 10,824 | $ | 91,763 | $ | 24,109 | ||||||||
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| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 52,249 | $ | 42,795 | $ | 57,090 | $ | 35,873 | ||||||||
Distributions reinvested | 595 | 429 | 1,699 | 1,539 | ||||||||||||
Cost of shares redeemed | (22,409 | ) | (45,036 | ) | (33,569 | ) | (23,633 | ) | ||||||||
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|
|
|
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| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 30,435 | $ | (1,812 | ) | $ | 25,220 | $ | 13,779 | |||||||
|
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|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 179,299 | $ | 7,991 | $ | 385,158 | $ | 101,741 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 20,101 | 16,839 | 38,067 | 29,415 | ||||||||||||
Reinvested | 1,002 | 810 | 1,874 | 1,720 | ||||||||||||
Redeemed | (12,465 | ) | (14,189 | ) | (20,413 | ) | (21,279 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 8,638 | 3,460 | 19,528 | 9,856 | ||||||||||||
|
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|
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|
| |||||||||
Class B | ||||||||||||||||
Issued | 71 | 61 | 116 | 145 | ||||||||||||
Reinvested | 53 | 53 | 61 | 103 | ||||||||||||
Redeemed | (2,526 | ) | (3,932 | ) | (3,040 | ) | (5,907 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | (2,402 | ) | (3,818 | ) | (2,863 | ) | (5,659 | ) | ||||||||
|
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|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 3,884 | 2,546 | 8,949 | 4,473 | ||||||||||||
Reinvested | 95 | 55 | 169 | 133 | ||||||||||||
Redeemed | (2,004 | ) | (1,898 | ) | (3,248 | ) | (2,947 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 1,975 | 703 | 5,870 | 1,659 | ||||||||||||
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| |||||||||
Select Class | ||||||||||||||||
Issued | 2,823 | 2,810 | 3,613 | 2,537 | ||||||||||||
Reinvested | 31 | 28 | 105 | 110 | ||||||||||||
Redeemed | (1,200 | ) | (3,009 | ) | (2,092 | ) | (1,698 | ) | ||||||||
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|
|
|
|
| |||||||||
Change in Select Class Shares | 1,654 | (171 | ) | 1,626 | 949 | |||||||||||
|
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|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2014 | 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) (a) | 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, 2014 | $ | 13.61 | $ | 0.17 | (f) | $ | 1.74 | $ | 1.91 | $ | (0.23 | ) | $ | (0.04 | ) | $ | (0.27 | ) | ||||||||||
Year Ended June 30, 2013 | 12.53 | 0.20 | (f) | 1.11 | 1.31 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 12.58 | 0.22 | (f) | (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 | ) | |||||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.60 | 0.08 | (f) | 1.75 | 1.83 | (0.14 | ) | (0.04 | ) | (0.18 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 12.53 | 0.13 | (f) | 1.10 | 1.23 | (0.16 | ) | — | (0.16 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 12.57 | 0.15 | (f) | (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 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.44 | 0.09 | (f) | 1.71 | 1.80 | (0.15 | ) | (0.04 | ) | (0.19 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 12.39 | 0.13 | (f) | 1.09 | 1.22 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 12.44 | 0.15 | (f) | (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 | ) | |||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 13.62 | 0.20 | (f) | 1.75 | 1.95 | (0.26 | ) | (0.04 | ) | (0.30 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 12.55 | 0.23 | (f) | 1.10 | 1.33 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 12.60 | 0.25 | (f) | (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 | ) | |||||||||||||||||||
| (a) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (b) | 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. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c)(d) | Net | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 15.25 | 14.12 | % | $ | 3,749,519 | 0.41 | % | 1.16 | % | 0.67 | % | 12 | % | |||||||||||||
| 13.61 | 10.54 | 2,797,749 | 0.50 | 1.51 | 0.69 | 19 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.25 | 13.54 | 90,106 | 0.97 | 0.58 | 1.17 | 12 | ||||||||||||||||||||
| 13.60 | 9.86 | 112,689 | 1.01 | 1.00 | 1.19 | 19 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.05 | 13.50 | 995,919 | 0.97 | 0.61 | 1.17 | 12 | ||||||||||||||||||||
| 13.44 | 9.89 | 564,358 | 1.01 | 0.99 | 1.19 | 19 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 15.27 | 14.45 | 329,525 | 0.16 | 1.39 | 0.42 | 12 | ||||||||||||||||||||
| 13.62 | 10.71 | 293,756 | 0.25 | 1.75 | 0.44 | 19 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 12.01 | $ | 0.18 | (f) | $ | 1.02 | $ | 1.20 | $ | (0.21 | ) | ||||||||
Year Ended June 30, 2013 | 11.46 | 0.19 | (f) | 0.58 | 0.77 | (0.22 | ) | |||||||||||||
Year Ended June 30, 2012 | 11.40 | 0.23 | (f) | 0.06 | 0.29 | (0.23 | ) | |||||||||||||
Year Ended June 30, 2011 | 10.47 | 0.25 | 0.93 | 1.18 | (0.25 | ) | ||||||||||||||
Year Ended June 30, 2010 | 9.67 | 0.29 | 0.80 | 1.09 | (0.29 | ) | ||||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 12.02 | 0.11 | (f) | 1.02 | 1.13 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.47 | 0.13 | (f) | 0.58 | 0.71 | (0.16 | ) | |||||||||||||
Year Ended June 30, 2012 | 11.40 | 0.17 | (f) | 0.07 | 0.24 | (0.17 | ) | |||||||||||||
Year Ended June 30, 2011 | 10.48 | 0.18 | 0.93 | 1.11 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2010 | 9.67 | 0.23 | 0.81 | 1.04 | (0.23 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 11.97 | 0.11 | (f) | 1.01 | 1.12 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.42 | 0.13 | (f) | 0.58 | 0.71 | (0.16 | ) | |||||||||||||
Year Ended June 30, 2012 | 11.36 | 0.17 | (f) | 0.06 | 0.23 | (0.17 | ) | |||||||||||||
Year Ended June 30, 2011 | 10.44 | 0.19 | 0.92 | 1.11 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2010 | 9.64 | 0.23 | 0.81 | 1.04 | (0.24 | ) | ||||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 12.06 | 0.21 | (f) | 1.03 | 1.24 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2013 | 11.51 | 0.22 | (f) | 0.58 | 0.80 | (0.25 | ) | |||||||||||||
Year Ended June 30, 2012 | 11.44 | 0.26 | (f) | 0.07 | 0.33 | (0.26 | ) | |||||||||||||
Year Ended June 30, 2011 | 10.51 | 0.27 | 0.94 | 1.21 | (0.28 | ) | ||||||||||||||
Year Ended June 30, 2010 | 9.70 | 0.30 | 0.83 | 1.13 | (0.32 | ) | ||||||||||||||
| (a) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (b) | 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. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c)(d) | Net | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 13.00 | 10.05 | % | $ | 2,516,247 | 0.41 | % | 1.41 | % | 0.66 | % | 20 | % | |||||||||||||
| 12.01 | 6.76 | 2,220,725 | 0.50 | 1.63 | 0.68 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.01 | 9.43 | 46,180 | 0.97 | 0.84 | 1.16 | 20 | ||||||||||||||||||||
| 12.02 | 6.22 | 59,190 | 1.00 | 1.12 | 1.18 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 12.95 | 9.42 | 1,580,447 | 0.97 | 0.87 | 1.16 | 20 | ||||||||||||||||||||
| 11.97 | 6.27 | 1,142,903 | 1.01 | 1.12 | 1.18 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 13.06 | 10.35 | 119,664 | 0.16 | 1.66 | 0.41 | 20 | ||||||||||||||||||||
| 12.06 | 6.97 | 112,843 | 0.25 | 1.87 | 0.43 | 14 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 16.25 | $ | 0.11 | (f) | $ | 3.45 | $ | 3.56 | $ | (0.22 | ) | ||||||||
Year Ended June 30, 2013 | 13.88 | 0.14 | (f) | 2.38 | 2.52 | (0.15 | ) | |||||||||||||
Year Ended June 30, 2012 | 14.14 | 0.10 | (f) | (0.25 | ) | (0.15 | ) | (0.11 | ) | |||||||||||
Year Ended June 30, 2011 | 11.22 | 0.09 | (f) | 2.92 | 3.01 | (0.09 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.94 | 0.10 | (f) | 1.26 | 1.36 | (0.08 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 15.88 | — | (f)(g) | 3.37 | 3.37 | (0.16 | ) | |||||||||||||
Year Ended June 30, 2013 | 13.58 | 0.05 | (f) | 2.34 | 2.39 | (0.09 | ) | |||||||||||||
Year Ended June 30, 2012 | 13.85 | 0.02 | (f) | (0.24 | ) | (0.22 | ) | (0.05 | ) | |||||||||||
Year Ended June 30, 2011 | 11.00 | 0.02 | (f) | 2.86 | 2.88 | (0.03 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.79 | 0.02 | (f) | 1.24 | 1.26 | (0.05 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 15.60 | 0.01 | (f) | 3.30 | 3.31 | (0.16 | ) | |||||||||||||
Year Ended June 30, 2013 | 13.34 | 0.05 | (f) | 2.30 | 2.35 | (0.09 | ) | |||||||||||||
Year Ended June 30, 2012 | 13.61 | 0.02 | (f) | (0.24 | ) | (0.22 | ) | (0.05 | ) | |||||||||||
Year Ended June 30, 2011 | 10.82 | 0.02 | (f) | 2.80 | 2.82 | (0.03 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.62 | 0.03 | (f) | 1.22 | 1.25 | (0.05 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 16.51 | 0.16 | (f) | 3.50 | 3.66 | (0.26 | ) | |||||||||||||
Year Ended June 30, 2013 | 14.09 | 0.17 | (f) | 2.44 | 2.61 | (0.19 | ) | |||||||||||||
Year Ended June 30, 2012 | 14.35 | 0.14 | (f) | (0.26 | ) | (0.12 | ) | (0.14 | ) | |||||||||||
Year Ended June 30, 2011 | 11.39 | 0.13 | (f) | 2.95 | 3.08 | (0.12 | ) | |||||||||||||
Year Ended June 30, 2010 | 10.09 | 0.13 | (f) | 1.28 | 1.41 | (0.11 | ) | |||||||||||||
| (a) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (b) | 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. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c)(d) | Net | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 19.59 | 21.95 | % | $ | 1,791,194 | 0.41 | % | 0.59 | % | 0.71 | % | 8 | % | |||||||||||||
| 16.25 | 18.28 | 1,344,928 | 0.49 | 0.89 | 0.76 | 15 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 19.09 | 21.28 | 88,345 | 0.95 | 0.02 | 1.21 | 8 | ||||||||||||||||||||
| 15.88 | 17.63 | 111,593 | 1.04 | 0.34 | 1.26 | 15 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 18.75 | 21.30 | 226,430 | 0.95 | 0.05 | 1.21 | 8 | ||||||||||||||||||||
| 15.60 | 17.69 | 157,546 | 1.04 | 0.34 | 1.25 | 15 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 19.91 | 22.25 | 182,413 | 0.16 | 0.85 | 0.46 | 8 | ||||||||||||||||||||
| 16.51 | 18.64 | 123,906 | 0.24 | 1.13 | 0.51 | 15 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 14.78 | $ | 0.16 | (f) | $ | 2.40 | $ | 2.56 | $ | (0.23 | ) | ||||||||
Year Ended June 30, 2013 | 13.17 | 0.18 | (f) | 1.64 | 1.82 | (0.21 | ) | |||||||||||||
Year Ended June 30, 2012 | 13.28 | 0.17 | (f) | (0.10 | ) | 0.07 | (0.18 | ) | ||||||||||||
Year Ended June 30, 2011 | 11.05 | 0.18 | (f) | 2.23 | 2.41 | (0.18 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.90 | 0.20 | (f) | 1.15 | 1.35 | (0.20 | ) | |||||||||||||
Class B | ||||||||||||||||||||
Year Ended June 30, 2014 | 14.72 | 0.06 | (f) | 2.40 | 2.46 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2013 | 13.11 | 0.11 | (f) | 1.63 | 1.74 | (0.13 | ) | |||||||||||||
Year Ended June 30, 2012 | 13.22 | 0.10 | (f) | (0.10 | ) | — | (g) | (0.11 | ) | |||||||||||
Year Ended June 30, 2011 | 11.00 | 0.11 | (f) | 2.22 | 2.33 | (0.11 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.85 | 0.13 | (f) | 1.15 | 1.28 | (0.13 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 14.46 | 0.07 | (f) | 2.34 | 2.41 | (0.15 | ) | |||||||||||||
Year Ended June 30, 2013 | 12.89 | 0.10 | (f) | 1.61 | 1.71 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2012 | 13.01 | 0.10 | (f) | (0.11 | ) | (0.01 | ) | (0.11 | ) | |||||||||||
Year Ended June 30, 2011 | 10.83 | 0.11 | (f) | 2.19 | 2.30 | (0.12 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.71 | 0.13 | (f) | 1.12 | 1.25 | (0.13 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 14.59 | 0.19 | (f) | 2.38 | 2.57 | (0.27 | ) | |||||||||||||
Year Ended June 30, 2013 | 13.00 | 0.21 | (f) | 1.63 | 1.84 | (0.25 | ) | |||||||||||||
Year Ended June 30, 2012 | 13.12 | 0.20 | (f) | (0.11 | ) | 0.09 | (0.21 | ) | ||||||||||||
Year Ended June 30, 2011 | 10.92 | 0.21 | (f) | 2.20 | 2.41 | (0.21 | ) | |||||||||||||
Year Ended June 30, 2010 | 9.78 | 0.22 | (f) | 1.14 | 1.36 | (0.22 | ) | |||||||||||||
| (a) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
| (b) | 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. |
| (c) | Does not include expenses of Underlying Funds. |
| (d) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Amount rounds to less than $0.01. |
| (h) | Amount rounds to less than 0.01%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c)(d) | Net | Expenses without waivers, reimbursements and earnings credits (c) | Portfolio turnover rate (e) | ||||||||||||||||||||
| $ | 17.11 | 17.40 | % | $ | 2,432,024 | 0.41 | % | 0.96 | % | 0.68 | % | 10 | % | |||||||||||||
| 14.78 | 13.91 | 1,812,603 | 0.49 | 1.29 | 0.72 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 17.04 | 16.74 | 95,394 | 0.96 | 0.39 | 1.19 | 10 | ||||||||||||||||||||
| 14.72 | 13.35 | 124,521 | 1.02 | 0.77 | 1.22 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 16.72 | 16.72 | 358,544 | 0.96 | 0.42 | 1.18 | 10 | ||||||||||||||||||||
| 14.46 | 13.34 | 225,157 | 1.02 | 0.76 | 1.21 | 20 | ||||||||||||||||||||
| 12.89 | 0.00 | (h) | 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 | ||||||||||||||||||||
| 16.89 | 17.71 | 208,836 | 0.16 | 1.21 | 0.44 | 10 | ||||||||||||||||||||
| 14.59 | 14.22 | 156,714 | 0.24 | 1.53 | 0.47 | 20 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 29 | ||||||
Table of Contents
AS OF JUNE 30, 2014
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 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 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 Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) 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 increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments in J.P. Morgan Funds (the “Underlying Funds”) are valued at each Underlying Fund’s net asset value per share (“NAV”) 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 the 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 observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 5,162,904 | $ | — | $ | — | $ | 5,162,904 | ||||||||
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Investor Conservative Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 4,262,120 | $ | — | $ | — | $ | 4,262,120 | ||||||||
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| 30 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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) | $ | 2,289,051 | $ | — | $ | — | $ | 2,289,051 | ||||||||
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Investor Growth & Income Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 3,094,886 | $ | — | $ | — | $ | 3,094,886 | ||||||||
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|
| |||||||||
| (a) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for asset class specifics of portfolio holdings. |
There were no transfers among any levels during the year ended June 30, 2014.
B. Investment Transactions with Affiliates — The Funds invest in Underlying Funds advised by J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM” ) or its affiliates pursuant to Section 12(d)(1)(G) of the 1940 Act. An issuer which is under common control with a fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the following to be affiliated issuers. Included in the realized gain (loss) amounts in the tables below are distributions of realized capital gains, if any, received from the Underlying Funds (amounts in thousands):
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 11,475 | $ | — | $ | 11,870 | $ | (1,615 | ) | $ | — | — | $ | — | ||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 12,337 | 12,299 | — | — | — | 1,836 | 25,995 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 307,123 | 302,063 | — | 1,950 | 11,585 | 52,350 | 613,016 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 420,179 | 40,006 | — | 2,966 | 16,434 | 55,838 | 467,919 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 35,554 | — | 35,340 | 353 | 196 | — | — | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 52,031 | 32,200 | — | — | — | 4,220 | 102,706 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 46,497 | 38,155 | 12,000 | (1,088 | ) | 955 | 5,755 | 78,848 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 19,824 | 22,567 | 19,500 | 1,116 | 1,023 | 2,900 | 25,141 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 48,121 | 38,355 | 14,000 | (688 | ) | 156 | 3,283 | 80,273 | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 21,343 | 20,500 | — | — | — | 4,367 | 42,669 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 45,023 | 23,482 | — | 1,132 | 1,255 | 5,695 | 78,879 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 118,385 | 22,667 | — | 129 | 5,555 | 14,129 | 142,844 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 8,529 | 1,668 | — | — | 69 | 1,240 | 13,077 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 106,533 | 50,945 | — | 800 | 1,444 | 9,784 | 185,507 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 87,651 | 942 | 81,600 | 7,269 | 1,383 | 515 | 5,692 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 114,141 | 28,879 | 36,000 | 3,900 | 7,206 | 13,342 | 109,005 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 115,072 | 25,409 | — | 157 | 1,685 | 13,456 | 143,032 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | — | 56,315 | — | — | 1,379 | 3,671 | 60,425 | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 53,602 | 78,655 | — | 2,027 | 2,629 | 6,830 | 151,569 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 284,486 | 34,631 | 38,400 | 2,371 | 3,132 | 9,419 | 354,247 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | — | 45,800 | — | — | — | 1,675 | 45,925 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 139,380 | 15,149 | 23,500 | 3,253 | 1,149 | 4,508 | 167,830 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 119,507 | 13,217 | 53,100 | 15,132 | 687 | 4,477 | 111,796 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 44,075 | 12,901 | 20,600 | 2,201 | — | 1,450 | 47,170 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 157,065 | 21,013 | 24,600 | 7,640 | 2,187 | 11,159 | 183,236 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 16,101 | 14,236 | 4,000 | (691 | ) | 235 | 1,467 | 27,512 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 90,860 | 43,015 | — | — | 1,032 | 13,559 | 135,456 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 147,292 | 802,195 | 649,859 | 1 | 60 | 299,628 | 299,628 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 150,279 | 26,648 | 22,700 | 15,525 | 1,414 | 12,668 | 176,596 | |||||||||||||||||||||
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 31 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Balanced Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | $ | 109,449 | $ | 51,201 | $ | — | $ | — | $ | — | 16,092 | $ | 162,367 | |||||||||||||||
JPMorgan Multi-Sector Income Fund, Select Class Shares | — | 23,207 | — | — | 206 | 2,234 | 23,213 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 81,333 | 35,101 | 12,000 | (175 | ) | — | 6,933 | 107,386 | ||||||||||||||||||||
JPMorgan Short Duration Bond Fund, Select Class Shares | 61,220 | 170 | 61,426 | 1,059 | 281 | — | — | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 72,708 | 63,745 | — | — | 2,131 | 11,497 | 136,817 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 35,500 | 19,336 | — | 3,120 | 318 | 3,452 | 61,730 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 399,419 | 66,123 | 55,601 | 33,519 | 4,035 | 32,181 | 480,791 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 177,727 | 33,987 | 10,500 | 17,347 | 924 | 7,863 | 233,848 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 46,727 | 22,893 | — | 1,769 | 524 | 2,759 | 80,759 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 3,756,548 | $ | 120,479 | $ | 71,269 | $ | 5,162,904 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 10,382 | $ | — | $ | 10,728 | $ | (1,976 | ) | $ | — | — | $ | — | ||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 10,439 | 11,200 | — | — | — | 1,612 | 22,833 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 341,824 | 458,897 | — | 2,447 | 14,723 | 68,839 | 806,107 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 492,830 | 44,303 | — | 3,499 | 19,224 | 65,183 | 546,237 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 43,802 | — | 43,536 | 376 | 242 | — | — | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 10,382 | 20,200 | — | — | — | 1,528 | 37,180 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 26,260 | 15,924 | 2,500 | (159 | ) | 524 | 3,146 | 43,093 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 21,227 | 10,395 | 15,500 | 429 | 776 | 2,022 | 17,533 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 27,004 | 14,688 | 2,500 | (158 | ) | 87 | 1,778 | 43,460 | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 21,554 | 36,499 | — | — | — | 6,075 | 59,351 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 57,765 | 6,233 | — | 1,119 | 1,265 | 5,403 | 74,826 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 135,238 | 28,697 | — | 150 | 6,504 | 16,414 | 165,942 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 7,904 | 463 | — | — | 63 | 1,039 | 10,960 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 34,623 | 9,662 | — | 236 | 426 | 2,776 | 52,639 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 260,347 | 2,809 | 239,500 | 5,919 | 4,128 | 1,797 | 19,861 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 76,884 | 28,629 | 31,000 | 2,683 | 5,149 | 9,293 | 75,923 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 142,634 | 36,789 | — | 194 | 2,130 | 17,192 | 182,755 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | — | 29,185 | — | — | 721 | 1,900 | 31,271 | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 27,846 | 60,346 | — | 1,457 | 1,890 | 4,550 | 100,956 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 244,103 | 8,522 | 55,400 | 11,276 | 2,522 | 6,779 | 254,954 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | — | 26,900 | — | — | — | 980 | 26,864 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 104,151 | 7,302 | 31,200 | 6,803 | 802 | 2,839 | 105,706 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 60,619 | 3,544 | 36,900 | 10,774 | 294 | 1,687 | 42,122 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 54,322 | 6,807 | 25,600 | 7,554 | 616 | 2,702 | 44,364 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 15,447 | 4,065 | 1,800 | (280 | ) | 166 | 994 | 18,652 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 187,313 | 108,165 | — | — | 2,240 | 29,924 | 298,940 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 202,147 | 377,748 | 377,111 | 1 | 50 | 202,784 | 202,784 | |||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 58,133 | 9,418 | 18,100 | 6,787 | 483 | 4,123 | 57,479 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 21,694 | 3,009 | 5,000 | 3,059 | — | 797 | 24,224 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 103,889 | 36,700 | — | — | — | 14,092 | 142,186 | |||||||||||||||||||||
JPMorgan Multi-Sector Income Fund, Select Class Shares | — | 19,171 | — | — | 171 | 1,845 | 19,170 | |||||||||||||||||||||
| 32 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Conservative Growth Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | $ | 92,947 | $ | 25,799 | $ | 10,000 | $ | (135 | ) | $ | — | 7,228 | $ | 111,954 | ||||||||||||||
JPMorgan Short Duration Bond Fund, Select Class Shares | 165,040 | 441 | 165,582 | 926 | 741 | — | — | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 78,333 | 81,471 | — | — | 2,587 | 13,468 | 160,270 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 34,214 | 7,895 | 5,000 | 2,695 | 268 | 2,388 | 42,702 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 206,904 | 26,282 | 35,700 | 18,466 | 1,957 | 15,540 | 232,162 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 105,706 | 15,297 | 6,500 | 10,046 | 529 | 4,485 | 133,376 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 41,153 | 4,094 | — | 1,230 | 364 | 1,820 | 53,284 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 3,525,060 | $ | 95,418 | $ | 71,642 | $ | 4,262,120 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Growth Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 5,813 | $ | — | $ | 6,012 | $ | (919 | ) | $ | — | — | $ | — | ||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 5,694 | 6,500 | — | — | — | 907 | 12,839 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | — | 24,670 | — | 54 | 361 | 2,127 | 24,905 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 13,971 | 1,879 | — | 100 | 562 | 1,924 | 16,122 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 6,747 | — | 6,707 | (7 | ) | 37 | — | — | ||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 9,236 | 10,300 | — | — | — | 935 | 22,753 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 27,016 | 17,384 | 5,000 | (394 | ) | 484 | 3,141 | 43,035 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 9,155 | 5,173 | 7,300 | 608 | 338 | 886 | 7,684 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 28,830 | 16,082 | 5,000 | (264 | ) | 83 | 1,812 | 44,305 | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 9,795 | — | — | — | — | 1,032 | 10,084 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 17,330 | 10,882 | — | 487 | 501 | 2,320 | 32,130 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 16,740 | 3,968 | — | 19 | 792 | 2,071 | 20,942 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 4,108 | 1,533 | — | — | 33 | 671 | 7,078 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 42,522 | 13,935 | — | 298 | 537 | 3,531 | 66,944 | |||||||||||||||||||||
JPMorgan Government Bond Fund, Select Class Shares | 897 | 7 | 889 | 9 | 11 | — | — | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 17,832 | 3,489 | 8,000 | 1,017 | 1,028 | 1,666 | 13,614 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 34,339 | 4,406 | — | 47 | 488 | 3,714 | 39,475 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 27,638 | 44,519 | — | — | 1,688 | 4,713 | 77,578 | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 38,922 | 33,011 | — | 919 | 1,192 | 3,685 | 81,772 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 224,977 | 8,599 | 15,500 | 2,263 | 2,399 | 7,307 | 274,816 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | 27,100 | — | — | — | 986 | 27,037 | ||||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 110,338 | 6,423 | 10,500 | 1,410 | 923 | 3,641 | 135,562 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 71,524 | 2,271 | 11,500 | 3,164 | 455 | 3,288 | 82,091 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 150,807 | 4,001 | 7,900 | 2,181 | — | 5,694 | 185,166 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 210,886 | 11,164 | 22,500 | 9,006 | 2,842 | 14,523 | 238,463 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 6,368 | 4,683 | 1,200 | (196 | ) | 83 | 550 | 10,321 | ||||||||||||||||||||
JPMorgan Limited Duration Bond Fund, Select Class Shares | 2,306 | 2,520 | 600 | 4 | 25 | 426 | 4,259 | |||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 24,719 | 166,642 | 148,265 | — | (a) | 7 | 43,096 | 43,096 | ||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 111,210 | 14,142 | 10,301 | 11,175 | 1,053 | 9,437 | 131,552 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 10,229 | 2,241 | — | 1,241 | — | 492 | 14,958 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 17,167 | 5,001 | — | — | — | 2,220 | 22,396 | |||||||||||||||||||||
JPMorgan Multi-Sector Income Fund, Select Class Shares | — | 5,045 | — | — | 45 | 485 | 5,042 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 9,144 | 4,001 | — | — | — | 867 | 13,436 | |||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 56,428 | 2,730 | 11,400 | 5,272 | 355 | 1,959 | 57,414 | |||||||||||||||||||||
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 33 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Growth Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | $ | 13,423 | $ | 10,140 | $ | — | $ | — | $ | 362 | 1,985 | $ | 23,621 | |||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 17,723 | 11,679 | — | 1,796 | 183 | 1,832 | 32,760 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 272,318 | 25,384 | 21,001 | 22,364 | 2,716 | 21,699 | 324,189 | |||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | 91,373 | 8,656 | 9,301 | 9,148 | 445 | 3,585 | 106,632 | |||||||||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 18,637 | 11,797 | — | 769 | 228 | 1,195 | 34,980 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 1,736,162 | $ | 71,571 | $ | 20,256 | $ | 2,289,051 | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||||||||||
Highbridge Dynamic Commodities Strategy Fund, Select Class Shares | $ | 7,693 | $ | — | $ | 7,966 | $ | (1,248 | ) | $ | — | — | $ | — | ||||||||||||||
JPMorgan Commodities Strategy Fund, Select Class Shares | 7,117 | 8,500 | — | — | — | 1,161 | 16,443 | |||||||||||||||||||||
JPMorgan Core Bond Fund, Select Class Shares | 90,521 | 98,807 | — | 571 | 3,537 | 16,269 | 190,510 | |||||||||||||||||||||
JPMorgan Core Plus Bond Fund, Select Class Shares | 158,709 | 9,228 | — | 1,093 | 6,030 | 20,379 | 170,777 | |||||||||||||||||||||
JPMorgan Credit Opportunities Fund, Select Class Shares | 19,957 | — | 19,837 | 256 | 110 | — | — | |||||||||||||||||||||
JPMorgan Dynamic Growth Fund, Select Class Shares | 18,391 | 19,901 | — | — | — | 1,837 | 44,713 | |||||||||||||||||||||
JPMorgan Emerging Economies Fund, Select Class Shares | 33,236 | 26,137 | 8,500 | (963 | ) | 637 | 4,024 | 55,129 | ||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund, Select Class Shares | 11,603 | 4,207 | 7,300 | 510 | 402 | 1,062 | 9,205 | |||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund, Select Class Shares | 33,550 | 26,406 | 7,500 | (305 | ) | 107 | 2,364 | 57,802 | ||||||||||||||||||||
JPMorgan Emerging Markets Local Currency Debt Fund, Select Class Shares | 13,586 | 5,500 | — | — | — | 2,010 | 19,637 | |||||||||||||||||||||
JPMorgan Equity Income Fund, Select Class Shares | 29,045 | 15,785 | — | 763 | 806 | 3,698 | 51,217 | |||||||||||||||||||||
JPMorgan Floating Rate Income Fund, Select Class Shares | 74,201 | 11,453 | — | 79 | 3,402 | 8,582 | 86,767 | |||||||||||||||||||||
JPMorgan Global Natural Resources Fund, Select Class Shares | 5,481 | 1,044 | — | — | 44 | 794 | 8,373 | |||||||||||||||||||||
JPMorgan Global Research Enhanced Index Fund, Select Class Shares | 69,686 | 32,983 | — | 493 | 890 | 6,357 | 120,521 | |||||||||||||||||||||
JPMorgan High Yield Fund, Select Class Shares | 73,801 | 13,716 | 25,000 | 2,730 | 4,387 | 7,802 | 63,744 | |||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund, Select Class Shares | 63,977 | 5,747 | — | 87 | 900 | 6,687 | 71,085 | |||||||||||||||||||||
JPMorgan International Equity Fund, Select Class Shares | 20,236 | 70,535 | — | — | 2,126 | 5,876 | 96,715 | |||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund, Select Class Shares | 35,412 | 54,054 | — | 1,112 | 1,442 | 4,531 | 100,540 | |||||||||||||||||||||
JPMorgan Intrepid America Fund, Select Class Shares | 261,676 | 15,882 | 25,200 | 3,766 | 2,881 | 8,491 | 319,333 | |||||||||||||||||||||
JPMorgan Intrepid European Fund, Select Class Shares | — | 54,500 | — | — | — | 1,986 | 54,454 | |||||||||||||||||||||
JPMorgan Intrepid Growth Fund, Select Class Shares | 93,224 | 6,785 | 21,600 | 7,071 | 785 | 2,771 | 103,175 | |||||||||||||||||||||
JPMorgan Intrepid Mid Cap Fund, Select Class Shares | 43,623 | 2,538 | 17,500 | 5,633 | 250 | 1,611 | 40,222 | |||||||||||||||||||||
JPMorgan Large Cap Growth Fund, Select Class Shares | 125,346 | 7,999 | 21,500 | 6,324 | — | 4,432 | 144,132 | |||||||||||||||||||||
JPMorgan Large Cap Value Fund, Select Class Shares | 160,651 | 14,256 | 20,300 | 7,882 | 2,256 | 11,285 | 185,292 | |||||||||||||||||||||
JPMorgan Latin America Fund, Select Class Shares | 6,752 | 8,595 | 2,000 | (348 | ) | 95 | 737 | 13,825 | ||||||||||||||||||||
JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares | 91,732 | 351,743 | 325,576 | — | (a) | 30 | 117,899 | 117,899 | ||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund, Select Class Shares | 113,977 | 21,005 | 21,899 | 12,350 | 1,094 | 9,338 | 130,172 | |||||||||||||||||||||
JPMorgan Mid Cap Growth Fund, Select Class Shares | 12,113 | 3,558 | — | 1,559 | — | 618 | 18,793 | |||||||||||||||||||||
JPMorgan Multi-Cap Market Neutral Fund, Select Class Shares | 73,718 | 12,300 | — | — | — | 8,637 | 87,152 | |||||||||||||||||||||
JPMorgan Multi-Sector Income Fund, Select Class Shares | — | 15,134 | — | — | 135 | 1,458 | 15,147 | |||||||||||||||||||||
JPMorgan Research Market Neutral Fund, Select Class Shares | 54,236 | 9,700 | 8,000 | (66 | ) | — | 3,723 | 57,676 | ||||||||||||||||||||
JPMorgan Small Cap Value Fund, Select Class Shares | 41,894 | 4,295 | 15,900 | 6,847 | 258 | 1,278 | 37,465 | |||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund, Select Class Shares | 47,889 | 11,552 | — | — | 1,034 | 5,012 | 59,639 | |||||||||||||||||||||
JPMorgan U.S. Dynamic Plus Fund, Select Class Shares | 21,925 | 21,275 | — | 2,609 | 266 | 2,661 | 47,583 | |||||||||||||||||||||
JPMorgan U.S. Equity Fund, Select Class Shares | 263,588 | 35,246 | 28,399 | 21,510 | 2,680 | 21,214 | 316,936 | |||||||||||||||||||||
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Value at | For the year ended June 30, 2014 | Shares at June 30, 2014 | Value at June 30, 2014 | |||||||||||||||||||||||||
| Affiliate | Purchase Cost | Sales Proceeds | Realized Gain/Loss | Dividend Income | ||||||||||||||||||||||||
Investor Growth & Income Fund (continued) | ||||||||||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund, Select Class Shares | $ | 111,638 | $ | 18,220 | $ | 13,000 | $ | 11,564 | $ | 576 | 4,609 | $ | 137,072 | |||||||||||||||
JPMorgan Value Advantage Fund, Select Class Shares | 24,168 | 15,742 | — | 1,036 | 307 | 1,563 | 45,741 | |||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||
Total | $ | 2,314,352 | $ | 92,915 | $ | 37,467 | $ | 3,094,886 | ||||||||||||||||||||
|
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| (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. Distributions of net investment income and realized capital gains from the Underlying Funds are recorded on the ex-dividend date.
D. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trust are allocated among the respective funds. In calculating the NAV 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.
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 capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid quarterly, except for distributions from the Investor Conservative Growth Fund, for which distributions are generally declared and paid monthly. Distributions 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 distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated undistributed (distributions net Investment income | Accumulated net realized gains (losses) | ||||||||||
Investor Balanced Fund | $ | — | $ | 18,829 | $ | (18,829 | ) | |||||
Investor Conservative Growth Fund | (137 | ) | 10,226 | (10,089 | ) | |||||||
Investor Growth Fund | (46 | ) | 12,912 | (12,866 | ) | |||||||
Investor Growth & Income Fund | (42 | ) | 13,310 | (13,268 | ) | |||||||
The reclassifications for the Funds relate primarily to investments in regulated investment companies.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreement, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Asset Management Holdings Inc., which is a wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each 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 each Fund’s average daily net assets.
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 35 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
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 accrued daily and paid monthly at an 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, 2014, the effective rate of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements, was as follows:
Investor Balanced Fund | 0.06 | % | ||
Investor Conservative Growth Fund | 0.06 | |||
Investor Growth Fund | 0.07 | |||
Investor Growth & Income Fund | 0.06 | |||
The Administrator waived Administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. 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, 2014, the Distributor retained the following amounts (in thousands):
| Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 3,217 | $ | 4 | ||||
Investor Conservative Growth Fund | 1,648 | 4 | ||||||
Investor Growth Fund | 1,009 | 5 | ||||||
Investor Growth & Income Fund | 1,724 | 8 | ||||||
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 accrued daily and paid monthly at an annual rate of 0.25% of the Funds’ average daily net assets.
The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.
The Distributor waived Shareholder Servicing fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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. Payments to the custodian 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 earned on cash balances at the custodian, if any, is included in Interest income from affiliates in the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statements of Operations.
| 36 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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F. Waivers and Reimbursements — The Adviser, 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* | 0.39 | % | 1.14 | % | 1.14 | % | 0.14 | % | ||||||||
Investor Conservative Growth Fund* | 0.39 | 1.14 | 1.14 | 0.14 | ||||||||||||
Investor Growth Fund* | 0.39 | 1.14 | 1.14 | 0.14 | ||||||||||||
Investor Growth & Income Fund* | 0.39 | 1.14 | 1.14 | 0.14 | ||||||||||||
| * | Prior to September 1, 2013, the contractual expense limitations for the Funds were 0.50%, 1.25%, 1.25% and 0.25% for Class A, Class B, Class C and Select Class Shares, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2014 and are in place until at least October 31, 2014.
The Underlying Funds may impose separate advisory and shareholder servicing fees. The Funds’ Distributor has agreed to waive the Funds’ fees in the weighted average pro-rata amount of the shareholder servicing fees charged by the Underlying Funds. These waivers will be in addition to any waivers required to meet the Funds’ contractual expense limitations, but will not exceed the Funds’ shareholder servicing fee up to 0.25% of the Funds’ net assets.
In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2014. 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, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Investor Balanced Fund | $ | 245 | $ | 684 | $ | 8,811 | $ | 9,740 | ||||||||
Investor Conservative Growth Fund | 124 | 399 | 6,088 | 6,611 | ||||||||||||
Investor Growth Fund | 228 | 829 | 4,414 | 5,471 | ||||||||||||
Investor Growth & Income Fund | 187 | 700 | 5,741 | 6,628 | ||||||||||||
| Voluntary Waivers | ||||||||||||||||
Investment Advisory | Administration | Shareholder Servicing | Total | |||||||||||||
Investor Balanced Fund | $ | 25 | $ | 138 | $ | 1,467 | $ | 1,630 | ||||||||
Investor Conservative Growth Fund | 24 | 180 | 2,322 | 2,526 | ||||||||||||
Investor Growth Fund | 45 | 124 | 442 | 611 | ||||||||||||
Investor Growth & Income Fund | 43 | 107 | 654 | 804 | ||||||||||||
G. Other — Certain officers of the Trust are affiliated with the Adviser, 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.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 37 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
4. Investment Transactions
During the year ended June 30, 2014, 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 | $ | 1,337,484 | $ | 536,737 | ||||
Investor Conservative Growth Fund | 1,209,800 | 742,046 | ||||||
Investor Growth Fund | 365,311 | 160,608 | ||||||
Investor Growth & Income Fund | 682,590 | 271,404 | ||||||
During the year ended June 30, 2014, 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, 2014 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 4,295,875 | $ | 877,641 | $ | 10,612 | $ | 867,029 | ||||||||
Investor Conservative Growth Fund | 3,749,271 | 521,778 | 8,929 | 512,849 | ||||||||||||
Investor Growth Fund | 1,625,573 | 668,413 | 4,935 | 663,478 | ||||||||||||
Investor Growth & Income Fund | 2,440,587 | 661,690 | 7,391 | 654,299 | ||||||||||||
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 year ended June 30, 2014 was as follows (amounts in thousands):
Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Investor Balanced Fund | $ | 67,378 | $ | 13,736 | $ | 81,114 | ||||||
Investor Conservative Growth Fund | 57,433 | 745 | 58,178 | |||||||||
Investor Growth Fund | 23,743 | — | 23,743 | |||||||||
Investor Growth & Income Fund | 37,939 | — | 37,939 | |||||||||
The tax character of distributions paid during the year ended June 30, 2013 was as follows (amounts in thousands):
Ordinary Income | Total Distributions Paid | |||||||
Investor Balanced Fund | $ | 57,255 | $ | 57,255 | ||||
Investor Conservative Growth Fund | 53,342 | 53,342 | ||||||
Investor Growth Fund | 15,236 | 15,236 | ||||||
Investor Growth & Income Fund | 30,289 | 30,289 | ||||||
As of June 30, 2014, 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 | $ | 4,817 | $ | 89,928 | $ | 867,029 | ||||||
Investor Conservative Growth Fund | — | 76,155 | 512,849 | |||||||||
Investor Growth Fund | 83 | 34,592 | 663,478 | |||||||||
Investor Growth & Income Fund | 114 | 70,786 | 654,299 | |||||||||
For the Funds, the cumulative timing differences primarily consist of wash sale loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011 are 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.
| 38 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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As of June 30, 2014, the Funds did not have any net capital loss carryforwards.
During the year ended June 30, 2014, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
| Total | ||||
Investor Conservative Growth Fund | $ | 8,328 | ||
Investor Growth Fund | 21,417 | |||
Investor Growth & Income Fund | 8,242 | |||
6. Borrowings
The Funds rely upon an exemptive order granted by the Securities and Exchange Commission (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “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 the Funds and the series of JPMorgan Trust II are all 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 10, 2014.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2014, or at any time during the year 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. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
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 the Underlying Funds’ investments in securities and financial instruments such as fixed income securities, including high yield, asset-backed and mortgage-related securities; equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures, 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 Multi-Cap Market Neutral Fund | 92 | % | ||
JPMorgan Global Natural Resources Fund | 82 | |||
JPMorgan Large Cap Value Fund | 79 | |||
JPMorgan Dynamic Growth Fund | 73 | |||
JPMorgan Intrepid Growth Fund | 66 | |||
JPMorgan U.S. Dynamic Plus Fund | 64 | |||
JPMorgan International Equity Index Fund | 62 | |||
JPMorgan Commodities Strategy Fund | 60 | |||
JPMorgan Latin America Fund | 59 | |||
JPMorgan Limited Duration Bond Fund | 51 | |||
JPMorgan Intrepid Mid Cap Fund | 46 | |||
JPMorgan Core Plus Bond Fund | 45 | |||
JPMorgan Emerging Markets Local Currency Debt Fund | 44 | |||
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 39 | ||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
| % of Net Assets | ||||
JPMorgan Intrepid America Fund | 40 | % | ||
JPMorgan Research Market Neutral Fund | 40 | |||
JPMorgan Market Expansion Enhanced Index Fund | 32 | |||
JPMorgan Inflation Managed Bond Fund | 26 | |||
JPMorgan Emerging Economies Fund | 19 | |||
JPMorgan Global Research Enhanced Index Fund | 13 | |||
JPMorgan U.S. Equity Fund | 13 | |||
JPMorgan International Equity Fund | 11 | |||
In addition, the Funds 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 may impact the Funds’ performance.
| 40 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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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, 2014, 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, 2014 by correspondence with the transfer agent and custodian, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 22, 2014
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 41 | ||||||
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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 | ||||||
| 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). | 166 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trust since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 166 | Trustee, Museum of Jewish Heritage (2011-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). | 166 | 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). | 166 | None | |||
| Mary E. Martinez (1960); Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 166 | None | |||
| 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). | 166 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trust since 2013. | Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 166 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 166 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the 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). | 166 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). | |||
| 42 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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) | ||||||
| Marian U. Pardo** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 166 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Frederick W. Ruebeck (1939); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, 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). | 166 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony 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). | 166 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
| Frankie D. Hughes*** (1952), Trustee of Trust since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 166 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| (1) | The Trustees serve 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 Mr. Morton should continue to serve until December 31, 2014. In order to fill the vacancies created by the retirement of Fergus Reid, III, William J. Armstrong, and Leonard J. Spalding Jr., effective December 31, 2012, the Board appointed Ms. Martinez and Mr. Merin to serve as Trustees effective January 1, 2013 and Ms. Pardo to serve as Trustee effective February 1, 2013. |
| (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 adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (166 funds), including JPMorgan Mutual Fund Group which liquidated effective November 29, 2012 and is in the process of winding up its affairs. |
| * | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
| ** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
| *** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 43 | ||||||
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), | Chief Operating Officer and Director, J.P. Morgan Investment Management Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
| 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. | |
Annik Pastore (1966), | Executive Director and Global Financial Crime Compliance Officer for JPMorgan Global Investment Management for the U.S. and EMEA since 2012, AML officer for various JPMAM lines of business from 2007-2012. | |
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) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly 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. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 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. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). | |
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 60 Victoria Embankment, Floor 06, London, EC4Y 0JP, United Kingdom. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| *** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004-2413. |
| 44 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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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, 2014 and continued to hold your shares at the end of the reporting period, June 30, 2014.
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, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.30 | $ | 1.98 | 0.39 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,042.20 | 4.86 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,042.50 | 4.86 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,046.50 | 0.71 | 0.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.10 | 0.70 | 0.14 | ||||||||||||
Investor Conservative Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,038.60 | 1.97 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,035.70 | 4.85 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,036.10 | 4.85 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,040.40 | 0.71 | 0.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.10 | 0.70 | 0.14 | ||||||||||||
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 45 | ||||||
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Investor Growth Fund | ||||||||||||||||
Class A | �� | |||||||||||||||
Actual | $ | 1,000.00 | $ | 1,056.50 | $ | 1.99 | 0.39 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,053.50 | 4.79 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,054.00 | 4.79 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,057.80 | 0.71 | 0.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.10 | 0.70 | 0.14 | ||||||||||||
Investor Growth & Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,048.60 | 1.98 | 0.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,045.80 | 4.82 | 0.95 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.08 | 4.76 | 0.95 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,045.20 | 4.82 | 0.95 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.08 | 4.76 | 0.95 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,049.90 | 0.71 | 0.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.10 | 0.70 | 0.14 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| 46 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
The Trust held a meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the Trust, including the Funds. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 132,674,822 | |||
Withheld | 508,692 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 132,670,672 | |||
Withheld | 512,842 | |||
| Robert J. Higgins | ||||
In Favor | 124,038,998 | |||
Withheld | 9,144,516 | |||
| Frankie D. Hughes | ||||
In Favor | 132,681,734 | |||
Withheld | 501,780 | |||
| Peter C. Marshall | ||||
In Favor | 132,663,579 | |||
Withheld | 519,935 | |||
| Mary E. Martinez | ||||
In Favor | 132,682,318 | |||
Withheld | 501,196 | |||
| Votes Received (Amounts in thousands) | ||||
| Marilyn McCoy | ||||
In Favor | 132,681,993 | |||
Withheld | 501,520 | |||
| Mitchell M. Merin | ||||
In Favor | 132,664,715 | |||
Withheld | 518,799 | |||
| William G. Morton, Jr. | ||||
In Favor | 132,650,698 | |||
Withheld | 532,816 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 132,664,727 | |||
Withheld | 518,788 | |||
| Marian U. Pardo | ||||
In Favor | 132,690,792 | |||
Withheld | 492,722 | |||
| Frederick W. Ruebeck | ||||
In Favor | 132,644,244 | |||
Withheld | 539,269 | |||
| James J. Schonbachler | ||||
In Favor | 132,671,281 | |||
Withheld | 512,233 | |||
| JUNE 30, 2014 | J.P. MORGAN INVESTOR FUNDS | 47 | ||||||
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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, 2014. 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, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.
Dividends Received Deductions (DRD)
Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2014:
| Dividends Received Deduction | ||||
Investor Balanced Fund | 27.70 | % | ||
Investor Conservative Growth Fund | 20.09 | |||
Investor Growth Fund | 58.03 | |||
Investor Growth & Income Fund | 37.85 | |||
Long Term Capital Gain
Each fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Investor Balanced Fund | $ | 13,736 | ||
Investor Conservative Growth Fund | 745 | |||
Qualified Dividend Income (QDI)
Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Qualified Dividend Income | ||||
Investor Balanced Fund | $ | 40,514 | ||
Investor Conservative Growth Fund | 28,728 | |||
Investor Growth Fund | 23,743 | |||
Investor Growth & Income Fund | 28,445 | |||
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2014, the Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses were as follows or amounts as finally determined (amounts in thousands):
| Gross Income | Foreign Tax Pass Through | |||||||
Investor Balanced Fund | $ | 4,153 | $ | 590 | ||||
Investor Conservative Growth Fund | 2,791 | 378 | ||||||
Investor Growth Fund | 2,283 | 327 | ||||||
Investor Growth & Income Fund | 2,696 | 395 | ||||||
| 48 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2014 | ||||
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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 on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. 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., 2014. All rights reserved. June 2014. | AN-INV-614 |
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Annual Report
J.P. Morgan Intrepid Funds
June 30, 2014
JPMorgan Intrepid Advantage Fund
JPMorgan Intrepid America Fund
JPMorgan Intrepid Growth Fund
JPMorgan Intrepid Mid Cap Fund
JPMorgan Intrepid Value 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 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 31, 2014 (Unaudited)
Dear Shareholder:
The economic recovery strengthened over the past year and financial markets in the U.S. withstood periodic volatility to end the period with robust returns. Throughout the 12 months ended June 30, 2014, major central banks continued to provide economic stimulus through closely aligned policies of historically low interest rates. During this period, the U.S. unemployment rate fell to 6.09% from 7.54%. While there were discrete sell-offs in U.S. Treasury bonds, emerging market equities and U.S. small cap stocks, by the end of the period each of these market segments had largely recovered along with broader bond and equity markets.
 |
“The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their investments.” |
Financial markets were firmly focused on the U.S. Federal Reserve Bank (the “Fed”) and its policy decisions and pronouncements. At the start of the period, the Fed was purchasing $85 billion a month of Treasury bonds and mortgage backed securities under its Quantitative Easing (QE) program. However, the Fed’s then-chairman, Ben Bernanke, had signaled the central bank might reduce its monthly purchases if the U.S. economy continued to improve. Bernanke’s remarks were followed by a sell-off in U.S. equities and bonds during the summer of 2013. Equity prices then rebounded and headed higher as a range of U.S. economic data showed steady improvement through the final three months of 2013. The Fed’s announcement in December that it would cut its monthly asset purchases by $10 billion to $75 billion was followed by a sharp sell-off in emerging market assets that drove currency volatility in those markets. While reassuring investors that it would hold down interest rates into 2015, the Fed continued to taper off its QE purchases in $10 billion increments and by the end of the period monthly purchases were down to $45 billion.
The month of December also ushered in a winter of severe weather across much of the U.S. Snowstorms grounded airlines — affecting passengers and parcels alike — and shuttered businesses and schools throughout the country. Consumer spending and construction slowed to a greater extent than was understood at the time. In fact, U.S. gross domestic product shrank by 2.13% during the first three months of 2014. Economists attributed nearly half of that contraction to severe weather.
Signs of slower growth in China raised concerns that the nation’s economy might be in for a “hard landing” that would reverberate through emerging market nations, as well as developed economies. While the Chinese government’s efforts to restrain growth in real estate prices did impact property companies on the mainland as well as in Hong Kong, where the real estate sector makes up a significant portion of the local economy, China’s economy continued to grow at better than 7%.
Following volatility in the initial months of the reporting period, U.S. equity markets rose to record highs in December and, after a brief pause early in 2014, marched steadily higher in the following months, notching 22 record-high closings by the end of June. Volatility virtually disappeared in the final months of the reporting period and the Standard & Poor’s 500 Index (the “S&P 500”) did not move higher or lower by more than 1 percent for 51 consecutive days ended June 30, 2014. The last time the index moved so little was in 1995, when it went 95 days without moving a full percentage point. The Chicago Board Options Exchange Volatility Index ended the period near its lowest level since February 2007. At June 30, 2014, the S&P 500 produced a
12-month return of 24.61% and extended its longest stretch of consecutive quarterly gains in 16 years.
The U.S. bond market had a less stellar year than equities as the Fed’s maintenance of low interest rates held down prices for much of 2013. Bond prices rebounded in 2014, as slower-than-expected domestic growth and instability in emerging markets lifted demand for fixed income securities. The Barclays U.S. Aggregate Index returned 3.93% for the first six months of 2014 and 4.37% for the 12 months ended June 30, 2014.
In Europe, the sovereign debt crisis receded further and by the end of 2013, Ireland became the first nation to exit the European Union (EU) bailout program. Healthy corporate earnings and robust mergers and acquisitions activity bolstered equity markets. While the crisis in Ukraine appeared to have little impact on the EU economy, the European Central Bank (ECB) began to confront the threat of price deflation. In an unprecedented move on June 5, 2014, the ECB President Mario Draghi cut the deposit rate to negative 0.10% from 0.00%, effectively charging European banks for parking excess cash with the ECB. In Japan, Prime Minister Shinzo Abe’s economic policies appeared to be successful in pushing the economy out of a decade of stagnation and price deflation. Japanese equities ended 2013 at their highest levels since 1988. However, as 2014 began, investors grew less confident in “Abenomics” and an April increase in Japan’s consumption tax raised concerns that consumer spending would slow, removing a key support of the nation’s economic growth. The MSCI Europe, Australasia and Far East Index returned 23.57% for the 12 months ended June 30, 2014.
From Turbulence to Turnaround
At the start of the period, emerging markets generally benefited from investors’ global search for yield amid the low interest rate environment engineered by central banks in developed markets. However, a sell-off in emerging markets followed the Fed’s December decision to reduce its monthly asset purchases. Emerging market investors also faced political unrest in Ukraine, Thailand and Turkey, a potential bond default in Argentina, and uncertainty surrounding pending elections in India and Indonesia, two of the world’s largest democracies. Despite the headwinds and perhaps due to the “low for long” message on interest rates from both the Fed and the ECB, emerging markets rebounded and ended at June 30, 2014 with the strongest quarterly performance since 2012. The MSCI Emerging Markets Index returned 14.31% for the year ended June 30, 2014.
The past 12 months witnessed periodic sell-offs in equities and bonds in both developed and emerging markets. Market volatility was driven by comments as well as actions from the Fed and the ECB, along with external events around the globe. As the reporting period unfolded, investors who believed 2013 provided a bumpy ride soon found that 2014 provided its own surprises. However, equity markets — and also fixed income markets to some extent — proved resilient in the face of a variety of shocks and headwinds. The strength with which equity and fixed income markets in developed and emerging markets ended the reporting period serves as a clear reminder that patience, combined with a diversified portfolio, is a crucial virtue for investors seeking long-term return on their 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. If you should 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
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 1 | ||||||
Table of Contents
JPMorgan Intrepid Funds
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
The U.S. equity market performed strongly during the twelve months ended June 30, 2014. While financial market volatility spiked early in the reporting period amid investor uncertainty about the U.S. Federal Reserve Board’s (“Fed”) intent to taper off its monthly asset purchases, equity prices recovered and headed toward record highs at the end of 2013. Corporate profits remained healthy through 2013 and mergers and acquisitions activity increased as companies amassed large cash holdings and/or had access to inexpensive financing in the low-interest rate environment. Further bolstering equities were improving conditions in employment, housing and consumer sentiment. The Standard & Poor’s 500 Index notched seven record high closings in December.
In early 2014, investors began to question the strength of the global economy as bond yields, which move in the opposite direction of bond prices, continued to fall across the developed world. Adding to investor anxiety were the ongoing tensions between Russia and Ukraine as well as a growing insurgency in Iraq. Equity markets regained their footing in mid-May as economic releases pointed to a stronger U.S. economy than the decline in first-quarter gross domestic product suggested.
Among U.S. equities broadly, growth stocks outperformed value stocks during the twelve months ended June 30, 2014. The Russell 3000 Index returned 25.22%, the Russell 1000 Growth Index 26.92% and the Russell 1000 Value Index returned 23.81% for the period. Mid cap stocks, as measured by the Russell Midcap Index, returned 26.85%, outperforming the Russell 1000 Index and the Russell 2000 Index, which returned 25.35% and 23.64%, respectively.
Intrepid Investment Philosophy and Process
The JPMorgan Intrepid Investment 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, and looks 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.
During the reporting period, each of the Funds was managed and positioned in accordance with this investment philosophy and process.
| 2 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Intrepid Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 26.10% | |||
| Russell 3000 Index | 25.22% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $16,613 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Advantage 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 (the “Benchmark”) for the twelve months ended June 30, 2014. The Fund’s security selection in the consumer staples and financials sectors was the leading contributor to performance relative to the Benchmark, while security selection in the energy and consumer discretionary sectors was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Tyson Foods Inc., TripAdvisor Inc. and Ameriprise Financial Inc. Shares of Tyson Foods, a processor of poultry, beef and pork, rose on a solid sales forecast. Shares of TripAdvisor, an online travel company, gained from strong quarterly earnings and the company’s prospects for growth. Shares of Ameriprise, a financial services company, gained from an increase in company sales and a $2.5 billion share repurchase plan.
Leading individual detractors from relative performance included the Fund’s overweight positions in Gap Inc. and Cisco Systems Inc. and its underweight position in Facebook Inc. Shares of Gap, an operator of apparel retail chains, fell on a weaker-than-expected earnings forecast. Shares of Cisco, a maker of data networking products and services, declined amid weakness in demand for the company’s products. Shares of Facebook, an online social networking service, rose on the company’s successful efforts to derive advertising revenue from its massive online presence.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Apple, Inc. | 4.3 | % | |||||
| 2. | Microsoft Corp. | 3.6 | ||||||
| 3. | Chevron Corp. | 2.5 | ||||||
| 4. | Wells Fargo & Co. | 2.2 | ||||||
| 5. | ConocoPhillips | 2.0 | ||||||
| 6. | Exxon Mobil Corp. | 2.0 | ||||||
| 7. | Hewlett-Packard Co. | 1.7 | ||||||
| 8. | Time Warner, Inc. | 1.6 | ||||||
| 9. | Cisco Systems, Inc. | 1.6 | ||||||
| 10. | Northrop Grumman Corp. | 1.6 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 21.0 | % | ||
| Financials | 16.2 | |||
| Health Care | 14.3 | |||
| Consumer Discretionary | 13.3 | |||
| Energy | 9.5 | |||
| Industrials | 9.2 | |||
| Consumer Staples | 7.6 | |||
| Telecommunication Services | 2.3 | |||
| Materials | 1.6 | |||
| Utilities | 1.5 | |||
| Short-Term Investment | 3.5 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 3 | ||||||
Table of Contents
JPMorgan Intrepid Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 25.78 | % | 19.94 | % | 7.48 | % | ||||||||
With Sales Charge* | 19.16 | 18.66 | 6.90 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 25.13 | 19.33 | 6.97 | |||||||||||
With CDSC** | 24.13 | 19.33 | 6.97 | |||||||||||
SELECT CLASS SHARES | February 28, 2003 | 26.10 | 20.24 | 7.72 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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 Select Class Shares. The actual returns for Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.
The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Intrepid Advantage Fund, the Russell 3000 Index and the Lipper Multi-Cap Core Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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.
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 date 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.
| 4 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 26.56% | |||
| Russell 1000 Index | 25.35% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $2,983,633 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid America Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the consumer staples and industrials sectors was the leading contributor to performance relative to the Benchmark, while security selection in the consumer discretionary and information technology sectors was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Walgreen Co., McKessson HBOC Inc. and Delta Air Lines Inc. Shares of Walgreen, a retail drug store chain, strengthened after the company issued a revenue forecast that was above analysts’ estimates. Shares of McKesson, a provider of health care technology services, gained from solid quarterly results. Shares of Delta Air Lines rose on improved travel demand and strong capacity discipline and utilization.
Individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and its overweight positions in Pfizer Inc. and Symantec Corp. Shares of Apple, a maker of personal computers and mobile devices, performed strongly on better-than-expected earnings and revenue, driven by sales of its iPhone products. Shares of Pfizer, a maker of drugs and consumer health products, fell following the company’s failed takeover bid for AstraZeneca Ltd. Shares of Symantec, a maker of data security and storage technology, weakened on news that Beijing may ban the sale of the company’s products in China.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.4 | % | |||||
| 2. | Microsoft Corp. | 3.2 | ||||||
| 3. | Pfizer, Inc. | 2.7 | ||||||
| 4. | ConocoPhillips | 2.6 | ||||||
| 5. | National Oilwell Varco, Inc. | 2.2 | ||||||
| 6. | Hewlett-Packard Co. | 2.2 | ||||||
| 7. | WellPoint, Inc. | 2.1 | ||||||
| 8. | McKesson Corp. | 2.1 | ||||||
| 9. | Archer-Daniels-Midland Co. | 2.1 | ||||||
| 10. | Viacom, Inc., Class B | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 19.6 | % | ||
| Financials | 13.8 | |||
| Health Care | 13.3 | |||
| Consumer Discretionary | 11.7 | |||
| Industrials | 10.4 | |||
| Energy | 10.3 | |||
| Consumer Staples | 9.4 | |||
| Utilities | 3.5 | |||
| Materials | 3.3 | |||
| Telecommunication Services | 2.3 | |||
| Short-Term Investment | 2.4 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 5 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 26.26 | % | 19.15 | % | 8.15 | % | ||||||||
With Sales Charge* | 19.62 | 17.87 | 7.57 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 25.62 | 18.56 | 7.64 | |||||||||||
With CDSC** | 24.62 | 18.56 | 7.64 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 25.93 | 18.86 | 8.00 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 26.84 | 19.70 | 8.58 | ||||||||||
SELECT CLASS SHARES | February 28, 2003 | 26.56 | 19.46 | 8.39 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, Class C and Class R5 Shares prior to their inception dates are based on the performance of Select Class Shares. The actual returns for Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares from February 19, 2005 to November 2, 2008 and the performance of Select Class Shares prior to February 19, 2005. During these periods, the actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and 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 June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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 INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 27.00% | |||
| Russell 1000 Growth Index | 26.92% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $776,182 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Growth Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Growth Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the consumer staples and industrials sectors was the leading contributor to performance relative to the Benchmark, while security selection in the energy and health care sectors was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in IBM Corp. and its overweight positions in Delta Air Lines Inc. and Walgreen Co. Shares of IBM, an information technology infrastructure and services company, fell after the company reported weaker-than-expected revenue. Shares of Delta Air Lines rose on overall improvement in the airline sector. Shares of Walgreen, a retail drug store chain, strengthened after the company issued a revenue forecast that was above estimates.
Leading individual detractors from relative performance included the Fund’s underweight positions in Apple Inc. and Facebook Inc. and its overweight position in Symantec Corp. Shares of Apple, a maker of personal computers and mobile devices, performed strongly on similar to earnings and revenue, driven by sales of its iPhone products. Shares of Facebook, an online social networking service, gained on the company’s successful efforts at garnering advertising revenue from its huge online presence. Shares of Symantec, a maker of data security and storage technology, weakened on news that Beijing may ban the sale of the company’s products in China.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Microsoft Corp. | 4.1 | % | |||||
| 2. | Apple, Inc. | 3.5 | ||||||
| 3. | Oracle Corp. | 3.3 | ||||||
| 4. | Gilead Sciences, Inc. | 2.7 | ||||||
| 5. | Priceline Group, Inc. (The) | 2.4 | ||||||
| 6. | Viacom, Inc., Class B | 2.3 | ||||||
| 7. | Boeing Co. (The) | 2.3 | ||||||
| 8. | McKesson Corp. | 2.2 | ||||||
| 9. | Home Depot, Inc. (The) | 2.2 | ||||||
| 10. | Amgen, Inc. | 2.2 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Information Technology | 27.6 | % | ||
| Consumer Discretionary | 18.7 | |||
| Health Care | 12.7 | |||
| Industrials | 11.9 | |||
| Consumer Staples | 11.3 | |||
| Energy | 5.5 | |||
| Materials | 4.0 | |||
| Financials | 3.8 | |||
| Telecommunication Services | 2.1 | |||
| Others (each less than 1.0%) | 0.4 | |||
| Short-Term Investment | 2.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 7 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 26.68 | % | 19.22 | % | 8.17 | % | ||||||||
With Sales Charge* | 20.01 | 17.95 | 7.59 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 26.05 | 18.64 | 7.66 | |||||||||||
With CDSC** | 25.05 | 18.64 | 7.66 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 26.37 | 18.94 | 8.01 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 27.23 | 19.76 | 8.59 | ||||||||||
SELECT CLASS SHARES | February 28, 2003 | 27.00 | 19.53 | 8.42 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, Class C and Class R5 Shares prior to their inception dates are based on the performance of Select Class Shares. The actual returns for Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares from February 19, 2005 to November 2, 2008 and the performance of Select Class Shares prior to February 19, 2005 . During these periods, the actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and 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 June 30, 2004 to June 30, 2014. 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, if applicable. 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.
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.
| 8 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 29.55% | |||
| Russell Midcap Index | 26.85% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 596,895 | ||
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) outperformed the Russell Midcap Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the energy and semiconductor sectors was the leading contributor to performance relative to the Benchmark, while security selection in the real estate investment trust sector and the industrial cyclical sector was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Liberty Interactive Corp. (Ventures Group), Southwest Airlines Co. and Micron Technology Inc. Shares of Liberty Interactive, a holding company engaged in video and online commerce, gained from positive quarterly results and strong industry fundamentals. Shares of Southwest Air rose on overall improvement in travel demand, and discipline in capacity and utilization. Shares of Micron Technology, a maker of semiconductors used in personal computers and mobile devices, strengthened on an increase in sales and solid earnings results.
Leading individual detractors from relative performance included the Fund’s overweight positions in Best Buy Inc., Bunge Ltd. and Aecom Technology Corp. Shares of Best Buy, an electronics retail chain, traded lower on a decline in both quarterly sales and in sales for stores open one year or more. Shares of Bunge, a global agriculture and food business, fell on losses in the company’s grain trading and distribution business. Shares of Aecom, a provider of technical and management support services, declined after the company forecast weaker-than-expected earnings.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Manpowergroup, Inc. | 2.0 | % | |||||
| 2. | EQT Corp. | 1.9 | ||||||
| 3. | Macy’s, Inc. | 1.8 | ||||||
| 4. | Huntington Ingalls Industries, Inc. | 1.8 | ||||||
| 5. | Bunge Ltd. | 1.8 | ||||||
| 6. | Western Digital Corp. | 1.7 | ||||||
| 7. | Foot Locker, Inc. | 1.6 | ||||||
| 8. | Discover Financial Services | 1.6 | ||||||
| 9. | AECOM Technology Corp. | 1.5 | ||||||
| 10. | Lorillard, Inc. | 1.5 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 17.4 | % | ||
| Information Technology | 16.8 | |||
| Industrials | 16.8 | |||
| Consumer Discretionary | 10.3 | |||
| Health Care | 10.2 | |||
| Consumer Staples | 7.5 | |||
| Energy | 5.8 | |||
| Utilities | 5.8 | |||
| Materials | 5.1 | |||
| Telecommunication Services | 1.5 | |||
| U.S. Treasury Obligation | 0.2 | |||
| Short-Term Investment | 2.6 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 9 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 1, 1992 | |||||||||||||
Without Sales Charge | 29.30 | % | 21.19 | % | 9.70 | % | ||||||||
With Sales Charge* | 22.52 | 19.89 | 9.11 | |||||||||||
CLASS B SHARES | September 23, 1996 | |||||||||||||
Without CDSC | 28.47 | 20.42 | 9.14 | |||||||||||
With CDSC** | 23.47 | 20.23 | 9.14 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
Without CDSC | 28.43 | 20.41 | 9.01 | |||||||||||
With CDSC*** | 27.43 | 20.41 | 9.01 | |||||||||||
SELECT CLASS SHARES | June 1, 1991 | 29.55 | 21.50 | 9.97 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, 2004 to June 30, 2014. 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, if applicable. 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.
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 INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Select Class Shares)* | 26.31% | |||
| Russell 1000 Value Index | 23.81% | |||
| Net Assets as of 6/30/2014 (In Thousands) | $ | 1,465,613 | ||
INVESTMENT OBJECTIVE**
The JPMorgan Intrepid Value Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund (Select Class Shares) outperformed the Russell 1000 Value Index (the “Benchmark”) for the 12 months ended June 30, 2014. The Fund’s security selection in the industrials and consumer staples sectors was the leading contributor to performance relative to the Benchmark, while security selection in the consumer discretionary and telecommunication services sectors was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Questcor Pharmaceuticals Inc., SanDisk Corp. and McKesson HBOC Inc. Shares of Questcor, a drug maker focused on autoimmune and inflammatory disorders that was not held in the Benchmark, gained from the planned $6.5 billion acquisition by Mallinckrodt PLC. Shares of SanDisk, a maker of data storage technology, rose on strong margins and the potential benefits of the company’s planned acquisition of Fusion-io. Shares of McKesson, a provider of health care technology services not held in the Benchmark, gained from solid quarterly results.
Leading individual detractors from relative performance included the Fund’s underweight position in Apple Inc. and overweight positions in Pfizer Inc. and Citigroup Inc. Shares of Apple, a maker of personal computers and mobile devices, performed strongly on better-than-expected earnings and revenue, driven by sales of its iPhone products. Shares of Pfizer, a maker of drugs and consumer health care products, traded lower following its failed acquisition of AstraZeneca PLC. Shares of Citigroup, a financial services company, slumped amid unresolved regulatory issues that involved large potential penalties.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO*** | ||||||||
| 1. | Wells Fargo & Co. | 3.7 | % | |||||
| 2. | Pfizer, Inc. | 3.5 | ||||||
| 3. | Chevron Corp. | 2.9 | ||||||
| 4. | Hewlett-Packard Co. | 2.6 | ||||||
| 5. | ConocoPhillips | 2.6 | ||||||
| 6. | National Oilwell Varco, Inc. | 2.4 | ||||||
| 7. | Bank of America Corp. | 2.3 | ||||||
| 8. | Citigroup, Inc. | 2.2 | ||||||
| 9. | Archer-Daniels-Midland Co. | 2.2 | ||||||
| 10. | Northrop Grumman Corp. | 2.1 | ||||||
PORTFOLIO COMPOSITION BY SECTOR*** | ||||
| Financials | 26.7 | % | ||
Health Care | 13.5 | |||
| Energy | 13.4 | |||
| Industrials | 10.3 | |||
| Information Technology | 9.3 | |||
| Consumer Discretionary | 7.4 | |||
| Consumer Staples | 6.3 | |||
| Utilities | 5.9 | |||
| Materials | 3.2 | |||
| Telecommunication Services | 1.7 | |||
| Short-Term Investment | 2.3 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| *** | Percentages indicated are based on total investments as of June 30, 2014. The Fund’s portfolio composition is subject to change. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 11 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2014 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2014 | ||||||||||||||
| INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
Without Sales Charge | 26.17 | % | 19.15 | % | 8.70 | % | ||||||||
With Sales Charge* | 19.54 | 17.88 | 8.12 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
Without CDSC | 25.50 | 18.56 | 8.19 | |||||||||||
With CDSC** | 24.50 | 18.56 | 8.19 | |||||||||||
CLASS R2 SHARES | November 3, 2008 | 25.85 | 18.86 | 8.55 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 26.60 | 19.60 | 9.09 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 26.66 | 19.64 | 9.11 | ||||||||||
SELECT CLASS SHARES | February 28, 2003 | 26.31 | 19.37 | 8.91 | ||||||||||
| * | 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 (6/30/04 TO 6/30/14)
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, Class C and Class R5 Shares prior to their inception dates are based on the performance of Select Class Shares. The actual returns for Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares. The actual returns for Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares from February 19, 2005 to November 2, 2008 and the performance of Select Class Shares prior to February 19, 2005. During these periods, the actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and Select Class Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares from May 15, 2006 to November 29, 2010 and the performance of Select Class Shares prior to May 15, 2006. During these periods, the actual returns for Class R6 Shares would have been different than those 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 Intrepid Value Fund, the Russell 1000
Value Index and the Lipper Large-Cap Value Funds Index from June 30, 2004 to June 30, 2014. 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, if applicable. 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 $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 12 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Intrepid Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.6% | |||||||
Consumer Discretionary — 13.3% | ||||||||
Auto Components — 1.1% | ||||||||
| 3 | Delphi Automotive plc, (United Kingdom) | 179 | ||||||
|
| |||||||
Automobiles — 0.6% | ||||||||
| 3 | General Motors Co. | 101 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.3% | ||||||||
| 2 | Six Flags Entertainment Corp. | 105 | ||||||
| 1 | Wynn Resorts Ltd. | 104 | ||||||
|
| |||||||
| 209 | ||||||||
|
| |||||||
Household Durables — 0.5% | ||||||||
| 1 | Garmin Ltd., (Switzerland) | 84 | ||||||
|
| |||||||
Internet & Catalog Retail — 2.3% | ||||||||
| — | (h) | Priceline Group, Inc. (The) (a) | 156 | |||||
| 2 | TripAdvisor, Inc. (a) | 231 | ||||||
|
| |||||||
| 387 | ||||||||
|
| |||||||
Media — 3.9% | ||||||||
| 1 | Comcast Corp., Class A | 62 | ||||||
| 3 | Starz, Series A (a) | 93 | ||||||
| 4 | Time Warner, Inc. | 272 | ||||||
| 3 | Viacom, Inc., Class B | 223 | ||||||
|
| |||||||
| 650 | ||||||||
|
| |||||||
Multiline Retail — 0.5% | ||||||||
| 2 | Kohl’s Corp. | 87 | ||||||
|
| |||||||
Specialty Retail — 3.1% | ||||||||
| 7 | Best Buy Co., Inc. | 211 | ||||||
| 3 | Home Depot, Inc. (The) | 241 | ||||||
| 1 | Lowe’s Cos., Inc. | 65 | ||||||
|
| |||||||
| 517 | ||||||||
|
| |||||||
Total Consumer Discretionary | 2,214 | |||||||
|
| |||||||
Consumer Staples — 7.6% | ||||||||
Beverages — 2.2% | ||||||||
| 1 | Constellation Brands, Inc., Class A (a) | 121 | ||||||
| 1 | Molson Coors Brewing Co., Class B | 87 | ||||||
| 2 | PepsiCo, Inc. | 159 | ||||||
|
| |||||||
| 367 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% | ||||||||
| 2 | Walgreen Co. | 137 | ||||||
|
| |||||||
Food Products — 2.4% | ||||||||
| 2 | Archer-Daniels-Midland Co. | 78 | ||||||
| 2 | Ingredion, Inc. | 155 | ||||||
| 1 | Mead Johnson Nutrition Co. | 91 | ||||||
| 2 | Tyson Foods, Inc., Class A | 67 | ||||||
|
| |||||||
| 391 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Household Products — 1.2% | ||||||||
| 2 | Energizer Holdings, Inc. | 207 | ||||||
|
| |||||||
Tobacco — 1.0% | ||||||||
| 3 | Lorillard, Inc. | 162 | ||||||
|
| |||||||
Total Consumer Staples | 1,264 | |||||||
|
| |||||||
Energy — 9.5% | ||||||||
Oil, Gas & Consumable Fuels — 9.5% | ||||||||
| 1 | Anadarko Petroleum Corp. | 93 | ||||||
| 3 | Chevron Corp. | 421 | ||||||
| 4 | ConocoPhillips | 326 | ||||||
| 3 | Exxon Mobil Corp. | 325 | ||||||
| 2 | Occidental Petroleum Corp. | 215 | ||||||
| 6 | Peabody Energy Corp. | 93 | ||||||
| 1 | Phillips 66 | 103 | ||||||
|
| |||||||
Total Energy | 1,576 | |||||||
|
| |||||||
Financials — 16.2% | ||||||||
Banks — 6.9% | ||||||||
| 13 | Bank of America Corp. | 199 | ||||||
| 5 | Citigroup, Inc. | 224 | ||||||
| 5 | Fifth Third Bancorp | 114 | ||||||
| 8 | KeyCorp | 119 | ||||||
| 3 | SunTrust Banks, Inc. | 115 | ||||||
| 7 | Wells Fargo & Co. | 373 | ||||||
|
| |||||||
| 1,144 | ||||||||
|
| |||||||
Capital Markets — 2.2% | ||||||||
| 2 | Ameriprise Financial, Inc. | 210 | ||||||
| — | (h) | Goldman Sachs Group, Inc. (The) | 42 | |||||
| 4 | Morgan Stanley | 122 | ||||||
|
| |||||||
| 374 | ||||||||
|
| |||||||
Consumer Finance — 2.6% | ||||||||
| 2 | Capital One Financial Corp. | 192 | ||||||
| 3 | Discover Financial Services | 191 | ||||||
| 1 | Nelnet, Inc., Class A | 54 | ||||||
|
| |||||||
| 437 | ||||||||
|
| |||||||
Insurance — 3.1% | ||||||||
| 2 | American International Group, Inc. | 95 | ||||||
| 4 | CNO Financial Group, Inc. | 77 | ||||||
| 4 | Hartford Financial Services Group, Inc. (The) | 151 | ||||||
| 2 | Prudential Financial, Inc. | 193 | ||||||
|
| |||||||
| 516 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.1% | ||||||||
| 6 | RLJ Lodging Trust | 178 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 13 | ||||||
Table of Contents
JPMorgan Intrepid Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Real Estate Management & Development — 0.3% |
| |||||||
| 1 | CBRE Group, Inc., Class A (a) | 42 | ||||||
|
| |||||||
Total Financials | 2,691 | |||||||
|
| |||||||
Health Care — 14.3% |
| |||||||
Biotechnology — 3.1% |
| |||||||
| 1 | Amgen, Inc. | 145 | ||||||
| 3 | Gilead Sciences, Inc. (a) | 224 | ||||||
| 1 | Vertex Pharmaceuticals, Inc. (a) | 140 | ||||||
|
| |||||||
| 509 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 4.2% | ||||||||
| 15 | Boston Scientific Corp. (a) | 185 | ||||||
| 3 | CareFusion Corp. (a) | 112 | ||||||
| 1 | Covidien plc, (Ireland) | 122 | ||||||
| 2 | Medtronic, Inc. | 118 | ||||||
| 2 | Stryker Corp. | 156 | ||||||
|
| |||||||
| 693 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.0% | ||||||||
| 1 | Cardinal Health, Inc. | 77 | ||||||
| 3 | Cigna Corp. | 248 | ||||||
| 1 | McKesson Corp. | 189 | ||||||
| 1 | WellPoint, Inc. | 151 | ||||||
|
| |||||||
| 665 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.6% | ||||||||
| 2 | Quintiles Transnational Holdings, Inc. (a) | 101 | ||||||
|
| |||||||
Pharmaceuticals — 2.4% | ||||||||
| 3 | Merck & Co., Inc. | 181 | ||||||
| 8 | Pfizer, Inc. | 225 | ||||||
|
| |||||||
| 406 | ||||||||
|
| |||||||
Total Health Care | 2,374 | |||||||
|
| |||||||
Industrials — 9.2% | ||||||||
Aerospace & Defense — 3.2% | ||||||||
| 1 | Boeing Co. (The) | 63 | ||||||
| 1 | General Dynamics Corp. | 140 | ||||||
| 1 | Honeywell International, Inc. | 56 | ||||||
| 2 | Northrop Grumman Corp. | 269 | ||||||
|
| |||||||
| 528 | ||||||||
|
| |||||||
Airlines — 1.3% | ||||||||
| 2 | Delta Air Lines, Inc. | 68 | ||||||
| 4 | Southwest Airlines Co. | 105 | ||||||
| 1 | United Continental Holdings, Inc. (a) | 38 | ||||||
|
| |||||||
| 211 | ||||||||
|
| |||||||
Construction & Engineering — 1.8% | ||||||||
| 5 | AECOM Technology Corp. (a) | 150 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Construction & Engineering — continued | ||||||||
| 1 | Chicago Bridge & Iron Co. N.V., (Netherlands) | 94 | ||||||
| 1 | Fluor Corp. | 63 | ||||||
|
| |||||||
| 307 | ||||||||
|
| |||||||
Machinery — 2.7% | ||||||||
| 1 | Caterpillar, Inc. | 82 | ||||||
| 2 | Ingersoll-Rand plc | 144 | ||||||
| 1 | Parker Hannifin Corp. | 94 | ||||||
| 3 | Terex Corp. | 129 | ||||||
|
| |||||||
| 449 | ||||||||
|
| |||||||
Professional Services — 0.2% | ||||||||
| — | (h) | Manpowergroup, Inc. | 40 | |||||
|
| |||||||
Total Industrials | 1,535 | |||||||
|
| |||||||
Information Technology — 21.0% |
| |||||||
Communications Equipment — 3.1% |
| |||||||
| 11 | Cisco Systems, Inc. | 271 | ||||||
| 1 | Harris Corp. | 59 | ||||||
| 2 | QUALCOMM, Inc. | 190 | ||||||
|
| |||||||
| 520 | ||||||||
|
| |||||||
Internet Software & Services — 2.7% | ||||||||
| — | (h) | Google, Inc., Class A (a) | 80 | |||||
| — | (h) | Google, Inc., Class C (a) | 179 | |||||
| 5 | Yahoo!, Inc. (a) | 181 | ||||||
|
| |||||||
| 440 | ||||||||
|
| |||||||
IT Services — 0.1% | ||||||||
| 1 | CSG Systems International, Inc. | 20 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.5% |
| |||||||
| 4 | Broadcom Corp., Class A | 158 | ||||||
| 2 | KLA-Tencor Corp. | 160 | ||||||
| 1 | Lam Research Corp. | 91 | ||||||
|
| |||||||
| 409 | ||||||||
|
| |||||||
Software — 5.9% | ||||||||
| 14 | Microsoft Corp. | 594 | ||||||
| 4 | Oracle Corp. | 173 | ||||||
| 4 | Rovi Corp. (a) | 98 | ||||||
| 5 | Symantec Corp. | 119 | ||||||
|
| |||||||
| 984 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.7% |
| |||||||
| 8 | Apple, Inc. | 712 | ||||||
| 8 | Hewlett-Packard Co. | 277 | ||||||
| 1 | SanDisk Corp. | 123 | ||||||
|
| |||||||
| 1,112 | ||||||||
|
| |||||||
Total Information Technology | 3,485 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Materials — 1.7% |
| |||||||
Chemicals — 0.7% |
| |||||||
| 2 | Dow Chemical Co. (The) | 103 | ||||||
|
| |||||||
Containers & Packaging — 0.6% | ||||||||
| 2 | Crown Holdings, Inc. (a) | 102 | ||||||
|
| |||||||
Paper & Forest Products — 0.4% | ||||||||
| 5 | Louisiana-Pacific Corp. (a) | 69 | ||||||
|
| |||||||
Total Materials | 274 | |||||||
|
| |||||||
Telecommunication Services — 2.3% |
| |||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
| 5 | AT&T, Inc. | 195 | ||||||
| 5 | CenturyLink, Inc. | 183 | ||||||
|
| |||||||
Total Telecommunication Services | 378 | |||||||
|
| |||||||
Utilities — 1.5% |
| |||||||
Gas Utilities — 0.8% |
| |||||||
| 3 | UGI Corp. | 135 | ||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 0.7% |
| |||||||
| 8 | AES Corp. | 118 | ||||||
|
| |||||||
Total Utilities | 253 | |||||||
|
| |||||||
Total Common Stocks | 16,044 | |||||||
|
| |||||||
| Short-Term Investment — 3.5% |
| ||||||
Investment Company — 3.5% | ||||||||
| 578 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) (Cost $578) | 578 | ||||||
|
| |||||||
Total Investments — 100.1% | 16,622 | |||||||
Liabilities in Excess of | (9 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 16,613 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 15 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 97.9% | |||||||
Consumer Discretionary — 11.7% | ||||||||
Auto Components — 0.8% | ||||||||
| 326 | Delphi Automotive plc, (United Kingdom) | 22,389 | ||||||
|
| |||||||
Diversified Consumer Services — 1.7% | ||||||||
| 732 | Apollo Education Group, Inc. (a) | 22,881 | ||||||
| 20 | Graham Holdings Co., Class B | 14,506 | ||||||
| 396 | H&R Block, Inc. | 13,264 | ||||||
|
| |||||||
| 50,651 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.4% | ||||||||
| 410 | Burger King Worldwide, Inc. | 11,168 | ||||||
|
| |||||||
Household Durables — 1.1% | ||||||||
| 217 | Jarden Corp. (a) | 12,870 | ||||||
| 465 | PulteGroup, Inc. | 9,371 | ||||||
| 77 | Whirlpool Corp. | 10,664 | ||||||
|
| |||||||
| 32,905 | ||||||||
|
| |||||||
Internet & Catalog Retail — 1.6% | ||||||||
| 41 | Priceline Group, Inc. (The) (a) | 48,721 | ||||||
|
| |||||||
Media — 3.2% | ||||||||
| 141 | Starz, Series A (a) | 4,212 | ||||||
| 164 | Time Warner Cable, Inc. | 24,098 | ||||||
| 68 | Time Warner, Inc. | 4,791 | ||||||
| 9 | Time, Inc. (a) | 207 | ||||||
| 711 | Viacom, Inc., Class B | 61,639 | ||||||
|
| |||||||
| 94,947 | ||||||||
|
| |||||||
Multiline Retail — 1.2% | ||||||||
| 127 | Dillard’s, Inc., Class A | 14,763 | ||||||
| 366 | Macy’s, Inc. | 21,241 | ||||||
|
| |||||||
| 36,004 | ||||||||
|
| |||||||
Specialty Retail — 1.2% | ||||||||
| 177 | Best Buy Co., Inc. | 5,501 | ||||||
| 321 | GameStop Corp., Class A | 13,003 | ||||||
| 380 | Lowe’s Cos., Inc. | 18,251 | ||||||
|
| |||||||
| 36,755 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% | ||||||||
| 152 | Hanesbrands, Inc. | 15,002 | ||||||
|
| |||||||
Total Consumer Discretionary | 348,542 | |||||||
|
| |||||||
Consumer Staples — 9.4% | ||||||||
Beverages — 0.3% | ||||||||
| 110 | Molson Coors Brewing Co., Class B | 8,165 | ||||||
|
| |||||||
Food & Staples Retailing — 2.0% | ||||||||
| 152 | CVS Caremark Corp. | 11,426 | ||||||
| 561 | Kroger Co. (The) | 27,750 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Food & Staples Retailing — continued | ||||||||
| 285 | Walgreen Co. | 21,149 | ||||||
|
| |||||||
| 60,325 | ||||||||
|
| |||||||
Food Products — 3.9% | ||||||||
| 1,401 | Archer-Daniels-Midland Co. | 61,794 | ||||||
| 163 | Bunge Ltd. | 12,314 | ||||||
| 113 | Ingredion, Inc. | 8,442 | ||||||
| 839 | Pilgrim’s Pride Corp. (a) | 22,941 | ||||||
| 322 | Tyson Foods, Inc., Class A | 12,081 | ||||||
|
| |||||||
| 117,572 | ||||||||
|
| |||||||
Household Products — 0.9% | ||||||||
| 192 | Energizer Holdings, Inc. | 23,466 | ||||||
| 52 | Spectrum Brands Holdings, Inc. | 4,474 | ||||||
|
| |||||||
| 27,940 | ||||||||
|
| |||||||
Personal Products — 1.1% | ||||||||
| 348 | Herbalife Ltd. | 22,460 | ||||||
| 118 | Nu Skin Enterprises, Inc., Class A | 8,727 | ||||||
|
| |||||||
| 31,187 | ||||||||
|
| |||||||
Tobacco — 1.2% | ||||||||
| 282 | Altria Group, Inc. | 11,810 | ||||||
| 390 | Lorillard, Inc. | 23,748 | ||||||
|
| |||||||
| 35,558 | ||||||||
|
| |||||||
Total Consumer Staples | 280,747 | |||||||
|
| |||||||
Energy — 10.4% | ||||||||
Energy Equipment & Services — 5.0% | ||||||||
| 334 | Baker Hughes, Inc. | 24,852 | ||||||
| 267 | Halliburton Co. | 18,924 | ||||||
| 811 | National Oilwell Varco, Inc. | 66,745 | ||||||
| 754 | Patterson-UTI Energy, Inc. | 26,327 | ||||||
| 102 | Schlumberger Ltd. | 12,007 | ||||||
|
| |||||||
| 148,855 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.4% | ||||||||
| 57 | Chevron Corp. | 7,441 | ||||||
| 920 | ConocoPhillips | 78,872 | ||||||
| 240 | Marathon Petroleum Corp. | 18,745 | ||||||
| 557 | Phillips 66 | 44,767 | ||||||
| 173 | Tesoro Corp. | 10,138 | ||||||
|
| |||||||
| 159,963 | ||||||||
|
| |||||||
Total Energy | 308,818 | |||||||
|
| |||||||
Financials — 13.8% | ||||||||
Banks — 5.5% | ||||||||
| 1,080 | Fifth Third Bancorp | 23,060 | ||||||
| 762 | KeyCorp | 10,925 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Banks — continued | ||||||||
| 320 | PNC Financial Services Group, Inc. (The) | 28,452 | ||||||
| 1,935 | Wells Fargo & Co. | 101,690 | ||||||
|
| |||||||
| 164,127 | ||||||||
|
| |||||||
Capital Markets — 0.8% | ||||||||
| 212 | Ameriprise Financial, Inc. | 25,440 | ||||||
|
| |||||||
Consumer Finance — 1.7% | ||||||||
| 804 | Discover Financial Services | 49,801 | ||||||
|
| |||||||
Insurance — 3.8% | ||||||||
| 601 | Allstate Corp. (The) | 35,308 | ||||||
| 180 | Aspen Insurance Holdings Ltd., (Bermuda) | 8,175 | ||||||
| 616 | CNO Financial Group, Inc. | 10,965 | ||||||
| 116 | Everest Re Group Ltd., (Bermuda) | 18,665 | ||||||
| 248 | Lincoln National Corp. | 12,752 | ||||||
| 4 | Protective Life Corp. | 243 | ||||||
| 60 | Prudential Financial, Inc. | 5,291 | ||||||
| 220 | Travelers Cos., Inc. (The) | 20,658 | ||||||
|
| |||||||
| 112,057 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.9% |
| |||||||
| 231 | American Tower Corp. | 20,794 | ||||||
| 231 | Extra Space Storage, Inc. | 12,296 | ||||||
| 243 | Geo Group, Inc. (The) | 8,679 | ||||||
| 117 | Hospitality Properties Trust | 3,569 | ||||||
| 411 | RLJ Lodging Trust | 11,885 | ||||||
|
| |||||||
| 57,223 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.1% | ||||||||
| 166 | Washington Federal, Inc. | 3,726 | ||||||
|
| |||||||
Total Financials | 412,374 | |||||||
|
| |||||||
Health Care — 13.3% | ||||||||
Biotechnology — 3.1% | ||||||||
| 427 | Amgen, Inc. | 50,544 | ||||||
| 237 | United Therapeutics Corp. (a) | 20,954 | ||||||
| 240 | Vertex Pharmaceuticals, Inc. (a) | 22,695 | ||||||
|
| |||||||
| 94,193 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.2% | ||||||||
| 122 | CareFusion Corp. (a) | 5,424 | ||||||
| 945 | Medtronic, Inc. | 60,228 | ||||||
|
| |||||||
| 65,652 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.6% | ||||||||
| 240 | Health Net, Inc. (a) | 9,961 | ||||||
| 341 | McKesson Corp. | 63,572 | ||||||
| 594 | WellPoint, Inc. | 63,964 | ||||||
|
| |||||||
| 137,497 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Pharmaceuticals — 3.4% | ||||||||
| 241 | Merck & Co., Inc. | 13,919 | ||||||
| 2,738 | Pfizer, Inc. | 81,271 | ||||||
| 46 | Salix Pharmaceuticals Ltd. (a) | 5,711 | ||||||
|
| |||||||
| 100,901 | ||||||||
|
| |||||||
Total Health Care | 398,243 | |||||||
|
| |||||||
Industrials — 10.4% | ||||||||
Aerospace & Defense — 5.7% | ||||||||
| 425 | Boeing Co. (The) | 54,047 | ||||||
| 150 | Honeywell International, Inc. | 13,961 | ||||||
| 43 | Huntington Ingalls Industries, Inc. | 4,020 | ||||||
| 490 | Northrop Grumman Corp. | 58,667 | ||||||
| 423 | Raytheon Co. | 39,050 | ||||||
|
| |||||||
| 169,745 | ||||||||
|
| |||||||
Airlines — 2.3% | ||||||||
| 143 | Alaska Air Group, Inc. | 13,545 | ||||||
| 1,067 | Delta Air Lines, Inc. | 41,318 | ||||||
| 552 | Southwest Airlines Co. | 14,837 | ||||||
|
| |||||||
| 69,700 | ||||||||
|
| |||||||
Building Products — 0.0% (g) | ||||||||
| — | (h) | Allegion plc, (Ireland) | — | (h) | ||||
|
| |||||||
Commercial Services & Supplies — 0.9% | ||||||||
| 468 | Pitney Bowes, Inc. | 12,923 | ||||||
| 765 | R.R. Donnelley & Sons Co. | 12,978 | ||||||
|
| |||||||
| 25,901 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% | ||||||||
| 336 | AECOM Technology Corp. (a) | 10,826 | ||||||
|
| |||||||
Industrial Conglomerates — 0.1% | ||||||||
| 54 | Danaher Corp. | 4,267 | ||||||
|
| |||||||
Machinery — 1.0% | ||||||||
| 147 | IDEX Corp. | 11,828 | ||||||
| 76 | Parker Hannifin Corp. | 9,530 | ||||||
| 89 | SPX Corp. | 9,631 | ||||||
|
| |||||||
| 30,989 | ||||||||
|
| |||||||
Total Industrials | 311,428 | |||||||
|
| |||||||
Information Technology — 19.7% | ||||||||
Communications Equipment — 0.6% | ||||||||
| 1,819 | Brocade Communications Systems, Inc. | 16,737 | ||||||
|
| |||||||
Internet Software & Services — 2.0% | ||||||||
| 400 | VeriSign, Inc. (a) | 19,524 | ||||||
| 1,140 | Yahoo!, Inc. (a) | 40,045 | ||||||
|
| |||||||
| 59,569 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 17 | ||||||
Table of Contents
JPMorgan Intrepid America Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
IT Services — 2.7% | ||||||||
| 244 | Amdocs Ltd. | 11,323 | ||||||
| 210 | Computer Sciences Corp. | 13,285 | ||||||
| 104 | MasterCard, Inc., Class A | 7,656 | ||||||
| 227 | Visa, Inc., Class A | 47,894 | ||||||
|
| |||||||
| 80,158 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
| 20 | Broadcom Corp., Class A | 757 | ||||||
| 335 | KLA-Tencor Corp. | 24,298 | ||||||
| 315 | Lam Research Corp. | 21,288 | ||||||
| 790 | Marvell Technology Group Ltd., (Bermuda) | 11,326 | ||||||
| 303 | NVIDIA Corp. | 5,612 | ||||||
|
| |||||||
| 63,281 | ||||||||
|
| |||||||
Software — 6.1% | ||||||||
| 1,086 | Activision Blizzard, Inc. | 24,211 | ||||||
| 276 | CA, Inc. | 7,938 | ||||||
| 2,269 | Microsoft Corp. | 94,634 | ||||||
| 1,379 | Oracle Corp. | 55,907 | ||||||
|
| |||||||
| 182,690 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.2% |
| |||||||
| 490 | Apple, Inc. | 45,563 | ||||||
| 1,958 | Hewlett-Packard Co. | 65,959 | ||||||
| 463 | Lexmark International, Inc., Class A | 22,279 | ||||||
| 253 | SanDisk Corp. | 26,368 | ||||||
| 264 | Western Digital Corp. | 24,386 | ||||||
|
| |||||||
| 184,555 | ||||||||
|
| |||||||
Total Information Technology | 586,990 | |||||||
|
| |||||||
Materials — 3.4% | ||||||||
Chemicals — 2.6% | ||||||||
| 261 | LyondellBasell Industries N.V., Class A | 25,448 | ||||||
| 248 | PPG Industries, Inc. | 52,146 | ||||||
|
| |||||||
| 77,594 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — 0.8% | ||||||||
| 662 | Sealed Air Corp. | 22,610 | ||||||
|
| |||||||
Total Materials | 100,204 | |||||||
|
| |||||||
Telecommunication Services — 2.3% | ||||||||
Diversified Telecommunication Services — 2.3% |
| |||||||
| 781 | AT&T, Inc. | 27,599 | ||||||
| 209 | CenturyLink, Inc. | 7,581 | ||||||
| 1,528 | Frontier Communications Corp. | 8,925 | ||||||
| 480 | Verizon Communications, Inc. | 23,496 | ||||||
|
| |||||||
Total Telecommunication Services | 67,601 | |||||||
|
| |||||||
Utilities — 3.5% | ||||||||
Electric Utilities — 0.9% | ||||||||
| 315 | Entergy Corp. | 25,826 | ||||||
|
| |||||||
Gas Utilities — 1.1% | ||||||||
| 198 | AGL Resources, Inc. | 10,917 | ||||||
| 433 | UGI Corp. | 21,856 | ||||||
|
| |||||||
| 32,773 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity Producers — 1.5% |
| |||||||
| 1,411 | AES Corp. | 21,935 | ||||||
| 709 | Dynegy, Inc. (a) | 24,687 | ||||||
|
| |||||||
| 46,622 | ||||||||
|
| |||||||
Total Utilities | 105,221 | |||||||
|
| |||||||
Total Common Stocks | 2,920,168 | |||||||
|
| |||||||
| Short-Term Investment — 2.4% | |||||||
Investment Company — 2.4% | ||||||||
| 71,246 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 71,246 | ||||||
|
| |||||||
Total Investments — 100.3% | 2,991,414 | |||||||
Liabilities in Excess of | (7,781 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 2,983,633 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 613 | E-mini S&P 500 | 09/19/14 | $ | 59,841 | $ | 483 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 98.7% | |||||||
Consumer Discretionary — 18.8% | ||||||||
Auto Components — 0.6% | ||||||||
| 63 | Delphi Automotive plc, (United Kingdom) | 4,310 | ||||||
|
| |||||||
Diversified Consumer Services — 1.4% | ||||||||
| 62 | Apollo Education Group, Inc. (a) | 1,925 | ||||||
| 8 | Graham Holdings Co., Class B | 5,960 | ||||||
| 93 | H&R Block, Inc. | 3,104 | ||||||
|
| |||||||
| 10,989 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.1% | ||||||||
| 86 | Bally Technologies, Inc. (a) | 5,659 | ||||||
| 54 | Burger King Worldwide, Inc. | 1,475 | ||||||
| 4 | Chipotle Mexican Grill, Inc. (a) | 2,607 | ||||||
| 53 | MGM Resorts International (a) | 1,402 | ||||||
| 27 | Wynn Resorts Ltd. | 5,500 | ||||||
|
| |||||||
| 16,643 | ||||||||
|
| |||||||
Household Durables — 1.2% | ||||||||
| 9 | Harman International Industries, Inc. | 913 | ||||||
| 56 | Jarden Corp. (a) | 3,341 | ||||||
| 123 | PulteGroup, Inc. | 2,470 | ||||||
| 16 | Whirlpool Corp. | 2,214 | ||||||
|
| |||||||
| 8,938 | ||||||||
|
| |||||||
Internet & Catalog Retail — 2.6% | ||||||||
| 15 | Priceline Group, Inc. (The) (a) | 18,406 | ||||||
| 15 | TripAdvisor, Inc. (a) | 1,673 | ||||||
|
| |||||||
| 20,079 | ||||||||
|
| |||||||
Media — 5.1% | ||||||||
| 107 | DIRECTV (a) | 9,062 | ||||||
| 86 | DISH Network Corp., Class A (a) | 5,604 | ||||||
| 176 | Starz, Series A (a) | 5,228 | ||||||
| 13 | Time Warner Cable, Inc. | 1,841 | ||||||
| 207 | Viacom, Inc., Class B | 17,927 | ||||||
|
| |||||||
| 39,662 | ||||||||
|
| |||||||
Multiline Retail — 1.7% | ||||||||
| 48 | Dillard’s, Inc., Class A | 5,574 | ||||||
| 26 | Kohl’s Corp. | 1,349 | ||||||
| 108 | Macy’s, Inc. | 6,283 | ||||||
|
| |||||||
| 13,206 | ||||||||
|
| |||||||
Specialty Retail — 2.8% | ||||||||
| 74 | Best Buy Co., Inc. | 2,304 | ||||||
| 211 | Home Depot, Inc. (The) | 17,115 | ||||||
| 56 | Lowe’s Cos., Inc. | 2,683 | ||||||
|
| |||||||
| 22,102 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Textiles, Apparel & Luxury Goods — 1.3% | ||||||||
| 38 | Deckers Outdoor Corp. (a) | 3,263 | ||||||
| 71 | Hanesbrands, Inc. | 6,940 | ||||||
|
| |||||||
| 10,203 | ||||||||
|
| |||||||
Total Consumer Discretionary | 146,132 | |||||||
|
| |||||||
Consumer Staples — 11.4% | ||||||||
Beverages — 2.2% | ||||||||
| 101 | Coca-Cola Co. (The) | 4,291 | ||||||
| 51 | Molson Coors Brewing Co., Class B | 3,789 | ||||||
| 105 | PepsiCo, Inc. | 9,390 | ||||||
|
| |||||||
| 17,470 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.2% | ||||||||
| 216 | Kroger Co. (The) | 10,677 | ||||||
| 84 | Walgreen Co. | 6,234 | ||||||
|
| |||||||
| 16,911 | ||||||||
|
| |||||||
Food Products — 3.6% | ||||||||
| 334 | Archer-Daniels-Midland Co. | 14,711 | ||||||
| 46 | Bunge Ltd. | 3,487 | ||||||
| 233 | Pilgrim’s Pride Corp. (a) | 6,361 | ||||||
| 88 | Tyson Foods, Inc., Class A | 3,285 | ||||||
|
| |||||||
| 27,844 | ||||||||
|
| |||||||
Household Products — 0.5% | ||||||||
| 32 | Energizer Holdings, Inc. | 3,942 | ||||||
|
| |||||||
Personal Products — 1.1% | ||||||||
| 95 | Herbalife Ltd. | 6,125 | ||||||
| 31 | Nu Skin Enterprises, Inc., Class A | 2,270 | ||||||
|
| |||||||
| 8,395 | ||||||||
|
| |||||||
Tobacco — 1.8% | ||||||||
| 326 | Altria Group, Inc. | 13,652 | ||||||
|
| |||||||
Total Consumer Staples | 88,214 | |||||||
|
| |||||||
Energy — 5.6% | ||||||||
Energy Equipment & Services — 2.6% | ||||||||
| 154 | Baker Hughes, Inc. | 11,450 | ||||||
| 189 | Patterson-UTI Energy, Inc. | 6,586 | ||||||
| 15 | Schlumberger Ltd. | 1,758 | ||||||
|
| |||||||
| 19,794 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% | ||||||||
| 49 | ConocoPhillips | 4,175 | ||||||
| 355 | Kosmos Energy Ltd., (Bermuda) (a) | 3,991 | ||||||
| 24 | Marathon Petroleum Corp. | 1,889 | ||||||
| 133 | Phillips 66 | 10,681 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 19 | ||||||
Table of Contents
JPMorgan Intrepid Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | �� | |||||
| Common Stocks — continued | |||||||
Oil, Gas & Consumable Fuels — continued | ||||||||
| 47 | Tesoro Corp. | 2,746 | ||||||
|
| |||||||
| 23,482 | ||||||||
|
| |||||||
Total Energy | 43,276 | |||||||
|
| |||||||
Financials — 3.8% | ||||||||
Consumer Finance — 1.7% | ||||||||
| 205 | Discover Financial Services | 12,718 | ||||||
|
| |||||||
Insurance — 0.2% | ||||||||
| 11 | Assurant, Inc. | 747 | ||||||
| 26 | Validus Holdings Ltd., (Bermuda) | 1,010 | ||||||
|
| |||||||
| 1,757 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 1.9% | ||||||||
| 128 | American Tower Corp. | 11,518 | ||||||
| 65 | Extra Space Storage, Inc. | 3,472 | ||||||
|
| |||||||
| 14,990 | ||||||||
|
| |||||||
Total Financials | 29,465 | |||||||
|
| |||||||
Health Care — 12.8% | ||||||||
Biotechnology — 6.7% | ||||||||
| 10 | Alexion Pharmaceuticals, Inc. (a) | 1,609 | ||||||
| 143 | Amgen, Inc. | 16,903 | ||||||
| 255 | Gilead Sciences, Inc. (a) | 21,126 | ||||||
| 63 | United Therapeutics Corp. (a) | 5,548 | ||||||
| 71 | Vertex Pharmaceuticals, Inc. (a) | 6,713 | ||||||
|
| |||||||
| 51,899 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% | ||||||||
| 14 | Align Technology, Inc. (a) | 757 | ||||||
| 82 | Medtronic, Inc. | 5,228 | ||||||
|
| |||||||
| 5,985 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% | ||||||||
| 44 | Cardinal Health, Inc. | 3,003 | ||||||
| 55 | Health Net, Inc. (a) | 2,304 | ||||||
| 94 | McKesson Corp. | 17,448 | ||||||
| 71 | WellPoint, Inc. | 7,619 | ||||||
|
| |||||||
| 30,374 | ||||||||
|
| |||||||
Pharmaceuticals — 1.4% | ||||||||
| 333 | Pfizer, Inc. | 9,874 | ||||||
| 12 | Salix Pharmaceuticals Ltd. (a) | 1,524 | ||||||
|
| |||||||
| 11,398 | ||||||||
|
| |||||||
Total Health Care | 99,656 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 12.0% | ||||||||
Aerospace & Defense — 5.3% | ||||||||
| 141 | Boeing Co. (The) | 17,876 | ||||||
| 10 | Huntington Ingalls Industries, Inc. | 908 | ||||||
| 128 | Northrop Grumman Corp. | 15,348 | ||||||
| 79 | Raytheon Co. | 7,297 | ||||||
|
| |||||||
| 41,429 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.5% | ||||||||
| 35 | United Parcel Service, Inc., Class B | 3,583 | ||||||
|
| |||||||
Airlines — 2.8% | ||||||||
| 37 | Alaska Air Group, Inc. (m) | 3,526 | ||||||
| 308 | Delta Air Lines, Inc. | 11,938 | ||||||
| 242 | Southwest Airlines Co. | 6,489 | ||||||
|
| |||||||
| 21,953 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.1% | ||||||||
| 219 | Pitney Bowes, Inc. | 6,049 | ||||||
| 161 | R.R. Donnelley & Sons Co. | 2,729 | ||||||
|
| |||||||
| 8,778 | ||||||||
|
| |||||||
Construction & Engineering — 0.1% | ||||||||
| 32 | AECOM Technology Corp. (a) (m) | 1,034 | ||||||
|
| |||||||
Industrial Conglomerates — 0.5% | ||||||||
| 44 | Danaher Corp. | 3,440 | ||||||
|
| |||||||
Machinery — 1.7% | ||||||||
| 42 | IDEX Corp. | 3,375 | ||||||
| 73 | Ingersoll-Rand plc | 4,582 | ||||||
| 41 | Parker Hannifin Corp. | 5,142 | ||||||
|
| |||||||
| 13,099 | ||||||||
|
| |||||||
Total Industrials | 93,316 | |||||||
|
| |||||||
Information Technology — 27.8% | ||||||||
Communications Equipment — 0.9% | ||||||||
| 658 | Brocade Communications Systems, Inc. | 6,054 | ||||||
| 17 | QUALCOMM, Inc. | 1,354 | ||||||
|
| |||||||
| 7,408 | ||||||||
|
| |||||||
Internet Software & Services — 4.8% | ||||||||
| 12 | Google, Inc., Class A (a) | 6,841 | ||||||
| 13 | Google, Inc., Class C (a) | 7,536 | ||||||
| 57 | IAC/InterActiveCorp | 3,974 | ||||||
| 106 | VeriSign, Inc. (a) | 5,179 | ||||||
| 385 | Yahoo!, Inc. (a) | 13,535 | ||||||
|
| |||||||
| 37,065 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
IT Services — 3.3% | ||||||||
| 13 | Alliance Data Systems Corp. (a) | 3,727 | ||||||
| 69 | Amdocs Ltd. | 3,188 | ||||||
| 25 | Computer Sciences Corp. | 1,580 | ||||||
| 16 | Syntel, Inc. (a) | 1,332 | ||||||
| 75 | Visa, Inc., Class A | 15,719 | ||||||
|
| |||||||
| 25,546 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
| 18 | Broadcom Corp., Class A | 664 | ||||||
| 24 | KLA-Tencor Corp. | 1,751 | ||||||
| 88 | Lam Research Corp. | 5,960 | ||||||
| 198 | NVIDIA Corp. | 3,662 | ||||||
| 129 | Skyworks Solutions, Inc. | 6,044 | ||||||
|
| |||||||
| 18,081 | ||||||||
|
| |||||||
Software — 9.9% | ||||||||
| 405 | Activision Blizzard, Inc. (m) | 9,031 | ||||||
| 770 | Microsoft Corp. | 32,094 | ||||||
| 630 | Oracle Corp. | 25,530 | ||||||
| 134 | Rovi Corp. (a) | 3,211 | ||||||
| 68 | VMware, Inc., Class A (a) | 6,622 | ||||||
|
| |||||||
| 76,488 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.6% |
| |||||||
| 294 | Apple, Inc. | 27,279 | ||||||
| 330 | Hewlett-Packard Co. | 11,118 | ||||||
| 60 | SanDisk Corp. | 6,297 | ||||||
| 71 | Western Digital Corp. | 6,572 | ||||||
|
| |||||||
| 51,266 | ||||||||
|
| |||||||
Total Information Technology | 215,854 | |||||||
|
| |||||||
Materials — 4.0% | ||||||||
Chemicals — 2.9% | ||||||||
| 133 | LyondellBasell Industries N.V., Class A | 12,968 | ||||||
| 44 | PPG Industries, Inc. | 9,327 | ||||||
|
| |||||||
| 22,295 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Containers & Packaging — 0.8% | ||||||||
| 180 | Sealed Air Corp. | 6,161 | ||||||
|
| |||||||
Metals & Mining — 0.3% | ||||||||
| 65 | Worthington Industries, Inc. | 2,793 | ||||||
|
| |||||||
Total Materials | 31,249 | |||||||
|
| |||||||
Telecommunication Services — 2.1% | ||||||||
Diversified Telecommunication Services — 2.1% |
| |||||||
| 250 | AT&T, Inc. (m) | 8,822 | ||||||
| 74 | CenturyLink, Inc. | 2,694 | ||||||
| 107 | Level 3 Communications, Inc. (a) | 4,677 | ||||||
|
| |||||||
Total Telecommunication Services | 16,193 | |||||||
|
| |||||||
Utilities — 0.4% | ||||||||
Independent Power & Renewable Electricity Producers — 0.4% |
| |||||||
| 90 | Dynegy, Inc. (a) | 3,132 | ||||||
|
| |||||||
Total Common Stocks | 766,487 | |||||||
|
| |||||||
| Short-Term Investment — 2.0% | |||||||
Investment Company — 2.0% |
| |||||||
| 15,497 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 15,497 | ||||||
|
| |||||||
Total Investments — 100.7% | 781,984 | |||||||
Liabilities in Excess of | (5,802 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 776,182 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 95 | E-mini S&P 500 | 09/19/14 | $ | 9,274 | $ | 91 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 21 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.9% | |||||||
Consumer Discretionary — 10.3% | ||||||||
Auto Components — 1.8% | ||||||||
| 98 | Goodyear Tire & Rubber Co. (The) | 2,725 | ||||||
| 89 | Lear Corp. | 7,968 | ||||||
|
| |||||||
| 10,693 | ||||||||
|
| |||||||
Distributors — 0.1% | ||||||||
| 2 | Genuine Parts Co. | 211 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.2% | ||||||||
| 20 | Brinker International, Inc. | 983 | ||||||
| 1 | Wynn Resorts Ltd. | 270 | ||||||
|
| |||||||
| 1,253 | ||||||||
|
| |||||||
Household Durables — 0.4% | ||||||||
| 42 | Jarden Corp. (a) | 2,510 | ||||||
|
| |||||||
Internet & Catalog Retail — 1.4% | ||||||||
| 115 | Liberty Ventures, Series A (a) | 8,450 | ||||||
|
| |||||||
Media — 0.5% | ||||||||
| 21 | CBS Outdoor Americas, Inc. | 696 | ||||||
| 80 | Markit Ltd., (United Kingdom) (a) | 2,156 | ||||||
|
| |||||||
| 2,852 | ||||||||
|
| |||||||
Multiline Retail — 1.8% | ||||||||
| 189 | Macy’s, Inc. | 10,954 | ||||||
|
| |||||||
Specialty Retail — 3.8% | ||||||||
| 19 | Advance Auto Parts, Inc. (m) | 2,550 | ||||||
| 262 | Best Buy Co., Inc. | 8,112 | ||||||
| 193 | Foot Locker, Inc. | 9,784 | ||||||
| 26 | Gap, Inc. (The) | 1,089 | ||||||
| 37 | Michaels Cos., Inc. (The) (a) | 627 | ||||||
| 12 | Murphy USA, Inc. (a) | 592 | ||||||
|
| |||||||
| 22,754 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.3% | ||||||||
| 18 | Hanesbrands, Inc. | 1,811 | ||||||
|
| |||||||
Total Consumer Discretionary | 61,488 | |||||||
|
| |||||||
Consumer Staples — 7.4% | ||||||||
Food & Staples Retailing — 2.2% |
| |||||||
| 77 | Kroger Co. (The) | 3,781 | ||||||
| 850 | Rite Aid Corp. (a) | 6,092 | ||||||
| 103 | Safeway, Inc. | 3,541 | ||||||
|
| |||||||
| 13,414 | ||||||||
|
| |||||||
Food Products — 3.5% | ||||||||
| 138 | Bunge Ltd. | 10,408 | ||||||
| 75 | Ingredion, Inc. | 5,606 | ||||||
| 126 | Tyson Foods, Inc., Class A | 4,734 | ||||||
|
| |||||||
| 20,748 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Personal Products — 0.3% |
| |||||||
| 25 | Herbalife Ltd. | 1,581 | ||||||
|
| |||||||
Tobacco — 1.4% |
| |||||||
| 143 | Lorillard, Inc. | 8,725 | ||||||
|
| |||||||
Total Consumer Staples | 44,468 | |||||||
|
| |||||||
Energy — 5.8% | ||||||||
Energy Equipment & Services — 0.9% |
| |||||||
| 7 | Baker Hughes, Inc. | 506 | ||||||
| 14 | National Oilwell Varco, Inc. | 1,137 | ||||||
| 42 | Oil States International, Inc. (a) | 2,663 | ||||||
| 28 | Patterson-UTI Energy, Inc. | 989 | ||||||
|
| |||||||
| 5,295 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.9% |
| |||||||
| 35 | Cabot Oil & Gas Corp. | 1,209 | ||||||
| 29 | Cimarex Energy Co. | 4,110 | ||||||
| 8 | Continental Resources, Inc. (a) | 1,312 | ||||||
| 33 | Eclipse Resources Corp. (a) | 834 | ||||||
| 105 | EQT Corp. | 11,192 | ||||||
| 15 | Marathon Petroleum Corp. | 1,155 | ||||||
| 19 | Memorial Resource Development Corp. (a) | 451 | ||||||
| 44 | Murphy Oil Corp. | 2,918 | ||||||
| 31 | Newfield Exploration Co. (a) | 1,370 | ||||||
| 7 | Noble Energy, Inc. | 504 | ||||||
| 25 | Peabody Energy Corp. | 401 | ||||||
| 28 | Tesoro Corp. | 1,660 | ||||||
| 28 | Valero Energy Corp. | 1,388 | ||||||
| 19 | World Fuel Services Corp. | 950 | ||||||
|
| |||||||
| 29,454 | ||||||||
|
| |||||||
Total Energy | 34,749 | |||||||
|
| |||||||
Financials — 17.3% | ||||||||
Banks — 2.4% |
| |||||||
| 70 | East West Bancorp, Inc. | 2,463 | ||||||
| 135 | Fifth Third Bancorp | 2,880 | ||||||
| 78 | Huntington Bancshares, Inc. | 744 | ||||||
| 184 | KeyCorp | 2,634 | ||||||
| 101 | Regions Financial Corp. | 1,067 | ||||||
| 39 | SVB Financial Group (a) | 4,537 | ||||||
|
| |||||||
| 14,325 | ||||||||
|
| |||||||
Capital Markets — 0.8% |
| |||||||
| 15 | Affiliated Managers Group, Inc. (a) | 3,142 | ||||||
| 12 | Lazard Ltd., (Bermuda), Class A | 619 | ||||||
| 33 | TD Ameritrade Holding Corp. | 1,044 | ||||||
|
| |||||||
| 4,805 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Consumer Finance — 1.9% |
| |||||||
| 66 | Ally Financial, Inc. (a) | 1,576 | ||||||
| 154 | Discover Financial Services | 9,514 | ||||||
|
| |||||||
| 11,090 | ||||||||
|
| |||||||
Diversified Financial Services — 0.2% | ||||||||
| 35 | NASDAQ OMX Group, Inc. (The) | 1,346 | ||||||
|
| |||||||
Insurance — 4.4% | ||||||||
| 56 | Allied World Assurance Co. Holdings AG, (Switzerland) | 2,133 | ||||||
| 58 | American Financial Group, Inc. | 3,425 | ||||||
| 18 | Aon plc, (United Kingdom) | 1,595 | ||||||
| 21 | Arch Capital Group Ltd., (Bermuda) (a) | 1,226 | ||||||
| 6 | Aspen Insurance Holdings Ltd., (Bermuda) | 286 | ||||||
| 28 | Assurant, Inc. | 1,826 | ||||||
| 94 | Assured Guaranty Ltd., (Bermuda) | 2,308 | ||||||
| 14 | Axis Capital Holdings Ltd., (Bermuda) | 602 | ||||||
| 6 | Everest Re Group Ltd., (Bermuda) | 1,011 | ||||||
| 11 | Fidelity National Financial, Inc., Class A | 368 | ||||||
| 37 | Hartford Financial Services Group, Inc. (The) | 1,336 | ||||||
| 26 | Lincoln National Corp. | 1,317 | ||||||
| 34 | Principal Financial Group, Inc. | 1,726 | ||||||
| 33 | Protective Life Corp. | 2,288 | ||||||
| 12 | Torchmark Corp. | 946 | ||||||
| 79 | Unum Group | 2,739 | ||||||
| 26 | Validus Holdings Ltd., (Bermuda) | 1,006 | ||||||
|
| |||||||
| 26,138 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 7.6% |
| |||||||
| 13 | American Capital Agency Corp. | 300 | ||||||
| 69 | Annaly Capital Management, Inc. | 785 | ||||||
| 63 | Apartment Investment & Management Co., Class A | 2,030 | ||||||
| 2 | AvalonBay Communities, Inc. | 327 | ||||||
| 7 | Boston Properties, Inc. | 851 | ||||||
| 61 | Brandywine Realty Trust | 947 | ||||||
| 12 | Camden Property Trust | 818 | ||||||
| 21 | Chimera Investment Corp. | 66 | ||||||
| 32 | CommonWealth REIT | 843 | ||||||
| 14 | Corrections Corp. of America | 457 | ||||||
| 16 | Crown Castle International Corp. | 1,196 | ||||||
| 41 | DDR Corp. | 719 | ||||||
| 35 | Douglas Emmett, Inc. (m) | 993 | ||||||
| 232 | Duke Realty Corp. | 4,218 | ||||||
| 39 | Equity Lifestyle Properties, Inc. | 1,700 | ||||||
| 16 | Equity Residential | 1,027 | ||||||
| 16 | Extra Space Storage, Inc. | 831 | ||||||
| 34 | Health Care REIT, Inc. | 2,137 | ||||||
| 120 | Hospitality Properties Trust | 3,634 | ||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Real Estate Investment Trusts (REITs) — continued |
| |||||||
| 80 | Host Hotels & Resorts, Inc. | 1,752 | ||||||
| 21 | Mack-Cali Realty Corp. | 449 | ||||||
| 12 | Mid-America Apartment Communities, Inc. | 877 | ||||||
| 31 | Post Properties, Inc. | 1,679 | ||||||
| 89 | Retail Properties of America, Inc., Class A | 1,375 | ||||||
| 6 | SL Green Realty Corp. | 700 | ||||||
| 28 | Taubman Centers, Inc. | 2,107 | ||||||
| 30 | Ventas, Inc. | 1,928 | ||||||
| 31 | Vornado Realty Trust | 3,287 | ||||||
| 170 | Weyerhaeuser Co. | 5,609 | ||||||
| 29 | WP Carey, Inc. | 1,842 | ||||||
|
| |||||||
| 45,484 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.0% (g) |
| |||||||
| 2 | Jones Lang LaSalle, Inc. | 278 | ||||||
|
| |||||||
Total Financials | 103,466 | |||||||
|
| |||||||
Health Care — 10.2% | ||||||||
Biotechnology — 1.8% |
| |||||||
| 15 | Alexion Pharmaceuticals, Inc. (a) | 2,281 | ||||||
| 41 | Incyte Corp., Ltd. (a) | 2,314 | ||||||
| 64 | Vertex Pharmaceuticals, Inc. (a) | 6,098 | ||||||
|
| |||||||
| 10,693 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% | ||||||||
| 40 | Boston Scientific Corp. (a) | 513 | ||||||
| 190 | CareFusion Corp. (a) | 8,404 | ||||||
| 6 | Cooper Cos., Inc. (The) | 786 | ||||||
| 169 | Hologic, Inc. (a) | 4,294 | ||||||
| 43 | Zimmer Holdings, Inc. | 4,456 | ||||||
|
| |||||||
| 18,453 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.3% | ||||||||
| 16 | AmerisourceBergen Corp. | 1,177 | ||||||
| 31 | Cardinal Health, Inc. | 2,132 | ||||||
| 87 | Catamaran Corp. (a) | 3,837 | ||||||
| 108 | HCA Holdings, Inc. (a) | 6,061 | ||||||
| 6 | Health Net, Inc. (a) | 233 | ||||||
| 48 | Humana, Inc. | 6,067 | ||||||
|
| |||||||
| 19,507 | ||||||||
|
| |||||||
Pharmaceuticals — 2.0% | ||||||||
| 27 | Actavis plc (a) | 5,956 | ||||||
| 42 | Endo International plc, (Ireland) (a) | 2,941 | ||||||
| 8 | Jazz Pharmaceuticals plc (a) | 1,161 | ||||||
| 43 | Mylan, Inc. (a) | 2,217 | ||||||
|
| |||||||
| 12,275 | ||||||||
|
| |||||||
Total Health Care | 60,928 | |||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 23 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Industrials — 16.7% | ||||||||
Aerospace & Defense — 3.2% |
| |||||||
| 14 | Alliant Techsystems, Inc. | 1,902 | ||||||
| 113 | Huntington Ingalls Industries, Inc. | 10,671 | ||||||
| 24 | L-3 Communications Holdings, Inc. | 2,850 | ||||||
| 3 | Northrop Grumman Corp. | 323 | ||||||
| 93 | Spirit Aerosystems Holdings, Inc., Class A (a) | 3,124 | ||||||
|
| |||||||
| 18,870 | ||||||||
|
| |||||||
Airlines — 3.0% | ||||||||
| 47 | Alaska Air Group, Inc. | 4,439 | ||||||
| 24 | Copa Holdings S.A., (Panama), Class A | 3,436 | ||||||
| 71 | Delta Air Lines, Inc. | 2,749 | ||||||
| 273 | Southwest Airlines Co. | 7,322 | ||||||
|
| |||||||
| 17,946 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.8% | ||||||||
| 77 | KAR Auction Services, Inc. | 2,463 | ||||||
| 63 | Pitney Bowes, Inc. | 1,746 | ||||||
| 35 | R.R. Donnelley & Sons Co. | 600 | ||||||
|
| |||||||
| 4,809 | ||||||||
|
| |||||||
Construction & Engineering — 2.7% | ||||||||
| 276 | AECOM Technology Corp. (a) (m) | 8,890 | ||||||
| 26 | Fluor Corp. | 1,992 | ||||||
| 67 | Jacobs Engineering Group, Inc. (a) | 3,554 | ||||||
| 37 | URS Corp. | 1,715 | ||||||
|
| |||||||
| 16,151 | ||||||||
|
| |||||||
Electrical Equipment — 0.2% | ||||||||
| 25 | Babcock & Wilcox Co. (The) | 802 | ||||||
| 6 | Regal-Beloit Corp. | 479 | ||||||
|
| |||||||
| 1,281 | ||||||||
|
| |||||||
Machinery — 2.8% | ||||||||
| 40 | AGCO Corp. (m) | 2,237 | ||||||
| 66 | Ingersoll-Rand plc | 4,107 | ||||||
| 52 | Oshkosh Corp. | 2,882 | ||||||
| 55 | Parker Hannifin Corp. | 6,972 | ||||||
| 6 | WABCO Holdings, Inc. (a) | 620 | ||||||
|
| |||||||
| 16,818 | ||||||||
|
| |||||||
Marine — 0.1% | ||||||||
| 7 | Kirby Corp. (a) | 867 | ||||||
|
| |||||||
Professional Services — 3.0% | ||||||||
| 140 | Manpowergroup, Inc. | 11,845 | ||||||
| 58 | Towers Watson & Co., Class A | 6,035 | ||||||
|
| |||||||
| 17,880 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Road & Rail — 0.5% | ||||||||
| 58 | CSX Corp. | 1,798 | ||||||
| 15 | Landstar System, Inc. | 947 | ||||||
|
| |||||||
| 2,745 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.4% | ||||||||
| 16 | Air Lease Corp. | 598 | ||||||
| 53 | MRC Global, Inc. (a) | 1,493 | ||||||
| 4 | NOW, Inc. (a) | 128 | ||||||
|
| |||||||
| 2,219 | ||||||||
|
| |||||||
Total Industrials | 99,586 | |||||||
|
| |||||||
Information Technology — 16.8% | ||||||||
Communications Equipment — 0.8% |
| |||||||
| 51 | ARRIS Group, Inc. (a) | 1,662 | ||||||
| 41 | Harris Corp. | 3,079 | ||||||
|
| |||||||
| 4,741 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
| 49 | Avnet, Inc. | 2,171 | ||||||
| 21 | Tech Data Corp. (a) | 1,282 | ||||||
|
| |||||||
| 3,453 | ||||||||
|
| |||||||
Internet Software & Services — 1.6% | ||||||||
| 6 | Equinix, Inc. (a) | 1,218 | ||||||
| 35 | LinkedIn Corp., Class A (a) | 6,070 | ||||||
| 88 | Pandora Media, Inc. (a) | 2,605 | ||||||
|
| |||||||
| 9,893 | ||||||||
|
| |||||||
IT Services — 5.2% | ||||||||
| 25 | Alliance Data Systems Corp. (a) | 7,045 | ||||||
| 380 | Booz Allen Hamilton Holding Corp. | 8,067 | ||||||
| 8 | DST Systems, Inc. | 728 | ||||||
| 40 | Fidelity National Information Services, Inc. | 2,179 | ||||||
| 42 | Global Payments, Inc. | 3,074 | ||||||
| 89 | Sabre Corp. (a) | 1,779 | ||||||
| 21 | Vantiv, Inc., Class A (a) | 696 | ||||||
| 583 | Xerox Corp. | 7,255 | ||||||
|
| |||||||
| 30,823 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
| 245 | Advanced Micro Devices, Inc. (a) | 1,026 | ||||||
| 52 | First Solar, Inc. (a) | 3,716 | ||||||
| 45 | KLA-Tencor Corp. | 3,233 | ||||||
| 36 | Lam Research Corp. | 2,426 | ||||||
| 292 | Marvell Technology Group Ltd., (Bermuda) | 4,186 | ||||||
| 242 | Micron Technology, Inc. (a) | 7,957 | ||||||
| 168 | ON Semiconductor Corp. (a) | 1,537 | ||||||
| 29 | Skyworks Solutions, Inc. | 1,353 | ||||||
|
| |||||||
| 25,434 | ||||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued | |||||||
Software — 2.6% | ||||||||
| 77 | Activision Blizzard, Inc. (m) | 1,724 | ||||||
| 35 | Citrix Systems, Inc. (a) | 2,208 | ||||||
| 32 | Electronic Arts, Inc. (a) | 1,148 | ||||||
| 281 | Rovi Corp. (a) | 6,728 | ||||||
| 42 | Synopsys, Inc. (a) | 1,646 | ||||||
| 645 | Zynga, Inc., Class A (a) | 2,071 | ||||||
|
| |||||||
| 15,525 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.7% |
| |||||||
| 111 | Western Digital Corp. | 10,199 | ||||||
|
| |||||||
Total Information Technology | 100,068 | |||||||
|
| |||||||
Materials — 5.1% | ||||||||
Chemicals — 2.2% |
| |||||||
| 14 | Ashland, Inc. | 1,512 | ||||||
| 35 | Cabot Corp. | 2,018 | ||||||
| 10 | Huntsman Corp. | 289 | ||||||
| 34 | PPG Industries, Inc. | 7,093 | ||||||
| 28 | Valspar Corp. (The) | 2,133 | ||||||
|
| |||||||
| 13,045 | ||||||||
|
| |||||||
Containers & Packaging — 1.0% | ||||||||
| 9 | Avery Dennison Corp. | 482 | ||||||
| 25 | Crown Holdings, Inc. (a) | 1,229 | ||||||
| 6 | Greif, Inc., Class A | 322 | ||||||
| 25 | Rock-Tenn Co., Class A | 2,597 | ||||||
| 40 | Sealed Air Corp. | 1,360 | ||||||
|
| |||||||
| 5,990 | ||||||||
|
| |||||||
Metals & Mining — 1.0% | ||||||||
| 7 | Nucor Corp. | 340 | ||||||
| 48 | Reliance Steel & Aluminum Co. | 3,545 | ||||||
| 40 | Steel Dynamics, Inc. | 711 | ||||||
| 56 | United States Steel Corp. | 1,461 | ||||||
|
| |||||||
| 6,057 | ||||||||
|
| |||||||
Paper & Forest Products — 0.9% | ||||||||
| 38 | Domtar Corp., (Canada) | 1,646 | ||||||
| 69 | International Paper Co. | 3,462 | ||||||
|
| |||||||
| 5,108 | ||||||||
|
| |||||||
Total Materials | 30,200 | |||||||
|
| |||||||
Telecommunication Services — 1.5% | ||||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
| 696 | Frontier Communications Corp. | 4,064 | ||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Wireless Telecommunication Services — 0.8% | ||||||||
| 19 | SBA Communications Corp., Class A (a) | 1,893 | ||||||
| 83 | T-Mobile US, Inc. (a) | 2,780 | ||||||
|
| |||||||
| 4,673 | ||||||||
|
| |||||||
Total Telecommunication Services | 8,737 | |||||||
|
| |||||||
Utilities — 5.8% | ||||||||
Electric Utilities — 0.1% |
| |||||||
| 4 | Entergy Corp. | 353 | ||||||
| 6 | Pinnacle West Capital Corp. | 353 | ||||||
|
| |||||||
| 706 | ||||||||
|
| |||||||
Gas Utilities — 0.8% | ||||||||
| 87 | UGI Corp. | 4,388 | ||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 299 | AES Corp. (m) | 4,643 | ||||||
| 12 | Calpine Corp. (a) | 288 | ||||||
|
| |||||||
| 4,931 | ||||||||
|
| |||||||
Multi-Utilities — 4.1% | ||||||||
| 30 | Alliant Energy Corp. | 1,804 | ||||||
| 42 | Ameren Corp. | 1,721 | ||||||
| 128 | CenterPoint Energy, Inc. | 3,272 | ||||||
| 56 | CMS Energy Corp. | 1,748 | ||||||
| 28 | Consolidated Edison, Inc. | 1,588 | ||||||
| 47 | DTE Energy Co. | 3,691 | ||||||
| 37 | MDU Resources Group, Inc. | 1,285 | ||||||
| 32 | Public Service Enterprise Group, Inc. | 1,293 | ||||||
| 36 | SCANA Corp. | 1,943 | ||||||
| 44 | Sempra Energy | 4,586 | ||||||
| 79 | TECO Energy, Inc. | 1,455 | ||||||
|
| |||||||
| 24,386 | ||||||||
|
| |||||||
Total Utilities | 34,411 | |||||||
|
| |||||||
Total Common Stocks | 578,101 | |||||||
|
| |||||||
| PRINCIPAL AMOUNT($) | ||||||||
| U.S. Treasury Obligation — 0.2% | |||||||
| 1,175 | U.S. Treasury Note, 0.250%, 11/30/14 (k) (m) | 1,176 | ||||||
|
| |||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 25 | ||||||
Table of Contents
JPMorgan Intrepid Mid Cap Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Short-Term Investment — 2.5% | |||||||
Investment Company — 2.5% | ||||||||
| 15,164 | JPMorgan Liquid Assets Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) (Cost $15,164) | 15,164 | ||||||
|
| |||||||
Total Investments — 99.6% | 594,441 | |||||||
Other Assets in Excess of | 2,454 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 596,895 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
| Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 114 | S&P Mid Cap 400 | 09/19/14 | $ | 16,294 | $ | 173 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
(Amounts in thousands)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — 96.6% | |||||||
Consumer Discretionary — 7.3% | ||||||||
Automobiles — 1.1% | ||||||||
| 962 | Ford Motor Co. | 16,589 | ||||||
|
| |||||||
Diversified Consumer Services — 1.0% | ||||||||
| 77 | Apollo Education Group, Inc. (a) | 2,419 | ||||||
| 62 | DeVry Education Group, Inc. | 2,608 | ||||||
| 8 | Graham Holdings Co., Class B | 5,888 | ||||||
| 88 | H&R Block, Inc. | 2,940 | ||||||
|
| |||||||
| 13,855 | ||||||||
|
| |||||||
Household Durables — 1.0% | ||||||||
| 114 | Jarden Corp. (a) | 6,763 | ||||||
| 118 | PulteGroup, Inc. | 2,381 | ||||||
| 42 | Whirlpool Corp. | 5,861 | ||||||
|
| |||||||
| 15,005 | ||||||||
|
| |||||||
Media — 2.6% | ||||||||
| 191 | Gannett Co., Inc. | 5,966 | ||||||
| 72 | Time Warner Cable, Inc. | 10,620 | ||||||
| 242 | Viacom, Inc., Class B | 20,989 | ||||||
|
| |||||||
| 37,575 | ||||||||
|
| |||||||
Multiline Retail — 0.4% | ||||||||
| 97 | Macy’s, Inc. | 5,651 | ||||||
|
| |||||||
Specialty Retail — 1.2% | ||||||||
| 229 | Best Buy Co., Inc. | 7,089 | ||||||
| 273 | GameStop Corp., Class A | 11,032 | ||||||
|
| |||||||
| 18,121 | ||||||||
|
| |||||||
Total Consumer Discretionary | 106,796 | |||||||
|
| |||||||
Consumer Staples — 6.3% | ||||||||
Food & Staples Retailing — 1.8% | ||||||||
| 94 | CVS Caremark Corp. | 7,070 | ||||||
| 396 | Kroger Co. (The) | 19,549 | ||||||
|
| |||||||
| 26,619 | ||||||||
|
| |||||||
Food Products — 2.5% | ||||||||
| 721 | Archer-Daniels-Midland Co. | 31,803 | ||||||
| 151 | Pilgrim’s Pride Corp. (a) | 4,126 | ||||||
|
| |||||||
| 35,929 | ||||||||
|
| |||||||
Household Products — 0.8% | ||||||||
| 100 | Energizer Holdings, Inc. | 12,227 | ||||||
|
| |||||||
Personal Products — 1.2% | ||||||||
| 163 | Herbalife Ltd. | 10,533 | ||||||
| 91 | Nu Skin Enterprises, Inc., Class A | 6,738 | ||||||
|
| |||||||
| 17,271 | ||||||||
|
| |||||||
Total Consumer Staples | 92,046 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Energy — 13.2% | ||||||||
Energy Equipment & Services — 2.9% | ||||||||
| 63 | Baker Hughes, Inc. | 4,690 | ||||||
| 426 | National Oilwell Varco, Inc. | 35,056 | ||||||
| 27 | Schlumberger Ltd. | 3,232 | ||||||
|
| |||||||
| 42,978 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 10.3% | ||||||||
| 322 | Chevron Corp. | 42,005 | ||||||
| 445 | ConocoPhillips | 38,107 | ||||||
| 198 | Exxon Mobil Corp. | 19,884 | ||||||
| 289 | Marathon Oil Corp. | 11,521 | ||||||
| 137 | Marathon Petroleum Corp. | 10,657 | ||||||
| 359 | Phillips 66 | 28,838 | ||||||
|
| |||||||
| 151,012 | ||||||||
|
| |||||||
Total Energy | 193,990 | |||||||
|
| |||||||
Financials — 26.4% | ||||||||
Banks — 10.6% | ||||||||
| 2,186 | Bank of America Corp. | 33,605 | ||||||
| 689 | Citigroup, Inc. | 32,461 | ||||||
| 29 | Comerica, Inc. | 1,444 | ||||||
| 602 | Fifth Third Bancorp | 12,859 | ||||||
| 721 | KeyCorp | 10,335 | ||||||
| 123 | PNC Financial Services Group, Inc. (The) | 10,969 | ||||||
| 1,027 | Wells Fargo & Co. | 53,998 | ||||||
|
| |||||||
| 155,671 | ||||||||
|
| |||||||
Capital Markets — 2.4% | ||||||||
| 120 | Ameriprise Financial, Inc. | 14,448 | ||||||
| 93 | Goldman Sachs Group, Inc. (The) | 15,513 | ||||||
| 28 | Legg Mason, Inc. | 1,432 | ||||||
| 115 | Morgan Stanley | 3,724 | ||||||
|
| |||||||
| 35,117 | ||||||||
|
| |||||||
Consumer Finance — 1.9% | ||||||||
| 444 | Discover Financial Services | 27,494 | ||||||
|
| |||||||
Insurance — 7.4% | ||||||||
| 448 | Allstate Corp. (The) | 26,289 | ||||||
| 50 | Aspen Insurance Holdings Ltd., (Bermuda) | 2,253 | ||||||
| 89 | Assurant, Inc. | 5,834 | ||||||
| 584 | CNO Financial Group, Inc. | 10,386 | ||||||
| 9 | Everest Re Group Ltd., (Bermuda) | 1,380 | ||||||
| 384 | Hartford Financial Services Group, Inc. (The) | 13,751 | ||||||
| 120 | Lincoln National Corp. | 6,188 | ||||||
| 52 | PartnerRe Ltd., (Bermuda) | 5,690 | ||||||
| 249 | Prudential Financial, Inc. | 22,068 | ||||||
| 81 | Torchmark Corp. | 6,595 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 27 | ||||||
Table of Contents
JPMorgan Intrepid Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except number of Futures contracts)
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Insurance — continued | ||||||||
| 27 | Travelers Cos., Inc. (The) | 2,559 | ||||||
| 126 | Validus Holdings Ltd., (Bermuda) | 4,811 | ||||||
|
| |||||||
| 107,804 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) — 4.0% |
| |||||||
| 245 | American Capital Agency Corp. | 5,724 | ||||||
| 269 | Annaly Capital Management, Inc. | 3,071 | ||||||
| 352 | Brandywine Realty Trust | 5,485 | ||||||
| 141 | Douglas Emmett, Inc. (m) | 3,979 | ||||||
| 88 | EPR Properties | 4,905 | ||||||
| 105 | Extra Space Storage, Inc. | 5,597 | ||||||
| 178 | Hospitality Properties Trust | 5,423 | ||||||
| 508 | NorthStar Realty Finance Corp. | 8,824 | ||||||
| 231 | Piedmont Office Realty Trust, Inc., Class A | 4,381 | ||||||
| 391 | RLJ Lodging Trust | 11,293 | ||||||
|
| |||||||
| 58,682 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
| 61 | CBRE Group, Inc., Class A (a) | 1,955 | ||||||
|
| |||||||
Total Financials | 386,723 | |||||||
|
| |||||||
Health Care — 13.3% | ||||||||
Biotechnology — 2.0% |
| |||||||
| 162 | Amgen, Inc. | 19,117 | ||||||
| 107 | United Therapeutics Corp. (a) | 9,504 | ||||||
|
| |||||||
| 28,621 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.5% | ||||||||
| 101 | CareFusion Corp. (a) | 4,475 | ||||||
| 271 | Medtronic, Inc. | 17,285 | ||||||
|
| |||||||
| 21,760 | ||||||||
|
| |||||||
Health Care Providers & Services — 5.5% | ||||||||
| 40 | Aetna, Inc. | 3,267 | ||||||
| 61 | Cardinal Health, Inc. | 4,162 | ||||||
| 120 | Cigna Corp. | 11,046 | ||||||
| 110 | Health Net, Inc. (a) | 4,580 | ||||||
| 120 | McKesson Corp. | 22,420 | ||||||
| 103 | Omnicare, Inc. | 6,877 | ||||||
| 267 | WellPoint, Inc. | 28,764 | ||||||
|
| |||||||
| 81,116 | ||||||||
|
| |||||||
Pharmaceuticals — 4.3% | ||||||||
| 1,698 | Pfizer, Inc. | 50,398 | ||||||
| 109 | Questcor Pharmaceuticals, Inc. | 10,109 | ||||||
| 25 | Salix Pharmaceuticals Ltd. (a) | 3,110 | ||||||
|
| |||||||
| 63,617 | ||||||||
|
| |||||||
Total Health Care | 195,114 | |||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Industrials — 10.2% | ||||||||
Aerospace & Defense — 4.8% | ||||||||
| 119 | Boeing Co. (The) | 15,191 | ||||||
| 209 | General Dynamics Corp. | 24,313 | ||||||
| 254 | Northrop Grumman Corp. | 30,386 | ||||||
|
| |||||||
| 69,890 | ||||||||
|
| |||||||
Airlines — 1.7% | ||||||||
| 79 | Alaska Air Group, Inc. | 7,461 | ||||||
| 267 | Delta Air Lines, Inc. | 10,354 | ||||||
| 284 | Southwest Airlines Co. | 7,623 | ||||||
|
| |||||||
| 25,438 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.7% | ||||||||
| 236 | Pitney Bowes, Inc. | 6,515 | ||||||
| 279 | R.R. Donnelley & Sons Co. | 4,737 | ||||||
|
| |||||||
| 11,252 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% | ||||||||
| 359 | AECOM Technology Corp. (a) | 11,563 | ||||||
|
| |||||||
Machinery — 2.0% | ||||||||
| 36 | IDEX Corp. | 2,931 | ||||||
| 168 | Illinois Tool Works, Inc. | 14,719 | ||||||
| 99 | Oshkosh Corp. | 5,519 | ||||||
| 45 | Parker Hannifin Corp. | 5,708 | ||||||
|
| |||||||
| 28,877 | ||||||||
|
| |||||||
Professional Services — 0.2% | ||||||||
| 36 | Manpowergroup, Inc. | 3,038 | ||||||
|
| |||||||
Total Industrials | 150,058 | |||||||
|
| |||||||
Information Technology — 9.2% | ||||||||
Communications Equipment — 0.8% |
| |||||||
| 1,277 | Brocade Communications Systems, Inc. | 11,746 | ||||||
|
| |||||||
IT Services — 0.9% | ||||||||
| 127 | Amdocs Ltd. | 5,879 | ||||||
| 105 | Computer Sciences Corp. | 6,636 | ||||||
|
| |||||||
| 12,515 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.0% |
| |||||||
| 123 | Intel Corp. | 3,804 | ||||||
| 52 | KLA-Tencor Corp. | 3,792 | ||||||
| 114 | Lam Research Corp. | 7,690 | ||||||
|
| |||||||
| 15,286 | ||||||||
|
| |||||||
Software — 1.9% | ||||||||
| 540 | Activision Blizzard, Inc. | 12,046 | ||||||
| 115 | CA, Inc. | 3,314 | ||||||
| 171 | Oracle Corp. | 6,939 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
| Common Stocks — continued |
| ||||||
Software — continued | ||||||||
| 242 | Rovi Corp. (a) | 5,801 | ||||||
|
| |||||||
| 28,100 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.6% |
| |||||||
| 1,135 | Hewlett-Packard Co. | 38,220 | ||||||
| 193 | SanDisk Corp. | 20,165 | ||||||
| 100 | Western Digital Corp. | 9,193 | ||||||
|
| |||||||
| 67,578 | ||||||||
|
| |||||||
Total Information Technology | 135,225 | |||||||
|
| |||||||
Materials — 3.1% | ||||||||
Chemicals — 1.8% |
| |||||||
| 251 | LyondellBasell Industries N.V., Class A | 24,500 | ||||||
| 10 | PPG Industries, Inc. | 2,102 | ||||||
|
| |||||||
| 26,602 | ||||||||
|
| |||||||
Containers & Packaging — 0.8% | ||||||||
| 332 | Sealed Air Corp. | 11,358 | ||||||
|
| |||||||
Paper & Forest Products — 0.5% | ||||||||
| 183 | Domtar Corp., (Canada) | 7,841 | ||||||
|
| |||||||
Total Materials | 45,801 | |||||||
|
| |||||||
Telecommunication Services — 1.7% | ||||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
| 549 | AT&T, Inc. | 19,399 | ||||||
| 131 | CenturyLink, Inc. | 4,725 | ||||||
|
| |||||||
Total Telecommunication Services | 24,124 | |||||||
|
| |||||||
Utilities — 5.9% | ||||||||
Electric Utilities — 2.5% |
| |||||||
| 413 | American Electric Power Co., Inc. | 23,011 | ||||||
| 136 | NextEra Energy, Inc. | 13,906 | ||||||
|
| |||||||
| 36,917 | ||||||||
|
| |||||||
| SHARES | SECURITY DESCRIPTION | VALUE($) | ||||||
Gas Utilities — 1.3% | ||||||||
| 118 | AGL Resources, Inc. (m) | 6,505 | ||||||
| 246 | UGI Corp. | 12,438 | ||||||
|
| |||||||
| 18,943 | ||||||||
|
| |||||||
Independent Power & Renewable Electricity |
| |||||||
| 784 | AES Corp. (m) | 12,194 | ||||||
| 249 | Calpine Corp. (a) | 5,931 | ||||||
| 346 | Dynegy, Inc. (a) | 12,048 | ||||||
|
| |||||||
| 30,173 | ||||||||
|
| |||||||
Total Utilities | 86,033 | |||||||
|
| |||||||
Total Common Stocks | 1,415,910 | |||||||
|
| |||||||
| Short-Term Investment — 2.2% |
| ||||||
Investment Company — 2.2% |
| |||||||
| 32,712 | JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.010% (b) (l) (m) | 32,712 | ||||||
|
| |||||||
Total Investments — 98.8% | 1,448,622 | |||||||
Other Assets in Excess of | 16,991 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 1,465,613 | ||||||
|
| |||||||
Percentages indicated are based on net assets.
Futures Contracts | ||||||||||||||||
| NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE AT JUNE 30, 2014 | NET UNREALIZED APPRECIATION (DEPRECIATION) | ||||||||||||
Long Futures Outstanding | ||||||||||||||||
| 452 | E-mini S&P 500 | 09/19/14 | $ | 44,124 | $ | 284 | ||||||||||
|
| |||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 29 | ||||||
Table of Contents
JPMorgan Intrepid Funds
NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2014
| (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. | |
| (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, 2014. | |
| (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.
| 30 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 31 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014
(Amounts in thousands, except per share amounts)
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
ASSETS: | ||||||||||||
Investments in non-affiliates, at value | $ | 16,044 | $ | 2,920,168 | $ | 766,487 | ||||||
Investments in affiliates, at value | 578 | 71,246 | 15,497 | |||||||||
|
|
|
|
|
| |||||||
Total investment securities, at value | 16,622 | 2,991,414 | 781,984 | |||||||||
Cash | — | — | 2 | |||||||||
Deposits at broker for futures contracts | — | 3,180 | 885 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 40,810 | 30,409 | |||||||||
Fund shares sold | 40 | 278 | 151 | |||||||||
Dividends from non-affiliates | 13 | 2,368 | 632 | |||||||||
Dividends from affiliates | — | (a) | 1 | — | (a) | |||||||
Variation margin on futures contracts | — | 24 | 13 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 16,675 | 3,038,075 | 814,076 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: | ||||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 48,194 | 36,965 | |||||||||
Fund shares redeemed | — | (a) | 4,470 | 257 | ||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 9 | 962 | 318 | |||||||||
Administration fees | 1 | 203 | 53 | |||||||||
Shareholder servicing fees | — | 389 | 140 | |||||||||
Distribution fees | 4 | 25 | 19 | |||||||||
Custodian and accounting fees | 16 | 55 | 24 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 4 | — | (a) | |||||||
Transfer agent fees | 4 | 65 | 62 | |||||||||
Registration Fee | 3 | 9 | 10 | |||||||||
Audit Fees | 22 | 23 | 23 | |||||||||
Other | 3 | 43 | 23 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 62 | 54,442 | 37,894 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 16,613 | $ | 2,983,633 | $ | 776,182 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
NET ASSETS: | ||||||||||||
Paid-in-Capital | $ | 15,363 | $ | 2,168,625 | $ | 811,271 | ||||||
Accumulated undistributed (distributions in excess of) net investment income | 49 | 17,258 | 2,723 | |||||||||
Accumulated net realized gains (losses) | (3,194 | ) | 83,616 | (253,797 | ) | |||||||
Net unrealized appreciation (depreciation) | 4,395 | 714,134 | 215,985 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 16,613 | $ | 2,983,633 | $ | 776,182 | ||||||
|
|
|
|
|
| |||||||
Net Assets: | ||||||||||||
Class A | $ | 9,466 | $ | 97,155 | $ | 33,563 | ||||||
Class C | 3,709 | 8,774 | 19,566 | |||||||||
Class R2 | — | 166 | 601 | |||||||||
Class R5 | — | 1,363,358 | 124,489 | |||||||||
Select Class | 3,438 | 1,514,180 | 597,963 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 16,613 | $ | 2,983,633 | $ | 776,182 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) | ||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 297 | 2,606 | 906 | |||||||||
Class C | 118 | 237 | 537 | |||||||||
Class R2 | — | 5 | 16 | |||||||||
Class R5 | — | 36,321 | 3,356 | |||||||||
Select Class | 107 | 40,260 | 16,060 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 31.93 | $ | 37.28 | $ | 37.05 | ||||||
Class C — Offering price per share (b) | 31.38 | 36.99 | 36.45 | |||||||||
Class R2 — Offering and redemption price per share | — | 36.82 | 36.49 | |||||||||
Class R5 — Offering and redemption price per share | — | 37.54 | 37.09 | |||||||||
Select Class — Offering and redemption price per share | 32.07 | 37.61 | 37.23 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 33.70 | $ | 39.35 | $ | 39.10 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 11,649 | $ | 2,206,517 | $ | 550,593 | ||||||
Cost of investments in affiliates | 578 | 71,246 | 15,497 | |||||||||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 33 | ||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2014 (continued)
(Amounts in thousands, except per share amounts)
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
ASSETS: | ||||||||
Investments in non-affiliates, at value | $ | 579,277 | $ | 1,415,910 | ||||
Investments in affiliates, at value | 15,164 | 32,712 | ||||||
|
|
|
| |||||
Total investment securities, at value | 594,441 | 1,448,622 | ||||||
Deposits at broker for futures contracts | — | 1,225 | ||||||
Receivables: | ||||||||
Investment securities sold | 25,637 | 57,091 | ||||||
Fund shares sold | 3,318 | 4,609 | ||||||
Interest and dividends from non-affiliates | 716 | 1,418 | ||||||
Dividends from affiliates | — | (a) | — | (a) | ||||
Variation margin on futures contracts | 74 | — | ||||||
|
|
|
| |||||
Total Assets | 624,186 | 1,512,965 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Payables: | ||||||||
Distributions | 62 | 559 | ||||||
Investment securities purchased | 26,179 | 44,503 | ||||||
Fund shares redeemed | 423 | 1,206 | ||||||
Variation margin on futures contracts | — | 14 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 312 | 368 | ||||||
Administration fees | 40 | 100 | ||||||
Shareholder servicing fees | 56 | 273 | ||||||
Distribution fees | 73 | 45 | ||||||
Custodian and accounting fees | 24 | 33 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | ||||
Other | 122 | 251 | ||||||
|
|
|
| |||||
Total Liabilities | 27,291 | 47,352 | ||||||
|
|
|
| |||||
Net Assets | $ | 596,895 | $ | 1,465,613 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 343,868 | $ | 1,027,298 | ||||
Accumulated undistributed (distributions in excess of) net investment income | (83 | ) | (141 | ) | ||||
Accumulated net realized gains (losses) | 77,316 | 42,878 | ||||||
Net unrealized appreciation (depreciation) | 175,794 | 395,578 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 596,895 | $ | 1,465,613 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 193,342 | $ | 114,036 | ||||
Class B | 5,680 | — | ||||||
Class C | 49,796 | 35,963 | ||||||
Class R2 | — | 1,346 | ||||||
Class R5 | — | 80,008 | ||||||
Class R6 | — | 19,495 | ||||||
Select Class | 348,077 | 1,214,765 | ||||||
|
|
|
| |||||
Total | $ | 596,895 | $ | 1,465,613 | ||||
|
|
|
| |||||
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 8,020 | 3,072 | ||||||
Class B | 264 | — | ||||||
Class C | 2,309 | 977 | ||||||
Class R2 | — | 36 | ||||||
Class R5 | — | 2,144 | ||||||
Class R6 | — | 522 | ||||||
Select Class | 13,938 | 32,611 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 24.11 | $ | 37.13 | ||||
Class B — Offering price per share (b) | 21.56 | — | ||||||
Class C — Offering price per share (b) | 21.56 | 36.80 | ||||||
Class R2 — Offering and redemption price per share | — | 37.02 | ||||||
Class R5 — Offering and redemption price per share | — | 37.33 | ||||||
Class R6 — Offering and redemption price per share | — | 37.33 | ||||||
Select Class — Offering and redemption price per share | 24.97 | 37.25 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 25.45 | $ | 39.19 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 403,656 | $ | 1,020,616 | ||||
Cost of investments in affiliates | 15,164 | 32,712 | ||||||
| (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, 2014 | J.P. MORGAN INTREPID FUNDS | 35 | ||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2014
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | Intrepid Growth Fund | ||||||||||
INVESTMENT INCOME: | ||||||||||||
Dividend income from non-affiliates | $ | 266 | $ | 51,041 | $ | 12,966 | ||||||
Dividend income from affiliates | — | (a) | 14 | 3 | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 266 | 51,055 | 12,969 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 94 | 11,549 | 4,023 | |||||||||
Administration fees | 12 | 2,205 | 641 | |||||||||
Distribution fees: | ||||||||||||
Class A | 23 | 249 | 79 | |||||||||
Class C | 21 | 60 | 129 | |||||||||
Class R2 | — | 1 | 3 | |||||||||
Shareholder servicing fees: | ||||||||||||
Class A | 23 | 249 | 79 | |||||||||
Class C | 7 | 20 | 43 | |||||||||
Class R2 | — | 1 | 2 | |||||||||
Class R5 | — | 530 | 58 | |||||||||
Select Class | 6 | 3,681 | 1,504 | |||||||||
Custodian and accounting fees | 27 | 94 | 42 | |||||||||
Professional fees | 40 | 65 | 47 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | 27 | 8 | ||||||||
Printing and mailing costs | 4 | 57 | 31 | |||||||||
Registration and filing fees | 40 | 85 | 71 | |||||||||
Transfer agent fees | 18 | 316 | 248 | |||||||||
Other | 6 | 47 | 17 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 321 | 19,236 | 7,025 | |||||||||
|
|
|
|
|
| |||||||
Less amounts waived | (134 | ) | (197 | ) | (97 | ) | ||||||
Less expense reimbursements | (12 | ) | — | — | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 175 | 19,039 | 6,928 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 91 | 32,016 | 6,041 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 1,207 | 317,978 | 99,408 | |||||||||
Futures | — | 18,231 | 4,677 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 1,207 | 336,209 | 104,085 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation of: | ||||||||||||
Investments in non-affiliates | 1,936 | 251,080 | 72,271 | |||||||||
Futures | — | 675 | (120 | ) | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 1,936 | 251,755 | 72,151 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 3,143 | 587,964 | 176,236 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 3,234 | $ | 619,980 | $ | 182,277 | ||||||
|
|
|
|
|
| |||||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||
INVESTMENT INCOME: | ||||||||
Interest income from non-affiliates | $ | — | (a) | $ | — | |||
Dividend income from non-affiliates | 8,794 | 28,275 | ||||||
Dividend income from affiliates | 4 | 8 | ||||||
|
|
|
| |||||
Total investment income | 8,798 | 28,283 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 3,733 | 5,818 | ||||||
Administration fees | 480 | 1,110 | ||||||
Distribution fees: | ||||||||
Class A | 417 | 219 | ||||||
Class B | 52 | — | ||||||
Class C | 322 | 228 | ||||||
Class R2 | — | 4 | ||||||
Shareholder servicing fees: | ||||||||
Class A | 417 | 219 | ||||||
Class B | 17 | — | ||||||
Class C | 107 | 76 | ||||||
Class R2 | — | 2 | ||||||
Class R5 | — | 36 | ||||||
Select Class | 895 | 2,813 | ||||||
Custodian and accounting fees | 43 | 58 | ||||||
Professional fees | 45 | 54 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 5 | 14 | ||||||
Printing and mailing costs | 62 | 120 | ||||||
Registration and filing fees | 64 | 134 | ||||||
Transfer agent fees | 290 | 1,544 | ||||||
Other | 19 | 25 | ||||||
|
|
|
| |||||
Total expenses | 6,968 | 12,474 | ||||||
|
|
|
| |||||
Less amounts waived | (883 | ) | (1,776 | ) | ||||
|
|
|
| |||||
Net expenses | 6,085 | 10,698 | ||||||
|
|
|
| |||||
Net investment income (loss) | 2,713 | 17,585 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 108,596 | 106,364 | ||||||
Futures | 2,100 | 9,222 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 110,696 | 115,586 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation of: | ||||||||
Investments in non-affiliates | 34,364 | 172,573 | ||||||
Futures | 142 | 309 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 34,506 | 172,882 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 145,202 | 288,468 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 147,915 | $ | 306,053 | ||||
|
|
|
| |||||
| (a) | Amount rounds to less than $1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 37 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 91 | $ | 97 | $ | 32,016 | $ | 30,807 | ||||||||
Net realized gain (loss) | 1,207 | 1,552 | 336,209 | 235,737 | ||||||||||||
Change in net unrealized appreciation/depreciation | 1,936 | 645 | 251,755 | 147,093 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 3,234 | 2,294 | 619,980 | 413,637 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (54 | ) | (86 | ) | (777 | ) | (1,068 | ) | ||||||||
Class C | ||||||||||||||||
From net investment income | (7 | ) | (13 | ) | (22 | ) | (70 | ) | ||||||||
Class R2 | ||||||||||||||||
From net investment income | — | — | (1 | ) | (1 | ) | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | — | — | (11,848 | ) | (10,815 | ) | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (17 | ) | (18 | ) | (13,878 | ) | (24,714 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (78 | ) | (117 | ) | (26,526 | ) | (36,668 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 882 | 158 | 192,385 | (11,315 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 4,038 | 2,335 | 785,839 | 365,654 | ||||||||||||
Beginning of period | 12,575 | 10,240 | 2,197,794 | 1,832,140 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 16,613 | $ | 12,575 | $ | 2,983,633 | $ | 2,197,794 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 49 | $ | 38 | $ | 17,258 | $ | 12,131 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 6,041 | $ | 7,031 | $ | 2,713 | $ | 4,061 | ||||||||
Net realized gain (loss) | 104,085 | 95,245 | 110,696 | 36,529 | ||||||||||||
Change in net unrealized appreciation/depreciation | 72,151 | 16,067 | 34,506 | 66,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 182,277 | 118,343 | 147,915 | 106,628 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | ||||||||||||||||
From net investment income | (112 | ) | (221 | ) | (505 | ) | (1,006 | ) | ||||||||
From net realized gains | — | — | (788 | ) | — | |||||||||||
Class B | ||||||||||||||||
From net investment income | — | — | — | (20 | ) | |||||||||||
From net realized gains | — | — | (33 | ) | — | |||||||||||
Class C | ||||||||||||||||
From net investment income | (8 | ) | (29 | ) | — | (86 | ) | |||||||||
From net realized gains | — | — | (205 | ) | — | |||||||||||
Class R2 | ||||||||||||||||
From net investment income | (1 | ) | (5 | ) | — | — | ||||||||||
Class R5 | ||||||||||||||||
From net investment income | (1,052 | ) | (1,300 | ) | — | — | ||||||||||
Select Class | ||||||||||||||||
From net investment income | (4,372 | ) | (4,926 | ) | (1,684 | ) | (2,755 | ) | ||||||||
From net realized gains | — | — | (1,755 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (5,545 | ) | (6,481 | ) | (4,970 | ) | (3,867 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (94,414 | ) | (74,507 | ) | (61,813 | ) | (14,792 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 82,318 | 37,355 | 81,132 | 87,969 | ||||||||||||
Beginning of period | 693,864 | 656,509 | 515,763 | 427,794 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 776,182 | $ | 693,864 | $ | 596,895 | $ | 515,763 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Accumulated undistributed (distributions in excess of) net investment income | $ | 2,723 | $ | 2,380 | $ | (83 | ) | $ | (487 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 June 30, 2014 | Year Ended June 30, 2013 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 17,585 | $ | 16,230 | ||||
Net realized gain (loss) | 115,586 | 70,131 | ||||||
Change in net unrealized appreciation/depreciation | 172,882 | 134,994 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 306,053 | 221,355 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | ||||||||
From net investment income | (1,034 | ) | (1,043 | ) | ||||
Class C | ||||||||
From net investment income | (214 | ) | (272 | ) | ||||
Class R2 | ||||||||
From net investment income | (9 | ) | (6 | ) | ||||
Class R5 | ||||||||
From net investment income | (1,055 | ) | (1,138 | ) | ||||
Class R6 | ||||||||
From net investment income | (234 | ) | (316 | ) | ||||
Select Class | ||||||||
From net investment income | (14,448 | ) | (14,178 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (16,994 | ) | (16,953 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | 78,434 | 33,897 | ||||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 367,493 | 238,299 | ||||||
Beginning of period | 1,098,120 | 859,821 | ||||||
|
|
|
| |||||
End of period | $ | 1,465,613 | $ | 1,098,120 | ||||
|
|
|
| |||||
Accumulated undistributed (distributions in excess of) net investment income | $ | (141 | ) | $ | (638 | ) | ||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Advantage Fund | Intrepid America Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,047 | $ | 3,021 | $ | 51,201 | $ | 36,878 | ||||||||
Distributions reinvested | 54 | 85 | 505 | 1,060 | ||||||||||||
Cost of shares redeemed | (2,430 | ) | (3,204 | ) | (64,819 | ) | (44,655 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (1,329 | ) | $ | (98 | ) | $ | (13,113 | ) | $ | (6,717 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 997 | $ | 603 | $ | 1,022 | $ | 527 | ||||||||
Distributions reinvested | 7 | 12 | 21 | 65 | ||||||||||||
Cost of shares redeemed | (218 | ) | (441 | ) | (1,397 | ) | (1,686 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 786 | $ | 174 | $ | (354 | ) | $ | (1,094 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 54 | $ | 79 | ||||||||
Distributions reinvested | — | — | 1 | 1 | ||||||||||||
Cost of shares redeemed | — | — | (99 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | — | $ | — | $ | (44 | ) | $ | 80 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 426,650 | $ | 224,786 | ||||||||
Distributions reinvested | — | — | 11,848 | 10,815 | ||||||||||||
Cost of shares redeemed | — | — | (20,847 | ) | (39,949 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | — | $ | — | $ | 417,651 | $ | 195,652 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 1,514 | $ | 370 | $ | 101,250 | $ | 135,367 | ||||||||
Distributions reinvested | 6 | 7 | 11,463 | 922 | ||||||||||||
Cost of shares redeemed | (95 | ) | (295 | ) | (324,468 | ) | (335,525 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | 1,425 | $ | 82 | $ | (211,755 | ) | $ | (199,236 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 882 | $ | 158 | $ | 192,385 | $ | (11,315 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 41 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Advantage Fund | Intrepid America Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 37 | 133 | 1,526 | 1,290 | ||||||||||||
Reinvested | 2 | 4 | 15 | 40 | ||||||||||||
Redeemed | (85 | ) | (141 | ) | (1,891 | ) | (1,662 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (46 | ) | (4 | ) | (350 | ) | (332 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 34 | 27 | 30 | 17 | ||||||||||||
Reinvested | — | (a) | 1 | 1 | 3 | |||||||||||
Redeemed | (8 | ) | (20 | ) | (42 | ) | (63 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 26 | 8 | (11 | ) | (43 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 2 | 3 | ||||||||||||
Reinvested | — | — | — | (a) | — | (a) | ||||||||||
Redeemed | — | — | (3 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (1 | ) | 3 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 12,842 | 8,207 | ||||||||||||
Reinvested | — | — | 348 | 410 | ||||||||||||
Redeemed | — | — | (603 | ) | (1,437 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | 12,587 | 7,180 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 51 | 16 | 3,090 | 5,026 | ||||||||||||
Reinvested | — | (a) | — | (a) | 335 | 35 | ||||||||||
Redeemed | (3 | ) | (12 | ) | (9,563 | ) | (12,217 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | 48 | 4 | (6,138 | ) | (7,156 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 8,517 | $ | 5,774 | $ | 41,307 | $ | 26,948 | ||||||||
Distributions reinvested | 108 | 212 | 1,257 | 985 | ||||||||||||
Cost of shares redeemed | (15,891 | ) | (9,619 | ) | (34,483 | ) | (35,550 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | $ | (7,266 | ) | $ | (3,633 | ) | $ | 8,081 | $ | (7,617 | ) | |||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Proceeds from shares issued | $ | — | $ | — | $ | 142 | $ | 149 | ||||||||
Distributions reinvested | — | — | 32 | 20 | ||||||||||||
Cost of shares redeemed | — | — | (3,652 | ) | (2,235 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class B capital transactions | $ | — | $ | — | $ | (3,478 | ) | $ | (2,066 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | $ | 2,456 | $ | 1,784 | $ | 11,340 | $ | 8,309 | ||||||||
Distributions reinvested | 6 | 24 | 192 | 81 | ||||||||||||
Cost of shares redeemed | (2,301 | ) | (2,990 | ) | (8,150 | ) | (7,371 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | $ | 161 | $ | (1,182 | ) | $ | 3,382 | $ | 1,019 | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | $ | 79 | $ | 263 | $ | — | $ | — | ||||||||
Distributions reinvested | 1 | 4 | — | — | ||||||||||||
Cost of shares redeemed | (211 | ) | (122 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | $ | (131 | ) | $ | 145 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | $ | 12,500 | $ | 14,578 | $ | — | $ | — | ||||||||
Distributions reinvested | 1,052 | 1,300 | — | — | ||||||||||||
Cost of shares redeemed | (21,523 | ) | (35,556 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | $ | (7,971 | ) | $ | (19,678 | ) | $ | — | $ | — | ||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Proceeds from shares issued | $ | 46,041 | $ | 70,793 | $ | 57,111 | $ | 51,238 | ||||||||
Distributions reinvested | 3,875 | 268 | 3,315 | 250 | ||||||||||||
Cost of shares redeemed | (129,123 | ) | (121,220 | ) | (130,224 | ) | (57,616 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Select Class capital transactions | $ | (79,207 | ) | $ | (50,159 | ) | $ | (69,798 | ) | $ | (6,128 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (94,414 | ) | $ | (74,507 | ) | $ | (61,813 | ) | $ | (14,792 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 43 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Growth Fund | Intrepid Mid Cap Fund | |||||||||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 250 | 211 | 1,876 | 1,585 | ||||||||||||
Reinvested | 3 | 8 | 57 | 58 | ||||||||||||
Redeemed | (491 | ) | (356 | ) | (1,597 | ) | (2,112 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (238 | ) | (137 | ) | 336 | (469 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class B | ||||||||||||||||
Issued | — | — | 8 | 10 | ||||||||||||
Reinvested | — | — | 2 | 1 | ||||||||||||
Redeemed | — | — | (188 | ) | (149 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class B Shares | — | — | (178 | ) | (138 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 74 | 65 | 581 | 541 | ||||||||||||
Reinvested | — | (a) | 1 | 10 | 6 | |||||||||||
Redeemed | (71 | ) | (112 | ) | (421 | ) | (491 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 3 | (46 | ) | 170 | 56 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 2 | 11 | — | — | ||||||||||||
Reinvested | — | (a) | — | (a) | — | — | ||||||||||
Redeemed | (7 | ) | (5 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (5 | ) | 6 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 367 | 532 | — | — | ||||||||||||
Reinvested | 31 | 49 | — | — | ||||||||||||
Redeemed | (641 | ) | (1,260 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (243 | ) | (679 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Select Class | ||||||||||||||||
Issued | 1,443 | 2,600 | 2,579 | 2,855 | ||||||||||||
Reinvested | 113 | 10 | 144 | 14 | ||||||||||||
Redeemed | (3,732 | ) | (4,363 | ) | (5,636 | ) | (3,405 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Select Class Shares | (2,176 | ) | (1,753 | ) | (2,913 | ) | (536 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Intrepid Value Fund | ||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 45,132 | $ | 12,723 | ||||
Distributions reinvested | 1,016 | 1,013 | ||||||
Cost of shares redeemed | (22,532 | ) | (17,470 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | $ | 23,616 | $ | (3,734 | ) | |||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | $ | 8,164 | $ | 3,716 | ||||
Distributions reinvested | 193 | 236 | ||||||
Cost of shares redeemed | (4,558 | ) | (5,495 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | $ | 3,799 | $ | (1,543 | ) | |||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | $ | 491 | $ | 827 | ||||
Distributions reinvested | 7 | 6 | ||||||
Cost of shares redeemed | (289 | ) | (89 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | $ | 209 | $ | 744 | ||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | $ | 10,240 | $ | 5,218 | ||||
Distributions reinvested | 1,055 | 1,138 | ||||||
Cost of shares redeemed | (9,584 | ) | (8,368 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | $ | 1,711 | $ | (2,012 | ) | |||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | $ | 20,752 | $ | 6,617 | ||||
Distributions reinvested | 234 | 153 | ||||||
Cost of shares redeemed | (15,146 | ) | (18,538 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | $ | 5,840 | $ | (11,768 | ) | |||
|
|
|
| |||||
Select Class | ||||||||
Proceeds from shares issued | $ | 447,101 | $ | 297,078 | ||||
Distributions reinvested | 11,704 | 10,361 | ||||||
Cost of shares redeemed | (415,546 | ) | (255,229 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Select Class capital transactions | $ | 43,259 | $ | 52,210 | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 78,434 | $ | 33,897 | ||||
|
|
|
| |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 45 | ||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| Intrepid Value Fund | ||||||||
| Year Ended June 30, 2014 | Year Ended June 30, 2013 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 1,328 | 470 | ||||||
Reinvested | 29 | 37 | ||||||
Redeemed | (674 | ) | (664 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 683 | (157 | ) | |||||
|
|
|
| |||||
Class C | ||||||||
Issued | 243 | 136 | ||||||
Reinvested | 6 | 9 | ||||||
Redeemed | (137 | ) | (208 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 112 | (63 | ) | |||||
|
| �� |
|
| ||||
Class R2 | ||||||||
Issued | 13 | 32 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | (9 | ) | (3 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 4 | 29 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 305 | 193 | ||||||
Reinvested | 30 | 41 | ||||||
Redeemed | (287 | ) | (303 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 48 | (69 | ) | |||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 577 | 243 | ||||||
Reinvested | 7 | 6 | ||||||
Redeemed | (426 | ) | (667 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 158 | (418 | ) | |||||
|
|
|
| |||||
Select Class | ||||||||
Issued | 13,485 | 10,906 | ||||||
Reinvested | 337 | 376 | ||||||
Redeemed | (12,261 | ) | (9,557 | ) | ||||
|
|
|
| |||||
Change in Select Class Shares | 1,561 | 1,725 | ||||||
|
|
|
| |||||
| (a) | Amount rounds to less than 1,000. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 47 | ||||||
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Intrepid Advantage Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 25.54 | $ | 0.20 | (d) | $ | 6.37 | $ | 6.57 | $ | (0.18 | ) | ||||||||
Year Ended June 30, 2013 | 21.13 | 0.21 | (d)(e) | 4.44 | 4.65 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.60 | 0.13 | (d) | 0.63 | 0.76 | (0.23 | ) | |||||||||||||
Year Ended June 30, 2011 | 15.44 | 0.17 | (d) | 5.03 | 5.20 | (0.04 | ) | |||||||||||||
Year Ended June 30, 2010 | 13.42 | 0.05 | (d) | 2.16 | 2.21 | (0.19 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 25.14 | 0.05 | (d) | 6.26 | 6.31 | (0.07 | ) | |||||||||||||
Year Ended June 30, 2013 | 20.81 | 0.10 | (d)(e) | 4.37 | 4.47 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.25 | 0.04 | (d) | 0.62 | 0.66 | (0.10 | ) | |||||||||||||
Year Ended June 30, 2011 | 15.22 | 0.08 | (d) | 4.95 | 5.03 | — | ||||||||||||||
Year Ended June 30, 2010 | 13.27 | (0.03 | )(d) | 2.13 | 2.10 | (0.15 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 25.65 | 0.28 | (d) | 6.39 | 6.67 | (0.25 | ) | |||||||||||||
Year Ended June 30, 2013 | 21.21 | 0.28 | (d)(e) | 4.45 | 4.73 | (0.29 | ) | |||||||||||||
Year Ended June 30, 2012 | 20.70 | 0.19 | (d) | 0.62 | 0.81 | (0.30 | ) | |||||||||||||
Year Ended June 30, 2011 | 15.51 | 0.21 | (d) | 5.06 | 5.27 | (0.08 | ) | |||||||||||||
Year Ended June 30, 2010 | 13.46 | 0.09 | (d) | 2.17 | 2.26 | (0.21 | ) | |||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | 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, $0.06 and $0.23 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.73%, 0.24% and 1.00% for Cass A, Class C and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period | Total return (excludes sales charge) (a) | Net assets, end of period (000’s) | Net expenses (b) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 31.93 | 25.78 | % | $ | 9,466 | 1.17 | % | 0.68 | % | 2.19 | % | 49 | % | |||||||||||||
| 25.54 | 22.15 | 8,765 | 1.25 | 0.92 | (e) | 2.40 | 82 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 31.38 | 25.13 | 3,709 | 1.66 | 0.19 | 2.66 | 49 | ||||||||||||||||||||
| 25.14 | 21.55 | 2,294 | 1.75 | 0.43 | (e) | 2.91 | 82 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 32.07 | 26.10 | 3,438 | 0.91 | 0.95 | 1.90 | 49 | ||||||||||||||||||||
| 25.65 | 22.46 | 1,516 | 1.00 | 1.19 | (e) | 2.16 | 82 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 | ||||||||||||||||
Intrepid America Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 29.76 | $ | 0.30 | (d) | $ | 7.49 | $ | 7.79 | $ | (0.27 | ) | ||||||||
Year Ended June 30, 2013 | 24.68 | 0.34 | (d) | 5.15 | 5.49 | (0.41 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.55 | 0.19 | (d) | 0.10 | 0.29 | (0.16 | ) | |||||||||||||
Year Ended June 30, 2011 | 18.54 | 0.17 | (d) | 6.01 | 6.18 | (0.17 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.41 | 0.13 | (d) | 2.35 | 2.48 | (0.35 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.53 | 0.13 | (d) | 7.42 | 7.55 | (0.09 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.48 | 0.20 | (d) | 5.12 | 5.32 | (0.27 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.29 | 0.07 | (d) | 0.12 | 0.19 | — | ||||||||||||||
Year Ended June 30, 2011 | 18.33 | 0.06 | (d) | 5.94 | 6.00 | (0.04 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.28 | 0.03 | (d) | 2.34 | 2.37 | (0.32 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.43 | 0.21 | (d) | 7.40 | 7.61 | (0.22 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.43 | 0.26 | (d) | 5.11 | 5.37 | (0.37 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.21 | 0.13 | (d) | 0.12 | 0.25 | (0.03 | ) | |||||||||||||
Year Ended June 30, 2011 | 18.36 | 0.13 | (d) | 5.92 | 6.05 | (0.20 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.29 | 0.09 | (d) | 2.33 | 2.42 | (0.35 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.94 | 0.46 | (d) | 7.54 | 8.00 | (0.40 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.84 | 0.46 | (d) | 5.19 | 5.65 | (0.55 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.69 | 0.30 | (d) | 0.10 | 0.40 | (0.25 | ) | |||||||||||||
Year Ended June 30, 2011 | 18.65 | 0.26 | (d) | 6.06 | 6.32 | (0.28 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.47 | 0.22 | (d) | 2.36 | 2.58 | (0.40 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 30.00 | 0.38 | (d) | 7.56 | 7.94 | (0.33 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.88 | 0.41 | (d) | 5.20 | 5.61 | (0.49 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.73 | 0.25 | (d) | 0.10 | 0.35 | (0.20 | ) | |||||||||||||
Year Ended June 30, 2011 | 18.68 | 0.23 | (d) | 6.04 | 6.27 | (0.22 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.51 | 0.18 | (d) | 2.37 | 2.55 | (0.38 | ) | |||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
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 | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 37.28 | 26.26 | % | $ | 97,155 | 1.04 | % | 0.90 | % | 1.05 | % | 67 | % | |||||||||||||
| 29.76 | 22.48 | 87,954 | 1.24 | 1.25 | 1.26 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.99 | 25.62 | 8,774 | 1.54 | 0.39 | 1.55 | 67 | ||||||||||||||||||||
| 29.53 | 21.90 | 7,336 | 1.74 | 0.75 | 1.76 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.82 | 25.93 | 166 | 1.29 | 0.64 | 1.30 | 67 | ||||||||||||||||||||
| 29.43 | 22.20 | 170 | 1.49 | 0.96 | 1.51 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.54 | 26.84 | 1,363,358 | 0.58 | 1.35 | 0.59 | 67 | ||||||||||||||||||||
| 29.94 | 23.05 | 710,586 | 0.79 | 1.66 | 0.82 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.61 | 26.56 | 1,514,180 | 0.79 | 1.14 | 0.80 | 67 | ||||||||||||||||||||
| 30.00 | 22.83 | 1,391,748 | 0.99 | 1.50 | 1.02 | 68 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 | ||||||||||||||||
Intrepid Growth Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 29.36 | $ | 0.18 | (d)(e) | $ | 7.64 | $ | 7.82 | $ | (0.13 | ) | ||||||||
Year Ended June 30, 2013 | 25.00 | 0.21 | (d) | 4.34 | 4.55 | (0.19 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.39 | 0.10 | (d) | 0.57 | 0.67 | (0.06 | ) | |||||||||||||
Year Ended June 30, 2011 | 17.93 | 0.12 | (d) | 6.48 | 6.60 | (0.14 | ) | |||||||||||||
Year Ended June 30, 2010 | 15.79 | 0.07 | (d) | 2.20 | 2.27 | (0.13 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 28.93 | 0.01 | (d)(e) | 7.52 | �� | 7.53 | (0.01 | ) | ||||||||||||
Year Ended June 30, 2013 | 24.64 | 0.07 | (d) | 4.27 | 4.34 | (0.05 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.09 | (0.02 | )(d) | 0.57 | 0.55 | — | ||||||||||||||
Year Ended June 30, 2011 | 17.70 | 0.01 | (d) | 6.40 | 6.41 | (0.02 | ) | |||||||||||||
Year Ended June 30, 2010 | 15.59 | (0.03 | )(d) | 2.18 | 2.15 | (0.04 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2014 | 28.91 | 0.09 | (d)(e) | 7.54 | 7.63 | (0.05 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.72 | 0.13 | (d) | 4.27 | 4.40 | (0.21 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.13 | 0.07 | (d) | 0.54 | 0.61 | (0.02 | ) | |||||||||||||
Year Ended June 30, 2011 | 17.76 | 0.06 | (d) | 6.41 | 6.47 | (0.10 | ) | |||||||||||||
Year Ended June 30, 2010 | 15.65 | 0.02 | (d) | 2.20 | 2.22 | (0.11 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.41 | 0.33 | (d)(e) | 7.65 | 7.98 | (0.30 | ) | |||||||||||||
Year Ended June 30, 2013 | 25.05 | 0.33 | (d) | 4.34 | 4.67 | (0.31 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.45 | 0.21 | (d) | 0.57 | 0.78 | (0.18 | ) | |||||||||||||
Year Ended June 30, 2011 | 17.98 | 0.21 | (d) | 6.50 | 6.71 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2010 | 15.83 | 0.15 | (d) | 2.22 | 2.37 | (0.22 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.52 | 0.26 | (d)(e) | 7.69 | 7.95 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2013 | 25.15 | 0.28 | (d) | 4.35 | 4.63 | (0.26 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.55 | 0.16 | (d) | 0.57 | 0.73 | (0.13 | ) | |||||||||||||
Year Ended June 30, 2011 | 18.04 | 0.17 | (d) | 6.53 | 6.70 | (0.19 | ) | |||||||||||||
Year Ended June 30, 2010 | 15.88 | 0.12 | (d) | 2.22 | 2.34 | (0.18 | ) | |||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.17, $0.00, $0.09, $0.32 and $0.26 for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.51%, 0.01%, 0.26%, 0.96% and 0.76% for Class A, Class C, Class R2, Class R5 and Select Class Shares, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
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 | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 37.05 | 26.68 | % | $ | 33,563 | 1.16 | % | 0.54 | %(e) | 1.17 | % | 67 | % | |||||||||||||
| 29.36 | 18.27 | 33,582 | 1.24 | 0.76 | 1.30 | 67 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.45 | 26.05 | 19,566 | 1.65 | 0.03 | (e) | 1.67 | 67 | |||||||||||||||||||
| 28.93 | 17.66 | 15,462 | 1.74 | 0.26 | 1.79 | 67 | ||||||||||||||||||||
| 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 | |||||||||||||||||||
| 36.49 | 26.41 | 601 | 1.41 | 0.28 | (e) | 1.42 | 67 | |||||||||||||||||||
| 28.91 | 17.90 | 603 | 1.49 | 0.49 | 1.54 | 67 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.09 | 27.23 | 124,489 | 0.71 | 0.98 | (e) | 0.72 | 67 | |||||||||||||||||||
| 29.41 | 18.79 | 105,839 | 0.79 | 1.21 | 0.85 | 67 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.23 | 27.00 | 597,963 | 0.91 | 0.79 | (e) | 0.92 | 67 | |||||||||||||||||||
| 29.52 | 18.52 | 538,378 | 0.99 | 1.02 | 1.05 | 67 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | 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 Mid Cap Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | $ | 18.79 | $ | 0.08 | (d)(e) | $ | 5.41 | $ | 5.49 | $ | (0.07 | ) | $ | (0.10 | ) | $ | (0.17 | ) | ||||||||||
Year Ended June 30, 2013 | 14.99 | 0.13 | (d)(f) | 3.80 | 3.93 | (0.13 | ) | — | (0.13 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 15.79 | 0.10 | (d) | (0.79 | ) | (0.69 | ) | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 11.54 | 0.04 | (d) | 4.26 | 4.30 | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.53 | 0.07 | (d) | 2.02 | 2.09 | �� | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||
Class B | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 16.86 | (0.05 | )(d)(e) | 4.84 | 4.79 | — | (0.09 | ) | (0.09 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.47 | 0.02 | (d)(f) | 3.41 | 3.43 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 14.22 | — | (d)(g) | (0.70 | ) | (0.70 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 10.44 | (0.04 | )(d) | 3.83 | 3.79 | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.63 | (0.01 | )(d) | 1.84 | 1.83 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 16.87 | (0.05 | )(d)(e) | 4.84 | 4.79 | — | (0.10 | ) | (0.10 | ) | ||||||||||||||||||
Year Ended June 30, 2013 | 13.48 | 0.02 | (d)(f) | 3.41 | 3.43 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 14.24 | 0.01 | (d) | (0.72 | ) | (0.71 | ) | (0.05 | ) | — | (0.05 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 10.45 | (0.04 | )(d) | 3.85 | 3.81 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 8.64 | (0.01 | )(d) | 1.84 | 1.83 | (0.02 | ) | — | (0.02 | ) | ||||||||||||||||||
Select Class | ||||||||||||||||||||||||||||
Year Ended June 30, 2014 | 19.45 | 0.14 | (d)(e) | 5.60 | 5.74 | (0.12 | ) | (0.10 | ) | (0.22 | ) | |||||||||||||||||
Year Ended June 30, 2013 | 15.51 | 0.18 | (d)(f) | 3.93 | 4.11 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||
Year Ended June 30, 2012 | 16.33 | 0.14 | (d) | (0.82 | ) | (0.68 | ) | (0.14 | ) | — | (0.14 | ) | ||||||||||||||||
Year Ended June 30, 2011 | 11.92 | 0.08 | (d) | 4.41 | 4.49 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
Year Ended June 30, 2010 | 9.84 | 0.11 | (d) | 2.08 | 2.19 | (0.11 | ) | — | (0.11 | ) | ||||||||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (c) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (d) | Calculated based upon average shares outstanding. |
| (e) | Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.04, $(0.09), $(0.08) 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 0.20%, (0.45)%, (0.42)% and 0.45% for Class A, Class B, Class C, and Select Class Shares, respectively. |
| (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 $0.08, $(0.02), $(0.03) and $0.13 for Class A, Class B, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.47%, (0.16)%, (0.17)% and 0.72% for Class A, Class B, Class C and Select Class Shares, respectively. |
| (g) | Amount rounds to less than $0.01. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
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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 (b) | Net investment income (loss) | Expenses | Portfolio turnover rate (c) | ||||||||||||||||||||
| $ | 24.11 | 29.30 | % | $ | 193,342 | 1.16 | % | 0.38 | %(e) | 1.32 | % | 64 | % | |||||||||||||
| 18.79 | 26.30 | 144,405 | 1.23 | 0.78 | (f) | 1.38 | 52 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
| 21.56 | 28.47 | 5,680 | 1.78 | (0.28 | )(e) | 1.83 | 64 | |||||||||||||||||||
| 16.86 | 25.51 | 7,451 | 1.87 | 0.14 | (f) | 1.88 | 52 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 21.56 | 28.43 | 49,796 | 1.79 | (0.25 | )(e) | 1.82 | 64 | |||||||||||||||||||
| 16.87 | 25.51 | 36,073 | 1.87 | 0.13 | (f) | 1.88 | 52 | |||||||||||||||||||
| 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 | |||||||||||||||||||
| 24.97 | 29.61 | 348,077 | 0.91 | 0.62 | (e) | 1.08 | 64 | |||||||||||||||||||
| 19.45 | 26.60 | 327,834 | 0.98 | 1.03 | (f) | 1.13 | 52 | |||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 55 | ||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | ||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period | Net investment income (loss) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
Intrepid Value Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2014 | $ | 29.76 | $ | 0.40 | (f) | $ | 7.36 | $ | 7.76 | $ | (0.39 | ) | ||||||||
Year Ended June 30, 2013 | 23.99 | 0.42 | (f) | 5.79 | 6.21 | (0.44 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.35 | 0.35 | (f) | (0.34 | ) | 0.01 | (0.37 | ) | ||||||||||||
Year Ended June 30, 2011 | 18.64 | 0.30 | (f) | 5.65 | 5.95 | (0.24 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.47 | 0.19 | (f) | 2.17 | 2.36 | (0.19 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.52 | 0.23 | (f) | 7.28 | 7.51 | (0.23 | ) | |||||||||||||
Year Ended June 30, 2013 | 23.80 | 0.29 | (f) | 5.74 | 6.03 | (0.31 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.16 | 0.24 | (f) | (0.35 | ) | (0.11 | ) | (0.25 | ) | |||||||||||
Year Ended June 30, 2011 | 18.53 | 0.19 | (f) | 5.60 | 5.79 | (0.16 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.37 | 0.09 | (f) | 2.16 | 2.25 | (0.09 | ) | |||||||||||||
Class R2 | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.69 | 0.31 | (f) | 7.33 | 7.64 | (0.31 | ) | |||||||||||||
Year Ended June 30, 2013 | 23.95 | 0.30 | (f) | 5.83 | 6.13 | (0.39 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.31 | 0.29 | (f) | (0.33 | ) | (0.04 | ) | (0.32 | ) | |||||||||||
Year Ended June 30, 2011 | 18.63 | 0.24 | (f) | 5.64 | 5.88 | (0.20 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.46 | 0.14 | (f) | 2.17 | 2.31 | (0.14 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.91 | 0.52 | (f) | 7.40 | 7.92 | (0.50 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.10 | 0.52 | (f) | 5.82 | 6.34 | (0.53 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (f) | (0.34 | ) | 0.09 | (0.45 | ) | ||||||||||||
Year Ended June 30, 2011 | 18.71 | 0.37 | (f) | 5.68 | 6.05 | (0.30 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.53 | 0.27 | (f) | 2.19 | 2.46 | (0.28 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.91 | 0.47 | (f) | 7.46 | 7.93 | (0.51 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.10 | 0.53 | (f) | 5.83 | 6.36 | (0.55 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.46 | 0.43 | (f) | (0.33 | ) | 0.10 | (0.46 | ) | ||||||||||||
November 30, 2010(g) through June 30, 2011 | 21.27 | 0.21 | (f) | 3.18 | 3.39 | (0.20 | ) | |||||||||||||
Select Class | ||||||||||||||||||||
Year Ended June 30, 2014 | 29.85 | 0.45 | (f) | 7.38 | 7.83 | (0.43 | ) | |||||||||||||
Year Ended June 30, 2013 | 24.06 | 0.46 | (f) | 5.81 | 6.27 | (0.48 | ) | |||||||||||||
Year Ended June 30, 2012 | 24.42 | 0.39 | (f) | (0.35 | ) | 0.04 | (0.40 | ) | ||||||||||||
Year Ended June 30, 2011 | 18.70 | 0.33 | (f) | 5.67 | 6.00 | (0.28 | ) | |||||||||||||
Year Ended June 30, 2010 | 16.51 | 0.24 | (f) | 2.19 | 2.43 | (0.24 | ) | |||||||||||||
| (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 earnings credits and interest expense, if applicable, each of which is less than 0.01% unless otherwise noted. |
| (e) | Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less. |
| (f) | Calculated based upon average shares outstanding. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
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 | Portfolio turnover rate (b)(e) | ||||||||||||||||||||
| $ | 37.13 | 26.17 | % | $ | 114,036 | 0.94 | % | 1.19 | % | 1.17 | % | 49 | % | |||||||||||||
| 29.76 | 26.07 | 71,116 | 0.94 | 1.57 | 1.38 | 48 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 36.80 | 25.50 | 35,963 | 1.44 | 0.69 | 1.67 | 49 | ||||||||||||||||||||
| 29.52 | 25.48 | 25,538 | 1.44 | 1.07 | 1.88 | 48 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.02 | 25.82 | 1,346 | 1.19 | 0.92 | 1.42 | 49 | ||||||||||||||||||||
| 29.69 | 25.74 | 934 | 1.19 | 1.06 | 1.56 | 48 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.33 | 26.60 | 80,008 | 0.59 | 1.53 | 0.72 | 49 | ||||||||||||||||||||
| 29.91 | 26.53 | 62,685 | 0.59 | 1.92 | 0.93 | 48 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.33 | 26.66 | 19,495 | 0.54 | 1.41 | 0.67 | 49 | ||||||||||||||||||||
| 29.91 | 26.59 | 10,875 | 0.54 | 1.99 | 0.91 | 48 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
| 37.25 | 26.35 | 1,214,765 | 0.79 | 1.34 | 0.92 | 49 | ||||||||||||||||||||
| 29.85 | 26.26 | 926,972 | 0.79 | 1.71 | 1.12 | 48 | ||||||||||||||||||||
| 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 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 57 | ||||||
Table of Contents
AS OF JUNE 30, 2014
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 Advantage Fund | Class A, Class C, and Select Class | JPM I | 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 Value Fund | Class A, Class C, Class R2, Class R5, Class R6 and Select Class | JPM I | Diversified |
The investment objective of both the Intrepid Advantage Fund and the Intrepid Value Fund is to seek to provide long-term capital appreciation.
The investment objective of both the Intrepid America Fund and 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.
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 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 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 Funds in the preparation of their financial statements. The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — 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. Securities listed on the NASDAQ Stock Market LLC are generally valued at 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 pricing services or broker-dealers use multiple valuation techniques to determine fair value. In instances where sufficient market activity exists, the pricing services or broker-dealers 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 pricing services or broker-dealers also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair 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 fair value. Investments in open-end investment companies are valued at each investment company’s net asset value per share (“NAV”) as of the report date.
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 these 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 pricing services or values received are deemed not representative of fair value, values will be obtained from a third party broker-dealer or counterparty.
Securities or other assets for which market quotations are not readily available or for which market quotations are deemed to 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
| 58 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
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”) has established a Valuation Committee (“VC”) that is comprised of senior representatives from JPMFM, J.P. Morgan Investment Management Inc. (the “Adviser” or “JPMIM”), and J.P. Morgan Asset Management’s Legal, Compliance and Risk Management groups and the Funds’ Chief Compliance Officer. 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 employs a market-based approach which may use related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of the investment. The 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 for discussing and assessing 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 is 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 the 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 observable inputs | Level 3 Significant | Total | |||||||||||||
Intrepid Advantage Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 16,622 | $ | — | $ | — | $ | 16,622 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Intrepid America Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 2,991,414 | $ | — | $ | — | $ | 2,991,414 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 483 | $ | — | $ | — | $ | 483 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Intrepid Growth Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 781,984 | $ | — | $ | — | $ | 781,984 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 91 | $ | — | $ | — | $ | 91 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Intrepid Mid Cap Fund | ||||||||||||||||
Total Investments in Securities (b) | $ | 593,265 | $ | 1,176 | $ | — | $ | 594,441 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 173 | $ | — | $ | — | $ | 173 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Intrepid Value Fund | ||||||||||||||||
Total Investments in Securities (a) | $ | 1,448,622 | $ | — | $ | — | $ | 1,448,622 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts | $ | 284 | $ | — | $ | — | $ | 284 | ||||||||
|
|
|
|
|
|
|
| |||||||||
| (a) | All portfolio holdings designated as Level 1 are disclosed individually on the SOIs. Please refer to the SOIs for industry specifics of portfolio holdings. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 59 | ||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
| (b) | All portfolio holdings designated as Level 1 and Level 2 are disclosed individually on the SOI. Level 2 consists of a U.S. Treasury Note that is held for futures collateral. Please refer to the SOI for industry specifics of portfolio holdings. |
There were no transfers among any levels during the year ended June 30, 2014.
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 are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Funds are required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as change in net unrealized appreciation/depreciation 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 positions.
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2014 (amounts in thousands):
| Intrepid America Fund | Intrepid Growth Fund | Intrepid Mid Cap Fund | Intrepid Value Fund | |||||||||||||
Average Notional Balance Long | $ | 65,205 | $ | 17,296 | $ | 14,917 | $ | 44,031 | ||||||||
Ending Notional Balance Long | 59,841 | 9,274 | 16,294 | 44,124 | ||||||||||||
The Funds’ futures contracts are not subject to master netting agreements (the right to close out all transactions traded with a counterparty, and net amounts owed or due across transactions).
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. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.
D. Allocation of Income and Expenses — 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. In calculating the NAV 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.
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 capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2014, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service.
F. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually, except for the Intrepid Mid Cap Fund and Intrepid Value Fund, for which distributions are generally declared and paid at least quarterly. Distributions are declared
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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 distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.
The following amounts were reclassified within the capital accounts (amounts in thousands):
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Intrepid Advantage Fund | $ | — | (a) | $ | (2 | ) | $ | 2 | ||||
Intrepid America Fund | — | (363 | ) | 363 | ||||||||
Intrepid Growth Fund | — | (153 | ) | 153 | ||||||||
Intrepid Mid Cap Fund | (115 | ) | (120 | ) | 235 | |||||||
Intrepid Value Fund | — | (94 | ) | 94 | ||||||||
| (a) | Amount rounds to less than $1,000. |
The reclassifications for the Funds relate primarily to non-taxable dividends.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to the Investment Advisory Agreements, the Adviser, an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
Intrepid Advantage Fund | 0.65 | % | ||
Intrepid America Fund* | 0.40 | |||
Intrepid Growth Fund* | 0.50 | |||
Intrepid Mid Cap Fund | 0.65 | |||
Intrepid Value Fund* | 0.40 |
| * | Prior to September 1, 2013, the Investment Advisory fee was accrued at 0.65% of the Fund’s respective average daily net assets. |
The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, 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 accrued daily and paid monthly at an 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 covered by the Administration Agreement (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, 2014, the effective rate was 0.08% 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, 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 Advantage Fund | 0.25 | % | n/a | 0.75 | % | n/a | ||||||||||
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 Value Fund | 0.25 | n/a | 0.75 | 0.50 | ||||||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
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, 2014, the Distributor retained the following (amounts in thousands):
| Front-End Sales Charge | CDSC | |||||||
Intrepid Advantage Fund | $ | 1 | $ | — | (a) | |||
Intrepid America Fund | 4 | — | (a) | |||||
Intrepid Growth Fund | 10 | — | ||||||
Intrepid Mid Cap Fund | 49 | — | (a) | |||||
Intrepid Value Fund | 18 | — | (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 accrued 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 Advantage Fund | 0.25 | % | n/a | 0.25 | % | n/a | n/a | 0.25 | % | |||||||||||||||
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 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. For these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. 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. Payments to the custodian 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 expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates in the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, 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 Advantage Fund | 1.15 | %* | n/a | 1.65 | %* | n/a | n/a | n/a | 0.90 | %* | ||||||||||||||||||
Intrepid America Fund | n/a | ** | n/a | n/a | ** | n/a | ** | n/a | ** | n/a | n/a | ** | ||||||||||||||||
Intrepid Growth Fund | n/a | ** | n/a | n/a | ** | n/a | ** | n/a | ** | n/a | n/a | ** | ||||||||||||||||
Intrepid Mid Cap Fund | 1.15 | *** | 1.79 | %*** | 1.79 | *** | n/a | n/a | n/a | 0.90 | *** | |||||||||||||||||
Intrepid Value Fund | 0.95 | n/a | 1.45 | 1.20 | % | 0.60 | % | 0.55 | % | 0.80 | ||||||||||||||||||
| * | Prior to September 1, 2013, the contractual expense limitations for Intrepid Advantage Fund were 1.25%, 1.75% and 1.00% for Class A, Class C and Select Class, respectively. |
| ** | Prior to November 1, 2013, the contractual expense limitations for Intrepid America Fund and Intrepid Growth Fund were 1.25%, 1.75%, 1.50%, 0.80% and 1.00% for Class A, Class C, Class R2, Class R5 and Select Class, respectively. |
| *** | Prior to September 1, 2013, the contractual expense limitations for Intrepid Mid Cap Fund were 1.24%, 1.99%, 1.99% and 0.99% for Class A, Class B, Class C and Select Class, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2014. The contractual expense limitation percentages in the table above are in place until at least October 31, 2014. In addition, the Funds’ service providers have voluntarily waived fees during the year ended June 30, 2014. However, the Funds’ service providers are under no obligation to do so and may discontinue such voluntary waivers at any time.
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For the year ended June 30, 2014, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory | Administration | Shareholder Servicing | Total | Contractual Reimbursement | ||||||||||||||||
Intrepid Advantage Fund | $ | 88 | $ | 10 | $ | 36 | $ | 134 | $ | 12 | ||||||||||
Intrepid America Fund | — | — | 47 | 47 | — | |||||||||||||||
Intrepid Growth Fund | — | 1 | 60 | 61 | — | |||||||||||||||
Intrepid Mid Cap Fund | 5 | — | 850 | 855 | — | |||||||||||||||
Intrepid Value Fund | 700 | 867 | 119 | 1,686 | — | |||||||||||||||
| Voluntary Waivers | ||||||||||||
| Investment Advisory | Shareholder Servicing | Total | ||||||||||
Intrepid Mid Cap Fund | $ | — | (a) | $ | 3 | $ | 3 | |||||
| (a) | Amount rounds to less than $1,000. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates. The Adviser, Administrator and the Distributor, as shareholder servicing agent, waive fees in an amount sufficient to offset the respective fees each charges to the affiliated money market fund on the Funds’ investment in such affiliated money market fund. A portion of the waiver is voluntary.
The amounts of waivers resulting from investments in these money market funds for the year ended June 30, 2014 were as follows (amounts in thousands):
Intrepid Advantage Fund | $ | — | (a) | |
Intrepid America Fund | 150 | |||
Intrepid Growth Fund | 36 | |||
Intrepid Mid Cap Fund | 25 | |||
Intrepid Value Fund | 90 |
| (a) | Amount rounds to less than $1,000. |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, 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, 2014, the Funds may have purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate are affiliated with the Adviser.
The Funds may use related party broker-dealers. For the year ended June 30, 2014, the Funds did not incur any brokerage commissions with broker-dealers affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2014 (continued)
4. Investment Transactions
During the year ended June 30, 2014, 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 | |||||||||||||
Intrepid Advantage Fund | $ | 7,315 | $ | 6,952 | $ | — | $ | — | ||||||||
Intrepid America Fund | 1,950,707 | 1,732,822 | — | — | ||||||||||||
Intrepid Growth Fund | 500,864 | 584,716 | — | — | ||||||||||||
Intrepid Mid Cap Fund | 356,935 | 430,367 | 1,296 | 930 | ||||||||||||
Intrepid Value Fund | 701,392 | 629,147 | — | — | ||||||||||||
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, 2014 were as follows (amounts in thousands):
| Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Intrepid Advantage Fund | $ | 12,310 | $ | 4,389 | $ | 77 | $ | 4,312 | ||||||||
Intrepid America Fund | 2,281,995 | 731,745 | 22,326 | 709,419 | ||||||||||||
Intrepid Growth Fund | 568,056 | 219,209 | 5,281 | 213,928 | ||||||||||||
Intrepid Mid Cap Fund | 421,717 | 176,618 | 3,894 | 172,724 | ||||||||||||
Intrepid Value Fund | 1,082,919 | 373,418 | 7,715 | 365,703 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to non-taxable dividends and wash sale loss deferrals.
The tax character of distributions paid during the year ended June 30, 2014 was as follows (amounts in thousands):
| Ordinary Income | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Intrepid Advantage Fund | $ | 78 | $ | — | $ | 78 | ||||||
Intrepid America Fund | 26,526 | — | 26,526 | |||||||||
Intrepid Growth Fund | 5,545 | — | 5,545 | |||||||||
Intrepid Mid Cap Fund | 2,189 | 2,781 | 4,970 | |||||||||
Intrepid Value Fund | 16,994 | — | 16,994 | |||||||||
The tax character of distributions paid during the year ended June 30, 2013 was as follows (amounts in thousands):
| Ordinary Income | Total Distributions Paid | |||||||
Intrepid Advantage Fund | $ | 117 | $ | 117 | ||||
Intrepid America Fund | 36,668 | 36,668 | ||||||
Intrepid Growth Fund | 6,481 | 6,481 | ||||||
Intrepid Mid Cap Fund | 3,867 | 3,867 | ||||||
Intrepid Value Fund | 16,953 | 16,953 | ||||||
As of June 30, 2014, 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) | ||||||||||
Intrepid Advantage Fund | $ | 49 | $ | (3,111 | ) | $ | 4,312 | |||||
Intrepid America Fund | 17,338 | 88,333 | 709,419 | |||||||||
Intrepid Growth Fund | 2,749 | (251,742 | ) | 213,928 | ||||||||
Intrepid Mid Cap Fund | — | 80,384 | 172,724 | |||||||||
Intrepid Value Fund | 6,173 | 67,010 | 365,703 | |||||||||
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For the Funds, the cumulative timing differences primarily consist of non-taxable dividends and wash sale loss deferrals.
Under the Regulated Investment Company Modernization Act of 2010 (the “Act”), net capital losses recognized by the Funds after June 30, 2011 are 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, 2014, the Funds did not have any post-enactment net capital loss carryforwards.
As of June 30, 2014, the Funds had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):
| 2018 | 2019 | Total | ||||||||||
Intrepid Advantage Fund | $ | — | $ | 3,111 | $ | 3,111 | ||||||
Intrepid Growth Fund | 251,742 | — | 251,742 | |||||||||
During the year ended June 30, 2014, the Funds utilized capital loss carryforwards as follows (amounts in thousands):
Intrepid Advantage Fund | $ | 1,190 | ||
Intrepid America Fund | 243,921 | |||
Intrepid Growth Fund | 104,094 | |||
Intrepid Mid Cap Fund | 26,914 | |||
Intrepid Value Fund | 40,207 |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “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 the Funds and the series of JPMorgan Trust II are all 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 10, 2014.
The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility at June 30, 2014, 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. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.
One or more affiliates of the Adviser have investment discretion with respect to their clients’ holdings in the Funds, which collectively represent a significant portion of the Funds’ assets for each of the Funds.
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 | 40.3 | % | 44.2 | % | ||||
Intrepid Growth Fund | 66.0 | — | ||||||
Intrepid Mid Cap Fund | 46.5 | — | ||||||
Additionally, Intrepid Advantage Fund, Intrepid Growth Fund, Intrepid Mid Cap Fund and Intrepid Value Fund each have a shareholder which is an account maintained by a financial intermediary on behalf of its clients, that owns a significant portion of the Funds’ outstanding shares.
Significant shareholder transactions by these shareholders 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 Intrepid Advantage Fund, JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth Fund, JPMorgan Intrepid Mid 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 Advantage Fund, JPMorgan Intrepid America Fund, JPMorgan Intrepid Growth 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, 2014, 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, 2014 by correspondence with the custodian and brokers, provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
New York, New York
August 26, 2014
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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 | ||||||
| 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). | 166 | Director, Cardinal Health, Inc. (CAH) (1994-present); Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts. | |||
| Dr. Matthew Goldstein (1941); Chairman since 2013; Trustee of Trusts since 2005; Trustee of heritage J.P. Morgan Funds since 2003. | Professor, City University of New York (2013-present); Chancellor, City University of New York (1999-2013); President, Adelphi University (New York) (1998-1999). | 166 | Director, Bronx-Lebanon Hospital Center; Director, United Way of New York City (2002-present); Trustee, Museum of Jewish Heritage (2011-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). | 166 | 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). | 166 | None | |||
| Mary E. Martinez (1960); Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-Present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management; U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 166 | None | |||
| 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). | 166 | Trustee, Carleton College (2003-present). | |||
| Mitchell M. Merin (1953); Trustee of Trusts since 2013. | Retired (2005-Present); President and Chief Operating Officer, Morgan Stanley Investment Management, Member Morgan Stanley & Co. Management Committee (registered investment adviser) (1998-2005). | 166 | Director, Sun Life Financial (SLF) (2007-2013) (financial services and insurance); Trustee, Trinity College, Hartford, CT (2002-2010). | |||
| 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). | 166 | Director, Radio Shack Corp. (electronics) (1987-2008); Director, National Organization of Investment Professionals; Trustee of the 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). | 166 | Trustee, American University in Cairo (1999-present); Chairman, Dartmouth-Hitchcock Medical Center (2011-present); Trustee, American Schools of Oriental Research (2011-present); Trustee, American Museum of Fly Fishing (2013-present). | |||
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 67 | ||||||
Table of Contents
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) | ||||||
| Marian U. Pardo** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (Investment Consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 166 | Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| Frederick W. Ruebeck (1939); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1994. | Consultant (2000-present); Adviser, 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). | 166 | Trustee, Wabash College (1988-present); Chairman, Indianapolis Symphony 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). | 166 | None | |||
Interested Trustee Not Affiliated With the Adviser | ||||||
| Frankie D. Hughes*** (1952), Trustee of Trusts since 2008. | President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-present). | 166 | Trustee, The Victory Portfolios (2000-2008) (Investment companies). | |||
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 75 for all Trustees, except that the Board has determined Mr. Morton should continue to serve until December 31, 2014. In order to fill the vacancies created by the retirement of Fergus Reid, III, William J. Armstrong, and Leonard J. Spalding Jr., effective December 31, 2012, the Board appointed Ms. Martinez and Mr. Merin to serve as Trustees effective January 1, 2013 and Ms. Pardo to serve as Trustee effective February 1, 2013. |
| (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 adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes twelve registered investment companies (166 funds), including JPMorgan Mutual Fund Group which liquidated effective November 29, 2012 and is in the process of winding up its affairs. |
| * | Two members of the Board of Trustees of Northwestern University are executive officers of registered investment advisers (not affiliated with JPMorgan) that are under common control with sub-advisers to certain J.P. Morgan Funds. |
| ** | In connection with prior employment with JPMorgan Chase, Ms. Pardo is the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully funded qualified plan, which is not an obligation of JPMorgan Chase. |
| *** | Ms. Hughes is treated as an “interested person” based on the portfolio holdings of clients of Hughes Capital Management, Inc. |
The contact address for each of the Trustees is 270 Park Avenue, New York, NY 10017.
| 68 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Robert L. Young (1963), | Chief Operating Officer and Director, J.P. Morgan Investment Management. Inc. since 2010; Senior Vice President, J.P. Morgan Funds (2005-2010), Chief Operating Officer, J.P. Morgan Funds (2005-2010); Director and various officer positions for JPMorgan Funds Management, Inc. (formerly One Group Administrative Services) and JPMorgan Distribution Services, Inc. (formerly One Group Dealer Services, Inc.) from 1999 to present. Mr. Young has been with JPMorgan Chase & Co. (formerly Bank One Corporation) since 1997. | |
| Laura M. Del Prato (1964), Treasurer and Principal Financial Officer (2014) | Managing Director, JPMorgan Funds Management, Inc. (since 2014); Partner, Cohen Fund Audit Services, Ltd. (2012-2013); Partner (2004-2012) and various other titles (1990-2004) at KPMG, LLP. | |
| 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. | |
Annik Pastore (1966), | Executive Director and Global Financial Crime Compliance Officer for JPMorgan Global Investment Management for the U.S. and EMEA since 2012, AML officer for various JPMAM lines of business from 2007-2012. | |
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) | Executive Director and Assistant General Counsel, JPMorgan Chase since 2014; formerly 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. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, JPMorgan Funds Management, Inc. from May 2014; formerly Executive Director, JPMorgan Funds Management, Inc. from 2012 until May 2014; prior to joining JPMorgan Chase, Mr. D’Ambrosio was a Tax Director at PricewaterhouseCoopers LLP since 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. | |
Julie A. Roach (1971), Assistant Treasurer (2012)** | Vice President, JPMorgan Funds Management, Inc. from August 2012; prior to joining JPMorgan Chase, Ms. Roach was a Senior Manager with Deloitte since 2001. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, JPMorgan Funds Management, Inc. from September 2012; Assistant Treasurer, Wells Fargo Funds Management (2007-2009). | |
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 60 Victoria Embankment, Floor 06, London, EC4Y 0JP, United Kingdom. |
| ** | The contact address for the officer is 460 Polaris Parkway, Westerville, OH 43082. |
| *** | The contact address for the officer is 4 New York Plaza, Floor 21, New York, NY 10004-2413. |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 69 | ||||||
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 (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, 2014, and continued to hold your shares at the end of the reporting period, June 30, 2014.
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, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Intrepid Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,068.60 | $ | 5.90 | 1.15 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.09 | 5.76 | 1.15 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,065.50 | 8.45 | 1.65 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.61 | 8.25 | 1.65 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,069.70 | 4.62 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Intrepid America Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,080.30 | 5.16 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,077.50 | 7.73 | 1.50 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.36 | 7.50 | 1.50 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,078.80 | 6.44 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,082.80 | 2.84 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,081.70 | 3.87 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
| 70 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
| Beginning Account Value January 1, 2014 | Ending Account Value June 30, 2014 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
Intrepid Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,065.30 | $ | 5.79 | 1.13 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,063.00 | 8.34 | 1.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.71 | 8.15 | 1.63 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,064.20 | 7.06 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,068.00 | 3.49 | 0.68 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.42 | 3.41 | 0.68 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,066.80 | 4.51 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Intrepid Mid Cap Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,084.10 | 5.89 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class B | ||||||||||||||||
Actual | 1,000.00 | 1,080.70 | 9.18 | 1.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.97 | 8.90 | 1.78 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,080.40 | 9.18 | 1.78 | ||||||||||||
Hypothetical | 1,000.00 | 1,015.97 | 8.90 | 1.78 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,085.00 | 4.65 | 0.90 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.33 | 4.51 | 0.90 | ||||||||||||
Intrepid Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,079.90 | 4.85 | 0.94 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,077.10 | 7.42 | 1.44 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,078.90 | 6.13 | 1.19 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,081.90 | 3.05 | 0.59 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,082.20 | 2.79 | 0.54 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Select Class | ||||||||||||||||
Actual | 1,000.00 | 1,080.70 | 4.08 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 71 | ||||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPM Trust I
JPM I held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the JPM I, including Intrepid Advantage Fund, Intrepid America Fund, Intrepid Growth Fund and Intrepid Value Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 172,130,223 | |||
Withheld | 1,157,495 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 172,109,164 | |||
Withheld | 1,178,553 | |||
| Robert J. Higgins | ||||
In Favor | 158,338,954 | |||
Withheld | 14,948,763 | |||
| Frankie D. Hughes | ||||
In Favor | 172,148,985 | |||
Withheld | 1,138,733 | |||
| Peter C. Marshall | ||||
In Favor | 172,124,473 | |||
Withheld | 1,163,244 | |||
| Mary E. Martinez | ||||
In Favor | 172,132,763 | |||
Withheld | 1,154,954 | |||
| Marilyn McCoy | ||||
In Favor | 172,123,615 | |||
Withheld | 1,164,102 | |||
| Votes Received (Amounts in thousands) | ||||
| Mitchell M. Merin | ||||
In Favor | 172,132,812 | |||
Withheld | 1,154,905 | |||
| William G. Morton, Jr. | ||||
In Favor | 172,111,749 | |||
Withheld | 1,175,968 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 172,098,600 | |||
Withheld | 1,189,117 | |||
| Marian U. Pardo | ||||
In Favor | 172,162,159 | |||
Withheld | 1,125,559 | |||
| Frederick W. Ruebeck | ||||
In Favor | 172,051,301 | |||
Withheld | 1,236,416 | |||
| James J. Schonbachler | ||||
In Favor | 172,078,691 | |||
Withheld | 1,209,026 | |||
| 72 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
JPM Trust II
JPM II held a special meeting of shareholders on June 10, 2014, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of the Trust, including Intrepid Mid Cap Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) | ||||
| John F. Finn | ||||
In Favor | 132,674,822 | |||
Withheld | 508,692 | |||
| Dr. Matthew Goldstein | ||||
In Favor | 132,670,672 | |||
Withheld | 512,842 | |||
| Robert J. Higgins | ||||
In Favor | 124,038,998 | |||
Withheld | 9,144,516 | |||
| Frankie D. Hughes | ||||
In Favor | 132,681,734 | |||
Withheld | 501,780 | |||
| Peter C. Marshall | ||||
In Favor | 132,663,579 | |||
Withheld | 519,935 | |||
| Mary E. Martinez | ||||
In Favor | 132,682,318 | |||
Withheld | 501,196 | |||
| Marilyn McCoy | ||||
In Favor | 132,681,993 | |||
Withheld | 501,520 | |||
| Votes Received (Amounts in thousands) | ||||
| Mitchell M. Merin | ||||
In Favor | 132,664,715 | |||
Withheld | 518,799 | |||
| William G. Morton, Jr. | ||||
In Favor | 132,650,698 | |||
Withheld | 532,816 | |||
| Robert A. Oden, Jr. | ||||
In Favor | 132,664,727 | |||
Withheld | 518,788 | |||
| Marian U. Pardo | ||||
In Favor | 132,690,792 | |||
Withheld | 492,722 | |||
| Frederick W. Ruebeck | ||||
In Favor | 132,644,244 | |||
Withheld | 539,269 | |||
| James J. Schonbachler | ||||
In Favor | 132,671,281 | |||
Withheld | 512,233 | |||
| JUNE 30, 2014 | J.P. MORGAN INTREPID FUNDS | 73 | ||||||
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, 2014. 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, 2014. The information necessary to complete your income tax returns for the calendar year ending December 31, 2014 will be provided under separate cover.
Dividends Received Deductions (DRD)
Each fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the 70% dividends received deductions for corporate shareholders for the fiscal year ended June 30, 2014:
| Dividends Received Deduction | ||||
Intrepid Advantage Fund | 100.00 | % | ||
Intrepid America Fund | 100.00 | |||
Intrepid Growth Fund | 100.00 | |||
Intrepid Mid Cap Fund | 100.00 | |||
Intrepid Value Fund | 94.47 | |||
Long Term Capital Gain
The fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Long-Term Capital Gain Distribution | ||||
Intrepid Mid Cap Fund | $ | 2,781 | ||
Qualified Dividend Income (QDI)
Each fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2014 (amounts in thousands):
| Qualified Dividend Income | ||||
Intrepid Advantage Fund | $ | 78 | ||
Intrepid America Fund | 26,526 | |||
Intrepid Growth Fund | 5,545 | |||
Intrepid Mid Cap Fund | 2,189 | |||
Intrepid Value Fund | 16,994 | |||
| 74 | J.P. MORGAN INTREPID FUNDS | JUNE 30, 2014 | ||||
Table of Contents
Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
¡ Social Security number and account balances
¡ transaction history and account transactions
¡ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share |
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
Table of Contents
Page 2 |
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
¡ open an account or provide contact information
¡ give us your account information or pay us by check
¡ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
¡ sharing for affiliates’ everyday business purposes – information about your creditworthiness
¡ affiliates from using your information to market to you
¡ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
¡ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
¡ J.P. Morgan Funds doesn’t jointly market. | |
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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 on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. 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., 2014. All rights reserved. June 2014. | AN-INT-614 |
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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 Mitchell Merin. 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
2014 – $369,500
2013 – $368,414
(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
2014 – $57,160
2013 – $139,900
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
2014 – $113,250
2013 – $107,500
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, 2014 and 2013, 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
2014 – Not applicable
2013 – 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 Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the
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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.
2014 – 0.0%
2013 – 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, and rendered to Service Affiliates, for the last two calendar year ends were:
2013 - $33.9 million
2012 - $31.8 million
(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.
(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.
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| ITEM 6. | SCHEDULE OF INVESTMENTS. |
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.
Not applicable.
| ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).
Not applicable.
| ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
| ITEM 11. | CONTROLS AND PROCEDURES. |
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time
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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/ Robert L. Young | |
| Robert L. Young | ||
| President and Principal Executive Office | ||
| September 4, 2014 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ Robert L. Young | |
| Robert L. Young | ||
| President and Principal Executive Officer | ||
| September 4, 2014 |
| By: | /s/ Laura M. Del Prato | |
| Laura M. Del Prato | ||
| Treasurer and Principal Financial Officer | ||
| September 4, 2014 |